UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRs
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-8282
Loomis Sayles Funds I
(Exact name of registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
John E. Pelletier, Esq.
CDC IXIS Asset Management Distributors, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 449-2801
Date of fiscal year end: September 30, 2003
Date of reporting period: March 31, 2004
Item 1. Reports to Stockholders.
The Registrant's semi-annual reports transmitted to shareholders pursuant to
Rule 30e-1 under the Investment Company Act of 1940 are as follows:
Loomis Sayles Fixed Income Funds
Loomis Sayles Equity Funds
[LOGO] LS LOOMIS SAYLES FUNDS
Loomis Sayles Benchmark Core Bond Fund
Loomis Sayles Bond Fund
Loomis Sayles Core Plus Fixed Income Fund
Loomis Sayles Fixed Income Fund
Loomis Sayles Global Bond Fund
Loomis Sayles Institutional High Income Fund
Loomis Sayles Intermediate Duration Fixed Income Fund
Loomis Sayles Investment Grade Fixed Income Fund
Loomis Sayles U.S. Government Securities Fund
TABLE OF CONTENTS
Fund and Manager Reviews 1
Portfolio of Investments 11
Statements of Assets and Liabilities 64
Statements of Operations 66
Statements of Changes in Net Assets 68
Financial Highlights 74
Notes to Financial Statements 80
SEMI-ANNUAL REPORT
MARCH 31, 2004 (Unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES BENCHMARK CORE BOND FUND
PORTFOLIO REVIEW | The Fund slightly underperformed its benchmark, the Lehman
Aggregate Bond Index, during the six-month period ended March 31, 2004.
As we became more convinced the economic recovery was real and sustainable, we
increased the Fund's exposure to corporate bonds, which outperformed during the
period. In particular, the general improvement in the stock market helped the
performance of automobile bonds, including the Fund's position in Ford Motor
Company. Ratings agencies showed patience in their ratings changes, which gave
the car companies time to improve operations before they received ratings
downgrades.
In addition, our position in Altria Group (formerly Philip Morris) aided
overall Fund performance. Positive developments in recent litigation in
Illinois regarding "light" cigarettes saved Philip Morris from paying a $10
billion bond to continue the appeals process. The Fund's position in Eastman
Chemical offered notable performance, as the bond benefited from stronger
economic growth.
In general, underperformance by a few bonds in the portfolio was more related
to the timing of their purchase rather than specific negative developments in
the underlying companies. The exception to this was our position in
Halliburton, which performed poorly due to controversy surrounding the
company's operations in Iraq.
OUTLOOK | We believe credit quality may continue to improve, so we plan to
continue over-weighting corporate bonds. We plan to seek the bonds of companies
which will benefit from the continued improvement in the economy which we
expect over the coming quarters.
KEY FUND FACTS
OBJECTIVE | High total return through a combination of current income and
capital appreciation
STRATEGY | Invests primarily in investment grade fixed income securities
(including government, corporate, mortgage-backed and asset-backed securities)
FUND INCEPTION DATE | 4/24/96
FUND REGISTRATION DATE | 3/7/97
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 4/24/96; Retail: 5/1/02
EXPENSE RATIO | Institutional: 0.45%; Retail: 0.70%
TOTAL NET ASSETS | $24.6 million
[PHOTO] [PHOTO]
Cliff Rowe Kurt Wagner
CLIFF ROWE KURT WAGNER
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(b) INCEPTION(c)
- ------------------------------------------------------------------------------------
LOOMIS SAYLES BENCHMARK CORE BOND FUND:
INSTITUTIONAL 2.87% 4.94% 6.19% 6.71% 6.66%
RETAIL(a) 2.95 4.81 5.94 6.45 6.41
LIPPER INTERMEDIATE
INVESTMENT GRADE INDEX(e) 3.09 6.19 6.84 7.03 7.12
LEHMAN AGGREGATE BOND INDEX(e) 2.98 5.40 7.29 7.57 7.62
CUMULATIVE PERFORMANCE(d) REGISTRATION TO MARCH 31, 2004(f)
[CHART]
Loomis Lipper Lehman
Sayles Intermediate Brothers
Benchmark Investment Aggregate
Core Bond Fund Grade Index Index
-------------- ------------ ---------
03/07/1997 $250,000 $250,000 $250,000
03/31/1997 247,525 247,313 247,230
04/30/1997 250,973 250,702 250,931
05/31/1997 252,943 252,933 253,303
06/30/1997 256,145 255,924 256,309
07/31/1997 263,658 262,696 263,221
08/31/1997 260,455 260,305 260,976
09/30/1997 264,644 264,055 264,825
10/31/1997 268,586 267,232 268,667
11/30/1997 269,572 268,017 269,904
12/31/1997 272,760 270,456 272,621
01/31/1998 276,342 274,040 276,121
02/28/1998 275,575 273,644 275,913
03/31/1998 276,087 274,655 276,861
04/30/1998 277,366 275,938 278,306
05/31/1998 280,181 278,426 280,946
06/30/1998 282,995 280,645 283,329
07/31/1998 283,007 281,219 283,932
08/31/1998 284,542 285,028 288,553
09/30/1998 294,010 291,418 295,309
10/31/1998 291,195 289,060 293,748
11/30/1998 293,498 290,502 295,415
12/31/1998 295,486 291,745 296,303
01/31/1999 298,235 293,555 298,418
02/28/1999 290,538 288,315 293,209
03/31/1999 293,012 290,585 294,834
04/30/1999 294,112 291,560 295,768
05/31/1999 289,989 288,591 293,177
06/30/1999 289,164 287,616 292,243
07/31/1999 286,965 286,602 290,999
08/31/1999 286,965 286,296 290,851
09/30/1999 289,989 289,447 294,227
10/31/1999 290,538 289,887 295,313
11/30/1999 290,813 290,228 295,292
12/31/1999 289,147 288,894 293,868
01/31/2000 288,564 287,867 292,906
02/29/2000 290,898 290,992 296,448
03/31/2000 293,232 294,584 300,353
04/30/2000 291,773 292,759 299,493
05/31/2000 290,314 292,228 299,356
06/30/2000 297,317 298,416 305,584
07/31/2000 300,234 300,963 308,358
08/31/2000 304,903 305,136 312,827
09/30/2000 306,653 307,158 314,794
10/31/2000 307,237 308,241 316,877
11/30/2000 310,447 313,146 322,058
12/31/2000 316,726 319,472 328,032
01/31/2001 325,304 325,086 333,397
02/28/2001 328,798 328,210 336,301
03/31/2001 330,704 329,485 337,989
04/30/2001 329,116 327,713 336,587
05/31/2001 331,975 329,731 338,617
06/30/2001 331,975 330,944 339,896
07/31/2001 339,599 338,972 347,495
08/31/2001 342,141 342,705 351,475
09/30/2001 343,094 345,343 355,570
10/31/2001 348,494 352,382 363,011
11/30/2001 346,588 347,957 358,006
12/31/2001 343,497 345,721 355,733
01/31/2002 344,853 348,215 358,612
02/28/2002 346,888 351,581 362,087
03/31/2002 342,480 345,480 356,064
04/30/2002 347,845 351,712 362,969
05/31/2002 350,963 354,599 366,053
06/30/2002 351,656 354,371 369,218
07/31/2002 354,427 355,778 373,673
08/31/2002 361,356 362,634 379,982
09/30/2002 366,900 366,591 386,136
10/31/2002 364,821 365,185 384,377
11/30/2002 364,821 366,921 384,275
12/31/2002 372,360 374,388 392,213
01/31/2003 372,720 375,559 392,547
02/28/2003 378,122 380,914 397,979
03/31/2003 377,042 380,952 397,672
04/30/2003 380,283 385,404 400,954
05/31/2003 386,765 392,592 408,429
06/30/2003 385,685 392,497 407,619
07/31/2003 373,081 379,262 393,915
08/31/2003 375,241 382,148 396,530
09/30/2003 384,623 392,423 407,027
10/31/2003 380,643 389,653 403,231
11/30/2003 382,084 390,682 404,196
12/31/2003 385,822 394,655 408,310
01/31/2004 388,848 397,793 411,595
02/29/2004 393,009 401,657 416,050
03/31/2004 395,676 404,551 419,166
CUMULATIVE PERFORMANCE(d) INCEPTION TO MARCH 31, 2004(f)
[CHART]
Loomis Lipper Lehman
Sayles Intemediate Brothers
Benchmark Investment Aggregate
Core Bond Fund Grade Index Bond Index
-------------- ------------ ----------
04/24/1996 $250,000 $250,000 $250,000
04/30/1996 248,500 250,000 250,000
05/31/1996 248,250 249,621 249,492
06/30/1996 251,250 252,524 252,843
07/31/1996 251,500 253,234 253,535
08/31/1996 250,500 252,977 253,110
09/30/1996 255,250 257,195 257,521
10/31/1996 261,500 262,619 263,225
11/30/1996 267,000 267,166 267,734
12/31/1996 263,277 264,777 265,245
01/31/1997 263,536 265,598 266,057
02/28/1997 264,315 266,251 266,719
03/31/1997 260,940 263,390 263,763
04/30/1997 264,575 266,999 267,711
05/31/1997 266,652 269,374 270,242
06/30/1997 270,028 272,561 273,450
07/31/1997 277,948 279,773 280,824
08/31/1997 274,571 277,226 278,428
09/30/1997 278,987 281,220 282,535
10/31/1997 283,143 284,603 286,633
11/30/1997 284,182 285,439 287,953
12/31/1997 287,543 288,037 290,853
01/31/1998 291,319 291,854 294,587
02/28/1998 290,510 291,432 294,365
03/31/1998 291,050 292,509 295,376
04/30/1998 292,398 293,875 296,918
05/31/1998 295,365 296,526 299,734
06/30/1998 298,333 298,888 302,276
07/31/1998 298,345 299,500 302,920
08/31/1998 299,964 303,557 307,849
09/30/1998 309,945 310,362 315,058
10/31/1998 306,977 307,851 313,392
11/30/1998 309,405 309,386 315,171
12/31/1998 311,500 310,710 316,118
01/31/1999 314,398 312,637 318,375
02/28/1999 306,285 307,057 312,817
03/31/1999 308,892 309,474 314,550
04/30/1999 310,052 310,513 315,547
05/31/1999 305,705 307,351 312,783
06/30/1999 304,836 306,312 311,786
07/31/1999 302,518 305,232 310,459
08/31/1999 302,518 304,907 310,301
09/30/1999 305,705 308,263 313,904
10/31/1999 306,285 308,732 315,062
11/30/1999 306,574 309,094 315,039
12/31/1999 304,818 307,673 313,520
01/31/2000 304,203 306,579 312,493
02/29/2000 306,663 309,908 316,273
03/31/2000 309,124 313,733 320,439
04/30/2000 307,586 311,790 319,522
05/31/2000 306,048 311,224 319,375
06/30/2000 313,430 317,814 326,019
07/31/2000 316,506 320,527 328,979
08/31/2000 321,428 324,972 333,747
09/30/2000 323,273 327,125 335,845
10/31/2000 323,888 328,278 338,068
11/30/2000 327,272 333,502 343,595
12/31/2000 333,892 340,239 349,969
01/31/2001 342,934 346,218 355,692
02/28/2001 346,618 349,545 358,791
03/31/2001 348,627 350,903 360,592
04/30/2001 346,953 349,016 359,096
05/31/2001 349,967 351,165 361,262
06/30/2001 349,967 352,457 362,627
07/31/2001 358,004 361,007 370,734
08/31/2001 360,683 364,982 374,979
09/30/2001 361,688 367,792 379,349
10/31/2001 367,381 375,289 387,287
11/30/2001 365,372 370,576 381,947
12/31/2001 362,113 368,194 379,522
01/31/2002 363,543 370,851 382,594
02/28/2002 365,688 374,435 386,302
03/31/2002 361,041 367,938 379,875
04/30/2002 366,697 374,575 387,242
05/31/2002 369,984 377,650 390,532
06/30/2002 370,714 377,406 393,909
07/31/2002 373,636 378,905 398,662
08/31/2002 380,941 386,207 405,393
09/30/2002 386,785 390,421 411,959
10/31/2002 384,593 388,924 410,082
11/30/2002 384,593 390,773 409,973
12/31/2002 392,541 398,725 418,442
01/31/2003 392,921 399,972 418,799
02/28/2003 398,615 405,675 424,593
03/31/2003 397,476 405,715 424,266
04/30/2003 400,893 410,457 427,767
05/31/2003 407,726 418,112 435,743
06/30/2003 406,588 418,011 434,878
07/31/2003 393,300 403,916 420,258
08/31/2003 395,578 406,989 423,048
09/30/2003 405,449 417,932 434,246
10/31/2003 401,273 414,982 430,196
11/30/2003 402,791 416,078 431,227
12/31/2003 406,732 420,310 435,615
01/31/2004 409,922 423,652 439,120
02/29/2004 414,308 427,767 443,873
03/31/2004 417,100 430,848 447,197
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Performance shown for periods prior to the inception date of the Retail
Class (5/1/02) represents the performance of the Institutional Class of shares
during the periods shown, adjusted to reflect the current levels of management
and 12b-1 fees payable by the Retail Class of shares. (b) Inception date of the
Loomis Sayles Benchmark Core Bond Fund is April 24, 1996. Shares of the Fund
were registered for offer and sale under the Securities Act of 1933 on March 7,
1997. In accordance with regulations, performance information is provided for
the period beginning on March 7, 1997 ("Registration"). Performance from
inception is also provided for the convenience of our long term shareholders.
(c) Index performance data is not available coincident with the Fund's
inception and registration dates. Comparative performance is presented from the
month end closest to the Fund's inception and registration dates. (d)
Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would, be lower due to higher fees.
