Natixis Funds Trust II Oakmark Fund NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-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: December 31, 2018

Item 1.

Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:

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Annual Report

December 31, 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			25

Financial Statements			49

Notes to Financial Statements			70

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.

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.

Market Conditions

Markets began 2018 with optimistic momentum carried over from 2017. Global equity volatility in the first quarter signaled an abrupt change in investor sentiment, weakening the outlook for steady, coordinated growth. A wave of negative fundamental factors in developed and emerging markets (EM), and in the Federal Reserve’s (the Fed) normalization policy, crested into an aggressivere-pricing of domestic equities and sharp outperformance of fixed income assets in the fourth quarter.

Global equity markets started the year bullish, with the S&P 500^® up 5.73% in January and the MSCI World Index up 5.28%. But strong fundamental data in the USre-awakened concerns about inflation, causing marked increases in benchmark US Treasury rates in February. Tariff announcements and cabinet reshuffling in the White House in March raised investor fears of an inevitable trade war with China, and the Fed raised rates for the sixth time in March. These developments weighed on commodities and the dollar.

Following the first quarter’s significant spike in equity volatility, the second quarter of 2018 was comparatively quiet. Global economic and political developments still impacted markets and drove noteworthy repricing in the US dollar, EM debt and equity, commodities, andsmall-cap US stocks. Commodities showed sharp divergence in the second quarter, with energy prices jumping and agricultural commodities plummeting in reaction to the same factors.

Inflation and acute currency weakness in Turkey and Argentina drove headlines in the third quarter, while appreciation in the US dollar slowed and the dramaticrisk-off sentiment in EM debt and currency markets ebbed. US equities appreciated on optimism in corporate earnings and economic data, especially in technology shares. The steady flattening of the yield curve transitioned to a more parallel shift upward in rates over the quarter. Energy prices stood out to the upside, while agricultural markets faced selling pressure on trade policy.

The fourth quarter of 2018 was materially different from the first three quarters, as financial conditions tightened sharply. Investors’ constructive outlook on sustainable US economic and corporate strength in a globally weak environment appeared to shift due to trade wars, partisan politics, and the Fed’s normalization policy and uncertainty in its economic outlook.

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As such, volatility in the equity market pushed higher; the S&P 500^® dropped 6.84% in October alone, which kicked off the 13.52% give-back for the quarter. Despite the magnitude of the drop, it is worth noting that throughout the quarter, and indeed across most principal assets in 2018, the selling was orderly. The lack of panic in the markets was cold comfort, however, in a year when nearly every global stock index was down substantially. It appears the optimism that brought healthy returns on equities in prior years was overwhelmed by the possibility that US strength may not be immune to global weakness and political noise. During the fourth quarter, the US yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) tipped into a slightly inverted position. Given its strong record for predicting recessions, the yield curve inversion attracted a lot of attention. The added uncertainty sparked debates about fundamental strength in the United States, which in turn likely contributed to the acceleratedrisk-off sentiment in December.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of ASG Dynamic Allocation Fund returned-9.39% at net asset value. Although the Fund does not seek to track any particular index, the Morningstar^® Global Allocation Index^SM may be used as a benchmark for performance analysis. This benchmark returned-5.56% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to invest in global stock and fixed income markets. The Fund’s strategy is to overweight and/or underweight assets within this universe based on these models. The Fund uses exchange-traded funds and derivative instruments, such as futures contracts, to gain exposure to six classes of global assets: US stocks, developed international stocks, emerging market stocks, US bonds, developed international bonds, and emerging market bonds.

Marking a dramatic about-face compared to 2017, which saw gains across the board, each of the six asset groups in which the Fund invests posted losses during 2018. The biggest impact on Fund relative performance was its overweight to US and international developed stocks, which both detracted from returns. Stocks underperformed bonds, with emerging and international developed markets declining more than the United States. Within bonds, US short- and intermediate-duration bonds posted gains, while emerging market, developed international, and US long-term bonds declined. International developed bonds posted small gains.

After exhibiting positive trends with low volatility in 2017 and into January 2018, the Fund held overweight positions in all three stock groups when they suffered losses in February and March. While these overweights were reduced in the first half of the year, a quiet summer resulted in these weights increasing into the start of the year’s final quarter. As a result, the Fund performed poorly during October’s market decline but subsequently reduced its overall stock weight, which helped relative performance in December. The Fund’s average underweight to emerging market stocks throughout the year also helped relative performance.

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ASG DYNAMIC ALLOCATION FUND

Bonds performed poorly in the first 10 months of the year as US interest rates gradually rose. In early November, however, this trend reversed course and bonds posted gains in the final quarter. Despite the Fund’s average underweight in US and emerging market bonds, our decision to hold more credit exposure than the benchmark detracted from returns. The Fund’s international developed bond positions contributed a small positive return for the year.

The Fund relies primarily on a systematic process to identify trends and changes in the asset allocation of the broad hedge fund universe. The Fund has the ability to adjust its total exposure from 0% to 200%. Mostly as a result of volatility and trend changes observed across markets, the Fund enters 2019 positioned more defensively than it started 2018. Our stock weight ended the year at 25% compared to 97% at the beginning of 2018, while bonds started the year at a 46% weight and ended at 63%.

The Fund’s portfolio is adjusted on a daily basis to incorporate new information about trends and hedge fund positioning, and seeks to control risk by maintaining an annual standard deviation of daily returns below 20%. While volatility in 2018 was significantly higher compared to 2017, it was far from extreme. The benchmark’s annualized volatility was 7.8%, twice as high as in 2017 but still below its longer-term volatility of 9.1%.¹ The Fund’s annualized volatility during 2018 was 12.0%, also higher than its experience in 2017 but well below 20%. While the Fund spent most of 2018 more aggressively positioned than the benchmark, it is important to note we anticipate that its exposure atyear-end should result in lower overall volatility relative to the benchmark at the beginning of 2019.

Outlook

2018 was a clear reminder that corrections and drawdowns are normal occurrences in risk asset markets. Looking ahead to 2019, a slowdown in the US economy could push US equities into bear territory and compel the Fed to take rate action and pause the balance sheet runoff. This scenario, taken against growth slowing at a faster rate in Europe and China, would likely have second-order global effects on most asset classes, including lower yields.

At the same time, it’s important to note that the fundamental drivers of the most recent economic expansion and tighter labor market in the United States are still in place, namely lower corporate taxes and reduced regulation. Moreover, the global financial system, as measured by the strength of bank balance sheets, is robust, serving as a guardrail to prevent the likelihood of another global financial crisis. Nevertheless, confidence in the global economic environment may be more vulnerable to negative dynamics than it was last year.

Perhaps the most significant disrupting factor going into 2019 is the deeply partisan friction in political discourse, not only in the United States, but in Europe as well. Beyond core disagreement on the best course for the country, partisan politics will continue to meet structural risks, like the federal debt, that may drive real negative outcomes, as exemplified by the government shutdown. One can put a higher likelihood on more volatility in risk assets and weaker economic conditions.

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In Europe, the possibility of are-emergence of sustained activity at a level that would pull the region’s economy into a second period of growth appears to be declining. A slowdown in European industrial production and lower inflation expectations will make it difficult for the European Central Bank to justify executing its current normalization plan. At the same time, deep uncertainties and complexities in the Brexit negotiations make handicapping the end result difficult. Further, should the United States and China reach a meaningfully broad bilateral trade agreement, risk assets would benefit materially. Conversely, deterioration of this important relationship could continue to impede growth and appreciation prospects in both regions and beyond.

Should these negative factors indeed compel a pullback in the US economy, we could expect a reversal of the Fed’s policy of achieving a neutral rate close to 3% and a slowdown, or pause, in the runoff of its balance sheet. This may cause a steepening of the yield curve and potentially put pressure on the US dollar. Indeed, atyear-end the Eurodollar futures curve was inverted, implying that the market expects no more rate hikes in 2019.

¹	Annualized standard deviation of daily returns of Morningstar^® Global Allocation Index^SM from 7/1/2002-12/31/2018.

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

November 30, 2015 (inception) through December 31, 2018

LOGO

See notes to chart on page 5.

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ASG DYNAMIC ALLOCATION FUND

Average Annual Total Returns — December 31, 2018⁴



	1 Year			Life of Fund			Expense Ratios⁵
	1 Year			Life of Fund			Gross			Net

Class Y (Inception 11/30/15)
NAV		-9.39	%		3.50	%		1.56	%		0.98	%

Class A (Inception 11/30/15)
NAV		-9.61			3.25			1.80			1.23
With 5.75% Maximum Sales Charge		-14.83			1.29

Class C (Inception 11/30/15)
NAV		-10.30			2.47			2.55			1.98
With CDSC¹		-11.18			2.47

Comparative Performance
Morningstar^® Global Allocation Index^SM²		-5.56			5.24
Blended Index³		-5.07			4.21

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.

Market Conditions

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ASG GLOBAL ALTERNATIVES FUND

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of the ASG Global Alternatives Fund returned-6.04%. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. This benchmark returned-4.56% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

Explanation of Fund Performance

The Fund seeks to earn returns from sources like those that drive the typical diversified portfolio of hedge funds. Accordingly, the Fund seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary process that uses quantitative models. When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when the price falls. When the Fund takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as the price falls.

The Fund typically makes extensive use of futures and forward contracts on global stock indices, fixed income securities, currencies, and commodities, as well as long positions in individual equities. As market events unfold, these exposures result in a profit or loss for the Fund. Like hedge funds, the Fund also utilizes trading strategies designed to capture risk premia and other sources of systematic returns.

During 2018, the Fund, like hedge funds broadly, suffered losses. The largest driver of losses was the decline in equity prices, especially the sharp decline in international equities. Another contributor to losses for the Fund was the large decline in the prices of many

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metals andoil-related commodities. A third contributor was a pattern of repeated trend reversals. Trend following is among the hedge fund strategies represented in the Fund, and 2018 was a negative year for most hedge funds in this style category.

Despite the negative overall performance, the Fund’s performance in 2018 did include a few bright spots, including profiting from rising US interest rates andnon-trend-following risk premia strategies.

The contribution from the Fund’s money market holdings was slightly more than 1%, as short-maturity interest rates have risen modestly due to actions from the Fed. The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about hedge funds’ exposures and changing market dynamics or to update risk premia positioning, and on a daily basis to control risk. The risk control mechanism is designed to target an average annual volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2018 was 7.6%, which is in line with our expectations and consistent with thelong-run average level. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

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ASG GLOBAL ALTERNATIVES FUND

broad bilateral trade agreement, risk assets would benefit materially. Conversely, deterioration of this important relationship could continue to impede growth and appreciation prospects in both regions and beyond.

Hypothetical Growth of $100,000 Investment in Class Y Shares^3,4

December 31, 2008 through December 31, 2018

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Average Annual Total Returns — December 31, 2018³



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

Class Y (Inception 9/30/08)
NAV		-6.04	%		0.22	%		3.28	%		—	%		1.34	%		1.33	%

Class A (Inception 9/30/08)
NAV		-6.35			-0.04			3.02			—			1.59			1.58
With 5.75% Maximum Sales Charge		-11.71			-1.21			2.42			—

Class C (Inception 9/30/08)
NAV		-7.09			-0.79			2.25			—			2.34			2.33
With CDSC¹		-8.01			-0.79			2.25			—

Class N (Inception 5/1/13)
NAV		-6.08			0.24			—			1.59			1.28			1.28

Comparative Performance
Barclay Fund of Funds Index²		-4.56			0.66			2.47			1.37

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.

4	The Fund revised its investment strategies on October 31, 2018; performance prior to October 31, 2018 reflects the Fund’s prior investment strategy and may have been different had the current investment strategies been in place for all periods shown.

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 4/30/20. 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 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.

Market Conditions

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Performance Results

For the 12 months ended December 31, 2018, Class Y shares of ASG Managed Futures Strategy Fund returned -12.35%. Although the Fund does not seek to track any particular index, the Credit Suisse Managed Futures Liquid Index may be used as a benchmark for performance analysis. This benchmark returned -4.40% over the same period. The SG Trend Index may also be used as a benchmark for performance analysis; this benchmark returned-8.11% over the same period. It is important to note that there are material differences between the Fund and these benchmarks.

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed income, currency, and commodity markets. When the Fund takes on a “long” exposure to a market, that exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, that exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.

For the12-month period ended December 31, 2018, the Fund’s performance suffered from a number of market upsets that made for a difficult environment for trend followers. Losses came primarily from equity markets, although fixed income, currencies, and commodities also detracted. All geographic areas detracted from performance. In equities, the primary losses came from international developed equities, especially Japanese, British, and Canadian equities; US equities also detracted. Similarly, international bonds detracted most from fixed income performance, especially British and Australian bonds. The Eurodollar contributed positively to performance.

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ASG MANAGED FUTURES STRATEGY FUND

In currencies, the Fund experienced losses from some emerging market currencies (like the Mexican peso and South African rand), but the Turkish lira contributed positively. The primary detractor in currencies was the Japanese yen. Commodity losses were driven by base metals, especially aluminum and copper. Energies, especially crude oil and Brent crude oil, were positive contributors.

The contribution from the Fund’s money market holdings was slightly more than 1%, as short-maturity interest rates have risen modestly due to actions from the Fed. The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized volatility in 2018 was 13.7%, which is consistent with our risk management objectives. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

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Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

July 30, 2010 (inception) through December 31, 2018

LOGO

See notes to chart on page 15.

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ASG MANAGED FUTURES STRATEGY FUND

Average Annual Total Returns — December 31, 2018⁴



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

Class Y (Inception 7/30/10)								Class Y/A/C		Class N
NAV		-12.35	%		1.27	%		2.39	%	—	%		1.50	%		1.50	%

Class A (Inception 7/30/10)
NAV		-12.55			1.00			2.15		—			1.75			1.75
With 5.75% Maximum Sales Charge		-17.55			-0.19			1.43		—

Class C (Inception 7/30/10)
NAV		-13.22			0.25			1.37		—			2.50			2.50
With CDSC¹		-14.08			0.25			1.37		—

Class N (Inception 5/01/17)
NAV		-12.26			—			—		-3.84			14.83			1.34

Comparative Performance
Credit Suisse Managed Futures Liquid Index²		-4.40			3.14			—		-0.71
SG Trend Index³		-8.11			1.09			1.25		-2.40

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.

Market Conditions

The fourth quarter of 2018 was materially different from the first three quarters, as financial conditions tightened sharply. Investors’ constructive outlook on sustainable US

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ASG TACTICAL U.S. MARKET FUND

economic and corporate strength in a globally weak environment appeared to shift due to trade wars, partisan politics, and the Fed’s normalization policy and uncertainty in its economic outlook.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of ASG Tactical U.S. Market Fund returned -3.67% at net asset value. The Fund held up better than its benchmark, the S&P 500^® Index, which returned -4.38%.

Explanation of Fund Performance

The Fund’s strategy is to manage a core portfolio of large-capitalization US equities and exchange-traded funds, together with an overlay of futures¹ contracts that is designed to increase or decrease the portfolio’s overall equity market exposure based on a proprietary model ofrisk-of-loss. During periods when therisk-of-loss in the US equity market appears high, the futures overlay is employed to reduce the portfolio’s sensitivity to the market, and during more favorable periods the overlay is employed to increase the portfolio’s market participation.

During the12-month period ended December 31, 2018, the core equity portfolio offered performance broadly consistent with the performance of US equity markets, slightly outperforming the benchmark for the period. In addition to the core equity portfolio, the Fund also held positions in futures contracts on the S&P 500^® Index in order to adjust the Fund’s market participation based on market conditions.

At the beginning of 2018, the manager’s systematic, quantitative assessment of recent risk and return in US equity markets suggested that overall equity risk was low compared to historical norms, leading to a target equity exposure of 130%. As equities experienced several bouts of turbulence, the portfolio’s target equity exposure varied between 110% and 130% during the second and third quarters. While the Fund held a bullish target exposure of 130% entering the fourth quarter, the increased drawdowns and volatility of equity markets resulted in a target exposure of 100% by early November, and as low as 75% by the end of the month, a posture that was maintained through the end of the year. This reduced

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exposure during a period of negative equity performance, together with increased market exposure during the second and third quarters, accounts for the outperformance during the year. The remaining assets were held in money market positions, which allowed the portfolio to benefit from increased US interest rates.

Outlook

¹	A standardized contract using a clearinghouse to buy or sell an underlying commodity, security, currency or index at a predetermined price in the future.

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ASG TACTICAL U.S. MARKET FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

September 30, 2013 (inception) through December 31, 2018

LOGO

Top Ten Holdings as of December 31, 2018


	Security name	% of net assets
1	Microsoft Corp.		2.47	%
2	Amazon.com, Inc.		2.23
3	Berkshire Hathaway, Inc., Class B		1.70
4	Apple, Inc.		1.70
5	Chevron Corp.		1.19
6	UnitedHealth Group, Inc.		1.18
7	Merck & Co., Inc.		1.12
8	Bank of America Corp.		1.08
9	Verizon Communications, Inc.		1.07
10	Boeing Co. (The)		1.04

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

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Average Annual Total Returns — December 31, 2018⁴



	1 Year			5 Years			Life of Fund			Expense Ratios⁵
	1 Year			5 Years			Life of Fund			Gross			Net

Class Y (Inception 9/30/13)
NAV		-3.67	%		7.16	%		9.33	%		1.20	%		1.00	%

Class A (Inception 9/30/13)
NAV		-3.88			6.89			9.05			1.45			1.25
With 5.75% Maximum Sales Charge		-9.40			5.64			7.83

Class C (Inception 9/30/13)
NAV		-4.55			6.10			8.25			2.21			2.00
With CDSC¹		-5.48			6.10			8.25

Comparative Performance
S&P 500^® Index²		-4.38			8.49			10.15
Barclay Equity Long/Short Index³		-3.33			2.38			3.16

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.

| 20

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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 calling800-SEC-0330.

21 |

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 July 1, 2018 through December 31, 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 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$933.00		$5.60
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85
Class C
Actual		$1,000.00		$928.80		$9.24
Hypothetical (5% return before expenses)		$1,000.00		$1,015.63		$9.65
Class Y
Actual		$1,000.00		$933.40		$4.39
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58

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 (184), divided by 365 (to reflect the half-year period).

| 22


ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$947.80		$7.56
Hypothetical (5% return before expenses)		$1,000.00		$1,017.44		$7.83
Class C
Actual		$1,000.00		$943.90		$11.22
Hypothetical (5% return before expenses)		$1,000.00		$1,013.66		$11.62
Class N
Actual		$1,000.00		$948.70		$6.09
Hypothetical (5% return before expenses)		$1,000.00		$1,018.96		$6.31
Class Y
Actual		$1,000.00		$949.00		$6.34
Hypothetical (5% return before expenses)		$1,000.00		$1,018.70		$6.56

Hypothetical 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 (184), divided by 365 (to reflect the half-year period).


ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$935.30		$8.29
Hypothetical (5% return before expenses)		$1,000.00		$1,016.64		$8.64
Class C
Actual		$1,000.00		$931.10		$11.97
Hypothetical (5% return before expenses)		$1,000.00		$1,012.80		$12.48
Class N
Actual		$1,000.00		$937.00		$6.69
Hypothetical (5% return before expenses)		$1,000.00		$1,018.30		$6.97
Class Y
Actual		$1,000.00		$936.90		$7.13
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.43

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.70%, 2.46%, 1.37% and 1.46% 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 (184), divided by 365 (to reflect the half-year period).

23 |


ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$944.10		$6.08
Hypothetical (5% return before expenses)		$1,000.00		$1,018.96		$6.31
Class C
Actual		$1,000.00		$940.50		$9.73
Hypothetical (5% return before expenses)		$1,000.00		$1,015.17		$10.11
Class Y
Actual		$1,000.00		$944.90		$4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,020.22		$5.04

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 (184), divided by 365 (to reflect the half-year period).

| 24

Portfolio of Investments – as of December 31, 2018

ASG Dynamic Allocation Fund


Shares		Description	Value (†)
	Exchange-Traded Funds — 42.3% of Net Assets
	22,416	iShares^® Core U.S. Aggregate Bond ETF	$	2,387,080
	651	iShares^® Edge MSCI Min Vol Emerging Markets ETF		36,371
	14,650	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,522,282
	52,690	SPDR^® Bloomberg Barclays International Treasury Bond ETF		1,454,771
	3,194	Vanguard FTSE All Worldex-U.S.Small-Cap ETF		302,408
	8,124	Vanguard FTSE Developed Markets ETF		301,400
	2,348	Vanguard FTSE Emerging Markets ETF		89,459
	6,232	Vanguard FTSE Europe ETF		303,000
	4,935	Vanguard FTSE Pacific ETF		299,209
	28,378	Vanguard Intermediate-Term Corporate Bond ETF		2,351,401
	14,463	VanguardMid-Cap ETF		1,998,497
	25,769	Vanguard Total International Bond ETF		1,397,968
	14,308	Vanguard Total Stock Market ETF		1,826,130
	19,745	Vanguard Value ETF		1,934,023

		Total Exchange-Traded Funds (Identified Cost $16,120,305)		16,203,999


Principal Amount
	Short-Term Investments — 54.1%
		Certificates of Deposit — 32.6%
$	500,000	Commonwealth Bank of Australia (NY),1-month LIBOR + 0.260%, 2.609%, 1/03/2019(a)		500,009
	500,000	Landesbank Hessen (NY), 2.420%, 1/10/2019		499,993
	500,000	Bank of Montreal (IL),1-month LIBOR + 0.210%, 2.597%, 1/10/2019(a)		500,021
	500,000	Landesbank Hessen (NY), 2.430%, 1/16/2019		499,986
	500,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		499,915
	750,000	Mizuho Bank Ltd. (NY), 2.620%, 2/14/2019		750,036
	500,000	DZ Bank (NY), 2.610%, 2/15/2019		499,976
	500,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019(b)		499,823
	1,000,000	Banco Del Estado De Chile (NY),1-month LIBOR + 0.210%, 2.557%, 3/04/2019(a)(b)		1,000,208
	500,000	Sumitomo Mitsui Bank (NY), 2.760%, 3/07/2019		500,116
	750,000	Nordea Bank AB (NY), 2.760%, 3/11/2019		750,139
	1,000,000	Credit Industriel et Commercial (NY), 2.780%, 3/20/2019		1,000,111
	750,000	Sumitomo Mitsui Trust Bank (NY), 2.790%, 3/20/2019		750,004
	500,000	National Bank of Canada (NY),1-month LIBOR + 0.150%, 2.537%, 4/10/2019(a)(b)		499,959
	500,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg),3-month LIBOR + 0.100%, 2.740%, 5/17/2019(a)(b)		499,941
	750,000	Westpac Banking Corp. (NY),1-month LIBOR + 0.270%, 2.740%, 5/20/2019(a)		749,993
	1,000,000	Svenska Handelsbanken (NY),1-month LIBOR + 0.280%, 2.680%, 6/11/2019(a)		999,939
	500,000	Royal Bank of Canada (NY),1-month LIBOR + 0.310%, 2.731%, 6/12/2019(a)(b)		499,998
	500,000	Royal Bank of Canada (NY),3-month LIBOR + 0.130%, 2.544%, 7/10/2019(a)(b)		499,999
	500,000	Bank of Montreal (IL),3-month LIBOR + 0.110%, 2.518%, 10/04/2019(a)(b)		499,629

				12,499,795

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of December 31, 2018

ASG Dynamic Allocation Fund – (continued)


Principal Amount		Description	Value (†)
		Time Deposits — 11.4%
$	950,000	Skandinaviska Enskilda Banken (NY), 2.340%, 1/02/2019(c)	$	950,000
	1,700,000	Canadian Imperial Bank of Commerce, 2.350%, 1/02/2019		1,700,000
	1,700,000	National Bank of Kuwait, 2.370%, 1/02/2019(c)		1,700,000

				4,350,000

		Commercial Paper — 5.9%
	1,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.454%, 1/04/2019(d)		999,726
	750,000	Santander UK PLC, 2.589%, 2/04/2019(d)		748,181
	500,000	ING (U.S.) Funding LLC,1-month LIBOR + 0.310%, 2.647%, 6/03/2019(a)		500,061

				2,247,968

		Other Notes — 2.6%
	1,000,000	Bank of America NA, 2.450%, 2/12/2019		999,964

		Treasuries — 1.6%
	600,000	U.S. Treasury Bills,2.215%-2.282%, 1/03/2019(d)(e)(f)		599,963

		Total Short-Term Investments (Identified Cost $20,697,907)		20,697,690


		Total Investments — 96.4% (Identified Cost $36,818,212)		36,901,689
		Other assets less liabilities — 3.6%		1,389,944

		Net Assets — 100.0%	$	38,291,633


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of December 31, 2018 is disclosed.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of December 31, 2018 is disclosed.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(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.

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

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of December 31, 2018

ASG Dynamic Allocation Fund – (continued)

At December 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		3/15/2019		29	$	2,678,740	$	2,710,038	$	31,298
10 Year U.S. Treasury Note		3/20/2019		19		2,279,852		2,318,297		38,445
30 Year U.S. Treasury Bond		3/20/2019		16		2,268,711		2,336,000		67,289
5 Year U.S. Treasury Note		3/29/2019		20		2,265,801		2,293,750		27,949
E-mini Dow		3/15/2019		5		611,025		581,700		(29,325	)
E-mini NASDAQ 100		3/15/2019		5		674,179		633,325		(40,854	)
E-mini Russell 2000		3/15/2019		11		796,593		741,950		(54,643	)
E-mini S&P 500^®		3/15/2019		5		673,775		626,300		(47,475	)
German Euro Bund		3/07/2019		14		2,602,135		2,623,263		21,128
UK Long Gilt		3/27/2019		17		2,650,416		2,668,872		18,456

Total									$	32,268

At December 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
U.S. Dollar Index		3/18/2019		100	$	9,665,300	$	9,573,500	$	91,800

Investment Summary at December 31, 2018


Exchange-Traded Funds	42.3	%
Certificates of Deposit	32.6
Time Deposits	11.4
Commercial Paper	5.9
Other Notes	2.6
Treasuries	1.6

Total Investments	96.4
Other assets less liabilities (including futures contracts)	3.6

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks — 7.8% of Net Assets
		Aerospace & Defense — 0.2%
	15,750	United Technologies Corp.	$	1,677,060
	48,462	Arconic, Inc.		817,069

				2,494,129

		Airlines — 0.1%
	14,554	United Continental Holdings, Inc.(a)		1,218,606

		Banks — 0.4%
	28,446	Citigroup, Inc.		1,480,899
	173,168	Investors Bancorp, Inc.		1,800,947
	59,813	Bank of America Corp.		1,473,792

				4,755,638

		Building Products — 0.1%
	28,035	Armstrong World Industries, Inc.		1,631,917

		Capital Markets — 0.3%
	28,762	Intercontinental Exchange, Inc.		2,166,642
	36,405	Bank of New York Mellon Corp. (The)		1,713,583

				3,880,225

		Chemicals — 0.3%
	47,936	Rayonier Advanced Materials, Inc.		510,518
	102,178	Platform Specialty Products Corp.(a)		1,055,499
	27,180	DowDuPont, Inc.		1,453,587

				3,019,604

		Communications Equipment — 0.1%
	45,088	CommScope Holding Co., Inc.(a)		738,992

		Diversified Telecommunication Services — 0.1%
	50,671	Zayo Group Holdings, Inc.(a)		1,157,326

		Electric Utilities — 0.2%
	51,619	FirstEnergy Corp.		1,938,293

		Electronic Equipment, Instruments & Components — 0.1%
	25,329	Itron, Inc.(a)		1,197,808

		Entertainment — 0.1%
	3,263	Netflix, Inc.(a)		873,375
	48,290	Lions Gate Entertainment Corp.		777,469

				1,650,844

		Food & Staples Retailing — 0.2%
	38,590	US Foods Holding Corp.(a)		1,220,988
	27,462	Sysco Corp.		1,720,769

				2,941,757

		Food Products — 0.4%
	34,013	Campbell Soup Co.		1,122,089
	54,182	Conagra Brands, Inc.		1,157,327
	51,901	Mondelez International, Inc., Class A		2,077,597

				4,357,013

See accompanying notes to financial statements.

| 28

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Health Care Equipment & Supplies — 0.3%
	14,787	Zimmer Biomet Holdings, Inc.	$	1,533,708
	30,134	Baxter International, Inc.		1,983,420

				3,517,128

		Health Care Providers & Services — 0.1%
	39,123	MEDNAX, Inc.(a)		1,291,059

		Hotels, Restaurants & Leisure — 0.4%
	46,115	MGM Resorts International		1,118,750
	17,848	Jack in the Box, Inc.		1,385,540
	95,779	Wendy’s Co. (The)		1,495,110
	1,662	Chipotle Mexican Grill, Inc.(a)		717,635

				4,717,035

		Household Durables — 0.1%
	8,180	Mohawk Industries, Inc.(a)		956,733

		Household Products — 0.2%
	25,165	Procter & Gamble Co. (The)		2,313,167

		Industrial Conglomerates — 0.1%
	110,385	General Electric Co.		835,614

		Interactive Media & Services — 0.4%
	6,190	IAC/InterActiveCorp(a)		1,133,018
	6,960	Facebook, Inc., Class A(a)		912,386
	45,676	Cars.com, Inc.(a)		982,034
	1,446	Alphabet, Inc., Class A(a)		1,511,012

				4,538,450

		IT Services — 0.7%
	17,054	PayPal Holdings, Inc.(a)		1,434,071
	18,934	Worldpay, Inc., Class A(a)		1,447,126
	51,958	First Data Corp., Class A(a)		878,610
	21,550	DXC Technology Co.		1,145,813
	14,596	Automatic Data Processing, Inc.		1,913,828
	7,641	Alliance Data Systems Corp.		1,146,761

				7,966,209

		Machinery — 0.2%
	57,658	Trinity Industries, Inc.		1,187,178
	31,414	Terex Corp.		866,084

				2,053,262

		Media — 0.1%
	11,217	Loral Space & Communications, Inc.(a)		417,833
	21,380	AMC Networks, Inc., Class A(a)		1,173,334

				1,591,167

		Multi-Utilities — 0.1%
	14,756	Sempra Energy		1,596,452

See accompanying notes to financial statements.

29 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 0.4%
	35,513	Peabody Energy Corp.	$	1,082,436
	20,670	Hess Corp.		837,135
	24,213	Cheniere Energy, Inc.(a)		1,433,168
	28,607	CVR Energy, Inc.		986,369

				4,339,108

		Real Estate Management & Development — 0.3%
	17,383	Howard Hughes Corp. (The)(a)		1,696,928
	45,891	CBRE Group, Inc., Class A(a)		1,837,476

				3,534,404

		Road & Rail — 0.1%
	20,646	Genesee & Wyoming, Inc., Class A(a)		1,528,217

		Semiconductors & Semiconductor Equipment — 0.2%
	63,786	ON Semiconductor Corp.(a)		1,053,107
	15,782	Xilinx, Inc.		1,344,153

				2,397,260

		Software — 0.8%
	7,211	ServiceNow, Inc.(a)		1,283,919
	8,961	Autodesk, Inc.(a)		1,152,474
	10,507	salesforce.com, inc.(a)		1,439,144
	47,095	Open Text Corp.		1,535,297
	16,329	Microsoft Corp.		1,658,536
	22,604	Citrix Systems, Inc.		2,316,006
	39,504	Symantec Corp.		746,428

				10,131,804

		Specialty Retail — 0.3%
	10,874	Tiffany & Co.		875,466
	15,470	Lowe’s Cos., Inc.		1,428,809
	6,896	Advance Auto Parts, Inc.		1,085,844

				3,390,119

		Trading Companies & Distributors — 0.3%
	27,350	WESCO International, Inc.(a)		1,312,800
	57,390	Univar, Inc.(a)		1,018,098
	45,221	HD Supply Holdings, Inc.(a)		1,696,692

				4,027,590

		Wireless Telecommunication Services — 0.1%
	23,885	T-Mobile US, Inc.(a)		1,519,325

		Total Common Stocks (Identified Cost $105,274,642)		93,226,255

	Exchange-Traded Funds — 4.3%
	634,655	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $54,816,167)		51,470,520

	Closed-End Investment Companies — 0.1%
	22,261	Altaba, Inc.(a) (Identified Cost $1,562,206)		1,289,802

See accompanying notes to financial statements.

| 30

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 85.9%
		Certificates of Deposit — 63.2%
$	20,000,000	Commonwealth Bank of Australia (NY),1-month LIBOR + 0.260%, 2.609%, 1/03/2019(b)	$	20,000,360
	45,000,000	Landesbank Hessen (NY), 2.420%, 1/10/2019		44,999,369
	40,000,000	Bank of Montreal (IL),1-month LIBOR + 0.210%, 2.597%, 1/10/2019(b)		40,001,720
	5,000,000	Landesbank Hessen (NY), 2.430%, 1/16/2019		4,999,863
	25,000,000	Norinchukin Bank (NY), 2.480%, 1/17/2019		24,999,996
	25,000,000	Banco Del Estado De Chile (NY), 2.490%, 1/17/2019		25,000,066
	45,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.560%, 1/25/2019		44,998,115
	45,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		44,992,333
	25,000,000	DZ Bank (NY), 2.610%, 2/15/2019		24,998,797
	50,000,000	Mizuho Bank Ltd. (NY), 2.620%, 2/15/2019		50,002,244
	10,000,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019		9,996,451
	25,000,000	Banco Del Estado De Chile (NY),1-month LIBOR + 0.210%, 2.557%, 3/04/2019(b)		25,005,200
	25,000,000	Sumitomo Mitsui Bank (NY), 2.760%, 3/07/2019		25,005,791
	50,000,000	Nordea Bank AB (NY), 2.760%, 3/11/2019		50,009,258
	40,000,000	Credit Industriel et Commercial (NY), 2.780%, 3/20/2019		40,004,422
	40,000,000	Sumitomo Mitsui Trust Bank (NY), 2.790%, 3/20/2019		40,000,189
	50,000,000	National Bank of Canada (NY),1-month LIBOR + 0.150%, 2.537%, 4/10/2019(b)(c)		49,995,953
	50,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg),3-month LIBOR + 0.100%, 2.740%, 5/17/2019(b)(c)		49,994,147
	40,000,000	Westpac Banking Corp. (NY),1-month LIBOR + 0.270%, 2.740%, 5/20/2019(b)		39,999,640
	36,000,000	Svenska Handelsbanken (NY),1-month LIBOR + 0.280%, 2.680%, 6/11/2019(b)		35,997,804
	25,000,000	Royal Bank of Canada (NY),1-month LIBOR + 0.310%, 2.731%, 6/12/2019(b)(c)		24,999,925
	25,000,000	Royal Bank of Canada (NY),3-month LIBOR + 0.130%, 2.544%, 7/10/2019(b)(c)		24,999,950
	15,000,000	Bank of Montreal (IL),3-month LIBOR + 0.110%, 2.518%, 10/04/2019(b)(c)		14,988,872

				755,990,465

		Commercial Paper — 10.6%
	10,150,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.445%, 1/03/2019(d)		10,147,915
	42,200,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.575%, 1/22/2019(d)		42,134,677
	45,000,000	Santander UK PLC, 2.589%, 2/04/2019(d)		44,890,844
	30,000,000	ING (U.S.) Funding LLC,1-month LIBOR + 0.310%, 2.647%, 6/03/2019(b)		30,003,690

				127,177,126

		Time Deposits — 9.7%
	30,900,000	Skandinaviska Enskilda Banken (NY), 2.340%, 1/02/2019(e)		30,900,000
	55,000,000	Canadian Imperial Bank of Commerce, 2.350%, 1/02/2019		55,000,000
	30,000,000	National Bank of Kuwait, 2.370%, 1/02/2019(e)		30,000,000

				115,900,000

See accompanying notes to financial statements.

31 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — 2.4%
$	10,000,000	U.S. Treasury Bills, 2.175%, 1/03/2019(d)(f)	$	9,999,375
	18,000,000	U.S. Treasury Bills,2.279%-2.319%, 2/07/2019(d)(f)(g)		17,957,453

				27,956,828

		Total Short-Term Investments (Identified Cost $1,027,032,721)		1,027,024,419


		Total Investments — 98.1% (Identified Cost $1,188,685,736)		1,173,010,996
		Other assets less liabilities — 1.9%		22,609,985

		Net Assets — 100.0%	$	1,195,620,981


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Variable rate security. Rate as of December 31, 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 December 31, 2018 is disclosed.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(g)	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.

	ETF	Exchange-Traded Fund
	LIBOR	London Interbank Offered Rate

	CHF	Swiss Franc
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	SEK	Swedish Krona

At December 31, 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		3/20/2019		CHF		B	6,250,000	$	6,386,362	$	6,404,375	$	18,013
UBS AG		3/20/2019		CHF		S	6,250,000		6,387,909		6,404,375		(16,466	)
UBS AG		3/20/2019		NOK		S	158,000,000		18,606,722		18,335,330		271,392
UBS AG		3/20/2019		NOK		S	28,000,000		3,232,445		3,249,299		(16,854	)
UBS AG		3/20/2019		NZD		S	42,500,000		29,304,303		28,564,274		740,029
UBS AG		3/20/2019		SEK		B	158,000,000		17,601,646		17,936,927		335,281

Total												$	1,331,395

See accompanying notes to financial statements.

| 32

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)

At December 31, 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		3/29/2019		1,708	$	360,320,000	$	362,629,750	$	2,309,750
5 Year U.S. Treasury Note		3/29/2019		192		21,777,183		22,020,000		242,817
Australian Dollar		3/18/2019		1,105		79,212,125		77,924,600		(1,287,525	)
British Pound		3/18/2019		168		13,252,050		13,429,500		177,450
Canadian Dollar		3/19/2019		111		8,305,020		8,159,610		(145,410	)
DAX		3/15/2019		155		48,406,921		46,890,736		(1,516,185	)
E-mini Russell 2000		3/15/2019		271		19,625,143		18,278,950		(1,346,193	)
Euro Schatz		3/07/2019		457		58,578,600		58,612,634		34,034
Euro-BTP		3/07/2019		491		69,419,609		71,906,814		2,487,205
Euro-OAT		3/07/2019		1,190		205,592,209		205,607,070		14,861
FTSE 100 Index		3/15/2019		88		7,584,022		7,469,053		(114,969	)
German Euro Bund		3/07/2019		1,569		292,492,017		293,992,789		1,500,772
Hang Seng Index^®		1/30/2019		53		8,704,585		8,749,518		44,933
Japanese Yen		3/18/2019		69		7,811,194		7,909,988		98,794
MSCI Emerging Markets Index		3/15/2019		311		15,348,625		15,033,740		(314,885	)
TOPIX		3/07/2019		297		42,993,937		40,469,823		(2,524,114	)

Total									$	(338,665	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/20/2019		78	$	3,773,250	$	3,603,600	$	(169,650	)
Brent Crude Oil		1/31/2019		73		4,399,710		3,927,400		(472,310	)
Low Sulfur Gasoil		2/12/2019		203		11,230,975		10,378,375		(852,600	)
Natural Gas		1/29/2019		182		7,329,140		5,350,800		(1,978,340	)
New York Harbor ULSD		1/31/2019		232		17,841,919		16,364,074		(1,477,845	)
Soybean Oil		3/14/2019		252		4,336,968		4,210,920		(126,048	)
Wheat		3/14/2019		150		3,888,413		3,774,375		(114,038	)
Zinc LME		3/20/2019		172		10,454,240		10,623,150		168,910

Total									$	(5,021,921	)

See accompanying notes to financial statements.

33 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Global Alternatives Fund – (continued)

At December 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		3/15/2019		292	$	27,011,557	$	27,287,280	$	(275,723	)
10 Year Canada Government Bond		3/20/2019		980		97,497,612		98,179,461		(681,849	)
10 Year U.S. Treasury Note		3/20/2019		1,021		123,214,438		124,577,953		(1,363,515	)
30 Year U.S. Treasury Bond		3/20/2019		282		39,375,609		41,172,000		(1,796,391	)
ASX SPI 200™		3/21/2019		17		1,677,251		1,664,677		12,574
E-mini S&P 500^®		3/15/2019		73		8,979,275		9,143,980		(164,705	)
Euro		3/18/2019		1,678		240,216,900		241,684,438		(1,467,538	)
EURO STOXX 50^®		3/15/2019		417		14,540,766		14,209,106		331,660
Eurodollar		6/17/2019		1,881		456,501,200		457,623,788		(1,122,588	)
S&P/TSX 60 Index		3/14/2019		15		1,943,617		1,883,900		59,717
UK Long Gilt		3/27/2019		517		81,227,593		81,165,099		62,494

Total									$	(6,405,864	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/20/2019		112	$	5,472,903	$	5,174,401	$	298,502
Copper LME		3/20/2019		379		57,924,796		56,563,381		1,361,415
Corn		3/14/2019		534		10,278,625		10,012,500		266,125
Gold		2/26/2019		567		69,937,990		72,649,710		(2,711,720	)
Nickel LME		3/20/2019		34		2,219,112		2,179,026		40,086
Soybean		3/14/2019		108		4,766,475		4,833,000		(66,525	)
WTI Crude Oil		1/22/2019		265		12,058,240		12,033,650		24,590

Total									$	(787,527	)

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 December 31, 2018


Certificates of Deposit	63.2	%
Commercial Paper	10.6
Time Deposits	9.7
Common Stocks	7.8
Exchange-Traded Funds	4.3
Treasuries	2.4
Closed-End Investment Companies	0.1

Total Investments	98.1
Other assets less liabilities (including forward foreign currency and futures contracts)	1.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 93.4% of Net Assets
		Certificates of Deposit — 64.2%
$	60,000,000	Commonwealth Bank of Australia (NY),1-month LIBOR + 0.260%, 2.609%, 1/03/2019(a)	$	60,001,080
	50,000,000	Landesbank Hessen (NY), 2.420%, 1/10/2019		49,999,299
	45,000,000	Bank of Montreal (IL),1-month LIBOR + 0.210%, 2.597%, 1/10/2019(a)		45,001,935
	25,000,000	Landesbank Hessen (NY), 2.430%, 1/16/2019		24,999,315
	45,000,000	Norinchukin Bank (NY), 2.480%, 1/17/2019		44,999,992
	95,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.560%, 1/25/2019		94,996,020
	90,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		89,984,667
	50,000,000	Swedbank (NY),1-month LIBOR + 0.200%, 2.621%, 2/12/2019(a)		50,008,900
	35,750,000	Mizuho Bank Ltd. (NY), 2.620%, 2/14/2019		35,751,698
	50,000,000	DZ Bank (NY), 2.610%, 2/15/2019		49,997,593
	45,000,000	Mizuho Bank Ltd. (NY), 2.620%, 2/15/2019		45,002,020
	30,000,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019		29,989,353
	75,000,000	Banco Del Estado De Chile (NY),1-month LIBOR + 0.210%, 2.557%, 3/04/2019(a)		75,015,600
	20,000,000	Sumitomo Mitsui Bank (NY), 2.760%, 3/07/2019		20,004,632
	75,000,000	Nordea Bank AB (NY), 2.760%, 3/11/2019		75,013,887
	65,000,000	Credit Industriel et Commercial (NY), 2.780%, 3/20/2019		65,007,186
	50,000,000	Sumitomo Mitsui Trust Bank (NY), 2.790%, 3/20/2019		50,000,236
	36,000,000	Royal Bank of Canada (NY),3-month LIBOR + 0.250%, 3.072%, 3/27/2019(a)		36,014,701
	31,500,000	National Bank of Canada (NY),1-month LIBOR + 0.150%, 2.537%, 4/10/2019(a)		31,497,451
	25,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.860%, 4/11/2019		24,999,658
	100,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg),3-month LIBOR + 0.100%, 2.740%, 5/17/2019(a)(b)		99,988,294
	25,000,000	Westpac Banking Corp. (NY),1-month LIBOR + 0.270%, 2.740%, 5/20/2019(a)		24,999,775
	50,000,000	Westpac Banking Corp. (NY),1-month LIBOR + 0.270%, 2.740%, 5/20/2019(a)		49,999,550
	35,000,000	Royal Bank of Canada (NY),1-month LIBOR + 0.310%, 2.731%, 6/12/2019(a)(b)		34,999,895
	50,000,000	Royal Bank of Canada (NY),3-month LIBOR + 0.130%, 2.544%, 7/10/2019(a)(b)		49,999,899
	70,000,000	Bank of Montreal (IL),3-month LIBOR + 0.110%, 2.518%, 10/04/2019(a)(b)		69,948,071

				1,328,220,707

		Commercial Paper — 12.4%
	27,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.445%, 1/03/2019(c)		26,994,454
	20,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.454%, 1/04/2019(c)		19,994,513
	7,250,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.575%, 1/22/2019(c)		7,238,778
	36,900,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.575%, 1/24/2019(c)		36,837,516
	90,000,000	Santander UK PLC, 2.589%, 2/04/2019(c)		89,781,688
	75,000,000	ING (U.S.) Funding LLC,1-month LIBOR + 0.310%, 2.647%, 6/03/2019(a)		75,009,225

				255,856,174

See accompanying notes to financial statements.

35 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Managed Futures Strategy Fund – (continued)


Principal Amount		Description	Value (†)
		Time Deposits — 8.7%
$	42,000,000	Skandinaviska Enskilda Banken (NY), 2.340%, 1/02/2019(d)	$	42,000,000
	95,000,000	Canadian Imperial Bank of Commerce, 2.350%, 1/02/2019		95,000,000
	42,450,000	National Bank of Kuwait, 2.370%, 1/02/2019(d)		42,450,000

				179,450,000

		Treasuries — 6.2%
	32,000,000	U.S. Treasury Bills, 2.131%, 1/03/2019(c)(e)		31,998,000
	41,000,000	U.S. Treasury Bills,2.191%-2.319%, 2/07/2019(c)(e)(f)		40,903,086
	35,500,000	U.S. Treasury Bills, 2.290%, 3/07/2019(c)(e)		35,349,717
	20,000,000	U.S. Treasury Bills, 2.343%, 4/04/2019(c)(e)		19,875,992

				128,126,795

		Other Notes — 1.9%
	40,000,000	Bank of America NA, 2.450%, 2/12/2019		39,998,548

		Total Short-Term Investments (Identified Cost $1,931,688,323)		1,931,652,224


		Total Investments — 93.4% (Identified Cost $1,931,688,323)		1,931,652,224
		Other assets less liabilities — 6.6%		136,683,971

		Net Assets — 100.0%	$	2,068,336,195


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of December 31, 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 December 31, 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.

	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

See accompanying notes to financial statements.

| 36

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Managed Futures Strategy Fund – (continued)

At December 31, 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		3/20/2019		CHF		B	44,125,000	$	44,934,177	$	45,214,882	$	280,705
UBS AG		3/20/2019		CHF		S	143,500,000		146,630,862		147,044,435		(413,573	)
UBS AG		3/20/2019		MXN		B	196,500,000		9,731,780		9,880,606		148,826
UBS AG		3/20/2019		MXN		S	116,000,000		5,647,280		5,832,826		(185,546	)
UBS AG		3/20/2019		NOK		B	44,000,000		5,146,766		5,106,041		(40,725	)
UBS AG		3/20/2019		NOK		S	1,322,000,000		155,684,089		153,413,331		2,270,758
UBS AG		3/20/2019		NOK		S	142,000,000		16,273,330		16,478,588		(205,258	)
UBS AG		3/20/2019		NZD		B	31,500,000		21,719,659		21,171,167		(548,492	)
UBS AG		3/20/2019		NZD		S	21,800,000		14,760,794		14,651,792		109,002
UBS AG		3/20/2019		NZD		S	9,800,000		6,571,762		6,586,585		(14,823	)
UBS AG		3/20/2019		PLN		B	31,000,000		8,221,092		8,298,416		77,324
UBS AG		3/20/2019		PLN		S	301,000,000		79,945,690		80,574,943		(629,253	)
UBS AG		3/20/2019		SEK		B	186,000,000		20,840,235		21,115,624		275,389
UBS AG		3/20/2019		SEK		S	1,348,000,000		150,171,009		153,031,511		(2,860,502	)
UBS AG		3/20/2019		SGD		S	139,625,000		102,006,599		102,622,732		(616,133	)
UBS AG		3/20/2019		TRY		B	18,000,000		3,171,310		3,264,884		93,574
UBS AG		3/20/2019		ZAR		S	258,000,000		17,820,034		17,768,371		51,663
UBS AG		3/20/2019		ZAR		S	228,000,000		15,571,654		15,702,281		(130,627	)

Total												$	(2,337,691	)

At December 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		3/15/2019		3,182	$	293,847,059	$	297,356,591	$	3,509,532
10 Year Canada Government Bond		3/20/2019		2,790		276,957,340		279,510,915		2,553,575
10 Year U.S. Treasury Note		3/20/2019		1,861		224,718,031		227,071,078		2,353,047
2 Year U.S. Treasury Note		3/29/2019		3,529		748,138,842		749,250,812		1,111,970
3 Year Australia Government Bond		3/15/2019		9,378		738,415,978		741,207,191		2,791,213
30 Year U.S. Treasury Bond		3/20/2019		669		96,549,844		97,674,000		1,124,156
5 Year U.S. Treasury Note		3/29/2019		3,401		387,579,070		390,052,188		2,473,118
Euribor		3/18/2019		2,550		732,440,957		732,570,140		129,183
Euro Schatz		3/07/2019		5,141		659,019,187		659,360,076		340,889
Euro-BTP		3/07/2019		93		13,388,394		13,619,824		231,430
Euro-Buxl^® 30 Year Bond		3/07/2019		831		168,146,188		171,971,548		3,825,360
Euro-OAT		3/07/2019		1,972		340,718,603		340,720,287		1,684
Eurodollar		6/17/2019		3,683		895,791,188		896,027,863		236,675
German Euro BOBL		3/07/2019		2,412		365,276,613		366,225,409		948,796
German Euro Bund		3/07/2019		2,097		390,180,249		392,927,264		2,747,015
Japanese Yen		3/18/2019		305		34,660,513		34,964,438		303,925
Short-TermEuro-BTP		3/07/2019		2,104		265,123,048		266,907,977		1,784,929

See accompanying notes to financial statements.

37 |

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Managed Futures Strategy Fund – (continued)


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Sterling		3/20/2019		1,343	$	211,982,162	$	211,962,087	$	(20,075	)
UK Long Gilt		3/27/2019		1,247		194,834,200		195,769,591		935,391
Ultra Long U.S. Treasury Bond		3/20/2019		143		22,975,906		22,973,843		(2,063	)

Total									$	27,379,750


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/20/2019		253	$	12,435,681	$	11,688,600	$	(747,081	)
Cocoa		3/14/2019		101		2,346,670		2,440,160		93,490
Copper LME		3/20/2019		76		11,755,705		11,342,525		(413,180	)
Live Cattle		2/28/2019		124		6,098,590		6,144,200		45,610
Natural Gas		1/29/2019		206		8,295,620		6,056,400		(2,239,220	)
Zinc LME		3/20/2019		56		3,638,105		3,458,700		(179,405	)

Total									$	(3,439,786	)

At December 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		1/18/2019		360	$	41,163,371	$	40,233,962	$	929,409
ASX SPI 200™		3/21/2019		351		34,630,294		34,370,706		259,588
Australian Dollar		3/18/2019		1,057		75,498,725		74,539,640		959,085
British Pound		3/18/2019		1,228		96,931,425		98,163,250		(1,231,825	)
CAC 40^®		1/18/2019		745		41,116,129		40,361,696		754,433
Canadian Dollar		3/19/2019		3,260		242,207,535		239,642,600		2,564,935
DAX		3/15/2019		141		43,888,729		42,655,444		1,233,285
E-mini Dow		3/15/2019		110		12,411,610		12,797,400		(385,790	)
E-mini NASDAQ 100		3/15/2019		41		5,106,060		5,193,265		(87,205	)
E-mini Russell 2000		3/15/2019		446		31,078,660		30,082,700		995,960
E-mini S&P 500^®		3/15/2019		163		20,066,138		20,417,381		(351,243	)
E-mini S&P MidCap 400^®		3/15/2019		179		30,541,710		29,753,380		788,330
Euro		3/18/2019		1,496		214,162,638		215,470,751		(1,308,113	)
EURO STOXX 50^®		3/15/2019		1,099		38,608,315		37,447,980		1,160,335
FTSE 100 Index		3/15/2019		461		39,635,375		39,127,651		507,724
FTSE MIB		3/15/2019		353		37,547,076		36,817,050		730,026
FTSE/JSE Top 40 Index		3/20/2019		580		18,235,739		18,970,384		(734,645	)
Hang Seng China Enterprises Index		1/30/2019		384		24,842,149		24,769,606		72,543
Hang Seng Index^®		1/30/2019		121		19,931,971		19,975,314		(43,343	)
IBEX 35		1/18/2019		439		43,877,818		42,839,659		1,038,159
MSCI EAFE Index		3/15/2019		550		47,998,110		47,190,000		808,110
MSCI Emerging Markets Index		3/15/2019		716		35,339,850		34,611,440		728,410
MSCI Singapore		1/30/2019		808		20,166,000		20,257,060		(91,060	)
MSCI Taiwan Index		1/29/2019		501		17,772,975		18,005,940		(232,965	)
Nikkei 225™		3/07/2019		101		19,340,450		18,429,816		910,634

See accompanying notes to financial statements.

| 38

Consolidated Portfolio of Investments – as of December 31, 2018

ASG Managed Futures Strategy Fund – (continued)


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
OMXS30^®		1/18/2019		2,428	$	39,493,823	$	38,578,927	$	914,896
S&P/TSX 60 Index		3/14/2019		370		47,404,624		46,469,529		935,095
TOPIX		3/07/2019		270		39,073,081		36,790,748		2,282,333

Total									$	14,107,101


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/20/2019		1,122	$	54,276,750	$	51,836,400	$	2,440,350
Brent Crude Oil		1/31/2019		516		29,595,350		27,760,800		1,834,550
Coffee		3/19/2019		437		18,741,469		16,690,669		2,050,800
Copper		3/27/2019		473		32,724,025		31,111,575		1,612,450
Copper LME		3/20/2019		284		43,614,765		42,385,225		1,229,540
Corn		3/14/2019		1,295		24,741,025		24,281,250		459,775
Cotton		3/07/2019		321		11,673,190		11,588,100		85,090
Gasoline		1/31/2019		441		26,646,072		24,117,496		2,528,576
Gold		2/26/2019		235		28,906,110		30,110,550		(1,204,440	)
Low Sulfur Gasoil		2/12/2019		820		43,785,250		41,922,500		1,862,750
New York Harbor ULSD		1/31/2019		436		33,597,392		30,753,173		2,844,219
Nickel LME		3/20/2019		389		25,389,252		24,930,621		458,631
Silver		3/27/2019		318		22,941,095		24,708,600		(1,767,505	)
Soybean		3/14/2019		396		17,235,925		17,721,000		(485,075	)
Soybean Meal		3/14/2019		723		22,409,300		22,405,770		3,530
Soybean Oil		3/14/2019		1,119		18,909,696		18,698,490		211,206
Sugar		2/28/2019		1,206		17,114,294		16,249,161		865,133
Wheat		3/14/2019		250		6,536,863		6,290,625		246,238
WTI Crude Oil		1/22/2019		593		29,976,840		26,928,130		3,048,710
Zinc LME		3/20/2019		230		13,943,750		14,205,375		(261,625	)

Total									$	18,062,903

¹Commodity 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 December 31, 2018


Certificates of Deposit	64.2	%
Commercial Paper	12.4
Time Deposits	8.7
Treasuries	6.2
Other Notes	1.9

Total Investments	93.4
Other assets less liabilities (including forward foreign currency and futures contracts)	6.6

Net Assets	100.0	%

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of December 31, 2018

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks — 60.3% of Net Assets
		Aerospace & Defense — 1.2%
	4,601	Boeing Co. (The)	$	1,483,823
	626	Northrop Grumman Corp.		153,307
	723	United Technologies Corp.		76,985

				1,714,115

		Air Freight & Logistics — 0.6%
	2,013	FedEx Corp.		324,757
	4,741	United Parcel Service, Inc., Class B		462,390

				787,147

		Banks — 2.3%
	62,599	Bank of America Corp.		1,542,439
	6,361	Fifth Third Bancorp		149,674
	8,088	JPMorgan Chase & Co.		789,551
	14,764	U.S. Bancorp		674,715
	4,210	Wells Fargo & Co.		193,997

				3,350,376

		Beverages — 1.0%
	16,590	Coca-Cola Co. (The)		785,537
	5,298	PepsiCo, Inc.		585,323

				1,370,860

		Biotechnology — 0.9%
	3,256	Amgen, Inc.		633,846
	5,082	Gilead Sciences, Inc.		317,879
	2,296	Vertex Pharmaceuticals, Inc.(a)		380,470

				1,332,195

		Building Products — 0.1%
	2,599	Allegion PLC		207,166

		Capital Markets — 2.4%
	11,972	Bank of New York Mellon Corp. (The)		563,522
	1,620	BlackRock, Inc.		636,368
	4,308	CME Group, Inc.		810,421
	8,480	Intercontinental Exchange, Inc.		638,799
	1,629	Moody’s Corp.		228,125
	2,069	MSCI, Inc.		305,033
	1,764	S&P Global, Inc.		299,774

				3,482,042

		Chemicals — 1.3%
	943	Air Products & Chemicals, Inc.		150,927
	9,378	DowDuPont, Inc.		501,536
	1,403	Eastman Chemical Co.		102,573
	1,961	Ecolab, Inc.		288,953
	1,573	Linde PLC		245,451
	8,701	Mosaic Co. (The)		254,156

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of December 31, 2018

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


Shares		Description	Value (†)		��
		Chemicals — continued
	1,333	PPG Industries, Inc.	$	136,273
	418	Sherwin-Williams Co. (The)		164,466

				1,844,335

		Commercial Services & Supplies — 0.9%
	3,034	Cintas Corp.		509,682
	7,957	Waste Management, Inc.		708,093

				1,217,775

		Communications Equipment — 0.8%
	27,228	Cisco Systems, Inc.		1,179,789

		Containers & Packaging — 0.1%
	2,725	WestRock Co.		102,896

		Distributors — 0.1%
	1,878	Genuine Parts Co.		180,326

		Diversified Financial Services — 1.7%
	11,929	Berkshire Hathaway, Inc., Class B(a)		2,435,663

		Diversified Telecommunication Services — 1.2%
	6,483	AT&T, Inc.		185,025
	27,126	Verizon Communications, Inc.		1,525,024

				1,710,049

		Electric Utilities — 1.1%
	3,056	Alliant Energy Corp.		129,116
	2,699	American Electric Power Co., Inc.		201,723
	3,845	Duke Energy Corp.		331,824
	5,881	Exelon Corp.		265,233
	2,354	NextEra Energy, Inc.		409,172
	8,299	PPL Corp.		235,111

				1,572,179

		Electrical Equipment — 0.2%
	4,506	Eaton Corp. PLC		309,382

		Energy Equipment & Services — 0.4%
	16,386	Schlumberger Ltd.		591,207

		Entertainment — 1.7%
	2,125	Netflix, Inc.(a)		568,777
	10,166	Twenty-First Century Fox, Inc., Class A		489,188
	6,560	Twenty-First Century Fox, Inc., Class B		313,437
	10,129	Walt Disney Co. (The)		1,110,645

				2,482,047

		Food & Staples Retailing — 1.6%
	5,413	Costco Wholesale Corp.		1,102,682
	10,320	Sysco Corp.		646,651
	5,626	Walmart, Inc.		524,062

				2,273,395

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of December 31, 2018

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


Shares		Description	Value (†)
		Food Products — 0.8%
	13,459	Archer-Daniels-Midland Co.	$	551,415
	2,916	Kellogg Co.		166,241
	1,494	McCormick & Co., Inc.		208,025
	6,505	Mondelez International, Inc., Class A		260,395