(e) See page 10 for a description of the indexes. (f) The mountain chart is
based on the Institutional Class minimum initial investment of $250,000. * Not
annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Securities issued by U.S. Government
sponsored agencies are not issued by, and may not be guaranteed by the U.S.
Government.
1
FUND AND MANAGER REVIEW
LOOMIS SAYLES BOND FUND
PORTFOLIO REVIEW | Exposure to high yield bonds, international issues and
convertible securities, along with positions in emerging markets and investment
grade credit, helped the Fund's return surpass that of its benchmark, the
Lehman Government/Credit Index, for the six-month period ended March 31, 2004.
Improved liquidity, better credit quality and investors' strong appetite for
yield helped the Fund's high yield bonds post strong gains during the period.
The Fund's international holdings continued to benefit from a weak U.S. dollar
and good credit selections. Our position in convertible securities offered
favorable high yield exposure to CCC-rated bonds. Nevertheless, as the period
progressed, valuations turned rich, and we scaled back exposure in this sector.
We still have faith in the asset class, and have been focusing more on specific
issue selections.
In the investment grade corporate bond sector, our key strategy involved taking
gains in securities that had improved in credit quality. We reduced exposure to
BBB-rated credits and realized attractive gains. As we reduced exposure to the
BBB-rated sector, we moved into higher-grade domestic credits and foreign
issues. These bonds are shorter in duration (sensitivity to interest rate
changes)--which we think may help the Fund's performance going into a
potentially higher interest rate environment--and we believe they offer
favorable currency exposure.
Our duration strategy during the six-month period had a slightly negative
influence on performance. With the economy improving, we reduced the Fund's
duration from 7.14 years at the beginning of the period to 5.77 years on March
31. This strategy was ineffective, because yields declined during the period.
Nevertheless, we still believe job gains may spike higher and drag bond yields
along with them. Such a scenario would justify a shorter duration.
OUTLOOK | Reducing market risk and maintaining over-weights in high-quality
credit remain our central strategies for combating the risk of rising interest
rates and capturing the cyclical improvement in credit quality. With credit
trends improving last year, we are still opportunistically looking for upgrade
candidates in the investment grade corporate and high yield sectors.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in investment grade fixed income securities,
although it may invest up to 35% of assets in lower rated fixed income
securities and up to 20% of its assets in preferred stock
FUND INCEPTION DATE | 5/16/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/16/91; Retail: 1/2/97;
Admin: 1/2/98
EXPENSE RATIO | Institutional: 0.75%; Retail: 1.00%; Admin: 1.25%
TOTAL NET ASSETS | $2,608.2 million
[PHOTO] [PHOTO]
Daniel Fuss Kathleen Gaffney
DANIEL FUSS KATHLEEN GAFFNEY
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
------------------------------------------------------------------------------
LOOMIS SAYLES BOND FUND:
INSTITUTIONAL 9.26% 23.71% 10.11% 10.86% 11.79%
RETAIL(c) 9.14 23.46 9.85 10.59 11.52
ADMIN(c) 9.04 23.22 9.58 10.09 10.96
LIPPER BBB RATED FUNDS INDEX(d) 4.29 9.71 6.73 7.16 7.80
LEHMAN GOVERNMENT/
CREDIT INDEX(d) 3.05 6.15 7.56 7.65 8.02
CUMULATIVE PERFORMANCE(e) INCEPTION TO MARCH 31, 2004(b)
[CHART]
Lehman
Loomis Sayles Lipper BBB Rated Government/
Bond Fund Funds Index Credit Index
------------- ---------------- -----------------
05/16/1991 $25,000 $25,000 $25,000
05/31/1991 24,900 25,000 25,000
06/30/1991 24,525 24,937 24,973
07/31/1991 25,125 25,209 25,286
08/31/1991 26,150 25,817 25,869
09/30/1991 26,200 26,378 26,409
10/31/1991 26,929 26,620 26,645
11/30/1991 26,649 26,834 26,911
12/31/1991 27,219 27,842 27,819
01/31/1992 27,644 27,504 27,406
02/29/1992 28,336 27,656 27,552
03/31/1992 28,123 27,563 27,401
04/30/1992 28,526 27,706 27,564
05/31/1992 29,367 28,269 28,099
06/30/1992 29,476 28,683 28,511
07/31/1992 30,432 29,472 29,240
08/31/1992 30,708 29,743 29,501
09/30/1992 30,874 30,103 29,904
10/31/1992 30,515 29,574 29,448
11/30/1992 30,826 29,609 29,424
12/31/1992 31,108 30,100 29,928
01/31/1993 32,189 30,757 30,579
02/28/1993 32,819 31,483 31,213
03/31/1993 33,480 31,678 31,319
04/30/1993 33,990 31,915 31,560
05/31/1993 34,538 31,991 31,543
06/30/1993 35,269 32,710 32,259
07/31/1993 36,126 33,015 32,465
08/31/1993 36,776 33,784 33,211
09/30/1993 36,838 33,882 33,326
10/31/1993 37,395 34,117 33,463
11/30/1993 37,552 33,724 33,085
12/31/1993 38,019 33,952 33,229
01/31/1994 39,524 34,540 33,729
02/28/1994 38,855 33,788 32,996
03/31/1994 37,450 32,825 32,189
04/30/1994 36,611 32,429 31,922
05/31/1994 36,475 32,346 31,863
06/30/1994 36,373 32,212 31,788
07/31/1994 36,926 32,763 32,424
08/31/1994 37,480 32,892 32,437
09/30/1994 37,030 32,438 31,946
10/31/1994 36,859 32,334 31,910
11/30/1994 36,367 32,248 31,853
12/31/1994 36,471 32,409 32,063
01/31/1995 37,233 32,932 32,679
02/28/1995 38,322 33,684 33,437
03/31/1995 39,156 33,949 33,661
04/30/1995 40,587 34,559 34,130
05/31/1995 42,764 36,050 35,561
06/30/1995 43,354 36,322 35,845
07/31/1995 43,232 36,237 35,707
08/31/1995 44,131 36,770 36,164
09/30/1995 45,217 37,201 36,531
10/31/1995 45,666 37,697 37,068
11/30/1995 47,035 38,315 37,678
12/31/1995 48,127 38,947 38,233
01/31/1996 49,106 39,262 38,471
02/29/1996 47,618 38,436 37,655
03/31/1996 47,657 38,153 37,338
04/30/1996 47,271 37,909 37,082
05/31/1996 47,789 37,883 37,020
06/30/1996 48,425 38,317 37,514
07/31/1996 48,400 38,412 37,602
08/31/1996 48,804 38,393 37,509
09/30/1996 50,321 39,162 38,176
10/31/1996 52,000 40,102 39,067
11/30/1996 54,024 40,996 39,786
12/31/1996 53,081 40,599 39,343
01/31/1997 53,038 40,728 39,389
02/28/1997 53,810 40,960 39,473
03/31/1997 52,952 40,328 39,003
04/30/1997 53,643 40,924 39,574
05/31/1997 54,822 41,392 39,943
06/30/1997 56,045 42,009 40,423
07/31/1997 58,929 43,462 41,659
08/31/1997 57,638 42,886 41,192
09/30/1997 59,507 43,641 41,839
10/31/1997 59,307 44,084 42,510
11/30/1997 59,623 44,299 42,733
12/31/1997 59,819 44,775 43,182
01/31/1998 60,565 45,346 43,790
02/28/1998 61,218 45,329 43,701
03/31/1998 62,104 45,560 43,836
04/30/1998 62,339 45,755 44,056
05/31/1998 62,339 46,146 44,530
06/30/1998 62,386 46,485 44,983
07/31/1998 61,721 46,448 45,019
08/31/1998 57,288 46,111 45,899
09/30/1998 59,264 47,061 47,211
10/31/1998 59,091 46,481 46,878
11/30/1998 62,703 47,340 47,157
12/31/1998 62,628 47,458 47,272
01/31/1999 63,781 47,871 47,608
02/28/1999 62,628 46,835 46,477
03/31/1999 64,882 47,357 46,707
04/30/1999 67,118 47,697 46,823
05/31/1999 65,568 47,053 46,340
06/30/1999 65,141 46,806 46,196
07/31/1999 64,153 46,570 46,068
08/31/1999 63,554 46,398 46,031
09/30/1999 63,772 46,796 46,446
10/31/1999 63,820 46,888 46,566
11/30/1999 64,432 47,002 46,540
12/31/1999 65,447 46,926 46,257
01/31/2000 65,334 46,788 46,244
02/29/2000 67,322 47,364 46,824
03/31/2000 68,231 47,800 47,501
04/30/2000 66,388 47,220 47,269
05/31/2000 65,462 46,861 47,226
06/30/2000 67,546 48,047 48,190
07/31/2000 67,835 48,253 48,701
08/31/2000 69,370 49,133 49,388
09/30/2000 68,071 49,273 49,574
10/31/2000 66,303 49,114 49,885
11/30/2000 66,002 49,569 50,738
12/31/2000 68,300 50,607 51,739
01/31/2001 70,276 51,831 52,607
02/28/2001 70,461 52,343 53,150
03/31/2001 68,601 52,310 53,394
04/30/2001 67,780 52,023 52,994
05/31/2001 68,664 52,493 53,299
06/30/2001 68,238 52,554 53,554
07/31/2001 69,334 53,746 54,889
08/31/2001 70,688 54,391 55,593
09/30/2001 68,278 53,926 56,105
10/31/2001 69,987 55,069 57,528
11/30/2001 70,578 54,713 56,584
12/31/2001 70,117 54,379 56,138
01/31/2002 70,654 54,676 56,551
02/28/2002 71,057 54,937 57,031
03/31/2002 71,013 54,217 55,874
04/30/2002 72,860 55,047 56,956
05/31/2002 74,228 55,482 57,482
06/30/2002 73,322 55,221 57,970
07/31/2002 71,160 54,944 58,669
08/31/2002 73,950 56,055 59,984
09/30/2002 73,409 56,560 61,274
10/31/2002 74,404 56,156 60,689
11/30/2002 76,820 56,966 60,725
12/31/2002 79,471 58,292 62,334
01/31/2003 81,857 58,678 62,332
02/28/2003 83,955 59,665 63,442
03/31/2003 84,890 59,768 63,359
04/30/2003 88,789 60,974 64,036
05/31/2003 93,129 62,571 65,856
06/30/2003 94,303 62,652 65,593
07/31/2003 90,719 60,517 62,843
08/31/2003 91,615 60,995 63,258
09/30/2003 96,124 62,873 65,261
10/31/2003 97,339 62,624 64,435
11/30/2003 99,617 63,054 64,606
12/31/2003 102,662 63,973 65,244
01/31/2004 103,664 64,555 65,836
02/29/2004 103,972 65,126 66,642
03/31/2004 105,022 65,573 67,253
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Inception date of the Institutional, Retail and Admin Classes of shares are
May 16,1991, December 31, 1996 and January 2, 1998, respectively. (b) The
mountain chart is based on the initial investment minimum of $25,000 for the
Institutional Class. (c) Performance shown for periods prior to the inception
date of the Retail Class and the Admin Class represents the performance of the
Institutional Class of shares during the periods shown, adjusted to reflect the
current levels of management and 12b-1 fees payable by the respective classes
of shares. (d) See page 10 for a description of the indexes. Index performance
data is not available coincident with the Fund's inception date, the beginning
value of the index is the value as of the month end closest to the Fund's
inception date. (e) Cumulative performance is shown for the Institutional Class
of shares. Performance of the Retail and Admin Classes of shares would be
lower, due to higher fees. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES CORE PLUS FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman Aggregate
Bond Index, for the six-month period ended March 31, 2004, primarily due to the
Fund's sector weightings. We significantly over-weighted high yield and
non-dollar securities, which were top performers during the period, and
under-weighted Treasuries and agency securities, which posted the lowest
relative performance.
Furthermore, although the Fund's duration (sensitivity to interest rate
changes) and yield curve positioning ended the period close to neutral relative
to the benchmark, the Fund's yield surpassed that of the benchmark. Early in
the period our duration was slightly longer than that of the index, which
helped the Fund's relative performance in the declining rate environment. In
addition, we maintained a bias toward medium- and lower-grade securities,
because we believed they offered good value. This also helped the Fund
outperform the benchmark.
OUTLOOK | Looking ahead, we do not expect the bond market to offer as much
price appreciation as it has recently, because we believe the market has
already realized much of the value in the current environment. In addition, the
economic recovery eventually may push the Federal Reserve into tightening mode,
pushing yields up and prices down. Therefore, we think generating an attractive
yield will be a key component to success in the upcoming climate. Throughout
the next several months we plan to execute trading strategies designed to build
as much yield as possible into the Fund.
KEY FUND FACTS
OBJECTIVE | High total return through a combination of current income and
capital appreciation
STRATEGY | Invests primarily in investment grade fixed income securities,
although it may invest up to 25% of its assets in lower-rated fixed income
securities
FUND INCEPTION DATE | 6/18/01
EXPENSE RATIO | 0.45%
TOTAL NET ASSETS | $1.5 million
[PHOTO] [PHOTO]
John Hyll Peter Palfrey
JOHN HYLL PETER PALFREY
[PHOTO] [PHOTO]
Rick Raczkowski Craig Smith
RICK RACZKOWSKI CRAIG SMITH
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR INCEPTION(a)
---------------------------------------------------------------------------
LOOMIS SAYLES CORE PLUS FIXED INCOME FUND 4.54% 8.56% 5.83%
LIPPER INTERMEDIATE INVESTMENT GRADE INDEX(b) 3.09 6.19 7.58
LEHMAN AGGREGATE BOND INDEX(b) 2.98 5.40 7.92
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Core Lipper Intermediate Lehman Aggregate
Plus Fixed Income Fund Investment Grade Index Bond Index
---------------------- ---------------------- ----------------
06/18/2001 $1,000,000 $1,000,000 $1,000,000
06/30/2001 993,000 1,000,000 1,000,000
07/31/2001 1,020,000 1,024,259 1,022,357
08/31/2001 1,032,000 1,035,538 1,034,065
09/30/2001 1,030,000 1,043,509 1,046,114
10/31/2001 1,048,000 1,064,780 1,068,005
11/30/2001 1,046,000 1,051,409 1,053,280
12/31/2001 1,030,431 1,044,651 1,046,591
01/31/2002 1,032,523 1,052,189 1,055,064
02/28/2002 1,028,354 1,062,359 1,065,288
03/31/2002 1,020,983 1,043,925 1,047,566
04/30/2002 1,031,536 1,062,756 1,067,881
05/31/2002 1,039,005 1,071,479 1,076,954
06/30/2002 1,014,345 1,070,788 1,086,266
07/31/2002 1,001,430 1,075,040 1,099,374
08/31/2002 1,024,138 1,095,758 1,117,936
09/30/2002 1,028,483 1,107,714 1,136,041
10/31/2002 1,013,280 1,103,466 1,130,867
11/30/2002 1,030,820 1,108,712 1,130,566
12/31/2002 1,053,615 1,131,274 1,153,919
01/31/2003 1,059,208 1,134,811 1,154,904
02/28/2003 1,077,272 1,150,993 1,170,884
03/31/2003 1,078,453 1,151,107 1,169,982
04/30/2003 1,093,282 1,164,561 1,179,636
05/31/2003 1,116,178 1,186,280 1,201,630
06/30/2003 1,118,456 1,185,992 1,199,245
07/31/2003 1,076,701 1,146,003 1,158,928
08/31/2003 1,086,034 1,154,722 1,166,622
09/30/2003 1,119,973 1,185,769 1,197,503
10/31/2003 1,114,085 1,177,399 1,186,335
11/30/2003 1,121,155 1,180,508 1,189,176
12/31/2003 1,139,326 1,192,515 1,201,278
01/31/2004 1,149,364 1,201,997 1,210,942
02/29/2004 1,160,641 1,213,672 1,224,050
03/31/2004 1,170,775 1,222,416 1,233,217
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 10 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$1,000,000. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
3
FUND AND MANAGER REVIEW
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund significantly outperformed its benchmark, the
Lehman Government/Credit Index, for the six months ended March 31, 2004,
primarily due to the Fund's broad diversification. For example, more than half
of the benchmark consists of Treasury and agency securities, and those areas
were not the best places to be invested during the fourth quarter of 2003.
Instead, out-of-benchmark sectors, including high yield, foreign-denominated
bonds, emerging markets and convertibles, flourished. Having significant
exposure to these sectors helped the Fund's return surpass that of the
benchmark.
Improved liquidity, better credit quality and investors' strong appetite for
yield helped the Fund's high yield bonds post strong gains during the period.
The Fund's international holdings continued to benefit from a weak U.S. dollar
and good credit selections. Our position in convertible securities offered
favorable high yield exposure to CCC-rated bonds. As the period progressed,
valuations turned rich, and we scaled back exposure in this sector. We still
have faith in the asset class and have been focusing more on specific issue
selections.
A key strategy was taking gains in securities that had improved in credit
quality. We reduced exposure to BBB-rated credits and realized attractive
gains. As we reduced exposure to the BBB-rated sector, we moved into AAA-rated
debt, notably Singapore dollar-denominated securities.
Our duration strategy during the six-month period had a slightly negative
influence on performance. With the economy improving, we reduced the Fund's
duration from 7.15 years at the beginning of the period to 6.53 years on
March 31. This strategy was ineffective, because yields declined during the
period. Nevertheless, we still believe job gains may spike higher and drag bond
yields along with them. Such a scenario would justify a shorter duration.
OUTLOOK | Reducing market risk and maintaining over-weights in credit remain
our central strategies for combating the risk of rising interest rates and
capturing the cyclical improvement in credit quality. With credit trends
improving last year, we are still opportunistically looking for upgrade
candidates in the investment-grade corporate and high yield sectors.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in fixed income securities, may invest up to 35%
of its assets in lower rated fixed income securities and up to 20% of its
assets in preferred stocks
FUND INCEPTION DATE | 1/17/95
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.65%
TOTAL NET ASSETS | $422.4 million
[PHOTO]
Daniel Fuss
DANIEL FUSS
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
- -------------------------------------------------------------------------------------
LOOMIS SAYLES
FIXED INCOME FUND 9.16% 25.14% 10.23% 9.84% 11.65%
LIPPER BBB RATED FUNDS INDEX(b) 4.29 9.71 6.73 6.87 7.80
LEHMAN GOVERNMENT/
CREDIT INDEX(b) 3.05 6.15 7.56 7.81 8.19
CUMULATIVE PERFORMANCE REGISTRATION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Fixed Lipper BBB Rated Lehman
Income Fund Funds Index Government/Credit Index
------------------- ---------------- -----------------
03/07/1997 $3,000,000 $3,000,000 $3,000,000
03/31/1997 2,973,000 2,953,678 2,964,347
04/30/1997 3,004,810 2,997,311 3,007,699
05/31/1997 3,078,217 3,031,640 3,035,766
06/30/1997 3,144,284 3,076,838 3,072,204
07/31/1997 3,287,715 3,183,224 3,166,196
08/31/1997 3,222,908 3,141,058 3,130,654
09/30/1997 3,317,626 3,196,312 3,179,874
10/31/1997 3,325,104 3,228,775 3,230,813
11/30/1997 3,350,030 3,244,554 3,247,817
12/31/1997 3,351,865 3,279,365 3,281,901
01/31/1998 3,391,800 3,321,218 3,328,168
02/28/1998 3,421,085 3,320,000 3,321,403
03/31/1998 3,471,669 3,336,851 3,331,643
04/30/1998 3,484,981 3,351,142 3,348,386
05/31/1998 3,487,643 3,379,801 3,384,376
06/30/1998 3,490,306 3,404,600 3,418,796
07/31/1998 3,460,085 3,401,952 3,421,524
08/31/1998 3,224,595 3,377,229 3,488,383
09/30/1998 3,336,988 3,446,853 3,588,130
10/31/1998 3,302,200 3,404,340 3,562,792
11/30/1998 3,478,817 3,467,282 3,584,019
12/31/1998 3,475,914 3,475,903 3,592,802
01/31/1999 3,534,333 3,506,149 3,618,327
02/28/1999 3,464,230 3,430,289 3,532,333
03/31/1999 3,578,147 3,468,512 3,549,861
04/30/1999 3,689,142 3,493,388 3,558,681
05/31/1999 3,607,356 3,446,257 3,521,944
06/30/1999 3,586,909 3,428,157 3,510,956
07/31/1999 3,534,333 3,410,857 3,501,240
08/31/1999 3,505,123 3,398,236 3,498,437
09/30/1999 3,531,412 3,427,440 3,529,979
10/31/1999 3,540,174 3,434,173 3,539,135
11/30/1999 3,563,542 3,442,484 3,537,154
12/31/1999 3,606,315 3,436,926 3,515,628
01/31/2000 3,593,793 3,426,846 3,514,656
02/29/2000 3,703,360 3,468,999 3,558,718
03/31/2000 3,744,056 3,500,964 3,610,143
04/30/2000 3,643,880 3,458,490 3,592,540
05/31/2000 3,587,532 3,432,181 3,589,289
06/30/2000 3,700,229 3,519,026 3,662,576
07/31/2000 3,719,012 3,534,106 3,701,369
08/31/2000 3,794,144 3,598,576 3,753,616
09/30/2000 3,740,925 3,608,822 3,767,742
10/31/2000 3,647,011 3,597,158 3,791,362
11/30/2000 3,628,228 3,630,502 3,856,203
12/31/2000 3,744,764 3,706,526 3,932,293
01/31/2001 3,880,199 3,796,186 3,998,256
02/28/2001 3,886,971 3,833,677 4,039,515
03/31/2001 3,795,552 3,831,290 4,058,052
04/30/2001 3,751,536 3,810,278 4,027,631
05/31/2001 3,819,253 3,844,647 4,050,802
06/30/2001 3,802,324 3,849,140 4,070,235
07/31/2001 3,876,813 3,936,445 4,171,664
08/31/2001 3,947,916 3,983,648 4,225,219
09/30/2001 3,802,324 3,949,606 4,264,086
10/31/2001 3,903,900 4,033,352 4,372,280
11/30/2001 3,951,302 4,007,245 4,300,525
12/31/2001 3,920,736 3,982,774 4,266,628
01/31/2002 3,946,677 4,004,551 4,297,983
02/28/2002 3,961,500 4,023,698 4,334,459
03/31/2002 3,976,323 3,970,945 4,246,521
04/30/2002 4,091,203 4,031,699 4,328,778
05/31/2002 4,146,790 4,063,576 4,368,729
06/30/2002 4,083,791 4,044,471 4,405,877
07/31/2002 3,972,617 4,024,217 4,458,946
08/31/2002 4,117,143 4,105,564 4,558,918
09/30/2002 4,057,851 4,142,537 4,656,983
10/31/2002 4,087,497 4,112,979 4,612,473
11/30/2002 4,235,729 4,172,245 4,615,201
12/31/2002 4,372,299 4,269,378 4,737,483
01/31/2003 4,493,192 4,297,661 4,737,334
02/28/2003 4,606,025 4,369,988 4,821,721
03/31/2003 4,654,383 4,377,472 4,815,442
04/30/2003 4,904,228 4,465,808 4,866,904
05/31/2003 5,170,193 4,582,770 5,005,220
06/30/2003 5,238,699 4,588,720 4,985,188
07/31/2003 5,029,151 4,432,351 4,776,201
08/31/2003 5,085,568 4,467,340 4,807,706
09/30/2003 5,335,563 4,604,916 4,959,999
10/31/2003 5,387,800 4,586,679 4,897,214
11/30/2003 5,520,783 4,618,189 4,910,219
12/31/2003 5,690,714 4,685,504 4,958,654
01/31/2004 5,738,136 4,728,143 5,003,688
02/29/2004 5,764,003 4,769,917 5,064,904
03/31/2004 5,824,522 4,802,695 5,111,395
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Fixed Lipper BBB Rated Lehman
Income Fund Funds Index Government/Credit Index
------------------- ---------------- -----------------
01/17/1995 $3,000,000 $3,000,000 $3,000,000
01/31/1995 3,027,000 3,000,000 3,000,000
02/28/1995 3,096,000 3,068,543 3,069,564
03/31/1995 3,150,000 3,092,644 3,090,149
04/30/1995 3,243,000 3,148,254 3,133,259
05/31/1995 3,414,000 3,284,046 3,264,577
06/30/1995 3,465,000 3,308,853 3,290,669
07/31/1995 3,462,000 3,301,093 3,277,984
08/31/1995 3,531,000 3,349,649 3,319,921
09/30/1995 3,630,000 3,388,917 3,353,642
10/31/1995 3,642,000 3,434,063 3,402,892
11/30/1995 3,732,000 3,490,379 3,458,913
12/31/1995 3,806,832 3,547,988 3,509,879
01/31/1996 3,898,601 3,576,674 3,531,727
02/29/1996 3,787,845 3,501,430 3,456,792
03/31/1996 3,768,859 3,475,600 3,427,765
04/30/1996 3,734,050 3,453,413 3,404,246
05/31/1996 3,768,859 3,451,048 3,398,513
06/30/1996 3,816,325 3,490,593 3,443,881
07/31/1996 3,809,996 3,499,241 3,451,916
08/31/1996 3,860,628 3,497,505 3,443,430
09/30/1996 3,980,730 3,567,498 3,504,642
10/31/1996 4,107,707 3,653,128 3,586,439
11/30/1996 4,263,254 3,734,576 3,652,482
12/31/1996 4,195,748 3,698,449 3,611,764
01/31/1997 4,209,642 3,710,200 3,616,053
02/28/1997 4,268,688 3,731,364 3,623,682
03/31/1997 4,220,061 3,673,749 3,580,616
04/30/1997 4,265,214 3,728,019 3,632,981
05/31/1997 4,369,413 3,770,718 3,666,882
06/30/1997 4,463,193 3,826,934 3,710,896
07/31/1997 4,666,788 3,959,255 3,824,428
08/31/1997 4,574,797 3,906,810 3,781,498
09/30/1997 4,709,246 3,975,534 3,840,950
10/31/1997 4,719,860 4,015,911 3,902,478
11/30/1997 4,755,241 4,035,537 3,923,018
12/31/1997 4,757,846 4,078,834 3,964,187
01/31/1998 4,814,532 4,130,891 4,020,073
02/28/1998 4,856,102 4,129,376 4,011,902
03/31/1998 4,927,904 4,150,335 4,024,271
04/30/1998 4,946,799 4,168,110 4,044,495
05/31/1998 4,950,578 4,203,756 4,087,967
06/30/1998 4,954,357 4,234,601 4,129,542
07/31/1998 4,911,460 4,231,308 4,132,838
08/31/1998 4,577,192 4,200,557 4,213,597
09/30/1998 4,736,729 4,287,155 4,334,081
10/31/1998 4,687,348 4,234,277 4,303,474
11/30/1998 4,938,049 4,312,564 4,329,115
12/31/1998 4,933,929 4,323,287 4,339,723
01/31/1999 5,016,852 4,360,906 4,370,555
02/28/1999 4,917,344 4,266,552 4,266,684
03/31/1999 5,079,044 4,314,095 4,287,855
04/30/1999 5,236,598 4,345,035 4,298,509
05/31/1999 5,120,506 4,286,414 4,254,134
06/30/1999 5,091,483 4,263,900 4,240,863
07/31/1999 5,016,852 4,242,383 4,229,126
08/31/1999 4,975,390 4,226,685 4,225,740
09/30/1999 5,012,706 4,263,008 4,263,840
10/31/1999 5,025,144 4,271,382 4,274,900
11/30/1999 5,058,313 4,281,720 4,272,508
12/31/1999 5,119,028 4,274,806 4,246,506
01/31/2000 5,101,253 4,262,269 4,245,332
02/29/2000 5,256,779 4,314,699 4,298,555
03/31/2000 5,314,546 4,354,457 4,360,670
04/30/2000 5,172,351 4,301,627 4,339,408
05/31/2000 5,092,366 4,268,904 4,335,481
06/30/2000 5,252,336 4,376,922 4,424,004
07/31/2000 5,278,997 4,395,678 4,470,862
08/31/2000 5,385,644 4,475,865 4,533,970
09/30/2000 5,310,102 4,488,608 4,551,034
10/31/2000 5,176,794 4,474,101 4,579,563
11/30/2000 5,150,133 4,515,574 4,657,885
12/31/2000 5,315,552 4,610,131 4,749,794
01/31/2001 5,507,796 4,721,649 4,829,469
02/28/2001 5,517,408 4,768,280 4,879,306
03/31/2001 5,387,643 4,765,312 4,901,696
04/30/2001 5,325,164 4,739,177 4,864,951
05/31/2001 5,421,286 4,781,924 4,892,939
06/30/2001 5,397,256 4,787,513 4,916,413
07/31/2001 5,502,990 4,896,102 5,038,928
08/31/2001 5,603,918 4,954,812 5,103,617
09/30/2001 5,397,256 4,912,471 5,150,564
10/31/2001 5,541,439 5,016,634 5,281,250
11/30/2001 5,608,724 4,984,162 5,194,578
12/31/2001 5,565,337 4,953,725 5,153,634
01/31/2002 5,602,159 4,980,811 5,191,508
02/28/2002 5,623,200 5,004,626 5,235,566
03/31/2002 5,644,240 4,939,012 5,129,347
04/30/2002 5,807,308 5,014,577 5,228,705
05/31/2002 5,886,212 5,054,226 5,276,962
06/30/2002 5,796,788 5,030,464 5,321,833
07/31/2002 5,638,980 5,005,272 5,385,934
08/31/2002 5,844,130 5,106,450 5,506,689
09/30/2002 5,759,966 5,152,437 5,625,142
10/31/2002 5,802,048 5,115,672 5,571,378
11/30/2002 6,012,457 5,189,387 5,574,673
12/31/2002 6,206,313 5,310,199 5,722,378
01/31/2003 6,377,916 5,345,378 5,722,197
02/28/2003 6,538,079 5,435,337 5,824,128
03/31/2003 6,606,720 5,444,646 5,816,544
04/30/2003 6,961,367 5,554,517 5,878,704
05/31/2003 7,338,894 5,699,993 6,045,775
06/30/2003 7,436,136 5,707,393 6,021,579
07/31/2003 7,138,690 5,512,903 5,769,145
08/31/2003 7,218,772 5,556,422 5,807,199
09/30/2003 7,573,418 5,727,537 5,991,153
10/31/2003 7,647,779 5,704,854 5,915,314
11/30/2003 7,836,543 5,744,045 5,931,024
12/31/2003 8,077,754 5,827,772 5,989,528
01/31/2004 8,145,068 5,880,805 6,043,924
02/29/2004 8,181,785 5,932,764 6,117,866
03/31/2004 8,267,459 5,973,533 6,174,023
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES GLOBAL BOND FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman Global
Aggregate Index, during the six-month period ended March 31, 2004, primarily
due to a combination of currency market selection and out-performance of
corporate and emerging market securities. The Fund was under-weighted in the
U.S. dollar and over-weighted in the outperforming Australian dollar, U.K.