				1,186,076

		Health Care Equipment & Supplies — 2.0%
	3,146	Becton Dickinson and Co.		708,857
	719	Cooper Cos., Inc. (The)		182,986
	7,263	Danaher Corp.		748,961
	7,041	Medtronic PLC		640,449
	4,086	Stryker Corp.		640,480

				2,921,733

		Health Care Providers & Services — 1.8%
	4,661	Centene Corp.(a)		537,413
	6,232	CVS Health Corp.		408,321
	6,762	UnitedHealth Group, Inc.		1,684,549

				2,630,283

		Hotels, Restaurants & Leisure — 0.9%
	581	Chipotle Mexican Grill, Inc.(a)		250,870
	2,241	Marriott International, Inc., Class A		243,283
	3,316	McDonald’s Corp.		588,822
	1,894	Royal Caribbean Cruises Ltd.		185,214

				1,268,189

		Household Durables — 0.3%
	3,600	Garmin Ltd.		227,952
	330	Lennar Corp., Class A		12,920
	6,190	PulteGroup, Inc.		160,878

				401,750

		Household Products — 0.7%
	2,184	Kimberly-Clark Corp.		248,845
	8,862	Procter & Gamble Co. (The)		814,595

				1,063,440

		Independent Power & Renewable Electricity Producers — 0.1%
	4,032	NRG Energy, Inc.		159,667

		Industrial Conglomerates — 0.7%
	3,423	3M Co.		652,218
	2,565	Honeywell International, Inc.		338,888

				991,106

		Insurance — 1.6%
	4,030	Aon PLC		585,801
	3,465	Assurant, Inc.		309,910
	5,042	Chubb Ltd.		651,325
	2,487	Lincoln National Corp.		127,608

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of December 31, 2018

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


Shares		Description	Value (†)
		Insurance — continued
	2,017	Torchmark Corp.	$	150,327
	2,881	Willis Towers Watson PLC		437,509

				2,262,480

		Interactive Media & Services — 2.4%
	1,092	Alphabet, Inc., Class A(a)		1,141,096
	1,124	Alphabet, Inc., Class C(a)		1,164,026
	8,767	Facebook, Inc., Class A(a)		1,149,266

				3,454,388

		Internet & Direct Marketing Retail — 2.5%
	2,125	Amazon.com, Inc.(a)		3,191,686
	243	Booking Holdings, Inc.(a)		418,548

				3,610,234

		IT Services — 1.9%
	3,160	Accenture PLC, Class A		445,591
	7,974	Automatic Data Processing, Inc.		1,045,551
	3,853	Paychex, Inc.		251,023
	7,471	Visa, Inc., Class A		985,724

				2,727,889

		Life Sciences Tools & Services — 1.0%
	5,015	Agilent Technologies, Inc.		338,312
	4,031	Thermo Fisher Scientific, Inc.		902,098
	994	Waters Corp.(a)		187,518

				1,427,928

		Machinery — 1.0%
	1,305	Caterpillar, Inc.		165,826
	2,367	Deere & Co.		353,086
	4,003	Fortive Corp.		270,843
	2,761	Illinois Tool Works, Inc.		349,791
	1,527	Snap-on, Inc.		221,858

				1,361,404

		Media — 0.8%
	31,408	Comcast Corp., Class A		1,069,442

		Metals & Mining — 0.2%
	10,064	Newmont Mining Corp.		348,718

		Multi-Utilities — 0.8%
	3,336	CMS Energy Corp.		165,633
	7,422	Consolidated Edison, Inc.		567,486
	2,803	Dominion Energy, Inc.		200,302
	1,549	Sempra Energy		167,586

				1,101,007

		Multiline Retail — 0.2%
	3,143	Dollar General Corp.		339,695

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of December 31, 2018

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


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 2.8%
	14,458	Cabot Oil & Gas Corp.	$	323,136
	15,664	Chevron Corp.		1,704,087
	308	Concho Resources, Inc.(a)		31,659
	3,622	EOG Resources, Inc.		315,875
	5,714	Exxon Mobil Corp.		389,638
	7,341	Hess Corp.		297,310
	6,599	ONEOK, Inc.		356,016
	2,959	Phillips 66		254,918
	3,420	Valero Energy Corp.		256,397

				3,929,036

		Pharmaceuticals — 3.7%
	5,582	Eli Lilly & Co.		645,949
	10,089	Johnson & Johnson		1,301,985
	20,965	Merck & Co., Inc.		1,601,936
	23,734	Pfizer, Inc.		1,035,989
	7,424	Zoetis, Inc.		635,049

				5,220,908

		Professional Services — 0.2%
	849	Equifax, Inc.		79,068
	1,529	Verisk Analytics, Inc.(a)		166,722

				245,790

		REITs – Apartments — 0.4%
	2,278	AvalonBay Communities, Inc.		396,486
	513	Essex Property Trust, Inc.		125,793

				522,279

		REITs – Diversified — 0.8%
	4,568	American Tower Corp.		722,612
	1,003	Crown Castle International Corp.		108,956
	446	Equinix, Inc.		157,242
	2,356	Vornado Realty Trust		146,142

				1,134,952

		REITs – Office Property — 0.1%
	1,112	Boston Properties, Inc.		125,156

		REITs – Regional Malls — 0.2%
	1,692	Simon Property Group, Inc.		284,239

		REITs – Shopping Centers — 0.1%
	854	Federal Realty Investment Trust		100,806
	965	Regency Centers Corp.		56,626

				157,432

		REITs – Storage — 0.2%
	1,563	Public Storage		316,367

		Road & Rail — 0.7%
	6,229	CSX Corp.		387,008
	4,824	Union Pacific Corp.		666,821

				1,053,829

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of December 31, 2018

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


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 2.1%
	2,568	Analog Devices, Inc.	$	220,411
	2,335	Broadcom, Inc.		593,744
	26,699	Intel Corp.		1,252,984
	1,827	Lam Research Corp.		248,783
	1,948	NVIDIA Corp.		260,058
	8,569	QUALCOMM, Inc.		487,662

				3,063,642

		Software — 5.6%
	6,202	Adobe, Inc.(a)		1,403,141
	3,293	ANSYS, Inc.(a)		470,701
	6,248	Citrix Systems, Inc.		640,170
	1,631	Intuit, Inc.		321,062
	34,775	Microsoft Corp.		3,532,097
	1,570	Red Hat, Inc.(a)		275,755
	9,722	salesforce.com, inc.(a)		1,331,622

				7,974,548

		Specialty Retail — 1.4%
	234	AutoZone, Inc.(a)		196,172
	5,025	Home Depot, Inc. (The)		863,395
	4,409	Lowe’s Cos., Inc.		407,215
	601	O’Reilly Automotive, Inc.(a)		206,942
	6,020	TJX Cos., Inc. (The)		269,335

				1,943,059

		Technology Hardware, Storage & Peripherals — 1.7%
	15,435	Apple, Inc.		2,434,717

		Textiles, Apparel & Luxury Goods — 0.6%
	9,110	NIKE, Inc., Class B		675,415
	2,073	VF Corp.		147,888

				823,303

		Tobacco — 0.3%
	7,221	Philip Morris International, Inc.		482,074

		Water Utilities — 0.1%
	1,746	American Water Works Co., Inc.		158,484

		Total Common Stocks (Identified Cost $75,280,605)		86,338,188

Principal Amount
	Short-Term Investments — 38.3%
		Certificates of Deposit — 24.1%
$	1,000,000	Commonwealth Bank of Australia (NY),1-month LIBOR + 0.260%, 2.609%, 1/03/2019(b)		1,000,018
	1,500,000	Landesbank Hessen (NY), 2.430%, 1/16/2019		1,499,959
	5,000,000	Norinchukin Bank (NY), 2.480%, 1/17/2019		4,999,999
	2,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.560%, 1/25/2019		1,999,916

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of December 31, 2018

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


Principal Amount		Description	Value (†)
		Certificates of Deposit — continued
$	3,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019(c)	$	2,999,489
	3,000,000	Swedbank (NY),1-month LIBOR + 0.200%, 2.621%, 2/12/2019(b)(c)		3,000,534
	3,000,000	Credit Industriel et Commercial (NY), 2.780%, 3/20/2019		3,000,332
	3,000,000	National Bank of Canada (NY),1-month LIBOR + 0.150%, 2.537%, 4/10/2019(b)		2,999,757
	2,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg),3-month LIBOR + 0.100%, 2.740%, 5/17/2019(b)(c)		1,999,766
	2,000,000	Westpac Banking Corp. (NY),1-month LIBOR + 0.270%, 2.740%, 5/20/2019(b)(c)		1,999,982
	2,000,000	Svenska Handelsbanken (NY),1-month LIBOR + 0.280%, 2.680%, 6/11/2019(b)		1,999,878
	1,000,000	Royal Bank of Canada (NY),1-month LIBOR + 0.310%, 2.731%, 6/12/2019(b)(c)		999,997
	2,000,000	Royal Bank of Canada (NY),3-month LIBOR + 0.130%, 2.544%, 7/10/2019(b)(c)		1,999,996
	4,000,000	Bank of Montreal (IL),3-month LIBOR + 0.110%, 2.518%, 10/04/2019(b)(c)		3,997,033

				34,496,656

		Time Deposits — 10.6%
	1,750,000	Skandinaviska Enskilda Banken (NY), 2.340%, 1/02/2019(d)		1,750,000
	6,700,000	Canadian Imperial Bank of Commerce, 2.350%, 1/02/2019		6,700,000
	6,700,000	National Bank of Kuwait, 2.370%, 1/02/2019(d)		6,700,000

				15,150,000

		Commercial Paper — 2.5%
	1,600,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.575%, 1/24/2019(e)		1,597,290
	1,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.454%, 1/04/2019(e)		999,726
	1,000,000	ING (U.S.) Funding LLC,1-month LIBOR + 0.310%, 2.647%, 6/03/2019(b)		1,000,123

				3,597,139

		Other Notes — 0.7%
	1,000,000	Bank of America NA, 2.450%, 2/12/2019(c)		999,964

		Treasuries — 0.4%
	525,000	U.S. Treasury Bills, 2.282%, 1/03/2019(e)(f)		524,967

		Total Short-Term Investments (Identified Cost $54,772,126)		54,768,726


		Total Investments — 98.6% (Identified Cost $130,052,731)		141,106,914
		Other assets less liabilities — 1.4%		1,968,336

		Net Assets — 100.0%	$	143,075,250


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Variable rate security. Rate as of December 31, 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 December 31, 2018 is disclosed.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of December 31, 2018

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



	(f)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

	LIBOR			London Interbank Offered Rate
	REITs			Real Estate Investment Trusts

At December 31, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		3/15/2019		178	$	23,609,723	$	22,296,280	$	(1,313,443	)

Industry Summary at December 31, 2018


Software	5.6	%
Pharmaceuticals	3.7
Oil, Gas & Consumable Fuels	2.8
Internet & Direct Marketing Retail	2.5
Capital Markets	2.4
Interactive Media & Services	2.4
Banks	2.3
Semiconductors & Semiconductor Equipment	2.1
Health Care Equipment & Supplies	2.0
Other Investments, less than 2% each	34.5
Short-Term Investments	38.3

Total Investments	98.6
Other assets less liabilities (including futures contracts)	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

47 |

This Page Intentionally Left Blank

| 48

Statements of Assets and Liabilities

December 31, 2018


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
ASSETS
Investments at cost	$	36,818,212		$	1,188,685,736		$	1,931,688,323
Net unrealized appreciation (depreciation)		83,477			(15,674,740	)		(36,099	)

Investments at value		36,901,689			1,173,010,996			1,931,652,224
Cash		73,649			5,553,053			30,366,792
Due from brokers (including variation margin on futures contracts) (Note 2)		27,523			28,083,443			66,516,049
Receivable for Fund shares sold		326,406			7,520,048			39,303,804
Receivable for securities sold		955,457			186,029			—
Dividends and interest receivable		51,599			2,538,351			5,130,660
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			1,364,715			3,307,241
Unrealized appreciation on futures contracts (Note 2)		296,365			9,536,689			67,895,826
Prepaid expenses (Note 8)		23			754			1,707

TOTAL ASSETS		38,632,711			1,227,794,078			2,144,174,303

LIABILITIES
Payable for securities purchased		—			45,186			—
Payable for Fund shares redeemed		32,793			8,266,333			26,721,661
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			33,320			5,644,932
Due to brokers (including variation margin on futures contracts) (Note 2)		32,324			—			28,450,897
Unrealized depreciation on futures contracts (Note 2)		172,297			22,090,666			11,785,858
Management fees payable (Note 6)		10,015			1,207,696			2,298,579
Deferred Trustees’ fees (Note 6)		18,035			222,092			193,814
Administrative fees payable (Note 6)		1,348			61,656			143,578
Payable to distributor (Note 6d)		642			23,472			77,585
Other accounts payable and accrued expenses		73,624			222,676			521,204

TOTAL LIABILITIES		341,078			32,173,097			75,838,108

NET ASSETS	$	38,291,633		$	1,195,620,981		$	2,068,336,195

NET ASSETS CONSIST OF:
Paid-in capital	$	40,887,627		$	1,362,625,876		$	2,402,745,472
Accumulated loss		(2,595,994	)		(167,004,895	)		(334,409,277	)

NET ASSETS	$	38,291,633		$	1,195,620,981		$	2,068,336,195

See accompanying notes to financial statements.

49 |

Statements of Assets and Liabilities (continued)

December 31, 2018


	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	$	322,957	$	33,648,757	$	133,995,883

Shares of beneficial interest		33,272		3,287,298		14,937,513

Net asset value and redemption price per share	$	9.71	$	10.24	$	8.97

Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.30	$	10.86	$	9.52

Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	13,526	$	15,536,573	$	29,420,727

Shares of beneficial interest		1,400		1,620,633		3,455,913

Net asset value and offering price per share	$	9.66	$	9.59	$	8.51

Class N shares:
Net assets	$	—	$	14,377,452	$	67,957,241

Shares of beneficial interest		—		1,382,825		7,490,270

Net asset value, offering and redemption price per share	$	—	$	10.40	$	9.07

Class Y shares:
Net assets	$	37,955,150	$	1,132,058,199	$	1,836,962,344

Shares of beneficial interest		3,902,443		108,828,876		202,803,429

Net asset value, offering and redemption price per share	$	9.73	$	10.40	$	9.06

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

See accompanying notes to financial statements.

| 50

Statements of Assets and Liabilities (continued)

December 31, 2018


	ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	130,052,731
Net unrealized appreciation		11,054,183

Investments at value		141,106,914
Cash		407,489
Due from brokers (including variation margin on futures contracts) (Note 2)		2,160,472
Receivable for Fund shares sold		966,129
Dividends and interest receivable		238,180
Prepaid expenses (Note 8)		86

TOTAL ASSETS		144,879,270

LIABILITIES
Payable for securities purchased		88,814
Payable for Fund shares redeemed		194,801
Unrealized depreciation on futures contracts (Note 2)		1,313,443
Management fees payable (Note 6)		88,142
Deferred Trustees’ fees (Note 6)		43,679
Administrative fees payable (Note 6)		5,203
Payable to distributor (Note 6d)		1,677
Other accounts payable and accrued expenses		68,261

TOTAL LIABILITIES		1,804,020

NET ASSETS	$	143,075,250

NET ASSETS CONSIST OF:
Paid-in capital	$	140,801,119
Accumulated earnings		2,274,131

NET ASSETS	$	143,075,250

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	18,978,122

Shares of beneficial interest		1,434,475

Net asset value and redemption price per share	$	13.23

Offering price per share (100/94.25 of net asset value) (Note 1)	$	14.04

Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	3,109,557

Shares of beneficial interest		242,160

Net asset value and offering price per share	$	12.84

Class Y shares:
Net assets	$	120,987,571

Shares of beneficial interest		9,121,651

Net asset value, offering and redemption price per share	$	13.26

See accompanying notes to financial statements.

51 |

Statements of Operations

For the Year Ended December 31, 2018


	ASG Dynamic Allocation Fund			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
INVESTMENT INCOME
Interest	$	460,445		$	26,366,274		$	58,269,729
Dividends		500,637			3,774,378			—
Less net foreign taxes withheld		—			(4,420	)		—

		961,082			30,136,232			58,269,729

Expenses
Management fees (Note 6)		291,230			16,203,602			37,230,373
Service and distribution fees (Note 6)		1,154			307,927			981,061
Administrative fees (Note 6)		18,267			684,046			1,520,976
Trustees’ and directors’ fees and expenses (Note 6)		16,007			67,471			109,129
Transfer agent fees and expenses (Notes 6 and 7)		58,227			830,358			3,181,196
Audit and tax services fees		60,057			75,633			76,651
Custodian fees and expenses		21,252			149,530			547,101
Legal fees		928			33,432			72,074
Registration fees		58,131			92,003			164,580
Shareholder reporting expenses		9,821			101,963			330,318
Miscellaneous expenses (Note 8)		27,198			102,706			262,966

Total expenses		562,272			18,648,671			44,476,425
Less waiver and/or expense reimbursement (Note 6)		(186,268	)		(149,756	)		(6,258	)

Net expenses		376,004			18,498,915			44,470,167

Net investment income		585,078			11,637,317			13,799,562

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		155,408			2,303,027			(1,026	)
Futures contracts		(2,766,922	)		(34,658,963	)		(412,036,796	)
Forward foreign currency contracts (Note 2e)		—			(478,998	)		(7,591,404	)
Foreign currency transactions (Note 2d)		27,889			168,181			1,287,378
Net change in unrealized appreciation (depreciation) on:
Investments		(1,853,980	)		(16,491,863	)		(193,822	)
Futures contracts		(93,811	)		(39,961,856	)		(2,538,365	)
Forward foreign currency contracts (Note 2e)		—			906,435			(3,986,882	)
Foreign currency translations (Note 2d)		(5,925	)		(103,528	)		182,616

Net realized and unrealized loss on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(4,537,341	)		(88,317,565	)		(424,878,301	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(3,952,263	)	$	(76,680,248	)	$	(411,078,739	)

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

See accompanying notes to financial statements.

| 52

Statements of Operations (continued)

For the Year Ended December 31, 2018


	ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	1,209,596
Dividends		1,898,703

		3,108,299

Expenses
Management fees (Note 6)		1,317,848
Service and distribution fees (Note 6)		104,678
Administrative fees (Note 6)		72,251
Trustees’ fees and expenses (Note 6)		19,240
Transfer agent fees and expenses (Notes 6 and 7)		162,371
Audit and tax services fees		47,303
Custodian fees and expenses		34,355
Legal fees		3,463
Registration fees		77,307
Shareholder reporting expenses		14,788
Miscellaneous expenses (Note 8)		19,595

Total expenses		1,873,199
Less waiver and/or expense reimbursement (Note 6)		(137,684	)

Net expenses		1,735,515

Net investment income		1,372,784

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FUTURES CONTRACTS
Net realized (loss) on:
Investments		(4,779,512	)
Futures contracts		(1,583,255	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,326,165	)
Futures contracts		(2,276,488	)

Net realized and unrealized loss on investments and futures contracts		(10,965,420	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(9,592,636	)

See accompanying notes to financial statements.

53 |

Statements of Changes in Net Assets


	ASG Dynamic Allocation Fund						ASG Global Alternatives Fund (Consolidated*)
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2018			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income (loss)	$	585,078		$	315,097		$	11,637,317		$	(114,977	)
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(2,583,625	)		3,697,590			(32,666,753	)		138,187,432
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		(1,953,716	)		2,086,286			(55,650,812	)		21,328,833

Net increase (decrease) in net assets resulting from operations		(3,952,263	)		6,098,973			(76,680,248	)		159,401,288

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(8,397	)		(11,362	)(a)		(360,700	)		(218,658	)(a)
Class C		(1,104	)		(1,253	)(a)		(34,318	)		—	(a)
Class N		—			—			(202,207	)		(81,222	)(a)
Class Y		(1,414,283	)		(3,533,823	)(a)		(15,628,566	)		(11,576,186	)(a)

Total distributions		(1,423,784	)		(3,546,438	)		(16,225,791	)		(11,876,066	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		3,947,444			14,795,679			(355,923,631	)		(131,973,372	)

Net increase (decrease) in net assets		(1,428,603	)		17,348,214			(448,829,670	)		15,551,850
NET ASSETS
Beginning of the year		39,720,236			22,372,022			1,644,450,651			1,628,898,801

End of the year	$	38,291,633		$	39,720,236		$	1,195,620,981		$	1,644,450,651

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

(a)	See Note 2h of Notes to Financial Statements.

See accompanying notes to financial statements.

| 54

Statements of Changes in Net Assets (continued)


	ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2018			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income (loss)	$	13,799,562		$	(11,995,451	)	$	1,372,784		$	536,023
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(418,341,848	)		179,814,183			(6,362,767	)		8,950,892
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		(6,536,453	)		32,396,435			(4,602,653	)		9,049,914

Net increase (decrease) in net assets resulting from operations		(411,078,739	)		200,215,167			(9,592,636	)		18,536,829

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(2,716,878	)		—	(a)		(981,219	)		(799,172	)(a)
Class C		(613,754	)		—	(a)		(49,251	)		(101,661	)(a)
Class N		(127,823	)		(1	)(a)		—			—
Class Y		(34,974,523	)		(2,037,868	)(a)		(3,351,345	)		(4,275,295	)(a)

Total distributions		(38,432,978	)		(2,037,869	)		(4,381,815	)		(5,176,128	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(938,960,031	)		94,291,257			53,688,562			21,173,988

Net increase (decrease) in net assets		(1,388,471,748	)		292,468,555			39,714,111			34,534,689
NET ASSETS
Beginning of the year		3,456,807,943			3,164,339,388			103,361,139			68,826,450

End of the year	$	2,068,336,195		$	3,456,807,943		$	143,075,250		$	103,361,139

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

(a)	See Note 2h of Notes to Financial Statements.

See accompanying notes to financial statements.

55 |

Financial Highlights

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class A
	Year Ended December 31, 2018			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)		0.14			0.10			0.03			0.01
Net realized and unrealized gain (loss)		(1.19	)		1.99			0.21			(0.14	)

Total from Investment Operations		(1.05	)		2.09			0.24			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.07	)		(0.02	)		(0.01	)
Net realized capital gains		(0.21	)		(1.00	)		—			—

Total Distributions		(0.34	)		(1.07	)		(0.02	)		(0.01	)

Net asset value, end of the period	$	9.71		$	11.10		$	10.08		$	9.86

Total return(b)(c)		(9.61	)%		20.79	%		2.41	%		(1.28	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	323		$	134		$	29		$	1
Net expenses(e)		1.15	%		1.17	%(f)		1.17	%(g)		1.15	%(h)
Gross expenses		1.62	%		1.74	%(f)		1.80	%(g)		3.96	%(h)
Net investment income		1.31	%		0.90	%		0.31	%		1.19	%(h)
Portfolio turnover rate		46	%		8	%		115	%(i)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

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

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

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

(d)	Periods less than one year, 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)	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%.

(g)	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%.

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

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. Bymid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class C
	Year Ended December 31, 2018			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)		0.04			(0.00	)(b)		(0.07	)		(0.00	)(b)
Net realized and unrealized gain (loss)		(1.16	)		1.99			0.23			(0.14	)

Total from Investment Operations		(1.12	)		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	$	9.66		$	10.99		$	10.01		$	9.85

Total return(c)(d)		(10.30	)%		19.92	%		1.63	%		(1.37	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14		$	15		$	9		$	8
Net expenses(f)		1.90	%		1.92	%(g)		1.91	%(h)		1.90	%(i)
Gross expenses		2.34	%		2.49	%(g)		2.51	%(h)		4.72	%(i)
Net investment income (loss)		0.37	%		(0.02	)%		(0.75	)%		(0.16	)%(i)
Portfolio turnover rate		46	%		8	%		115	%(j)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

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

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

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

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

(e)	Periods less than one year, 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)	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%.

(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 2.50%.

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

(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. Bymid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Dynamic Allocation Fund—Class Y
	Year Ended December 31, 2018			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)		0.15			0.11			0.03			0.01
Net realized and unrealized gain (loss)		(1.18	)		2.01			0.23			(0.14	)

Total from Investment Operations		(1.03	)		2.12			0.26			(0.13	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.09	)		(0.03	)		(0.01	)
Net realized capital gains		(0.21	)		(1.00	)		—			—

Total Distributions		(0.36	)		(1.09	)		(0.03	)		(0.01	)

Net asset value, end of the period	$	9.73		$	11.12		$	10.09		$	9.86

Total return(b)		(9.39	)%		21.19	%		2.57	%		(1.26	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	37,955		$	39,571		$	22,334		$	20,095
Net expenses(d)		0.90	%		0.92	%(e)		0.91	%(f)		0.90	%(g)
Gross expenses		1.35	%		1.50	%(e)		1.54	%(f)		3.72	%(g)
Net investment income		1.41	%		0.95	%		0.32	%		1.39	%(g)
Portfolio turnover rate		46	%		8	%		115	%(h)		11	%

*	From commencement of operations on November 30, 2015 through December 31, 2015.

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

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

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

(d)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.48%.

(f)	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%.

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

(h)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. Bymid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

See accompanying notes to financial statements.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


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

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.06			(0.03	)		(0.09	)		(0.14	)		(0.15	)
Net realized and unrealized gain (loss)		(0.75	)		1.10			(0.37	)		(0.12	)		0.53

Total from Investment Operations		(0.69	)		1.07			(0.46	)		(0.26	)		0.38

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(0.05	)		—			—			—
Net realized capital gains		—			—			—			(0.38	)		(0.59	)

Total Distributions		(0.11	)		(0.05	)		—			(0.38	)		(0.59	)

Net asset value, end of the period	$	10.24		$	11.04		$	10.02		$	10.48		$	11.12

Total return(b)		(6.35	)%(c)		10.66	%		(4.39	)%		(2.69	)%		3.53	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	33,649		$	49,904		$	76,207		$	224,951		$	150,462
Net expenses		1.54	%(d)		1.57	%(e)(f)		1.56	%(g)		1.53	%(h)		1.55	%(i)
Gross expenses		1.55	%		1.57	%(f)		1.56	%(g)		1.53	%(h)		1.55	%(i)
Net investment income (loss)		0.58	%		(0.26	)%		(0.93	)%		(1.27	)%		(1.34	)%
Portfolio turnover rate(j)		59	%		—	%		—	%		—	%		—	%

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

(d)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f)	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%.

(g)	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%.

(h)	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%.

(i)	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%.

(j)	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.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


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

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.10	)		(0.15	)		(0.21	)		(0.22	)
Net realized and unrealized gain (loss)		(0.70	)		1.03			(0.36	)		(0.11	)		0.50

Total from Investment Operations		(0.72	)		0.93			(0.51	)		(0.32	)		0.28

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

Total Distributions		(0.02	)		—			—			(0.38	)		(0.59	)

Net asset value, end of the period	$	9.59		$	10.33		$	9.40		$	9.91		$	10.61

Total return(b)		(7.09	)%(c)		9.89	%		(5.15	)%		(3.40	)%		2.73	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	15,537		$	24,521		$	38,412		$	95,885		$	87,941
Net expenses		2.29	%(d)		2.32	%(e)(f)		2.31	%(g)		2.28	%(h)		2.31	%(i)
Gross expenses		2.30	%		2.32	%(f)		2.31	%(g)		2.28	%(h)		2.31	%(i)
Net investment loss		(0.17	)%		(1.00	)%		(1.68	)%		(2.03	)%		(2.10	)%
Portfolio turnover rate(j)		59	%		—	%		—	%		—	%		—	%

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

(d)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)	Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%.

(f)	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%.

(g)	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%.

(h)	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%.

(i)	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%.

(j)	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.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Global Alternatives Fund (Consolidated)—Class N**
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	11.22		$	10.19		$	10.63		$	11.24		$	11.42

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.10			0.01			(0.06	)		(0.11	)		(0.12	)
Net realized and unrealized gain (loss)		(0.77	)		1.11			(0.38	)		(0.12	)		0.53

Total from Investment Operations		(0.67	)		1.12			(0.44	)		(0.23	)		0.41

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.09	)		—			—			—
Net realized capital gains		—			—			—			(0.38	)		(0.59	)

Total Distributions		(0.15	)		(0.09	)		—			(0.38	)		(0.59	)

Net asset value, end of the period	$	10.40		$	11.22		$	10.19		$	10.63		$	11.24

Total return		(6.08	)%(b)		10.98	%		(4.05	)%		(2.48	)%		3.77	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14,377		$	10,376		$	9,639		$	10,476		$	1
Net expenses		1.24	%(c)		1.26	%(d)(e)		1.24	%(f)		1.23	%(g)		1.27	%(c)(h)
Gross expenses		1.25	%		1.26	%(e)		1.24	%(f)		1.23	%(g)		7.42	%(h)
Net investment income (loss)		0.94	%		0.09	%		(0.56	)%		(0.97	)%		(1.07	)%
Portfolio turnover rate(i)		59	%		—	%		—	%		—	%		—	%

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

(c)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(e)	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%.

(f)	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%.

(g)	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%.

(h)	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%.

(i)	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.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


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

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.09			0.00	(b)		(0.07	)		(0.12	)		(0.12	)
Net realized and unrealized gain (loss)		(0.77	)		1.11			(0.38	)		(0.11	)		0.53

Total from Investment Operations		(0.68	)		1.11			(0.45	)		(0.23	)		0.41

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.08	)		—			—			—
Net realized capital gains		—			—			—			(0.38	)		(0.59	)

Total Distributions		(0.14	)		(0.08	)		—			(0.38	)		(0.59	)

Net asset value, end of the period	$	10.40		$	11.22		$	10.19		$	10.64		$	11.25

Total return		(6.04	)%(c)		10.93	%		(4.23	)%		(2.38	)%		3.77	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,132,058		$	1,559,650		$	1,504,641		$	3,344,101		$	2,786,510
Net expenses		1.29	%(d)		1.32	%(e)(f)		1.31	%(g)		1.28	%(h)		1.31	%(g)
Gross expenses		1.30	%		1.32	%(f)		1.31	%(g)		1.28	%(h)		1.31	%(g)
Net investment income (loss)		0.85	%		0.02	%		(0.67	)%		(1.03	)%		(1.10	)%
Portfolio turnover rate(i)		59	%		—	%		—	%		—	%		—	%

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

(d)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f)	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%.

(g)	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%.

(h)	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%.

(i)	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.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


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

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.06	)		(0.12	)		(0.16	)		(0.16	)
Net realized and unrealized gain (loss)		(1.31	)		0.66			(0.47	)		0.06	(b)		2.37

Total from Investment Operations		(1.29	)		0.60			(0.59	)		(0.10	)		2.21

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	$	8.97		$	10.38		$	9.78		$	10.37		$	10.98

Total return(c)		(12.55	)%		6.13	%		(5.69	)%(d)		(1.38	)%		21.76	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	133,996		$	299,505		$	463,235		$	486,160		$	137,991
Net expenses		1.70	%		1.75	%(e)(f)		1.74	%(g)(h)		1.73	%(e)(i)		1.72	%(h)(j)
Gross expenses		1.70	%		1.75	%(e)(f)		1.75	%(g)		1.73	%(e)(i)		1.76	%(j)
Net investment income (loss)		0.21	%		(0.61	)%		(1.11	)%		(1.48	)%		(1.53	)%
Portfolio turnover rate(k)		—	%		—	%		—	%		—	%		—	%

*	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)	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)	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%.

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

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Includes fee/expense recovery of less than 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 1.74%.

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

See accompanying notes to financial statements.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	*ASG Managed Futures Strategy Fund (Consolidated)—Class C**
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	9.93		$	9.42		$	10.07		$	10.69		$	10.03

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

Total from Investment Operations		(1.30	)		0.51			(0.65	)		(0.19	)		2.08

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	$	8.51		$	9.93		$	9.42		$	10.07		$	10.69

Total return(c)		(13.22	)%		5.41	%		(6.45	)%(d)		(2.23	)%		21.01	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,421		$	53,661		$	71,184		$	67,479		$	33,945
Net expenses		2.45	%		2.50	%(e)(f)		2.49	%(g)(h)		2.48	%(e)(f)		2.47	%(h)(i)
Gross expenses		2.45	%		2.50	%(e)(f)		2.50	%(g)		2.48	%(e)(f)		2.51	%(i)
Net investment loss		(0.52	)%		(1.36	)%		(1.86	)%		(2.24	)%		(2.28	)%
Portfolio turnover rate(j)		—	%		—	%		—	%		—	%		—	%

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

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

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

(e)	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%.

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

(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 2.46%.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.49%.

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

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Managed Futures Strategy Fund (Consolidated*)—Class N
	Year Ended December 31, 2018			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)		0.08			(0.01	)
Net realized and unrealized gain (loss)		(1.35	)		0.67

Total from Investment Operations		(1.27	)		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	$	9.07		$	10.46

Total return		(12.26	)%		6.76	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	67,957		$	1,017
Net expenses		1.36	%		1.34	%(c)(d)(e)
Gross expenses		1.36	%		14.83	%(d)(e)
Net investment income (loss)		0.83	%		(0.17	)%(d)
Portfolio turnover rate(f)		—	%		—	%

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

**	From commencement of Class operations on May 1, 2017 through 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. Periods less than one year are not annualized.

(c)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(e)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 14.78%.

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

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


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

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.05			(0.03	)		(0.09	)		(0.14	)			(0.14	)
Net realized and unrealized gain (loss)		(1.33	)		0.67			(0.48	)		0.05	(b)	��		2.40

Total from Investment Operations		(1.28	)		0.64			(0.57	)		(0.09	)			2.26

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

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

Net asset value, end of the period	$	9.06		$	10.46		$	9.83		$	10.40			$	11.01

Total return		(12.35	)%		6.48	%		(5.47	)%(c)		(1.22	)%			22.21	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,836,962		$	3,102,626		$	2,629,920		$	2,133,620			$	1,363,162
Net expenses		1.45	%		1.50	%(d)(e)		1.49	%(f)(g)		1.48	%(d)(e)			1.47	%(f)(h)
Gross expenses		1.45	%		1.50	%(d)(e)		1.50	%(g)		1.48	%(d)(e)			1.51	%(h)
Net investment income (loss)		0.49	%		(0.34	)%		(0.85	)%		(1.24	)%			(1.28	)%
Portfolio turnover rate(i)		—	%		—	%		—	%		—	%			—	%

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

(d)	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%.

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

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%.

(h)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.49%.

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

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	14.11		$	11.83		$	11.41		$	11.85		$	11.02
				��
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.09			0.06			0.04			(0.00	)(b)		(0.01	)
Net realized and unrealized gain (loss)		(0.63	)		2.95			0.43			(0.35	)		1.60

Total from Investment Operations		(0.54	)		3.01			0.47			(0.35	)		1.59

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.06	)		(0.05	)		—			—
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)

Total Distributions		(0.34	)		(0.73	)		(0.05	)		(0.09	)		(0.76	)

Net asset value, end of the period	$	13.23		$	14.11		$	11.83		$	11.41		$	11.85

Total return(c)(d)		(3.88	)%		25.37	%		4.09	%		(3.00	)%		14.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	18,978		$	16,292		$	8,365		$	9,360		$	3,089
Net expenses(e)		1.24	%		1.24	%(f)		1.25	%		1.32	%		1.40	%
Gross expenses		1.32	%		1.44	%		1.40	%		1.39	%		1.57	%
Net investment income (loss)		0.64	%		0.49	%		0.36	%		(0.03	)%		(0.09	)%
Portfolio turnover rate		88	%		18	%		42	%		149	%(g)		62	%

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

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

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

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

(e)	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 1.25% to 1.24%.

(g)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to sales of equity securities to take advantage of opportunities to harvest tax losses.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	13.75		$	11.59		$	11.21		$	11.73		$	11.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.04	)		(0.05	)		(0.09	)		(0.10	)
Net realized and unrealized gain (loss)		(0.60	)		2.87			0.43			(0.34	)		1.59

Total from Investment Operations		(0.61	)		2.83			0.38			(0.43	)		1.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)		(0.00	)(b)		—			—			—
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)

Total Distributions		(0.30	)		(0.67	)		—			(0.09	)		(0.76	)

Net asset value, end of the period	$	12.84		$	13.75		$	11.59		$	11.21		$	11.73

Total return(c)(d)		(4.55	)%		24.37	%		3.39	%		(3.79	)%		13.88	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,110		$	2,190		$	1,973		$	2,202		$	1,468
Net expenses(e)		1.99	%		2.00	%(f)		2.00	%		2.07	%		2.15	%
Gross expenses		2.07	%		2.20	%		2.15	%		2.13	%		2.33	%
Net investment loss		(0.09	)%		(0.28	)%		(0.41	)%		(0.79	)%		(0.86	)%
Portfolio turnover rate		88	%		18	%		42	%		149	%(g)		62	%

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

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

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

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

(e)	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 2.00% to 1.99%.

(g)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to sales of equity securities to take advantage of opportunities to harvest tax losses.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	ASG Tactical U.S. Market Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	14.17		$	11.87		$	11.45		$	11.88		$	11.03

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.10			0.07			0.02			0.01
Net realized and unrealized gain (loss)		(0.64	)		2.96			0.44			(0.34	)		1.61

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

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.09	)		(0.09	)		(0.02	)		(0.01	)
Net realized capital gains		(0.26	)		(0.67	)		—			(0.09	)		(0.76	)

Total Distributions		(0.40	)		(0.76	)		(0.09	)		(0.11	)		(0.77	)

Net asset value, end of the period	$	13.26		$	14.17		$	11.87		$	11.45		$	11.88

Total return(b)		(3.67	)%		25.67	%		4.41	%		(2.74	)%		14.92	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	120,988		$	84,880		$	58,488		$	89,126		$	65,042
Net expenses(c)		0.99	%		0.99	%(d)		1.00	%		1.07	%		1.15	%
Gross expenses		1.07	%		1.19	%		1.15	%		1.14	%		1.32	%
Net investment income		0.90	%		0.73	%		0.58	%		0.20	%		0.10	%
Portfolio turnover rate		88	%		18	%		42	%		149	%(e)		62	%

(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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(e)	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.

69 |

Notes to Financial Statements

December 31, 2018

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 anopen-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 anon-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 A shares are sold with a maximumfront-end sales charge of 5.75%. Class C shares do not pay afront-end sales charge, pay higher Rule12b-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 afront-end sales charge, a CDSC or Rule12b-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 bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through ASG Global Alternatives Cayman Fund Ltd. and

| 70

Notes to Financial Statements (continued)

December 31, 2018

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 December 31, 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	$	17,438,074		1.46	%
Managed Futures Strategy Fund		72,016,798		3.48	%

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 year-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 from broker-dealers. Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price

71 |

Notes to Financial Statements (continued)

December 31, 2018

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 the Fund.

| 72

Notes to Financial Statements (continued)

December 31, 2018

As of December 31, 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
Global Alternatives Fund	$	123,907,482	$	4,544,435		0.38	%
Managed Futures Strategy Fund		519,323,295		11,895,378		0.58	%

*	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 (including income reinvested) and foreign withholding tax, if applicable, is recorded onex-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 apro 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.

73 |

Notes to Financial Statements (continued)

December 31, 2018

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 appreciation (depreciation) 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 tradedover-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 ofmark-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. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). 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 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

| 74

Notes to Financial Statements (continued)

December 31, 2018

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

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g. Due to/from Brokers. Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts (including variation margin, as applicable) and cash pledged as collateral for forward foreign currency contracts. The due to brokers’ balances in the Statements of Assets and Liabilities for the Funds represent net cash and foreign currency debit balances related to futures contracts (including variation margin, as applicable). 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. New Disclosure Requirements. In accordance with new reporting requirements pursuant to RegulationS-X of the Securities and Exchange Commission, presentation of certain amounts on the Statements of Changes in Net Assets for the year ended December 31, 2017 have been conformed to the new disclosure requirements. Where the prior disclosure of Distributions to Shareholders separately stated distributions from net investment income and from net realized capital gains for each share class of the Fund, they are now combined into a single line item for each respective share class. In addition, disclosure of Undistributed Net Investment Income and Distributions in Excess of Net Investment Income, where applicable, has been removed from the Statements of Changes in Net Assets.

The following is a summary of the previously disclosed amounts, as reported at December 31, 2017:


Dynamic Allocation Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(737	)
Class C		(7	)
Class Y		(282,918	)
Net realized capital gains
Class A		(10,625	)
Class C		(1,246	)
Class Y		(3,250,905	)

Total distributions	$	(3,546,438	)

UNDISTRIBUTED NET INVESTMENT INCOME	$	2,411

75 |

Notes to Financial Statements (continued)

December 31, 2018


Global Alternatives Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(218,658	)
Class N		(81,222	)
Class Y		(11,576,186	)

Total distributions	$	(11,876,066	)

UNDISTRIBUTED NET INVESTMENT INCOME	$	820,774


Managed Futures Strategy Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class N	$	(1	)
Class Y		(2,037,868	)

Total distributions	$	(2,037,869	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(2,315,438	)


Tactical U.S. Market Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(63,940	)
Class C		(356	)
Class Y		(482,520	)
Net realized capital gains
Class A		(735,232	)
Class C		(101,305	)
Class Y		(3,792,775	)

Total distributions	$	(5,176,128	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(36,891	)

i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 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 twelve 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.

| 76

Notes to Financial Statements (continued)

December 31, 2018

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.

j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded onex-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, distributionre-designations, deferred Trustees’ fees and Cayman blocker adjustments. 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, futures commissions, wash sales, return of capital distributions received, futures and forward foreign currency contractmark-to-market and Cayman blocker adjustments. 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 net realized short-term capital gains are reported as 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 years ended December 31, 2018 and 2017 were as follows:


	2018 Distributions Paid From:						2017 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Dynamic Allocation Fund	$	1,126,149	$	297,635	$	1,423,784	$	1,985,636	$	1,560,802	$	3,546,438
Global Alternatives Fund		16,225,791		—		16,225,791		11,876,066		—		11,876,066
Managed Futures Strategy Fund		36,963,582		1,469,396		38,432,978		2,037,869		—		2,037,869
Tactical U.S. Market Fund		2,196,408		2,185,407		4,381,815		546,816		4,629,312		5,176,128

77 |

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2017, differences between these amounts and amounts disclosed in Note 2h of the Notes to Financial Statements are primarily attributable to different book and tax treatment for short-term capital gains.

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2018, the components of distributable earnings on a tax basis were as follows:


	Dynamic Allocation Fund			Global Alternatives Fund			Managed Futures Strategy Fund			Tactical U.S. Market Fund
Undistributed ordinary income	$	39,642		$	—		$	—		$	7,077

Capital loss carryforward:
Short-term:
No expiration date		(1,488,695	)		(119,915,368	)		(229,192,727	)		(8,081,408	)
Long-term:
No expiration date		(1,155,183	)		(12,947,398	)		(112,507,052	)		(571,240	)

Total capital loss carryforward		(2,643,878	)		(132,862,766	)		(341,699,779	)		(8,652,648	)

Late-year ordinary and post-October capital loss deferrals*		—			(5,255,855	)		(11,646,072	)		—

Unrealized appreciation (depreciation)		26,277			(28,664,181	)		19,130,388			10,963,381

Total accumulated earnings (losses)	$	(2,577,959	)	$	(166,782,802	)	$	(334,215,463	)	$	2,317,810

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. Global Alternatives Fund and Managed Futures Strategy Fund have deferred foreign currency losses.

| 78

Notes to Financial Statements (continued)

December 31, 2018

As of December 31, 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	$	36,904,575		$	1,190,155,845		$	1,931,689,996		$	130,143,533

Gross tax appreciation	$	331,595		$	2,013,773		$	31,285,553		$	12,136,969
Gross tax depreciation		(303,183	)		(28,335,291	)		(768,171	)		(1,173,588	)

Net tax appreciation (depreciation)	$	28,412		$	(26,321,518	)	$	30,517,382		$	10,963,381

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currencymark-to-market and Cayman blocker adjustments.

k. 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.

79 |

Notes to Financial Statements (continued)

December 31, 2018

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2018, at value:

Dynamic Allocation Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	16,203,999	$	—	$	—	$	16,203,999
Short-Term Investments(a)		—		20,697,690		—		20,697,690
Futures Contracts (unrealized appreciation)		296,365		—		—		296,365

Total	$	16,500,364	$	20,697,690	$	—	$	37,198,054

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(172,297	)	$	—	$	—	$	(172,297	)

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

For the year ended December 31, 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)	$	93,226,255	$	—	$	—	$	93,226,255
Exchange-Traded Funds		51,470,520		—		—		51,470,520
Closed-End Investment Companies		1,289,802		—		—		1,289,802
Short-Term Investments(a)		—		1,027,024,419		—		1,027,024,419
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,364,715		—		1,364,715
Futures Contracts (unrealized appreciation)		9,147,522		389,167		—		9,536,689

Total	$	155,134,099	$	1,028,778,301	$	—	$	1,183,912,400

| 80

Notes to Financial Statements (continued)

December 31, 2018

Global Alternatives Fund (continued)

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(33,320	)	$	—	$	(33,320	)
Futures Contracts (unrealized depreciation)		(17,935,398	)		(4,155,268	)		—		(22,090,666	)

Total	$	(17,935,398	)	$	(4,188,588	)	$	—	$	(22,123,986	)

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

For the year ended December 31, 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)	$	—	$	1,931,652,224	$	—	$	1,931,652,224
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,307,241		—		3,307,241
Futures Contracts (unrealized appreciation)		57,102,461		10,793,365		—		67,895,826

Total	$	57,102,461	$	1,945,752,830	$	—	$	2,002,855,291

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(5,644,932	)	$	—	$	(5,644,932	)
Futures Contracts (unrealized depreciation)		(10,683,845	)		(1,102,013	)		—		(11,785,858	)

Total	$	(10,683,845	)	$	(6,746,945	)	$	—	$	(17,430,790	)

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

For the year ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

81 |

Notes to Financial Statements (continued)

December 31, 2018

Tactical U.S. Market Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	86,338,188	$	—	$	—	$	86,338,188
Short-Term Investments(a)		—		54,768,726		—		54,768,726

Total	$	86,338,188	$	54,768,726	$	—	$	141,106,914

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(1,313,443	)	$	—	$	—	$	(1,313,443	)

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

For the year ended December 31, 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 year ended December 31, 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 year ended December 31, 2018, the Fund used long and short contracts on U.S. and foreign

| 82

Notes to Financial Statements (continued)

December 31, 2018

government bonds, U.S. and foreign equity market indices, 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 year ended December 31, 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 year ended December 31, 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 December 31, 2018, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	204,565
Foreign exchange contracts		91,800

Total exchange-traded asset derivatives	$	296,365


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Equity contracts	$	(172,297	)

83 |

Notes to Financial Statements (continued)

December 31, 2018

Transactions in derivative instruments for Dynamic Allocation Fund during the year ended December 31, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	(172,100	)
Foreign exchange contracts		(856,888	)
Equity contracts		(1,737,934	)

Total	$	(2,766,922	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	230,466
Foreign exchange contracts		55,733
Equity contracts		(380,010	)

Total	$	(93,811	)

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 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	$	1,364,715	$	—


Exchange-traded asset derivatives
Interest rate contracts	$	—	$	6,651,933
Foreign exchange contracts		—		276,244
Commodity contracts		—		2,159,628
Equity contracts		—		448,884

Total exchange-traded asset derivatives	$	—	$	9,536,689

Total asset derivatives	$	1,364,715	$	9,536,689

| 84

Notes to Financial Statements (continued)

December 31, 2018


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(33,320	)	$	—


Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(5,240,066	)
Foreign exchange contracts		—			(2,900,473	)
Commodity contracts		—			(7,969,076	)
Equity contracts		—			(5,981,051	)

Total exchange-traded liability derivatives	$	—		$	(22,090,666	)

Total liability derivatives	$	(33,320	)	$	(22,090,666	)

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 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	$	(5,582,573	)	$	—
Foreign exchange contracts		3,753,648			(478,998	)
Commodity contracts		(13,000,978	)		—
Equity contracts		(19,829,060	)		—

Total	$	(34,658,963	)	$	(478,998	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	3,900,188		$	—
Foreign exchange contracts		(6,472,970	)		906,435
Commodity contracts		(21,184,405	)		—
Equity contracts		(16,204,669	)		—

Total	$	(39,961,856	)	$	906,435

85 |

Notes to Financial Statements (continued)

December 31, 2018

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 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	$	3,307,241		$	—


Exchange-traded asset derivatives
Interest rate contracts	$	—		$	27,097,963
Foreign exchange contracts		—			3,827,945
Commodity contracts		—			21,920,648
Equity contracts		—			15,049,270

Total exchange-traded asset derivatives	$	—		$	67,895,826

Total asset derivatives	$	3,307,241		$	67,895,826


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(5,644,932	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(22,138	)
Foreign exchange contracts		—			(2,539,938	)
Commodity contracts		—			(7,297,531	)
Equity contracts		—			(1,926,251	)

Total exchange-traded liability derivatives	$	—		$	(11,785,858	)

Total liability derivatives	$	(5,644,932	)	$	(11,785,858	)

| 86

Notes to Financial Statements (continued)

December 31, 2018

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 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	$	(134,893,473	)	$	—
Foreign exchange contracts		(24,555,151	)		(7,591,404	)
Commodity contracts		(15,392,101	)		—
Equity contracts		(237,196,071	)		—

Total	$	(412,036,796	)	$	(7,591,404	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	48,310,230		$	—
Foreign exchange contracts		(10,916,815	)		(3,986,882	)
Commodity contracts		(35,425,215	)		—
Equity contracts		(4,506,565	)		—

Total	$	(2,538,365	)	$	(3,986,882	)

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of December 31, 2018, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Equity contracts	$	(1,313,443	)

Transactions in derivative instruments for Tactical U.S. Market Fund during the year ended December 31, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Equity contracts	$	(1,583,255	)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Equity contracts	$	(2,276,488	)

87 |

Notes to Financial Statements (continued)

December 31, 2018

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2018:


Dynamic Allocation Fund	Futures
Average Notional Amount Outstanding		87.17	%
Highest Notional Amount Outstanding		120.72	%
Lowest Notional Amount Outstanding		51.99	%
Notional Amount Outstanding as of December 31, 2018		70.79	%


Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		3.64	%		196.80	%
Highest Notional Amount Outstanding		8.64	%		247.24	%
Lowest Notional Amount Outstanding		1.66	%		135.36	%
Notional Amount Outstanding as of December 31, 2018		6.77	%		215.73	%


Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		138.16	%		609.11	%
Highest Notional Amount Outstanding		326.48	%		836.92	%
Lowest Notional Amount Outstanding		40.02	%		435.03	%
Notional Amount Outstanding as of December 31, 2018		40.02	%		435.03	%


Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding		54.01	%
Highest Notional Amount Outstanding		75.35	%
Lowest Notional Amount Outstanding		7.96	%
Notional Amount Outstanding as of December 31, 2018		15.58	%

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 netmark-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,

| 88

Notes to Financial Statements (continued)

December 31, 2018

in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of December 31, 2018, gross amounts ofover-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	$	1,364,715		$	(33,320	)	$	1,331,395		$	—	$	1,331,395

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(33,320	)	$	33,320		$	—		$	—	$	—

Managed Futures Strategy Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	3,307,241		$	(3,307,241	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(5,644,932	)	$	3,307,241		$	(2,337,691	)	$	2,337,691	$	—

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’

89 |

Notes to Financial Statements (continued)

December 31, 2018

ISDA agreements. As of December 31, 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	$	2,981,528	$	(1,323,219	)	$	1,658,309	$	1,599,859	$	(58,450	)
Managed Futures Strategy Fund		33,644,171		2,242,642			35,886,813		33,308,199		(2,578,614	)

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 atri-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 atpre-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

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Notes to Financial Statements (continued)

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financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2018:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Dynamic Allocation Fund
Exchange-traded counterparty credit risk
Futures contracts	$	296,365	$	296,365
Margin with brokers		876,156		876,156

Total exchange-traded counterparty credit risk	$	1,172,521	$	1,172,521


Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	1,364,715	$	1,331,395
Collateral pledged to UBS AG		1,599,859		1,599,859

Totalover-the-counter counterparty credit risk		2,964,574		2,931,254

Exchange-traded counterparty credit risk
Futures contracts		9,536,689		9,536,689
Margin with brokers		58,467,066		58,467,066

Total exchange-traded counterparty credit risk		68,003,755		68,003,755

Total counterparty credit risk	$	70,968,329	$	70,935,009


Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	3,307,241	$	—
Collateral pledged to UBS AG		33,308,199		33,308,199

Totalover-the-counter counterparty credit risk		36,615,440		33,308,199

Exchange-traded counterparty credit risk
Futures contracts		67,895,826		67,895,826
Margin with brokers		161,647,810		161,647,810

Total exchange-traded counterparty credit risk		229,543,636		229,543,636

Total counterparty credit risk	$	266,159,076	$	262,851,835

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Notes to Financial Statements (continued)

December 31, 2018


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		2,685,439		2,685,439

Total exchange-traded counterparty credit risk	$	2,685,439	$	2,685,439

5. Purchases and Sales of Securities. For the year ended December 31, 2018, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Dynamic Allocation Fund	$	8,868,107	$	10,829,415
Global Alternatives Fund		172,352,949		76,740,398
Tactical U.S. Market Fund		130,402,758		90,804,415

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.

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

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Notes to Financial Statements (continued)

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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, substitute dividend expenses on securities sold short (Global Alternatives Fund only), taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2019, except for Global Alternatives Fund, which is in effect until April 30, 2020, 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 year ended December 31, 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 borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

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For the year ended December 31, 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	$	291,230	$	186,171	$	105,059		0.70	%		0.25	%
Global Alternatives Fund		16,203,602		146,487		16,057,115		1.15	%		1.14	%
Managed Futures Strategy Fund		37,230,373		—		37,230,373		1.24	%		1.24	%
Tactical U.S. Market Fund		1,317,848		137,281		1,180,567		0.80	%		0.72	%

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

No expenses were recovered for any of the Funds during the year ended December 31, 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 Rule12b-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’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

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Notes to Financial Statements (continued)

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For the year ended December 31, 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	$	706	$	112	$	336
Global Alternatives Fund		105,284		50,661		151,982
Managed Futures Strategy Fund		537,374		110,922		332,765
Tactical U.S. Market Fund		79,831		6,212		18,635

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-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 itspro 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, 0.0275% 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.

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 assub-administrator.

Prior to July 1, 2018, each Fund paid Natixis Advisors monthly itspro rataportion 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 was reevaluated on an annual basis.

Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019, at which time it will be reevaluated as part of the annual review of the administrative fee contract, as noted above.

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Notes to Financial Statements (continued)

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For the year ended December 31, 2018, the administrative fees paid to Natixis Advisors for each Fund were as follows (exclusive ofsub-administrative fees paid to State Street Bank by the Subsidiaries):


Fund	Administrative Fees		Waiver of Administrative Fees		Net Administrative Fees
Dynamic Allocation Fund	$	18,267	$	97	$	18,170
Global Alternatives Fund		614,482		3,269		611,213
Managed Futures Strategy Fund		1,316,758		5,915		1,310,843
Tactical U.S. Market Fund		72,251		403		71,848

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 currentper-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 year ended December 31, 2018, thesub-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	$	53,025
Global Alternatives Fund		467,813
Managed Futures Strategy Fund		2,181,670
Tactical U.S. Market Fund		147,447

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Notes to Financial Statements (continued)

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As of December 31, 2018, the Funds owe Natixis Distribution the following reimbursements forsub-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	$	642
Global Alternatives Fund		23,472
Managed Futures Strategy Fund		77,585
Tactical U.S. Market Fund		1,677

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro 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 year ended December 31, 2018 were as follows:


Fund	Commissions
Dynamic Allocation Fund	$	479
Global Alternatives Fund		5,275
Managed Futures Strategy Fund		26,427
Tactical U.S. Market Fund		6,729

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

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Notes to Financial Statements (continued)

December 31, 2018

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.

Effective January 1, 2019, the Chairperson of the Board will receive a retainer fee at the annual rate of $360,000, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee will receive an additional retainer fee at the annual rate of $15,000. All other Trustee fees will remain unchanged.

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 allocatedpro rata among the funds in the Natixis Funds Trusts, 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.

Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.

g. Affiliated Ownership. As of December 31, 2018, AlphaSimplex and Natixis and affiliates held shares of the Dynamic Allocation Fund representing 4.72% 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 year ended December 31, 2018, Natixis Advisors reimbursed the Fund $343 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 apro ratabasis 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.

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Notes to Financial Statements (continued)

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All other Funds in this report allocate transfer agent fees and expenses on apro ratabasis based on the relative net assets of each class to the total net assets of those classes.

For the year ended December 31, 2018, Global Alternatives Fund and Managed Futures Strategy Fund incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Global Alternatives Fund	$	25,101	$	12,079	$	220	$	792,958
Managed Futures Strategy Fund		232,205		47,937		343		2,900,711

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. 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. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 12, 2018, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a364-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.

For the year ended December 31, 2018, none of the Funds had borrowings under these agreements.

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Notes to Financial Statements (continued)

December 31, 2018

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 isnon-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 December 31, 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:


Fund	Number of 5% Non-Affiliated Account Holders		Total Percentage of Ownership
Dynamic Allocation Fund		2		83.22	%(a)
Global Alternatives Fund		2		61.29	%
Managed Futures Strategy Fund		3		36.14	%
Tactical U.S. Market Fund		3		64.45	%(a)

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 anon-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:


	Year Ended December 31, 2018					Year Ended December 31, 2017
Dynamic Allocation Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	27,942		$	304,426		18,170		$	199,184
Issued in connection with the reinvestment of distributions	821			8,397		1,022			11,362
Redeemed	(7,567	)		(75,114	)	(10,024	)		(111,297	)

Net change	21,196		$	237,709		9,168		$	99,249

Class C
Issued from the sale of shares	5,292		$	57,501		471		$	5,412
Issued in connection with the reinvestment of distributions	103			1,103		114			1,253
Redeemed	(5,367	)		(53,756	)	(112	)		(1,242	)

Net change	28		$	4,848		473		$	5,423

Class Y
Issued from the sale of shares	1,430,846		$	15,372,170		2,530,226		$	27,301,599
Issued in connection with the reinvestment of distributions	136,189			1,409,865		316,727			3,520,335
Redeemed	(1,224,508	)		(13,077,148	)	(1,501,545	)		(16,130,927	)

Net change	342,527		$	3,704,887		1,345,408		$	14,691,007

Increase (decrease) from capital share transactions	363,751		$	3,947,444		1,355,049		$	14,795,679

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11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,558,647		$	16,799,968		832,324		$	8,642,830
Issued in connection with the reinvestment of distributions	20,955			215,484		11,994			132,651
Redeemed	(2,812,492	)		(30,489,562	)	(3,928,172	)		(40,673,162	)

Net change	(1,232,890	)	$	(13,474,110	)	(3,083,854	)	$	(31,897,681	)

Class C
Issued from the sale of shares	99,780		$	1,005,928		88,436		$	863,455
Issued in connection with the reinvestment of distributions	2,403			23,673		—			—
Redeemed	(856,102	)		(8,678,104	)	(1,798,839	)		(17,472,539	)

Net change	(753,919	)	$	(7,648,503	)	(1,710,403	)	$	(16,609,084	)

Class N
Issued from the sale of shares	468,418		$	5,171,757		6,473		$	69,067
Issued in connection with the reinvestment of distributions	18,538			193,223		7,226			81,222
Redeemed	(28,845	)		(317,683	)	(34,965	)		(363,232	)

Net change	458,111		$	5,047,297		(21,266	)	$	(212,943	)

Class Y
Issued from the sale of shares	24,509,906		$	271,715,194		47,550,648		$	511,054,855
Issued in connection with the reinvestment of distributions	494,794			5,163,790		379,459			4,265,122
Redeemed	(55,139,351	)		(616,727,299	)	(56,581,747	)		(598,573,641	)

Net change	(30,134,651	)	$	(339,848,315	)	(8,651,640	)	$	(83,253,664	)

Increase (decrease) from capital share transactions	(31,663,349	)	$	(355,923,631	)	(13,467,163	)	$	(131,973,372	)

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11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	8,122,312		$	80,225,077		12,582,328		$	124,980,256
Issued in connection with the reinvestment of distributions	268,252			2,628,867		—			—
Redeemed	(22,300,655	)		(215,778,224	)	(31,118,290	)		(308,694,437	)

Net change	(13,910,091	)	$	(132,924,280	)	(18,535,962	)	$	(183,714,181	)

Class C
Issued from the sale of shares	474,479		$	4,598,163		889,499		$	8,507,515
Issued in connection with the reinvestment of distributions	56,165			525,143		—			—
Redeemed	(2,477,073	)		(22,307,151	)	(3,041,010	)		(28,951,138	)

Net change	(1,946,429	)	$	(17,183,845	)	(2,151,511	)	$	(20,443,623	)

Class N
Issued from the sale of shares	9,583,150		$	93,545,369		97,180		$	1,016,431
Issued in connection with the reinvestment of distributions	11,301			111,654		—	(b)		1
Redeemed	(2,201,361	)		(19,921,137	)	—			—

Net change	7,393,090		$	73,735,886		97,180		$	1,016,432

Class Y
Issued from the sale of shares	112,485,619		$	1,090,616,021		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	(208,906,134	)		(1,977,865,182	)	(115,503,119	)		(1,153,352,968	)

Net change	(93,924,431	)	$	(862,587,792	)	29,123,895		$	297,432,629

Increase (decrease) from capital share transactions	(102,387,861	)	$	(938,960,031	)	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.

103 |

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017
Tactical U.S. Market Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	4,267,693		$	63,170,069		962,381		$	12,703,924
Issued in connection with the reinvestment of distributions	70,389			959,679		51,553			730,828
Redeemed	(4,058,555	)		(57,521,161	)	(565,990	)		(7,459,636	)

Net change	279,527		$	6,608,587		447,944		$	5,975,116

Class C
Issued from the sale of shares	119,177		$	1,659,248		41,245		$	547,111
Issued in connection with the reinvestment of distributions	3,746			49,554		7,240			100,086
Redeemed	(39,980	)		(557,580	)	(59,465	)		(760,319	)

Net change	82,943		$	1,151,222		(10,980	)	$	(113,122	)

Class Y
Issued from the sale of shares	7,212,105		$	103,884,842		2,707,292		$	36,257,755
Issued in connection with the reinvestment of distributions	243,510			3,297,334		292,315			4,161,281
Redeemed	(4,325,790	)		(61,253,423	)	(1,934,749	)		(25,107,042	)

Net change	3,129,825		$	45,928,753		1,064,858		$	15,311,994

Increase (decrease) from capital share transactions	3,492,295		$	53,688,562		1,501,822		$	21,173,988

| 104

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Dynamic Allocation Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, and ASG Tactical U.S. Market Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of ASG Dynamic Allocation Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, and ASG Tactical U.S. Market Fund (four of the funds constituting Natixis Funds Trust II, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of

105 |

Report of Independent Registered Public Accounting Firm

December 31, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

February 21, 2019

We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.

| 106

2018 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2018, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:


Fund	Qualifying Percentage
Global Alternatives Fund		5.25	%
Tactical U.S. Market Fund		83.96	%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2018.


Fund	Amount
Dynamic Allocation Fund	$	297,635
Managed Futures Strategy Fund		1,469,396
Tactical U.S. Market Fund		2,185,407

Qualified Dividend Income. For the fiscal year ended December 31, 2018, a percentage of the ordinary income dividends paid by the Fund are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund paid a distribution during calendar year 2018, complete information will be reported in conjunction with Form1099-DIV. This percentage is noted below:


Fund	Qualifying Percentage
Global Alternatives Fund		4.88	%
Tactical U.S. Market Fund		69.62	%

107 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at800-225-5478.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	52 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member and Governance Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	52 Director, Burlington Stores, Inc. (retail)	Significant experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

| 108

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	52 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	52 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

109 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Martin T. Meehan (1956)	Trustee since 2012 Audit Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	52 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	52 Director, Sterling Bancorp (Bank)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

| 110

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	52 Director, FutureFuel Corp. (Chemicals and Biofuels)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	52 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

111 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	52 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	52 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	52 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

| 112

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES continued

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	52 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

²	The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”).

³	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁴

Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.

113 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUST

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since 2016	Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since 2004	Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Kirk D. Johnson (1981)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2018	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Vice President and Counsel, Natixis Investment Managers, L.P.

¹	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s currentby-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity.

| 114

LOGO

Annual Report

December 31, 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			33

Financial Statements			55

Notes to Financial Statements			85

IMPORTANT NOTICE TO SHAREHOLDERS

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.

Market Conditions

Risk markets reeled during the fourth quarter, devoid of a specific catalyst but simmering in a stew of uncertainty over global growth prospects amid decelerating trade flows and intensifying trade rhetoric. What began the year amid unfettered optimism resulting from the corporate tax cut degenerated into a fiscal policy fizzle that fueled record stock buybacks but little in the way of long-term capital investment. Much of the capital market return differentiation for the year was determined during the fourth quarter as risk markets experienced a significant correction which, in turn, contributed to healthy rate market gains. The improved rate market tone helped mitigate the declines experienced during the first three quarters and left year-over-year yield increases beyond the5-year portion of the curve contained within 30 basis points (one basis point (bp) is equal to 1/100 of 1%). The sharp increase in equity volatility contributed to significant credit spread (the difference in yield between10-year US Treasury bonds and lower-rated bonds) widening in the corporate market, while municipals remained relatively well bid amid a steep downdraft in new issue supply.

Rate markets recovered somewhat during the fourth quarter but ended the year with yields moderately higher, particularly on the shorter end of the yield curve (a curve that shows the relationship among bond yields across the maturity spectrum).

The Treasury curve continued to flatten, with2- to10-year bonds ending the year roughly 30 basis points tighter at 20 basis points, and remained a focus of participants wary of an economic deceleration.

Equity markets sold off sharply in the fourth quarter, taking most indices in both developed and emerging markets firmly into the red for the year.

Energy markets collapsed during the last quarter as efforts to curtail production failed to arrest a relentless selloff that took crude prices down nearly 40% from their October highs.

Credit spreads widened as risk markets endured a broad price correction and concomitant rise in volatility.

1 |

Monetary policy normalization continued apace during the year as the Federal Reserve boosted short rates by 100 bps and scaled back reinvestment of its balance sheet by $420 billion.

The signal economic event over the past year was the implementation of the Tax Cuts and Jobs Act that slashed the corporate tax rate from 35% to 21%. The tax plan was designed to incentivize business fixed investment, which legislators expected would result in stronger employment and wage growth. The Congressional Budget Office (CBO) estimated the cost of the package at $1.9 trillion over a10-year period, and the CBO further expanded its deficit estimate when Congress added $300 billion of additional spending over 2018 and 2019. We were skeptical about implementing apro-cyclical fiscal policy of significant proportion to an economy nine years into an expansion and nearing full employment.

While it is difficult to isolate the impact of the plan one year after implementation, we can at least evaluate the performance of the factors legislators were targeting. Employment growth improved, as expected, with nonfarm payrolls estimated to have averaged a monthly increase of 220,000 in 2018 versus 182,000 the prior year. Wage growth also edged higher, running at an annual rate of 3.2% versus 2.7% in 2017. However, business fixed investment through the first three quarters of 2018 is estimated to have been flat versus the pace measured during the same period for the year prior, while stock buybacks announced in 2018 are estimated to have topped $1 trillion. Clearly, the investment surge occurred, but in the form of financial investment rather than direct capital investment in property, plant and equipment. As such, there is likely to be minimal long-term enhancement to economic productivity or direct tangible benefit beyond theshort-run boost to growth resulting from the tax cut. Meanwhile, the US economy will be approaching the longest expansion in thepost-war era while running a fiscal deficit approaching $1 trillion (or nearly 5% of GDP).

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of the McDonnell Intermediate Municipal Bond Fund returned 0.58% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays Municipal Bond Index, which returned 1.28%.

Explanation of Fund Performance

The municipal market environment was characterized by “supply constrained” conditions throughout most of 2018. New issue supply declined by 24% from the prior year as the prohibition of advance refunding issues contained in the tax legislation was implemented. We anticipated these conditions coming into the year, but the degree of shortfall was at the high end of expectations. Market conditions also featured continued quality spread compression as investors competed to access the reduced supply of available bonds. In addition, credit-specific spread tightening occurred across several large issuers as investors became more tolerant of underfunded long-term liabilities than they had been in a more discerning credit environment. Against the backdrop of a rising tide of spread tightening, we continued to focus on underlying credit quality fundamentals as the economic expansion enters its tenth year.

| 2

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

Security selection and sector weightings contributed negatively to performance, while yield curve posture and duration were additive.Non-callable, high quality, long duration structured securities hampered performance for the majority of the year given their longer effective duration, but significantly outperformed the general market in the fourth quarter. Additionally, underweight exposure to thePre-refunded, State General Obligation and Lease sectors hampered performance, although this was somewhat offset by an overweight and outperformance in the Hospital and Water & Sewer sectors. With respect to curve positioning, an underweight on the longer end of the yield curve benefited performance as reduced investor demand caused the curve to steepen with long rates rising.

Outlook

Capital markets entered the new year with the prevailing balance having shifted considerably in recent months. With equities piercing a 20% drop from their highs, credit spreads widening 50 bps and scaled-back market expectations for further Fed tightening, investors now must assess whether the markets are signaling economic storm clouds on the horizon. The reversal of fortunes from the near-euphoria that prevailed at the outset of last year is notable. Clearly, the capital markets face manifest hurdles in the year ahead including China’s slowdown, the Brexit impasse, the government shutdown and the expected release of the special counsel’s report to note several. But while last year’s sentiment proved overly optimistic, we expect this year’s gloom may prove equally pessimistic as 2019 unfolds. The fundamental underpinnings of the expansion remain intact. It would be flippant to suggest that investors ignore the warnings embodied in the recent market turmoil, but one would be similarlyill-advised to not consider the underlying growth fundamentals of the real economy. Employment, consumption and investment remain solid and inflation below target. It is difficult to become excessively pessimistic about capital market prospects with economic fundamentals offering little in the way of negative confirmation. As such, we believe the current correction represents a more attractive entry point for risk investors with a longer-term timeframe. Conversely, we expect that the ratcheting back of Fed expectations may well prove premature.

While we do not expect the Fed will have to aggressively tighten policy over the medium term, we do anticipate eventual modest upward pressure on rates, particularly on the shorter end of the yield curve, as we move forward. We remain vigilant for signs that the expansion has run its course but do not expect that eventuality to loom large, at least over the first half of the year.

3 |

Hypothetical Growth of $100,000 Investment in Class Y Shares^1,4

December 31, 2012 (inception) through December 31, 2018

LOGO

See notes to chart on page 5.

| 4

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

Average Annual Total Returns — December 31, 2018⁴



										Expense Ratios⁵
	1 Year			5 Years			Life of Fund			Gross			Net

Class Y (Inception 12/31/12)¹
NAV		0.58	%		2.80	%		1.93	%		0.83	%		0.45	%

Class A (Inception 12/31/12)¹
NAV		0.33			2.50			1.62			1.10			0.70
With 3.00% Maximum Sales Charge		-2.64			1.87			1.10

Class C (Inception 12/31/12)¹
NAV		-0.42			1.76			0.89			1.83			1.45
With CDSC²		-1.40			1.76			0.89

Comparative Performance
Bloomberg Barclays Municipal Bond Index³		1.28			3.82			2.73

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	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.

5 |

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.

Market Conditions

Throughout the year, investor pessimism came from an array of issues, including unresolved trade wars, tariffs and interest rate increases. Compounding these fears, investors who were accustomed to a growing US economy became concerned over an impending recession given that economists predicted slowing growth ahead. Anxiety intensified further from erratic energy prices as supply/demand imbalances and other market factors caused key energy benchmarks to fall 40% byyear-end from nearly four-year high levels reached in October. The year culminated in a government shutdown owing to an impasse over border security and immigration policy. These events, along with weak fourth-quarter asset manager performance across the industry, sparked portfolio redemptions and otherde-risking actions and led to forced selling of equities in US and global markets, which sent some major benchmark indexes into bear market territory.

Amid this gloomy backdrop, some positive news emerged. Third-quarter gross domestic product grew a robust 3.5% and generated the fastest annual corporate profit increase since 2012. The unemployment rate fell to 3.7%, the lowest level in nearly 50 years, and has remained constant since September. The tight labor market caused upward pressure on weekly wages that rose 3.3% in the third quarter and outpaced inflation. Holiday retail sales, a metric the market watches closely, rose by 5.1% year-over-year to more than $850 billion, which was the strongest improvement in six years. Online holiday sales advanced 19.1%, while sales at physical department stores declined 1.3%. Even so, holiday online department store sales increased 10.2%, and this acceleration of online sales is expected to continue as businesses adapt to an evolving retail environment.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of Natixis Oakmark Fund returned-12.76% at net asset value. The Fund underperformed its benchmark, the S&P 500^® Index, which returned-4.38%.

Explanation of Fund Performance

As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of ourbottom-up process. On an absolute-return basis, shares in the healthcare sector gained the most value, while holdings in the industrials sector detracted the most.

| 6

NATIXIS OAKMARK FUND

General Electric (GE) and Citigroup were the largest detractors to fund performance for the calendar year. GE faced a succession of issues in 2018 that influenced its share price, which was especially volatile in the second half of the year, as market analysts reassessed key company estimates, both lower and higher. The company’s second-quarter results released in July included revenue and earnings per share that outpaced market forecasts, and management expressed that results were in line with the company’s expectations. GE later announced it was awarded a new $630.5 million contract with the US Navy for repair and maintenance of F414 aircraft engine components. Even so, in September, some influential market analysts lowered price targets for the company. Subsequently, H. Lawrence Culp, Jr., formerly CEO of Danaher, was unexpectedly named GE’s chairman and CEO. Along with this announcement, management lowered full-year guidance. Late in October, the company reported third-quarter revenues that largely met market expectations. Earnings per share, however, were roughly 30% lower than forecasts, and the company cut its quarterly dividend to $0.01 from $0.12. Management did not provide fourth quarter or 2019 guidance, and the lack of forecasts along with concerns over the company’s liquidity added to investor anxiety. To explain, Culp candidly pointed out that when discussing numbers on a forward-looking basis, he wants to do so with conviction and confidence, which was not possible at that time. He also stated that raising additional equity was not then necessary. We still concur with his assessment. According to our calculations, GE has sufficient liquidity from its industrial operations and the market has overlooked the supplemental liquidity provided by recent sale proceeds and equity positions. All these factors taken together lead us to believe that the company will reach its overall leverage targets without raising equity. In addition, its liquidity position remains steady. Lastly, in December, positive market analysts’ notes upgrading the company provided GE’s share price a modest boost. Management continues to adjust the company’s portfolio of businesses, and while the restructuring process may take some time, we believe this approach will work to benefit shareholders into the future. Overall, we believe that the stock has declined more than warranted and that GE’s intrinsic value is well above the current price quote.

Citigroup finished lower for the first quarter as its share price tracked US market movements. The company’s fourth-quarter earnings results largely aligned with market forecasts. Importantly, consistent with recent trends, the company’s underlying business performance matched our expectations. We were pleased that loan growth was healthy (+5% from last year), driven by core global consumer banking and international city bank segment growth of 7%. Deposits also increased 1% from a year earlier. Citigroup’s third-quarter results issued in October were solid, in our assessment, and generally aligned with our estimates. Earnings per share rose to $1.73, which reflects an increase of roughly 22% from a year earlier. We were especially pleased that expenses were well controlled, which helped improve the company’s efficiency ratio to 57.3%. In addition, Citigroup returned $6.4 billion to shareholders by way of share repurchases and dividend payments in the third quarter. However, at an analysts’ conference in December, CFO John Gerspach stated expectations that fourth-quarter revenue will be slightly lower than what the company had achieved in theyear-ago quarter. Lower revenues could jeopardize the company’s ability to meet its efficiency targets within the desired timeframe. Gerspach indicated that while the

7 |

equity business continues to perform well, a drop in fixed income market revenue prompted the reduced outlook. We did not find Gerspach’s announcement overly concerning, as we expect some degree of revenue fluctuation in the current macroeconomic environment. Overall, we remain satisfied with Citigroup’s fundamental performance.

The leading contributors to fund performance for the year were HCA Healthcare and Netflix. HCA Healthcare’s share price gained value in three of the past four quarters as the company’s results released during the reporting period showed positive growth momentum. Revenue, earnings and earnings per share for the first, second and third quarters of 2018 surpassed market expectations. Importantly, key operating metrics, such as same-facility equivalent admissions and same-facility revenue per equivalent admission, demonstrated strengthening trends over the course of the year. These developments provide us evidence that the company’s strategy of focusing on higher acuity visits is paying off. In addition, management stated that capital investments are now “yielding solid market share gains.” HCA paid $121 million worth of dividends and bought back $302 million worth of shares during the third quarter(year-to-date share repurchases total $1.195 billion), which aligns with our estimates. Along with its latest earnings release, management increased full-year revenue, earnings and earnings per share guidance ranges. Furthermore, management continues to seek out strategically sound acquisition opportunities to broaden the company’s scope. One such example was its purchase in August of Mission Health, asix-hospital health facility in North Carolina that allowed expansion across a state where it previously had no operations. Despite these positive outcomes, HCA’s share price dropped in December in conjunction with other hospital stocks as the future of the Affordable Care Act was called into question when a US District Court Judge ruled the law unconstitutional. The law currently remains intact, and we expect a succession of appeals will ensue, perhaps over a protracted period. In the meantime, we have not changed our valuation metrics for HCA as we remain pleased with the company’s fundamental performance.

Netflix ended 2018 quite strong, from our perspective, with the addition of 8.3 million subscriptions in the fourth quarter. Furthermore, average revenue per user in the United States increased 13% from last year (+26% internationally, including currency effects), amid this accelerated subscriber growth. In February, Netflix signed a five-year agreement with television producer Ryan Murphy, who is known for his work on hit shows, such as “Glee,” “American Horror Story” and “American Crime Story.” Under the terms of this deal, Murphy will create a number of new series and films exclusively for Netflix. In addition to Murphy, the company recently added Shonda Rhimes and Oscar-winning filmmakers Joel and Ethan Coen to its talent lineup for the production of original content. We think these alliances provide the company with considerable competitive advantages. Netflix’s first-quarter revenue and earnings per share slightly outpaced market estimates, while net subscriber additions in the United States and internationally were well ahead of market expectations. We were impressed with the acceleration in subscriber growth, especially as the company implemented a price increase in the previous quarter. Netflix issued second-quarter earnings per share that outpaced market expectations, while revenue was in line with projections. Later, third-quarter earnings per share were 30%

| 8

NATIXIS OAKMARK FUND

higher than projections. Importantly, net subscriber additions for both domestic and international streaming handily outpaced market estimates along with management’s forecasts. The company’s global growth continues unabated as trailing12-month paying subscriber net additions reached a record 26.4 million. Netflix predicts fourth-quarter net subscriber additions for domestic (1.80 million) and international (7.60 million) streaming that are far in excess of what the market anticipates. We believe the company is poised to benefit further from the transition to internet-provided TV, which we expect will prove advantageous for shareholders.

Outlook

As seasoned investors, we have witnessed similar times of uncertainty. Investors now appear to generally lack an appetite for risk and have gotten more defensive, moving from equity investments to cash and other seemingly safe haven instruments, as illustrated by large equity mutual fund outflows that occurred late in the fourth quarter. Investors may presently believe the best market gains are behind them and have lowered expectations moving into 2019. We adopt the opposite view. Market declines offer ripe opportunities for us to identify extraordinary investment candidates that we believe should reward shareholders going forward.

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2008 through December 31, 2018

LOGO

See notes to chart on page 11.

9 |

Top Ten Holdings as of December 31, 2018


Security name		% of net assets
1	Alphabet, Inc., Class A		4.04	%
2	Citigroup, Inc.		3.02
3	Regeneron Pharmaceuticals, Inc.		2.87
4	Bank of America Corp.		2.86
5	Apple, Inc.		2.68
6	Netflix, Inc.		2.65
7	American International Group, Inc.		2.54
8	Capital One Financial Corp.		2.52
9	Fiat Chrysler Automobiles NV		2.48
10	CVS Health Corp.		2.43

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NATIXIS OAKMARK FUND

Average Annual Total Returns — December 31, 2018³


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

Class Y (Inception 11/18/98)
NAV		-12.76	%		5.86	%		13.29	%		—	%		0.93	%		0.93	%

Class A (Inception 5/6/31)
NAV		-13.01			5.59			13.00			—			1.18			1.18
With 5.75% Maximum Sales Charge		-18.02			4.34			12.33			—

Class C (Inception 5/1/95)
NAV		-13.63			4.80			12.16			—			1.93			1.93
With CDSC¹		-14.40			4.80			12.16			—

Class N (Inception 5/1/17)
NAV		-12.60			—			—			0.55			13.79			0.75

Comparative Performance
S&P 500^® Index²		-4.38			8.49			13.12			5.03

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.

11 |

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.

Market Conditions

Volatility prevailed throughout 2018 as investors digested the implications of newly imposed tariffs. Trade wars began in earnest across the spectrum of US partners, especially the largest traders of Canada, Mexico and China. Along with import tariffs on steel and aluminum mainly aimed at Canada and Mexico, the United States enacted tariffs on Chinese imports. Retaliatory counter-tariffs soon ensued and many European Union countries also entered the fray. A threat was issued to impose a 20% tariff on European auto imports, which Moody’s Investors Service found would cause negative disruptions to the global supply chain across the auto industry and push vehicle prices higher. While a tentative agreement was reached with Mexico and talks persisted with the European Union, the United States and China continued to imposetit-for-tat tariffs. Taking the trade wars into consideration, the International Monetary Fund trimmed its outlook for 2019 economic growth by 0.2% for the US, China and the global economy to 2.5%, 6.2% and 3.7%, respectively. However, trade tensions were eased somewhat after a meeting between US President Trump and Chinese leader Xi Jinping resulted in a postponement of planned tariff increases scheduled for January 1.

Elsewhere, Brexit negotiations faltered, which prompted the resignation of UK Brexit Secretary Dominic Raab and the decline of the pound sterling. Despite the discord, UK Prime Minister Theresa May survived a vote of no confidence held by her own Conservative Party in December. In Japan, third-quarter gross domestic product growth was revised downward from-1.2% to-2.5% at an annualized rate, a sharp decrease from the 2.8% growth in the second quarter. Likewise, the pace of economic growth in China decelerated to 6.5% in the third quarter from 6.7% in the second quarter with fears that fourth-quarter growth could sink to an even lower rate.

Erratic energy prices also served as a source of concern during the reporting period. Supply/demand imbalances and other market factors caused key energy benchmarks to fall 40% byyear-end from nearly four-year high levels reached in October. In response, the Organization of the Petroleum Exporting Countries and other countries agreed to a reduction in production of 1.2 million barrels a day effective for six months beginning in January.

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NATIXIS OAKMARK INTERNATIONAL FUND

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of Natixis Oakmark International Fund returned-23.93% at net asset value. The Fund underperformed its benchmark, the MSCI World ex USA Index (Net), which returned-14.09%.

Explanation of Fund Performance

Geographically, our average weightings for the year were 81% in Europe, 5% in Japan and 3% in Australia. The remaining positions are in South Africa, the United States, Indonesia, Mexico, India, Taiwan, China, South Korea and Canada. As value investors with an emphasis on individual stock selection, our country and sector weights are a byproduct of ourbottom-up process.

On an absolute-return basis, shares in the consumer staples sector produced the lone positive collective return, while shares in the healthcare sector lost the most value.

The largest detractors from return were BNP Paribas and Daimler. Results from BNP Paribas for the first two quarters of 2018 were mixed, which caused investor concern early in the year. The company realized fiscal first-half year-over-year declines in revenue,pre-provision profit and operating income. Even so, the declines largely came from a number ofone-time items, including outsized regulatory tax payments along with capital gains, credit costs and transformation expenses that were greater than in theyear-ago period. In addition, results from corporate and institutional banking were especially robust in the same period last year, which made comparative results appear weaker than absolute performance indicated. Later, BNP issued third-quarter revenue, operating income and profit before tax that missed market forecasts, while net income exceeded projections. The company experienced negative leverage in all three of its operating divisions on an underlying basis, which management attributed to the persistent low interest rate environment, increased investment in the international financial services division, and, in particular, to sluggish trading conditions in the corporate and institutional banking division. However, the substandard operating results were not especially surprising to us, given the difficultend-market conditions coupled with costs invested to restructure parts of the business. In October, we met with CEO Jean-Laurent Bonnafé, who expressed confidence that BNP will reach its 2020 return on equity target of more than 10% and expects this ratio will approach 11% within the next five years if market conditions remain constant. Furthermore, BNP was pressured by fears about European politics, although these headlines have not reduced our assessment of the company’s long-term intrinsic value. The company possesses a dominant retail banking franchise along with a diversified business base, which allows for cost of funding, liquidity and scale advantages versus its smaller peers. BNP also improved its risk profile by exiting riskier business lines and increasing its capital level, which have worked to further strengthen its balance sheet. Looking forward, we believe the company will begin to generate greater net savings in 2019 and 2020 from its extensive cost transformation project currently under way. Overall, our investment thesis for this company is intact, as we believe BNP’s capital position is solid and its management team is working to enhance shareholder value.

13 |

Daimler’s share price declined significantly in the second quarter after management announced a profit warning and indicated 2018 total earnings would be slightly below the 2017 level. The company cited challenges, such as higher raw material costs, adverse effects from currency movements and minor difficulties with US suppliers, as the cause of the adjustment. Management worked to mitigate these issues through cost cutting. As the year progressed, Daimler faced the threat of newly imposed tariffs from both the United States and China, vehicle recalls that stemmed from concerns surrounding manipulated emission control systems (management adamantly denies the use of defeat devices), and unexpected news that CEO Dieter Zetsche (age 65) will step down in May 2019. While these matters prompted investor anxiety, we remained confident that Daimler possessed the wherewithal to manage each of these situations successfully. Later, the company’s fiscal nine-month results illustrated that Daimler had encountered a difficult period as revenues from industrial operations remained unchanged and the earnings margin contracted. Full-periodMercedes-Benz revenue dropped 3.2% and unit sales declined 6.3% in the third quarter, primarily driven by a lack of product availability in the United States and significant issues pertaining to compliance with new European emissions regulations. Management again lowered full-year earnings guidance forMercedes-Benz owing to increased diesel/regulatory provisions. However, the year ended on a positive note as globalMercedes-Benz sales increased 1.5% in November from a year earlier, which marked the brand’s best-ever November sales growth. In addition, Daimler delivered its first battery-powered electric commercial truck toUS-based Penske Truck Leasing and also announced it is investing more than €1 billion to create a global battery production network. We think both of these developments will provide significant future advantages. Lastly, President Trump told German auto executives in December that he had no immediate plans to impose additional US vehicle tariffs. Overall, Daimler still meets our operational performance expectations and its shares are trading at a significant discount to our estimate of intrinsic value.

The top contributors to the yearly return were Axis Bank and Safran. We initiated a position in Axis Bank in the first quarter. In our view, the company’s fiscal first-quarter earnings results, released in late July, further solidified our thesis that asset quality improvement will drive a boost in earnings for the company. Later, Axis’ fiscal first-half earnings results exhibited a continued underlying improvement in asset quality. Despite slower loan growth, management believes activity should pick up in the second half, particularly on the corporate side, which accounts for overone-third of total loans. The company has also more than doubled its market share in credit card spending over the past five years to about 11%. As a whole, our investment thesis is driven by the normalization of credit costs where trends remain positive, in our estimation. We believe India’s strong economic growth, coupled with low financial penetration, should result in attractive long-term growth rates for the Indian banking sector. We have confidence that Axis is a solid investment that should reward shareholders into the future.

Safran delivered strong first-quarter earnings results as exhibited by revenues of EUR 4.22 billion that exceeded market expectations of EUR 4.07 billion. The company also reiterated its outlook for the full fiscal year, noting that one of the only reasons Safran did

| 14

NATIXIS OAKMARK INTERNATIONAL FUND

not raise guidance was due to it being so early in the year. Later, we sold out of our position as its share price approached our estimate of its true value.

Outlook

Geopolitical events have been and will always be part of the investing climate. Elections, trade disputes, wars and other forms of conflict tend to have large impacts on short-term stock prices. However, we believe that underlying value is largely unaffected by macro events. Instead, a company’s true worth is based on its ability to generate cash and create value for its owners over the long term, in our view. As value investors, this is what we study, analyze and price. We will remain focused on fundamental factors and use discipline to take advantage of the market’s volatility and investors’ impatience. We have faced numerous situations like this in the past and have been able to create long-term value for our investors. We remain confident that we can continue to deliver strong long-term results, especially given where valuations are today.

Hypothetical Growth of $100,000 Investment in Class Y Shares¹

December 15, 2010 through December 31, 2018

LOGO

See notes to chart on page 17.

15 |

Top Ten Holdings as of December 31, 2018


Security name		% of net assets
1	BNP Paribas S.A.		3.88	%
2	Daimler AG, (Registered)		3.86
3	Intesa Sanpaolo SpA		3.78
4	Lloyds Banking Group PLC		3.76
5	Credit Suisse Group AG, (Registered)		3.67
6	Continental AG		3.56
7	CNH Industrial NV		3.40
8	Bayerische Motoren Werke AG		3.07
9	Glencore PLC		3.02
10	Naspers Ltd., N Shares		2.85

| 16

NATIXIS OAKMARK INTERNATIONAL FUND

Average Annual Total Returns — December 31, 2018⁴



												Expense Ratios⁵
	1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 5/1/17)								Class A/C		Class Y/N
NAV¹		-23.93	%		-1.03	%		—	%	-8.77	%		1.07	%		1.07	%

Class A (Inception 12/15/10)
NAV		-24.15			-1.12			3.85		—			1.32			1.32
With 5.75% Maximum Sales Charge		-28.51			-2.28			3.08		—

Class C (Inception 12/15/10)
NAV		-24.74			-1.86			3.07		—			2.07			2.07
With CDSC²		-25.47			-1.86			3.07		—

Class N (Inception 5/1/17)
NAV		-23.94			—			—		-8.70			25.21			0.92

Comparative Performance
MSCI World ex U.S. Index (Net)³		-14.09			0.34			3.08		-1.47

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.

17 |

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.

Effective January 18, 2019, Stephen Davis serves as portfolio manager of the Fund and Messrs. Alf, Fargason and Weber no longer serve as portfolio managers.

Investment Goal

The Fund seeks capital appreciation.

Market Conditions

Fiscal stimulus and regulatory relief in the United States led to accelerating domestic growth, which, combined with quantitative tightening by the Federal Reserve, fueled a rally in the US dollar. US dollar strength led to weakness in overseas markets, which were further pressured by trade war rhetoric between the United States and China. With the Federal Reserve raising interest rates throughout the year and the US economy producing strong nominal growth, global liquidity left international capital markets and sought the safety of US assets.

It is quite unusual to have material fiscal stimulus this late in a business cycle with little slack in labor markets. For the first time in several decades there are more job openings than people remaining in the labor pool. Accelerating economic growth is a welcome attribute; however, this late in the business cycle at a time when dollar liquidity is declining and margins are under pressure, the benefits will likely accrue to Main Street rather than Wall Street.

Market volatility returned as liquidity conditions tightened and interest rates increased due to a modest uptick in inflationary pressures and an anticipated increase in US Treasury issuance to fund expanding deficits. With the yield on the2-year US Treasury now higher than the dividend yield for most stocks, further hikes in Treasury rates will likely continue to pressure stock valuations.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of Vaughan Nelson Small Cap Value Fund returned-14.61% at net asset value. The Fund underperformed its benchmark, the Russell 2000^® Value Index, which returned-12.86%.

Explanation of Fund Performance

Small-cap stocks lagged the broad market for the year. The Fund underperformed the benchmark, primarily due to stock selection within the financials, materials, and industrials

| 18

VAUGHAN NELSON SMALL CAP VALUE FUND

sectors. Stock selection within the healthcare and technology sectors contributed the most to returns, especially on a relative basis. Even though the portfolio was underweight the traditional defensive sectors such as consumer staples, REITs, and utilities, it was also underweight the most cyclical areas of the benchmark. As such, the Fund experienced better support during broad market selloffs but underperformed the benchmark during lower quality rallies like the one in the second quarter, the only quarter in 2018 that the Fund underperformed the benchmark.

Stock selection within the industrials sector detracted the most from relative performance. REV Group and Multi-Color Corporation had the greatest negative impact on returns. REV Group suffered from supply chain disruptions and tariff-related headwinds, which increased costs and delayed the production and shipment of vehicles from several of its product lines. Multi-Color, a provider of label solutions for consumer products, performed poorly due to slowing organic revenue growth and disappointing results from its Constantia acquisition. The company’s balance sheet is also more highly levered than peers, which had a negative impact on the stock’s performance as interest rates rose.

The materials sector performed poorly for the year as US dollar strength, trade tariffs, and slowing global growth negatively affected the sector. Berry Global Group and Venator Materials detracted the most from performance. Berry lagged the market as more highly leveraged companies underperformed as interest rates rose and sluggish volumes in South America affected overall volumes. In addition, higher resin costs driven by oil prices were a headwind for Berry most of the year. Venator traded lower due to softening TiO2 volumes and pricing in Europe and inventory destocking in Asia, which drove concerns that the current TiO2 cycle may be ending. The company also announced that it was shutting down its Pori, Finland plant following a fire that destroyed much of the facility.

Financials also performed poorly as the yield curve flattened and loan growth slowed. Regional banks including Chemical Financial and Pacific Premier Bancorp underperformed the market as investors began to factor in a slower growth environment and the potential for rising credit costs.

Real estate and utilities performed better than the market, especially in the fourth quarter selloff as investors sought safety. The Fund was underweight these sectors, which affected relative performance.

The technology sector contributed the most to the Fund’s performance for the year, primarily driven by stock selection. Even though the benchmark’s technology sector was down low double digits for the year, the Fund’s return in technology was positive. CyberArk Software and Integrated Device Technology were two of the best performing stocks. CyberArk benefited from brisk demand for cybersecurity software, which contributed to strong license growth during the year. Integrated Device, a semiconductor company, performed well due to steady growth in the communications, data center, and industrial markets. In addition, during the third quarter the company reached an agreement to be acquired by Renesas Electronics at an attractive premium.

The Fund’s healthcare stocks also performed well due to stock selection, materially outperforming the benchmark. Cotiviti and LivaNova were the best performing names.

19 |

Cotiviti, a software provider to the healthcare industry, was purchased by a competitor, Verscend, at an attractive premium during the second quarter. LivaNova offers cardiac surgery, neuromodulation, and cardiac rhythm management products. The company benefited from accelerating revenue growth and from a potential material market expansion, pending CMS approval of vagus nerve stimulation (VNS) therapy for treatment-resistant depression.

Consumer staples was one of the worst performing sectors in the benchmark for the year. The Fund was underweight the sector and owned only one consumer staples stock, Performance Food Group, so relative performance in the sector was positive.

The energy sector was the worst performing sector for the year as oil prices declined 25%. Even though the Fund’s energy holdings were down for the year, the Fund was underweight energy and performed in line with the benchmark.

Outlook

Global synchronized growth peaked earlier this year, and it is imperative that US economic growth pull the rest of the world forward if further market appreciation is to be expected. With declining dollar liquidity, rising margin pressures, and elevated earnings growth expectations, we expect market volatility to remain elevated until there is either a reacceleration in global growth or a pause in Federal Reserve interest rate increases.

Despite strong economic growth in the US, the Fed’s monetary policy normalization is starting to affect certain sectors of the economy. Housing activity and home price appreciation are beginning to slow from the significant increase in mortgage rates over the last year. Housing is typically one of the first sectors to feel the effects of rising interest rates and typically leads a broader economic slowdown by approximately 12 to 18 months.

At this late stage in the economic cycle, the two primary threats to sustained economic growth and rising equity markets are further monetary policy normalization by global central banks and sustained pressure on global supply chains from trade tariffs. For US equity markets to remain attractive, it is critical for the Federal Reserve to allow enough time for capital markets to adjust to higher interest rates and declining liquidity before continuing with monetary policy normalization.

Our outlook remains balanced, stock-specific, and not reflective of opportunities in specific industries, regions of the world, or broader market indices.

| 20

VAUGHAN NELSON SMALL CAP VALUE FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2008 through December 31, 2018

LOGO

Top Ten Holdings as of December 31, 2018


	Security name	% of net assets
1	Integrated Device Technology, Inc.		2.59	%
2	Southwest Gas Holdings, Inc.		2.48
3	Brink’s Co. (The)		2.47
4	LPL Financial Holdings, Inc.		2.28
5	Brown & Brown, Inc.		2.24
6	Spire, Inc.		2.17
7	Booz Allen Hamilton Holding Corp.		2.05
8	Nexstar Media Group, Inc., Class A		2.04
9	First Financial Bancorp		1.96
10	CyberArk Software Ltd.		1.85

21 |

Average Annual Total Returns — December 31, 2018³


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

Class Y (Inception 8/31/06)
NAV		-14.61	%		3.64	%		11.44	%		—	%		1.27	%		1.27	%

Class A (Inception 12/31/96)
NAV		-14.84			3.37			11.16			—			1.52			1.52
With 5.75% Maximum Sales Charge		-19.73			2.16			10.50			—

Class C (Inception 12/31/96)
NAV		-15.51			2.59			10.32			—			2.27			2.27
With CDSC¹		-16.06			2.59			10.32			—

Class N (Inception 5/1/17)
NAV		-14.48			—			—			-5.09			14.84			1.12

Comparative Performance
Russell 2000^® Value Index²		-12.86			3.61			10.40			-4.06

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 1.00% 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.

| 22

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. Effective January 18, 2019, Mr. Weber no longer serves as portfolio manager.

Investment Goal

The Fund seeks long-term capital appreciation.

Market Conditions

Fiscal stimulus and regulatory relief in the United States led to accelerating domestic growth, which combined with quantitative tightening by the Federal Reserve, fueled a rally in the US dollar. US dollar strength led to weakness in overseas markets, which were further pressured by trade war rhetoric between the United States and China. With the Federal Reserve raising interest rates throughout the year and the US economy producing strong nominal growth, global liquidity left international capital markets and sought the safety of US assets.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of Vaughan Nelson Value Opportunity Fundreturned-15.85% at net asset value. The Fund underperformed its benchmark, the Russell Midcap^® Value Index, which returned-12.29%.

Explanation of Fund Performance

The Fund underperformed the benchmark for the year due primarily to stock selection in the industrials, materials, energy, financials, and consumer discretionary sectors. Also, the Fund was underweight REITs, which negatively affected relative performance since REITs

23 |

outperformed the market. Stock selection in the technology, healthcare, and utilities sectors contributed the most to relative returns. The Fund was materially overweight technology stocks during the year, which was a positive since technology was one of the best performing sectors for the year.

Stock selection within the industrials sector detracted the most from relative performance. Masonite, a manufacturer of doors for residential andnon-residential markets, suffered as housing-related stocks declined due to rising interest rates slowing the demand for new homes. Willscot, a provider of modular workspace and storage solutions, declined due to concerns about an economic slowdown and the company’s higher leverage profile. Given the company’s solid execution, high revenue visibility, and solid free cash flow, we believe the selloff is overdone.

The Fund was materially underweight REITs during the year. This contributed positively to performance through the third quarter, as REITs underperformed the market as interest rates increased. However, as the market sold off in the fourth quarter, REITs performed relatively well in therisk-off environment and finished the year outperforming the benchmark by a wide margin. The Fund’s underweight to REITs was one of the primary detractors for the year.

Materials performed poorly for the year as US dollar strength, trade tariffs, and slowing global growth negatively affected the sector. Crown Holdings and Constellium detracted the most from performance. Packaging company Crown Holdings declined as investors feared that the acquisition of Signode made the company more cyclical and that the higher leverage from the deal would affect profitability as interest rates increased. Constellium, a specialty aluminum manufacturer, declined in the fourth quarter selloff as investors priced in a slower growth environment and sold companies with higher leverage ratios.

Energy was the worst performing sector in the benchmark for the year as oil prices declined 25%. As a result, the Fund’s oil and gas holdings performed poorly, with QEP Resources and Forum Energy Technologies detracting the most from results.

Consumer discretionary lagged the market most of the year and was one of the weakest sectors in the fourth quarter selloff. Mohawk Industries and Aramark were the sector’s worst performers. Mohawk Industries, a residential and commercial carpet provider, was affected by the slowdown in housing due to rising interest rates. Aramark, a provider of food and facilities services, fell after the company lowered organic growth guidance for 2019 and as investors feared margin compression due to rising interest rates and wage inflation.

Financials also lagged the market as the yield curve flattened, loan growth slowed, and investors began pricing in higher credit costs. Chemical Financial, a Michigan-based regional bank, was not spared and declined after reporting weaker net interest income and slower loan growth. Mr. Cooper, a residential mortgage servicer, declined due to the slowdown in housing affecting investors’ growth expectations for its businesses.

Information technology was one of the best relatively performing sectors in the benchmark for the year, despite it having a negative return. The Fund was materially overweight the

| 24

VAUGHAN NELSON VALUE OPPORTUNITY FUND

sector, which was a positive contributor to relative returns. RingCentral, a provider of comprehensive communications solutions, benefited from the secular trends of cloud, mobile, and remote office locations that are increasingly pushing businesses toward SaaS communication providers. Fidelity Information Services, provider of core processing services for financial institutions, also performed well for the year. The company continues to benefit from regional and community banks modernizing their IT infrastructure for regulatory and competitive reasons.

The healthcare sector also performed relatively well for the year. Even though the benchmark’s healthcare sector was down low double digits for the year, the Fund’s return in healthcare was positive. Centene and IQVIA Holdings were the top performers. Centene, a managed care company, benefited from winning new business in Washington, Florida, and Kansas, and it also closed the acquisition of Fidelis Care. IQVIA, a contract research organization, continues to benefit from the QuintilesIMS merger synergies and from strong bookings growth in itsNext-Gen platform. The company is also aggressively buying back shares.

Utilities was the strongest sector in the benchmark for the year, massively outperforming in the fourth quarter market selloff. The Fund’s utilities holdings performed well including Ameren, an electric and gas provider in Illinois and Missouri, and Eversource, a Boston-based electric and gas utility. Both benefited from strong base rate growth and an improved regulatory environment.

Outlook

Our outlook remains balanced, stock-specific, and not reflective of opportunities in specific industries, regions of the world, or broader market indices.

25 |

Hypothetical Growth of $100,000 Investment in Class Y Shares³

December 31, 2008 through December 31, 2018

LOGO

See notes to chart on page 27.

Top Ten Holdings as of December 31, 2018


	Security name	% of net assets
1	Nexstar Media Group, Inc., Class A		2.95	%
2	Ares Capital Corp.		2.74
3	Bank of NT Butterfield & Son Ltd. (The)		2.60
4	Fidelity National Information Services, Inc.		2.58
5	New Residential Investment Corp.		2.49
6	Atlantica Yield PLC		2.45
7	Eversource Energy		2.41
8	CyrusOne, Inc.		2.35
9	Keysight Technologies, Inc.		2.34
10	Ameren Corp.		2.32

| 26

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Average Annual Total Returns — December 31, 2018³


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

Class Y (Inception 10/31/08)
NAV		-15.85	%		1.66	%		10.62	%		—	%		1.22	%		1.22	%

Class A (Inception 10/31/08)
NAV		-16.10			1.39			10.34			—			1.47			1.47
With 5.75% Maximum Sales Charge		-20.92			0.20			9.68			—

Class C (Inception 10/31/08)
NAV		-16.71			0.64			9.52			—			2.22			2.22
With CDSC¹		-17.47			0.64			9.52			—

Class N (Inception 5/1/13)
NAV		-15.78			1.73			—			5.56			1.13			1.13

Comparative Performance
Russell Midcap^® Value Index²		-12.29			5.44			13.03			7.74

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.

27 |

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

| 28

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 July 1, 2018 through December 31, 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.

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.

29 |


MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$1,012.70		$3.55
Hypothetical (5% return before expenses)		$1,000.00		$1,021.68		$3.57
Class C
Actual		$1,000.00		$1,009.90		$7.35
Hypothetical (5% return before expenses)		$1,000.00		$1,017.90		$7.38
Class Y
Actual		$1,000.00		$1,014.90		$2.29
Hypothetical (5% return before expenses)		$1,000.00		$1,022.94		$2.29

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 (184), divided by 365 (to reflect the half-year period).


NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$862.50		$5.26
Hypothetical (5% return before expenses)		$1,000.00		$1,019.56		$5.70
Class C
Actual		$1,000.00		$859.20		$8.76
Hypothetical (5% return before expenses)		$1,000.00		$1,015.78		$9.50
Class N
Actual		$1,000.00		$864.20		$3.57
Hypothetical (5% return before expenses)		$1,000.00		$1,021.37		$3.87
Class Y
Actual		$1,000.00		$863.90		$4.09
Hypothetical (5% return before expenses)		$1,000.00		$1,020.82		$4.43

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.12%, 1.87%, 0.76% and 0.87% 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 (184), divided by 365 (to reflect the half-year period).

| 30


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$823.00		$6.16
Hypothetical (5% return before expenses)		$1,000.00		$1,018.45		$6.82
Class C
Actual		$1,000.00		$819.00		$9.58
Hypothetical (5% return before expenses)		$1,000.00		$1,014.67		$10.61
Class N
Actual		$1,000.00		$823.50		$4.64
Hypothetical (5% return before expenses)		$1,000.00		$1,020.11		$5.14
Class Y
Actual		$1,000.00		$823.70		$5.06
Hypothetical (5% return before expenses)		$1,000.00		$1,019.66		$5.60

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.34%, 2.09%, 1.01% and 1.10% 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 (184), divided by 365 (to reflect the half-year period).


VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$841.00		$6.45
Hypothetical (5% return before expenses)		$1,000.00		$1,018.20		$7.07
Class C
Actual		$1,000.00		$837.30		$9.91
Hypothetical (5% return before expenses)		$1,000.00		$1,014.42		$10.87
Class N
Actual		$1,000.00		$842.80		$4.37
Hypothetical (5% return before expenses)		$1,000.00		$1,020.47		$4.79
Class Y
Actual		$1,000.00		$842.30		$5.29
Hypothetical (5% return before expenses)		$1,000.00		$1,019.46		$5.80

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.39%, 2.14%, 0.94% and 1.14% 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 (184), divided by 365 (to reflect the half-year period).

31 |


VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$844.50		$5.76
Hypothetical (5% return before expenses)		$1,000.00		$1,018.96		$6.31
Class C
Actual		$1,000.00		$841.50		$9.24
Hypothetical (5% return before expenses)		$1,000.00		$1,015.17		$10.11
Class N
Actual		$1,000.00		$846.20		$4.10
Hypothetical (5% return before expenses)		$1,000.00		$1,020.77		$4.48
Class Y
Actual		$1,000.00		$845.90		$4.61
Hypothetical (5% return before expenses)		$1,000.00		$1,020.22		$5.04

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.24%, 1.99%, 0.88% and 0.99% 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 (184), divided by 365 (to reflect the half-year period).

| 32

Portfolio of Investments – as of December 31, 2018

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 90.4% of Net Assets
	Municipals — 90.4%
		Alabama — 2.2%
$	500,000	UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group,Series B-2, 3.500%, 9/01/2035	$	490,680

		California — 7.6%
	500,000	California Municipal Finance Authority Revenue, California Lutheran University, 5.000%, 10/01/2034		571,660
	250,000	California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032		255,142
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		854,544

				1,681,346

		Colorado — 9.3%
	260,000	Colorado Springs Utilities System Revenue, SeriesB-2, 5.000%, 11/15/2033		290,742
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		433,456
	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		445,560
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		288,875
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		609,765

				2,068,398

		Connecticut — 4.0%
	800,000	Connecticut State Health & Educational Facilities Authority, University of New Haven, SeriesK-1, 5.000%, 7/01/2033		883,976

		Florida — 11.7%
	240,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		240,905
	95,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		94,918
	700,000	City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039		790,853
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		556,755
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		453,464
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		459,804

				2,596,699

		Georgia — 1.3%
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		283,860

		Illinois — 5.5%
	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		585,835
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		520,995

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of December 31, 2018

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Illinois — continued
$	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021	$	107,062

				1,213,892

		Louisiana — 2.2%
	200,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		221,498
	250,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		275,953

				497,451

		Missouri — 3.6%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		790,454

		Nevada — 2.6%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		570,220

		New Jersey — 6.4%
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023		297,433
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		558,900
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		559,890

				1,416,223

		New Mexico — 2.5%
	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		566,620

		Ohio — 5.1%
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		567,480
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		562,810

				1,130,290

		Pennsylvania — 1.3%
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		298,050

		Rhode Island — 2.6%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		567,800

		South Dakota — 2.6%
	500,000	South Dakota Health & Educational Facilities Authority, Regional Health System Obligated Group, 5.000%, 9/01/2028		581,555

		Tennessee — 5.6%
	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		562,385

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of December 31, 2018

McDonnell Intermediate Municipal Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Tennessee — continued
$	615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023	$	682,466

				1,244,851

		Texas — 5.7%
	700,000	Houston TX Airport System Revenue, Refunding, Series C, AMT, 5.000%, 7/01/2026		812,693
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		450,376

				1,263,069

		Washington — 7.5%
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		559,820
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		545,930
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		565,050

				1,670,800

		Wisconsin — 1.1%
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		251,971

		Total Bonds and Notes (Identified Cost $19,570,369)		20,068,205


Shares
	Exchange-Traded Funds — 3.6%
	10,000	SPDR^® Nuveen S&P High Yield Municipal Bond ETF		560,800
	10,000	VanEck Vectors^® Short High-Yield Municipal Index ETF		242,000

		Total Exchange-Traded Funds (Identified Cost $811,628)		802,800


		Total Investments — 94.0% (Identified Cost $20,381,997)		20,871,005
		Other assets less liabilities — 6.0%		1,333,499

		Net Assets — 100.0%	$	22,204,504


	(†)	See Note 2 of Notes to Financial Statements.

	AGM	Assured Guaranty Municipal Corporation
	AMT	Alternative Minimum Tax
	ETF	Exchange-Traded Fund
	GO	General Obligation
	SPDR	Standard & Poor’s Depositary Receipt

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of December 31, 2018

McDonnell Intermediate Municipal Bond Fund – (continued)

Holdings Summary at December 31, 2018


Transportation	19.2	%
Hospital	18.8
Education	16.6
Local General Obligation	14.0
Water & Sewer	12.0
Special Tax	4.2
Electric	3.6
Prerefunded	2.0
Exchange-Traded Funds	3.6

Total Investments	94.0
Other assets less liabilities	6.0

Net Assets	100.0	%

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 95.1% of Net Assets
		Air Freight & Logistics — 1.1%
	18,785	FedEx Corp.	$	3,030,584

		Airlines — 1.6%
	137,400	American Airlines Group, Inc.		4,411,914

		Auto Components — 1.2%
	36,300	Aptiv PLC		2,234,991
	64,266	Delphi Technologies PLC		920,289

				3,155,280

		Automobiles — 4.4%
	466,700	Fiat Chrysler Automobiles NV(a)		6,748,482
	159,900	General Motors Co.		5,348,655

				12,097,137

		Banks — 8.1%
	315,600	Bank of America Corp.		7,776,384
	158,000	Citigroup, Inc.		8,225,480
	131,145	Wells Fargo & Co.		6,043,162

				22,045,026

		Beverages — 1.4%
	26,445	Diageo PLC, Sponsored ADR		3,749,901

		Biotechnology — 2.9%
	20,935	Regeneron Pharmaceuticals, Inc.(a)		7,819,222

		Capital Markets — 9.4%
	115,000	Bank of New York Mellon Corp. (The)		5,413,050
	159,100	Charles Schwab Corp. (The)		6,607,423
	18,335	Goldman Sachs Group, Inc. (The)		3,062,862
	28,285	Moody’s Corp.		3,961,031
	102,900	State Street Corp.		6,489,903

				25,534,269

		Consumer Finance — 4.9%
	286,000	Ally Financial, Inc.		6,480,760
	90,665	Capital One Financial Corp.		6,853,367

				13,334,127

		Electronic Equipment, Instruments & Components — 2.4%
	39,617	Flex Ltd.(a)		301,485
	81,900	TE Connectivity Ltd.		6,194,097

				6,495,582

		Energy Equipment & Services — 1.9%
	96,100	Halliburton Co.		2,554,338
	98,300	National Oilwell Varco, Inc.		2,526,310

				5,080,648

		Entertainment — 2.6%
	26,925	Netflix, Inc.(a)		7,206,745

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Health Care Equipment & Supplies — 1.7%
	71,200	Baxter International, Inc.	$	4,686,384

		Health Care Providers & Services — 3.6%
	101,085	CVS Health Corp.		6,623,089
	24,707	HCA Healthcare, Inc.		3,074,786

				9,697,875

		Hotels, Restaurants & Leisure — 2.6%
	45,045	Hilton Worldwide Holdings, Inc.		3,234,231
	155,900	MGM Resorts International		3,782,134

				7,016,365

		Industrial Conglomerates — 2.4%
	852,700	General Electric Co.		6,454,939

		Insurance — 3.2%
	175,245	American International Group, Inc.		6,906,405
	13,185	Aon PLC		1,916,572

				8,822,977

		Interactive Media & Services — 5.7%
	10,535	Alphabet, Inc., Class A(a)		11,008,654
	34,990	Facebook, Inc., Class A(a)		4,586,839

				15,595,493

		Internet & Direct Marketing Retail — 4.2%
	2,650	Booking Holdings, Inc.(a)		4,564,413
	107,600	eBay, Inc.(a)		3,020,332
	199,200	Qurate Retail, Inc., Class A(a)		3,888,384

				11,473,129

		IT Services — 7.4%
	30,920	Automatic Data Processing, Inc.		4,054,230
	43,200	DXC Technology Co.		2,296,944
	29,965	Gartner, Inc.(a)		3,830,726
	28,585	MasterCard, Inc., Class A		5,392,560
	35,405	Visa, Inc., Class A		4,671,336

				20,245,796

		Machinery — 5.0%
	29,081	Caterpillar, Inc.		3,695,323
	28,460	Cummins, Inc.		3,803,394
	40,355	Parker Hannifin Corp.		6,018,545

				13,517,262

		Media — 5.5%
	19,940	Charter Communications, Inc., Class A(a)		5,682,302
	190,000	Comcast Corp., Class A		6,469,500
	256,000	News Corp., Class A		2,905,600

				15,057,402

		Oil, Gas & Consumable Fuels — 3.7%
	105,500	Anadarko Petroleum Corp.		4,625,120

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	178,100	Apache Corp.	$	4,675,125
	337,500	Chesapeake Energy Corp.(a)		708,750

				10,008,995

		Personal Products — 0.1%
	5,130	Unilever PLC, Sponsored ADR		268,043

		Pharmaceuticals — 1.9%
	99,400	Bristol-Myers Squibb Co.		5,166,812

		Semiconductors & Semiconductor Equipment — 3.5%
	111,800	Intel Corp.		5,246,774
	45,100	Texas Instruments, Inc.		4,261,950

				9,508,724

		Technology Hardware, Storage & Peripherals — 2.7%
	46,255	Apple, Inc.		7,296,264

		Total Common Stocks (Identified Cost $258,075,471)		258,776,895


Principal Amount
	Short-Term Investments — 3.9%
$	10,622,673	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $10,623,558 on 1/02/2019 collateralized by $11,240,000 U.S. Treasury Bond, 2.750% due 8/15/2042 valued at $10,839,429 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $10,622,673)		10,622,673


		Total Investments — 99.0% (Identified Cost $268,698,144)		269,399,568
		Other assets less liabilities — 1.0%		2,793,219

		Net Assets — 100.0%	$	272,192,787


	(†)	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.