sterling, euro, Norwegian krone and Danish krone. However, we maintained an
under-weighted position in the Japanese yen, which was a negative influence on
relative performance, because the yen performed strongly during the period.
Out-performance among the Fund's dollar-pay corporate and emerging market bonds
also boosted the Fund's return. Although the U.S. dollar underperformed other
currencies, the dollar segment of the Fund was well ahead of that of the Index.
Our overall strategy as the period unfolded gradually became more cautious, and
we sought to reduce risk. For example, we reduced the Fund's duration
(sensitivity to interest rate changes) from 5.45 years to 4.36 years,
reflecting our expectation for higher interest rates. We also increased the
Fund's overall quality rating by scaling back the Fund's corporate exposure. We
also worked toward moving the Fund's currency composition closer to that of the
benchmark. As such, we increased the Fund's exposure to the yen, the Singapore
dollar and the UK sterling. We funded these additions by reducing our positions
in the Australian and Canadian dollars, Scandinavian currencies and the euro.
OUTLOOK | We expect a slow motion bond bear market in the U.S. In turn, any
bear market in U.S. Treasuries may be "echoed" in non-dollar markets. We also
believe several markets may generate relative out-performance, including
Canada, where policymakers recently reduced interest rates; Australia, New
Zealand and the United Kingdom, where the monetary policy authorities have
been tightening; and euro nations, where there is little evidence that
inflation may be bottoming.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of high current
income and capital appreciation
STRATEGY | Invests primarily in investment grade fixed income securities
worldwide, although it may invest up to 20% of assets in lower rated fixed
income securities
FUND INCEPTION DATE | 5/10/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/10/91; Retail: 1/2/97
EXPENSE RATIO | Institutional: 0.82%; Retail: 1.07%
TOTAL NET ASSETS | $488.5 million
[PHOTO] [PHOTO]
Ken Buntrock David Rolley
KEN BUNTROCK DAVID ROLLEY
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
-------------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND:
INSTITUTIONAL 7.72% 17.91% 9.31% 9.50% 9.51%
RETAIL(b) 7.66 17.75 9.06 9.31 9.36
LIPPER GLOBAL INCOME FUNDS
INDEX(c) 5.78 12.04 6.37 6.48 6.79
LEHMAN GLOBAL AGGREGATE
INDEX(c) 6.12 11.77 6.55 7.17 7.83
CUMULATIVE PERFORMANCE(d) INCEPTION TO MARCH 31, 2004(e)
[CHART]
Loomis Lipper Lehman
Sayles Global Global Income Global Aggregate
Bond Fund Funds Index Bond Index
------------- -------------- ----------------
05/10/1991 $250,000 $250,000 $250,000
05/31/1991 250,000 251,066 250,774
06/30/1991 239,000 246,761 248,717
07/31/1991 246,500 250,533 253,408
08/31/1991 250,000 254,203 258,608
09/30/1991 263,250 262,445 267,105
10/31/1991 264,522 265,274 270,291
11/30/1991 270,551 265,561 273,610
12/31/1991 292,182 274,664 285,582
01/31/1992 281,656 270,112 281,156
02/29/1992 279,345 271,363 281,156
03/31/1992 277,804 269,907 278,744
04/30/1992 280,366 271,958 280,558
05/31/1992 290,088 277,657 288,502
06/30/1992 301,124 281,819 295,074
07/31/1992 308,778 286,678 301,137
08/31/1992 305,556 288,523 307,532
09/30/1992 296,159 285,099 308,617
10/31/1992 299,887 284,669 301,691
11/30/1992 293,296 281,798 298,836
12/31/1992 294,648 284,341 302,133
01/31/1993 295,219 288,134 307,333
02/28/1993 301,500 294,756 312,179
03/31/1993 308,923 297,769 315,565
04/30/1993 318,372 301,398 320,101
05/31/1993 320,394 304,699 322,269
06/30/1993 309,705 308,615 323,929
07/31/1993 306,224 312,203 324,040
08/31/1993 322,493 319,686 332,293
09/30/1993 329,757 319,460 335,170
10/31/1993 335,557 323,766 335,502
11/30/1993 332,348 321,654 332,515
12/31/1993 337,705 328,768 335,612
01/31/1994 344,117 332,807 339,595
02/28/1994 334,041 321,613 335,325
03/31/1994 325,186 311,608 331,253
04/30/1994 323,057 309,189 330,457
05/31/1994 315,940 306,954 328,598
06/30/1994 304,800 304,330 330,811
07/31/1994 306,702 306,790 335,612
08/31/1994 305,446 306,852 335,214
09/30/1994 303,876 307,672 334,683
10/31/1994 304,818 310,665 338,201
11/30/1994 308,585 309,312 334,816
12/31/1994 308,271 305,089 336,387
01/31/1995 306,388 305,519 343,424
02/28/1995 305,760 309,804 351,898
03/31/1995 299,167 317,841 363,670
04/30/1995 312,666 325,509 369,357
05/31/1995 331,501 336,272 380,731
06/30/1995 327,734 336,006 383,342
07/31/1995 336,524 338,548 385,134
08/31/1995 347,511 337,318 380,443
09/30/1995 354,418 342,956 387,502
10/31/1995 358,499 346,113 392,127
11/30/1995 373,567 352,038 396,796
12/31/1995 381,972 359,234 402,527
01/31/1996 391,026 363,437 400,978
02/29/1996 382,978 357,081 397,327
03/31/1996 384,990 357,370 396,110
04/30/1996 392,368 360,428 394,273
05/31/1996 394,715 361,462 394,649
06/30/1996 403,770 364,980 399,296
07/31/1996 403,099 368,718 404,496
08/31/1996 407,459 372,074 405,293
09/30/1996 419,807 379,145 409,718
10/31/1996 429,923 386,822 418,680
11/30/1996 443,410 396,235 425,230
12/31/1996 439,345 395,240 422,287
01/31/1997 434,009 391,862 415,472
02/28/1997 441,124 392,152 413,524
03/31/1997 437,211 387,279 409,652
04/30/1997 435,076 388,396 410,581
05/31/1997 445,037 393,965 417,861
06/30/1997 454,998 398,752 422,376
07/31/1997 459,979 402,103 424,323
08/31/1997 454,642 400,058 423,349
09/30/1997 463,892 408,578 431,935
10/31/1997 457,488 408,160 439,790
11/30/1997 456,065 408,188 437,400
12/31/1997 449,483 409,529 438,263
01/31/1998 459,361 412,561 442,423
02/28/1998 468,100 416,102 444,857
03/31/1998 462,781 417,855 443,707
04/30/1998 468,860 421,175 449,217
05/31/1998 467,340 420,675 452,359
06/30/1998 457,842 419,410 453,222
07/31/1998 462,021 421,237 455,899
08/31/1998 434,665 406,117 465,458
09/30/1998 453,282 422,772 487,498
10/31/1998 479,119 426,377 493,738
11/30/1998 498,876 430,879 490,750
12/31/1998 497,079 435,448 498,340
01/31/1999 506,938 436,374 496,371
02/28/1999 499,955 425,180 481,612
03/31/1999 516,387 428,577 482,253
04/30/1999 536,517 432,467 481,767
05/31/1999 523,371 423,828 474,752
06/30/1999 517,619 419,835 467,870
07/31/1999 520,084 421,319 475,062
08/31/1999 513,922 420,446 474,309
09/30/1999 517,619 424,241 480,151
10/31/1999 515,565 423,671 479,421
11/30/1999 511,913 421,485 474,177
12/31/1999 516,070 423,495 472,561
01/31/2000 503,022 416,554 464,485
02/29/2000 505,721 420,018 463,622
03/31/2000 511,571 425,040 472,893
04/30/2000 493,573 416,976 461,343
05/31/2000 494,923 416,803 463,467
06/30/2000 507,971 425,915 475,217
07/31/2000 502,572 424,616 470,481
08/31/2000 497,173 424,368 468,401
09/30/2000 491,774 423,763 469,729
10/31/2000 476,476 419,545 465,923
11/30/2000 485,152 425,645 473,933
12/31/2000 514,330 441,175 487,564
01/31/2001 522,456 445,650 489,910
02/28/2001 521,978 444,968 490,728
03/31/2001 509,550 439,889 480,660
04/30/2001 508,116 437,773 480,085
05/31/2001 499,512 438,319 480,992
06/30/2001 505,726 438,514 477,607
07/31/2001 517,198 445,166 488,560
08/31/2001 540,142 454,635 503,275
09/30/2001 529,626 452,898 507,169
10/31/2001 543,488 461,907 511,750
11/30/2001 547,312 456,941 505,797
12/31/2001 540,620 452,193 495,242
01/31/2002 535,840 451,313 490,795
02/28/2002 542,054 453,038 494,092
03/31/2002 543,488 450,254 491,171
04/30/2002 562,608 459,768 505,709
05/31/2002 577,427 466,122 517,038
06/30/2002 593,679 473,334 535,050
07/31/2002 586,509 472,742 539,852
08/31/2002 599,415 480,889 548,659
09/30/2002 606,107 485,188 554,722
10/31/2002 606,585 484,526 553,151
11/30/2002 619,013 487,318 554,589
12/31/2002 650,882 505,008 577,071
01/31/2003 668,920 511,351 583,555
02/28/2003 679,442 519,208 591,100
03/31/2003 683,451 521,022 592,583
04/30/2003 703,994 530,643 600,195
05/31/2003 742,576 550,233 621,526
06/30/2003 736,563 546,477 614,777
07/31/2003 708,504 530,437 596,875
08/31/2003 703,994 529,478 595,504
09/30/2003 748,088 551,861 624,115
10/31/2003 742,576 548,563 620,641
11/30/2003 759,612 554,250 628,739
12/31/2003 789,187 571,725 649,274
01/31/2004 791,272 574,490 651,686
02/29/2004 800,134 577,152 655,049
03/31/2004 805,868 583,736 662,307
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, the beginning value of the index is the value as of the month
end closest to the Fund's inception date. (b) Performance shown for periods
prior to the inception date of the Retail Class (12/31/96) represents the
performance of the Institutional Class of shares during the periods shown,
adjusted to reflect the current levels of management and 12b-1 fees payable by
the respective classes of shares. (c) See page 10 for a description of the
indexes. (d) Performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would be lower due to higher fees.
(e) The mountain chart is based on the Institutional Class minimum initial
investment of $250,000. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of these securities and that of the fund. Foreign
investments involve special risks including greater economic, political and
currency fluctuation risks, which may be even greater in emerging markets.
Foreign countries may have different accounting standards than those of the
U.S. Securities issued by U.S. Government sponsored agencies are not issued,
and may not be guaranteed by the U.S. Government.
5
FUND AND MANAGER REVIEW
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman High Yield
Index, for the six-month period ended March 31, 2004. The Lehman High Yield
Index replaced the Merrill Lynch U.S. High Yield Master CPO Index as the Fund's
comparative index because we believe it is more representative of the types of
bonds in which the Fund can invest. Outperformance was due to the Fund's strong
security selections within the high yield sector combined with solid
performance of its convertibles and emerging market sectors. These three
sectors represented the fixed income market's best-performing areas for
the period.
Reducing market risk and maintaining over-weights in credit sectors remained
our key strategies for protecting the Fund from a potential rising-rate
environment and to capture cyclical improvements in credit quality.
From a cyclical perspective, we are focused on the lower rungs of the credit
qualities available. Longer term, we are focused on positioning the Fund for a
likely rising interest rate environment. We are searching for upgrade
candidates (three to five years from now) whose improving credit-quality
potential may help offset the price declines associated with rising yields. Our
recent strategy of purchasing credits on the way down and holding them until
their quality ratings rebound may be too risky in a climate of rising interest
rates.
OUTLOOK | The bond market's reaction to the March spike in employment was swift
and steep, with the 10-year Treasury yield increasing a quarter of a percentage
point on news of the month's jobs growth. The coming months may bring
further--albeit more moderate--job gains that will increasingly put pressure on
yields and the Federal Reserve. We believe the current low rate of inflation
gives the Federal Reserve breathing room to wait until after the November
election to hike rates.
We will continue to focus on selecting securities--particularly in the high
yield sector--poised to benefit from improving credit-quality trends. We
believe the high yield segment may offer some of the best fixed income returns
in 2004, primarily due to their income advantages and potential for cyclical
gains.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests in primarily lower rated fixed income securities and other
securities that are expected to produce a relatively high level of income
(including income producing preferred and common stocks)
FUND INCEPTION DATE | 6/5/96
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.75%
TOTAL NET ASSETS | $93.9 million
[PHOTO]
Daniel Fuss
DANIEL FUSS
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
- ------------------------------------------------------------------------------------------
LOOMIS SAYLES INSTITUTIONAL
HIGH INCOME FUND 14.16% 37.67% 9.30% 7.44% 7.61%
LIPPER HIGH YIELD BOND
FUNDS INDEX(b) 7.89 21.15 2.64 3.71 4.78
MERRILL LYNCH U.S. HIGH YIELD MASTER
CPO INDEX(b) 8.21 21.67 5.71 6.16 6.97
LEHMAN HIGH YIELD INDEX 8.39 22.66 5.33 5.68 6.57
CUMULATIVE PERFORMANCE REGISTRATION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Merrill Lynch Lehman
Institutional Lipper High Yield U.S. High Yield High Yield
High Income Fund Bond Funds Index Master CPO Index Index
---------------- ---------------- ---------------- --------------
03/07/1997 $3,000,000 $3,000,000 $3,000,000 $3,000,000
03/31/1997 2,961,300 2,935,019 2,966,681 2,956,675
04/30/1997 2,999,952 2,960,015 3,000,446 2,985,600
05/31/1997 3,089,147 3,038,341 3,060,914 3,051,777
06/30/1997 3,148,611 3,090,391 3,107,516 3,094,100
07/31/1997 3,306,190 3,172,824 3,182,090 3,179,060
08/31/1997 3,303,217 3,180,038 3,176,523 3,171,860
09/30/1997 3,404,306 3,257,060 3,229,138 3,234,719
10/31/1997 3,303,217 3,244,290 3,250,568 3,237,599
11/30/1997 3,318,083 3,267,845 3,281,334 3,268,527
12/31/1997 3,287,773 3,306,367 3,312,470 3,297,202
01/31/1998 3,333,619 3,370,604 3,361,804 3,356,554
02/28/1998 3,399,112 3,402,372 3,375,677 3,376,213
03/31/1998 3,507,176 3,451,685 3,404,768 3,407,893
04/30/1998 3,497,352 3,462,458 3,420,940 3,421,354
05/31/1998 3,402,387 3,458,631 3,444,759 3,433,249
06/30/1998 3,323,795 3,464,701 3,461,817 3,445,583
07/31/1998 3,283,317 3,488,336 3,481,559 3,465,180
08/31/1998 2,784,543 3,222,514 3,331,327 3,273,974
09/30/1998 2,777,937 3,203,193 3,337,971 3,288,812
10/31/1998 2,774,634 3,130,474 3,283,132 3,221,383
11/30/1998 3,042,188 3,314,300 3,432,665 3,355,052
12/31/1998 2,996,069 3,303,951 3,433,804 3,358,746
01/31/1999 3,069,426 3,363,790 3,467,755 3,408,645
02/28/1999 3,050,122 3,350,254 3,441,307 3,388,547
03/31/1999 3,192,975 3,409,321 3,470,961 3,420,853
04/30/1999 3,393,743 3,497,486 3,525,250 3,487,155
05/31/1999 3,297,220 3,431,058 3,500,800 3,439,949
06/30/1999 3,347,412 3,431,561 3,494,230 3,432,623
07/31/1999 3,320,385 3,432,623 3,499,379 3,446,397
08/31/1999 3,250,889 3,397,795 3,465,229 3,408,331
09/30/1999 3,243,167 3,371,317 3,450,553 3,383,789
10/31/1999 3,320,385 3,361,592 3,430,351 3,361,313
11/30/1999 3,397,604 3,420,818 3,469,608 3,400,568
12/31/1999 3,475,165 3,461,999 3,487,812 3,439,072
01/31/2000 3,462,294 3,444,984 3,470,493 3,424,234
02/29/2000 3,569,552 3,469,424 3,473,479 3,430,870
03/31/2000 3,573,842 3,409,362 3,424,908 3,358,746
04/30/2000 3,539,520 3,394,490 3,426,095 3,364,130
05/31/2000 3,458,003 3,334,061 3,388,369 3,329,633
06/30/2000 3,556,681 3,395,777 3,446,365 3,397,437
07/31/2000 3,552,391 3,401,865 3,471,214 3,423,357
08/31/2000 3,672,520 3,419,649 3,513,581 3,446,773
09/30/2000 3,573,842 3,369,326 3,493,063 3,416,658
10/31/2000 3,415,100 3,254,168 3,390,586 3,307,219
11/30/2000 3,183,423 3,072,498 3,284,354 3,176,242
12/31/2000 3,275,908 3,125,800 3,355,578 3,237,598
01/31/2001 3,554,504 3,333,190 3,555,686 3,480,143
02/28/2001 3,549,701 3,343,728 3,611,843 3,526,473
03/31/2001 3,405,599 3,232,797 3,564,047 3,443,454
04/30/2001 3,338,352 3,190,415 3,525,120 3,400,568
05/31/2001 3,400,796 3,224,914 3,592,960 3,461,799
06/30/2001 3,323,942 3,129,947 3,518,853 3,364,693
07/31/2001 3,328,745 3,148,290 3,573,541 3,414,216
08/31/2001 3,352,762 3,162,241 3,608,185 3,454,473
09/30/2001 3,127,003 2,938,954 3,376,727 3,222,322
10/31/2001 3,160,626 3,006,177 3,476,164 3,302,022
11/30/2001 3,290,318 3,101,659 3,589,123 3,422,480
12/31/2001 3,283,593 3,093,281 3,563,787 3,408,519
01/31/2002 3,283,593 3,100,728 3,583,721 3,432,247
02/28/2002 3,177,128 3,045,930 3,549,234 3,384,352
03/31/2002 3,311,610 3,106,216 3,633,556 3,465,805
04/30/2002 3,367,644 3,138,694 3,691,326 3,521,213
05/31/2002 3,334,024 3,107,195 3,671,350 3,501,680
06/30/2002 3,132,301 2,932,255 3,410,362 3,243,483
07/31/2002 2,997,820 2,836,135 3,274,662 3,101,801
08/31/2002 3,059,457 2,884,966 3,356,539 3,190,266
09/30/2002 2,933,717 2,844,823 3,302,730 3,148,381
10/31/2002 2,958,114 2,826,824 3,274,895 3,120,896
11/30/2002 3,214,281 2,989,777 3,471,071 3,314,230
12/31/2002 3,277,017 3,018,826 3,522,999 3,360,560
01/31/2003 3,441,184 3,085,588 3,624,406 3,472,441
02/28/2003 3,504,325 3,126,937 3,671,007 3,515,265
03/31/2003 3,617,978 3,204,996 3,766,099 3,616,378
04/30/2003 3,902,113 3,362,352 3,977,732 3,830,936
05/31/2003 4,047,337 3,402,342 4,020,717 3,870,505
06/30/2003 4,160,991 3,494,011 4,130,333 3,981,822
07/31/2003 4,110,478 3,467,076 4,071,362 3,938,059
08/31/2003 4,154,677 3,513,632 4,124,622 3,983,325
09/30/2003 4,363,112 3,598,950 4,234,794 4,092,200
10/31/2003 4,514,580 3,679,708 4,321,291 4,174,843
11/30/2003 4,647,176 3,722,340 4,380,764 4,238,140
12/31/2003 4,850,466 3,814,498 4,482,198 4,334,119
01/31/2004 4,953,521 3,875,711 4,551,905 4,416,824
02/29/2004 4,926,040 3,868,130 4,550,299 4,405,743
03/31/2004 4,981,083 3,882,885 4,582,307 4,435,669
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper High Merrill Lynch U.S. Lehman
Institutional Yield Bond High Yield High Yield
High Income Fund Funds Index Master CPO Index Index
---------------- ----------- ---------------- ---------------
06/05/1996 $3,000,000 $3,000,000 $3,000,000 $3,000,000
06/30/1996 3,009,000 3,001,875 3,018,021 3,024,817
07/31/1996 2,991,000 3,015,534 3,038,511 3,038,898
08/31/1996 3,033,000 3,064,208 3,069,890 3,071,731
09/30/1996 3,114,000 3,144,098 3,135,756 3,145,762
10/31/1996 3,132,000 3,159,086 3,170,122 3,169,951
11/30/1996 3,222,000 3,213,523 3,234,212 3,233,107
12/31/1996 3,229,079 3,253,122 3,259,099 3,255,623
01/31/1997 3,244,970 3,285,381 3,284,145 3,285,389
02/28/1997 3,219,544 3,340,543 3,330,215 3,340,250
03/31/1997 3,165,514 3,268,186 3,293,228 3,292,011
04/30/1997 3,206,831 3,296,019 3,330,710 3,324,217
05/31/1997 3,302,178 3,383,236 3,397,834 3,397,899
06/30/1997 3,365,743 3,441,195 3,449,565 3,445,023
07/31/1997 3,534,189 3,532,985 3,532,347 3,539,618
08/31/1997 3,531,011 3,541,018 3,526,168 3,531,601
09/30/1997 3,639,070 3,626,784 3,584,574 3,601,589
10/31/1997 3,531,011 3,612,564 3,608,363 3,604,796
11/30/1997 3,546,902 3,638,792 3,642,515 3,639,232
12/31/1997 3,514,502 3,681,687 3,677,079 3,671,159
01/31/1998 3,563,509 3,753,216 3,731,843 3,737,243
02/28/1998 3,633,519 3,788,591 3,747,243 3,759,132
03/31/1998 3,749,035 3,843,501 3,779,536 3,794,405
04/30/1998 3,738,534 3,855,496 3,797,488 3,809,392
05/31/1998 3,637,019 3,851,235 3,823,929 3,822,637
06/30/1998 3,553,007 3,857,994 3,842,865 3,836,370
07/31/1998 3,509,738 3,884,313 3,864,780 3,858,189
08/31/1998 2,976,569 3,588,316 3,698,011 3,645,297
09/30/1998 2,969,507 3,566,802 3,705,387 3,661,818
10/31/1998 2,965,976 3,485,828 3,644,512 3,586,741
11/30/1998 3,251,981 3,690,521 3,810,503 3,735,570
12/31/1998 3,202,681 3,678,996 3,811,768 3,739,683
01/31/1999 3,281,097 3,745,628 3,849,456 3,795,241
02/28/1999 3,260,461 3,730,556 3,820,097 3,772,865
03/31/1999 3,413,166 3,796,327 3,853,014 3,808,835
04/30/1999 3,627,779 3,894,501 3,913,280 3,882,657
05/31/1999 3,524,600 3,820,533 3,886,138 3,830,096
06/30/1999 3,578,253 3,821,093 3,878,846 3,821,940
07/31/1999 3,549,363 3,822,275 3,884,561 3,837,276
08/31/1999 3,475,074 3,783,494 3,846,652 3,794,893
09/30/1999 3,466,819 3,754,010 3,830,360 3,767,567
10/31/1999 3,549,363 3,743,181 3,807,935 3,742,542
11/30/1999 3,631,906 3,809,130 3,851,513 3,786,249
12/31/1999 3,714,816 3,854,985 3,871,721 3,829,120
01/31/2000 3,701,057 3,836,039 3,852,496 3,812,599
02/29/2000 3,815,712 3,863,253 3,855,811 3,819,988
03/31/2000 3,820,298 3,796,373 3,801,893 3,739,684
04/30/2000 3,783,609 3,779,813 3,803,211 3,745,679
05/31/2000 3,696,471 3,712,525 3,761,332 3,707,269