39 |

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark Fund – (continued)

Industry Summary at December 31, 2018


Capital Markets	9.4	%
Banks	8.1
IT Services	7.4
Interactive Media & Services	5.7
Media	5.5
Machinery	5.0
Consumer Finance	4.9
Automobiles	4.4
Internet & Direct Marketing Retail	4.2
Oil, Gas & Consumable Fuels	3.7
Health Care Providers & Services	3.6
Semiconductors & Semiconductor Equipment	3.5
Insurance	3.2
Biotechnology	2.9
Technology Hardware, Storage & Peripherals	2.7
Entertainment	2.6
Hotels, Restaurants & Leisure	2.6
Electronic Equipment, Instruments & Components	2.4
Industrial Conglomerates	2.4
Other Investments, less than 2% each	10.9
Short-Term Investments	3.9

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 100.9% of Net Assets
		Australia — 2.7%
	4,318,350	AMP Ltd.	$	7,454,628
	235,300	Brambles Ltd.		1,683,489
	781,158	Orica Ltd.		9,494,580

				18,632,697

		Canada — 1.7%
	41,000	Alimentation Couche-Tard, Inc., Class B		2,039,488
	1,341,367	Cenovus Energy, Inc.		9,432,408

				11,471,896

		China — 1.0%
	39,730	Baidu, Inc., Sponsored ADR(a)		6,301,178
	27,400	Ctrip.com International Ltd., ADR(a)		741,444

				7,042,622

		France — 10.8%
	245,900	Accor S.A.		10,456,746
	589,000	BNP Paribas S.A.(b)		26,599,661
	344,082	Bureau Veritas S.A.		7,011,483
	52,851	Danone		3,725,076
	5,440	Pernod-Ricard S.A.		892,815
	234,545	Publicis Groupe S.A.		13,382,344
	404,800	Valeo S.A.		11,806,228

				73,874,353

		Germany — 17.6%
	93,900	Allianz SE, (Registered)		18,869,689
	254,230	Bayer AG, (Registered)		17,681,380
	259,600	Bayerische Motoren Werke AG		21,054,886
	175,550	Continental AG		24,442,847
	502,314	Daimler AG, (Registered)		26,479,423
	707,700	ThyssenKrupp AG		12,156,837

				120,685,062

		India — 0.7%
	520,775	Axis Bank Ltd.(a)		4,617,748

		Indonesia — 1.8%
	23,486,100	Bank Mandiri Persero Tbk PT		12,047,682

		Ireland — 2.2%
	212,402	Ryanair Holdings PLC, Sponsored ADR(a)		15,152,759

		Italy — 3.8%
	11,652,200	Intesa Sanpaolo SpA		25,945,036

		Japan — 5.2%
	484,400	Komatsu Ltd.		10,409,723
	303,300	Olympus Corp.		9,276,357
	86,700	Omron Corp.		3,143,039
	224,000	Toyota Motor Corp.		12,966,589

				35,795,708

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark International Fund – (continued)


Shares		Description	Value (†)
		Korea — 2.5%
	74,800	NHN Corp.(a)	$	8,197,771
	267,300	Samsung Electronics Co. Ltd.		9,305,164

				17,502,935

		Mexico — 1.2%
	681,400	Grupo Televisa SAB, Sponsored ADR		8,572,012

		Netherlands — 4.1%
	33,331	Akzo Nobel NV		2,684,278
	64,130	ASML Holding NV		10,046,571
	285,282	EXOR NV		15,487,202

				28,218,051

		South Africa — 2.8%
	97,760	Naspers Ltd., N Shares		19,573,160

		Sweden — 5.9%
	1,353,419	Hennes & Mauritz AB, B Shares		19,247,072
	705,300	SKF AB, B Shares		10,719,600
	789,300	Volvo AB, B Shares		10,335,135

				40,301,807

		Switzerland — 12.1%
	178,600	Cie Financiere Richemont S.A., (Registered)		11,517,486
	2,304,536	Credit Suisse Group AG, (Registered)(b)		25,192,473
	5,570,400	Glencore PLC(b)		20,711,109
	56,805	Kuehne & Nagel International AG		7,312,314
	339,495	LafargeHolcim Ltd., (Registered)		14,010,466
	54,400	Nestle S.A., (Registered)		4,415,253

				83,159,101

		Taiwan — 1.3%
	1,221,000	Taiwan Semiconductor Manufacturing Co. Ltd.		8,865,961

		United Kingdom — 22.2%
	601,239	Ashtead Group PLC		12,541,470
	2,583,400	CNH Industrial NV		23,341,748
	83,100	Diageo PLC		2,969,528
	91,531	Experian PLC		2,218,886
	128,556	Ferguson PLC		8,214,497
	2,645,400	G4S PLC		6,677,824
	360,800	Liberty Global PLC, Class A(a)		7,699,472
	409,700	Liberty Global PLC, Series C(a)		8,456,208
	39,092,000	Lloyds Banking Group PLC		25,768,652
	273,604	Meggitt PLC		1,643,548
	28,200	Reckitt Benckiser Group PLC		2,159,452
	5,462,900	Royal Bank of Scotland Group PLC		15,154,388
	500,489	Schroders PLC		15,587,128
	100	Schroders PLC, (Non Voting)		2,634
	378,800	Smiths Group PLC		6,594,514
	1,223,100	WPP PLC		13,310,984

				152,340,933

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark International Fund – (continued)


Shares		Description	Value (†)
		United States — 1.3%
	57,092	Willis Towers Watson PLC	$	8,669,991

		Total Common Stocks (Identified Cost $876,395,064)		692,469,514


		Total Investments — 100.9% (Identified Cost $876,395,064)		692,469,514
		Other assets less liabilities — (0.9)%		(6,419,682	)

		Net Assets — 100.0%	$	686,049,832


	(†)	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 December 31, 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		6/19/2019	CHF	B		6,902,000	$	7,095,312	$	7,135,771	$	40,459
State Street Bank and Trust Company		6/19/2019	CHF	S		18,348,000		19,420,189		18,969,448		450,741

Total											$	491,200

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of December 31, 2018

Natixis Oakmark International Fund – (continued)

Industry Summary at December 31, 2018


Banks	16.2	%
Media	10.3
Automobiles	8.8
Machinery	8.0
Capital Markets	6.0
Auto Components	5.3
Metals & Mining	4.8
Insurance	4.0
Diversified Financial Services	3.3
Trading Companies & Distributors	3.0
Specialty Retail	2.8
Semiconductors & Semiconductor Equipment	2.8
Pharmaceuticals	2.6
Airlines	2.2
Interactive Media & Services	2.1
Construction Materials	2.0
Other Investments, less than 2% each	16.7

Total Investments	100.9
Other assets less liabilities (including forward foreign currency contracts)	(0.9	)

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2018


Euro	39.7	%
British Pound	19.5
Swiss Franc	9.1
United States Dollar	8.0
Swedish Krona	5.9
Japanese Yen	5.2
South African Rand	2.8
Australian Dollar	2.7
South Korean Won	2.5
Other, less than 2% each	5.5

Total Investments	100.9
Other assets less liabilities (including forward foreign currency contracts)	(0.9	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 97.8% of Net Assets
		Aerospace & Defense — 2.0%
	53,600	AAR Corp.	$	2,001,424
	7,725	Moog, Inc., Class A		598,533

				2,599,957

		Banks — 14.0%
	61,575	Chemical Financial Corp.		2,254,261
	43,275	Enterprise Financial Services Corp.		1,628,438
	46,275	First Bancorp		1,511,342
	106,000	First Financial Bancorp		2,514,320
	64,350	First Merchants Corp.		2,205,274
	35,625	Lakeland Financial Corp.		1,430,700
	76,350	Pacific Premier Bancorp, Inc.(a)		1,948,452
	76,425	Union Bankshares Corp.		2,157,478
	106,400	United Community Banks, Inc.		2,283,344

				17,933,609

		Building Products — 1.0%
	21,950	American Woodmark Corp.(a)		1,222,176

		Capital Markets — 4.6%
	64,125	Blucora, Inc.(a)		1,708,290
	48,000	LPL Financial Holdings, Inc.		2,931,840
	47,350	Virtu Financial, Inc., Class A		1,219,736

				5,859,866

		Chemicals — 1.7%
	178,075	Platform Specialty Products Corp.(a)		1,839,515
	69,250	Venator Materials PLC(a)		290,157

				2,129,672

		Commercial Services & Supplies — 7.0%
	54,500	Brady Corp., Class A		2,368,570
	49,100	Brink’s Co. (The)		3,174,315
	30,075	Casella Waste Systems, Inc., Class A(a)		856,837
	39,375	KAR Auction Services, Inc.		1,878,975
	20,200	Multi-Color Corp.		708,818

				8,987,515

		Consumer Finance — 1.7%
	15,875	FirstCash, Inc.		1,148,556
	13,550	Green Dot Corp., Class A(a)		1,077,496

				2,226,052

		Containers & Packaging — 1.4%
	173,050	Graphic Packaging Holding Co.		1,841,252

		Diversified Consumer Services — 1.6%
	44,450	Adtalem Global Education, Inc.(a)		2,103,374

		Electrical Equipment — 1.2%
	136,500	GrafTech International Ltd.		1,561,560

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Electronic Equipment, Instruments & Components — 3.1%
	36,355	Fabrinet(a)	$	1,865,375
	12,660	Littelfuse, Inc.		2,170,937

				4,036,312

		Energy Equipment & Services — 1.7%
	134,875	Newpark Resources, Inc.(a)		926,591
	25,525	Oil States International, Inc.(a)		364,497
	35,600	ProPetro Holding Corp.(a)		438,592
	32,275	Unit Corp.(a)		460,887

				2,190,567

		Food & Staples Retailing — 1.6%
	61,425	Performance Food Group Co.(a)		1,982,185

		Gas Utilities — 4.6%
	41,575	Southwest Gas Holdings, Inc.		3,180,487
	37,525	Spire, Inc.		2,779,852

				5,960,339

		Health Care Equipment & Supplies — 5.6%
	39,375	Integra LifeSciences Holdings Corp.(a)		1,775,812
	64,650	Lantheus Holdings, Inc.(a)		1,011,772
	17,325	LivaNova PLC(a)		1,584,718
	33,225	Meridian Bioscience, Inc.		576,786
	43,625	Natus Medical, Inc.(a)		1,484,559
	14,225	NuVasive, Inc.(a)		704,991

				7,138,638

		Health Care Providers & Services — 1.0%
	22,250	AMN Healthcare Services, Inc.(a)		1,260,685

		Hotels, Restaurants & Leisure — 1.1%
	22,050	Dunkin’ Brands Group, Inc.		1,413,846

		Insurance — 4.1%
	104,150	Brown & Brown, Inc.		2,870,374
	38,175	Selective Insurance Group, Inc.		2,326,384

				5,196,758

		IT Services — 7.2%
	58,400	Booz Allen Hamilton Holding Corp.		2,632,088
	16,375	CACI International, Inc., Class A(a)		2,358,491
	39,725	Luxoft Holding, Inc.(a)		1,208,435
	104,625	Perspecta, Inc.		1,801,642
	95,850	Presidio, Inc.		1,250,843

				9,251,499

		Life Sciences Tools & Services — 0.9%
	12,800	PRA Health Sciences, Inc.(a)		1,177,088

		Machinery — 3.1%
	19,500	Albany International Corp., Class A		1,217,385
	30,700	Franklin Electric Co., Inc.		1,316,416

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Machinery — continued
	30,025	Hillenbrand, Inc.	$	1,138,848
	43,775	REV Group, Inc.		328,750

				4,001,399

		Media — 3.6%
	33,300	Nexstar Media Group, Inc., Class A		2,618,712
	178,025	TEGNA, Inc.		1,935,132

				4,553,844

		Oil, Gas & Consumable Fuels — 1.1%
	84,925	Callon Petroleum Co.(a)		551,163
	210,700	Kosmos Energy Ltd.(a)		857,549

				1,408,712

		REITs – Diversified — 1.4%
	101,675	CoreCivic, Inc.		1,812,865

		REITs – Mortgage — 1.6%
	155,475	Two Harbors Investment Corp.		1,996,299

		REITs – Office Property — 0.4%
	43,875	Brandywine Realty Trust		564,671

		REITs – Storage — 1.1%
	55,300	National Storage Affiliates Trust		1,463,238

		Road & Rail — 1.8%
	20,550	Landstar System, Inc.		1,966,018
	48,850	U.S. Xpress Enterprises, Inc., Class A(a)		274,049

				2,240,067

		Semiconductors & Semiconductor Equipment — 7.3%
	38,700	Diodes, Inc.(a)		1,248,462
	68,775	Integrated Device Technology, Inc.(a)		3,330,773
	87,675	Lattice Semiconductor Corp.(a)		606,711
	118,000	MaxLinear, Inc., Class A(a)		2,076,800
	7,200	Power Integrations, Inc.		439,056
	21,750	Silicon Laboratories, Inc.(a)		1,714,118

				9,415,920

		Software — 3.8%
	97,225	Cision Ltd.(a)		1,137,533
	32,025	CyberArk Software Ltd.(a)		2,374,333
	17,300	LogMeIn, Inc.		1,411,161

				4,923,027

		Specialty Retail — 1.3%
	40,050	Aaron’s, Inc.		1,684,103

		Textiles, Apparel & Luxury Goods — 2.6%
	24,975	Carter’s, Inc.		2,038,460
	40,775	Wolverine World Wide, Inc.		1,299,907

				3,338,367

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Small Cap Value Fund – (continued)


Shares		Description	Value (†)
		Thrifts & Mortgage Finance — 1.6%
	200,225	MGIC Investment Corp.(a)	$	2,094,354

		Total Common Stocks (Identified Cost $137,391,782)		125,569,816


	Closed-End Investment Companies — 0.5%
	47,350	BlackRock TCP Capital Corp. (Identified Cost $801,870)		617,444


Principal Amount
	Short-Term Investments — 2.1%
$	2,711,881	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $2,712,107 on 1/02/2019 collateralized by $2,870,000 U.S. Treasury Bond, 2.750% due 8/15/2042 valued at $2,767,719 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,711,881)		2,711,881


		Total Investments — 100.4% (Identified Cost $140,905,533)		128,899,141
		Other assets less liabilities — (0.4)%		(504,757	)

		Net Assets — 100.0%	$	128,394,384


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at December 31, 2018


Banks	14.0	%
Semiconductors & Semiconductor Equipment	7.3
IT Services	7.2
Commercial Services & Supplies	7.0
Health Care Equipment & Supplies	5.6
Gas Utilities	4.6
Capital Markets	4.6
Insurance	4.1
Software	3.8
Media	3.6
Electronic Equipment, Instruments & Components	3.1
Machinery	3.1
Textiles, Apparel & Luxury Goods	2.6
Aerospace & Defense	2.0
Other Investments, less than 2% each	25.2
Closed-End Investment Companies	0.5
Short-Term Investments	2.1

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks — 95.0% of Net Assets
		Banks — 6.2%
	490,775	Bank of NT Butterfield & Son Ltd. (The)	$	15,385,796
	365,300	Chemical Financial Corp.		13,373,633
	233,225	PacWest Bancorp		7,761,728

				36,521,157

		Building Products — 2.2%
	98,550	Allegion PLC		7,855,420
	111,700	Masonite International Corp.(a)		5,007,511

				12,862,931

		Capital Markets — 2.3%
	121,550	Nasdaq, Inc.		9,914,833
	80,800	SEI Investments Co.		3,732,960

				13,647,793

		Chemicals — 2.4%
	149,150	FMC Corp.		11,031,134
	111,025	PolyOne Corp.		3,175,315

				14,206,449

		Commercial Services & Supplies — 3.5%
	143,225	Brink’s Co. (The)		9,259,496
	241,125	KAR Auction Services, Inc.		11,506,485

				20,765,981

		Construction & Engineering — 1.2%
	733,875	WillScot Corp.(a)		6,913,103

		Consumer Finance — 0.9%
	222,075	Synchrony Financial		5,209,880

		Containers & Packaging — 3.2%
	72,925	Avery Dennison Corp.		6,550,853
	304,850	Crown Holdings, Inc.(a)		12,672,614

				19,223,467

		Diversified Consumer Services — 3.2%
	26,925	Bright Horizons Family Solutions, Inc.(a)		3,000,791
	692,475	Laureate Education, Inc., Class A(a)		10,553,319
	141,250	ServiceMaster Global Holdings, Inc.(a)		5,189,525

				18,743,635

		Electric Utilities — 2.4%
	219,450	Eversource Energy		14,273,028

		Electrical Equipment — 1.4%
	49,925	Hubbell, Inc.		4,959,549
	150,450	nVent Electric PLC		3,379,107

				8,338,656

		Electronic Equipment, Instruments & Components — 2.9%
	38,100	CDW Corp.		3,088,005

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Electronic Equipment, Instruments & Components — continued
	222,725	Keysight Technologies, Inc.(a)	$	13,826,768

				16,914,773

		Energy Equipment & Services — 0.6%
	164,250	Baker Hughes, a GE Co.		3,531,375

		Health Care Equipment & Supplies — 0.9%
	8,670	Cooper Cos., Inc. (The)		2,206,515
	77,525	Hologic, Inc.(a)		3,186,278

				5,392,793

		Health Care Providers & Services — 1.8%
	90,000	Centene Corp.(a)		10,377,000

		Hotels, Restaurants & Leisure — 2.5%
	249,650	Aramark		7,232,360
	197,100	Extended Stay America, Inc.		3,055,050
	84,100	Six Flags Entertainment Corp.		4,678,483

				14,965,893

		Household Durables — 2.0%
	57,825	Mohawk Industries, Inc.(a)		6,763,212
	268,935	Newell Brands, Inc.		4,999,502

				11,762,714

		Independent Power & Renewable Electricity Producers — 4.5%
	739,125	Atlantica Yield PLC		14,486,850
	526,925	Vistra Energy Corp.(a)		12,061,313

				26,548,163

		Insurance — 7.0%
	37,450	Allstate Corp. (The)		3,094,494
	176,075	Arthur J. Gallagher & Co.		12,976,727
	309,450	Athene Holding Ltd., Class A(a)		12,325,393
	91,325	Reinsurance Group of America, Inc.		12,806,505

				41,203,119

		IT Services — 9.1%
	48,610	Alliance Data Systems Corp.		7,295,389
	88,700	CACI International, Inc., Class A(a)		12,775,461
	149,150	Fidelity National Information Services, Inc.		15,295,332
	126,150	Fiserv, Inc.(a)		9,270,764
	90,675	Global Payments, Inc.		9,351,313

				53,988,259

		Life Sciences Tools & Services — 1.9%
	99,362	IQVIA Holdings, Inc.(a)		11,542,884

		Machinery — 2.4%
	98,550	Oshkosh Corp.		6,042,100
	226,000	Timken Co. (The)		8,434,320

				14,476,420

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
		Media — 2.9%
	222,075	Nexstar Media Group, Inc., Class A	$	17,463,978

		Metals & Mining — 1.4%
	1,158,300	Constellium NV, Class A(a)		8,096,517

		Multi-Utilities — 6.9%
	210,250	Ameren Corp.		13,714,607
	271,350	CMS Energy Corp.		13,472,528
	197,750	WEC Energy Group, Inc.		13,696,165

				40,883,300

		Multiline Retail — 0.5%
	29,575	Dollar General Corp.		3,196,466

		Oil, Gas & Consumable Fuels — 4.8%
	228,625	Continental Resources, Inc.(a)		9,188,439
	1,085,350	QEP Resources, Inc.(a)		6,110,520
	1,180,625	WPX Energy, Inc.(a)		13,400,094

				28,699,053

		REITs – Diversified — 4.8%
	262,800	CyrusOne, Inc.		13,896,864
	1,034,775	New Residential Investment Corp.		14,704,153

				28,601,017

		Road & Rail — 0.8%
	177,400	Knight-Swift Transportation Holdings, Inc.		4,447,418

		Semiconductors & Semiconductor Equipment — 1.1%
	72,925	Analog Devices, Inc.		6,259,153

		Software — 2.4%
	97,900	Check Point Software Technologies Ltd.(a)		10,049,435
	53,225	RingCentral, Inc., Class A(a)		4,387,869

				14,437,304

		Specialty Retail — 0.5%
	84,750	Signet Jewelers Ltd.		2,692,508

		Textiles, Apparel & Luxury Goods — 1.3%
	248,350	Gildan Activewear, Inc.		7,539,906

		Thrifts & Mortgage Finance — 3.1%
	84,750	Essent Group Ltd.(a)		2,896,755
	268,050	MGIC Investment Corp.(a)		2,803,803
	819,370	Mr. Cooper Group, Inc.(a)		9,562,048
	195,775	Radian Group, Inc.		3,202,879

				18,465,485

		Total Common Stocks (Identified Cost $592,247,270)		562,191,578

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Value Opportunity Fund – (continued)


Shares		Description	Value (†)
	Closed-End Investment Companies — 2.7%
	1,042,000	Ares Capital Corp. (Identified Cost $15,614,120)	$	16,234,360


Principal Amount
	Short-Term Investments — 1.3%
$	7,410,750	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $7,411,367 on 1/02/2019 collateralized by $5,525,000 U.S. Treasury Inflation Indexed Bond, 2.125% due 2/15/2041 valued at $7,562,974 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,410,750)		7,410,750


		Total Investments — 99.0% (Identified Cost $615,272,140)		585,836,688
		Other assets less liabilities — 1.0%		5,886,248

		Net Assets — 100.0%	$	591,722,936


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of December 31, 2018

Vaughan Nelson Value Opportunity Fund – (continued)

Industry Summary at December 31, 2018


IT Services	9.1	%
Insurance	7.0
Multi-Utilities	6.9
Banks	6.2
Oil, Gas & Consumable Fuels	4.8
REITs – Diversified	4.8
Independent Power & Renewable Electricity Producers	4.5
Commercial Services & Supplies	3.5
Containers & Packaging	3.2
Diversified Consumer Services	3.2
Thrifts & Mortgage Finance	3.1
Media	2.9
Electronic Equipment, Instruments & Components	2.9
Hotels, Restaurants & Leisure	2.5
Machinery	2.4
Software	2.4
Electric Utilities	2.4
Chemicals	2.4
Capital Markets	2.3
Building Products	2.2
Household Durables	2.0
Other Investments, less than 2% each	14.3
Closed-End Investment Companies	2.7
Short-Term Investments	1.3

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

See accompanying notes to financial statements.

| 54

Statements of Assets and Liabilities

December 31, 2018


	McDonnell Intermediate Municipal Bond Fund			Natixis Oakmark Fund		Natixis Oakmark International Fund
ASSETS
Investments at cost	$	20,381,997		$	268,698,144	$	876,395,064
Net unrealized appreciation (depreciation)		489,008			701,424		(183,925,550	)

Investments at value		20,871,005			269,399,568		692,469,514
Cash		708,703			—		—
Foreign currency at value (identified cost $0, $0 and $42,710, respectively)		—			—		42,731
Receivable for Fund shares sold		16,685			4,439,762		2,259,699
Receivable from investment adviser (Note 6)		3,843			—		—
Receivable for securities sold		455,174			961,524		7,968,127
Dividends and interest receivable		299,021			167,881		34,255
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—		491,200
Tax reclaims receivable		—			95,775		1,759,141
Prepaid expenses (Note 8)		17			168		644

TOTAL ASSETS		22,354,448			275,064,678		705,025,311

LIABILITIES
Payable for securities purchased		—			71,153		201,572
Payable for Fund shares redeemed		6,301			2,015,171		17,226,873
Foreign taxes payable (Note 2)		—			—		189,247
Distributions payable		28,020			—		—
Management fees payable (Note 6)		—			172,379		548,621
Deferred Trustees’ fees (Note 6)		48,231			509,304		89,740
Administrative fees payable (Note 6)		779			10,428		26,629
Payable to distributor (Note 6d)		64			1,590		10,117
Other accounts payable and accrued expenses		66,549			91,866		682,680

TOTAL LIABILITIES		149,944			2,871,891		18,975,479

NET ASSETS	$	22,204,504		$	272,192,787	$	686,049,832

NET ASSETS CONSIST OF:
Paid-in capital	$	22,446,737		$	261,246,771	$	903,502,897
Accumulated earnings (loss)		(242,233	)		10,946,016		(217,453,065	)

NET ASSETS	$	22,204,504		$	272,192,787	$	686,049,832

See accompanying notes to financial statements.

55 |

Statements of Assets and Liabilities (continued)

December 31, 2018


	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	$	6,019,458	$	164,747,883		$	257,551,296

Shares of beneficial interest		603,576		8,472,552			22,818,007

Net asset value and redemption price per share	$	9.97	$	19.44		$	11.29

Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.28	$	20.63		$	11.98

Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,674,745	$	53,606,343		$	212,618,178

Shares of beneficial interest		167,880		3,217,416			19,131,353

Net asset value and offering price per share	$	9.98	$	16.66		$	11.11

Class N shares:
Net assets	$	—	$	9,604		$	757,696

Shares of beneficial interest		—		469			67,331

Net asset value, offering and redemption price per share	$	—	$	20.49	*	$	11.25

Class Y shares:
Net assets	$	14,510,301	$	53,828,957		$	215,122,662

Shares of beneficial interest		1,452,892		2,630,753			19,128,862

Net asset value, offering and redemption price per share	$	9.99	$	20.46		$	11.25

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

See accompanying notes to financial statements.

| 56

Statements of Assets and Liabilities (continued)

December 31, 2018


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	140,905,533		$	615,272,140
Net unrealized depreciation		(12,006,392	)		(29,435,452	)

Investments at value		128,899,141			585,836,688
Receivable for Fund shares sold		633,496			2,878,321
Receivable for securities sold		2,509,090			13,757,989
Dividends and interest receivable		229,026			869,124
Prepaid expenses (Note 8)		128			510

TOTAL ASSETS		132,270,881			603,342,632

LIABILITIES
Payable for Fund shares redeemed		3,475,612			10,865,859
Management fees payable (Note 6)		111,962			462,030
Deferred Trustees’ fees (Note 6)		197,567			136,502
Administrative fees payable (Note 6)		4,955			23,056
Payable to distributor (Note 6d)		1,077			6,076
Other accounts payable and accrued expenses		85,324			126,173

TOTAL LIABILITIES		3,876,497			11,619,696

NET ASSETS	$	128,394,384		$	591,722,936

NET ASSETS CONSIST OF:
Paid-in capital	$	144,981,421		$	642,298,538
Accumulated loss		(16,587,037	)		(50,575,602	)

NET ASSETS	$	128,394,384		$	591,722,936

See accompanying notes to financial statements.

57 |

Statements of Assets and Liabilities (continued)

December 31, 2018


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	66,375,891		$	43,768,676

Shares of beneficial interest		5,317,169			2,519,551

Net asset value and redemption price per share	$	12.48		$	17.37

Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1)	$	13.24		$	18.43

Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	3,479,900		$	23,966,658

Shares of beneficial interest		542,773			1,458,909

Net asset value and offering price per share	$	6.41		$	16.43

Class N shares:
Net assets	$	917		$	70,902,448

Shares of beneficial interest		70			4,042,273

Net asset value, offering and redemption price per share	$	13.08	*	$	17.54

Class Y shares:
Net assets	$	58,537,676		$	453,085,154

Shares of beneficial interest		4,476,199			25,792,309

Net asset value, offering and redemption price per share	$	13.08		$	17.57

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

See accompanying notes to financial statements.

| 58

Statements of Operations

For the Year Ended December 31, 2018


	McDonnell Intermediate Municipal Bond Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	27,528		$	5,033,264		$	33,295,376
Non-cash dividends (Note 2b)		—			—			2,417,771
Interest		779,335			151,541			235,183
Less net foreign taxes withheld		—			(27,145	)		(3,569,520	)

		806,863			5,157,660			32,378,810

Expenses
Management fees (Note 6)		110,246			2,269,902			9,186,539
Service and distribution fees (Note 6)		36,247			1,158,634			4,584,519
Administrative fees (Note 6)		12,103			146,703			474,361
Trustees’ fees and expenses (Note 6)		15,517			22,031			42,293
Transfer agent fees and expenses (Notes 6 and 7)		12,819			281,297			1,012,909
Audit and tax services fees		53,212			41,443			42,894
Custodian fees and expenses		5,143			16,404			474,349
Legal fees		579			7,126			25,509
Registration fees		56,247			91,171			129,053
Shareholder reporting expenses		5,016			29,688			94,537
Miscellaneous expenses (Note 8)		16,558			24,546			54,329

Total expenses		323,687			4,088,945			16,121,292
Less waiver and/or expense reimbursement (Note 6)		(163,413	)		(959	)		(2,252	)

Net expenses		160,274			4,087,986			16,119,040

Net investment income		646,589			1,069,674			16,259,770

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(22,955	)		32,340,899			49,438,783
Forward foreign currency contracts (Note 2d)		—			—			948,366
Foreign currency transactions (Note 2c)		—			—			(311,716	)
Net change in unrealized appreciation (depreciation) on:
Investments		(735,309	)		(79,134,938	)		(341,707,765	)
Forward foreign currency contracts (Note 2d)		—			—			152,401
Foreign currency translations (Note 2c)		—			—			(63,566	)

Net realized and unrealized loss on investments, forward foreign currency contracts and foreign currency transactions		(758,264	)		(46,794,039	)		(291,543,497	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(111,675	)	$	(45,724,365	)	$	(275,283,727	)

See accompanying notes to financial statements.

59 |

Statements of Operations (continued)

For the Year Ended December 31, 2018


	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	3,075,322		$	15,045,680
Interest		49,468			158,636
Less net foreign taxes withheld		—			(10,592	)

		3,124,790			15,193,724

Expenses
Management fees (Note 6)		2,059,281			7,376,974
Service and distribution fees (Note 6)		308,450			528,653
Administrative fees (Note 6)		100,598			403,699
Trustees’ fees and expenses (Note 6)		21,360			37,920
Transfer agent fees and expenses (Notes 6 and 7)		193,434			849,101
Audit and tax services fees		41,440			42,393
Custodian fees and expenses		23,803			32,832
Legal fees		5,287			20,144
Registration fees		74,302			90,867
Shareholder reporting expenses		23,888			79,403
Miscellaneous expenses (Note 8)		25,682			56,397

Total expenses		2,877,525			9,518,383
Less waiver and/or expense reimbursement (Note 6)		(574	)		(1,913	)

Net expenses		2,876,951			9,516,470

Net investment income		247,839			5,677,254

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		23,578,542			30,646,121
Net change in unrealized appreciation (depreciation) on:
Investments		(48,703,398	)		(163,168,095	)

Net realized and unrealized loss on investments		(25,124,856	)		(132,521,974	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(24,877,017	)	$	(126,844,720	)

See accompanying notes to financial statements.

| 60

Statements of Changes in Net Assets


	McDonnell Intermediate Municipal Bond Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income	$	646,589		$	914,887
Net realized gain (loss) on investments		(22,955	)		97,698
Net change in unrealized appreciation (depreciation) on investments		(735,309	)		1,414,558

Net increase (decrease) in net assets resulting from operations		(111,675	)		2,427,143

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(153,865	)		(99,522	)(a)
Class C		(30,521	)		(32,160	)(a)
Class Y		(484,050	)		(783,205	)(a)

Total distributions		(668,436	)		(914,887	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(14,374,067	)		(22,821,654	)

Net decrease in net assets		(15,154,178	)		(21,309,398	)
NET ASSETS
Beginning of the year		37,358,682			58,668,080

End of the year	$	22,204,504		$	37,358,682

(a)	See Note 2e of Notes to Financial Statements.

See accompanying notes to financial statements.

61 |

Statements of Changes in Net Assets (continued)


	Natixis Oakmark Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	1,069,674		$	989,926
Net realized gain on investments		32,340,899			13,670,587
Net change in unrealized appreciation (depreciation) on investments		(79,134,938	)		38,589,712

Net increase (decrease) in net assets resulting from operations		(45,724,365	)		53,250,225

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(16,729,106	)		(8,304,419	)(b)
Class C		(5,776,265	)		(2,718,648	)(b)
Class N		(783	)		(34	)(b)
Class Y		(5,137,882	)		(1,901,451	)(b)

Total distributions		(27,644,036	)		(12,924,552	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		29,541,538			20,495,702

Net increase (decrease) in net assets		(43,826,863	)		60,821,375
NET ASSETS
Beginning of the year		316,019,650			255,198,275

End of the year	$	272,192,787		$	316,019,650

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

(b)	See Note 2e of Notes to Financial Statements.

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	16,259,770		$	9,142,411
Net realized gain on investments, forward foreign currency contracts and foreign currency transactions		50,075,433			73,087,121
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations		(341,618,930	)		154,881,359

Net increase (decrease) in net assets resulting from operations		(275,283,727	)		237,110,891

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(12,193,845	)		(6,211,826	)(b)
Class C		(7,685,820	)		(1,761,751	)(b)
Class N		(36,370	)		(15	)(b)
Class Y		(10,861,877	)		(2,269,896	)(b)

Total distributions		(30,777,912	)		(10,243,488	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(147,874,002	)		124,756,585

Net increase (decrease) in net assets		(453,935,641	)		351,623,988
NET ASSETS
Beginning of the year		1,139,985,473			788,361,485

End of the year	$	686,049,832		$	1,139,985,473

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

(b)	See Note 2e of Notes to Financial Statements.

See accompanying notes to financial statements.

63 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Small Cap Value Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	247,839		$	264,100
Net realized gain on investments		23,578,542			29,836,014
Net change in unrealized appreciation (depreciation) on investments		(48,703,398	)		(11,434,967	)

Net increase (decrease) in net assets resulting from operations		(24,877,017	)		18,665,147

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(15,434,632	)		(11,106,746	)(b)
Class C		(1,814,602	)		(2,933,429	)(b)
Class N		(200	)		(82	)(b)
Class Y		(16,863,125	)		(20,862,083	)(b)

Total distributions		(34,112,559	)		(34,902,340	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(99,064,102	)		(7,286,538	)

Net decrease in net assets		(158,053,678	)		(23,523,731	)
NET ASSETS
Beginning of the year		286,448,062			309,971,793

End of the year	$	128,394,384		$	286,448,062

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

(b)	See Note 2e of Notes to Financial Statements.

See accompanying notes to financial statements.

| 64

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Value Opportunity Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	5,677,254		$	10,626,323
Net realized gain on investments		30,646,121			64,998,167
Net change in unrealized appreciation (depreciation) on investments		(163,168,095	)		55,298,171

Net increase (decrease) in net assets resulting from operations		(126,844,720	)		130,922,661

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(4,208,463	)		(1,624,259	)(b)
Class C		(2,370,741	)		(814,625	)(b)
Class N		(6,683,144	)		(3,662,639	)(b)
Class Y		(47,408,833	)		(20,633,085	)(b)

Total distributions		(60,671,181	)		(26,734,608	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(244,014,953	)		(289,302,758	)

Net decrease in net assets		(431,530,854	)		(185,114,705	)
NET ASSETS
Beginning of the year		1,023,253,790			1,208,368,495

End of the year	$	591,722,936		$	1,023,253,790

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

(b)	See Note 2e of Notes to Financial Statements.

See accompanying notes to financial statements.

65 |

Financial Highlights

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	10.17		$	9.89		$	10.09		$	10.00		$	9.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.19			0.12			0.13			0.11
Net realized and unrealized gain (loss)		(0.19	)		0.28			(0.20	)		0.10			0.47

Total from Investment Operations		0.03			0.47			(0.08	)		0.23			0.58

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.19	)		(0.12	)		(0.14	)		(0.12	)

Net asset value, end of the period	$	9.97		$	10.17		$	9.89		$	10.09		$	10.00

Total return(b)(c)		0.33	%		4.77	%		(0.79	)%		2.28	%		6.08	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	6,019		$	6,004		$	5,474		$	6,427		$	2,399
Net expenses(d)		0.70	%		0.70	%		0.70	%		0.74	%(e)		0.80	%
Gross expenses		1.30	%		1.10	%		0.88	%		1.12	%		1.26	%
Net investment income		2.24	%		1.87	%		1.19	%		1.27	%		1.15	%
Portfolio turnover rate		65	%		34	%		48	%		20	%		10	%

(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)	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)	Effective July 1, 2015, the expense limit decreased from 0.80% to 0.70%.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	10.18		$	9.90		$	10.09		$	9.99		$	9.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.11			0.04			0.05			0.04
Net realized and unrealized gain (loss)		(0.19	)		0.28			(0.18	)		0.11			0.45

Total from Investment Operations		(0.04	)		0.39			(0.14	)		0.16			0.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.11	)		(0.05	)		(0.06	)		(0.04	)

Net asset value, end of the period	$	9.98		$	10.18		$	9.90		$	10.09		$	9.99

Total return(b)(c)		(0.42	)%		3.98	%		(1.44	)%		1.63	%		5.18	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,675		$	2,395		$	4,015		$	6,355		$	2,223
Net expenses(d)		1.45	%		1.45	%		1.45	%		1.49	%(e)		1.55	%
Gross expenses		2.05	%		1.83	%		1.63	%		1.88	%		2.04	%
Net investment income		1.49	%		1.10	%		0.44	%		0.52	%		0.41	%
Portfolio turnover rate		65	%		34	%		48	%		20	%		10	%

(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)	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)	Effective July 1, 2015, the expense limit decreased from 1.55% to 1.45%.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	McDonnell Intermediate Municipal Bond Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	10.19		$	9.90		$	10.10		$	10.00		$	9.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.21			0.15			0.15			0.14
Net realized and unrealized gain (loss)		(0.20	)		0.29			(0.20	)		0.11			0.46
															��
Total from Investment Operations		0.05			0.50			(0.05	)		0.26			0.60

LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.21	)		(0.15	)		(0.16	)		(0.14	)

Net asset value, end of the period	$	9.99		$	10.19		$	9.90		$	10.10		$	10.00

Total return(b)		0.58	%		5.13	%		(0.55	)%		2.63	%		6.36	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14,510		$	28,960		$	49,179		$	66,713		$	28,314
Net expenses(c)		0.45	%		0.45	%		0.45	%		0.49	%(d)		0.55	%
Gross expenses		1.04	%		0.83	%		0.63	%		0.85	%		1.02	%
Net investment income		2.47	%		2.09	%		1.44	%		1.48	%		1.46	%
Portfolio turnover rate		65	%		34	%		48	%		20	%		10	%

(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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(d)	Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	24.72		$	21.37		$	18.79		$	20.43		$	21.40

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.11			0.16			0.14			0.10
Net realized and unrealized gain (loss)		(3.28	)		4.28			3.20			(1.02	)		2.11

Total from Investment Operations		(3.18	)		4.39			3.36			(0.88	)		2.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.10	)		(0.16	)		(0.13	)		(0.07	)
Net realized capital gains		(2.02	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)

Total Distributions		(2.10	)		(1.04	)		(0.78	)		(0.76	)		(3.18	)

Net asset value, end of the period	$	19.44		$	24.72		$	21.37		$	18.79		$	20.43

Total return(b)		(13.01	)%		20.75	%		18.37	%		(4.41	)%		10.43	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	164,748		$	203,792		$	173,036		$	173,925		$	195,061
Net expenses		1.13	%		1.18	%		1.18	%		1.14	%		1.22	%
Gross expenses		1.13	%		1.18	%		1.18	%		1.14	%		1.22	%
Net investment income		0.41	%		0.48	%		0.82	%		0.68	%		0.44	%
Portfolio turnover rate		39	%		16	%		16	%		23	%		64	%

(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.

See accompanying notes to financial statements.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	21.58		$	18.83		$	16.65		$	18.19		$	19.48

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.07	)		(0.05	)		0.01			(0.01	)		(0.06	)
Net realized and unrealized gain (loss)		(2.83	)		3.74			2.80			(0.90	)		1.90

Total from Investment Operations		(2.90	)		3.69			2.81			(0.91	)		1.84

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.01	)		(0.00	)(b)		(0.02	)
Net realized capital gains		(2.02	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)

Total Distributions		(2.02	)		(0.94	)		(0.63	)		(0.63	)		(3.13	)

Net asset value, end of the period	$	16.66		$	21.58		$	18.83		$	16.65		$	18.19

Total return(c)		(13.63	)%		19.85	%		17.45	%		(5.07	)%		9.55	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	53,606		$	62,272		$	55,910		$	70,616		$	62,941
Net expenses		1.88	%		1.93	%		1.93	%		1.89	%		1.97	%
Gross expenses		1.88	%		1.93	%		1.93	%		1.89	%		1.97	%
Net investment income (loss)		(0.33	)%		(0.27	)%		0.09	%		(0.07	)%		(0.30	)%
Portfolio turnover rate		39	%		16	%		16	%		23	%		64	%

(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.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Year Ended December 31, 2018			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)		0.22			0.14
Net realized and unrealized gain (loss)		(3.45	)		3.44

Total from Investment Operations		(3.23	)		3.58

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.17	)
Net realized capital gains		(2.02	)		(0.63	)

Total Distributions		(2.19	)		(0.80	)

Net asset value, end of the period	$	20.49		$	25.91

Total return(b)		(12.60	)%		15.46	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10		$	1
Net expenses(d)		0.75	%		0.75	%(e)
Gross expenses		3.79	%		13.79	%(e)
Net investment income		0.88	%	��	0.84	%(e)
Portfolio turnover rate		39	%		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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	25.90		$	22.34		$	19.60		$	21.28		$	22.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.17			0.21			0.19			0.15
Net realized and unrealized gain (loss)		(3.44	)		4.48			3.36			(1.06	)		2.20

Total from Investment Operations		(3.27	)		4.65			3.57			(0.87	)		2.35

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.15	)		(0.21	)		(0.18	)		(0.12	)
Net realized capital gains		(2.02	)		(0.94	)		(0.62	)		(0.63	)		(3.11	)

Total Distributions		(2.17	)		(1.09	)		(0.83	)		(0.81	)		(3.23	)

Net asset value, end of the period	$	20.46		$	25.90		$	22.34		$	19.60		$	21.28

Total return		(12.76	)%		21.05	%		18.69	%		(4.18	)%		10.70	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	53,829		$	49,955		$	26,252		$	21,696		$	26,694
Net expenses		0.88	%		0.93	%		0.92	%		0.89	%		0.97	%
Gross expenses		0.88	%		0.93	%		0.92	%		0.89	%		0.97	%
Net investment income		0.68	%		0.71	%		1.05	%		0.92	%		0.67	%
Portfolio turnover rate		39	%		16	%		16	%		23	%		64	%

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

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	15.58		$	12.15		$	11.47		$	12.44		$	13.74

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.18			0.17			0.15			0.18
Net realized and unrealized gain (loss)		(4.02	)		3.41			0.76			(0.80	)		(1.01	)

Total from Investment Operations		(3.77	)		3.59			0.93			(0.65	)		(0.83	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.29	)		(0.16	)		(0.21	)		(0.20	)		(0.25	)
Net realized capital gains		(0.23	)		—			(0.04	)		(0.12	)		(0.22	)

Total Distributions		(0.52	)		(0.16	)		(0.25	)		(0.32	)		(0.47	)

Net asset value, end of the period	$	11.29		$	15.58		$	12.15		$	11.47		$	12.44

Total return(b)		(24.15	)%		29.56	%		8.19	%		(5.35	)%		(6.05	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	257,551		$	603,988		$	533,112		$	722,805		$	617,383
Net expenses		1.31	%		1.32	%		1.34	%		1.31	%		1.31	%
Gross expenses		1.31	%		1.32	%		1.34	%		1.31	%		1.31	%
Net investment income		1.72	%		1.28	%		1.54	%		1.17	%		1.34	%
Portfolio turnover rate		50	%		40	%		41	%		51	%		31	%

(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.

See accompanying notes to financial statements.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	15.30		$	11.96		$	11.29		$	12.25		$	13.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.06			0.08			0.05			0.08
Net realized and unrealized gain (loss)		(3.92	)		3.35			0.74			(0.78	)		(0.98	)

Total from Investment Operations		(3.79	)		3.41			0.82			(0.73	)		(0.90	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.07	)		(0.11	)		(0.11	)		(0.16	)
Net realized capital gains		(0.23	)		—			(0.04	)		(0.12	)		(0.22	)

Total Distributions		(0.40	)		(0.07	)		(0.15	)		(0.23	)		(0.38	)

Net asset value, end of the period	$	11.11		$	15.30		$	11.96		$	11.29		$	12.25

Total return(b)		(24.74	)%		28.55	%		7.36	%		(6.08	)%		(6.67	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	212,618		$	363,018		$	255,249		$	341,959		$	327,319
Net expenses		2.07	%		2.07	%		2.09	%		2.06	%		2.05	%
Gross expenses		2.07	%		2.07	%		2.09	%		2.06	%		2.05	%
Net investment income		0.94	%		0.42	%		0.73	%		0.39	%		0.61	%
Portfolio turnover rate		50	%		40	%		41	%		51	%		31	%

(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.

See accompanying notes to financial statements.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Year Ended December 31, 2018			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)		0.28			0.15
Net realized and unrealized gain (loss)		(4.02	)		1.66

Total from Investment Operations		(3.74	)		1.81

LESS DISTRIBUTIONS FROM:
Net investment income		(0.36	)		(0.21	)
Net realized capital gains		(0.23	)		—

Total Distributions		(0.59	)		(0.21	)

Net asset value, end of the period	$	11.25		$	15.58

Total return(b)		(23.94	)%		12.96	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	758		$	1
Net expenses(d)		0.99	%		0.92	%(e)
Gross expenses		1.02	%		25.21	%(e)
Net investment income		2.04	%		1.54	%(e)
Portfolio turnover rate		50	%		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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Year Ended December 31, 2018			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)		0.26			0.00	(b)
Net realized and unrealized gain (loss)		(3.99	)		1.79

Total from Investment Operations		(3.73	)		1.79

LESS DISTRIBUTIONS FROM:
Net investment income		(0.35	)		(0.21	)
Net realized capital gains		(0.23	)		—

Total Distributions		(0.58	)		(0.21	)

Net asset value, end of the period	$	11.25		$	15.56

Total return		(23.93	)%		12.79	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	215,123		$	172,978
Net expenses		1.07	%		1.07	%(d)
Gross expenses		1.07	%		1.07	%(d)
Net investment income		1.85	%		0.03	%(d)
Portfolio turnover rate		50	%		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.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	18.71		$	19.79		$	17.74		$	20.65		$	22.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			(0.01	)		0.02			0.06	(b)		(0.06	)
Net realized and unrealized gain (loss)		(2.76	)		1.21			3.49			(0.07	)		1.95

Total from Investment Operations		(2.75	)		1.20			3.51			(0.01	)		1.89

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.00	)(c)		(0.01	)		(0.04	)		—
Net realized capital gains		(3.48	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)

Total Distributions		(3.48	)		(2.28	)		(1.46	)		(2.90	)		(3.58	)

Net asset value, end of the period	$	12.48		$	18.71		$	19.79		$	17.74		$	20.65

Total return(d)		(14.84	)%		6.28	%		20.24	%		(0.29	)%(b)		8.79	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	66,376		$	93,751		$	106,447		$	103,092		$	125,201
Net expenses		1.38	%		1.36	%		1.35	%		1.35	%		1.37	%
Gross expenses		1.38	%		1.36	%		1.35	%		1.35	%		1.37	%
Net investment income (loss)		0.03	%		(0.03	)%		0.11	%		0.26	%(b)		(0.27	)%
Portfolio turnover rate		70	%		92	%		74	%		62	%		58	%

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

(b)	Includesnon-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)	Amount rounds to less than $0.01 per share.

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

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	11.67		$	13.26		$	12.39		$	15.36		$	17.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.09	)		(0.10	)		(0.08	)		(0.08	)(b)		(0.18	)
Net realized and unrealized gain (loss)		(1.69	)		0.79			2.40			(0.03	)		1.51

Total from Investment Operations		(1.78	)		0.69			2.32			(0.11	)		1.33

LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.00	)(c)		—			—			—
Net realized capital gains		(3.48	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)

Total Distributions		(3.48	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)

Net asset value, end of the period	$	6.41		$	11.67		$	13.26		$	12.39		$	15.36

Total return(d)		(15.51	)%		5.50	%		19.32	%		(1.02	)%(b)		7.94	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,480		$	15,756		$	20,379		$	21,188		$	27,292
Net expenses		2.12	%		2.11	%		2.10	%		2.10	%		2.12	%
Gross expenses		2.12	%		2.11	%		2.10	%		2.10	%		2.12	%
Net investment loss		(0.83	)%		(0.79	)%		(0.64	)%		(0.48	)%(b)		(1.02	)%
Portfolio turnover rate		70	%		92	%		74	%		62	%		58	%

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

(b)	Includesnon-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)	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.

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Year Ended December 31, 2018			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)		0.08			0.07
Net realized and unrealized gain (loss)		(2.86	)		1.35

Total from Investment Operations		(2.78	)		1.42

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.02	)
Net realized capital gains		(3.48	)		(1.58	)

Total Distributions		(3.51	)		(1.60	)

Net asset value, end of the period	$	13.08		$	19.37

Total return(b)		(14.48	)%		7.17	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses(d)		0.96	%		0.96	%(e)
Gross expenses		15.17	%		14.68	%(e)
Net investment income		0.43	%		0.56	%(e)
Portfolio turnover rate		70	%		92	%(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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	19.37		$	20.36		$	18.21		$	21.13		$	22.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			0.05			0.07			0.11	(b)		(0.00	)(c)
Net realized and unrealized gain (loss)		(2.84	)		1.25			3.59			(0.07	)		1.98

Total from Investment Operations		(2.80	)		1.30			3.66			0.04			1.98

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.01	)		(0.06	)		(0.10	)		—
Net realized capital gains		(3.48	)		(2.28	)		(1.45	)		(2.86	)		(3.58	)

Total Distributions		(3.49	)		(2.29	)		(1.51	)		(2.96	)		(3.58	)

Net asset value, end of the period	$	13.08		$	19.37		$	20.36		$	18.21		$	21.13

Total return		(14.61	)%		6.60	%		20.53	%		(0.05	)%(b)		9.04	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	58,538		$	176,940		$	183,145		$	179,322		$	176,905
Net expenses		1.12	%		1.11	%		1.10	%		1.10	%		1.12	%
Gross expenses		1.12	%		1.11	%		1.10	%		1.10	%		1.12	%
Net investment income (loss)		0.22	%		0.23	%		0.36	%		0.50	%(b)		(0.01	)%
Portfolio turnover rate		70	%		92	%		74	%		62	%		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.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	22.65		$	20.55		$	20.04		$	21.29		$	20.63

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.09			0.17	(b)		0.07			0.03	(c)		(0.08	)
Net realized and unrealized gain (loss)		(3.71	)		2.48			1.05			(0.79	)		2.31

Total from Investment Operations		(3.62	)		2.65			1.12			(0.76	)		2.23

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.18	)		(0.05	)		(0.02	)		—
Net realized capital gains		(1.51	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)

Total Distributions		(1.66	)		(0.55	)		(0.61	)		(0.49	)		(1.57	)

Net asset value, end of the period	$	17.37		$	22.65		$	20.55		$	20.04		$	21.29

Total return(d)		(16.10	)%		12.93	%(b)		5.85	%		(3.66	)%(c)		10.92	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	43,769		$	67,186		$	87,536		$	142,833		$	73,237
Net expenses		1.24	%		1.22	%		1.23	%		1.23	%		1.25	%
Gross expenses		1.24	%		1.22	%		1.23	%		1.23	%		1.25	%
Net investment income (loss)		0.42	%		0.77	%(b)		0.35	%		0.16	%(c)		(0.37	)%
Portfolio turnover rate		44	%		42	%		57	%		32	%		58	%

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

(b)	Includes anon-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 anon-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.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	21.50		$	19.51		$	19.16		$	20.51		$	20.07

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.08	)		0.00	(b)(c)		(0.07	)		(0.13	)(d)		(0.23	)
Net realized and unrealized gain (loss)		(3.48	)		2.36			0.98			(0.75	)		2.24

Total from Investment Operations		(3.56	)		2.36			0.91			(0.88	)		2.01

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(b)		—			—
Net realized capital gains		(1.51	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)

Total Distributions		(1.51	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)

Net asset value, end of the period	$	16.43		$	21.50		$	19.51		$	19.16		$	20.51

Total return(e)		(16.71	)%		12.11	%(c)		5.03	%		(4.39	)%(d)		10.12	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	23,967		$	47,559		$	68,923		$	89,284		$	35,894
Net expenses		1.98	%		1.97	%		1.98	%		1.98	%		2.00	%
Gross expenses		1.98	%		1.97	%		1.98	%		1.98	%		2.00	%
Net investment income (loss)		(0.36	)%		0.00	%(c)(f)		(0.38	)%		(0.61	)%(d)		(1.10	)%
Portfolio turnover rate		44	%		42	%		57	%		32	%		58	%

(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 anon-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 anon-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)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class N
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	22.87		$	20.75		$	20.26		$	21.50		$	20.76

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.17			0.25	(b)		0.16			0.11	(c)		(0.00	)(d)
Net realized and unrealized gain (loss)		(3.75	)		2.51			1.04			(0.81	)		2.31

Total from Investment Operations		(3.58	)		2.76			1.20			(0.70	)		2.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.24	)		(0.27	)		(0.15	)		(0.07	)		—
Net realized capital gains		(1.51	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)

Total Distributions		(1.75	)		(0.64	)		(0.71	)		(0.54	)		(1.57	)

Net asset value, end of the period	$	17.54		$	22.87		$	20.75		$	20.26		$	21.50

Total return		(15.78	)%		13.31	%(b)		6.21	%		(3.35	)%(c)		11.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	70,902		$	134,205		$	148,365		$	65,010		$	12,024
Net expenses		0.88	%		0.88	%		0.88	%		0.89	%		0.91	%(e)
Gross expenses		0.88	%		0.88	%		0.88	%		0.89	%		0.91	%(e)
Net investment income (loss)		0.76	%		1.16	%(b)		0.78	%		0.50	%(c)		(0.00	)%(f)
Portfolio turnover rate		44	%		42	%		57	%		32	%		58	%

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

(b)	Includes anon-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 anon-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)	Includes fee/expense recovery of less than 0.01%.

(f)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Value Opportunity Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	22.89		$	20.77		$	20.27		$	21.52		$	20.78

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.15			0.23	(b)		0.12			0.09	(c)		(0.02	)
Net realized and unrealized gain (loss)		(3.75	)		2.51			1.07			(0.82	)		2.33

Total from Investment Operations		(3.60	)		2.74			1.19			(0.73	)		2.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.25	)		(0.13	)		(0.05	)		—
Net realized capital gains		(1.51	)		(0.37	)		(0.56	)		(0.47	)		(1.57	)

Total Distributions		(1.72	)		(0.62	)		(0.69	)		(0.52	)		(1.57	)

Net asset value, end of the period	$	17.57		$	22.89		$	20.77		$	20.27		$	21.52

Total return		(15.85	)%		13.19	%(b)		6.14	%		(3.47	)%(c)		11.23	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	453,085		$	774,304		$	903,545		$	1,133,634		$	656,071
Net expenses		0.99	%		0.97	%		0.98	%		0.98	%		1.00	%
Gross expenses		0.99	%		0.97	%		0.98	%		0.98	%		1.00	%
Net investment income (loss)		0.66	%		1.04	%(b)		0.62	%		0.39	%(c)		(0.10	)%
Portfolio turnover rate		44	%		42	%		57	%		32	%		58	%

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

(b)	Includes anon-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 anon-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%.

See accompanying notes to financial statements.

| 84

Notes to Financial Statements

December 31, 2018

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 anopen-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

Natixis Oakmark International Fund

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

Natixis Funds Trust II:

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.

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 maximumfront-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 afront-end sales charge, pay higher Rule12b-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 afront-end sales charge, a CDSC or Rule12b-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.

85 |

Notes to Financial Statements (continued)

December 31, 2018

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 bornepro rataby the holders of each class of shares, except that each class bears expenses unique to the class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro ratashare of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser 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:

| 86

Notes to Financial Statements (continued)

December 31, 2018

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 December 31, 2018, securities held by Natixis Oakmark International Fund were fair valued as follows:


Equity securities¹	Percentage of Net Assets
$625,404,554		91.2	%

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. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded onex-dividend date, or in the case of certain foreign

87 |

Notes to Financial Statements (continued)

December 31, 2018

securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested are reflected asnon-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 calendaryear-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 apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

| 88

Notes to Financial Statements (continued)

December 31, 2018

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 tradedover-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. New Disclosure Requirements. In accordance with new reporting requirements pursuant to RegulationS-X of the Securities and Exchange Commission, presentation of certain amounts on the Statements of Changes in Net Assets for the year ended December 31, 2017 have been conformed to the new disclosure requirements. Where the prior disclosure of Distributions to Shareholders separately stated distributions from net investment income and from net realized capital gains for each share class of the Fund, they are now combined into a single line item for each respective share class. In addition, disclosure of Undistributed Net Investment Income and Distributions in Excess of Net Investment Income, where applicable, has been removed from the Statements of Changes in Net Assets.

The following is a summary of the previously disclosed amounts, as reported at December 31, 2017:


Intermediate Municipal Bond Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(99,522	)
Class C		(32,160	)
Class Y		(783,205	)

Total distributions	$	(914,887	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(23,503	)

89 |

Notes to Financial Statements (continued)

December 31, 2018


Natixis Oakmark Fund
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		(7,535,312	)
Class C		(2,714,690	)
Class N		(27	)
Class Y		(1,614,232	)

Total distributions	$	(12,924,552	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(512,990	)


Natixis Oakmark International Fund
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	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(719,613	)


Small Cap Value Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(8,822	)
Class C		(1,998	)
Class N		(1	)
Class Y		(93,925	)
Net realized capital gains
Class A		(11,097,924	)
Class C		(2,931,431	)
Class N		(81	)
Class Y		(20,768,158	)

Total distributions	$	(34,902,340	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(195,110	)

| 90

Notes to Financial Statements (continued)

December 31, 2018


Value Opportunity Fund
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			(1,090,532	)
Class C			(814,625	)
Class N	��		(2,128,036	)
Class Y			(12,407,105	)

Total distributions		$	(26,734,608	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME		$	(105,127	)

f. 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 December 31, 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 twelve 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.

91 |

Notes to Financial Statements (continued)

December 31, 2018

are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded onex-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 taxable over-distribution, capital gains taxes, deferred Trustees’ fees, distribution redesignations 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 contractmark-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 net realized short-term capital gains are reported as 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 years ended December 31, 2018 and 2017 were as follows:


	2018 Distributions Paid From:
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	5,716	$	662,720	$	—	$	668,436
Natixis Oakmark Fund		2,211,730		—		25,432,306		27,644,036
Natixis Oakmark International Fund		16,730,811		—		14,047,101		30,777,912
Small Cap Value Fund		6,205,741		—		27,906,818		34,112,559
Value Opportunity Fund		6,805,023		—		53,866,158		60,671,181

| 92

Notes to Financial Statements (continued)

December 31, 2018


	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

For the year ended December 31, 2017, differences between these amounts and amounts disclosed in Note 2e of the Notes to Financial Statements are primarily attributable to different book and tax treatment for short-term capital gains.

As of December 31, 2018, the components of distributable earnings on a tax basis were as follows:


	Intermediate Municipal Bond Fund		Natixis Oakmark Fund		Natixis Oakmark International Fund		Small Cap Value Fund		Value Opportunity Fund
Undistributed ordinary income	$	—	$	10,745	$	—	$	186,618	$	35,751
Undistributed tax exempt income		1,207		—		—		—		—
Undistributed long-term capital gains		—		15,145,306		—		—		—

Total undistributed earnings		1,207		15,156,051		—		186,618		35,751

93 |

Notes to Financial Statements (continued)

December 31, 2018


	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	$	(684,217	)	$	—		$	—		$	—		$	—

Late-year ordinary and post-October capital loss deferrals*		—			(3,155,958	)		(18,604,946	)		(1,651,386	)		(9,183,228	)

Unrealized appreciation (depreciation)		489,008			(544,773	)		(198,758,380	)		(14,924,702	)		(41,291,623	)

Total accumulated earnings (losses)	$	(194,002	)	$	11,455,320		$	(217,363,326	)	$	(16,389,470	)	$	(50,439,100	)

Capital loss carryforward utilized in the current year	$	—		$	—		$	47,544,781		$	—		$	—

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

As of December 31, 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	$	20,381,997		$	269,944,341		$	891,040,862		$	143,823,843		$	627,128,311

Gross tax appreciation	$	536,980		$	32,480,621		$	5,936,030		$	6,866,394		$	51,873,624
Gross tax depreciation		(47,972	)		(33,025,394	)		(204,503,152	)		(21,791,096	)		(93,165,247	)

Net tax appreciation (depreciation)	$	489,008		$	(544,773	)	$	(198,567,122	)	$	(14,924,702	)	$	(41,291,623	)

| 94

Notes to Financial Statements (continued)

December 31, 2018

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currencymark-to-market.

h. 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 aretri-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 December 31, 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.

i. 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 fornon-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 bynon-U.S. Governments andnon-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 year ended December 31, 2018, none of the Funds had loaned securities under this agreement.

j. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve

95 |

Notes to Financial Statements (continued)

December 31, 2018

future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

k. New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU)No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

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;

•

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 December 31, 2018, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	20,068,205	$	—	$	20,068,205
Exchange-Traded Funds		802,800		—		—		802,800

Total	$	802,800	$	20,068,205	$	—	$	20,871,005

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

| 96

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

Natixis Oakmark Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	258,776,895	$	—	$	—	$	258,776,895
Short-Term Investments		—		10,622,673		—		10,622,673

Total	$	258,776,895	$	10,622,673	$	—	$	269,399,568

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

For the year ended December 31, 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	$	—	$	18,632,697	$	—	$	18,632,697
France		—		73,874,353		—		73,874,353
Germany		—		120,685,062		—		120,685,062
India		—		4,617,748		—		4,617,748
Indonesia		—		12,047,682		—		12,047,682
Italy		—		25,945,036		—		25,945,036
Japan		—		35,795,708		—		35,795,708
Korea		—		17,502,935		—		17,502,935
Netherlands		—		28,218,051		—		28,218,051
South Africa		—		19,573,160		—		19,573,160
Sweden		—		40,301,807		—		40,301,807
Switzerland		—		83,159,101		—		83,159,101
Taiwan		—		8,865,961		—		8,865,961
United Kingdom		16,155,680		136,185,253		—		152,340,933
All Other Common Stocks(a)		50,909,280		—		—		50,909,280

Total Common Stocks		67,064,960		625,404,554		—		692,469,514

Forward Foreign Currency Contracts (unrealized appreciation)		—		491,200		—		491,200

Total	$	67,064,960	$	625,895,754	$	—	$	692,960,714

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

97 |

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 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)	$	125,569,816	$	—	$	—	$	125,569,816
Closed-End Investment Companies		617,444		—		—		617,444
Short-Term Investments		—		2,711,881		—		2,711,881

Total	$	126,187,260	$	2,711,881	$	—	$	128,899,141

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

For the year ended December 31, 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)	$	562,191,578	$	—	$	—	$	562,191,578
Closed-End Investment Companies		16,234,360		—		—		16,234,360
Short-Term Investments		—		7,410,750		—		7,410,750

Total	$	578,425,938	$	7,410,750	$	—	$	585,836,688

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

For the year ended December 31, 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 year ended December 31, 2018, the Fund engaged in forward foreign currency transactions for hedging purposes.

| 98

Notes to Financial Statements (continued)

December 31, 2018

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of December 31, 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	$	491,200

Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:		Forward foreign currency contracts
Foreign exchange contracts		$948,366

Net Change in Unrealized Appreciation (Depreciation) on:		Forward foreign currency contracts
Foreign exchange contracts		$152,401

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statements 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 benon-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2018:


Natixis Oakmark International Fund		Forwards
Average Notional Amount Outstanding		2.06%
Highest Notional Amount Outstanding		3.81%
Lowest Notional Amount Outstanding		1.36%
Notional Amount Outstanding as of December 31, 2018		3.81%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

99 |

Notes to Financial Statements (continued)

December 31, 2018

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 intoover-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 December 31, 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	$	491,200	$	—	$	491,200


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund	$	491,200	$	491,200

| 100

Notes to Financial Statements (continued)

December 31, 2018

5. Purchases and Sales of Securities. For the year ended December 31, 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	$	17,127,567	$	30,709,059
Natixis Oakmark Fund		130,903,028		123,641,350
Natixis Oakmark International Fund		517,109,986		615,224,853
Small Cap Value Fund		155,228,936		283,175,423
Value Opportunity Fund		389,825,349		686,778,769

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

101 |

Notes to Financial Statements (continued)

December 31, 2018

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. Effective January 1, 2019, Natixis transferred ownership of McDonnell to Loomis, Sayles & Company, Incorporated (“Loomis Sayles”). Loomis Sayles is indirectly owned by Natixis.