06/30/2000 3,801,954 3,781,245 3,825,712 3,782,764
07/31/2000 3,797,367 3,788,025 3,853,296 3,811,623
08/31/2000 3,925,781 3,807,828 3,900,326 3,837,695
09/30/2000 3,820,298 3,751,792 3,877,551 3,804,165
10/31/2000 3,650,609 3,623,562 3,763,793 3,682,313
11/30/2000 3,402,955 3,421,271 3,645,868 3,536,482
12/31/2000 3,501,818 3,480,622 3,724,932 3,604,797
01/31/2001 3,799,626 3,711,555 3,947,067 3,874,850
02/28/2001 3,794,492 3,723,289 4,009,405 3,926,434
03/31/2001 3,640,453 3,599,766 3,956,348 3,834,000
04/30/2001 3,568,568 3,552,572 3,913,135 3,786,249
05/31/2001 3,635,318 3,590,988 3,988,443 3,854,425
06/30/2001 3,553,164 3,485,241 3,906,178 3,746,306
07/31/2001 3,558,299 3,505,666 3,966,886 3,801,446
08/31/2001 3,583,972 3,521,201 4,005,343 3,846,269
09/30/2001 3,342,644 3,272,568 3,748,409 3,587,788
10/31/2001 3,378,587 3,347,421 3,858,790 3,676,528
11/30/2001 3,517,222 3,453,742 3,984,183 3,810,648
12/31/2001 3,510,033 3,444,413 3,956,058 3,795,103
01/31/2002 3,510,033 3,452,705 3,978,186 3,821,522
02/28/2002 3,396,227 3,391,687 3,939,904 3,768,195
03/31/2002 3,539,982 3,458,816 4,033,506 3,858,886
04/30/2002 3,599,881 3,494,981 4,097,635 3,920,579
05/31/2002 3,563,942 3,459,907 4,075,461 3,898,830
06/30/2002 3,348,308 3,265,108 3,785,746 3,611,349
07/31/2002 3,204,553 3,158,077 3,635,109 3,453,598
08/31/2002 3,270,441 3,212,452 3,725,999 3,552,097
09/30/2002 3,136,029 3,167,752 3,666,266 3,505,461
10/31/2002 3,162,109 3,147,709 3,635,368 3,474,859
11/30/2002 3,435,941 3,329,160 3,853,136 3,690,121
12/31/2002 3,503,004 3,361,506 3,910,781 3,741,705
01/31/2003 3,678,491 3,435,847 4,023,349 3,866,276
02/28/2003 3,745,986 3,481,889 4,075,081 3,913,957
03/31/2003 3,867,478 3,568,810 4,180,639 4,026,537
04/30/2003 4,171,207 3,744,027 4,415,567 4,265,430
05/31/2003 4,326,446 3,788,557 4,463,283 4,309,486
06/30/2003 4,447,937 3,890,632 4,584,965 4,433,429
07/31/2003 4,393,941 3,860,639 4,519,502 4,384,703
08/31/2003 4,441,188 3,912,480 4,578,625 4,435,102
09/30/2003 4,663,922 4,007,482 4,700,924 4,556,326
10/31/2003 4,825,911 4,097,408 4,796,942 4,648,342
11/30/2003 4,967,651 4,144,879 4,862,960 4,718,818
12/31/2003 5,184,960 4,247,498 4,975,559 4,825,682
01/31/2004 5,295,122 4,315,660 5,052,939 4,917,768
02/29/2004 5,265,745 4,307,219 5,051,156 4,905,429
03/31/2004 5,324,498 4,323,648 5,086,688 4,938,750
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with regulations, performance
information is provided for the period beginning on March 7, 1997
("Registration"). Performance from inception is also provided for the
convenience of our long term shareholders. Since index performance data is not
available coincident with the Fund's inception and registration dates,
comparative performance is presented from the month end closest to the Fund's
inception and registration dates. (b) See page 10 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman
Government/Credit Intermediate Index, during the six-month period ended March
31, 2004, primarily due to the Fund's over-weighted position in investment
grade and high yield corporate credits. A combination of favorable
credit-quality trends and strong demand for yield caused corporate spreads to
tighten during the period.
Our agency positions generated negative returns for the period. Rising interest
rates, due to increased expectations for a sustained economic recovery, caused
U.S. government and agency debt to under-perform corporate issues.
We slightly extended the Fund's duration (sensitivity to interest rate changes)
during the six months, moving from 3.84 years at the beginning of the period to
3.91 at the end. More recently, we shifted to a shorter duration stance to
reduce the Fund's interest-rate sensitivity.
OUTLOOK | A strong March jobs report and upward revisions for job gains in
January and February indicate the labor market was healthier in the first
quarter of 2004 than the market assumed. This validates our forecast, and joins
other positive signals coming from the housing and manufacturing sectors. We
believe the coming months will likely bring further--albeit more moderate--job
gains that may put increasing pressure on yields and the Federal Reserve.
Nevertheless, low inflation may give the Federal Reserve some breathing room to
wait until after the November election to raise rates. Yet, yields may rise
higher in the second half of 2004, in anticipation of a Federal Reserve
tightening.
We will continue to focus on credits that may benefit from the strengthening
credit-quality trends. The Fund remains over-weighted in BBB- and A-rated
securities in an attempt to capitalize on the improving economy and credit
fundamentals.
KEY FUND FACTS
OBJECTIVE | Above-average total return through a combination of current income
and capital appreciation
STRATEGY | Invests primarily in investment grade fixed income securities. The
Fund's weighted average duration generally is two to five years
FUND INCEPTION DATE | 1/28/98
EXPENSE RATIO | 0.45%
TOTAL NET ASSETS | $34.2 million
[PHOTO]
Steven Kaseta
STEVEN KASETA
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION(a)
- -------------------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED
INCOME FUND 3.52% 8.38% 7.15% 6.53%
LIPPER INTERMEDIATE INVESTMENT
GRADE INDEX(b) 3.09 6.19 6.84 6.52
LEHMAN GOVERNMENT/CREDIT
INTERMEDIATE INDEX(b) 2.54 5.30 7.22 6.95
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper Lehman Government
Intermediate Duration Intermediate Credit Intermediate
Fixed Income Fund Investment Grade Index Index
----------------------- ---------------------- ------------------
01/28/1998 $2,000,000 $2,000,000 $2,000,000
01/31/1998 2,008,000 2,000,000 2,000,000
02/28/1998 2,008,000 1,997,109 1,998,476
03/31/1998 2,016,032 2,004,485 2,004,896
04/30/1998 2,024,096 2,013,850 2,014,941
05/31/1998 2,036,265 2,032,011 2,029,721
06/30/1998 2,042,345 2,048,200 2,042,676
07/31/1998 2,050,490 2,052,391 2,049,881
08/31/1998 2,029,932 2,080,194 2,082,096
09/30/1998 2,038,150 2,126,828 2,134,402
10/31/1998 2,042,289 2,109,620 2,132,300
11/30/1998 2,060,991 2,120,139 2,132,139
12/31/1998 2,064,255 2,129,212 2,140,706
01/31/1999 2,083,375 2,142,422 2,152,461
02/28/1999 2,064,256 2,104,181 2,120,823
03/31/1999 2,092,076 2,120,746 2,136,642
04/30/1999 2,115,727 2,127,865 2,143,200
05/31/1999 2,085,445 2,106,194 2,126,712
06/30/1999 2,092,069 2,099,075 2,128,190
07/31/1999 2,087,661 2,091,677 2,126,319
08/31/1999 2,083,183 2,089,448 2,127,936
09/30/1999 2,111,806 2,112,442 2,147,796
10/31/1999 2,118,536 2,115,656 2,153,338
11/30/1999 2,129,662 2,118,141 2,155,994
12/31/1999 2,131,902 2,108,404 2,148,950
01/31/2000 2,125,129 2,100,909 2,141,099
02/29/2000 2,145,495 2,123,716 2,158,742
03/31/2000 2,166,018 2,149,930 2,181,257
04/30/2000 2,154,533 2,136,614 2,176,315
05/31/2000 2,145,363 2,132,737 2,179,710
06/30/2000 2,191,723 2,177,898 2,218,160
07/31/2000 2,212,688 2,196,489 2,235,041
08/31/2000 2,233,727 2,226,945 2,261,437
09/30/2000 2,257,277 2,241,699 2,282,013
10/31/2000 2,254,900 2,249,600 2,292,405
11/30/2000 2,278,724 2,285,400 2,323,557
12/31/2000 2,320,524 2,331,570 2,366,372
01/31/2001 2,373,581 2,372,538 2,405,214
02/28/2001 2,395,444 2,395,339 2,427,938
03/31/2001 2,417,343 2,404,648 2,446,551
04/30/2001 2,419,775 2,391,713 2,440,085
05/31/2001 2,446,848 2,406,442 2,453,825
06/30/2001 2,454,168 2,415,292 2,462,993
07/31/2001 2,496,428 2,473,884 2,514,144
08/31/2001 2,526,418 2,501,127 2,539,293
09/30/2001 2,551,531 2,520,379 2,576,334
10/31/2001 2,584,337 2,571,754 2,619,056
11/30/2001 2,579,401 2,539,460 2,592,822
12/31/2001 2,554,542 2,523,138 2,578,458
01/31/2002 2,557,110 2,541,344 2,591,852
02/28/2002 2,559,708 2,565,908 2,612,451
03/31/2002 2,533,827 2,521,383 2,572,731
04/30/2002 2,546,778 2,566,865 2,615,246
05/31/2002 2,572,936 2,587,935 2,641,364
06/30/2002 2,541,367 2,586,266 2,664,203
07/31/2002 2,515,092 2,596,536 2,695,748
08/31/2002 2,575,921 2,646,576 2,735,907
09/30/2002 2,577,815 2,675,453 2,784,887
10/31/2002 2,569,901 2,665,193 2,773,964
11/30/2002 2,604,861 2,677,862 2,771,586
12/31/2002 2,660,063 2,732,357 2,832,067
01/31/2003 2,670,954 2,740,900 2,831,928
02/28/2003 2,717,521 2,779,984 2,871,787
03/31/2003 2,725,843 2,780,258 2,874,766
04/30/2003 2,767,260 2,812,755 2,896,727
05/31/2003 2,828,223 2,865,211 2,954,922
06/30/2003 2,839,303 2,864,516 2,952,959
07/31/2003 2,766,570 2,767,930 2,872,734
08/31/2003 2,775,025 2,788,989 2,879,523
09/30/2003 2,853,907 2,863,977 2,952,382
10/31/2003 2,836,942 2,843,761 2,924,578
11/30/2003 2,845,408 2,851,270 2,928,550
12/31/2003 2,879,701 2,880,270 2,954,137
01/31/2004 2,902,635 2,903,172 2,973,535
02/29/2004 2,931,153 2,931,372 3,003,879
03/31/2004 2,954,302 2,952,490 3,027,250
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 10 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$2,000,000. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
7
FUND AND MANAGER REVIEW
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, Lehman
Government/Credit Index, for the six-month period ended March 31, 2004,
primarily due to specific over- and under-weights in the Fund's portfolio. For
example, we over-weighted high yield and international securities and
significantly under-weighted the Treasury sector. High yield securities were
among the leading performers for the six-month period, as improving
credit-quality trends and solid demand kept returns strong. International
securities continued to benefit from a weak U.S. dollar. Treasury securities
offered some of the lowest relative returns for the period, so our underweight
had a positive impact on relative performance.
We continued to rely on our research-driven investment process to attempt to
exploit the various pockets of opportunity in the bond market. From a cyclical
angle, we focused on the lower rungs of our credit-quality spectrum. Longer
term, though, we are positioning the Fund for a higher rate environment. We
continue to search for upgrade candidates--or those likely to experience
credit-rating improvements in a three- to five-year timeframe--whose potential
for better credit quality may help offset the effects of the rising yield
environment.
OUTLOOK | The bond market's reaction to the March spike in employment was swift
and steep, with the 10-year Treasury yield increasing a quarter of a percentage
point on news of the month's jobs growth. The coming months may bring
further--albeit more moderate--job gains that will increasingly put pressure on
yields and the Federal Reserve. We believe the current low rate of inflation
gives the Federal Reserve breathing room to wait until after the November
election to hike rates.
Given the interest rate outlook and the price gains already realized in the
market, we believe price appreciation may play a smaller role in bond returns
during the coming months; yield likely will be the driver of bond market
returns. We will continue to focus on selecting securities poised to benefit
from improving credit-quality trends.