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 year ended December 31, 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	%

| 102

Notes to Financial Statements (continued)

December 31, 2018

Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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 year ended December 31, 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	$	110,246	$	110,246	$	—		0.40	%		—	%
Natixis Oakmark Fund		2,269,902		—		2,269,902		0.68	%		0.68	%
Natixis Oakmark International Fund		9,186,539		—		9,186,539		0.85	%		0.85	%
Small Cap Value Fund		2,059,281		—		2,059,281		0.90	%		0.90	%
Value Opportunity Fund		7,376,974		—		7,376,974		0.80	%		0.80	%

¹	Management fee waivers are subject to possible recovery until December 31, 2019.

For the year ended December 31, 2018, expenses have been reimbursed as follows:


Fund	Reimbursement
Intermediate Municipal Bond Fund	$	53,111

No expenses were recovered during the year ended December 31, 2018 under the terms of the expense limitation agreement.

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.

Pursuant to Rule12b-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”).

103 |

Notes to Financial Statements (continued)

December 31, 2018

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 year ended December 31, 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	$	16,675	$	4,893	$	14,679
Natixis Oakmark Fund		520,086		159,637		478,911
Natixis Oakmark International Fund		1,212,722		842,949		2,528,848
Small Cap Value Fund		213,758		23,673		71,019
Value Opportunity Fund		151,108		94,386		283,159

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-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 itspro 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, 0.0275% 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.

Prior to July 1, 2018, each Fund paid Natixis Advisors monthly itspro 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 was reevaluated on an annual basis.

| 104

Notes to Financial Statements (continued)

December 31, 2018

waiver is in effect through June 30, 2019, at which time it will be reevaluated as part of the annual review of the administrative fee contract, as noted above.

For the year ended December 31, 2018, the administrative fees for each Fund were as follows:


Fund	Administrative Fees		Waiver of Administrative Fees		Net Administrative Fees
Intermediate Municipal Bond Fund	$	12,103	$	56	$	12,047
Natixis Oakmark Fund		146,703		803		145,900
Natixis Oakmark International Fund		474,361		2,120		472,241
Small Cap Value Fund		100,598		422		100,176
Value Opportunity Fund		403,699		1,913		401,786

For the year ended December 31, 2018, thesub-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	$	6,789
Natixis Oakmark Fund		150,152
Natixis Oakmark International Fund		944,593
Small Cap Value Fund		129,441
Value Opportunity Fund		784,427

105 |

Notes to Financial Statements (continued)

December 31, 2018


Fund	Reimbursements ofSub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	64
Natixis Oakmark Fund		1,590
Natixis Oakmark International Fund		10,117
Small Cap Value Fund		1,077
Value Opportunity Fund		6,076

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2018, were as follows:


Fund	Commissions
Intermediate Municipal Bond Fund	$	735
Natixis Oakmark Fund		38,553
Natixis Oakmark International Fund		334,659
Small Cap Value Fund		5,251
Value Opportunity Fund		3,073

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

| 106

Notes to Financial Statements (continued)

December 31, 2018

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 allocatedpro rataamong the funds in the Natixis Funds Trusts, 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.

Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trust.

g. Affiliated Ownership. As of December 31, 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.

107 |

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2018, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


Fund	Reimbursement of Transfer Agency Expenses Class N
Natixis Oakmark Fund	$	156
Natixis Oakmark International Fund		132
Small Cap Value Fund		152

i. Interfund Transactions. A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common Trustees. For the year ended December 31, 2018, the Natixis Oakmark Fund engaged in purchase transactions of $457,262 with an affiliate of Natixis in compliance with Rule 17a-7 of the 1940 Act pursuant to procedures adopted by the Board of Trustees.

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 apro ratabasis based on the relative net assets of each class to the total net assets of those classes.

For the year ended December 31, 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 (includingsub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Natixis Oakmark Fund		175,348		53,950		156		51,843
Natixis Oakmark International Fund		451,242		315,631		132		245,904
Small Cap Value Fund		72,734		7,885		152		112,663
Value Opportunity Fund		62,407		38,773		615		747,306

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. 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

| 108

Notes to Financial Statements (continued)

December 31, 2018

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. 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 year ended December 31, 2018, Value Opportunity Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $18,871,478 at a weighted average interest rate of 4.24%. Interest expense incurred (which is reflected in miscellaneous expenses in the Statements of Operations) was $8,815.

9. Concentration of Risk. The Natixis Oakmark International Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 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:


Fund	Number of 5% Account Holders		Percentage of Ownership
Intermediate Municipal Bond Fund		4		29.25	%
Value Opportunity Fund		1		29.60	%

109 |

Notes to Financial Statements (continued)

December 31, 2018

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:


	Year Ended December 31, 2018					Year Ended December 31, 2017
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	275,455		$	2,764,015		229,798		$	2,338,481
Issued in connection with the reinvestment of distributions	12,617			125,269		8,554			86,576
Redeemed	(274,616	)		(2,717,698	)	(201,533	)		(2,035,102	)

Net change	13,456		$	171,586		36,819		$	389,955

Class C
Issued from the sale of shares	10,557		$	105,987		37,992		$	384,316
Issued in connection with the reinvestment of distributions	1,243			12,351		1,041			10,527
Redeemed	(79,290	)		(790,619	)	(209,349	)		(2,113,286	)

Net change	(67,490	)	$	(672,281	)	(170,316	)	$	(1,718,443	)

Class Y
Issued from the sale of shares	422,343		$	4,210,756		1,561,548		$	15,699,674
Issued in connection with the reinvestment of distributions	14,182			141,017		16,163			163,646
Redeemed	(1,826,504	)		(18,225,145	)	(3,700,092	)		(37,356,486	)

Net change	(1,389,979	)	$	(13,873,372	)	(2,122,381	)	$	(21,493,166	)

Increase (decrease) from capital share transactions	(1,444,013	)	$	(14,374,067	)	(2,255,878	)	$	(22,821,654	)

| 110

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,710,227		$	42,259,538		1,097,333		$	25,510,597
Issued in connection with the reinvestment of distributions	759,153			15,279,946		319,749			7,630,446
Redeemed	(2,242,255	)		(53,142,329	)	(1,269,544	)		(29,162,674	)

Net change	227,125		$	4,397,155		147,538		$	3,978,369

Class C
Issued from the sale of shares	1,327,534		$	27,139,192		745,200		$	14,845,455
Issued in connection with the reinvestment of distributions	277,335			4,799,814		103,719			2,154,363
Redeemed	(1,273,226	)		(26,235,921	)	(932,134	)		(18,618,843	)

Net change	331,643		$	5,703,085		(83,215	)	$	(1,619,025	)

Class N
Issued from the sale of shares	386		$	10,194		43		$	1,001
Issued in connection with the reinvestment of distributions	38			783		2			35

Net change	424		$	10,977		45		$	1,036

Class Y
Issued from the sale of shares	2,241,985		$	58,092,396		1,112,569		$	26,658,228
Issued in connection with the reinvestment of distributions	190,395			4,001,696		56,023			1,413,926
Redeemed	(1,730,567	)		(42,663,771	)	(414,820	)		(9,936,832	)

Net change	701,813		$	19,430,321		753,772		$	18,135,322

Increase (decrease) from capital share transactions	1,261,005		$	29,541,538		818,140		$	20,495,702

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

111 |

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	8,614,434		$	129,879,929		17,257,564		$	244,429,519
Issued in connection with the reinvestment of distributions	995,963			10,965,551		358,244			5,570,701
Redeemed	(25,557,109	)		(364,431,088	)	(22,730,001	)		(331,480,871	)

Net change	(15,946,712	)	$	(223,585,608	)	(5,114,193	)	$	(81,480,651	)

Class C
Issued from the sale of shares	4,347,532		$	64,671,210		8,154,803		$	116,119,552
Issued in connection with the reinvestment of distributions	567,617			6,152,971		92,603			1,414,038
Redeemed	(9,503,667	)		(126,163,655	)	(5,871,161	)		(80,942,584	)

Net change	(4,588,518	)	$	(55,339,474	)	2,376,245		$	36,591,006

Class N
Issued from the sale of shares	92,040		$	1,342,548		72		$	1,001
Issued in connection with the reinvestment of distributions	3,315			36,370		1			15
Redeemed	(28,097	)		(387,970	)	—			—

Net change	67,258		$	990,948		73		$	1,016

Class Y
Issued from the sale of shares	18,731,471		$	276,949,870		11,434,503		$	174,563,797
Issued in connection with the reinvestment of distributions	965,209			10,588,341		145,443			2,258,734
Redeemed	(11,681,703	)		(157,478,079	)	(466,061	)		(7,177,317	)

Net change	8,014,977		$	130,060,132		11,113,885		$	169,645,214

Increase (decrease) from capital share transactions	(12,452,995	)	$	(147,874,002	)	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.

| 112

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	712,683		$	12,873,039		528,606		$	10,288,324
Issued in connection with the reinvestment of distributions	1,087,949			14,101,401		524,190			9,889,735
Redeemed	(1,494,118	)		(27,125,775	)	(1,421,549	)		(27,416,197	)

Net change	306,514		$	(151,335	)	(368,753	)	$	(7,238,138	)

Class C
Issued from the sale of shares	67,032		$	586,716		55,927		$	696,634
Issued in connection with the reinvestment of distributions	201,322			1,524,443		216,985			2,595,862
Redeemed	(1,075,636	)		(12,147,004	)	(459,714	)		(5,852,124	)

Net change	(807,282	)	$	(10,035,845	)	(186,802	)	$	(2,559,628	)

Class N
Issued from the sale of shares	—		$	—		51		$	1,001
Issued in connection with the reinvestment of distributions	15			200		4			82

Net change	15		$	200		55		$	1,083

Class Y
Issued from the sale of shares	441,361		$	8,044,129		2,498,754		$	49,774,371
Issued in connection with the reinvestment of distributions	1,132,316			15,826,362		1,011,202			19,723,081
Redeemed	(6,233,772	)		(112,747,613	)	(3,367,033	)		(66,987,307	)

Net change	(4,660,095	)	$	(88,877,122	)	142,923		$	2,510,145

Increase (decrease) from capital share transactions	(5,160,848	)	$	(99,064,102	)	(412,577	)	$	(7,286,538	)

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

113 |

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	495,715		$	10,630,321		507,412		$	10,847,723
Issued in connection with the reinvestment of distributions	171,431			3,074,190		53,873			1,220,217
Redeemed	(1,114,049	)		(23,838,889	)	(1,855,342	)		(39,766,540	)

Net change	(446,903	)	$	(10,134,378	)	(1,294,057	)	$	(27,698,600	)

Class C
Issued from the sale of shares	74,034		$	1,500,519		126,549		$	2,575,468
Issued in connection with the reinvestment of distributions	121,282			2,078,925		32,929			708,304
Redeemed	(948,504	)		(19,327,431	)	(1,479,508	)		(29,990,166	)

Net change	(753,188	)	$	(15,747,987	)	(1,320,030	)	$	(26,706,394	)

Class N
Issued from the sale of shares	1,690,373		$	38,824,913		1,429,409		$	30,969,311
Issued in connection with the reinvestment of distributions	369,511			6,683,144		160,150			3,662,639
Redeemed	(3,884,820	)		(89,963,901	)	(2,872,239	)		(62,808,162	)

Net change	(1,824,936	)	$	(44,455,844	)	(1,282,680	)	$	(28,176,212	)

Class Y
Issued from the sale of shares	7,576,178		$	168,906,227		7,066,393		$	154,672,829
Issued in connection with the reinvestment of distributions	2,423,432			44,084,799		854,159			19,560,236
Redeemed	(18,028,194	)		(386,667,770	)	(17,603,866	)		(380,954,617	)

Net change	(8,028,584	)	$	(173,676,744	)	(9,683,314	)	$	(206,721,552	)

Increase (decrease) from capital share transactions	(11,053,611	)	$	(244,014,953	)	(13,580,081	)	$	(289,302,758	)

| 114

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Natixis Oakmark International Fund, Vaughan Nelson Small Cap Value Fund, McDonnell Intermediate Municipal Bond Fund, Natixis Oakmark Fund, and Vaughan Nelson Value Opportunity Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Natixis Oakmark International Fund and Vaughan Nelson Small Cap Value Fund (two of the funds constituting the Natixis Funds Trust I), and McDonnell Intermediate Municipal Bond Fund, Natixis Oakmark Fund, and Vaughan Nelson Value Opportunity Fund (three of the funds constituting the Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

115 |

Report of Independent Registered Public Accounting Firm

estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 21, 2019

| 116

2018 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2018, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
Natixis Oakmark Fund		100.00	%
Small Cap Value Fund		58.85	%
Value Opportunity Fund		100.00	%


Fund	Amount
Natixis Oakmark Fund	$	25,432,306
Natixis Oakmark International Fund		14,047,101
Small Cap Value Fund		27,906,818
Value Opportunity Fund		55,048,953

Qualified Dividend Income. For the fiscal year ended December 31, 2018, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2018, complete information will be reported in conjunction with Form1099-DIV. These percentages are noted below:


Fund	Qualifying Percentage
Natixis Oakmark Fund		100.00	%
Natixis Oakmark International Fund		100.00	%
Small Cap Value Fund		35.91	%
Value Opportunity Fund		100.00	%

Foreign Tax Credit. For the year ended December 31, 2018, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:


Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
Natixis Oakmark International Fund	$	3,298,494	$	35,713,147

Exempt Interest Dividends

During the year ended December 31, 2018, Intermediate Municipal Bond paid dividends to shareholders from net investment income, of which 99.14% are designated as exempt interest dividends for federal tax purposes. However, state and local taxes differ from state to state and a portion of the dividends may be subject to the individual Alternative Minimum Tax, so it is suggested that you consult your own tax adviser.

117 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II, (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at800-225-5478.


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	52 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member and Governance Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	52 Director, Burlington Stores, Inc. (retail)	Significant experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

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Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	52 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	52 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

119 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Martin T. Meehan(1956)	Trustee since 2012 Audit Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	52 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	52 Director, Sterling Bancorp (Bank)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

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Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	52 Director, FutureFuel Corp. (Chemicals and Biofuels)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	52 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	52 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

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Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	52 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	52 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	52 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

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Trustee and Officer Information

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

²	The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”).

³	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁴

Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.

123 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUSTS

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since 2016	Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since 2004	Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Kirk D. Johnson (1981)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2018	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Vice President and Counsel, Natixis Investment Managers, L.P.

¹	Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ currentby-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

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LOGO

Annual Report

December 31, 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			22

Financial Statements			75

Notes to Financial Statements			93

IMPORTANT NOTICE TO SHAREHOLDERS

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.

Market Conditions

Global growth has decelerated and appears to have become less synchronized. Although the US economic expansion has continued, certain manufacturing- and sentiment-based indicators have begun to signal softer activity going forward. Growth abroad has exhibited signs of decelerating as well. The unstable political climate in Italy has begun to weigh on domestic demand amid weaker consumer spending and business investment. Lack of progress on the resolution for Brexit has curbed business sentiment, and the UK economy has also seen weaker-than-expected data in construction and manufacturing.

In December, the US Federal Reserve (Fed) Open Market Committee increased its policy rate by 25 basis points, in keeping with Loomis Sayles, consensus and market expectations. This puts the new range for the Fed funds target rate at between 2.25% and 2.50%. The hike was the tenth of this current cycle and left the target at its highest level since March 2008.

An increase in equity market volatility played a large role in the widening of credit spreads. Ongoing concerns over trade conflict, lower oil prices and the still unresolved Brexit situation dampened risk sentiment and prompted investors to seek out higher quality alternatives.

Oil prices decisively reversed beginning in October, as fears of Iranian sanctions cutting global oil supply proved greatly overstated, leading to the unwinding of speculative long positions. Even OPEC production cuts announced in December failed to reverse the bearish sentiment with respect to the commodity.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of the Loomis Sayles Multi-Asset Income Fund returned-9.13% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 0.01%.

Explanation of Fund Performance

US equities were supported over the year by generally positive macroeconomic data, strong corporate earnings and a strong US dollar. However, escalating trade tensions and concerns about Fed policy led to increased market volatility in the fourth quarter. Sentiment deteriorated further intoyear-end with a newly divided US Congress leading to political

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gridlock. Within US equities, the Fund’s holdings in the financial, energy and consumernon-cyclical sectors detracted the most from return.

Exposure to global equities also had a negative impact during the period as global growth became less synchronized. Trade tensions weighed on China sentiment. In addition, concerns about a slowdown in the rate of growth in Europe, political volatility in Italy and Brexit uncertainty provided headwinds for global equities over the year. The Fund’s holdings within the global financial, consumernon-cyclical, and technology sectors weighed most heavily on return.

Finally, the Fund’s exposure to master limited partnerships (MLPs), expressed through exchange-traded funds (ETFs) and exchange-traded notes (ETNs), detracted from performance as energy prices fell sharply during the period.

The Fund’s holdings of cash and cash equivalents led positive contributions to performance for the 12 months. In a volatile year for risk assets, the US dollar was the top performing asset in 2018.

An allocation to real estate investment trusts (REITs) bolstered returns for the year, despite worries about the magnitude and pace of Fed rate hikes. Rising Treasury yields were initially a source of concern. However, a low level of inflation, despite stable growth and solid corporate earnings, has benefited interest rate sensitive assets.

The Fund’s positioning with respect to securitized assets added modestly to return relative to the benchmark, with positive contributions led by a select issue within commercial mortgage-backed securities (CMBS).

Outlook

The market is now priced for several risks, including slower global growth, Fed tightening, US/China trade relations, global political disruptions and lower-than-anticipated oil prices. These risks are likely to suppress risk asset valuations unless positive resolutions emerge.

Fed tightening is likely to continue in 2019, with hikes expected atmid-year and atyear-end based on an environment of arguably full employment and the Fed’s 2% inflation target. However, the Fed may opt to scale back its rate hikes if macro risks continue to escalate. Slowing the pace of hikes would support interest rate-sensitive areas of the US economy, where higher borrowing costs have already started to curtail activity.

Equities could have upside if the macro backdrop becomes a bit more supportive. We believe US stocks are most likely to lead any equity recovery. Emerging markets could also present an attractive opportunity, especially if the US dollar remains range-bound or trends lower.

We expectmid- to high-single-digit earnings growth across the US and several global economies in 2019. Higher interest expenses and labor costs could slowly erode profit margins, but price hikes may soften the blow.

Global growth should remain modestly positive, 2019 corporate earnings are likely to rise between 5% and 9% in aggregate, and default rates are expected to remain low. However, these supportive factors do not mean credit spreads are likely to revisit the lows seen earlier in the cycle.

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LOOMIS SAYLES MULTI-ASSET INCOME FUND

Hypothetical Growth of $100,000 Investment in Class Y Shares^1,5,6

December 31, 2008 through December 31, 2018

LOGO

Top Ten Holdings as of December 31, 2018


	Security name	% of net assets
1	Alerian MLP ETF		4.43	%
2	JPMorgan Alerian MLP Index ETN		2.43
3	Abbott Laboratories		1.99
4	Bank of America Corp.		1.94
5	Microsoft Corp.		1.90
6	AbbVie, Inc.		1.89
7	Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020		1.77
8	Banco Santander S.A., (fixed rate to 5/19/2019, variable rate thereafter), 6.375%		1.60
9	Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%		1.48
10	UnitedHealth Group, Inc.		1.43

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Average Annual Total Returns — December 31, 2018^5,6



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

Class Y (Inception 12/3/12)¹
NAV		-9.13	%		4.68	%		9.67	%		—	%		0.91	%		0.73	%

Class A (Inception 11/17/05)
NAV		-9.24			4.49			9.56			—			1.16			0.98
With 4.25% Maximum Sales Charge		-13.12			3.59			9.08			—

Class C (Inception 11/17/05)
NAV		-9.96			3.72			8.73			—			1.91			1.73
With CDSC²		-10.81			3.72			8.73			—

Class N (Inception 8/31/15)
NAV		-9.02			—			—			4.45			1.38			0.68

Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index³		0.01			2.52			3.48			1.88
S&P 500^® Index⁴		-4.38			8.49			13.12			9.70

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	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.

Market Conditions

In December, the US Federal Reserve (Fed) Open Market Committee increased its policy rate by 25 basis points, in keeping with Loomis Sayles, consensus and market expectations. This puts the new range for the fed funds target rate at 2.25% to 2.50%. The hike was the tenth of the current cycle and left the target at its highest level since March 2008.

The US dollar continued to receive support as US Treasury yields remain significantly higher than government bond yields in other developed markets. While early December saw the declaration of a temporary truce in the trade war between the US and China, global trade tensions remain elevated. In a more risk-averse atmosphere, the dollar advanced against its developed market peers.

Performance Results

For the 12 months ended December 31, 2018, the Class Y shares of the Loomis Sayles Strategic Alpha Fund returned 0.53% at net asset value. The Fund underperformed its benchmark, the3-month LIBOR, which returned 2.08%. The Fund follows an absolute return strategy and is not managed to an index.

5 |

Explanation of Fund Performance

The Fund’s exposure to global corporate credit detracted from performance for the year. In particular, South American issues weighed on performance, with Argentine holdings having the largest negative impact. Argentina experienced economic issues characterized by significant inflation and rapid currency devaluation for much of the year. A late-September deal with the International Monetary Fund (IMF) on a further extension of credit, coupled with austerity measures, has allowed the Argentine economy to show signs that it may be in the late stages of recession.

Emerging markets also detracted from performance during the year, with Argentine issues responsible for the largest negative impact due to the aforementioned economic woes. Exposure to Brazilian and Mexican issues also impacted return adversely. Continued US dollar strength created a difficult environment for emerging markets throughout the period.

The Fund’s allocation to high yield corporate bonds dampened return as spreads (the difference in yield between10-year US Treasury bonds and lower-rated bonds) widened substantially late in the year amid increased volatility in risk assets, particularly within equity markets. Strong earnings and an optimistic economic outlook have allowed investors to earn a decent return based on the incremental yield of the asset class, but outflows from high yield funds during much of the year continued to indicate investor uneasiness. We have reduced our exposure to high yield based on our research and as performance for the asset class declined, especially late in the year. The decline in energy prices provided a strong headwind during the year, given the large weight to energy within the high yield market. High yield names within the energy, capital goods and technology sectors weighed most heavily on the Fund’s return for the period.

An allocation to securitized assets contributed positively to return during the period. The Fund’s holdings of asset-backed securities (ABS), the largest of our securitized positions, saw positive results from many of thesub-sectors including subprime auto loans, aircraft-related and personal loans. Residential mortgage-backed securities also added to return as housing sentiment was supported by attractive lending rates, despite signs of a slowing in activity.

The Fund’s allocation to investment grade corporate bonds added to performance as well. We reduced exposure to the asset class in terms of both size and duration (price sensitivity to interest rates) as the yield curve flattened over the year (the yield curve reflects the relationship among bond yields across the maturity spectrum). Performance benefited in particular from the shorter-term, higher quality issues which make up most of the portfolio’s investment grade exposure. Positive contributions were led by holdings within the consumer, banking and capital goods sectors.

Currency positioning aided performance as the US dollar strengthened versus most developed market currencies. The dollar weakened in early 2018 before rebounding in the second quarter on the prospect of future Fed rate hikes. Many of our positions were pairednon-US dollar holdings, which mitigated the impact of a strong US dollar. Some

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LOOMIS SAYLES STRATEGIC ALPHA FUND

directional currency positions contributed positively, in particular a short forward position in the euro and a long forward position in the Mexican peso.

The Fund’s exposure to interest rate futures used for investment purposes bolstered performance for the fiscal period.

Outlook

Wider spreads have restored a meaningful risk premium to credit markets, increasing the value proposition of the asset class. This constructive outlook would be at risk if corporate profitability expectations prove too lofty.

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 15, 2010 (inception) through December 31, 2018

LOGO

7 |

Average Annual Total Returns — December 31, 2018⁴



												Expense Ratios⁵
	1 Year			5 Years			Life of Class					Gross			Net

Class Y (Inception 12/15/10)								Class Y/A/C		Class N
NAV		0.53	%		2.33	%		2.66	%	—	%		0.76	%		0.75	%

Class A (Inception 12/15/10)
NAV		0.39			2.09			2.42		—			1.01			1.00
With 4.25% Maximum Sales Charge		-3.88			1.20			1.88		—

Class C (Inception 12/15/10)
NAV		-0.42			1.31			1.64		—			1.76			1.75
With CDSC¹		-1.39			1.31			1.64		—

Class N (Inception 5/1/17)
NAV		0.68			—			—		1.61			0.71			0.70

Comparative Performance
3-Month LIBOR²		2.08			0.86			0.67		1.72
3-Month LIBOR + 300 basis points³		5.18			3.93			3.73		4.81

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 again 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.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND



Managers		Symbols

Large Cap Value Segment		Class A NEFSX

Harris Associates L.P.		Class C NECCX

All Cap Growth Segment		Class N NESNX

Loomis, Sayles & Company, L.P.		Class Y NESYX

Investment Goal

The Fund seeks long-term growth of capital.

Market Conditions

The U.S. economy entered 2018 on a high note, with corporations and individuals anticipating relief from the second largest tax cut in U.S. history, which passed at the end of 2017. The unemployment rate continued to fall as the economy moved towards full employment. During the year, unemployment fluctuated between 4.1 to 3.7 percent while more previously unemployed people rejoined the workforce and layoffs declined to near anall-time low. Buoyed by strong employment, wage growth finally began to accelerate, reaching a 3.2 percent clip. With more states and metro areas increasing the minimum wage, consumer spending stayed steady. Retailers experienced their best Christmas shopping season in six years, with retail sales climbing in 2018 by 5.1 percent, according to Mastercard SpendingPulse.

Despite four Federal Reserve Board interest rate hikes, the pace of inflation remained moderate, providing support for economic growth. The strong economy and the Trump tax cut drove significant corporate capital investment. The strength of the U.S. economy was a bright spot in the global economic picture, as China experienced slower growth rates and emerging markets were impacted by rising rates and a strong dollar. In Europe, Brexit continued to challenge economic forecasts in Europe and the U.K. due to Britain’s inability to pass legislation surrounding the terms of the divorce from the European Union.

Equities took a steep dive in December amid worries about the duration of the lengthy bull market. In fact, December losses pushed the Dow, S&P 500 and Nasdaq into bear market territory. Concerns around over-leveraging by businesses and consumers sparked some fears; however, the Fed lowered its projection of 2019 rate hikes from three to two in an effort to ease business concerns around the impact of higher rates on economic growth. As 2018 drew to a close, worries about slowing global growth and a looming government shut down created uncertainty after a year of mostly strong economic growth and positive momentum.

Performance Results

For the 12 months ended December 31, 2018, Class Y shares of Natixis U.S. Equity Opportunities Fund returned-6.24% at net asset value. The Fund underperformed its primary benchmark, the S&P 500^® Index, which returned-4.38%. The Fund also underperformed its secondary benchmark, the Russell 1000^®Index, which returned-4.78%.

9 |

Explanation of Fund Performance

Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:

The Harris Associates L.P.Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates believes are trading at a substantial discount to the company’s “true business value.”

The Loomis, Sayles & Company, L.P.All Cap Growth segment invests in equity securities, including common stocks, preferred stocks, convertible securities and warrants. This segment may invest in companies of any size.

Neither segment contributed positively to the overall return of the Fund during the year.

Harris Associates Large Cap Value Segment

As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of ourbottom-up process. General Electric (GE) was the largest detractor to segment performance in the calendar year. GE faced a succession of issues in 2018 that influenced its share price, which was especially volatile in the second half of the year, as market analysts reassessed key company estimates, both lower and higher. The company’s second-quarter results released in July included revenue and earnings per share that outpaced market forecasts and management expressed that results were in line with the company’s expectations. GE later announced it was awarded a new $630.5 million contract with the U.S. Navy for repair and maintenance of F414 aircraft engine components. Even so, in September, some influential market analysts lowered price targets for the company. Subsequently, H. Lawrence Culp, Jr., formerly CEO of Danaher, was unexpectedly named GE’s chairman and CEO. Along with this announcement, management lowered full-year guidance. Late in October, the company reported third-quarter revenues that largely met market expectations. Earnings per share, however, were roughly 30% lower than forecasts and the company cut its quarterly dividend to $0.01 from $0.12. Management did not provide fourth quarter or 2019 guidance and the lack of forecasts along with concerns over the company’s liquidity added to investor anxiety. To explain, Culp candidly pointed out that when discussing numbers on a forward-looking basis, he wants to do so with conviction and confidence, which was not possible at that time. He also stated that raising additional equity was not then necessary. We still concur with his assessment. According to our calculations, GE has sufficient liquidity from its industrial operations and the market has overlooked the supplemental liquidity provided by recent sale proceeds and equity positions. All these factors taken together lead us to believe that the company will reach its overall leverage targets without raising equity. In addition, its liquidity position remains steady. Lastly, in December, positive market analysts’ notes upgrading the company provided GE’s share price a modest boost. Management continues to adjust the company’s portfolio of businesses and while the restructuring process may take some time, we believe this approach will work to benefit shareholders into the future. Overall, we believe the stock has declined more than warranted and that GE’s intrinsic value is well above the current price quote.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

On an absolute-return basis, shares in the health care sector gained the most value, while holdings in the industrials sector lost the most value. The largest contributor to segment performance for the year was HCA Healthcare. HCA’s share price gained value in three of the past four quarters as the company’s results released during the reporting period showed positive growth momentum. Revenue, earnings and earnings per share for the first, second and third quarters of 2018 surpassed market expectations. Importantly, key operating metrics, such as same-facility equivalent admissions and same-facility revenue per equivalent admission, demonstrated strengthening trends over the course of the year. These developments provide us evidence that the company’s strategy of focusing on higher acuity visits is paying off. In addition, management stated that capital investments are now “yielding solid market share gains.” HCA paid $121 million worth of dividends and bought back $302 million worth of shares during the third quarter(year-to-date share repurchases total $1.195 billion), which aligns with our estimates. Along with its latest earnings release, management increased full-year revenue, earnings and earnings per share guidance ranges. Furthermore, management continues to seek out strategically sound acquisition opportunities to broaden the company’s scope. One such example was its purchase in August of Mission Health, asix-hospital health facility in North Carolina that allowed expansion across a state where it previously had no operations. Despite these positive outcomes, HCA’s share price dropped in December in conjunction with other hospital stocks as the future of the Affordable Care Act was called into question when a U.S. District Court Judge ruled the law unconstitutional. The law currently remains intact, and we expect a succession of appeals will ensue, perhaps over a protracted period. In the meantime, we have not changed our valuation metrics for HCA as we remain pleased with the company’s fundamental performance.

Loomis, Sayles and Company All Cap Growth Segment

We are an active manager with a long-term, private equity approach to investing. Through our proprietarybottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a negative absolute return. Our holdings in the communication services, consumer staples, energy, financials, materials and healthcare sectors detracted from the segment’s performance. Our holdings in the information technology, consumer discretionary and industrials sectors contributed positively to results.

Facebook, Schlumberger and Monster Beverage were the largest detractors during the period. Social media company Facebook provides an online platform that allows people to connect, share, and interact with friends and communities. A holding since its IPO in 2012, Facebook reported solid overall growth and market share gains versus the prior-year period. However, shares reacted negatively to management’smid-year guidance for a near-term deceleration in revenue growth, coupled with a multi-year acceleration in investments. The company noted that revenue in the second half of 2018 would be negatively impacted by its decisions to provide users with more choices around privacy and to increase focus on Instagram and FB Stories – “experience” products that the company believes will drive improved engagement but where monetization is currently lower. Facebook also announced

11 |

a 50% — 55% increase in investments for 2018 and a further 40% — 50% increase in 2019, targeting core product development, safety and security, virtual reality, marketing, and content acquisition. As a result, expenses will increase faster than revenue over the near term, pressuring margins, before moderating and growing in line with revenues. We believe Facebook is a unique, high-quality company, benefiting from the secular shift from traditional advertising to online advertising, and positioned for strong and sustainable growth over our investment horizon. We believe management’s decisions and actions illustrate their commitment to preserve platform integrity and to sustain the company’s leadership and long-term growth. With 2.6 billion people worldwide using its apps — Facebook, Messenger, WhatsApp, and Instagram — and more than 90 million global businesses with Facebook pages, the scale and reach of Facebook’s network is unrivaled. We believe that corporations will continue to allocate an increasing proportion of their advertising spending online, and Facebook remains one of very few platforms where advertisers can reach consumers at such scale. We believe Facebook is selling at a significant discount to our estimate of intrinsic value and offers a compellingreward-to-risk opportunity.

Schlumberger is the world’s leading supplier of technology, equipment, integrated project management, and information solutions to the international oil and gas exploration and production industry. Over its 90 year history, Schlumberger has built a brand and reputation for delivering consistent service and product excellence across the spectrum of exploration, drilling, and production. Only a few companies can compete with the scope of Schlumberger’s integrated suite of products and services, and even fewer can compete with the scale and depth of its technology and service execution. The company reported global sales that rose 12% compared with theyear-ago period, but stocks in the oil services sector came under pressure on short-term concerns around slowing activity in North America, where stronger-than-expected production, coupled with insufficient takeaway capacity in the Permian basin, is leading operators to delay well completions. More recently, concerns over global demand growth have contributed to falling oil prices, impacting expectations for global service activity in 2019. In markets outside of North America, which have historically accounted for approximately 75% of revenue, the company continued to experience low demand for its services. Customer spending has lagged the rebound in oil prices over the past few years as companies continued to repair their balance sheets following years of low prices. However, North America revenues grew over 40% during the period as the company redeployed idle capacity to accommodate growing drilling and well completion activity. While management has been prematurely optimistic about a recovery outside of the US, based on contracts Schlumberger has already won, management indicated that international growth in 2019 would be in the double digits. Over atwo-year period which began in 2014 and saw industry spending fall by over 50%, Schlumberger gained share and maintained leading margins, while several competitors posted losses or very thin margins. Schlumberger was one of the few companies to generate positive free cash flow during the downturn, and continued to invest to strengthen its ability to offer integrated solutions to clients. The need to replace naturally-depleting reservoirs creates long-term secular growth in the demand for oil and the need to extract hydrocarbons from harsher environments. Oilfield services like those Schlumberger provides are key to

| 12

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

accessingdifficult-to-reach resources. Thanks to its superior products and services and its competitive advantages, we believe Schlumberger is well positioned to weather the current environment and capitalize on the growth in oilfield services as market supply-demand normalizes. We believe the shares of Schlumberger are selling at a significant discount to our estimate of intrinsic value and offer a compellingreward-to-risk opportunity.

Monster Beverageis a leading marketer and distributor of energy drinks, globally. The energy drink industry is effectively a duopoly, creating strong competitive advantages for Monster and Red Bull, which command a combined share of approximately 75% — 80% of the US market, and an estimated 50% of the $42 billion global energy drink market. In 2014, Monster entered a partnership with Coca-Cola in which Coca-Cola purchased a 16.7% stake in the company, and Monster became its exclusive energy drink partner. The partnership gives Monster access to an unmatched global distribution system, accelerating its pace of international expansion, and extending its benefits of scale. During the period, Monster reported uneven financial results that were generally below consensus expectations due to temporary inventory reductions outside the US, higher raw material costs, and continued investments in advance of scale in China and India. The company announced it would raise prices on its Monster brands beginning November 1, 2018, to cover higher input and shipping costs, which it did successfully in 2015 without sacrificing market share. Monster has made great progress transitioning its distribution operations to Coca-Cola partners, globally. Sales outside the US have grown from approximately 20% of total revenues in 2013 to approximately 30% today, and we believe they can grow to exceed 50% over the next decade. The company continues to take share in most markets, including the US, where the Monster brand continues to reach record highs in market share as reported by Nielsen. We believe energy drinks are here to stay and their continued penetration around the world is the primary long-term business driver for the company. Monster’s large presence in North America and its expansion into international markets make it well positioned to benefit from this long-term secular growth driver. With its shares selling at a significant discount to our estimate of intrinsic value, we believe Monster offers a compellingreward-to-risk opportunity.

Amazon, Autodesk and Visa were the largest contributors during the period. Online retailer Amazon offers millions of products — sold by Amazon or by third parties — with the value proposition to consumers of selection, price, and convenience. Amazon’s enterprise IT business, Amazon Web Services (AWS), offers a suite of secure,on-demand cloud-computing services, with a value proposition to clients of speed, agility, and savings. In both of its core markets, we believe Amazon possesses strong and sustainable competitive advantages that would be difficult for competitors to replicate. Ine-commerce these include its brand, scale, network advantage, technology platform, and logistics and distribution systems. The AWS business benefits from its brand, technology platform, and massive scale, which allows it to pass along cost savings while continuing to innovate. Amazon reported healthy fundamentals and strong growth in revenue during the period. With gross merchandise volume (GMV) growing, by our estimates, above growth in the teens for USe-commerce and low single-digit growth in global retail sales, the company continued to take market share. AWS also posted strong revenue growth, approaching a

13 |

$27 billion annual run rate, that was many multiples higher than our estimate of single-digit growth in overall enterprise IT spending. Under the thoughtful leadership of founder Jeff Bezos, Amazon continued rapid investment in key areas that capitalize on its strength, focusing on businesses with high, durable growth prospects and strong financial returns. With an increasing shift to higher-margin product categories such as third-party sales, AWS, and advertising, gross margins expanded during the period. Amazon is one of the best-positioned companies ine-commerce and enterprise IT — each addressing large, underpenetrated markets. The secular shift in consumer preference from traditionalbrick-and-mortar retail to online retail ande-commerce spending is the primary growth driver for Amazon, but both markets benefit from secular growth that is still in its early stages. We believe the current share price shows a lack of appreciation for Amazon’s significant long-term growth opportunities and the sustainability of its business model.

Autodesk, a global leader in 3D design software and services, is synonymous with computer-aided design — a degree of brand recognition that takes years, if not decades, to develop. The company’s broad suite of products are viewed as mission critical among its clients in the architecture, engineering, construction and manufacturing industries, and create high switching costs for its global installed user base. In early 2016, the company began transitioning its business model from anup-front, licensing-plus-maintenance model to a cloud-delivered, subscription-based model where fees are recognized ratably over the life of the customer relationship. Although the transition causes near-term income statement and cash flow metrics to remain depressed, we believe the subscription model will result in increased visibility of future revenue streams and higher lifetime customer value, leading to increased revenue, profitability and free cash flow. The company reported solid results during the period with annualized recurring revenue (ARR) and earnings per share that exceeded consensus expectations. Importantly, Autodesk demonstrated continued progress in its model transition, returning to positive free cash flow in its last two earnings releases after reporting negative free cash flow in its prior fiscal year, and reporting that ARR grew to 96% of the revenue mix. Following the trough from the effects of the model change, we believe profitability and cash flow will increasingly improve over our investment time horizon. We believe Autodesk can generate attractive and sustainable revenue growth and faster operating margin expansion and free cash flow growth that is not currently reflected in the share price.

Visa is the largest payments technology company in the world, with a comprehensive offering of digital payment products including credit cards, debit cards — which Visa invented — and transaction security services known as tokenization. Visa has one of the world’s most recognized brands, which took decades and significant investment to build. Through its open-loop, multi-party system, Visa has built a massive global network, orchestrating transaction settlements between merchants, merchants’ banks, card-issuer banks and cardholders in more than 200 countries. A growing global network with 3.3 billion Visa-branded cards outstanding that are accepted by 54 million merchants worldwide creates a powerful virtuous cycle, reinforcing Visa’sdifficult-to-replicate competitive advantages. During the period, Visa reported revenue and earnings that were strong andin-line with or better than market expectations. Payment volume growth in the

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

low double digits benefited from stronger global growth, but was twice the rate of growth in the approximately $45 trillion of global personal consumer expenditures, reflecting the strength of the ongoing, long-term secular shift from cash to electronic payments. Other areas of growth for Visa include expansion of its network capabilities into new segments such asperson-to-person payments,business-to-business payments, and government and corporate disbursements to consumers. In aggregate, these new segments represent an estimated $30 trillion of addressable spending. We estimate Visa can generate double-digit cash flow growth over our forecast period. As the company continues to scale its businesses in regions around the world, we expect it will be able to increase cash flow growth, expand margins, and improve its return on invested capital. We believe the shares of Amazon, Autodesk and Visa trade at significant discounts to our estimates of intrinsic value and offer compellingreward-to-risk opportunities.

Hypothetical Growth of $100,000 Investment in Class Y Shares⁴

December 31, 2008 through December 31, 2018

LOGO

See notes to chart on page 17.

15 |

Top Ten Holdings as of December 31, 2018


	Security name	% of net assets
1	Alphabet, Inc., Class A		4.09	%
2	Regeneron Pharmaceuticals, Inc.		3.86
3	Visa, Inc., Class A		3.83
4	Amazon.com, Inc.		3.65
5	Alibaba Group Holding Ltd., Sponsored ADR		2.82
6	Oracle Corp.		2.8
7	Facebook, Inc., Class A		2.54
8	Monster Beverage Corp.		2.38
9	Autodesk, Inc.		2.35
10	Expeditors International of Washington, Inc.		2.26

| 16

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Average Annual Total Returns — December 31, 2018⁴



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

Class Y (Inception 11/15/94)
NAV		-6.24	%		9.85	%		15.39	%		—	%		0.93	%		0.93	%

Class A (Inception 7/7/94)
NAV		-6.48			9.57			15.10			—			1.19			1.19
With 5.75% Maximum Sales Charge		-11.85			8.28			14.43			—

Class C (Inception 7/7/94)
NAV		-7.18			8.76			14.25			—			1.94			1.94
With CDSC¹		-7.97			8.76			14.25			—

Class N (Inception 5/1/17)
NAV		-6.11			—			—			5.67			13.39			0.76

Comparative Performance
S&P 500^® Index²		-4.38			8.49			13.12			5.03
Russell 1000^® Index³		-4.78			8.21			13.28			4.68

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 1.00% 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.

17 |

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 onForm 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 calling800-SEC-0330.

| 18

UNDERSTANDING FUND EXPENSES

The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

19 |


LOOMIS SAYLES MULTI-ASSET INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$928.90		$4.62
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84
Class C
Actual		$1,000.00		$925.70		$8.25
Hypothetical (5% return before expenses)		$1,000.00		$1,016.64		$8.64
Class N
Actual		$1,000.00		$929.90		$3.16
Hypothetical (5% return before expenses)		$1,000.00		$1,021.93		$3.31
Class Y
Actual		$1,000.00		$929.70		$3.40
Hypothetical (5% return before expenses)		$1,000.00		$1,021.68		$3.57

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 (184), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$993.90		$5.03
Hypothetical (5% return before expenses)		$1,000.00		$1,020.16		$5.09
Class C
Actual		$1,000.00		$989.80		$8.78
Hypothetical (5% return before expenses)		$1,000.00		$1,016.38		$8.89
Class N
Actual		$1,000.00		$995.30		$3.57
Hypothetical (5% return before expenses)		$1,000.00		$1,021.63		$3.62
Class Y
Actual		$1,000.00		$994.00		$3.77
Hypothetical (5% return before expenses)		$1,000.00		$1,021.43		$3.82

Expenses are equal to the Fund’s annualized expense ratio: 1.00%, 1.75%, 0.71% 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 (184), divided by 365 (to reflect the half-year period).

| 20


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 7/1/2018		ENDING ACCOUNT VALUE 12/31/2018		EXPENSES PAID DURING PERIOD* 7/1/2018 – 12/31/2018
Class A
Actual		$1,000.00		$899.10		$5.50
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85
Class C
Actual		$1,000.00		$895.80		$9.08
Hypothetical (5% return before expenses)		$1,000.00		$1,015.63		$9.65
Class N
Actual		$1,000.00		$900.80		$3.64
Hypothetical (5% return before expenses)		$1,000.00		$1,021.37		$3.87
Class Y
Actual		$1,000.00		$900.30		$4.31
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.76% and 0.90% 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 (184), divided by 365 (to reflect the half-year period).

21 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 44.9% of Net Assets
	Non-Convertible Bonds — 44.5%
		Banking — 14.6%
$	610,000	Australia & New Zealand Banking Group Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 6.750%, 144A(a)	$	598,563
	1,400,000	Banco Bilbao Vizcaya Argentaria S.A., (fixed rate to 11/16/2027, variable rate thereafter), 6.125%(a)		1,172,500
	2,000,000	Banco Santander S.A., (fixed rate to 5/19/2019, variable rate thereafter), 6.375%(a)		1,910,572
	650,000	BB&T Corp., MTN, 3.750%, 12/06/2023		655,469
	1,600,000	BNP Paribas S.A., (fixed rate to 11/15/2027, variable rate thereafter), 5.125%, 144A(a)		1,384,000
	1,400,000	Credit Agricole S.A., (fixed rate to 1/23/2024, variable rate thereafter), 7.875%, 144A(a)		1,398,172
	580,000	Credit Suisse Group AG, (fixed rate to 12/11/2023, variable rate thereafter), 7.500%, 144A(a)		589,570
	1,100,000	Credit Suisse Group AG, (fixed rate to 9/12/2025, variable rate thereafter), 7.250%, 144A(a)		1,037,685
	1,560,000	HSBC Holdings PLC, (fixed rate to 3/23/2023, variable rate thereafter), 6.250%(a)		1,462,500
	315,000	Intesa Sanpaolo SpA., (fixed rate to 5/16/2024, variable rate thereafter), 6.250%, (EUR)(a)		343,206
	675,000	Lloyds Banking Group PLC, 3.750%, 1/11/2027		620,121
	1,500,000	Macquarie Bank Ltd., (fixed rate to 3/08/2027, variable rate thereafter), 6.125%, 144A(a)		1,280,625
	1,405,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%(a)		1,405,815
	1,510,000	Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%, 144A(a)		1,493,012
	1,800,000	Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%, 144A(a)		1,773,000
	310,000	UniCredit SpA., (fixed rate to 6/03/2023, variable rate thereafter), 6.625%, (EUR)(a)		333,585

				17,458,395

		Cable Satellite — 2.9%
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		582,125
	1,700,000	DISH DBS Corp., 5.000%, 3/15/2023		1,415,250
	1,600,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		1,450,416

				3,447,791

		Chemicals — 0.8%
	330,000	Dow Chemical Co. (The), 5.550%, 11/30/2048, 144A		334,604
	650,000	Hercules LLC, 6.500%, 6/30/2029		648,375

				982,979

		Electric — 0.6%
	640,000	Niagara Mohawk Power Corp., 4.278%, 12/15/2028, 144A		661,880

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — 0.8%
$	960,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A	$	961,238

		Government Owned – No Guarantee — 1.2%
	715,000	YPF S.A., 8.500%, 3/23/2021, 144A		707,714
	740,000	YPF S.A., 8.750%, 4/04/2024, 144A		695,600

				1,403,314

		Healthcare — 0.6%
	680,000	Vizient, Inc., 10.375%, 3/01/2024, 144A		720,800

		Independent Energy — 3.9%
	1,170,000	Chesapeake Energy Corp., 8.000%, 6/15/2027		982,800
	1,580,000	Gulfport Energy Corp., 6.375%, 1/15/2026		1,366,700
	540,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		510,300
	1,165,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,112,575
	810,000	SM Energy Co., 6.750%, 9/15/2026		724,950

				4,697,325

		Life Insurance — 0.9%
	1,095,000	Prudential Financial, Inc., (fixed rate to 9/15/2028, variable rate thereafter), 5.700%, 9/15/2048		1,018,350

		Metals & Mining — 1.9%
	1,035,000	Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 7.500%, 5/01/2025, 144A		1,037,587
	625,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		515,625
	820,000	Stillwater Mining Co., 7.125%, 6/27/2025, 144A		754,925

				2,308,137

		Midstream — 2.7%
	640,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.875%, 8/20/2026		584,000
	1,120,000	EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028		1,096,927
	1,020,000	Plains All American Pipeline LP, Series B, (fixed rate to 11/15/2022, variable rate thereafter), 6.125%(a)		856,800
	730,000	Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(a)		674,710

				3,212,437

		Non-Agency Commercial Mortgage-Backed Securities — 0.3%
	370,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C,1-month LIBOR + 3.000%, 5.349%, 10/15/2034, 144A(b)		369,789

		Oil Field Services — 1.5%
	735,000	Noble Holding International Ltd., 7.875%, 2/01/2026, 144A		626,587
	870,000	Transocean, Inc., 6.800%, 3/15/2038		578,550
	625,000	Transocean, Inc., 8.375%, 12/15/2021		620,313

				1,825,450

		Property & Casualty Insurance — 1.6%
	635,000	AON Corp., 4.500%, 12/15/2028		642,816
	510,000	Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)		547,066

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Property & Casualty Insurance — continued
$	770,000	Assurant, Inc., (fixed rate to 3/27/2028, variable rate thereafter), 7.000%, 3/27/2048	$	731,500

				1,921,382

		Sovereigns — 3.6%
	19,205,000	Argentina Politica Monetaria, Argentina Central Bank7-day Repo Reference Rate, 65.509%, 6/21/2020, (ARS)(c)		552,713
	380,000	Ecuador Government International Bond, 7.875%, 1/23/2028		308,750
	860,000	Kingdom of Bahrain, 6.125%, 7/05/2022, 144A		876,340
	315,000	Kingdom of Bahrain, 6.125%, 8/01/2023		320,902
	930,000	Republic of Argentina, 6.875%, 1/11/2048		647,513
	1,105,000	Republic of Argentina, 6.875%, 4/22/2021		998,379
	745,000	Republic of Oman, 5.625%, 1/17/2028, 144A		655,880

				4,360,477

		Technology — 0.6%
	410,000	Dell International LLC/EMC Corp., 8.100%, 7/15/2036, 144A		445,608
	290,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		314,009

				759,617

		Treasuries — 4.6%
	4,472(††)	Brazil Notas do Tesouro Nacional, 10.000%, 1/01/2029, (BRL)		1,154,648
	18,000,000,000	Indonesia Treasury Bond, 7.000%, 5/15/2027, (IDR)		1,171,627
	206,984(†††)	Mexican Fixed Rate Bonds, SeriesM-20, 7.500%, 6/03/2027, (MXN)		978,236
	2,279,800,000	Republic of Colombia, Series B, 6.000%, 4/28/2028, (COP)		665,310
	7,300,000	South Africa Government International Bond, Series R186, 10.500%, 12/21/2026, (ZAR)		551,946
	895,000	U.S. Treasury Note, 3.125%, 11/15/2028		928,353

				5,450,120

		Utility Other — 0.4%
	460,000	ACWA Power Management And Investments One Ltd., 5.950%, 12/15/2039, 144A		432,087

		Wireless — 0.5%
	565,000	Sprint Corp., 7.625%, 3/01/2026		557,938

		Wirelines — 0.5%
	640,000	British Telecommunications PLC, 5.125%, 12/04/2028		643,603

		TotalNon-Convertible Bonds (Identified Cost $56,436,535)		53,193,109


	Convertible Bonds — 0.4%
		Cable Satellite — 0.3%
	400,000	DISH Network Corp., 3.375%, 8/15/2026		323,006

		Independent Energy — 0.0%
	25,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		23,635

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — 0.1%
$	120,000	Nuance Communications, Inc., 1.250%, 4/01/2025	$	105,209

		Total Convertible Bonds (Identified Cost $591,547)		451,850


		Total Bonds and Notes (Identified Cost $57,028,082)		53,644,959


Shares
	Common Stocks — 33.0%
		Air Freight & Logistics — 0.1%
	3,260	Oesterreichische Post AG		112,024

		Airlines — 0.2%
	3,219	Delta Air Lines, Inc.		160,628
	3,400	Japan Airlines Co. Ltd.		120,500

				281,128

		Automobiles — 0.5%
	17,174	General Motors Co.		574,470

		Banks — 2.8%
	93,793	Bank of America Corp.		2,311,060
	1,272	BB&T Corp.		55,103
	1,500	Canadian Imperial Bank of Commerce		111,720
	5,030	Citigroup, Inc.		261,862
	4,824	First Hawaiian, Inc.		108,588
	1,508	JPMorgan Chase & Co.		147,211
	39,100	Mizuho Financial Group, Inc.		60,497
	2,700	National Bank of Canada		110,852
	3,400	Sumitomo Mitsui Financial Group, Inc.		112,081
	900	Toronto-Dominion Bank (The)		44,736

				3,323,710

		Beverages — 0.3%
	1,600	Asahi Group Holdings Ltd.		62,006
	1,093	Carlsberg AS, Class B		116,272
	2,488	Molson Coors Brewing Co., Class B		139,726

				318,004

		Biotechnology — 2.9%
	24,475	AbbVie, Inc.		2,256,350
	5,614	Amgen, Inc.		1,092,878
	2,669	Gilead Sciences, Inc.		166,946

				3,516,174

		Capital Markets — 0.2%
	7,023	AllianceBernstein Holding LP		191,868

		Chemicals — 0.7%
	7,984	Eastman Chemical Co.		583,710
	2,421	LyondellBasell Industries NV, Class A		201,331

				785,041

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Commercial Services & Supplies — 0.0%
	1,003	KAR Auction Services, Inc.	$	47,863

		Communications Equipment — 0.2%
	6,412	Cisco Systems, Inc.		277,832

		Construction & Engineering — 0.2%
	3,268	ACS Actividades de Construccion y Servicios S.A.		126,495
	869	Hochtief AG		117,360

				243,855

		Consumer Finance — 0.2%
	3,000	Capital One Financial Corp.		226,770

		Containers & Packaging — 0.1%
	4,161	International Paper Co.		167,938

		Diversified Telecommunication Services — 0.5%
	21,125	AT&T, Inc.		602,907

		Electric Utilities — 1.4%
	16,000	CK Infrastructure Holdings Ltd.		121,083
	11,635	Contact Energy Ltd.		46,125
	1,034	Duke Energy Corp.		89,234
	1,449	Endesa S.A.		33,415
	10,669	Enel SpA		61,851
	1,799	Entergy Corp.		154,840
	13,087	Exelon Corp.		590,224
	3,494	FirstEnergy Corp.		131,200
	48,410	Mercury NZ Ltd.		118,533
	10,064	PPL Corp.		285,113

				1,631,618

		Entertainment — 0.8%
	915	Cinemark Holdings, Inc.		32,757
	10,212	Viacom, Inc., Class B		262,448
	5,621	Walt Disney Co. (The)		616,343

				911,548

		Food & Staples Retailing — 0.2%
	3,706	Walgreens Boots Alliance, Inc.		253,231

		Food Products — 0.1%
	1,115	Hershey Co. (The)		119,506

		Gas Utilities — 0.1%
	2,208	National Fuel Gas Co.		113,005

		Health Care Equipment & Supplies — 3.8%
	32,872	Abbott Laboratories		2,377,632
	12,515	Medtronic PLC		1,138,364
	6,511	Stryker Corp.		1,020,599

				4,536,595

		Health Care Providers & Services — 1.8%
	2,183	AmerisourceBergen Corp.		162,415

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Health Care Providers & Services — continued
	3,039	CVS Health Corp.	$	199,115
	377	Encompass Health Corp.		23,261
	6,866	UnitedHealth Group, Inc.		1,710,458

				2,095,249

		Hotels, Restaurants & Leisure — 1.1%
	621	Darden Restaurants, Inc.		62,013
	6,606	McDonald’s Corp.		1,173,028
	703	Starbucks Corp.		45,273

				1,280,314

		Household Durables — 0.1%
	4,800	Nikon Corp.		71,496
	2,374	Persimmon PLC		58,462

				129,958

		Independent Power & Renewable Electricity Producers — 0.9%
	76,321	AES Corp. (The)		1,103,602

		Industrial Conglomerates — 0.1%
	59,000	NWS Holdings Ltd.		121,149

		Industrial Other — 0.0%
	943	Iron Mountain, Inc.		30,563

		Insurance — 0.3%
	4,444	MetLife, Inc.		182,471
	2,080	Prudential Financial, Inc.		169,624

				352,095

		IT Services — 1.6%
	1,915	Accenture PLC, Class A		270,034
	1,903	Automatic Data Processing, Inc.		249,521
	3,165	Booz Allen Hamilton Holding Corp.		142,647
	1,900	Broadridge Financial Solutions, Inc.		182,875
	5,221	Leidos Holdings, Inc.		275,251
	927	MasterCard, Inc., Class A		174,879
	4,456	Paychex, Inc.		290,308
	7,335	Sabre Corp.		158,729
	1,335	Visa, Inc., Class A		176,140

				1,920,384

		Leisure Products — 0.1%
	3,000	Sankyo Co. Ltd.		114,091

		Machinery — 0.7%
	4,126	Allison Transmission Holdings, Inc.		181,173
	1,514	Cummins, Inc.		202,331
	381	Hillenbrand, Inc.		14,451
	1,421	Illinois Tool Works, Inc.		180,026
	5,376	PACCAR, Inc.		307,185

				885,166

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Media — 1.5%
	33,392	Comcast Corp., Class A	$	1,136,998
	11,755	Interpublic Group of Cos., Inc. (The)		242,506
	4,034	Omnicom Group, Inc.		295,450
	3,763	Sinclair Broadcast Group, Inc., Class A		99,117

				1,774,071

		Multi-Utilities — 0.6%
	8,465	AGL Energy Ltd.		122,930
	10,912	CenterPoint Energy, Inc.		308,046
	2,510	Dominion Energy, Inc.		179,365
	1,876	NorthWestern Corp.		111,509

				721,850

		Multiline Retail — 0.6%
	4,210	Kohl’s Corp.		279,291
	9,176	Macy’s, Inc.		273,261
	1,553	Target Corp.		102,638

				655,190

		Oil, Gas & Consumable Fuels — 1.0%
	1,626	Chevron Corp.		176,893
	2,837	ConocoPhillips		176,887
	1,938	CVR Energy, Inc.		66,822
	2,693	Enagas S.A.		72,797
	3,150	HollyFrontier Corp.		161,028
	2,970	Marathon Petroleum Corp.		175,260
	3,196	Occidental Petroleum Corp.		196,170
	8,907	Plains GP Holdings LP, Class A(d)		179,031
	899	Targa Resources Corp.		32,382

				1,237,270

		Paper & Forest Products — 0.2%
	6,225	Domtar Corp.		218,684

		Pharmaceuticals — 2.0%
	8,100	Astellas Pharma, Inc.		103,491
	5,732	Bristol-Myers Squibb Co.		297,949
	2,119	Johnson & Johnson		273,457
	18,594	Merck & Co., Inc.		1,420,768
	6,865	Pfizer, Inc.		299,657

				2,395,322

		Professional Services — 0.2%
	4,995	Robert Half International, Inc.		285,714

		Real Estate Management & Development — 0.2%
	1,310	Aroundtown S.A.		10,868
	1,216	Castellum AB		22,470
	3,500	CK Asset Holdings Ltd.		25,608
	1,000	Daiwa House Industry Co. Ltd.		31,898
	1,184	Entra ASA, 144A		15,769
	2,513	Fabege AB		33,589

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Real Estate Management & Development — continued
	454	Grand City Properties S.A.	$	9,868
	4,900	Hongkong Land Holdings Ltd.		30,890
	10,000	K Wah International Holdings Ltd.		4,750
	2,000	Kerry Properties Ltd.		6,826
	4,800	Swire Properties Ltd.		16,866
	242	TLG Immobilien AG		6,695
	43	Vonovia SE		1,938

				218,035

		REITs – Apartments — 0.0%
	78	Invincible Investment Corp.		32,170

		REITs – Diversified — 0.1%
	76	Equinix, Inc.		26,795
	2,300	Mapletree Logistics Trust		2,128
	288	NexPoint Residential Trust, Inc.		10,094
	1,849	Preferred Apartment Communities, Inc., Class A		25,997
	233	PS Business Parks, Inc.		30,523
	2,111	UMH Properties, Inc.		24,994

				120,531

		REITs – Health Care — 0.0%
	662	CareTrust REIT, Inc.		12,221
	847	Omega Healthcare Investors, Inc.		29,772

				41,993

		REITs – Hotels — 0.1%
	3,296	Braemar Hotels & Resorts, Inc.		29,434
	1,152	Hersha Hospitality Trust		20,206
	525	Hospitality Properties Trust		12,537
	44	Japan Hotel REIT Investment Corp.		31,406
	1,306	Xenia Hotels & Resorts, Inc.		22,463

				116,046

		REITs – Manufactured Homes — 0.0%
	317	Equity Lifestyle Properties, Inc.		30,790

		REITs – Office Property — 0.1%
	46,000	Champion REIT		31,473
	18,361	Green REIT PLC		28,395
	5	Mori Trust Sogo REIT, Inc.		7,280
	5	One REIT, Inc.		12,142
	2,281	VEREIT, Inc.		16,309

				95,599

		REITs – Regional Malls — 0.0%
	244	Taubman Centers, Inc.		11,100
	550	Washington Prime Group, Inc.		2,673

				13,773

		REITs – Shopping Centers — 0.1%
	23	AEON REIT Investment Corp.		26,476

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		REITs – Shopping Centers — continued
	7	Frontier Real Estate Investment Corp.	$	27,788
	3,000	Link REIT		30,413
	369	Retail Value, Inc.		9,443
	312	Urstadt Biddle Properties, Inc., Class A		5,996

				100,116

		REITs – Single Tenant — 0.1%
	301	National Retail Properties, Inc.		14,602
	271	Realty Income Corp.		17,084
	192	Spirit Realty Capital, Inc.		6,768
	1,059	STORE Capital Corp.		29,980

				68,434

		REITs – Storage — 0.1%
	326	Extra Space Storage, Inc.		29,497
	322	Life Storage, Inc.		29,943
	1,101	National Storage Affiliates Trust		29,132
	145	Public Storage		29,349

				117,921

		REITs – Warehouse/Industrials — 0.0%
	24	EastGroup Properties, Inc.		2,202
	300	Granite Real Estate Investment Trust		11,693
	13,950	Hansteen Holdings PLC		16,474
	67	Rexford Industrial Realty, Inc.		1,974

				32,343

		Semiconductors & Semiconductor Equipment — 0.1%
	1,095	KLA-Tencor Corp.		97,991

		Software — 2.1%
	4,234	j2 Global, Inc.		293,755
	22,282	Microsoft Corp.		2,263,183

				2,556,938

		Specialty Retail — 0.5%
	4,742	Best Buy Co., Inc.		251,136
	503	Dick’s Sporting Goods, Inc.		15,694
	3,999	Foot Locker, Inc.		212,747
	1,214	Williams-Sonoma, Inc.		61,246

				540,823

		Technology Hardware, Storage & Peripherals — 0.2%
	4,942	Hewlett Packard Enterprise Co.		65,284
	5,349	HP, Inc.		109,440

				174,724

		Textiles, Apparel & Luxury Goods — 0.1%
	1,641	Ralph Lauren Corp.		169,778

		Thrifts & Mortgage Finance — 0.1%
	3,800	Genworth MI Canada, Inc.		111,896

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Shares		Description	Value (†)
		Tobacco — 0.6%
	5,667	Altria Group, Inc.	$	279,893
	3,073	British American Tobacco PLC		97,780
	3,827	Imperial Brands PLC		116,156
	3,610	Philip Morris International, Inc.		241,004

				734,833

		Trading Companies & Distributors — 0.3%
	16,200	Marubeni Corp.		113,667
	2,800	Mitsubishi Corp.		76,766
	7,300	Mitsui & Co. Ltd.		112,152
	7,600	Sumitomo Corp.		107,835

				410,420

		Wireless Telecommunication Services — 0.1%
	4,500	NTT DOCOMO, Inc.		101,111

		Total Common Stocks (Identified Cost $42,882,558)		39,442,024


Principal Amount (‡)
	Senior Loans — 8.2%
		Airlines — 1.8%
$	2,063,636	Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020		2,110,068

		Building Materials — 0.9%
	1,126,401	CPG International, Inc., 2017 Term Loan,6-month LIBOR + 3.750%, 6.633%, 5/05/2024(b)		1,078,529

		Chemicals — 0.5%
	332,384	ASP Chromaflo Dutch I BV, Term Loan B2,1-month LIBOR + 3.500%, 6.022%, 11/20/2023(b)		322,827
	255,617	ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1,1-month LIBOR + 3.500%, 6.022%, 11/18/2023(b)		248,268

				571,095

		Financial Other — 0.9%
	1,138,482	Wall Street Systems Delaware, Inc., 2017 Term Loan B,1-month LIBOR + 3.000%, 5.522%, 11/21/2024(b)		1,056,887

		Independent Energy — 0.7%
	1,100,000	Gavilan Resources LLC, 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.504%, 3/01/2024(b)		833,250
	27,214	MEG Energy Corp., 2017 Term Loan B,1-month LIBOR + 3.500%, 6.030%, 12/31/2023(b)		26,567

				859,817

		Lodging — 0.5%
	606,700	Hilton Worldwide Finance LLC, Term Loan B2,1-month LIBOR + 1.750%, 4.256%, 10/25/2023(b)		583,949

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media Entertainment — 0.5%
$	668,869	LSC Communications, Inc., 2017 Term Loan B,1-month LIBOR + 5.500%, 8.022%, 9/30/2022(b)	$	658,836

		Refining — 0.3%
	401,963	Delek U.S. Holdings, Inc., 2018 Term Loan B,1-month LIBOR + 2.250%, 4.772%, 3/31/2025(b)		391,580

		Retailers — 0.9%
	1,103,763	Staples, Inc., 2017 Term Loan B,3-month LIBOR + 4.000%, 6.541%, 9/12/2024(b)		1,055,937

		Wireless — 1.2%
	1,492,500	Asurion LLC, 2018 Term Loan B7,1-month LIBOR + 3.000%, 5.522%, 11/03/2024(b)		1,424,875

		Total Senior Loans (Identified Cost $10,280,056)		9,791,573


Shares
	Exchange Traded Funds & Notes — 6.9%
	606,468	Alerian MLP ETF		5,294,466
	130,000	JPMorgan Alerian MLP Index ETN		2,901,600

		Total Exchange Traded Funds & Notes (Identified Cost $9,915,646)		8,196,066


	Preferred Stocks — 1.3%
	Non-Convertible Preferred Stocks — 0.9%
		Midstream — 0.3%
	14,215	Energy Transfer Operating LP, Series C, (fixed rate to 5/15/2023, variable rate thereafter), 7.375%		312,872

		Property & Casualty Insurance — 0.6%
	30,000	Allstate Corp. (The), Series G, 5.625%		718,500

		TotalNon-Convertible Preferred Stocks (Identified Cost $1,105,375)		1,031,372


	Convertible Preferred Stock — 0.4%
		Midstream — 0.4%
	932	Chesapeake Energy Corp., 5.750% (Identified Cost $631,845)		480,774

		Total Preferred Stocks (Identified Cost $1,737,220)		1,512,146

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 6.8%
$	8,096,724	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $8,097,399 on 1/02/2019 collateralized by $6,035,000 U.S. Treasury Inflation Indexed Bond, 2.125% due 2/15/2041 valued at $8,261,094 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,096,724)	$	8,096,724


		Total Investments — 101.1% (Identified Cost $129,940,286)		120,683,492
		Other assets less liabilities — (1.1)%		(1,263,050	)

		Net Assets — 100.0%	$	119,420,442


	(‡)	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 1,000.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Perpetual bond with no specified maturity date.
	(b)	Variable rate security. Rate as of December 31, 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 December 31, 2018 is disclosed.
	(d)	Non-income producing security.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, the value of Rule 144A holdings amounted to $23,883,151 or 20.0% of net assets.
	ETF	Exchange-Traded Fund
	ETN	Exchange-Traded Note
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

	ARS	Argentine Peso
	BRL	Brazilian Real
	COP	Colombian Peso
	EUR	Euro
	GBP	British Pound
	IDR	Indonesian Rupiah
	MXN	Mexican Peso
	ZAR	South African Rand

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Multi-Asset Income Fund – (continued)

Industry Summary at December 31, 2018


Banking	14.6	%
Independent Energy	4.6
Treasuries	4.6
Health Care Equipment & Supplies	3.8
Sovereigns	3.6
Midstream	3.4
Cable Satellite	3.2
Biotechnology	2.9
Banks	2.8
Integrated Energy	2.4
Property & Casualty Insurance	2.2
Software	2.1
Pharmaceuticals	2.0
Airlines	2.0
Chemicals	2.0
Other Investments, less than 2% each	33.6
Short-Term Investments	6.8
Exchange-Traded Funds	4.5

Total Investments	101.1
Other assets less liabilities	(1.1	)

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2018


United States Dollar	92.6	%
Other, less than 2% each	8.5

Total Investments	101.1
Other assets less liabilities	(1.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 64.7% of Net Assets
	Non-Convertible Bonds — 63.1%
		ABS Car Loan — 11.4%
$	447,112	ACC Trust, Series2018-1, Class A, 3.700%, 12/21/2020, 144A	$	447,314
	510,199	Ally Auto Receivables Trust, Series2016-3, Class A3, 1.440%, 8/17/2020(a)		508,378
	1,455,000	AmeriCredit Automobile Receivables Trust, Series2015-4, Class D, 3.720%, 12/08/2021(a)		1,461,995
	295,000	AmeriCredit Automobile Receivables Trust, Series2016-2, Class D, 3.650%, 5/09/2022(a)		297,417
	5,478,849	AmeriCredit Automobile Receivables Trust, Series2017-3, Class A2B, 1-month LIBOR + 0.240%, 2.695%, 12/18/2020(b)		5,479,725
	2,805,000	AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, 4.010%, 7/18/2024		2,842,559
	4,320,000	AmeriCredit Automobile Receivables Trust, Series2018-3, Class A2B, 1-month LIBOR + 0.250%, 2.705%, 1/18/2022(b)		4,320,099
	3,845,000	AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, 4.040%, 11/18/2024		3,892,624
	1,451,321	BMW Vehicle Owner Trust, Series2018-A, Class A2B,1-month LIBOR + 0.007%, 2.576%, 11/25/2020(a)(b)		1,451,058
	1,785,000	California Republic Auto Receivables Trust, Series2018-1, Class D, 4.330%, 4/15/2025		1,807,006
	1,001,886	CarMax Auto Owner Trust, Series2018-1, Class A2B,1-month LIBOR + 0.150%, 2.605%, 5/17/2021(a)(b)		1,001,415
	1,435,000	CarMax Auto Owner Trust, Series2018-2, Class D, 3.990%, 4/15/2025		1,449,280
	6,700,000	CarMax Auto Owner Trust, Series2018-3, Class A2B,1-month LIBOR + 0.200%, 2.655%, 10/15/2021(b)		6,696,365
	5,075,000	CarMax Auto Owner Trust, Series2018-4, Class A2B,1-month LIBOR + 0.200%, 2.655%, 2/15/2022(b)		5,075,168
	1,125,000	CarMax Auto Owner Trust, Series2018-4, Class D, 4.150%, 4/15/2025		1,147,569
	284,085	CIG Auto Receivables Trust, Series2017-1A, Class A, 2.710%, 5/15/2023, 144A(a)		282,358
	550,193	CPS Auto Receivables Trust, Series2014-D, Class C, 4.350%, 11/16/2020, 144A(a)		552,270
	815,000	CPS Auto Receivables Trust, Series2017-D, Class D, 3.730%, 9/15/2023, 144A(a)		813,159
	230,000	CPS Auto Receivables Trust, Series2018-A, Class C, 3.050%, 12/15/2023, 144A(a)		228,311
	1,795,000	CPS Auto Trust, Series2018-D, Class C, 3.830%, 9/15/2023, 144A		1,814,078
	1,205,000	Credit Acceptance Auto Loan Trust, Series2018-2A, Class C, 4.160%, 9/15/2027, 144A		1,222,645
	1,672,084	Drive Auto Receivables Trust, Series2016-CA, Class C, 3.020%, 11/15/2021, 144A(a)		1,671,102
	2,955,000	Drive Auto Receivables Trust, Series2018-1, Class D, 3.810%, 5/15/2024(a)		2,959,787
	5,320,000	Drive Auto Receivables Trust, Series 2018-4, Class A2B,1-month LIBOR + 0.270%, 2.725%, 10/15/2020(b)		5,316,828

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	5,755,000	Drive Auto Receivables Trust, Series2018-5, Class A2B,1-month LIBOR + 0.320%, 2.775%, 7/15/2021(b)	$	5,746,636
	2,395,000	Drive Auto Receivables Trust, Series2018-5, Class D, 4.300%, 4/15/2026		2,425,920
	2,155,000	DT Auto Owner Trust, Series2018-3A, Class C, 3.790%, 7/15/2024, 144A		2,163,928
	733,849	DT Auto Owner Trust, Series2015-2A, Class D, 4.250%, 2/15/2022, 144A(a)		735,443
	4,014,517	DT Auto Owner Trust, Series2016-1A, Class D, 4.660%, 12/15/2022, 144A(a)		4,037,995
	3,045,000	DT Auto Owner Trust, Series2016-2A, Class D, 5.430%, 11/15/2022, 144A(a)		3,076,776
	1,390,000	DT Auto Owner Trust, Series2018-2A, Class D, 4.150%, 3/15/2024, 144A		1,398,485
	440,000	First Investors Auto Owner Trust, Series2014-2A, Class D, 3.470%, 2/15/2021, 144A(a)		439,982
	345,000	First Investors Auto Owner Trust, Series2015-1A, Class D, 3.590%, 1/18/2022, 144A(a)		344,967
	1,710,000	First Investors Auto Owner Trust, Series2015-2A, Class D, 4.220%, 12/15/2021, 144A(a)		1,720,315
	220,000	First Investors Auto Owner Trust, Series2016-2A, Class D, 3.350%, 11/15/2022, 144A(a)		218,364
	605,000	Flagship Credit Auto Trust, Series2015-1, Class C, 3.760%, 6/15/2021, 144A(a)		606,954
	650,000	Flagship Credit Auto Trust, Series2016-3, Class D, 3.890%, 11/15/2022, 144A(a)		653,150
	4,120,000	Ford Credit Auto Lease Trust, Series2018-B, Class A2B,1-month LIBOR + 0.160%, 2.615%, 4/15/2021(b)		4,113,258
	1,260,000	GLS Auto Receivables Trust, Series2018-3A, Class B, 3.780%, 8/15/2023, 144A		1,265,573
	5,495,000	GM Financial Automobile Leasing Trust, Series2018-3, Class A2B, 1-month LIBOR + 0.170%, 2.640%, 9/21/2020(b)		5,488,319
	5,610,000	GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A2B,1-month LIBOR + 0.110%, 2.565%, 7/16/2021(b)		5,610,794
	1,362,000	Hertz Vehicle Financing II LP, Series2017-2A, Class A, 3.290%, 10/25/2023, 144A(a)		1,344,640
	532,363	Honda Auto Receivables Owner Trust, Series2016-2, Class A3, 1.390%, 4/15/2020(a)		530,256
	1,059,824	Honda Auto Receivables Owner Trust, Series2017-1, Class A3, 1.720%, 7/21/2021(a)		1,050,712
	5,095,000	Honda Auto Receivables Owner Trust, Series2018-1, Class A3, 2.640%, 2/15/2022(a)		5,064,703
	3,045,000	NextGear Floorplan Master Owner Trust, Series2017-1A, Class A1, 1-month LIBOR + 0.850%, 3.305%, 4/18/2022, 144A(a)(b)		3,061,861
	4,355,000	NextGear Floorplan Master Owner Trust, Series2017-2A, Class A1, 1-month LIBOR + 0.680%, 3.135%, 10/17/2022, 144A(a)(b)		4,364,009
	2,590,000	NextGear Floorplan Master Owner Trust, Series2018-1A, Class A1, 1-month LIBOR + 0.640%, 3.095%, 2/15/2023, 144A(a)(b)		2,587,705
	2,820,000	NextGear Floorplan Master Owner trust, Series2018-2A, Class A1, 1-month LIBOR + 0.600%, 3.055%, 10/16/2023, 144A(b)		2,821,347

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	582,137	Nissan Auto Receivables Owner Trust, Series2016-C, Class A3, 1.180%, 1/15/2021(a)	$	576,675
	54,337	Nissan Auto Receivables Owner Trust, Series2017-A, Class A2B, 1-month LIBOR + 0.060%, 2.515%, 1/15/2020(a)(b)		54,338
	1,525,000	Nissan Auto Receivables Owner Trust, Series2017-A, Class A3, 1.740%, 8/16/2021(a)		1,510,813
	3,220,000	Nissan Auto Receivables Owner Trust, Series2018-A, Class A3, 2.650%, 5/16/2022(a)		3,204,671
	3,285,000	Nissan Auto Receivables Owner Trust, Series2018-B, Class A2B, 1-month LIBOR + 0.100%, 2.555%, 7/15/2021(b)		3,283,177
	6,465,000	Nissan Auto Receivables Owner Trust, Series2018-C, Class A2B, 1-month LIBOR + 0.170%, 2.485%, 10/15/2021(b)		6,459,007
	3,045,000	Prestige Auto Receivables Trust, Series2016-1A, Class D, 5.150%, 11/15/2021, 144A(a)		3,101,594
	3,585,000	Santander Drive Auto Receivables Trust, Series2018-2, Class D, 3.880%, 2/15/2024		3,615,074
	5,125,000	Santander Drive Auto Receivables Trust, Series2018-5, Class A2B, 1-month LIBOR + 0.230%, 2.685%, 7/15/2021(b)		5,125,203
	2,720,000	Santander Drive Auto Receivables Trust, Series2018-5, Class C, 3.810%, 12/16/2024		2,738,841
	353,000	Tidewater Auto Receivables Trust, Series2018-AA, Class D, 4.300%, 11/15/2024, 144A		355,357
	331,633	Toyota Auto Receivables Owner Trust, Series2016-C, Class A3, 1.140%, 8/17/2020(a)		329,456
	338,154	Toyota Auto Receivables Owner Trust, Series2017-B, Class A2B, 1-month LIBOR + 0.060%, 2.515%, 1/15/2020(a)(b)		338,154
	4,970,000	Toyota Auto Receivables Owner Trust, Series2018-C, Class A2B, 1-month LIBOR + 0.120%, 2.575%, 8/16/2021(b)		4,970,111
	233,124	USAA Auto Owner Trust, Series2016-1, Class A3, 1.200%, 6/15/2020(a)		232,653
	454,624	Veros Automobile Receivables Trust, Series2017-1, Class A, 2.840%, 4/17/2023, 144A(a)		453,270
	3,400,000	Volkswagen Auto Loan Enhanced Trust, Series2018-1, Class A2B, 1-month LIBOR + 0.180%, 2.650%, 7/20/2021(b)		3,400,970
	4,605,000	Volvo Financial Equipment Master Owner Trust, Series2018-A, Class A, 1-month LIBOR + 0.520%, 2.975%, 7/17/2023, 144A(b)		4,653,398
	595,000	Westlake Automobile Receivables Trust, Series2017-1A, Class D, 3.460%, 10/17/2022, 144A(a)		592,716
	740,000	Westlake Automobile Receivables Trust, Series2018-1A, Class D, 3.410%, 5/15/2023, 144A(a)		734,729
	5,705,000	Westlake Automobile Receivables Trust, Series2018-3A, Class A2B, 1-month LIBOR + 0.350%, 2.805%, 1/18/2022, 144A(b)		5,706,296
	1,140,000	Westlake Automobile Receivables Trust, Series2018-3A, Class D, 4.000%, 10/16/2023, 144A		1,143,803
	4,865,000	World Omni Automobile Lease Securitization Trust, Series18-B, Class A2B,1-month LIBOR + 0.180%, 2.635%, 6/15/2021(b)		4,858,780

				171,049,688

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Credit Card — 4.1%
$	5,420,000	American Express Credit Account Master Trust, Series2017-6, Class A, 2.040%, 5/15/2023(a)	$	5,336,425
	3,790,000	American Express Credit Account Master Trust, Series2018-8, Class A, 3.180%, 4/15/2024		3,820,396
	2,050,000	BA Credit Card Trust, Series2014-A1, Class A,1-month LIBOR + 0.380%, 2.835%, 6/15/2021(a)(b)		2,050,153
	995,000	Bank of America Credit Card Trust, Series2016-A1, Class A, 1-month LIBOR + 0.390%, 2.845%, 10/15/2021(a)(b)		995,644
	4,385,000	Bank of America Credit Card Trust, Series2017-A1, Class A1, 1.950%, 8/15/2022(a)		4,332,664
	5,875,000	Bank of America Credit Card Trust, Series2018-A1, Class A1, 2.700%, 7/17/2023(a)		5,853,904
	2,585,000	Capital One Multi-Asset Execution Trust, Series2017-A1, Class A1, 2.000%, 1/17/2023(a)		2,556,579
	3,500,000	Chase Issuance Trust, Series2015-A4, Class A4, 1.840%, 4/15/2022(a)		3,447,698
	3,120,000	Chase Issuance Trust, Series2016-A2, Class A, 1.370%, 6/15/2021(a)		3,096,538
	5,800,000	Citibank Credit Card Issuance Trust, Series2016-A1, Class A1, 1.750%, 11/19/2021(a)		5,738,454
	5,520,000	Citibank Credit Card Issuance Trust, Series2017-A8, Class A8, 1.860%, 8/08/2022(a)		5,430,047
	6,025,000	Citibank Credit Card Issuance Trust, Series2018-A1, Class A1, 2.490%, 1/20/2023(a)		5,976,415
	6,880,000	Discover Card Execution Note Trust, Series2018-A5, Class A5, 3.320%, 3/15/2024(a)		6,963,783
	5,425,000	Discover Card Execution Note Trust, Series2018-A3, Class A3, 1-month LIBOR + 0.230%, 2.685%, 12/15/2023(b)		5,406,751

				61,005,451

		ABS Home Equity — 8.8%
	493,951	Adjustable Rate Mortgage Trust, Series2004-4, Class 3A1, 4.234%, 3/25/2035(a)(c)		492,543
	1,001,991	Adjustable Rate Mortgage Trust, Series2005-1, Class 3A1, 4.242%, 5/25/2035(a)(c)		1,008,493
	1,046,314	Ajax Mortgage Loan Trust, Series2016-C, Class A, 4.000%, 10/25/2057, 144A(a)(c)		1,045,078
	332,364	Ajax Mortgage Loan Trust, Series2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(c)		329,662
	1,392,094	Ajax Mortgage Loan Trust, Series2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c)		1,374,067
	390,220	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		400,141
	444,065	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		454,660
	303,858	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		301,382
	764,719	Alternative Loan Trust, Series2005-J1, Class 2A1, 5.500%, 2/25/2025		777,466
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		317,722
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,389,370

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)	$	1,335,973
	605,028	Banc of America Alternative Loan Trust, Series2003-8, Class 1CB1, 5.500%, 10/25/2033		617,355
	1,154,137	Banc of America Funding Trust, Series2004-B, Class 4A2, 4.285%, 11/20/2034(c)		1,132,356
	328,160	Banc of America Funding Trust, Series2005-5, Class 1A1, 5.500%, 9/25/2035		348,173
	687,122	Banc of America Funding Trust, Series2005-7, Class 3A1, 5.750%, 11/25/2035		724,270
	467,097	Banc of America Funding Trust, Series2007-4, Class 5A1, 5.500%, 11/25/2034		460,786
	1,182,923	Banc of America Mortgage Trust, Series2005-I, Class 4A1, 4.099%, 10/25/2035(c)		1,134,525
	439,179	Bayview Opportunity Master Fund IIIa Trust, Series2017-RN8, Class A1, 3.352%, 11/28/2032, 144A(c)		437,279
	529,639	Bayview Opportunity Master Fund IV Trust, Series2018-RN2, Class A1, 3.598%, 2/25/2033, 144A(a)(c)		525,545
	227,428	Bayview Opportunity Master Fund IVa Trust, Series2018-RN1, Class A1, 3.278%, 1/28/2033, 144A(a)(c)		227,491
	2,383,712	Bayview Opportunity Master Fund IVb Trust, Series2018-RN9, Class A1, 4.213%, 10/29/2033, 144A(c)		2,385,269
	747,927	Bayview Opportunity Master Fund Trust, Series2018-RN3, Class A1, 3.672%, 3/28/2033, 144A(a)(c)		747,248
	480,264	Bayview Opportunity Master Fund Trust, Series2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(c)		479,608
	1,184,893	Bayview Opportunity Master Fund Trust, Series2018-RN8, Class A1, 4.066%, 9/28/2033, 144A(c)		1,186,114
	420,233	BCAP LLC Trust, Series2007-AA2, Class 22A1, 6.000%, 3/25/2022		417,438
	377,662	CAM Mortgage Trust, Series2018-1, Class A1, 3.960%, 12/01/2065, 144A(c)		380,193
	421,011	CHL Mortgage Pass-Through Trust, Series2004-12, Class 8A1, 4.441%, 8/25/2034(c)		414,107
	1,230,746	Citigroup Mortgage Loan Trust, Series2018-A, Class A1, 4.000%, 1/25/2068, 144A(c)		1,231,920
	2,991,220	Citigroup Mortgage Loan Trust, Series2018-C, Class A1, 4.125%, 3/25/2059, 144A(c)		3,017,733
	1,254,329	Citigroup Mortgage Loan Trust, Inc., Series2005-3, Class 2A3, 4.539%, 8/25/2035(c)		1,239,257
	2,200,000	Colony American Finance Ltd., Series2015-1, Class D, 5.649%, 10/15/2047, 144A		2,205,982
	1,065,000	Colony American Finance Ltd., Series2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c)		1,061,361
	1,045,096	Colony Starwood Homes Trust, Series2016-2A, Class E,1-month LIBOR + 3.350%, 5.805%, 12/17/2033, 144A(b)		1,050,756
	580,013	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		586,776

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	529,321	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034	$	546,154
	1,047,989	Countrywide Alternative Loan Trust, Series2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,084,372
	503,163	Countrywide Alternative Loan Trust, Series2004-J3, Class 1A1, 5.500%, 4/25/2034(a)		510,168
	1	Countrywide Alternative Loan Trust, Series2004-J7, Class 1A5, 4.867%, 8/25/2034(a)(c)(d)(e)		1
	71,476	Countrywide Home Loan Mortgage Pass Through Trust,Series 2004-HYB4, Class 2A1, 4.172%, 9/20/2034(a)(c)		69,071
	523,707	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 4.350%, 11/25/2033(a)(c)		526,070
	297,526	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 4.567%, 12/25/2033(a)(c)		300,554
	2,878,375	Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(c)		2,866,391
	1,199,558	Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 8/26/2058, 144A		1,197,548
	197,782	CSFB Mortgage-Backed Pass-Through Certificates, Series2003-27, Class 4A4, 5.750%, 11/25/2033(a)		200,750
	722,542	Deutsche Mortgage Securities, Inc., Series2004-4, Class 7AR1, 1-month LIBOR + 0.350%, 2.856%, 6/25/2034(b)		702,108
	600,906	DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A,1-month LIBOR + 0.330%, 2.800%, 9/19/2045(b)		488,486
	1,581,480	Dukinfield II PLC, Series 2, Class A, GBP3-month LIBOR + 1.250%, 2.158%, 12/20/2052, (GBP)(a)(b)		2,022,241
	565,585	Eurosail PLC, Series2007-2X, Class A3C, GBP3-month LIBOR + 0.150%, 1.050%, 3/13/2045, (GBP)(a)(b)		698,363
	1,505,000	Federal National Mortgage Association, Series2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 4.706%, 1/25/2030(b)		1,507,921
	320,000	Federal National Mortgage Association, Series2017-C07, Class 1M2, 1-month LIBOR + 2.400%, 4.906%, 5/25/2030(b)		322,287
	1,269,744	Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2014-DN1, Class M2,1-month LIBOR + 2.200%, 4.706%, 2/25/2024(a)(b)		1,293,097
	666,332	Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2014-DN2, Class M2,1-month LIBOR + 1.650%, 4.156%, 4/25/2024(a)(b)		671,282
	2,079,540	Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2015-DNA1, Class M2,1-month LIBOR + 1.850%, 4.356%, 10/25/2027(a)(b)		2,105,179
	130,000	Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2018-DNA1, Class M2,1-month LIBOR + 1.800%, 4.306%, 7/25/2030(b)		124,857
	565,126	GCAT LLC, Series2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(c)		560,535
	956,481	GCAT LLC, Series2018-1, Class A1, 3.844%, 6/25/2048, 144A(c)		949,070
	2,091,433	GCAT LLC, Series2018-2, Class A1, 4.090%, 6/26/2023, 144A(c)		2,093,548

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	267,920	GMAC Mortgage Corp. Loan Trust, Series2005-AR4, Class 3A1, 4.268%, 7/19/2035(c)	$	260,013
	1,948,972	Gosforth Funding PLC, Series2018-1A, Class A1,3-month LIBOR + 0.450%, 3.139%, 8/25/2060, 144A(b)		1,940,837
	234,619	GSR Mortgage Loan Trust, Series2005-AR4, Class 4A1, 4.202%, 7/25/2035(c)		229,727
	1,115,000	Home Partners of America Trust, Series2016-2, Class E,1-month LIBOR + 3.780%, 6.235%, 10/17/2033, 144A(b)		1,117,945
	1,123,000	Home Partners of America Trust, Series2016-2, Class F,1-month LIBOR + 4.700%, 7.155%, 10/17/2033, 144A(b)		1,123,001
	2,154,510	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1-month LIBOR + 0.780%, 3.286%, 12/25/2034(b)		1,909,917
	2,525,087	IndyMac Index Mortgage Loan Trust, Series2004-AR6, Class 4A, 4.558%, 10/25/2034(c)		2,598,635
	718,219	IndyMac Index Mortgage Loan Trust, Series2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.726%, 9/25/2034(b)		653,846
	1,243,171	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 3.146%, 7/25/2045(b)		1,198,643
	3,016,011	IndyMac Index Mortgage Loan Trust, Series2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.716%, 2/25/2046(b)		2,540,990
	2,615,000	Invitation Homes Trust, Series 2018-SFR1, Class E,1-month LIBOR + 2.000%, 4.455%, 3/17/2037, 144A(b)		2,580,585
	4,475,000	Invitation Homes Trust, Series 2018-SFR2, Class E,1-month LIBOR + 2.000%, 4.455%, 6/17/2037, 144A(b)		4,423,110
	449,418	JPMorgan Mortgage Trust, Series2003-A2, Class 3A1, 4.115%, 11/25/2033(a)(c)		452,802
	1,461,762	JPMorgan Mortgage Trust, Series2004-S1, Class 2A1, 6.000%, 9/25/2034		1,516,241
	1,039,862	JPMorgan Mortgage Trust, Series2005-A2, Class 3A2, 3.807%, 4/25/2035(a)(c)		1,045,733
	207,226	JPMorgan Mortgage Trust, Series2005-A3, Class 4A1, 4.714%, 6/25/2035(a)(c)		209,076
	764,683	JPMorgan Mortgage Trust, Series2006-A1, Class 1A2, 4.688%, 2/25/2036(c)		706,213
	442,534	Lehman XS Trust, Series2005-7N, Class 3A1,1-month LIBOR + 0.280%, 2.786%, 12/25/2035(b)		386,266
	565,812	Lehman XS Trust, Series2006-2N, Class 1A1,1-month LIBOR + 0.260%, 2.766%, 2/25/2046(b)		517,465
	486,868	Ludgate Funding PLC, Series2007-1, Class A2B,3-month EURIBOR + 0.160%, Zero Coupon, 1/01/2061, (EUR)(a)(b)		518,657
	1,769,312	Ludgate Funding PLC, Series2008-W1X, Class A1, GBP3-month LIBOR + 0.600%, 1.399%, 1/01/2061, (GBP)(a)(b)		2,143,109
	343,025	MASTR Adjustable Rate Mortgages Trust, Series2004-4, Class 5A1, 4.759%, 5/25/2034(a)(c)		338,232
	1,172,322	MASTR Adjustable Rate Mortgages Trust, Series2004-7, Class 3A1, 4.201%, 7/25/2034(a)(c)		1,144,003
	249,951	MASTR Adjustable Rate Mortgages Trust, Series2006-2, Class 1A1, 4.361%, 4/25/2036(c)		248,362

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	376,694	MASTR Alternative Loan Trust, Series2003-9, Class 4A1, 5.250%, 11/25/2033(a)	$	388,763
	399,459	MASTR Alternative Loan Trust, Series2004-5, Class 1A1, 5.500%, 6/25/2034(a)		409,607
	499,436	MASTR Alternative Loan Trust, Series2004-5, Class 2A1, 6.000%, 6/25/2034(a)		517,347
	1,365,349	MASTR Alternative Loan Trust, Series2004-8, Class 2A1, 6.000%, 9/25/2034		1,454,128
	140,460	MLCC Mortgage Investors, Inc., Series2006-2, Class 2A, 4.185%, 5/25/2036(a)(c)		141,571
	541,421	Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 4A2, 5.500%, 11/25/2035		499,001
	1,005,591	Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 7A5, 5.500%, 11/25/2035		1,023,548
	699,726	Newgate Funding PLC, Series2007-3X, Class A2B,3-month EURIBOR + 0.600%, 0.289%, 12/15/2050, (EUR)(a)(b)		767,956
	73,432	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(a)(c)		73,253
	1,153,345	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(c)		1,130,045
	2,296,635	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(c)		2,245,758
	2,512,920	Preston Ridge Partners Mortgage LLC, Series2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(c)		2,490,742
	1,165,000	Preston Ridge Partners Mortgage LLC, Series2017-2A, Class A2, 5.000%, 9/25/2022, 144A(c)		1,154,409
	1,089,254	Preston Ridge Partners Mortgage LLC, Series2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(c)		1,082,119
	405,000	Preston Ridge Partners Mortgage LLC, Series2017-3A, Class A2, 5.000%, 11/25/2022, 144A(c)		397,506
	895,000	Preston Ridge Partners Mortgage LLC, Series2018-1A, Class A2, 5.000%, 4/25/2023, 144A(c)		877,251
	1,560,781	RCO Mortgage LLC, Series2017-1, Class A1, 3.375%, 8/25/2022, 144A(a)(c)		1,551,616
	863,300	Residential Accredit Loans, Inc. Trust, Series2006-QO4, Class 2A1, 1-month LIBOR + 0.190%, 2.696%, 4/25/2046(b)		800,911
	1,331,525	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,145,879
	399,684	Residential Funding Mortgage Securities, Series2006-S1, Class 1A3, 5.750%, 1/25/2036		376,850
	1,609,396	Residential Funding Mortgage Securities, Series2006-SA2, Class 3A1, 4.959%, 8/25/2036(c)		1,496,164
	394,829	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C,3-month EURIBOR + 0.150%, Zero Coupon, 6/12/2044, (EUR)(a)(b)		422,410
	300,394	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP3-month LIBOR + 0.150%, 1.050%, 6/12/2044, (GBP)(a)(b)		355,720
	1,837,040	RMAT, Series18-NPL1, Class A1, 4.090%, 5/25/2048, 144A(c)		1,832,494

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	2,776,745	Stanwich Mortgage Loan Trust, Series 2018-NPB1, Class A1, 4.016%, 5/16/2023, 144A(c)	$	2,762,997
	3,376,852	Structured Adjustable Rate Mortgage Loan Trust, Series2005-14, Class A1,1-month LIBOR + 0.310%, 2.816%, 7/25/2035(b)		2,654,939
	281,392	Structured Asset Securities Corp. Trust, Series2005-1, Class 7A7, 5.500%, 2/25/2035		281,105
	1,200,000	Towd Point Mortgage Funding PLC, Series 2016-GR1X, Class B, GBP3-month LIBOR + 1.400%, 2.205%, 7/20/2046, (GBP)(a)(b)		1,531,955
	1,796,287	Vericrest Opportunity Loan Trust, Series 2018-NPL4, Class A1A, 4.336%, 7/27/2048, 144A(c)		1,796,109
	1,128,128	Vericrest Opportunity Loan Trust, Series 2018-NPL7, Class A1A, 3.967%, 9/25/2048, 144A(c)		1,122,017
	9,749,170	Vericrest Opportunity Loan Trust, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(c)		9,730,565
	1,878,243	VOLT LXX LLC, Series 2018-NPL6, Class A1A, 4.115%, 9/25/2048, 144A(c)		1,875,822
	1,318,723	Wells Fargo Mortgage Backed Securitie Trust, Series2006-3, Class A11, 5.500%, 3/25/2036		1,310,130
	1,292,565	Wells Fargo Mortgage Backed Securities Trust, Series2004-I, Class 2A1, 4.324%, 7/25/2034(a)(c)		1,313,505
	227,813	Wells Fargo Mortgage Backed Securities Trust, Series2004-O, Class A1, 4.679%, 8/25/2034(a)(c)		233,727
	121,954	Wells Fargo Mortgage Backed Securities Trust, Series2005-11, Class 2A3, 5.500%, 11/25/2035		122,412
	642,502	Wells Fargo Mortgage Backed Securities Trust, Series2005-16, Class A18, 6.000%, 12/25/2035		638,531
	309,458	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.513%, 5/01/2035(a)(c)		317,827
	381,035	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 4.503%, 6/25/2035(a)(c)		389,402
	758,013	Wells Fargo Mortgage Backed Securities Trust, Series2005-AR2, Class 3A1, 3.994%, 3/25/2035(c)		770,779

				132,368,430

		ABS Other — 5.0%
	997,596	Accelerated Assets LLC, Series18-1, Class B, 4.510%, 12/02/2033, 144A		1,005,690
	2,930,105	AIM Aviation Finance Ltd., Series2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(c)		2,927,587
	336,918	Apollo Aviation Securitization Equity Trust, Series2018-1A, Class B, 5.437%, 1/16/2038, 144A(a)		344,247
	350,000	Ascentium Equipment Receivables Trust, Series2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		347,249
	1,091,458	Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c)		1,111,568
	1,245,495	Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c)		1,307,092
	1,378,949	Castlelake Aircraft Securitization Trust, Series18-1, Class B, 5.300%, 6/15/2043, 144A		1,396,282

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	250,000	CCG Receivables Trust, Series2018-1, Class C, 3.420%, 6/16/2025, 144A(a)	$	249,013
	580,000	Chesapeake Funding II LLC, Series2017-2A, Class D, 3.710%, 5/15/2029, 144A		581,832
	790,000	Chesapeake Funding II LLC, Series2018-1A, Class C, 3.570%, 4/15/2030, 144A		791,544
	2,025,000	Chesapeake Funding II LLC, Series2018-1A, Class D, 3.920%, 4/15/2030, 144A		2,029,155
	230,199	CLUB Credit Trust, Series2017-P1, Class A, 2.420%, 9/15/2023, 144A(a)		229,552
	601,133	Diamond Resorts Owner Trust, Series2017-1A, Class C, 6.070%, 10/22/2029, 144A		609,767
	2,603,193	Diamond Resorts Owner Trust, Series2018-1, Class C, 4.530%, 1/21/2031, 144A		2,623,099
	2,189,482	GCA2014 Holdings Ltd., Series2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)		1,673,859
	884,735	GCA2014 Holdings Ltd., Series2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)		428,831
	3,410,000	GCA2014 Holdings Ltd., Series2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h)		—
	1,080,586	Global Container Assets Ltd., Series2015-1A, Class B, 4.500%, 2/05/2030, 144A(g)(i)		1,035,544
	5,025,000	Horizon Aircraft Finance I Ltd., Series2018-1, Class A, 4.458%, 12/15/2038, 144A		5,122,116
	2,435,000	Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, 4.250%, 12/15/2038, 144A(d)		2,366,135
	1,233,310	MAPS Ltd., Series2018-1A, Class B, 5.193%, 5/15/2043, 144A		1,252,927
	1,100,000	Navistar Financial Dealer Note Master Owner Trust II, Series2018-1, Class A,1-month LIBOR + 0.630%, 3.136%, 9/25/2023, 144A(b)		1,099,587
	245,897	OneMain Financial Issuance Trust, Series2015-1A, Class A, 3.190%, 3/18/2026, 144A(a)		245,698
	2,670,000	OneMain Financial Issuance Trust, Series2015-2A, Class D, 5.640%, 7/18/2025, 144A(a)		2,689,349
	3,120,000	OneMain Financial Issuance Trust, Series2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,160,309
	3,100,000	OneMain Financial Issuance Trust, Series2016-1A, Class C, 6.000%, 2/20/2029, 144A(a)		3,169,341
	2,685,000	OneMain Financial Issuance Trust, Series2016-2A, Class B, 5.940%, 3/20/2028, 144A(a)		2,726,916
	4,765,111	S-Jets Ltd., Series2017-1, Class A, 3.967%, 8/15/2042, 144A(a)		4,807,213
	3,718,000	SCF Equipment Trust LLC, Series2018-1A, Class C, 4.210%, 4/20/2027, 144A		3,794,569
	1,604,436	Shenton Aircraft Investment I Ltd., Series2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		1,624,400
	1,410,000	SoFi Consumer Loan Program Trust, Series2018-2, Class A2, 3.350%, 4/26/2027, 144A		1,408,033
	569,029	SpringCastle America Funding LLC, Series2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		563,526
	2,929,785	Sprite Ltd., Series2017-1, Class B, 5.750%, 12/15/2037, 144A(a)		2,922,029

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	1,824,083	TAL Advantage V LLC, Series2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)	$	1,816,535
	262,360	Thunderbolt Aircraft Lease Ltd., Series2017-A, Class B, 5.750%, 5/17/2032, 144A(c)		269,687
	1,212,946	Thunderbolt II Aircraft Lease Ltd., Series2018-A, Class A, 4.147%, 9/15/2038, 144A(c)		1,223,738
	1,511,509	Tidewater Sales Finance Master Trust, Series2017-AA, Class A, 4.550%, 4/15/2021, 144A(g)(i)		1,509,108
	5,770,000	Verizon Owner Trust, Series2017-3A, Class A1B, 1-month LIBOR + 0.270%, 2.740%, 4/20/2022, 144A(b)		5,768,268
	2,295,000	Verizon Owner Trust, Series2018-1A, Class A1B,1-month LIBOR + 0.260%, 2.730%, 9/20/2022, 144A(a)(b)		2,291,543
	5,940,000	Verizon Owner Trust, Series2018-A, Class A1B,1-month LIBOR + 0.240%, 2.710%, 4/20/2023(b)		5,936,114
	1,196,294	Wave LLC, Series2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)		1,241,804

				75,700,856

		ABS Student Loan – 1.0%
	3,662,077	Massachusetts Educational Financing Authority, Series2018-A, Class A, 3.850%, 5/25/2033		3,705,583
	1,692,872	Navient Student Loan Trust, Series18-4A, Class A1,1-month LIBOR + 0.250%, 2.756%, 6/27/2067, 144A(b)		1,689,499
	1,075,000	SLM Private Credit Student Loan Trust, Series2003-A, Class A3,28-day ARS, 4.750%, 6/15/2032(a)(b)(d)		1,074,785
	2,918,000	SLM Private Credit Student Loan Trust, Series2003-B, Class A3,28-day ARS, 4.750%, 3/15/2033(a)(b)(d)		2,917,416
	315,000	SLM Private Credit Student Loan Trust, Series2003-B, Class A4,28-day ARS, 4.810%, 3/15/2033(b)(d)		314,937
	1,527,089	SMB Private Education Loan Trust, Series18-C, Class A1,1-month LIBOR + 0.300%, 2.755%, 9/15/2025, 144A(b)		1,524,518
	1,350,000	SMB Private Education Loan Trust, Series2017-B, Class A2B,1-month LIBOR + 0.750%, 3.205%, 10/15/2035, 144A(a)(b)		1,341,695
	103,931	SoFi Professional Loan Program LLC, Series2014-B, Class A1,1-month LIBOR + 1.250%, 3.756%, 8/25/2032, 144A(a)(b)		104,743
	518,063	SoFi Professional Loan Program LLC, Series2015-A, Class A1,1-month LIBOR + 1.200%, 3.706%, 3/25/2033, 144A(a)(b)		522,265
	1,373,358	SoFi Professional Loan Program LLC, Series2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		1,346,441

				14,541,882

		ABS Whole Business — 0.9%
	3,460,866	Adams Outdoor Advertising LP, Series2018-1, Class A, 4.810%, 11/15/2048, 144A		3,559,393
	3,068,275	Coinstar Funding LLC, Series2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)		3,102,150
	746,250	Driven Brands Funding LLC, Series2018-1A, Class A2, 4.739%, 4/20/2048, 144A		759,668
	2,168,613	Five Guys Funding LLC, Series2017-1A, Class A2, 4.600%, 7/25/2047, 144A		2,211,587

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Whole Business — continued
$	3,017,438	Planet Fitness Master Issuer LLC, Series2018-1A, Class A2I, 4.262%, 9/05/2048, 144A	$	3,029,990
	900,000	Wingstop Funding LLC, Series2018-1, Class A2, 4.970%, 12/05/2048, 144A		920,385

				13,583,173

		Aerospace & Defense — 0.6%
	3,425,000	General Dynamics Corp.,3-month LIBOR + 0.290%, 2.908%, 5/11/2020(b)		3,420,448
	3,425,000	General Dynamics Corp.,3-month LIBOR + 0.380%, 2.998%, 5/11/2021(b)		3,413,405
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		2,378,819

				9,212,672

		Agency Commercial Mortgage-Backed Securities — 0.1%
	50,099,630	Government National Mortgage Association, Series2012-135, Class IO, 0.579%, 1/16/2053(a)(c)(j)		1,802,920

		Airlines — 0.3%
	4,349,693	Latam Airlines Pass Through Trust, Series2015-1, Class B, 4.500%, 8/15/2025		4,167,441

		Automotive — 4.5%
	10,090,000	American Honda Finance Corp.,3-month LIBOR + 0.260%, 3.048%, 6/16/2020(b)		10,055,076
	6,045,000	BMW U.S. Capital LLC,3-month LIBOR + 0.380%, 2.788%, 4/06/2020, 144A(a)(b)		6,013,385
	5,985,000	BMW U.S. Capital LLC,3-month LIBOR + 0.410%, 2.835%, 4/12/2021, 144A(a)(b)		5,926,754
	5,785,000	BMW U.S. Capital LLC,3-month LIBOR + 0.410%, 3.198%, 9/13/2019, 144A(a)(b)		5,782,570
	3,135,000	Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A		3,117,659
	3,585,000	General Motors Financial Co., Inc.,3-month LIBOR + 0.850%, 3.258%, 4/09/2021(b)		3,503,405
	5,955,000	Nissan Motor Acceptance Corp.,3-month LIBOR + 0.580%, 3.016%, 1/13/2020, 144A(a)(b)		5,942,682
	6,165,000	Nissan Motor Acceptance Corp.,3-month LIBOR + 0.520%, 3.308%, 3/15/2021, 144A(a)(b)		6,070,583
	6,865,000	Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A		6,832,108
	12,395,000	Toyota Motor Credit Corp., MTN,3-month LIBOR + 0.270%, 2.716%, 4/13/2021(a)(b)		12,293,354
	2,955,000	Toyota Motor Credit Corp., MTN,3-month LIBOR + 0.440%, 2.885%, 10/18/2019(a)(b)		2,957,058

				68,494,634

		Banking — 6.2%
	4,910,000	American Express Co.,3-month LIBOR + 0.600%, 3.192%, 11/05/2021(b)		4,890,669
	44,895,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 2.500%, 51.792%, 1/12/2020, 144A, (ARS)(b)		1,131,035
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 52.250%, 11/07/2022, 144A, (ARS)(b)		1,056,080
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		379,195
	46,000,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 56.625%, 8/09/2020, 144A, (ARS)(b)		1,121,404

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	13,705,000	Bank of America NA,3-month LIBOR + 0.250%, 2.957%, 8/28/2020(b)	$	13,655,610
	7,325,000	Bank of New York Mellon Corp. (The),3-month EURIBOR + 0.300%, 3.036%, 12/04/2020(b)		7,312,694
	5,895,000	Citibank NA,3-month LIBOR + 0.350%, 2.968%, 2/12/2021(a)(b)		5,832,490
	6,860,000	HSBC Holdings PLC,3-month LIBOR + 0.650%, 3.426%, 9/11/2021(b)		6,769,301
	2,550,000	JPMorgan Chase & Co.,3-month LIBOR + 0.680%, 3.418%, 6/01/2021(a)(b)		2,535,567
	5,895,000	JPMorgan Chase Bank NA,3-month LIBOR + 0.250%, 2.868%, 2/13/2020(a)(b)		5,887,192
	3,755,000	JPMorgan Chase Bank NA,3-month LIBOR + 0.230%, 2.968%, 9/01/2020(b)		3,740,463
	5,800,000	JPMorgan Chase Bank NA,3-month LIBOR + 0.590%, 3.414%, 9/23/2019(a)(b)		5,801,748
	6,720,000	Mitsubishi UFJ Financial Group, Inc.,3-month LIBOR + 0.650%, 3.158%, 7/26/2021(b)		6,694,865
	6,720,000	Mitsubishi UFJ Financial Group, Inc., 3.535%, 7/26/2021		6,745,256
	3,460,000	Standard Chartered PLC,3-month LIBOR + 1.150%, 3.558%, 1/20/2023, 144A(b)		3,414,086
	3,460,000	Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A		3,422,597
	6,000,000	Sumitomo Mitsui Banking Corp., Series 2FRN,3-month LIBOR + 0.540%, 2.960%, 1/11/2019(a)(b)		6,000,075
	3,000,000	Toronto-Dominion Bank (The), MTN,3-month LIBOR + 0.420%, 2.865%, 1/18/2019(a)(b)		3,000,149
	3,510,000	Wells Fargo Bank NA, 3.625%, 10/22/2021		3,530,771

				92,921,247

		Collateralized Mortgage Obligations — 0.1%
	1,155,569	GMACM Mortgage Loan Trust, Series2005-AR1, Class 3A, 4.052%, 3/18/2035(c)		1,163,068

		Construction Machinery — 1.9%
	3,050,000	Caterpillar Financial Services Corp., GMTN,3-month LIBOR + 0.290%, 3.026%, 9/04/2020(a)(b)		3,040,353
	3,065,000	Caterpillar Financial Services Corp., MTN,3-month LIBOR + 0.230%, 3.018%, 3/15/2021(a)(b)		3,044,296
	2,400,000	Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021		2,406,324
	7,045,000	John Deere Capital Corp.,3-month LIBOR + 0.170%, 2.595%, 10/09/2020(b)		7,011,255
	6,350,000	John Deere Capital Corp., MTN,3-month LIBOR + 0.240%, 3.016%, 3/12/2021(a)(b)		6,322,316
	6,875,000	John Deere Capital Corp., MTN, 3.125%, 9/10/2021		6,887,757

				28,712,301

		Consumer Products — 0.5%
	7,040,000	Unilever Capital Corp., 3.000%, 3/07/2022		6,985,862

		Diversified Manufacturing — 0.4%
	5,915,000	United Technologies Corp.,3-month LIBOR + 0.350%, 2.891%, 11/01/2019(a)(b)		5,909,322

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Electric — 0.4%
$	6,455,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)	$	6,584,100

		Finance Companies — 0.8%
	6,100,000	USAA Capital Corp.,3-month LIBOR + 0.230%, 2.771%, 2/01/2019, 144A(a)(b)		6,100,061
	6,500,000	USAA Capital Corp., 3.000%, 7/01/2020, 144A		6,493,547

				12,593,608

		Financial Other — 0.0%
	370,000	Yanlord Land (HK) Co. Ltd., 5.875%, 1/23/2022		362,548

		Food & Beverage — 0.5%
	3,065,000	Campbell Soup Co.,3-month LIBOR + 0.500%, 3.288%, 3/16/2020(a)(b)		3,037,737
	1,935,000	Diageo Capital PLC, 3.000%, 5/18/2020		1,936,715
	2,900,000	PepsiCo, Inc.,3-month LIBOR + 0.270%, 2.678%, 10/04/2019(a)(b)		2,900,360

				7,874,812

		Government Owned – No Guarantee — 1.5%
	18,670,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)		5,827,800
	2,545,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		2,132,735
	4,935,000	Petrobras Global Finance BV, 5.750%, 2/01/2029		4,564,875
	6,390,000	Petrobras Global Finance BV, 5.999%, 1/27/2028		6,016,249
	950,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		936,235
	3,525,000	YPF S.A., 6.950%, 7/21/2027, 144A		2,872,875
	1,930,000	YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 47.833%, 7/07/2020, 144A(b)		691,078

				23,041,847

		Health Insurance — 0.5%
	6,900,000	Cigna Corp.,3-month LIBOR + 0.650%, 3.438%, 9/17/2021, 144A(b)		6,802,536

		Healthcare — 0.8%
	6,065,000	CVS Health Corp.,3-month LIBOR + 0.630%, 3.397%, 3/09/2020(a)(b)		6,053,986
	6,065,000	CVS Health Corp.,3-month LIBOR + 0.720%, 3.487%, 3/09/2021(a)(b)		6,016,106

				12,070,092

		Home Construction — 0.2%
	370,000	CIFI Holdings Group Co. Ltd., 5.500%, 1/23/2022		336,098
	740,000	Country Garden Holdings Co. Ltd., 8.000%, 1/27/2024		714,490
	740,000	New Metro Global Ltd., 6.500%, 4/23/2021		715,991
	740,000	Shimao Property Holdings Ltd., 4.750%, 7/03/2022		696,135
	370,000	Sunac China Holdings Ltd., 7.350%, 7/19/2021		353,475

				2,816,189

		Independent Energy — 1.4%
	3,845,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		2,153,200
	8,670,000	California Resources Corp., 8.000%, 12/15/2022, 144A		5,873,925
	1,360,000	Callon Petroleum Co., 6.125%, 10/01/2024		1,264,800
	3,080,000	Gulfport Energy Corp., 6.375%, 5/15/2025		2,725,800
	2,315,000	Jagged Peak Energy LLC, 5.875%, 5/01/2026, 144A		2,152,950

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A	$	1,195,425
	835,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		797,425
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022(d)(e)(k)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018(d)(e)(k)		—
	3,465,000	Vine Oil & Gas LP/Vine Oil Gas Finance Corp., 9.750%, 4/15/2023, 144A		2,772,000
	3,620,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		2,859,800

				21,795,325

		Industrial Other — 0.0%
	740,000	CFLD Cayman Investment Ltd., 6.500%, 12/21/2020		653,930

		Integrated Energy — 0.6%
	3,335,000	Gran Tierra Energy International Holdings Ltd., 6.250%, 2/15/2025, 144A		3,097,381
	5,795,000	Shell International Finance BV,3-month LIBOR + 0.350%, 3.126%, 9/12/2019(a)(b)		5,800,053

				8,897,434

		Life Insurance — 1.1%
	2,770,000	AIA Group Ltd.,3-month LIBOR + 0.520%, 3.312%, 9/20/2021, 144A(b)		2,756,657
	6,780,000	New York Life Global Funding,3-month LIBOR + 0.320%, 2.912%, 8/06/2021, 144A(b)		6,770,563
	6,940,000	New York Life Global Funding,3-month LIBOR + 0.160%, 2.556%, 10/01/2020, 144A(a)(b)		6,907,535

				16,434,755

		Local Authorities — 0.6%
	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		1,834,009
	216,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 52.516%, 5/31/2022, (ARS)(b)		5,420,433
	67,000,000	Provincia de Buenos Aires,3-month EURIBOR + 3.75%, 53.852%, 4/12/2025, 144A, (ARS)(b)		1,534,480

				8,788,922

		Media Entertainment — 0.4%
	5,725,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		5,581,875
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(a)		901,629

				6,483,504

		Midstream — 0.2%
	800,000	Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027		904,297
	2,160,000	Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A		1,967,133

				2,871,430

		Non-Agency Commercial Mortgage-Backed Securities — 2.0%
	4,565,000	CFCRE Commercial Mortgage Trust, Series2011-C1, Class D, 6.070%, 4/15/2044, 144A(a)(c)		4,712,586
	1,900,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C,1-month LIBOR + 3.000%, 5.349%, 10/15/2034, 144A(a)(b)		1,898,914
	3,635,000	Credit Suisse Mortgage Trust, Series2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,252,851

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.698%, 11/10/2046, 144A(a)(c)	$	2,624,237
	227,433	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(c)		230,375
	222,253	JPMorgan Chase Commercial Mortgage Securities Trust,Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)		222,384
	1,570,000	Morgan Stanley Capital I Trust, Series2011-C2, Class D, 5.485%, 6/15/2044, 144A(a)(c)		1,564,938
	2,515,000	Morgan Stanley Capital I Trust, Series2011-C2, Class E, 5.485%, 6/15/2044, 144A(c)		2,412,397
	5,797,912	Motel 6 Trust, Series 2017-M6MZ, Class M,1-month LIBOR + 6.927%, 9.382%, 8/15/2019, 144A(b)		5,853,343
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E,1-month LIBOR + 4.150%, 6.605%, 11/15/2027, 144A(b)		2,693,343
	2,587,500	WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, 5.652%, 2/15/2044, 144A(a)(c)		2,607,210
	1,809,189	WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, 5.683%, 3/15/2044, 144A(c)		1,643,641
	950,000	WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.821%, 6/15/2045, 144A(c)		790,954

				30,507,173

		Pharmaceuticals — 0.6%
	6,860,000	Pfizer, Inc., 3.000%, 9/15/2021		6,900,968
	1,315,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		1,132,538
	780,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		595,307

				8,628,813

		Property & Casualty Insurance — 0.4%
	6,000,000	Berkshire Hathaway Finance Corp.,3-month LIBOR + 0.320%, 2.734%, 1/10/2020(a)(b)		5,997,908

		Real Estate Operations/Development — 0.1%
	600,000	Easy Tactic Ltd., 7.000%, 4/25/2021		579,011
	370,000	Logan Property Holdings Co. Ltd., 5.250%, 2/23/2023		319,104

				898,115

		Retailers — 1.0%
	2,915,000	Alimentation Couche-Tard, Inc.,3-month LIBOR + 0.500%, 3.279%, 12/13/2019, 144A(a)(b)		2,907,247
	5,955,000	Home Depot, Inc. (The),3-month LIBOR + 0.310%, 3.049%, 3/01/2022(b)		5,895,063
	6,635,000	Walmart, Inc.,3-month LIBOR + 0.230%, 3.054%, 6/23/2021(b)		6,615,294

				15,417,604

		Sovereigns — 0.1%
	29,460,000	Argentina Politica Monetaria, Argentina Central Bank7-day Repo Reference Rate, 65.509%, 6/21/2020, (ARS)(c)		847,849

		Technology — 2.5%
	6,045,000	Apple, Inc.,3-month LIBOR + 0.070%, 2.685%, 5/11/2020(a)(b)		6,030,737
	6,325,000	Apple, Inc.,3-month LIBOR + 0.250%, 2.851%, 2/07/2020(b)		6,325,367