KEY FUND FACTS
OBJECTIVE | Above-average total investment return through a combination of
current income and capital appreciation
STRATEGY | Invests in primarily investment grade fixed income securities,
although it may invest up to 10% of its assets in lower rated fixed income
securities and up to 10% of its assets in preferred stocks
FUND INCEPTION DATE | 7/1/94
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.55%
TOTAL NET ASSETS | $166.9 million
[PHOTO] [PHOTO]
Daniel Fuss Steven Kaseta
DANIEL FUSS STEVEN KASETA
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
- -------------------------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE
FIXED INCOME FUND 8.57% 22.44% 11.40% 10.37% 11.57%
LIPPER BBB RATED FUNDS INDEX(b) 4.29 9.71 6.73 6.87 7.56
LEHMAN GOVERNMENT/
CREDIT INDEX(b) 3.05 6.15 7.56 7.81 7.99
CUMULATIVE PERFORMANCE REGISTRATION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper
Investment Grade BBB Rated Lehman
Fixed Income Funds Government/Credit
Fund Index Index
---------- ----- ------------------
03/07/1997 $3,000,000 $3,000,000 $3,000,000
03/31/1997 2,951,400 2,953,678 2,964,347
04/30/1997 2,995,182 2,997,311 3,007,699
05/31/1997 3,044,615 3,031,640 3,035,766
06/30/1997 3,101,885 3,076,838 3,072,204
07/31/1997 3,260,168 3,183,224 3,166,196
08/31/1997 3,167,643 3,141,058 3,130,654
09/30/1997 3,252,854 3,196,312 3,179,874
10/31/1997 3,282,319 3,228,775 3,230,813
11/30/1997 3,287,720 3,244,554 3,247,817
12/31/1997 3,303,667 3,279,365 3,281,901
01/31/1998 3,339,535 3,321,218 3,328,168
02/28/1998 3,358,919 3,320,000 3,321,403
03/31/1998 3,394,915 3,336,851 3,331,643
04/30/1998 3,403,229 3,351,142 3,348,386
05/31/1998 3,425,786 3,379,801 3,384,376
06/30/1998 3,428,622 3,404,600 3,418,796
07/31/1998 3,385,307 3,401,952 3,421,524
08/31/1998 3,207,696 3,377,229 3,488,383
09/30/1998 3,302,636 3,446,853 3,588,130
10/31/1998 3,273,879 3,404,340 3,562,792
11/30/1998 3,393,479 3,467,282 3,584,019
12/31/1998 3,413,796 3,475,903 3,592,802
01/31/1999 3,479,586 3,506,149 3,618,327
02/28/1999 3,425,658 3,430,289 3,532,333
03/31/1999 3,513,163 3,468,512 3,549,861
04/30/1999 3,598,183 3,493,388 3,558,681
05/31/1999 3,530,930 3,446,257 3,521,944
06/30/1999 3,495,829 3,428,157 3,510,956
07/31/1999 3,447,755 3,410,857 3,501,240
08/31/1999 3,433,465 3,398,236 3,498,437
09/30/1999 3,459,850 3,427,440 3,529,979
10/31/1999 3,449,281 3,434,173 3,539,135
11/30/1999 3,472,822 3,442,484 3,537,154
12/31/1999 3,498,594 3,436,926 3,515,628
01/31/2000 3,496,968 3,426,846 3,514,656
02/29/2000 3,598,718 3,468,999 3,558,718
03/31/2000 3,652,339 3,500,964 3,610,143
04/30/2000 3,562,283 3,458,490 3,592,540
05/31/2000 3,537,856 3,432,181 3,589,289
06/30/2000 3,639,156 3,519,026 3,662,576
07/31/2000 3,684,125 3,534,106 3,701,369
08/31/2000 3,756,093 3,598,576 3,753,616
09/30/2000 3,727,519 3,608,822 3,767,742
10/31/2000 3,661,359 3,597,158 3,791,362
11/30/2000 3,717,629 3,630,502 3,856,203
12/31/2000 3,814,737 3,706,526 3,932,293
01/31/2001 3,903,195 3,796,186 3,998,256
02/28/2001 3,943,552 3,833,677 4,039,515
03/31/2001 3,903,044 3,831,290 4,058,052
04/30/2001 3,890,926 3,810,278 4,027,631
05/31/2001 3,949,478 3,844,647 4,050,802
06/30/2001 3,965,059 3,849,140 4,070,235
07/31/2001 4,067,298 3,936,445 4,171,664
08/31/2001 4,173,705 3,983,648 4,225,219
09/30/2001 4,063,598 3,949,606 4,264,086
10/31/2001 4,196,838 4,033,352 4,372,280
11/30/2001 4,199,181 4,007,245 4,300,525
12/31/2001 4,166,308 3,982,774 4,266,628
01/31/2002 4,203,690 4,004,551 4,297,983
02/28/2002 4,233,646 4,023,698 4,334,459
03/31/2002 4,203,591 3,970,945 4,246,521
04/30/2002 4,332,135 4,031,699 4,328,778
05/31/2002 4,431,033 4,063,576 4,368,729
06/30/2002 4,434,635 4,044,471 4,405,877
07/31/2002 4,350,266 4,024,217 4,458,946
08/31/2002 4,465,725 4,105,564 4,558,918
09/30/2002 4,484,990 4,142,537 4,656,983
10/31/2002 4,415,310 4,112,979 4,612,473
11/30/2002 4,532,220 4,172,245 4,615,201
12/31/2002 4,688,978 4,269,378 4,737,483
01/31/2003 4,785,046 4,297,661 4,737,334
02/28/2003 4,917,907 4,369,988 4,821,721
03/31/2003 4,922,214 4,377,472 4,815,442
04/30/2003 5,141,371 4,465,808 4,866,904
05/31/2003 5,467,047 4,582,770 5,005,220
06/30/2003 5,511,827 4,588,720 4,985,188
07/31/2003 5,224,202 4,432,351 4,776,201
08/31/2003 5,269,649 4,467,340 4,807,706
09/30/2003 5,550,744 4,604,916 4,959,999
10/31/2003 5,563,237 4,586,679 4,897,214
11/30/2003 5,704,832 4,618,189 4,910,219
12/31/2003 5,851,914 4,685,504 4,958,654
01/31/2004 5,893,220 4,728,143 5,003,688
02/29/2004 5,956,281 4,769,917 5,064,904
03/31/2004 6,026,410 4,802,695 5,111,395
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Investment Lipper BBB Rated Lehman Government/
Grade Fixed Income Fund Funds Index Credit Index
------------------------ ---------------- -------------------
07/01/1994 $3,000,000 $3,000,000 $3,000,000
07/31/1994 3,036,000 3,051,324 3,059,957
08/31/1994 3,093,000 3,063,344 3,061,210
09/30/1994 3,023,466 3,021,035 3,014,850
10/31/1994 2,996,151 3,011,419 3,011,509
11/30/1994 2,974,640 3,003,366 3,006,126
12/31/1994 2,992,169 3,018,390 3,025,941
01/31/1995 3,045,697 3,067,070 3,084,042
02/28/1995 3,171,917 3,137,145 3,155,555
03/31/1995 3,225,922 3,161,786 3,176,716
04/30/1995 3,315,256 3,218,639 3,221,034
05/31/1995 3,485,329 3,357,467 3,356,031
06/30/1995 3,546,585 3,382,828 3,382,854
07/31/1995 3,523,647 3,374,895 3,369,814
08/31/1995 3,589,161 3,424,537 3,412,926
09/30/1995 3,680,908 3,464,682 3,447,591
10/31/1995 3,730,417 3,510,838 3,498,221
11/30/1995 3,826,600 3,568,413 3,555,811
12/31/1995 3,896,757 3,627,309 3,608,204
01/31/1996 3,964,349 3,656,637 3,630,665
02/29/1996 3,872,852 3,579,711 3,553,630
03/31/1996 3,872,838 3,553,303 3,523,791
04/30/1996 3,841,991 3,530,620 3,499,613
05/31/1996 3,862,358 3,528,202 3,493,719
06/30/1996 3,921,392 3,568,631 3,540,358
07/31/1996 3,931,886 3,577,472 3,548,618
08/31/1996 3,956,008 3,575,697 3,539,893
09/30/1996 4,079,322 3,647,255 3,602,821
10/31/1996 4,249,717 3,734,800 3,686,909
11/30/1996 4,399,452 3,818,069 3,754,802
12/31/1996 4,321,727 3,781,134 3,712,943
01/31/1997 4,314,607 3,793,148 3,717,352
02/28/1997 4,358,828 3,814,785 3,725,195
03/31/1997 4,269,902 3,755,882 3,680,923
04/30/1997 4,333,243 3,811,365 3,734,754
05/31/1997 4,404,759 3,855,019 3,769,606
06/30/1997 4,487,615 3,912,492 3,814,852
07/31/1997 4,716,609 4,047,771 3,931,565
08/31/1997 4,582,750 3,994,153 3,887,432
09/30/1997 4,706,028 4,064,414 3,948,549
10/31/1997 4,748,656 4,105,694 4,011,802
11/30/1997 4,756,470 4,125,758 4,032,917
12/31/1997 4,779,541 4,170,023 4,075,239
01/31/1998 4,831,433 4,223,244 4,132,691
02/28/1998 4,859,476 4,221,695 4,124,291
03/31/1998 4,911,553 4,243,123 4,137,007
04/30/1998 4,923,581 4,261,294 4,157,797
05/31/1998 4,956,214 4,297,737 4,202,487
06/30/1998 4,960,317 4,329,272 4,245,227
07/31/1998 4,897,652 4,325,905 4,248,615
08/31/1998 4,640,695 4,294,467 4,331,636
09/30/1998 4,778,048 4,383,000 4,455,495
10/31/1998 4,736,445 4,328,941 4,424,032
11/30/1998 4,909,475 4,408,978 4,450,391
12/31/1998 4,938,869 4,419,940 4,461,296
01/31/1999 5,034,050 4,458,400 4,492,992
02/28/1999 4,956,029 4,361,937 4,386,210
03/31/1999 5,082,627 4,410,543 4,407,975
04/30/1999 5,205,627 4,442,175 4,418,927
05/31/1999 5,108,331 4,382,243 4,373,309
06/30/1999 5,057,549 4,359,227 4,359,666
07/31/1999 4,987,998 4,337,228 4,347,600
08/31/1999 4,967,325 4,321,180 4,344,120
09/30/1999 5,005,497 4,358,314 4,383,287
10/31/1999 4,990,206 4,366,876 4,394,656
11/30/1999 5,024,264 4,377,445 4,392,197
12/31/1999 5,061,549 4,370,377 4,365,467
01/31/2000 5,059,197 4,357,560 4,364,260
02/29/2000 5,206,402 4,411,161 4,418,974
03/31/2000 5,283,977 4,451,808 4,482,829
04/30/2000 5,153,690 4,397,798 4,460,972
05/31/2000 5,118,351 4,364,343 4,456,934
06/30/2000 5,264,906 4,474,775 4,547,938
07/31/2000 5,329,963 4,493,951 4,596,108
08/31/2000 5,434,083 4,575,930 4,660,984
09/30/2000 5,392,744 4,588,958 4,678,526
10/31/2000 5,297,027 4,574,126 4,707,855
11/30/2000 5,378,436 4,616,527 4,788,370
12/31/2000 5,518,925 4,713,198 4,882,854
01/31/2001 5,646,900 4,827,209 4,964,762
02/28/2001 5,705,286 4,874,883 5,015,995
03/31/2001 5,646,682 4,871,848 5,039,012
04/30/2001 5,629,150 4,845,129 5,001,237
05/31/2001 5,713,860 4,888,832 5,030,009
06/30/2001 5,736,401 4,894,546 5,054,141
07/31/2001 5,884,315 5,005,563 5,180,088
08/31/2001 6,038,258 5,065,585 5,246,589
09/30/2001 5,878,962 5,022,297 5,294,852
10/31/2001 6,071,724 5,128,789 5,429,199
11/30/2001 6,075,114 5,095,591 5,340,098
12/31/2001 6,027,556 5,064,474 5,298,007
01/31/2002 6,081,638 5,092,165 5,336,942
02/28/2002 6,124,977 5,116,512 5,382,235
03/31/2002 6,081,495 5,049,431 5,273,041
04/30/2002 6,267,464 5,126,686 5,375,182
05/31/2002 6,410,544 5,167,222 5,424,790
06/30/2002 6,415,754 5,142,928 5,470,918
07/31/2002 6,293,696 5,117,173 5,536,816
08/31/2002 6,460,734 5,220,613 5,660,953
09/30/2002 6,488,606 5,267,628 5,782,724
10/31/2002 6,387,797 5,230,042 5,727,454
11/30/2002 6,556,935 5,305,405 5,730,842
12/31/2002 6,783,722 5,428,918 5,882,684
01/31/2003 6,922,708 5,464,883 5,882,499
02/28/2003 7,114,923 5,556,853 5,987,285
03/31/2003 7,121,155 5,566,370 5,979,488
04/30/2003 7,438,216 5,678,697 6,043,390
05/31/2003 7,909,384 5,827,426 6,215,141
06/30/2003 7,974,169 5,834,991 6,190,267
07/31/2003 7,558,051 5,636,153 5,930,762
08/31/2003 7,623,802 5,680,645 5,969,882
09/30/2003 8,030,652 5,855,587 6,158,989
10/31/2003 8,048,546 5,832,396 6,081,026
11/30/2003 8,253,397 5,872,464 6,097,176
12/31/2003 8,466,186 5,958,062 6,157,319
01/31/2004 8,525,945 6,012,281 6,213,239
02/29/2004 8,617,178 6,065,401 6,289,253
03/31/2004 8,718,831 6,107,081 6,346,983
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with regulations, performance
information is provided for the period beginning on March 7, 1997
("Registration"). Performance from inception is also provided for the
convenience of our long term shareholders. Since index performance data is not
available coincident with the Fund's inception and registration dates,
comparative performance is presented from the month end closest to the Fund's
inception and registration dates. (b) See page 10 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000. * Not annualized.
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Securities issued by U.S.
Government sponsored agencies are not issued, and may not be guaranteed by the
U.S. Government.
8
FUND AND MANAGER REVIEW
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO REVIEW | The Fund underperformed its benchmark, the Lehman U.S.
Government Index, during the six-month period ended March 31, 2004, primarily
due to the Fund's longer duration relative to the index during October, 2003.
The Fund's mortgage-backed securities lagged longer duration U.S. Treasuries,
which benefit more from falling interest rates.
Within the mortgage component, we traded out of higher-coupon securities and
purchased a combination of mortgages with 5.50% and 4.50% coupons. This
strategy helped enhance the Fund's prepayment stability.
Another key strategy involved decreasing the Fund's duration (sensitivity to
interest rate changes), which declined from 6.7 years at the beginning of the
six months to 6.1 years at the end of the period. Due to the timing of this
move, this strategy had a slightly negative impact on performance. While the
Fund's duration was reduced, it remained longer than the index. As rates
initially rose in October, our initial long duration position caused the Fund
to underperform. The outperformance in the following months, after reducing
duration, was not enough to offset the initial negative effect.