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	6,955,000	Cisco Systems, Inc.,3-month LIBOR + 0.340%, 3.132%, 9/20/2019(a)(b)	$	6,956,366
	5,825,000	IBM Credit LLC,3-month LIBOR + 0.160%, 2.742%, 2/05/2021(a)(b)		5,762,296
	6,000,000	International Business Machines Corp.,3-month LIBOR + 0.230%, 2.739%, 1/27/2020(a)(b)		5,991,647
	3,500,000	Uber Technologies, Inc., 7.500%, 11/01/2023		3,386,250
	3,420,000	Uber Technologies, Inc., 8.000%, 11/01/2026		3,300,300

				37,752,963

		Treasuries — 1.6%
	380,700,000	Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a)		23,504,650

		TotalNon-Convertible Bonds (Identified Cost $1,001,619,976)		949,245,054


	Convertible Bonds — 1.6%
		Cable Satellite — 0.4%
	4,280,000	DISH Network Corp., 2.375%, 3/15/2024		3,407,591
	2,995,000	DISH Network Corp., 3.375%, 8/15/2026		2,418,510

				5,826,101

		Diversified Operations — 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		778,394

		Independent Energy — 0.1%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		1,030,223
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,016,321

				2,046,544

		Industrial Other — 0.1%
	1,140,000	Tutor Perini Corp., 2.875%, 6/15/2021		1,049,312

		Leisure — 0.0%
	650,000	Rovi Corp., 0.500%, 3/01/2020		609,446

		Media Entertainment — 0.0%
	575,000	Liberty Media Corp., 2.250%, 9/30/2046		272,033

		Midstream — 0.0%
	385,000	SM Energy Co., 1.500%, 7/01/2021		357,863

		Oil Field Services — 0.1%
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024		1,087,205

		Pharmaceuticals — 0.3%
	2,535,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		2,520,801
	710,000	Flexion Therapeutics, Inc., 3.375%, 5/01/2024		583,818
	1,445,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		1,546,299

				4,650,918

		Railroads — 0.0%
	600,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024		589,586

		REITs – Diversified — 0.2%
	3,220,000	iStar, Inc., 3.125%, 9/15/2022		2,901,349

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Technology — 0.3%
$	3,435,000	Finisar Corp., 0.500%, 12/15/2036	$	3,260,571
	1,500,000	Verint Systems, Inc., 1.500%, 6/01/2021		1,451,076

				4,711,647

		Total Convertible Bonds (Identified Cost $27,999,381)		24,880,398


		Total Bonds and Notes (Identified Cost $1,029,619,357)		974,125,452


	Senior Loans — 12.9%
		Aerospace & Defense — 0.6%
	1,017,652	Engility Corp., Term Loan B2,1-month LIBOR + 2.750%, 5.272%, 8/12/2023(b)		1,009,704
	1,500,000	Science Applications International Corp., 2018 Term Loan B, 10/31/2025(l)		1,428,750
	2,925,000	Science Applications International Corp., 2018 Term Loan B,1-month LIBOR + 1.750%, 4.272%, 10/31/2025(b)		2,786,063
	586,908	TransDigm, Inc., 2018 Term Loan E,1-month LIBOR + 2.500%, 5.022%, 5/30/2025(b)		552,521
	2,350,482	TransDigm, Inc., 2018 Term Loan F,1-month LIBOR + 2.500%, 5.022%, 6/09/2023(b)		2,212,391
	659,983	TransDigm, Inc., 2018 Term Loan G,1-month LIBOR + 2.500%, 5.022%, 8/22/2024(b)		621,447

				8,610,876

		Automotive — 0.3%
	2,299,237	BBB Industries U.S. Holdings, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 4.500%, 6.879%, 8/01/2025(b)		2,247,505
	2,742,292	Truck Hero, Inc., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.256%, 4/21/2024(b)		2,647,463

				4,894,968

		Building Materials — 1.3%
	3,319,659	American Builders & Contractors Supply Co., Inc., 2018 Term Loan B,1-month LIBOR + 2.000%, 4.522%, 10/31/2023(b)		3,151,319
	3,295,060	Hamilton Holdco LLC, 2018 Term Loan B,3-month LIBOR + 2.000%, 4.810%, 7/02/2025(b)		3,146,783
	5,166,883	Jeld-Wen, Inc., 2017 1st Lien Term Loan,3-month LIBOR + 2.000%, 4.803%, 12/14/2024(b)		4,904,250
	3,546,438	Quikrete Holdings, Inc., 2016 1st Lien Term Loan,1-month LIBOR + 2.750%, 5.272%, 11/15/2023(b)		3,371,351
	5,062,217	Summit Materials Cos. I, LLC, 2017 Term Loan B,1-month LIBOR + 2.000%, 4.522%, 11/21/2024(b)		4,844,946

				19,418,649

		Cable Satellite — 1.6%
	2,139,597	Charter Communications Operating, LLC, 2017 Term Loan B,1-month LIBOR + 2.000%, 4.530%, 4/30/2025(b)		2,046,268

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Cable Satellite — continued
$	2,844,586	CSC Holdings LLC, 2017 1st Lien Term Loan,1-month LIBOR + 2.250%, 4.705%, 7/17/2025(b)	$	2,692,401
	1,288,124	CSC Holdings LLC, 2018 Incremental Term Loan,3-month LIBOR + 2.250%, 4.745%, 1/15/2026(b)		1,217,277
	3,930,000	Telenet Financing USD LLC, USD Term Loan AN,1-month LIBOR + 2.250%, 4.705%, 8/15/2026(b)		3,730,828
	4,350,409	Unitymedia Finance LLC, Term Loan B,1-month LIBOR + 2.250%, 4.705%, 9/30/2025(b)		4,193,794
	1,500,000	Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, 6/01/2023(l)		1,452,615
	1,340,000	Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E,1-month LIBOR + 2.000%, 4.455%, 6/01/2023(b)		1,297,669
	4,695,000	Virgin Media Bristol LLC, Term Loan K,1-month LIBOR + 2.500%, 4.955%, 1/15/2026(b)		4,436,211
	3,999,734	Ziggo Secured Finance Partnership, USD Term Loan E,1-month LIBOR + 2.500%, 4.955%, 4/15/2025(b)		3,759,750

				24,826,813

		Chemicals — 0.7%
	1,496,231	Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, 6/01/2024(l)		1,406,457
	1,885,088	Axalta Coating Systems US Holdings, Inc., USD Term Loan B3,3-month LIBOR + 1.750%, 4.553%, 6/01/2024(b)		1,771,983
	3,930,250	Consolidated Energy Finance, S.A., Term Loan B,1-month LIBOR + 2.500%, 4.932%, 5/07/2025(b)		3,802,517
	1,375,000	Messer Industries LLC, 2018 USD Term Loan, 10/01/2025(l)		1,301,671
	708,228	WR Grace & Co., Term Loan B1,3-month LIBOR + 1.750%, 4.553%, 4/03/2025(b)		683,440
	1,214,105	WR Grace & Co., Term Loan B2,3-month LIBOR + 1.750%, 4.563%, 4/03/2025(b)		1,171,611

				10,137,679

		Construction Machinery — 0.3%
	2,509,710	United Rentals, Inc., Term Loan B, 10/31/2025(l)		2,451,987
	2,034,900	United Rentals, Inc., Term Loan B,1-month LIBOR + 1.750%, 4.272%, 10/31/2025(b)		1,988,097

		Total Construction Machinery (Identified Cost $4,501,694)		4,440,084

		Consumer Cyclical Services — 0.1%
	860,675	Trans Union LLC, 2018 Term Loan B4,1-month LIBOR + 2.000%, 4.522%, 6/19/2025(b)		828,400

		Consumer Products — 0.2%
	3,139,225	Coty, Inc., 2018 USD Term Loan B,1-month LIBOR + 2.250%, 4.633%, 4/07/2025(b)		2,892,011

		Electric — 0.6%
	1,061,155	AES Corp., 2018 Term Loan B, 5/31/2022(l)		1,035,295
	2,950,251	AES Corp., 2018 Term Loan B,3-month LIBOR + 1.750%, 4.456%, 5/31/2022(b)		2,878,353

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	3,315,228	Plantronics, Inc., 2018 Term Loan B,1-month LIBOR + 2.500%, 5.022%, 7/02/2025(b)	$	3,183,448
	2,952,642	Vistra Energy Corp., 1st Lien Term Loan B3,1-month LIBOR + 2.000%, 4.473%, 12/31/2025(m)		2,834,949

				9,932,045

		Environmental — 0.1%
	137,511	GFL Environmental, Inc., 2018 Delayed Draw Term Loan,1-month LIBOR + 3.000%, 5.345%, 5/30/2025(b)		127,954
	1,101,428	GFL Environmental, Inc., 2018 USD Term Loan B,1-month LIBOR + 3.000%, 5.522%, 5/30/2025(b)		1,024,878

				1,152,832

		Financial Other — 0.1%
	1,750,000	Global Payments, Inc., 2018 Term Loan B4,1-month LIBOR + 1.750%, 4.272%, 10/17/2025(b)		1,663,953

		Food & Beverage — 0.8%
	4,474,701	Aramark Services, Inc., 2018 Term Loan B3,1-month LIBOR + 1.750%, 4.272%, 3/11/2025(b)		4,336,746
	4,064,163	JBS USA LLC, 2017 Term Loan B, 5.260%, 10/30/2022(c)		3,901,596
	3,329,351	Post Holdings, Inc., 2017 Series A Incremental Term Loan,1-month LIBOR + 2.000%, 4.510%, 5/24/2024(b)		3,201,737

				11,440,079

		Healthcare — 0.4%
	1,125,750	IQVIA, Inc., 2017 USD Term Loan B2,3-month LIBOR + 2.000%, 4.522%, 1/17/2025(b)		1,090,097
	4,720,041	IQVIA, Inc., 2018 USD Term Loan B3,1-month LIBOR + 1.750%, 4.272%, 6/11/2025(b)		4,546,013
	875,000	Universal Health Services, Inc., Term Loan B,1-month LIBOR + 1.750%, 4.272%, 10/31/2025(b)		859,688

				6,495,798

		Independent Energy — 0.2%
	811,000	California Resources Corp., 2017 1st Lien Term Loan,1-month LIBOR + 4.750%, 7.256%, 12/31/2022(b)		783,969
	3,740,000	Gavilan Resources LLC, 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.504%, 3/01/2024(b)		2,833,050

				3,617,019

		Industrial Other — 0.3%
	861,940	Altra Industrial Motion Corp., 2018 Term Loan B,1-month LIBOR + 2.000%, 4.522%, 10/01/2025(b)		816,689
	545,730	ASGN, Inc., 2018 Term Loan B2,1-month LIBOR + 2.000%, 4.522%, 4/02/2025(b)		525,947
	3,516,121	Diamond (BC) B.V., USD Term Loan,3-month LIBOR + 3.000%, 5.527%, 9/06/2024(b)		3,234,831

				4,577,467

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Internet & Data — 0.1%
$	1,338,063	NeuStar, Inc., 2018 Term Loan B4,1-month LIBOR + 3.500%, 6.022%, 8/08/2024(b)	$	1,282,867

		Lodging — 0.1%
	852,863	Wyndham Hotels & Resorts, Inc., Term Loan B,1-month LIBOR + 1.750%, 4.272%, 5/30/2025(b)		818,748

		Media Entertainment — 0.6%
	1,451,757	Camelot UK Holdco Ltd., 2017 Repriced Term Loan,1-month LIBOR + 3.250%, 5.772%, 10/03/2023(b)		1,379,169
	3,075,609	CBS Radio, Inc., 2017 Term Loan B,1-month LIBOR + 2.750%, 5.256%, 11/18/2024(b)		2,891,073
	264,107	Donnelley Financial Solutions, Inc., 2017 Term Loan B, 1 Week LIBOR + 3.000%, 5.420%, 10/02/2023(b)		257,671
	1,496,231	Lamar Media Corp., 2018 Term Loan B, 3/14/2025(l)		1,452,586
	535,950	Lamar Media Corp., 2018 Term Loan B,1-month LIBOR + 1.750%, 4.313%, 3/14/2025(b)		520,316
	3,258,291	Meredith Corp., 2018 Term Loan B,1-month LIBOR + 2.750%, 5.272%, 1/31/2025(b)		3,157,838

				9,658,653

		Metals & Mining — 0.3%
	2,701,515	GrafTech Finance, Inc., 2018 Term Loan B,1-month LIBOR + 3.500%, 6.022%, 2/12/2025(b)		2,552,932
	3,136,300	U.S. Silica Co., 2018 Term Loan B,1-month LIBOR + 4.000%, 6.563%, 5/01/2025(b)		2,732,501

				5,285,433

		Midstream — 0.5%
	3,489,830	BCP Raptor LLC, Term Loan B,2-month LIBOR + 4.250%, 6.869%, 6/24/2024(b)		3,249,904
	623,438	NorthRiver Midstream Finance LP, 2018 Term Loan B, 10/01/2025(l)		607,852
	3,182,025	NorthRiver Midstream Finance LP, 2018 Term Loan B,3-month LIBOR + 3.250%, 5.646%, 10/01/2025(b)		3,102,474

				6,960,230

		Packaging — 0.2%
	2,989,475	BWAY Holding Co., 2017 Term Loan B,3-month LIBOR + 3.250%, 5.658%, 4/03/2024(b)		2,805,114

		Pharmaceuticals — 0.6%
	1,994,819	Change Healthcare Holdings LLC, 2017 Term Loan B, 3/01/2024(l)		1,887,597
	1,884,357	Change Healthcare Holdings LLC, 2017 Term Loan B,1-month LIBOR + 2.750%, 5.272%, 3/01/2024(b)		1,783,073
	2,458,744	Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 1/31/2025(l)		2,354,591
	1,441,332	Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 1 Week LIBOR + 2.250%, 4.669%, 1/31/2025(b)		1,380,278
	2,137,938	Valeant Pharmaceuticals International, Inc., Term Loan B,1-month LIBOR + 2.750%, 5.129%, 11/27/2025(b)		2,024,370

				9,429,909

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Property & Casualty Insurance — 0.2%
$	557,766	Hyperion Insurance Group Ltd., 2017 Repriced Term Loan,1-month LIBOR + 3.500%, 6.063%, 12/20/2024(b)	$	538,941
	3,226,227	USI, Inc., 2017 Repriced Term Loan,3-month LIBOR + 3.000%, 5.803%, 5/16/2024(b)		3,036,686

				3,575,627

		Restaurants — 0.4%
	5,147,863	1011778 B.C. Unlimited Liability Co., Term Loan B3,1-month LIBOR + 2.250%, 4.772%, 2/16/2024(b)		4,894,743
	917,688	IRB Holding Corp., 1st Lien Term Loan,1-month LIBOR + 3.250%, 5.682%, 2/05/2025(b)		873,181

				5,767,924

		Retailers — 0.3%
	1,445,625	Hanesbrands, Inc., 2017 Term Loan B, 12/15/2024(l)		1,428,755
	1,039,500	Hanesbrands, Inc., 2017 Term Loan B,1-month LIBOR + 1.750%, 4.272%, 12/15/2024(b)		1,027,369
	1,308,842	Harbor Freight Tools USA, Inc., 2018 Term Loan B,1-month LIBOR + 2.500%, 5.022%, 8/18/2023(b)		1,231,542
	384,868	J.C. Penney Corp., Inc., 2016 Term Loan B,3-month LIBOR + 4.250%, 6.956%, 6/23/2023(b)		327,138

				4,014,804

		Technology — 1.3%
	2,356,714	Dell International LLC, 2017 Term Loan A2,1-month LIBOR + 1.750%, 4.280%, 9/07/2021(b)		2,285,518
	4,752,517	First Data Corp., 2017 USD Term Loan,1-month LIBOR + 2.000%, 4.504%, 7/08/2022(b)		4,556,476
	4,627,569	Iron Mountain, Inc., 2018 Term Loan B,1-month LIBOR + 1.750%, 4.272%, 1/02/2026(b)		4,388,462
	436,377	MA FinanceCo. LLC, USD Term Loan B3,1-month LIBOR + 2.500%, 5.022%, 6/21/2024(b)		405,468
	1,455,977	Microchip Technology, Inc., 2018 Term Loan B,1-month LIBOR + 2.000%, 4.530%, 5/29/2025(b)		1,377,106
	2,946,961	Seattle Spinco, Inc., USD Term Loan B3,1-month LIBOR + 2.500%, 5.022%, 6/21/2024(b)		2,738,228
	374,443	SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4,1-month LIBOR + 2.250%, 4.772%, 4/16/2025(b)		352,512
	2,548,432	SS&C Technologies, Inc., 2018 Term Loan B5,1-month LIBOR + 2.250%, 4.772%, 4/16/2025(b)		2,400,317
	987,158	SS&C Technologies, Inc., 2018 Term Loan B3,1-month LIBOR + 2.250%, 4.772%, 4/16/2025(b)		929,340

				19,433,427

		Transportation Services — 0.3%
	4,193,155	Uber Technologies, Inc., 2018 Incremental Term Loan,1-month LIBOR + 3.500%, 5.955%, 7/13/2023(b)		4,012,346

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wireless — 0.4%
$	3,224	GTT Communications, Inc., 2018 USD Term Loan B,1-month LIBOR + 2.750%, 5.270%, 5/31/2025(b)	$	3,027
	2,775,563	Sprint Communications, Inc., 1st Lien Term Loan B,1-month LIBOR + 2.500%, 5.063%, 2/02/2024(b)		2,634,481
	3,908,961	UPC Financing Partnership, USD Term Loan AR,1-month LIBOR + 2.500%, 4.955%, 1/15/2026(b)		3,710,581

				6,348,089

		Total Senior Loans (Identified Cost $203,403,781)		194,321,844


	Loan Participations — 0.5%
		ABS Other — 0.5%
	5,347,210	Harbour Aircraft Investments Ltd., Series2017-1, Class C, 8.000%, 11/15/2037(d)		5,346,529
	1,429,671	Rise Ltd., Term Loan A, 4.750%, 2/15/2039(a)(c)(d)		1,386,781

		Total Loan Participations (Identified Cost $6,775,374)		6,733,310


Shares
	Preferred Stocks — 0.6%
	Non-Convertible Preferred Stocks — 0.3%
		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000)		4,090,500


	Convertible Preferred Stocks — 0.3%
		Food & Beverage — 0.2%
	32,272	Bunge Ltd., 4.875%		3,133,985

		Midstream — 0.1%
	1,714	Chesapeake Energy Corp., 5.750%		884,170

		Total Convertible Preferred Stocks (Identified Cost $4,135,098)		4,018,155


		Total Preferred Stocks (Identified Cost $8,175,098)		8,108,655


	Common Stocks — 3.0%
		Airlines — 0.0%
	11,123	Delta Air Lines, Inc.		555,038

		Banks — 0.1%
	10,785	Citigroup, Inc.		561,467
	5,807	JPMorgan Chase & Co.		566,880
	7,912	SunTrust Banks, Inc.		399,081

				1,527,428

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Beverages — 0.0%
	9,751	Molson Coors Brewing Co., Class B	$	547,616

		Biotechnology — 0.1%
	7,146	AbbVie, Inc.		658,790
	3,117	Amgen, Inc.		606,786
	8,868	Gilead Sciences, Inc.		554,693

				1,820,269

		Capital Markets — 0.0%
	1,899	Morgan Stanley		75,295

		Chemicals — 0.0%
	12,744	CF Industries Holdings, Inc.		554,491

		Commercial Services & Supplies — 0.0%
	3,794	Waste Management, Inc.		337,628

		Communications Equipment — 0.0%
	13,325	Cisco Systems, Inc.		577,372

		Construction Materials — 0.2%
	673,076	Cemex SAB de CV, Sponsored ADR(h)		3,244,226

		Consumer Finance — 0.1%
	7,713	Capital One Financial Corp.		583,026

		Containers & Packaging — 0.0%
	14,176	International Paper Co.		572,143

		Electric Utilities — 0.1%
	15,710	FirstEnergy Corp.		589,911
	20,176	PPL Corp.		571,586

				1,161,497

		Electrical Equipment — 0.1%
	7,050	Eaton Corp. PLC		484,053
	3,808	Rockwell Automation, Inc.		573,028

				1,057,081

		Electronic Equipment, Instruments & Components — 0.0%
	6,964	CDW Corp.		564,432

		Entertainment — 0.0%
	21,613	Viacom, Inc., Class B		555,454

		Food & Staples Retailing — 0.0%
	7,751	Walgreens Boots Alliance, Inc.		529,626

		Health Care Equipment & Supplies — 0.0%
	1,933	Medtronic PLC		175,826

		Health Care Providers & Services — 0.2%
	2,948	Cigna Corp.(h)		559,884
	8,403	CVS Health Corp.		550,565
	4,896	McKesson Corp.		540,861
	2,351	UnitedHealth Group, Inc.		585,681

				2,236,991

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Hotels, Restaurants & Leisure — 0.1%
	9,073	Starbucks Corp.	$	584,301
	6,477	Yum! Brands, Inc.		595,366

				1,179,667

		Insurance — 0.1%
	13,167	Aflac, Inc.		599,889
	14,024	MetLife, Inc.		575,825
	7,089	Prudential Financial, Inc.		578,108

				1,753,822

		IT Services — 0.3%
	3,935	Accenture PLC, Class A		554,874
	4,407	Automatic Data Processing, Inc.		577,846
	6,052	Broadridge Financial Solutions, Inc.		582,505
	3,064	MasterCard, Inc., Class A		578,024
	9,014	Paychex, Inc.		587,262
	25,327	Sabre Corp.		548,076
	4,390	Visa, Inc., Class A		579,217

				4,007,804

		Life Sciences Tools & Services — 0.0%
	2,541	Thermo Fisher Scientific, Inc.		568,650

		Machinery — 0.1%
	4,386	Cummins, Inc.		586,145
	4,598	Illinois Tool Works, Inc.		582,521
	10,438	PACCAR, Inc.		596,427

				1,765,093

		Media — 0.2%
	16,845	Comcast Corp., Class A		573,572
	7,902	Omnicom Group, Inc.		578,743
	20,330	Sinclair Broadcast Group, Inc., Class A		535,492
	95,501	Sirius XM Holdings, Inc.		545,311

				2,233,118

		Multi-Utilities — 0.0%
	7,993	Dominion Energy, Inc.		571,180

		Multiline Retail — 0.1%
	9,386	Kohl’s Corp.		622,667

		Oil, Gas & Consumable Fuels — 0.4%
	34,950	Canadian Natural Resources Ltd.		843,285
	1,884	Dommo Energia S.A., Sponsored ADR(h)		44,557
	99,386	Encana Corp.		574,451
	9,861	Marathon Petroleum Corp.		581,898
	14,386	Murphy Oil Corp.		336,488
	8,958	Occidental Petroleum Corp.		549,842
	27,058	Plains GP Holdings LP, Class A(h)		543,866
	73,856	Whiting Petroleum Corp.(h)		1,675,793

				5,150,180

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Pharmaceuticals — 0.2%
	4,281	Allergan PLC	$	572,199
	11,529	Bristol-Myers Squibb Co.		599,277
	4,399	Johnson & Johnson		567,691
	7,929	Merck & Co., Inc.		605,855

				2,345,022

		Professional Services — 0.0%
	10,085	Robert Half International, Inc.		576,862

		REITs – Diversified — 0.1%
	17,476	Gaming and Leisure Properties, Inc.		564,649
	36,563	Uniti Group, Inc.		569,286

				1,133,935

		Semiconductors & Semiconductor Equipment — 0.1%
	2,335	Broadcom, Inc.		593,744
	12,538	Intel Corp.		588,408
	2,372	Texas Instruments, Inc.		224,154

				1,406,306

		Software — 0.1%
	2,993	Intuit, Inc.		589,172
	5,605	Microsoft Corp.		569,300

				1,158,472

		Specialty Retail — 0.2%
	30,699	American Eagle Outfitters, Inc.		593,412
	9,525	Best Buy Co., Inc.		504,444
	17,627	Dick’s Sporting Goods, Inc.		549,962
	3,425	Home Depot, Inc. (The)		588,484

				2,236,302

		Technology Hardware, Storage & Peripherals — 0.1%
	2,556	Apple, Inc.		403,184
	41,720	Hewlett Packard Enterprise Co.		551,121

				954,305

		Tobacco — 0.0%
	11,608	Altria Group, Inc.		573,319

		Total Common Stocks (Identified Cost $50,681,076)		44,912,143


	Exchange-Traded Funds — 0.7%
	30,500	Invesco QQQ Trust, Series 1		4,704,930
	82,282	iShares^® ChinaLarge-Cap ETF		3,215,581
	128,943	Financial Select Sector SPDR^® Fund		3,071,422

		Total Exchange-Traded Funds (Identified Cost $11,278,581)		10,991,933

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
	Other Investments — 0.5%
		Aircraft ABS — 0.5%
	900	ECAF I Blocker Ltd.(d)(e)(f)(g) (Identified Cost $9,000,000)	$	7,790,625

	Total Purchased Options — 0.0%
		(Identified Cost $346,401) (see detail below)		69,433


Principal Amount (‡)
	Short-Term Investments — 15.1%
$	57,870,338	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $57,875,160 on 1/02/2019 collateralized by $57,825,000 U.S. Treasury Note, 2.875% due 9/30/2023 valued at $59,031,923 including accrued interest (Note 2 of Notes to Financial Statements)		57,870,338
	18,400,000	U.S. Treasury Bills, 1.895%, 1/03/2019(n)		18,398,850
	18,400,000	U.S. Treasury Bills, 1.960%, 1/31/2019(a)(n)		18,366,057
	16,620,000	U.S. Treasury Bills, 2.093%, 3/28/2019(a)(n)		16,526,948
	6,850,000	U.S. Treasury Bills, 2.126%, 1/24/2019(n)		6,840,445
	26,150,000	U.S. Treasury Bills, 2.209%, 4/25/2019(n)		25,952,490
	19,070,000	U.S. Treasury Bills,2.336%-2.521%, 7/18/2019(n)(o)		18,811,851
	19,100,000	U.S. Treasury Bills, 2.540%, 8/15/2019(n)(p)		18,799,623
	15,500,000	U.S. Treasury Bills, 2.551%, 9/12/2019(n)		15,226,176
	15,500,000	U.S. Treasury Bills, 2.584%, 10/10/2019(n)		15,195,266
	15,500,000	U.S. Treasury Bills, 2.615%, 11/07/2019(n)		15,161,742

		Total Short-Term Investments (Identified Cost $227,149,535)		227,149,786


		Total Investments — 98.0% (Identified Cost $1,546,429,203)		1,474,203,181
		Other assets less liabilities — 2.0%		30,756,036

		Net Assets — 100.0%	$	1,504,959,217


Purchased Options — 0.0%

Description	Expiration Date	Exercise Price		Shares/Units of Currency(†††)			Notional Amount		Cost		Value (†)
Over-the-Counter Cross Currency Options — 0.0%
EUR Put/GBP Call(h)(q)	01/14/2019		0.90		9,928,000	EUR	$	11,382,477	$	346,401	$	69,433

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Written Options — (0.0%)

Description	Expiration Date	Exercise Price		Shares			Notional Amount			Premiums (Received)			Value (†)
Options on Securities — (0.0%)
AbbVie, Inc., Call	01/18/2019		95.00		(2,300	)	$	(212,037	)	$	(2,270	)	$	(2,749	)
AbbVie, Inc., Call	02/15/2019		97.50		(2,400	)		(221,256	)		(2,945	)		(4,500	)
AbbVie, Inc., Call	02/15/2019		92.50		(2,300	)		(212,037	)		(5,238	)		(8,740	)
Accenture PLC, Call	01/18/2019		170.00		(1,300	)		(183,313	)		(3,480	)		(32	)
Accenture PLC, Call	02/15/2019		175.00		(1,300	)		(183,313	)		(2,960	)		(97	)
Accenture PLC, Call	02/15/2019		165.00		(1,200	)		(169,212	)		(345	)		(150	)
Aflac, Inc., Call	01/18/2019		47.50		(4,300	)		(195,908	)		(977	)		(1,139	)
Aflac, Inc., Call	02/15/2019		47.50		(4,300	)		(195,908	)		(2,482	)		(3,311	)
Allergan PLC, Call	01/18/2019		175.00		(1,400	)		(187,124	)		(2,017	)		(84	)
Allergan PLC, Call	02/15/2019		150.00		(1,400	)		(187,124	)		(3,412	)		(2,037	)
Altria Group, Inc., Call	03/15/2019		65.00		(3,500	)		(172,865	)		(3,525	)		(560	)
Altria Group, Inc., Call	01/18/2019		65.00		(3,400	)		(167,926	)		(1,656	)		(34	)
Altria Group, Inc., Call	01/18/2019		52.50		(3,800	)		(187,682	)		(1,471	)		(1,159	)
American Eagle Outfitters, Inc., Call	01/18/2019		25.00		(10,200	)		(197,166	)		(3,541	)		(255	)
American Eagle Outfitters, Inc., Call	02/15/2019		26.00		(10,200	)		(197,166	)		(3,541	)		(510	)
American Eagle Outfitters, Inc., Call	01/18/2019		20.00		(10,200	)		(197,166	)		(1,093	)		(5,610	)
Amgen, Inc., Call	01/18/2019		200.00		(1,000	)		(194,670	)		(3,117	)		(2,985	)
Amgen, Inc., Call	02/15/2019		220.00		(1,000	)		(194,670	)		(1,917	)		(890	)
Amgen, Inc., Call	03/15/2019		210.00		(1,000	)		(194,670	)		(2,157	)		(3,550	)
Apple, Inc., Call	02/15/2019		180.00		(800	)		(126,192	)		(1,366	)		(1,292	)
Apple, Inc., Call	03/15/2019		185.00		(800	)		(126,192	)		(1,534	)		(1,452	)
Automatic Data Processing, Inc., Call	01/18/2019		155.00		(1,400	)		(183,568	)		(1,354	)		(105	)
Automatic Data Processing, Inc., Call	01/18/2019		140.00		(1,400	)		(183,568	)		(1,233	)		(1,225	)
Automatic Data Processing, Inc., Call	02/15/2019		145.00		(1,400	)		(183,568	)		(1,998	)		(2,205	)
Best Buy Co., Inc., Call	01/18/2019		57.50		(3,100	)		(164,176	)		(1,014	)		(1,814	)
Best Buy Co., Inc., Call	02/15/2019		57.50		(3,100	)		(164,176	)		(2,657	)		(4,340	)
Bristol-Myers Squibb Co., Call	01/18/2019		57.50		(3,800	)		(197,524	)		(2,269	)		(456	)
Bristol-Myers Squibb Co., Call	03/15/2019		55.00		(3,800	)		(197,524	)		(4,093	)		(4,940	)
Broadcom Ltd., Call	01/18/2019		270.00		(700	)		(177,996	)		(1,869	)		(1,943	)
Broadcom Ltd., Call	04/18/2019		280.00		(700	)		(177,996	)		(5,976	)		(6,825	)
Broadridge Financial Solutions, Inc., Call	01/18/2019		105.00		(1,900	)		(182,875	)		(1,116	)		(570	)
Capital One Financial Corp., Call	01/18/2019		97.50		(2,300	)		(173,857	)		(1,580	)		(80	)
Capital One Financial Corp., Call	03/15/2019		97.50		(2,400	)		(181,416	)		(4,145	)		(144	)
Capital One Financial Corp., Call	01/18/2019		82.50		(2,500	)		(188,975	)		(893	)		(712	)
CF Industries Holdings, Inc., Call	01/18/2019		45.00		(4,200	)		(182,742	)		(3,138	)		(4,326	)
CF Industries Holdings, Inc., Call	02/15/2019		47.50		(4,200	)		(182,742	)		(3,726	)		(4,998	)
Cigna Corp. Call	01/18/2019		230.00		(900	)		(170,928	)		(2,427	)		(211	)
Cisco Systems, Inc., Call	01/18/2019		46.00		(6,600	)		(285,978	)		(2,291	)		(1,518	)
Citigroup, Inc., Call	01/18/2019		70.00		(3,200	)		(166,592	)		(2,839	)		(32	)
Citigroup, Inc., Call	03/15/2019		70.00		(3,300	)		(171,798	)		(5,106	)		(99	)
Citigroup, Inc., Call	02/15/2019		60.00		(3,500	)		(182,210	)		(1,670	)		(1,172	)
Comcast Corp., Call	02/15/2019		42.50		(5,600	)		(190,680	)		(3,064	)		(168	)
Comcast Corp., Call	01/18/2019		37.50		(5,500	)		(187,275	)		(974	)		(302	)
Cummins, Inc., Call	03/15/2019		155.00		(1,500	)		(200,460	)		(7,751	)		(1,388	)
Cummins, Inc., Call	03/15/2019		160.00		(1,400	)		(187,096	)		(5,134	)		(770	)

See accompanying notes to financial statements.

| 62

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Description	Expiration Date	Exercise Price		Shares			Notional Amount			Premiums (Received)			Value (†)
Cummins, Inc., Call	01/18/2019		155.00		(1,400	)	$	(187,096	)	$	(4,434	)	$	(35	)
CVS Health Corp., Call	01/18/2019		75.00		(2,700	)		(176,904	)		(370	)		(162	)
CVS Health Corp., Call	02/15/2019		77.50		(2,700	)		(176,904	)		(694	)		(499	)
Delta Air Lines, Inc., Call	01/18/2019		55.00		(3,600	)		(179,640	)		(2,042	)		(1,080	)
Delta Air Lines, Inc., Call	03/15/2019		62.50		(3,700	)		(184,630	)		(4,318	)		(555	)
Delta Air Lines, Inc., Call	01/18/2019		60.00		(3,700	)		(184,630	)		(3,578	)		(203	)
Dick’s Sporting Goods, Inc., Call	01/18/2019		35.00		(5,800	)		(180,960	)		(1,375	)		(1,160	)
Dick’s Sporting Goods, Inc., Call	01/18/2019		36.00		(5,800	)		(180,960	)		(737	)		(580	)
Dominion Energy, Inc., Call	01/18/2019		80.00		(2,600	)		(185,796	)		(825	)		(195	)
Dominion Energy, Inc., Call	04/18/2019		80.00		(2,600	)		(185,796	)		(3,711	)		(1,625	)
Eaton Corp. PLC, Call	01/18/2019		77.50		(2,400	)		(164,784	)		(2,825	)		(120	)
Eaton Corp. PLC, Call	01/18/2019		72.50		(2,300	)		(157,918	)		(987	)		(1,035	)
Eaton Corp. PLC, Call	04/18/2019		77.50		(2,300	)		(157,918	)		(1,925	)		(1,783	)
FirstEnergry Corp., Call	01/18/2019		41.00		(5,200	)		(195,260	)		(1,233	)		(260	)
FirstEnergy Corp., Call	04/18/2019		41.00		(5,200	)		(195,260	)		(2,793	)		(2,470	)
Gilead Sciences, Inc., Call	01/18/2019		77.50		(2,900	)		(181,395	)		(2,109	)		(58	)
Gilead Sciences, Inc., Call	02/15/2019		77.50		(3,000	)		(187,650	)		(3,861	)		(465	)
Gilead Sciences, Inc., Call	02/15/2019		70.00		(2,900	)		(181,395	)		(4,719	)		(2,277	)
HewLett Packard Enterprise Co., Call	01/18/2019		14.00		(13,700	)		(180,977	)		(1,879	)		(1,987	)
HewLett Packard Enterprise Co., Call	02/15/2019		15.00		(13,800	)		(182,298	)		(1,065	)		(1,449	)
Home Depot, Inc. (The), Call	01/18/2019		180.00		(1,100	)		(189,002	)		(811	)		(1,546	)
Home Depot, Inc. (The), Call	02/15/2019		185.00		(1,100	)		(189,002	)		(1,207	)		(2,068	)
Home Depot, Inc. (The), Call	01/18/2019		195.00		(1,100	)		(189,002	)		(1,306	)		(66	)
Illinois Tool Works, Inc., Call	03/15/2019		135.00		(1,500	)		(190,035	)		(3,761	)		(4,425	)
Intel Corp., Call	01/18/2019		52.50		(4,100	)		(192,413	)		(2,366	)		(205	)
Intel Corp., Call	02/15/2019		52.50		(4,100	)		(192,413	)		(2,038	)		(2,112	)
Intel Corp., Call	01/18/2019		49.00		(4,100	)		(192,413	)		(2,325	)		(2,255	)
International Paper Co., Call	01/18/2019		45.00		(4,700	)		(189,692	)		(786	)		(423	)
Intuit, Inc., Call	01/18/2019		210.00		(900	)		(177,165	)		(1,131	)		(1,170	)
Intuit, Inc., Call	04/18/2019		220.00		(900	)		(177,165	)		(3,908	)		(4,320	)
Johnson & Johnson, Call	02/15/2019		140.00		(1,400	)		(180,670	)		(2,110	)		(1,309	)
Johnson & Johnson, Call	01/18/2019		135.00		(1,400	)		(180,670	)		(1,928	)		(903	)
JPMorgan Chase & Co., Call	01/18/2019		105.00		(1,900	)		(185,478	)		(1,059	)		(684	)
JPMorgan Chase & Co., Call	02/15/2019		105.00		(1,900	)		(185,478	)		(2,408	)		(2,157	)
Kohl’s Corp., Call	04/18/2019		95.00		(2,600	)		(172,484	)		(4,048	)		(650	)
Kohl’s Corp., Call	01/18/2019		67.50		(3,100	)		(205,654	)		(2,290	)		(7,440	)
Kohl’s Corp., Call	03/15/2019		70.00		(3,100	)		(205,654	)		(5,137	)		(11,315	)
Marathon Petroleum Corp., Call	01/18/2019		72.50		(3,200	)		(188,832	)		(4,407	)		(80	)
Marathon Petroleum Corp., Call	01/18/2019		65.00		(3,200	)		(188,832	)		(1,303	)		(1,008	)
MasterCard, Inc., Call	01/18/2019		220.00		(1,000	)		(188,650	)		(1,867	)		(110	)
MasterCard, Inc., Call	01/18/2019		200.00		(1,000	)		(188,650	)		(1,117	)		(1,800	)
McKesson Corp., Call	01/18/2019		120.00		(1,600	)		(176,752	)		(1,387	)		(800	)
McKesson Corp., Call	02/15/2019		125.00		(1,600	)		(176,752	)		(2,197	)		(1,720	)
Medtronic PLC, Call	01/18/2019		100.00		(600	)		(54,576	)		(262	)		(60	)
Medtronic PLC, Call	02/15/2019		97.50		(600	)		(54,576	)		(364	)		(477	)
Merck & Co., Inc., Call	01/18/2019		80.00		(2,600	)		(198,666	)		(695	)		(611	)
Merck & Co., Inc., Call	02/15/2019		82.50		(2,600	)		(198,666	)		(2,567	)		(1,079	)
MetLife, Inc., Call	01/18/2019		50.00		(4,600	)		(188,876	)		(1,551	)		(230	)

See accompanying notes to financial statements.

63 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)


Description	Expiration Date	Exercise Price		Shares			Notional Amount			Premiums (Received)			Value (†)
MetLife, Inc., Call	02/15/2019		45.00		(4,600	)	$	(188,876	)	$	(1,367	)	$	(1,771	)
Microsoft Corp., Call	01/18/2019		115.00		(1,800	)		(182,826	)		(2,574	)		(135	)
Microsoft Corp., Call	02/15/2019		115.00		(1,800	)		(182,826	)		(1,993	)		(1,800	)
Microsoft Corp., Call	03/15/2019		115.00		(1,800	)		(182,826	)		(2,983	)		(2,727	)
Molson Coors Brewing Co., Call	01/18/2019		70.00		(3,200	)		(179,712	)		(2,039	)		(80	)
Molson Coors Brewing Co., Call	04/18/2019		65.00		(3,200	)		(179,712	)		(3,319	)		(2,640	)
Molson Coors Brewing Co., Call	01/18/2019		62.50		(3,200	)		(179,712	)		(663	)		(320	)
Morgan Stanley, Call	01/18/2019		49.00		(600	)		(23,790	)		(298	)		(18	)
Morgan Stanley, Call	01/18/2019		42.00		(600	)		(23,790	)		(310	)		(351	)
Murphy Oil Corp., Call	01/18/2019		35.00		(4,700	)		(109,933	)		(4,217	)		(117	)
Murphy Oil Corp., Call	01/18/2019		27.50		(4,700	)		(109,933	)		(1,021	)		(470	)
Occidental Petroleum Corp., Call	01/18/2019		77.50		(2,900	)		(178,002	)		(3,008	)		(58	)
Occidental Petroleum Corp., Call	01/18/2019		67.50		(2,900	)		(178,002	)		(1,181	)		(565	)
Omnicom Group, Inc., Call	01/18/2019		82.50		(2,600	)		(190,424	)		(1,787	)		(130	)
Omnicom Group, Inc., Call	04/18/2019		82.50		(2,600	)		(190,424	)		(2,125	)		(2,665	)
Omnicom Group, Inc., Call	01/18/2019		77.50		(2,600	)		(190,424	)		(669	)		(715	)
PACCAR, Inc., Call	01/18/2019		61.20		(3,400	)		(194,276	)		(4,512	)		(1,360	)
PACCAR, Inc., Call	02/15/2019		60.50		(3,400	)		(194,276	)		(3,356	)		(4,845	)
Paychex, Inc., Call	01/18/2019		70.00		(3,000	)		(195,450	)		(651	)		(450	)
Paychex, Inc., Call	03/15/2019		70.00		(3,000	)		(195,450	)		(2,901	)		(2,475	)
Plains GP Holdings LP, Call	02/15/2019		23.00		(9,000	)		(180,900	)		(3,761	)		(2,025	)
PPL Corp., Call	01/18/2019		30.00		(6,700	)		(189,811	)		(1,924	)		(670	)
Prudential Financial, Inc., Call	03/15/2019		105.00		(2,300	)		(187,565	)		(2,891	)		(207	)
Prudential Financial, Inc., Call	01/18/2019		87.50		(2,300	)		(187,565	)		(1,396	)		(1,185	)
Robert Half International, Inc., Call	01/18/2019		60.00		(3,300	)		(188,760	)		(1,773	)		(2,475	)
Rockwell Automation, Inc., Call	04/18/2019		165.00		(1,200	)		(180,576	)		(5,168	)		(5,280	)
Rockwell Automation, Inc., Call	01/18/2019		160.00		(1,200	)		(180,576	)		(1,785	)		(1,560	)
Sabre Corp., Call	04/18/2019		25.00		(12,600	)		(272,664	)		(6,642	)		(6,615	)
Sinclair Broadcast Group, Inc., Call	01/18/2019		34.00		(6,700	)		(176,478	)		(3,398	)		(837	)
Starbucks Corp., Call	02/15/2019		70.00		(3,000	)		(193,200	)		(1,131	)		(1,710	)
Starbucks Corp., Call	01/18/2019		67.50		(3,000	)		(193,200	)		(621	)		(945	)
SunTrust Banks, Inc., Call	01/18/2019		55.00		(2,600	)		(131,144	)		(695	)		(546	)
Texas Instruments, Inc., Call	01/18/2019		105.00		(700	)		(66,150	)		(908	)		(157	)
Texas Instruments, Inc., Call	04/18/2019		105.00		(700	)		(66,150	)		(1,559	)		(1,722	)
Texas Instruments, Inc., Call	01/18/2019		97.50		(700	)		(66,150	)		(1,022	)		(1,222	)
Thermo Fisher Scientific, Inc., Call	01/18/2019		250.00		(800	)		(179,032	)		(1,694	)		(80	)
Thermo Fisher Scientific, Inc., Call	03/15/2019		250.00		(800	)		(179,032	)		(1,598	)		(1,820	)
UnitedHealth Group, Inc., Call	01/18/2019		290.00		(700	)		(174,384	)		(894	)		(63	)
UnitedHealth Group, Inc., Call	01/18/2019		260.00		(700	)		(174,384	)		(1,552	)		(2,062	)
Uniti Group, Inc., Call	02/15/2019		17.50		(12,100	)		(188,397	)		(5,410	)		(6,050	)
Visa, Inc., Call	01/18/2019		140.00		(1,400	)		(184,716	)		(866	)		(1,267	)
Visa, Inc., Call	03/15/2019		145.00		(1,400	)		(184,716	)		(2,040	)		(2,905	)
Walgreens Boots Alliance, Inc., Call	04/18/2019		90.00		(3,900	)		(266,487	)		(8,257	)		(546	)
Walgreens Boots Alliance, Inc., Call	01/18/2019		77.50		(3,800	)		(259,654	)		(407	)		(228	)
Waste Management, Inc., Call	01/18/2019		92.50		(1,200	)		(106,788	)		(513	)		(360	)
Yum Brands, Inc., Call	01/18/2019		95.00		(2,100	)		(193,032	)		(1,821	)		(1,481	)
Yum Brands, Inc., Call	04/18/2019		97.50		(2,100	)		(193,032	)		(3,291	)		(5,103	)

Total										$	(325,168	)	$	(223,313	)

See accompanying notes to financial statements.

| 64

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)



	(‡)			Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)			See Note 2 of Notes to Financial Statements.
	(†††)			Options on securities are expressed as shares. Options on currency are expressed as units of currency.
	(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 December 31, 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 December 31, 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 December 31, 2018, the value of these securities amounted to $9,893,316 or 0.7% of net assets. See Note 2 of Notes to Financial Statements.
	(f)			Securities subject to restriction on resale. At December 31, 2018, the restricted securities held by the Fund are as follows:



	Acquisition Date	Acquisition Cost		Value		% of Net Assets
ECAF I Blocker Ltd.	June 18, 2015	$	9,000,000	$	7,790,625		0.5%
GCA2014 Holdings Ltd., Series2014-1, Class C	December 18, 2014		2,069,787		1,673,859		0.1%
GCA2014 Holdings Ltd., Series2014-1, Class D	December 18, 2014		820,999		428,831		Less than 0.1%
GCA2014 Holdings Ltd., Series2014-1, Class E	December 18, 2014		2,657,606		—		—



	(g)			Illiquid security. (Unaudited)
	(h)			Non-income producing security.
	(i)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2018, the value of these securities amounted to $2,544,652 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)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(l)			Position is unsettled. Contract rate was not determined at December 31, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(m)			Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2018.
	(n)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(o)			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.
	(p)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(q)			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 December 31, 2018, the value of Rule 144A holdings amounted to $382,880,212 or 25.4% of net assets.

See accompanying notes to financial statements.

65 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)



	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
	REITs			Real Estate Investment Trusts
	SLM			Sallie Mae

	ARS			Argentine Peso
	BRL			Brazilian Real
	CAD			Canadian Dollar
	CNY			Chinese Yuan Renminbi
	COP			Colombian Peso
	EUR			Euro
	GBP			British Pound
	HUF			Hungarian Forint
	IDR			Indonesian Rupiah
	ILS			Israeli Shekel
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PEN			Peruvian Sol
	PHP			Philippine Peso
	RUB			New Russian Ruble
	SGD			Singapore Dollar
	THB			Thai Baht
	TRY			Turkish Lira
	USD			U.S. Dollar
	ZAR			South African Rand

At December 31, 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)
Bank of America, N.A.	Enel SpA	(1.00%)		6/20/2023		6,100,000 EUR	$	(3,117	)	$	47,214	$	50,331
Morgan Stanley Capital Services, Inc.	Enel SpA	(1.00%)		12/20/2023		6,115,000 EUR		40,349			92,109		51,760

Total										$	139,323	$	102,091

See accompanying notes to financial statements.

| 66

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2018, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value		Currency		Expiration Date		Fund Pays	Fund Receives	Market Value			Unrealized Appreciation (Depreciation)³
	76,460,000		CAD		9/19/2021	3-month CDOR²	2.070%²	$	(228,904	)	$	(228,158	)
	26,784,000		CAD		4/9/2028	2.564%²	3-month CDOR²		(198,303	)		(198,303	)
	19,565,000		USD		4/11/2028	2.826%²	3-month LIBOR¹		(220,136	)		(220,136	)
	89,205,000		CAD		4/9/2022	3-month CDOR²	2.365%²		268,559			268,559
	158,670,000		USD		4/13/2020	3-month LIBOR¹	2.601%²		(256,400	)		(256,400	)
	161,300,000		USD		7/16/2028	2.930%²	3-month LIBOR¹		(3,184,891	)		(3,184,891	)
	729,650,000		USD		7/16/2020	3-month LIBOR¹	2.826%²		1,450,566			1,450,566
	153,000,000		USD		7/24/2020	3-month LIBOR¹	2.829%²		328,165			328,165
	42,000,000		CAD		10/18/2028	2.897%²	3-month CDOR²		(1,184,029	)		(1,184,701	)
	182,522,400		USD		10/22/2020	3-month LIBOR¹	3.097%²		1,381,408			1,381,408
	217,497,600		USD		10/22/2020	3-month LIBOR¹	3.094%²		1,635,789			1,635,789
	47,150,000		USD		10/22/2028	3.239%²	3-month LIBOR¹		(2,192,054	)		(2,192,054	)
	137,250,000		CAD		10/18/2022	3-month CDOR²	2.752%²		1,848,855			1,850,543
	16,700,000		CAD		9/14/2027	2.351%²	3-month CDOR²		69,947			69,611
	39,700,000		CAD		9/15/2027	2.365%²	3-month CDOR²		133,836			133,025
	39,700,000		CAD		9/15/2027	2.360%²	3-month CDOR²		145,441			144,634
	39,700,000		CAD		9/18/2027	2.386%²	3-month CDOR²		86,205			85,377
	30,950,000		CAD		9/19/2027	2.363%²	3-month CDOR²		109,743			109,106
	41,000,000		CAD		9/14/2021	3-month CDOR²	2.095%²		(102,753	)		(102,345	)
	97,600,000		CAD		9/15/2021	3-month CDOR²	2.115%²		(206,796	)		(205,792	)
	97,600,000		CAD		9/15/2021	3-month CDOR²	2.110%²		(216,191	)		(215,195	)
	97,600,000		CAD		9/18/2021	3-month CDOR²	2.120%²		(197,940	)		(196,930	)
	133,420,000		USD		1/5/2028	2.432%²	3-month LIBOR¹		2,705,240			2,705,240
	673,470,000		USD		1/5/2020	3-month LIBOR¹	2.110%²		(4,260,634	)		(4,260,634	)

	Total							$	(2,285,277	)	$	(2,283,516	)

At December 31, 2018, the Fund had the following open centrally cleared credit default swap agreements:


Sell Protection
Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date	Implied Credit Spread^			Notional Value(‡)		Market Value		Unrealized Appreciation (Depreciation)
CDX.HY Series 31,5-Year		5.00	%	12/20/2023		4.51	%		15,000,000	$	298,995	$	54,478
CDX.HY Series 31,5-Year		5.00	%	12/20/2023		4.51	%		14,300,000		285,042		(210,422	)

Total										$	584,037	$	(155,944	)

(‡)	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.

See accompanying notes to financial statements.

67 |

Portfolio of Investments – as of December 31, 2018

Loomis Sayles Strategic Alpha Fund – (continued)

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

At December 31, 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.		1/07/2019	ARS	B		11,120,000	$	282,234	$	293,617	$	11,383
Bank of America, N.A.		1/10/2019	CNY	B		7,575,000		1,107,537		1,103,338		(4,199	)
Bank of America, N.A.		1/10/2019	CNY	S		7,575,000		1,103,262		1,103,338		(76	)
Bank of America, N.A.		1/07/2019	EUR	S		795,000		905,055		911,171		(6,116	)
Bank of America, N.A.		1/07/2019	HUF	S		127,955,000		450,118		456,773		(6,655	)
Bank of America, N.A.		1/07/2019	IDR	B		21,463,920,000		1,482,827		1,492,060		9,233
Bank of America, N.A.		1/14/2019	NZD	B		1,310,000		897,875		879,437		(18,438	)
Bank of America, N.A.		1/14/2019	NZD	S		1,310,000		901,934		879,437		22,497
Barclays Bank plc		1/07/2019	ILS	S		3,915,000		1,052,325		1,047,332		4,993
Barclays Bank plc		1/14/2019	SGD	S		1,035,000		753,482		759,571		(6,089	)
Barclays Bank plc		1/07/2019	TRY	B		1,620,000		299,326		305,249		5,923
Credit Suisse International		1/28/2019	COP	S		18,400,000,000		5,668,515		5,658,712		9,803
Deutsche Bank AG		1/31/2019	EUR	S		2,000,000		2,285,420		2,296,850		(11,430	)
Deutsche Bank AG		1/31/2019	GBP	S		5,095,000		6,448,308		6,503,088		(54,780	)
Deutsche Bank AG		1/03/2019	MXN	B		16,730,000		813,668		851,323		37,655
Deutsche Bank AG		1/03/2019	MXN	S		16,730,000		823,659		851,324		(27,665	)
HSBC Bank USA		1/10/2019	BRL	S		2,665,000		693,072		687,157		5,915
HSBC Bank USA		1/11/2019	THB	B		23,410,000		719,909		718,971		(938	)
HSBC Bank USA		1/11/2019	THB	S		23,410,000		713,132		718,971		(5,839	)
Morgan Stanley Capital Services, Inc.		1/22/2019	CAD	B		1,235,000		917,376		905,097		(12,279	)
Morgan Stanley Capital Services, Inc.		1/22/2019	CAD	S		1,235,000		910,125		905,097		5,028
Morgan Stanley Capital Services, Inc.		1/24/2019	GBP	S		1,225,000		1,553,034		1,563,007		(9,973	)
Morgan Stanley Capital Services, Inc.		1/07/2019	HUF	S		115,070,000		406,249		410,777		(4,528	)
Morgan Stanley Capital Services, Inc.		1/22/2019	NOK	B		7,825,000		899,422		905,784		6,362
Morgan Stanley Capital Services, Inc.		1/22/2019	NOK	S		7,825,000		892,795		905,784		(12,989	)
Morgan Stanley Capital Services, Inc.		1/10/2019	PEN	B		3,570,000		1,053,221		1,059,504		6,283
Morgan Stanley Capital Services, Inc.		1/10/2019	PEN	S		3,570,000		1,055,588		1,059,504		(3,916	)
Morgan Stanley Capital Services, Inc.		1/10/2019	PHP	B		46,980,000		890,195		892,732		2,537
Morgan Stanley Capital Services, Inc.		1/10/2019	PHP	S		46,980,000		888,091		892,732		(4,641	)

See accompanying notes to financial statements.

| 68

Portfolio of Investments – as of December 31, 2018

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.		1/10/2019	RUB	B		46,905,000	$	696,954	$	673,104	$	(23,850	)
Morgan Stanley Capital Services, Inc.		1/10/2019	RUB	S		46,905,000		702,229		673,104		29,125
Morgan Stanley Capital Services, Inc.		1/28/2019	RUB	S		62,465,000		902,217		894,175		8,042
Morgan Stanley Capital Services, Inc.		1/31/2019	ZAR	S		361,810,000		25,126,218		25,063,735		62,483
UBS AG		1/07/2019	CAD	B		1,185,000		898,731		868,127		(30,604	)
UBS AG		1/07/2019	CAD	S		1,185,000		883,864		868,127		15,737
UBS AG		1/31/2019	HUF	S		5,983,080,000		21,268,560		21,392,691		(124,131	)
UBS AG		1/29/2019	NZD	S		1,340,000		903,060		899,820		3,240
UBS AG		1/14/2019	ZAR	B		12,925,000		899,506		897,224		(2,282	)
UBS AG		1/14/2019	ZAR	S		12,925,000		896,668		897,224		(556	)

Total											$	(125,735	)

At December 31, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		3/15/2019		132	$	16,862,022	$	16,534,320	$	327,702
Ultra 10 Year U.S. Treasury Note		3/20/2019		345		44,885,336		44,876,954		8,382
Ultra Long U.S. Treasury Bond		3/20/2019		134		21,548,799		21,527,937		20,862

Total									$	356,946

Industry Summary at December 31, 2018


ABS Car Loan	11.4	%
ABS Home Equity	8.8
Banking	6.2
ABS Other	5.5
Automotive	4.8
Technology	4.1
ABS Credit Card	4.1
Cable Satellite	2.3
Construction Machinery	2.2
Non-Agency Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	30.8
Short-Term Investments	15.1
Exchange-Traded Funds	0.7

Total Investments	98.0
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	2.0

Net Assets	100.0	%

See accompanying notes to financial statements.

69 |

Portfolio of Investments – as of December 31, 2018

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 98.8% of Net Assets
		Air Freight & Logistics — 2.6%
	298,416	Expeditors International of Washington, Inc.	$	20,319,145
	35,881	United Parcel Service, Inc., Class B		3,499,474

				23,818,619

		Airlines — 1.1%
	311,500	American Airlines Group, Inc.		10,002,265

		Automobiles — 3.1%
	1,079,800	Fiat Chrysler Automobiles NV(a)		15,613,908
	363,100	General Motors Co.		12,145,695

				27,759,603

		Banks — 5.6%
	714,870	Bank of America Corp.		17,614,397
	366,100	Citigroup, Inc.		19,059,166
	302,800	Wells Fargo & Co.		13,953,024

				50,626,587

		Beverages — 4.0%
	187,056	Coca-Cola Co. (The)		8,857,101
	41,810	Diageo PLC, Sponsored ADR		5,928,658
	434,913	Monster Beverage Corp.(a)		21,406,418

				36,192,177

		Biotechnology — 5.7%
	32,767	Amgen, Inc.		6,378,752
	119,172	BioMarin Pharmaceutical, Inc.(a)		10,147,496
	92,778	Regeneron Pharmaceuticals, Inc.(a)		34,652,583

				51,178,831

		Capital Markets — 6.7%
	361,300	Charles Schwab Corp. (The)		15,004,789
	46,367	FactSet Research Systems, Inc.		9,279,428
	63,343	MSCI, Inc.		9,338,659
	256,122	SEI Investments Co.		11,832,836
	237,800	State Street Corp.		14,998,046

				60,453,758

		Communications Equipment — 1.4%
	293,802	Cisco Systems, Inc.		12,730,441

		Consumer Finance — 2.4%
	63,386	American Express Co.		6,041,954
	204,700	Capital One Financial Corp.		15,473,273

				21,515,227

		Energy Equipment & Services — 1.6%
	231,100	National Oilwell Varco, Inc.		5,939,270
	228,193	Schlumberger Ltd.		8,233,203

				14,172,473

See accompanying notes to financial statements.

| 70

Portfolio of Investments – as of December 31, 2018

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Entertainment — 1.9%
	62,290	Netflix, Inc.(a)	$	16,672,541

		Food Products — 1.1%
	709,813	Danone S.A., Sponsored ADR		9,923,186

		Health Care Equipment & Supplies — 2.2%
	161,820	Baxter International, Inc.		10,650,993
	77,149	Varian Medical Systems, Inc.(a)		8,741,753

				19,392,746

		Health Care Providers & Services — 2.5%
	228,200	CVS Health Corp.		14,951,664
	57,200	HCA Healthcare, Inc.		7,118,540

				22,070,204

		Health Care Technology — 1.3%
	226,590	Cerner Corp.(a)		11,882,380

		Hotels, Restaurants & Leisure — 5.0%
	100,900	Hilton Worldwide Holdings, Inc.		7,244,620
	227,605	Starbucks Corp.		14,657,762
	431,627	Yum China Holdings, Inc.		14,472,453
	92,724	Yum! Brands, Inc.		8,523,190

				44,898,025

		Household Products — 1.8%
	125,535	Colgate-Palmolive Co.		7,471,843
	95,827	Procter & Gamble Co. (The)		8,808,418

				16,280,261

		Industrial Conglomerates — 1.7%
	1,974,250	General Electric Co.		14,945,072

		Insurance — 1.7%
	398,555	American International Group, Inc.		15,707,053

		Interactive Media & Services — 7.9%
	35,148	Alphabet, Inc., Class A(a)		36,728,254
	11,356	Alphabet, Inc., Class C(a)		11,760,387
	174,229	Facebook, Inc., Class A(a)		22,839,680

				71,328,321

		Internet & Direct Marketing Retail — 7.4%
	184,615	Alibaba Group Holding Ltd., Sponsored ADR(a)		25,305,178
	21,822	Amazon.com, Inc.(a)		32,775,989
	453,100	Qurate Retail, Inc., Class A(a)		8,844,512

				66,925,679

		IT Services — 5.8%
	38,096	Automatic Data Processing, Inc.		4,995,148
	65,800	MasterCard, Inc., Class A		12,413,170
	261,064	Visa, Inc., Class A		34,444,784

				51,853,102

See accompanying notes to financial statements.

71 |

Portfolio of Investments – as of December 31, 2018

Natixis U.S. Equity Opportunities Fund – (continued)


Shares		Description	Value (†)
		Machinery — 2.3%
	65,600	Caterpillar, Inc.	$	8,335,792
	84,332	Deere & Co.		12,579,804

				20,915,596

		Media — 3.2%
	46,815	Charter Communications, Inc., Class A(a)		13,340,871
	445,400	Comcast Corp., Class A		15,165,870

				28,506,741

		Metals & Mining — 0.2%
	38,165	Compass Minerals International, Inc.		1,591,099

		Oil, Gas & Consumable Fuels — 2.3%
	239,800	Anadarko Petroleum Corp.		10,512,832
	395,900	Apache Corp.		10,392,375

				20,905,207

		Pharmaceuticals — 2.7%
	53,042	Merck & Co., Inc.		4,052,939
	78,818	Novartis AG, Sponsored ADR		6,763,373
	284,034	Novo Nordisk AS, Sponsored ADR		13,085,446

				23,901,758

		Semiconductors & Semiconductor Equipment — 3.9%
	256,030	Intel Corp.		12,015,488
	229,413	QUALCOMM, Inc.		13,055,894
	102,965	Texas Instruments, Inc.		9,730,192

				34,801,574

		Software — 6.4%
	163,940	Autodesk, Inc.(a)		21,084,323
	111,421	Microsoft Corp.		11,317,031
	556,551	Oracle Corp.		25,128,278

				57,529,632

		Technology Hardware, Storage & Peripherals — 1.9%
	109,055	Apple, Inc.		17,202,336

		Textiles, Apparel & Luxury Goods — 1.4%
	688,435	Under Armour, Inc., Class A(a)		12,164,646

		Total Common Stocks (Identified Cost $777,311,456)		887,847,140

See accompanying notes to financial statements.

| 72

Portfolio of Investments – as of December 31, 2018

Natixis U.S. Equity Opportunities Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments – 1.9%
$	17,582,298	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $17,583,763 on 1/02/2019 collateralized by $18,600,000 U.S. Treasury Bond, 2.750% due 8/15/2042 valued at $17,937,133 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $17,582,298)	$	17,582,298


		Total Investments — 100.7% (Identified Cost $794,893,754)		905,429,438
		Other assets less liabilities — (0.7)%		(6,725,608	)

		Net Assets — 100.0%	$	898,703,830


	(†)	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 December 31, 2018


Interactive Media & Services	7.9	%
Internet & Direct Marketing Retail	7.4
Capital Markets	6.7
Software	6.4
IT Services	5.8
Biotechnology	5.7
Banks	5.6
Hotels, Restaurants & Leisure	5.0
Beverages	4.0
Semiconductors & Semiconductor Equipment	3.9
Media	3.2
Automobiles	3.1
Pharmaceuticals	2.7
Air Freight & Logistics	2.6
Health Care Providers & Services	2.5
Consumer Finance	2.4
Machinery	2.3
Oil, Gas & Consumable Fuels	2.3
Health Care Equipment & Supplies	2.2
Other Investments, less than 2% each	17.1
Short-Term Investments	1.9

Total Investments	100.7
Other assets less liabilities	(0.7	)

Net Assets	100.0	%

See accompanying notes to financial statements.

73 |

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| 74

Statements of Assets and Liabilities

December 31, 2018


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	129,940,286		$	1,546,429,203		$	794,893,754
Net unrealized appreciation (depreciation)		(9,256,794	)		(72,226,022	)		110,535,684

Investments at value		120,683,492			1,474,203,181			905,429,438
Cash		130,530			3,615,526			117
Due from brokers (Note 2)		—			26,977,500			—
Foreign currency at value (identified cost $6,023, $11,013,130 and $0, respectively)		6,063			10,887,659			—
Receivable for Fund shares sold		3,200,634			8,706,605			3,259,643
Receivable for securities sold		—			1,252,447			6,586,262
Collateral received for open forward foreign currency contracts, options or swap agreements (Notes 2 and 4)		—			982,132			—
Dividends and interest receivable		1,074,067			6,665,032			586,325
Unrealized appreciation on bilateral swap agreements (Note 2)		—			102,091			—
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			246,239			—
Tax reclaims receivable		26,197			18,759			272,239
Receivable for variation margin on futures contracts (Note 2)		—			179,948			—
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			40,349			—
Prepaid expenses (Note 8)		82			670			547

TOTAL ASSETS		125,121,065			1,533,878,138			916,134,571

LIABILITIES
Options written, at value (premiums received $0, $325,168 and $0, respectively) (Note 2)		—			223,313			—
Payable for securities purchased		4,377,597			18,304,087			9,101,021
Payable for Fund shares redeemed		1,083,493			6,858,118			7,060,998
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			371,974			—
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		—			3,117			—
Payable for variation margin on centrally cleared swap agreements (Note 2)		—			913,447			—
Due to brokers (Note 2)		—			982,132			—
Fees payable on swap agreements (Note 2)		—			4,646			—
Management fees payable (Note 6)		42,646			838,762			607,233
Deferred Trustees’ fees (Note 6)		100,467			131,717			443,093
Administrative fees payable (Note 6)		4,097			51,474			33,425
Payable to distributor (Note 6d)		920			8,129			4,641
Other accounts payable and accrued expenses		91,403			228,005			180,330

TOTAL LIABILITIES		5,700,623			28,918,921			17,430,741
						��
NET ASSETS	$	119,420,442		$	1,504,959,217		$	898,703,830

NET ASSETS CONSIST OF:
Paid-in capital	$	132,204,302		$	1,621,234,581		$	760,939,588
Accumulated earnings (loss)		(12,783,860	)		(116,275,364	)		137,764,242

NET ASSETS	$	119,420,442		$	1,504,959,217		$	898,703,830

See accompanying notes to financial statements.

75 |

Statements of Assets and Liabilities (continued)

December 31, 2018


	Loomis Sayles Multi-Asset Income Fund		Loomis Sayles Strategic Alpha Fund		Natixis U.S. Equity Opportunities Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	51,027,657	$	36,527,534	$	523,664,975

Shares of beneficial interest		4,333,202		3,797,616		16,895,091

Net asset value and redemption price per share	$	11.78	$	9.62	$	31.00

Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1)	$	12.30	$	10.05	$	32.89

Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	24,057,621	$	26,882,936	$	78,783,155

Shares of beneficial interest		2,051,799		2,806,326		3,857,703

Net asset value and offering price per share	$	11.73	$	9.58	$	20.42

Class N shares:
Net assets	$	31,874	$	255,226,253	$	1,098

Shares of beneficial interest		2,724		26,588,594		30

Net asset value, offering and redemption price per share	$	11.70	$	9.60	$	36.37	*

Class Y shares:
Net assets	$	44,303,290	$	1,186,322,494	$	296,254,602

Shares of beneficial interest		3,785,473		123,644,089		8,153,431

Net asset value, offering and redemption price per share	$	11.70	$	9.59	$	36.33

* Net

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

See accompanying notes to financial statements.

| 76

Statements of Operations

For the Year Ended December 31, 2018


	Loomis Sayles Multi-Asset Income Fund			Loomis Sayles Strategic Alpha Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	2,661,543		$	2,114,662		$	14,281,245
Interest		4,098,749			54,011,380			278,064
Less net foreign taxes withheld		(64,568	)		(23,730	)		(206,115	)

		6,695,724			56,102,312			14,353,194

Expenses
Management fees (Note 6)		805,940			7,895,864			7,916,621
Service and distribution fees (Note 6)		462,607			361,254			2,585,690
Administrative fees (Note 6)		64,293			578,591			463,021
Trustees’ fees and expenses (Note 6)		19,046			48,899			43,527
Transfer agent fees and expenses (Notes 6 and 7)		102,869			641,346			792,040
Audit and tax services fees		49,016			84,675			42,461
Custodian fees and expenses		104,286			249,347			42,907
Legal fees		3,240			26,467			22,995
Registration fees		72,017			107,441			90,381
Shareholder reporting expenses		15,168			41,070			115,764
Miscellaneous expenses (Note 8)		28,786			68,139			44,487

Total expenses		1,727,268			10,103,093			12,159,894
Fee/expense recovery (Note 6)		—			84,330			—
Less waiver and/or expense reimbursement (Note 6)		(238,691	)		(4,216	)		(2,663	)

Net expenses		1,488,577			10,183,207			12,157,231

Net investment income		5,207,147			45,919,105			2,195,963

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		(1,711,849	)		10,120,328			99,574,323
Futures contracts		—			1,414,612			—
Options/swaptions written		26,824			(1,367,676	)		—
Swap agreements		—			(5,082,692	)		—
Forward foreign currency contracts (Note 2d)		145,895			6,766,605			—
Foreign currency transactions (Note 2c)		(2,007	)		(1,089,649	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(16,769,391	)		(61,727,950	)		(167,182,286	)
Futures contracts		—			758,489			—
Options written		—			(37,560	)		—
Swap agreements		—			5,790,997			—
Forward foreign currency contracts (Note 2d)		—			2,221,098			—
Foreign currency translations (Note 2c)		(1,538	)		(352,410	)		—

Net realized and unrealized loss on investments, futures contracts, options/swaptions written, swap agreements, forward foreign currency contracts and foreign currency transactions		(18,312,066	)		(42,585,808	)		(67,607,963	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(13,104,919	)	$	3,333,297		$	(65,412,000	)

See accompanying notes to financial statements.

77 |

Statements of Changes in Net Assets


	Loomis Sayles Multi-Asset Income Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017
FROM OPERATIONS:
Net investment income	$	5,207,147		$	4,243,430
Net realized gain (loss) on investments, options written, forward foreign currency contracts and foreign currency transactions		(1,541,137	)		8,625,586
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(16,770,929	)		2,552,012

Net increase (decrease) in net assets resulting from operations		(13,104,919	)		15,421,028

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(3,689,139	)		(4,059,923	)(a)
Class C		(1,796,319	)		(2,402,024	)(a)
Class N		(2,353	)		(2,422	)(a)
Class Y		(3,691,567	)		(3,097,659	)(a)

Total distributions		(9,179,378	)		(9,562,028	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(2,836,090	)		14,908,519

Net increase (decrease) in net assets		(25,120,387	)		20,767,519
NET ASSETS
Beginning of the year		144,540,829			123,773,310

End of the year	$	119,420,442		$	144,540,829

(a)	See Note 2j of Notes to Financial Statements.

See accompanying notes to financial statements.

| 78

Statements of Changes in Net Assets (continued)


	Loomis Sayles Strategic Alpha Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	45,919,105		$	42,366,116
Net realized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements, forward foreign currency contracts and foreign currency transactions		10,761,528			(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		(53,347,336	)		6,481,112

Net increase in net assets resulting from operations		3,333,297			40,701,306

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(974,914	)		(1,506,001	)(b)
Class C		(700,709	)		(713,500	)(b)
Class N		(9,315,262	)		(744,780	)(b)
Class Y		(38,722,335	)		(31,576,383	)(b)

Total distributions		(49,713,220	)		(34,540,664	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		398,742,039			(50,510,564	)

Net increase (decrease) in net assets		352,362,116			(44,349,922	)
NET ASSETS
Beginning of the year		1,152,597,101			1,196,947,023

End of the year	$	1,504,959,217		$	1,152,597,101

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

(b)	See Note 2j of Notes to Financial Statements.

See accompanying notes to financial statements.

79 |

Statements of Changes in Net Assets (continued)


	Natixis U.S. Equity Opportunities Fund
	Year Ended December 31, 2018			Year Ended December 31, 2017(a)
FROM OPERATIONS:
Net investment income	$	2,195,963		$	1,259,611
Net realized gain on investments		99,574,323			52,738,987
Net change in unrealized appreciation (depreciation) on investments		(167,182,286	)		148,227,693

Net increase (decrease) in net assets resulting from operations		(65,412,000	)		202,226,291

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(55,296,627	)		(20,921,926	)(b)
Class C		(12,571,844	)		(5,206,138	)(b)
Class N		(100	)		(35	)(b)
Class Y		(27,216,994	)		(8,924,659	)(b)

Total distributions		(95,085,565	)		(35,052,758	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		57,246,243			146,345,807

Net increase (decrease) in net assets		(103,251,322	)		313,519,340
NET ASSETS
Beginning of the year		1,001,955,152			688,435,812

End of the year	$	898,703,830		$	1,001,955,152

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

(b)	See Note 2j of Notes to Financial Statements.

See accompanying notes to financial statements.

| 80

Financial Highlights

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	13.87		$	13.24		$	12.85		$	13.45		$	12.21

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.48			0.47			0.49			0.32			0.32
Net realized and unrealized gain (loss)		(1.71	)		1.15			0.80			(0.58	)		1.26

Total from Investment Operations		(1.23	)		1.62			1.29			(0.26	)		1.58

LESS DISTRIBUTIONS FROM:
Net investment income		(0.42	)		(0.45	)		(0.40	)		(0.34	)		(0.34	)
Net realized capital gains		(0.44	)		(0.54	)		(0.50	)		—			—

Total Distributions		(0.86	)		(0.99	)		(0.90	)		(0.34	)		(0.34	)

Net asset value, end of the period	$	11.78		$	13.87		$	13.24		$	12.85		$	13.45

Total return(b)		(9.24	)%(c)		12.41	%(c)		10.14	%(c)		(1.96	)%(c)		13.08	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	51,028		$	54,754		$	57,320		$	63,254		$	110,874
Net expenses		0.95	%(d)		0.95	%(d)		0.95	%(d)		1.04	%(d)(e)		1.06	%
Gross expenses		1.11	%		1.13	%		1.09	%		1.11	%		1.06	%
Net investment income		3.63	%		3.37	%		3.70	%		2.40	%		2.46	%
Portfolio turnover rate		282	%		221	%		341	%(f)		93	%(g)		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)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)	Effective September 1, 2015, the expense limit decreased from 1.25% to 0.95%.

(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.

(g)	The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	13.82		$	13.18		$	12.80		$	13.41		$	12.17

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.38			0.36			0.39			0.24			0.22
Net realized and unrealized gain (loss)		(1.71	)		1.16			0.79			(0.60	)		1.27

Total from Investment Operations		(1.33	)		1.52			1.18			(0.36	)		1.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.32	)		(0.34	)		(0.30	)		(0.25	)		(0.25	)
Net realized capital gains		(0.44	)		(0.54	)		(0.50	)		—			—

Total Distributions		(0.76	)		(0.88	)		(0.80	)		(0.25	)		(0.25	)

Net asset value, end of the period	$	11.73		$	13.82		$	13.18		$	12.80		$	13.41

Total return(b)		(9.96	)%(c)		11.70	%(c)		9.27	%(c)		(2.73	)%(c)		12.28	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	24,058		$	36,814		$	46,351		$	47,791		$	53,074
Net expenses		1.70	%(d)		1.70	%(d)		1.70	%(d)		1.80	%(d)(e)		1.81	%
Gross expenses		1.86	%		1.88	%		1.84	%		1.87	%		1.81	%
Net investment income		2.83	%		2.65	%		2.96	%		1.78	%		1.70	%
Portfolio turnover rate		282	%		221	%		341	%(f)		93	%(g)		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)	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)	Effective September 1, 2015, the expense limit decreased from 2.00% to 1.70%.

(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.

(g)	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.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class N
	Year Ended December 31, 2018			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)		0.52			0.51			0.53			0.14
Net realized and unrealized gain (loss)		(1.71	)		1.15			0.80			0.10

Total from Investment Operations		(1.19	)		1.66			1.33			0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.46	)		(0.49	)		(0.44	)		(0.17	)
Net realized capital gains		(0.44	)		(0.54	)		(0.50	)		—

Total Distributions		(0.90	)		(1.03	)		(0.94	)		(0.17	)

Net asset value, end of the period	$	11.70		$	13.79		$	13.16		$	12.77

Total return(b)		(9.02	)%		12.83	%		10.53	%		1.91	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	32		$	35		$	1		$	1
Net expenses(d)		0.65	%		0.65	%		0.65	%		0.65	%(e)
Gross expenses		1.35	%		1.35	%		13.53	%		13.66	%(e)
Net investment income		3.93	%		3.71	%		4.02	%		3.22	%(e)
Portfolio turnover rate		282	%		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.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Multi-Asset Income Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	13.80		$	13.17		$	12.79		$	13.39		$	12.19

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.52			0.49			0.53			0.36			0.38
Net realized and unrealized gain (loss)		(1.73	)		1.16			0.78			(0.59	)		1.19

Total from Investment Operations		(1.21	)		1.65			1.31			(0.23	)		1.57

LESS DISTRIBUTIONS FROM:
Net investment income		(0.45	)		(0.48	)		(0.43	)		(0.37	)		(0.37	)
Net realized capital gains		(0.44	)		(0.54	)		(0.50	)		—			—

Total Distributions		(0.89	)		(1.02	)		(0.93	)		(0.37	)		(0.37	)

Net asset value, end of the period	$	11.70		$	13.80		$	13.17		$	12.79		$	13.39

Total return		(9.13	)%(b)		12.77	%(b)		10.38	%(b)		(1.72	)%(b)		13.05	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	44,303		$	52,938		$	20,101		$	11,272		$	14,428
Net expenses		0.70	%(c)		0.70	%(c)		0.70	%(c)		0.80	%(c)(d)		0.82	%
Gross expenses		0.86	%		0.88	%		0.84	%		0.86	%		0.82	%
Net investment income		3.88	%		3.53	%		4.00	%		2.73	%		2.92	%
Portfolio turnover rate		282	%		221	%		341	%(e)		93	%(f)		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)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(d)	Effective September 1, 2015, the expense limit decreased from 1.00% to 0.70%.

(e)	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.

(f)	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.

| 84

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	9.92		$	9.86		$	9.45		$	9.96		$	10.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.33			0.32			0.30			0.26			0.29	(b)
Net realized and unrealized gain (loss)		(0.30	)		(0.01	)		0.31			(0.42	)		(0.07	)

Total from Investment Operations		0.03			0.31			0.61			(0.16	)		0.22

LESS DISTRIBUTIONS FROM:
Net investment income		(0.33	)		(0.25	)		(0.20	)		(0.35	)		(0.32	)

Net asset value, end of the period	$	9.62		$	9.92		$	9.86		$	9.45		$	9.96

Total return(c)		0.39	%		3.22	%(d)		6.57	%		(1.68	)%		2.24	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	36,528		$	28,020		$	67,746		$	116,055		$	104,056
Net expenses		1.00	%(e)		1.05	%(f)(g)		1.10	%		1.10	%		1.10	%
Gross expenses		1.00	%(e)		1.06	%		1.10	%		1.10	%		1.10	%
Net investment income		3.29	%		3.26	%		3.14	%		2.66	%		2.90	%(b)
Portfolio turnover rate		379	%(h)		178	%(i)		72	%		72	%		87	%

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

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

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

(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 1.30% to 1.00%.

(h)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio.

(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.

85 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	9.88		$	9.82		$	9.42		$	9.93		$	10.03

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.25			0.23			0.19			0.21	(b)
Net realized and unrealized gain (loss)		(0.31	)		0.00	(c)(d)		0.30			(0.43	)		(0.06	)

Total from Investment Operations		(0.05	)		0.25			0.53			(0.24	)		0.15

LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.19	)		(0.13	)		(0.27	)		(0.25	)

Net asset value, end of the period	$	9.58		$	9.88		$	9.82		$	9.42		$	9.93

Total return(e)		(0.42	)%		2.53	%		5.70	%		(2.44	)%		1.47	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	26,883		$	33,759		$	45,674		$	62,453		$	71,215
Net expenses		1.75	%(f)		1.81	%(g)		1.85	%		1.85	%		1.85	%
Gross expenses		1.75	%(f)		1.81	%		1.85	%		1.85	%		1.85	%
Net investment income		2.61	%		2.52	%		2.40	%		1.91	%		2.13	%(b)
Portfolio turnover rate		379	%(h)		178	%(i)		72	%		72	%		87	%

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

(b)	Includes anon-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)	Includes fee/expense recovery of less than 0.01%.

(g)	Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(h)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio.

(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.

| 86

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class N
	Year Ended December 31, 2018			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)		0.34			0.25
Net realized and unrealized gain (loss)		(0.28	)		(0.04	)

Total from Investment Operations		0.06			0.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.36	)		(0.21	)

Net asset value, end of the period	$	9.60		$	9.90

Total return		0.68	%		2.11	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	255,226		$	59,282
Net expenses		0.70	%(d)		0.70	%(e)(f)(g)
Gross expenses		0.70	%(d)		0.72	%(f)
Net investment income		3.44	%		3.83	%(f)
Portfolio turnover rate		379	%(h)		178	%(i)

*	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)	Includes fee/expense recovery of 0.01%.

(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, 2017, the expense limit decreased from 1.00% to 0.70%.

(h)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio.

(i)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

87 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Loomis Sayles Strategic Alpha Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	9.90		$	9.85		$	9.44		$	9.95		$	10.05

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.35			0.35			0.32			0.29			0.31	(b)
Net realized and unrealized gain (loss)		(0.31	)		(0.01	)		0.32			(0.43	)		(0.06	)

Total from Investment Operations		0.04			0.34			0.64			(0.14	)		0.25

LESS DISTRIBUTIONS FROM:
Net investment income		(0.35	)		(0.29	)		(0.23	)		(0.37	)		(0.35	)

Net asset value, end of the period	$	9.59		$	9.90		$	9.85		$	9.44		$	9.95

Total return		0.53	%		3.48	%(c)		6.86	%		(1.43	)%		2.52	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,186,322		$	1,031,537		$	1,083,527		$	1,183,723		$	1,188,605
Net expenses		0.75	%(d)		0.80	%(e)(f)		0.85	%		0.85	%		0.85	%
Gross expenses		0.75	%(d)		0.81	%		0.85	%		0.85	%		0.85	%
Net investment income		3.51	%		3.53	%		3.39	%		2.91	%		3.10	%(b)
Portfolio turnover rate		379	%(g)		178	%(h)		72	%		72	%		87	%

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

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

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

(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 1.05% to 0.75%.

(g)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio.

(h)	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.

| 88

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	36.90		$	30.27		$	27.60		$	27.40		$	33.07

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.06			0.12			0.06			0.02
Net realized and unrealized gain (loss)		(2.51	)		7.88			3.12			1.55			4.31

Total from Investment Operations		(2.43	)		7.94			3.24			1.61			4.33

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.06	)		(0.12	)		—			—
Net realized capital gains		(3.42	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)

Total Distributions		(3.47	)		(1.31	)		(0.57	)		(1.41	)		(10.00	)

Net asset value, end of the period	$	31.00		$	36.90		$	30.27		$	27.60		$	27.40

Total return(b)		(6.48	)%		26.28	%		11.86	%		5.86	%		12.94	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	523,665		$	604,330		$	472,436		$	422,069		$	400,678
Net expenses		1.16	%		1.21	%(c)		1.23	%(d)		1.25	%(e)		1.29	%(f)
Gross expenses		1.16	%		1.21	%		1.23	%(d)		1.25	%		1.29	%(f)
Net investment income		0.20	%		0.16	%		0.42	%		0.21	%		0.07	%
Portfolio turnover rate		23	%		17	%		17	%		20	%		93	%(g)

(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)	Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

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

(e)	Effective July 1, 2015, the expense limit decreased from 1.30% to 1.25%.

(f)	Includes fee/expense recovery of 0.02%.

(g)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

89 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	25.73		$	21.54		$	19.86		$	20.24		$	26.92

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.14	)		(0.14	)		(0.07	)		(0.11	)		(0.19	)
Net realized and unrealized gain (loss)		(1.75	)		5.58			2.22			1.14			3.51

Total from Investment Operations		(1.89	)		5.44			2.15			1.03			3.32

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.02	)		—			—
Net realized capital gains		(3.42	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)

Total Distributions		(3.42	)		(1.25	)		(0.47	)		(1.41	)		(10.00	)

Net asset value, end of the period	$	20.42		$	25.73		$	21.54		$	19.86		$	20.24

Total return(c)		(7.18	)%		25.35	%		11.02	%		5.06	%		12.12	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	78,783		$	112,615		$	72,768		$	61,864		$	53,925
Net expenses		1.91	%		1.96	%(d)		1.98	%(e)		2.00	%(f)		2.04	%(g)
Gross expenses		1.91	%		1.96	%		1.98	%(e)		2.00	%		2.04	%(g)
Net investment loss		(0.54	)%		(0.59	)%		(0.33	)%		(0.54	)%		(0.68	)%
Portfolio turnover rate		23	%		17	%		17	%		20	%		93	%(h)

(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)	Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

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

(f)	Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%.

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

(h)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

| 90

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Year Ended December 31, 2018			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)		0.25			0.12
Net realized and unrealized gain (loss)		(2.91	)		6.20

Total from Investment Operations		(2.66	)		6.32

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.16	)
Net realized capital gains		(3.42	)		(1.15	)

Total Distributions		(3.60	)		(1.31	)

Net asset value, end of the period	$	36.37		$	42.63

Total return(b)		(6.11	)%		16.78	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses(d)		0.76	%		0.78	%(e)(f)
Gross expenses		13.35	%		13.41	%(f)
Net investment income		0.56	%		0.44	%(f)
Portfolio turnover rate		23	%		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)	Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%.

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

(g)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

91 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014
Net asset value, beginning of the period	$	42.61		$	34.77		$	31.61		$	31.18		$	36.32

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.16			0.21			0.15			0.12
Net realized and unrealized gain (loss)		(2.92	)		9.07			3.59			1.76			4.74

Total from Investment Operations		(2.72	)		9.23			3.80			1.91			4.86

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.14	)		(0.19	)		(0.07	)		—
Net realized capital gains		(3.42	)		(1.25	)		(0.45	)		(1.41	)		(10.00	)

Total Distributions		(3.56	)		(1.39	)		(0.64	)		(1.48	)		(10.00	)

Net asset value, end of the period	$	36.33		$	42.61		$	34.77		$	31.61		$	31.18

Total return		(6.24	)%		26.60	%		12.13	%		6.11	%		13.25	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	296,255		$	285,008		$	143,231		$	70,643		$	37,636
Net expenses		0.91	%		0.95	%(b)		0.98	%(c)		1.00	%(d)		1.05	%(e)
Gross expenses		0.91	%		0.95	%		0.98	%(c)		1.00	%		1.05	%(e)
Net investment income		0.45	%		0.40	%		0.63	%		0.46	%		0.32	%
Portfolio turnover rate		23	%		17	%		17	%		20	%		93	%(f)

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

(b)	Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

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

(d)	Effective July 1, 2015, the expense limit decreased from 1.05% to 1.00%.

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

(f)	The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

| 92

Notes to Financial Statements

December 31, 2018

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 anopen-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 anon-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximumfront-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 afront-end sales charge, pay higher Rule12b-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 afront-end sales charge, a CDSC or Rule12b-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 bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro 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.

93 |

Notes to Financial Statements (continued)

December 31, 2018

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 ofclosed-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. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts

| 94

Notes to Financial Statements (continued)

December 31, 2018

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 clearing house 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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

95 |

Notes to Financial Statements (continued)

December 31, 2018

As of December 31, 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	$	3,045,831		2.6	%	$	—		—	%	$	—		—	%
Strategic Alpha Fund		—		—	%		2,544,652		0.2	%		9,893,316		0.7	%

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

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 (including income reinvested) and foreign withholding tax, if applicable, is recorded onex-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 calendaryear-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 apro 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

| 96

Notes to Financial Statements (continued)

December 31, 2018

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.

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 year ended December 31, 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		$	429,926

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

97 |

Notes to Financial Statements (continued)

December 31, 2018

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 tradedover-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 subsequentlymarked-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

| 98

Notes to Financial Statements (continued)

December 31, 2018

sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

g. Swaptions. The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequentlymarked-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

99 |

Notes to Financial Statements (continued)

December 31, 2018

to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

There were no swaptions held by the Funds as of December 31, 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.

| 100

Notes to Financial Statements (continued)

December 31, 2018

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

i. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds 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 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

101 |

Notes to Financial Statements (continued)

December 31, 2018

bilateral swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j. New Disclosure Requirements. In accordance with new reporting requirements pursuant to RegulationS-X of the Securities and Exchange Commission, presentation of certain amounts on the Statements of Changes in Net Assets for the year ended December 31, 2017 have been conformed to the new disclosure requirements. Where the prior disclosure of Distributions to Shareholders separately stated distributions from net investment income and from net realized capital gains for each share class of the Fund, they are now combined into a single line item for each respective share class. In addition, disclosure of Distributions in Excess of Net Investment Income has been removed from the Statements of Changes in Net Assets.

The following is a summary of the previously disclosed amounts, as reported at December 31, 2017:


Multi-Asset Income Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(2,006,749	)
Class C		(1,027,055	)
Class N		(1,118	)
Class Y		(1,113,225	)
Net realized capital gains
Class A		(2,053,174	)
Class C		(1,374,969	)
Class N		(1,304	)
Class Y		(1,984,434	)

Total distributions	$	(9,562,028	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(179,118	)


Strategic Alpha Fund
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A	$	(1,506,001	)
Class C		(713,500	)
Class N		(744,780	)
Class Y		(31,576,383	)

Total distributions	$	(34,540,664	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(4,984,069	)

| 102

Notes to Financial Statements (continued)

December 31, 2018


U.S. Equity Opportunities Fund
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		(20,020,012	)
Class C		(5,199,648	)
Class N		(31	)
Class Y		(8,004,252	)

Total distributions	$	(35,052,758	)

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(534,108	)

k. 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 December 31, 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 twelve 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.

103 |

Notes to Financial Statements (continued)

December 31, 2018

are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

l. Dividends and Distributions to Shareholders. Dividends and distributions are recorded onex-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, controlled foreign corporations, defaulted and/ornon-income producing securities, deferred Trustees’ fees, partnership basis adjustments, return of capital distributions received, swap adjustments, passive foreign investment company adjustments, foreign currency gains and losses, convertible bond adjustments, distribution redesignations and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, partnership basis adjustments, defaulted and/ornon-income producing securities, swap adjustments, wash sales, convertible bond adjustments, perpetual bond adjustments, forward foreign currency contractmark-to-market, straddle loss deferrals and futures contractsmark-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 net realized short-term capital gains are reported as 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 years ended December 31, 2018 and 2017 were as follows:


	2018 Distributions Paid From:						2017 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Multi-Asset Income Fund	$	6,314,655	$	2,864,723	$	9,179,378	$	6,743,242	$	2,818,786	$	9,562,028
Strategic Alpha Fund		49,713,220		—		49,713,220		34,540,664		—		34,540,664
U.S. Equity Opportunities Fund		7,917,360		87,168,205		95,085,565		5,656,689		29,396,069		35,052,758

| 104

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2017, differences between these amounts and amounts disclosed in Note 2j of the Notes to Financial Statements are primarily attributable to different book and tax treatment for short-term capital gains.

As of December 31, 2018, the components of distributable earnings on a tax basis were as follows:


	Multi-Asset Income Fund			Strategic Alpha Fund			U.S. Equity Opportunities Fund
Undistributed ordinary income	$	269,103		$	—		$	970,392
Undistributed long-term capital gains		—			—			27,476,039

Total undistributed earnings		269,103			—			28,446,431

Capital loss carryforward:
Short-term:
No expiration date		—			(36,014,163	)		—
Long-term:
No expiration date		—			(4,070,186	)		—

Total capital loss carryforward		—			(40,084,349	)		—

Late-year ordinary and post-October capital loss deferrals*		(3,172,650	)		(578,810	)		—

Unrealized appreciation (depreciation)		(9,790,564	)		(74,955,715	)		109,760,904

Total accumulated earnings (losses)	$	(12,694,111	)	$	(115,618,874	)	$	138,207,335

Capital loss carryforward utilized in the current year	$	—		$	12,234,528		$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Multi-Asset Income Fund is deferring capital losses. Strategic Alpha Fund is deferring foreign currency losses.

105 |

Notes to Financial Statements (continued)

December 31, 2018

As of December 31, 2018, unrealized appreciation (depreciation) as a component of distributable earnings was as follows:


	Multi-Asset Income Fund			Strategic Alpha Fund			U.S. Equity Opportunities Fund
Unrealized appreciation (depreciation)
Investments	$	(9,675,925	)	$	(48,858,451	)	$	109,760,904
Foreign currency translations		(114,639	)		(26,097,264	)		—

Total unrealized appreciation (depreciation)	$	(9,790,564	)	$	(74,955,715	)	$	109,760,904

As of December 31, 2018, the 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	$	130,472,748		$	1,547,554,093		$	795,668,534

Gross tax appreciation	$	714,774		$	22,865,149		$	185,686,598
Gross tax depreciation		(10,504,035	)		(97,668,110	)		(75,925,694	)

Net tax appreciation (depreciation)	$	(9,789,261	)	$	(74,802,961	)	$	109,760,904

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currencymark-to-market.

m. 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 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.

| 106

Notes to Financial Statements (continued)

December 31, 2018

n. 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 aretri-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 December 31, 2018, each Fund 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.

o. 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 netmark-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 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 December 31, 2018.

107 |

Notes to Financial Statements (continued)

December 31, 2018

p. 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.

q. 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 fornon-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 bynon-U.S. Governments andnon-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 year ended December 31, 2018, the Funds did not loan securities under this agreement.

r. 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, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists on purchases of these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.

As of December 31, 2018, the Funds did not have any unfunded loan commitments.

| 108

Notes to Financial Statements (continued)

December 31, 2018

s. 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.

t. New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU)No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

•

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 Funds’ 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 Funds 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 Funds do not have knowledge of the inputs used by the broker-dealer are categorized in

109 |

Notes to Financial Statements (continued)

December 31, 2018

Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. 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 Funds’ 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 December 31, 2018, at value:

Multi-Asset Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	53,644,959	$	—	$	53,644,959
Common Stocks
Air Freight & Logistics		—		112,024		—		112,024
Airlines		160,628		120,500		—		281,128
Banks		3,151,132		172,578		—		3,323,710
Beverages		139,726		178,278		—		318,004
Construction & Engineering		—		243,855		—		243,855
Electric Utilities		1,250,611		381,007		—		1,631,618
Household Durables		—		129,958		—		129,958
Industrial Conglomerates		—		121,149		—		121,149
Leisure Products		—		114,091		—		114,091
Multi-Utilities		598,920		122,930		—		721,850
Oil, Gas & Consumable Fuels		1,164,473		72,797		—		1,237,270
Pharmaceuticals		2,291,831		103,491		—		2,395,322
Real Estate Management & Development		—		218,035		—		218,035
REITs - Apartments		—		32,170		—		32,170
REITs - Diversified		118,403		2,128		—		120,531
REITs - Hotels		84,640		31,406		—		116,046
REITs - Office Property		16,309		79,290		—		95,599
REITs - Shopping Centers		15,439		84,677		—		100,116
Tobacco		520,897		213,936		—		734,833
Trading Companies & Distributors		—		410,420		—		410,420

| 110

Notes to Financial Statements (continued)

December 31, 2018

Multi-Asset Income Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Wireless Telecommunication Services	$	—	$	101,111	$	—	$	101,111
All Other Common Stocks(a)		26,883,184		—		—		26,883,184

Total Common Stocks		36,396,193		3,045,831		—		39,442,024

Senior Loans(a)		—		9,791,573		—		9,791,573
Exchange-Traded Funds & Notes		8,196,066		—		—		8,196,066
Preferred Stocks
Non-Convertible Preferred Stocks(a)		1,031,372		—		—		1,031,372
Convertible Preferred Stocks(a)		—		480,774		—		480,774

Total Preferred Stocks		1,031,372		480,774		—		1,512,146

Short-Term Investments		—		8,096,724		—		8,096,724

Total	$	45,623,631	$	75,059,861	$	—	$	120,683,492

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

A common stock valued at $175,936 was transferred from Level 1 to Level 2 during the period ended December 31, 2018. At December 31, 2017, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At December 31, 2018 this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.

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 Home Equity	$	—	$	132,368,429	$	1	(b)	$	132,368,430
ABS Other		—		71,232,031		4,468,825	(c)(d)		75,700,856
ABS Student Loan		—		10,234,744		4,307,138	(e)		14,541,882
Independent Energy		—		21,795,325		—	(d)		21,795,325
All OtherNon-Convertible Bonds(a)		—		704,838,561		—			704,838,561

TotalNon-Convertible Bonds		—		940,469,090		8,775,964			949,245,054

111 |

Notes to Financial Statements (continued)

December 31, 2018

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3			Total
Convertible Bonds(a)	$	—	$	24,880,398	$	—		$	24,880,398

Total Bonds and Notes		—		965,349,488		8,775,964			974,125,452

Senior Loans(a)		—		194,321,844		—			194,321,844
Loan Participations(a)		—		—		6,733,310	(e)		6,733,310
Preferred Stocks(a)		—		8,108,655		—			8,108,655
Common Stocks(a)		44,912,143		—		—			44,912,143
Exchange-Traded Funds		10,991,933		—		—			10,991,933
Other Investments(a)		—		—		7,790,625	(f)		7,790,625
Short-Term Investments		—		227,149,786		—			227,149,786
Purchased Options(a)		—		69,433		—			69,433

Total Investments	$	55,904,076	$	1,394,999,206	$	23,299,899		$	1,474,203,181

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		102,091		—			102,091
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—		10,162,023		—			10,162,023
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		—		54,478		—			54,478
Forward Foreign Currency Contracts (unrealized appreciation)		—		246,239		—			246,239
Futures Contracts (unrealized appreciation)		356,946		—		—			356,946

Total	$	56,261,022	$	1,405,564,037	$	23,299,899		$	1,485,124,958

| 112

Notes to Financial Statements (continued)

December 31, 2018

Strategic Alpha Fund (continued)


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(223,313	)	$	—		$	—	$	(223,313	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(12,445,539	)		—		(12,445,539	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(210,422	)		—		(210,422	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(371,974	)		—		(371,974	)

Total	$	(223,313	)	$	(13,027,935	)	$	—	$	(13,251,248	)

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

(b)	Fair valued by the Fund’s adviser.

(c)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($1,673,859) or fair valued by the Fund’s adviser ($428,831) or valued using broker-dealer bid prices ($2,366,135).

(d)	Includes securities fair valued at zero using level 3 inputs.

(e)	Valued using broker-dealer bid prices.

(f)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	887,847,140	$	—	$	—	$	887,847,140
Short-Term Investments		—		17,582,298		—		17,582,298

Total	$	887,847,140	$	17,582,298	$	—	$	905,429,438

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

For the year ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

113 |

Notes to Financial Statements (continued)

December 31, 2018

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 December 31, 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 Home Equity	$	1,615,466		$	—	$	5,434	$	12		$	11,246
ABS Other		2,992,445			—		—		223,278			2,549,735
ABS Student Loan		4,900,039			—		1,136		(37	)		350,000
Independent Energy		—	(a)		272,128		—		(272,128	)		—
Non-Agency Commercial Mortgage-Backed Securities		542,412			—		—		—			—
Loan Participations		13,637,785			434		192		(22,126	)		—
Other Investments
Aircraft ABS		14,411,624			—		—		(6,620,999	)		—

Total	$	38,099,771		$	272,562	$	6,762	$	(6,692,000	)	$	2,910,981

| 114

Notes to Financial Statements (continued)

December 31, 2018

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2018			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2018
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(17,162	)	$	—	$	(1,614,995	)	$	1		$	—
ABS Other		—			—		(1,296,633	)		4,468,825			223,278
ABS Student Loan		(944,000	)		—		—			4,307,138			735
Independent Energy		—			—		—			—	(a)		(272,128	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		(542,412	)		—			—
Loan Participations		(6,882,975	)		—		—			6,733,310			(24,809	)
Other Investments
Aircraft ABS		—			—		—			7,790,625			(1,122,084	)

Total	$	(7,844,137	)	$	—	$	(3,454,040	)	$	23,299,899		$	(1,195,008	)

(a)	Includes securities fair valued at zero using level 3 inputs.

Debt securities valued at $3,454,040 were transferred from Level 3 to Level 2 during the period ended December 31, 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 December 31, 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.

115 |

Notes to Financial Statements (continued)

December 31, 2018

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 year ended December 31, 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 year ended December 31, 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 year ended December 31, 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 year ended December 31, 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 contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2018, the Fund engaged in forward foreign currency and option contracts for hedging purposes.

| 116

Notes to Financial Statements (continued)

December 31, 2018

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 year ended December 31, 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 year ended December 31, 2018, the Fund engaged in futures and option contracts for hedging purposes.

Transactions in derivative instruments for Multi-Asset Income Fund during the year ended December 31, 2018, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Options written		Forward foreign currency transactions
Foreign exchange contracts	$	—	$	145,895
Equity contracts		26,824		—

Total	$	26,824	$	145,895

117 |

Notes to Financial Statements (continued)

December 31, 2018

The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 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
Foreign exchange contracts	$	69,433		$	246,239		$	—	$	—		$	315,672
Credit contracts		—			—			—		139,323			139,323

Totalover-the counter asset derivatives	$	69,433		$	246,239		$	—	$	139,323		$	454,995

Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—		$	—		$	29,244	$	10,163,754		$	10,192,998
Credit contracts		—			—			—		584,037			584,037
Equity contracts		—			—			327,702		—			327,702

Total exchange-traded/cleared asset derivatives	$	—		$	—		$	356,946	$	10,747,791		$	11,104,737

Total asset derivatives	$	69,433		$	246,239		$	356,946	$	10,887,114		$	11,559,732


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
Foreign exchange contracts	$	—		$	(371,974	)	$	—	$	—		$	(371,974	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	—	$	(12,449,031	)	$	(12,449,031	)
Equity contracts		(223,313	)		—			—		—			(223,313	)

Total exchange-traded/cleared liability derivatives	$	(223,313	)	$	—		$	—	$	(12,449,031	)	$	(12,672,344	)

Total liability derivatives	$	(223,313	)	$	(371,974	)	$	—	$	(12,449,031	)	$	(13,044,318	)

| 118

Notes to Financial Statements (continued)

December 31, 2018

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) for bilateral swap agreements are reported within the Statements of Assets and Liabilities.

Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2018, as reflected within 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	)	$	1,306,750	$	241,454		$	(5,614,267	)	$	—
Foreign exchange contracts		35,215			—		—			—			6,766,605
Credit contracts		—			—		—			531,575			—
Equity contracts		748,930			107,862		(1,609,130	)		—			—

Total	$	(126,556	)	$	1,414,612	$	(1,367,676	)	$	(5,082,692	)	$	6,766,605


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts		Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	—		$	287,940	$	—		$	4,939,850		$	—
Foreign exchange contracts		364,626			—		—			—			2,221,098
Credit contracts		—			—		—			851,147			—
Equity contracts		47,985			470,549		(37,560	)		—			—

Total	$	412,611		$	758,489	$	(37,560	)	$	5,790,997		$	2,221,098

⁴	Represents realized gain/loss and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to benon-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 grossmonth-end or daily (as applicable)

119 |

Notes to Financial Statements (continued)

December 31, 2018

notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2018:


Multi-Asset Income Fund	Forwards
Average Notional Amount Outstanding		1.01	%
Highest Notional Amount Outstanding		9.49	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of December 31, 2018		0.00	%

The volume of option contract activity, as a percentage of net assets, for Multi-Asset Income Fund, based onmonth-end or daily (as applicable) market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2018:


Multi-Asset Income Fund	Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		0.36	%		0.05	%
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 December 31, 2018		0.00	%		0.00	%

*	Market value of underlying instruments is determined 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 grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2018:


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		17.86	%		9.25	%		3.71	%		150.33	%
Highest Notional Amount Outstanding		36.66	%		16.23	%		5.10	%		220.75	%
Lowest Notional Amount Outstanding		5.32	%		5.51	%		2.88	%		101.53	%
Notional Amount Outstanding as of December 31, 2018		5.99	%		5.51	%		2.88	%		206.99	%

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.

| 120

Notes to Financial Statements (continued)

December 31, 2018

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on themonth-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2018:


Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		1.46	%		2.11	%		0.92	%		0.62	%
Highest Market Value of Underlying Instruments		2.28	%		6.09	%		1.66	%		3.48	%
Lowest Market Value of Underlying Instruments		0.76	%		0.00	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2018		0.76	%		0.00	%		1.66	%		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 year ended December 31, 2018:


Strategic Alpha Fund	Interest Rate Call Swaptions Purchased			Interest Rate Call Swaptions Written
Average Premium Paid/Received		0.02	%		0.01	%
Highest Premium Paid/Received		0.07	%		0.02	%
Lowest Premium Paid/Received		0.00	%		0.00	%
Premium Paid/Received as of December 31, 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 netmark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow

121 |

Notes to Financial Statements (continued)

December 31, 2018

the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

Strategic Alpha Fund


Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	90,327		$	(35,484	)	$	54,843		$	—		$	54,843
Barclays Bank plc		10,916			(6,089	)		4,827			—			4,827
Credit Suisse International		9,803			—			9,803			—			9,803
Deutsche Bank AG		107,088			(93,875	)		13,213			(13,213	)		—
HSBC Bank USA		5,915			(5,915	)		—			—			—
Morgan Stanley Capital Services, Inc.		211,969			(72,176	)		139,793			(139,793	)		—
UBS AG		18,977			(18,977	)		—			—			—

	$	454,995		$	(232,516	)	$	222,479		$	(153,006	)	$	69,473


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	(35,484	)	$	35,484		$	—		$	—		$	—
Barclays Bank plc		(6,089	)		6,089			—			—			—
Deutsche Bank AG		(93,875	)		93,875			—			—			—
HSBC Bank USA		(6,777	)		5,915			(862	)		—			(862	)
Morgan Stanley Capital Services, Inc.		(72,176	)		72,176			—			—			—
UBS AG		(157,573	)		18,977			(138,596	)		138,596			—

	$	(371,974	)	$	232,516		$	(139,458	)	$	138,596		$	(862	)

| 122

Notes to Financial Statements (continued)

December 31, 2018

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 aremarked-to-market and when collateral moves. The ISDA agreements includetri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk onover-the-counter 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 atpre-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 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 December 31, 2018:

Fund

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

Strategic Alpha Fund

32,927,520

32,403,402

Net loss amount reflects cash and securities received as collateral of $982,132, which is recorded on the Statements of Assets and Liabilities. Securities received as collateral are valued in accordance with the Fund’s valuation policies.

123 |

Notes to Financial Statements (continued)

December 31, 2018

5. Purchases and Sales of Securities. For the year ended December 31, 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	$	13,459,501	$	12,543,939	$	383,778,230	$	394,140,720
Strategic Alpha Fund		3,511,220,061		3,512,151,393		1,041,097,786		813,669,804
U.S. Equity Opportunities Fund		—		—		230,117,939		250,303,656

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to Multi-Asset Income Fund and U.S. Equity Opportunities Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	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	%

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

Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis. Harris is a wholly-owned subsidiary of Natixis.

| 124

Notes to Financial Statements (continued)

December 31, 2018

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.

Loomis Sayles is the investment adviser to Strategic Alpha Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60% 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.

For the year ended December 31, 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	%

125 |

Notes to Financial Statements (continued)

December 31, 2018

Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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 year ended December 31, 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	$	805,940	$	238,172	$	567,768		0.55	%		0.39	%
Strategic Alpha Fund		7,895,864		—		7,895,864		0.60	%		0.60	%
U.S. Equity Opportunities Fund		7,916,621		—		7,916,621		0.75	%		0.75	%

¹	Management fee waivers are subject to possible recovery until December 31, 2019.

For the year ended December 31, 2018, expense reimbursements related to the prior fiscal year were recovered as follows:


Fund	Recovered Expenses
Strategic Alpha Fund	$	84,330

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.

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 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.

| 126

Notes to Financial Statements (continued)

December 31, 2018

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 year ended December 31, 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	$	144,708	$	79,475	$	238,424
Strategic Alpha Fund		69,714		72,885		218,655
U.S. Equity Opportunities Fund		1,540,530		261,290		783,870

Prior to July 1, 2018, each Fund paid Natixis Advisors monthly itspro 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 was reevaluated on an annual basis.

Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Fund. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Fund in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019, at which time it will be reevaluated as part of the annual review of the administrative fee contract, as noted above.

127 |

Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2018, the administrative fees for each Fund were as follows:


Fund	Gross Administrative Fees		Waiver of Administrative Fees		Net Administrative Fees
Multi-Asset Income Fund	$	64,293	$	326	$	63,967
Strategic Alpha Fund		578,591		3,603		574,988
U.S. Equity Opportunities Fund		463,021		2,509		460,512

For the year ended December 31, 2018, thesub-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	$	84,756
Strategic Alpha Fund		618,962
U.S. Equity Opportunities Fund		481,661


Fund	Reimbursements of Sub-Transfer Agent Fees
Multi-Asset Income Fund	$	920
Strategic Alpha Fund		8,129
U.S. Equity Opportunities Fund		4,641

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Notes to Financial Statements (continued)

December 31, 2018

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2018 were as follows:


Fund	Commissions
Multi-Asset Income Fund	$	10,482
Strategic Alpha Fund		2,604
U.S. Equity Opportunities Fund		66,865

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.

129 |

Notes to Financial Statements (continued)

December 31, 2018

Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, 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.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

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 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	$	193
Strategic Alpha Fund		613
U.S. Equity Opportunities Fund		153

h. Affiliated Ownership. As of December 31, 2018, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Multi-Asset Income Fund and Strategic Alpha Fund representing 0.76% and 0.15% 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 year ended December 31, 2018, Loomis Sayles reimbursed Multi-Asset Income Fund $387 and Strategic Alpha Fund $99,621 and Harris reimbursed U.S. Equity Opportunities Fund $9,389 for losses incurred in connection with trading errors.

j. Interfund Transactions. A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common Trustees. For the year ended December 31, 2018, the U.S. Equity Opportunities Fund engaged in purchase transactions of $568,905 with an affiliate of Natixis in compliance withRule 17a-7 of the 1940 Act pursuant to procedures adopted by the Board of Trustees.

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 apro ratabasis 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.

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Notes to Financial Statements (continued)

December 31, 2018

For the year ended December 31, 2018, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Multi-Asset Income Fund	$	40,617	$	22,199	$	193	$	39,860
Strategic Alpha Fund		16,660		17,499		613		606,574
U.S. Equity Opportunities Fund		462,264		78,571		153		251,052

8. Line of Credit. Effective April 12, 2108, 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. 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. 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 year ended December 31, 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

131 |

Notes to Financial Statements (continued)

December 31, 2018

Operations. For the year ended December 31, 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 isnon-diversified, which means it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Year Ended December 31, 2018					Year Ended December 31, 2017
Multi-Asset Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,636,199		$	21,887,217		1,702,656		$	23,493,500
Issued in connection with the reinvestment of distributions	246,032			3,167,673		233,713			3,230,966
Redeemed	(1,495,395	)		(19,584,653	)	(2,320,403	)		(32,491,498	)

Net change	386,836		$	5,470,237		(384,034	)	$	(5,767,032	)

Class C
Issued from the sale of shares	610,774		$	8,033,966		319,241		$	4,385,407
Issued in connection with the reinvestment of distributions	102,629			1,321,750		128,351			1,767,902
Redeemed	(1,326,399	)		(17,492,118	)	(1,298,794	)		(17,826,010	)

Net change	(612,996	)	$	(8,136,402	)	(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	184			2,352		176			2,422

Net change	184		$	2,352		2,454		$	33,102

Class Y
Issued from the sale of shares	1,950,280		$	25,895,828		2,592,244		$	36,192,848
Issued in connection with the reinvestment of distributions	213,365			2,746,556		182,515			2,511,877
Redeemed	(2,215,349	)		(28,814,661	)	(464,288	)		(6,389,575	)

Net change	(51,704	)	$	(172,277	)	2,310,471		$	32,315,150

Increase (decrease) from capital share transactions	(277,680	)	$	(2,836,090	)	1,077,689		$	14,908,519

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Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,902,859		$	18,643,184		1,948,117		$	19,283,141
Issued in connection with the reinvestment of distributions	87,934			860,102		105,767			1,044,208
Redeemed	(1,018,074	)		(10,074,904	)	(6,100,848	)		(60,665,342	)

Net change	972,719		$	9,428,382		(4,046,964	)	$	(40,337,993	)

Class C
Issued from the sale of shares	632,600		$	6,161,447		316,552		$	3,122,878
Issued in connection with the reinvestment of distributions	51,094			498,519		48,399			475,946
Redeemed	(1,295,865	)		(12,777,946	)	(1,595,852	)		(15,731,090	)

Net change	(612,171	)	$	(6,117,980	)	(1,230,901	)	$	(12,132,266	)

Class N
Issued from the sale of shares	22,029,860		$	218,736,227		5,928,692		$	58,808,207
Issued in connection with the reinvestment of distributions	952,881			9,315,262		75,346			744,780
Redeemed	(2,385,120	)		(23,546,282	)	(13,065	)		(130,000	)

Net change	20,597,621		$	204,505,207		5,990,973		$	59,422,987

Class Y
Issued from the sale of shares	60,785,713		$	599,944,907		34,490,858		$	341,479,931
Issued in connection with the reinvestment of distributions	2,375,280			23,181,067		2,221,504			21,892,730
Redeemed	(43,762,727	)		(432,199,544	)	(42,506,371	)		(420,835,953	)

Net change	19,398,266		$	190,926,430		(5,794,009	)	$	(57,463,292	)

Increase (decrease) from capital share transactions	40,356,435		$	398,742,039		(5,080,901	)	$	(50,510,564	)

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

133 |

Notes to Financial Statements (continued)

December 31, 2018

11. Capital Shares (continued).


	Year Ended December 31, 2018					Year Ended December 31, 2017(a)
U.S. Equity Opportunities Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,296,546		$	86,556,990		3,144,209		$	104,303,464
Issued in connection with the reinvestment of distributions	1,653,093			51,341,261		540,145			19,749,734
Redeemed	(3,432,504	)		(126,242,869	)	(2,915,369	)		(99,731,079	)

Net change	517,135		$	11,655,382		768,985		$	24,322,119

Class C
Issued from the sale of shares	1,030,778		$	25,786,943		1,565,056		$	37,342,545
Issued in connection with the reinvestment of distributions	503,353			10,537,724		175,190			4,480,476
Redeemed	(2,053,605	)		(52,913,322	)	(741,641	)		(17,783,250	)

Net change	(519,474	)	$	(16,588,655	)	998,605		$	24,039,771

Class N
Issued from the sale of shares	—		$	—		26		$	1,001
Issued in connection with the reinvestment of distributions	3			100		1			35

Net change	3		$	100		27		$	1,036

Class Y
Issued from the sale of shares	3,676,417		$	160,325,492		4,351,889		$	168,730,051
Issued in connection with the reinvestment of distributions	628,147			22,760,558		179,584			7,609,993
Redeemed	(2,840,359	)		(120,906,634	)	(1,961,859	)		(78,357,163	)

Net change	1,464,205		$	62,179,416		2,569,614		$	97,982,881

Increase (decrease) from capital share transactions	1,461,869		$	57,246,243		4,337,231		$	146,345,807

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

| 134

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Loomis Sayles Multi-Asset Income Fund, Natixis U.S. Equity Opportunities Fund and Loomis Sayles Strategic Alpha Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Multi-Asset Income Fund and Natixis U.S. Equity Opportunities Fund (two of the funds constituting the Natixis Funds Trust I), and Loomis Sayles Strategic Alpha Fund (one of the funds constituting the Natixis Funds II) (hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

135 |

Report of Independent Registered Public Accounting Firm

December 31, 2018 by correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

February 21, 2019

| 136

2018 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
Multi-Asset Income Fund		22.63	%
Strategic Alpha Fund		2.23	%
U.S. Equity Opportunities Fund		100.00	%


Fund	Amount
Multi-Asset Income Fund	$	2,864,723
U.S. Equity Opportunities Fund		87,168,205


Fund	Qualifying Percentage
Multi-Asset Income Fund		27.06	%
Strategic Alpha Fund		2.81	%
U.S. Equity Opportunities Fund		100.00	%

137 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	52 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member and Governance Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	52 Director, Burlington Stores, Inc. (retail)	Significant experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

| 138

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	52 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	52 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

139 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Martin T. Meehan (1956)	Trustee since 2012 Audit Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	52 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	52 Director, Sterling Bancorp (Bank)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

| 140

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	52 Director, FutureFuel Corp. (Chemicals and Biofuels)	Experience on the Board and on the boards of other business organizations; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	52 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

141 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	52 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	52 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	52 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

| 142

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES continued

David L. Giunta⁴ (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	52 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

²	The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II and Natixis ETF Trust (collectively, the “Fund Complex”).

³	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁴

143 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUSTS

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since 2016	Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since 2004	Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P.

Kirk Johnson (1981)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since 2018	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Vice President and Counsel, Natixis Investment Managers, L.P.

¹	Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ currentby-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

| 144

Item 2.

Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3.

Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Edmond J. English, Mr. Richard A. Goglia, Mr. Martin T. Meehan, Mr. Erik R. Sirri and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4.

Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.


	Audit fees				Audit-related fees¹				Tax fees²				All other fees
		1/1/17-12/31/17		1/1/18-12/31/18		1/1/17-12/31/17		1/1/18-12/31/18		1/1/17-12/31/17		1/1/18-12/31/18		1/1/17-12/31/17		1/1/18-12/31/18
Natixis Funds Trust II	$	381,148	$	391,761	$	11,149	$	1,250	$	83,774	$	84,610	$	—	$	—

Audit-related fees consist of:

2017 & 2018 – performance of agreed-upon procedures related to the Registrant’s deferred compensation.

2017 – prospectus consent

Tax fees consist of:

2017 & 2018– review of Registrant’s tax returns and tax consulting services.

Aggregate fees billed to the Registrant fornon-audit services during 2017 and 2018 were $94,923 and $85,860 respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant fornon-audit services rendered to AlphaSimplex Group, LLC (“ASG”), Loomis, Sayles & Company, L.P. (“Loomis”), Natixis Advisors, L.P. (“Natixis Advisors”), and entities controlling, controlled by or under common control with ASG, Loomis, and Natixis Advisors(“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

1/1/17-12/31/17

1/1/18-12/31/18

1/1/17-12/31/17

1/1/18-12/31/18

1/1/17-12/31/17

1/1/18-12/31/18

Control Affiliates

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant fornon-audit services rendered to ASG, Loomis, Natixis Advisors and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.


	Aggregate Non-Audit Fees
		1/1/17-12/31/17		1/1/18-12/31/18
Control Affiliates	$	210,798	$	237,200

None of the services described above were approved pursuant to (c)(7)(i)(C) of RegulationS-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and othernon-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for whichpre-approval is required during the upcoming year. Any subsequent revisions to alreadypre-approved services or fees (including fee increases) and requests forpre-approval of new services would be presented for consideration quarterly as needed. If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized topre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

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 forClosed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers ofClosed-End Management Investment Companies.

Not applicable.

Item 9.

Purchases of Equity Securities byClosed-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 FormN-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 forClosed-End Management Investment Companies.

Not applicable.

Item 13.

Exhibits.


(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).

(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule30a-2(a) under the Investment Company Act of 1940 [17 CFR270.30a-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 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: February 21, 2019

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: February 21, 2019

By:		/s/ Michael C. Kardok
Name: Michael C. Kardok
Title: Treasurer
Date: February 21, 2019

Natixis Funds Trust II Oakmark Fund (NEFOX) N-CSRCertified annual shareholder report (management investment company)