OUTLOOK | A better economic environment may put upward pressure on interest
rates, and higher interest rates likely will dampen the performance of U.S.
Treasury securities. The yield curve likely will remain steep until the Federal
Reserve begins to raise rates. Until then, we believe maintaining a more
bulleted maturity structure may be beneficial.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in U.S. government securities and in certificates
representing undivided interests in the interest or principal of U.S. Treasury
securities
FUND INCEPTION DATE | 5/21/91
EXPENSE RATIO | 0.50%
TOTAL NET ASSETS | $8.2 million
[PHOTO] [PHOTO]
John Hyll Cliff Rowe
JOHN HYLL CLIFF ROWE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
- -----------------------------------------------------------------------------------
LOOMIS SAYLES U.S.
GOVERNMENT SECURITIES FUND 2.00% 4.22% 7.76% 8.02% 8.84%
LIPPER GENERAL U.S. GOVERNMENT FUNDS
INDEX(b) 2.33 3.37 6.13 6.29 6.59
LEHMAN U.S.
GOVERNMENT INDEX(b) 2.49 4.24 7.19 7.36 7.74
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper General Lehman Brothers
U.S. Government U.S. Government U.S. Government
Securities Fund Funds Index Index
--------------- -------------- ----------
05/21/1991 $250,000
05/31/1991 250,750 $250,000 $250,000
06/30/1991 250,000 249,372 249,645
07/31/1991 253,750 252,764 252,608
08/31/1991 260,750 258,360 258,465
09/30/1991 268,000 263,608 263,886
10/31/1991 270,039 265,925 266,196
11/30/1991 272,828 267,684 268,866
12/31/1991 288,219 276,826 278,026
01/31/1992 278,317 272,066 273,698
02/29/1992 282,331 273,546 274,767
03/31/1992 278,585 271,885 273,161
04/30/1992 277,242 273,350 274,882
05/31/1992 285,677 278,221 279,953
06/30/1992 290,574 281,864 283,965
07/31/1992 301,742 287,573 291,121
08/31/1992 304,505 289,945 293,834
09/30/1992 310,860 292,904 297,990
10/31/1992 303,365 289,038 293,690
11/30/1992 304,488 289,261 293,259
12/31/1992 313,449 293,714 298,119
01/31/1993 320,647 298,585 304,451
02/28/1993 331,146 303,023 310,548
03/31/1993 331,446 304,112 311,588
04/30/1993 334,058 305,982 313,985
05/31/1993 334,667 306,163 313,640
06/30/1993 346,848 311,802 320,599
07/31/1993 352,103 313,505 322,555
08/31/1993 364,778 318,809 329,754
09/30/1993 366,015 319,144 331,015
10/31/1993 366,605 319,967 332,266
11/30/1993 361,283 316,506 328,623
12/31/1993 362,722 318,153 329,893
01/31/1994 372,023 322,270 334,409
02/28/1994 358,933 316,213 327,329
03/31/1994 343,777 308,215 319,967
04/30/1994 338,187 304,670 317,450
05/31/1994 336,086 303,526 317,043
06/30/1994 334,336 302,228 316,314
07/31/1994 344,330 307,252 322,128
08/31/1994 343,974 307,308 322,191
09/30/1994 334,003 302,646 317,652
10/31/1994 332,273 301,753 317,412
11/30/1994 333,723 300,944 316,832
12/31/1994 340,051 303,065 318,759
01/31/1995 348,902 308,411 324,693
02/28/1995 356,648 315,291 331,681
03/31/1995 359,229 316,757 333,762
04/30/1995 364,061 320,665 338,123
05/31/1995 382,432 332,305 351,760
06/30/1995 385,432 334,315 354,459
07/31/1995 383,810 333,129 353,155
08/31/1995 391,425 337,023 357,306
09/30/1995 397,136 340,177 360,747
10/31/1995 402,883 344,671 366,240
11/30/1995 410,229 349,542 371,949
12/31/1995 418,369 354,413 377,222
01/31/1996 418,762 356,214 379,537
02/29/1996 404,213 348,914 371,805
03/31/1996 398,708 345,978 368,699
04/30/1996 393,642 343,606 366,346
05/31/1996 391,644 342,321 365,732
06/30/1996 398,837 346,298 370,454
07/31/1996 399,810 346,969 371,369
08/31/1996 394,934 346,060 370,540
09/30/1996 405,905 351,874 376,690
10/31/1996 420,662 359,494 384,977
11/30/1996 432,221 365,815 391,673
12/31/1996 423,887 362,059 387,676
01/31/1997 422,626 362,835 388,107
02/28/1997 422,626 363,600 388,639
03/31/1997 413,374 359,308 384,527
04/30/1997 423,598 364,617 390,077
05/31/1997 428,300 367,661 393,442
06/30/1997 435,139 372,001 397,857
07/31/1997 455,389 382,266 409,149
08/31/1997 447,575 378,282 405,104
09/30/1997 457,560 384,052 411,196
10/31/1997 466,729 389,689 418,309
11/30/1997 472,018 391,105 420,452
12/31/1997 477,892 395,067 424,847
01/31/1998 485,038 400,067 431,203
02/28/1998 483,251 399,311 430,033
03/31/1998 484,144 400,305 431,251
04/30/1998 487,248 401,849 433,192
05/31/1998 493,129 405,602 437,640
06/30/1998 499,010 409,045 442,616
07/31/1998 499,721 409,645 443,301
08/31/1998 511,193 417,682 454,834
09/30/1998 523,583 427,123 467,095
10/31/1998 519,617 423,959 465,503
11/30/1998 523,329 424,898 465,661
12/31/1998 522,239 426,061 466,702
01/31/1999 526,953 428,489 469,410
02/28/1999 511,870 419,250 458,246
03/31/1999 511,870 421,391 460,044
04/30/1999 514,543 422,488 461,089
05/31/1999 508,326 417,841 457,043
06/30/1999 503,544 415,688 456,113
07/31/1999 500,897 413,320 455,452
08/31/1999 499,437 412,209 455,447
09/30/1999 505,278 417,260 459,143
10/31/1999 507,115 417,910 459,881
11/30/1999 504,649 417,543 459,248
12/31/1999 498,960 414,722 456,276
01/31/2000 501,468 413,447 456,914
02/29/2000 513,503 418,703 463,418
03/31/2000 527,544 425,001 471,552
04/30/2000 525,153 423,414 470,249
05/31/2000 523,114 422,966 470,551
06/30/2000 535,350 431,478 478,943
07/31/2000 540,707 434,818 483,579
08/31/2000 551,604 441,517 490,730
09/30/2000 551,086 443,171 492,130
10/31/2000 558,923 446,719 496,837
11/30/2000 574,200 455,321 506,605
12/31/2000 587,047 464,030 516,704
01/31/2001 589,715 469,203 521,905
02/28/2001 597,187 473,783 527,839
03/31/2001 594,846 474,979 529,689
04/30/2001 583,480 470,924 524,283
05/31/2001 585,104 473,136 526,013
06/30/2001 587,759 474,704 528,434
07/31/2001 606,418 485,768 541,121
08/31/2001 614,101 491,201 547,841
09/30/2001 621,992 498,126 557,375
10/31/2001 647,561 510,153 571,760
11/30/2001 623,104 499,787 558,933
12/31/2001 614,504 495,001 554,068
01/31/2002 621,269 499,397 557,658
02/28/2002 629,726 504,679 562,806
03/31/2002 613,750 494,231 550,564
04/30/2002 630,878 505,173 563,683
05/31/2002 636,587 508,304 567,062
06/30/2002 645,428 513,487 574,995
07/31/2002 660,479 522,645 587,620
08/31/2002 680,160 531,715 599,263
09/30/2002 699,259 540,634 613,317
10/31/2002 689,303 537,134 608,385
11/30/2002 683,298 534,026 603,146
12/31/2002 701,842 544,369 617,760
01/31/2003 702,451 543,648 616,212
02/28/2003 718,305 550,757 626,153
03/31/2003 713,736 548,775 624,365
04/30/2003 714,356 551,385 627,260
05/31/2003 734,801 560,846 643,543
06/30/2003 730,424 558,137 640,173
07/31/2003 697,421 537,466 613,710
08/31/2003 704,893 540,499 617,142
09/30/2003 729,266 554,387 635,083
10/31/2003 715,435 548,383 626,043
11/30/2003 716,843 549,500 626,762
12/31/2003 722,856 553,779 632,317
01/31/2004 729,427 557,832 637,552
02/29/2004 738,627 563,509 645,187
03/31/2004 743,885 567,283 650,867
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 10 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$250,000.
* Not annualized.
Securities issued by U.S. Government sponsored agencies are not issued, and may
not be guaranteed by the U.S. Government.
9
INDEX DEFINITIONS
Lipper BBB Rated Funds Index is an equally weighted index of typically the 30
largest mutual funds within the corporate debt funds BBB-rated investment
objective.
Lipper Global Income Funds Index is an equally weighted index of typically the
30 largest mutual funds within the global income funds investment objective.
Lipper General U.S. Government Funds Index is an equally weighted index of
typically the 30 largest mutual funds within the general U.S. government funds
investment objective.
Lipper High Yield Bond Funds Index is an equally weighted unmanaged index of
typically the 30 largest mutual funds within the high current yield funds
investment objective.
Lipper Intermediate Investment Grade Index is an equally weighted unmanaged
index of the 30 largest mutual funds within the intermediate investment grade
debt funds investment objectives.
Source: Lipper, Inc.
Lehman Aggregate Bond Index covers the U.S. investment grade fixed-rate bond
market, including government and credit securities, mortgage pass-through
securities, asset-backed securities and commercial mortgage-backed securities.
Lehman Government/Credit Index includes treasuries (public obligations of the
U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government)
as well as other publicly issued investment grade corporate and foreign
debentures that meet specified maturity, liquidity, and quality requirements.
Lehman Government/Credit Intermediate Index includes securities which have a
remaining maturity of 5-10 years and includes Treasuries (public obligations of
the U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government),
as well as other publicly issued investment grade corporate and non-corporate
debentures that meet specified maturity, liquidity, and quality requirements.
Lehman Global Aggregate Index covers the most liquid portion of the global
investment grade fixed-rate bond market, including government, credit and
collateralized securities. The index is calculated on a total return basis,
which includes reinvestment of gross dividends before deduction of withholding
taxes.
Lehman U.S. Government Index includes treasuries (public obligations of the
U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government).
Lehman High Yield Index covers the universe of fixed rate, non-investment grade
debt. Pay-in-kind bonds, Eurobonds, and debt issues from countries designated
as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded,
but Canadian and global bonds (SEC registered) of issuers in non-EMG countries
are included. Original issue zeroes, step-up coupon structures, and 144-As are
also included.
Merrill Lynch U.S. High Yield Master Cash Pay Only Index is an unmanaged index
consisting of fixed-rate, coupon-bearing bonds with an outstanding par which is
greater than or equal to $100 million, a maturity range greater than or equal
to one year and must be less than BBB/Baa3 rated but not in default.
Returns are adjusted for the reinvestment of capital gains distributions and
income dividends. Indexes are unmanaged and do not have expenses that affect
results, unlike mutual funds. It is not possible to invest directly in an index.
PROXY VOTING INFORMATION
A description of the Fund's proxy voting policies and procedures is available
(i) without charge, upon request, by calling Loomis Sayles at 800-633-3330;
(ii) on the Fund's website, www.loomissayles.com, and (iii) on the Securities
and Exchange Commission's website at www.sec.gov.
10
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BENCHMARK CORE BOND FUND
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------------------
BONDS AND NOTES - 97.1% OF NET ASSETS
AEROSPACE/DEFENSE - 0.4%
Boeing Capital Corp., 6.100%, 3/01/11 $ 100,000 $ 111,073
----------
ASSET-BACKED SECURITIES - 5.7%
Americredit Automobile Receivables Trust, Series 2004-BM, Class A4,
2.670%, 3/07/11 90,000 90,021
Chase Manhattan Auto Owner Trust, Series 2000-A, Class A4,
6.260%, 6/15/07 123,920 125,427
Chase Manhattan Auto Owner Trust, Series 2002-B, Class A3,
3.580%, 5/15/06 109,012 109,877
Countrywide Asset Backed Certificates, 3.438%, 12/25/18 200,000 203,040
Residential Asset Mortgage Products, Inc., Series 2004 RZ1, Class AI3,
2.870%, 8/25/30 125,000 124,785
Residential Asset Mortgage Products, Inc., Series 2004 RZ1, Class AI5,
4.070%, 7/25/32 110,000 109,862
Residential Funding Mortgage Securities II, Series 2003-HI4, Class A4,
4.590%, 4/25/18 185,000 191,245
Residential Funding Mortgage Securities II, Series 2004 HI1, Class A4,
4.140%, 9/25/11 266,000 268,235
Residential Funding Mortgage Securities II, Series 2002-HI3, Class A5,
5.420%, 2/25/16 175,000 180,646
----------
1,403,138
----------
AUTOMOTIVE - 1.7%
Ford Motor Co., 6.375%, 2/01/29 165,000 146,910
General Motors Acceptance Corp., 6.875%, 9/15/11 245,000 265,803
----------
412,713
----------
BANKING - 2.0%
Bank of America Corp., 7.400%, 1/15/11 85,000 102,028
J.P. Morgan Chase & Co., 6.750%, 2/01/11 140,000 163,250
U.S. Bancorp, 5.100%, 7/15/07 95,000 102,923
Wells Fargo & Co., 3.125%, 4/01/09 120,000 119,251
----------
487,452
----------
BROKERAGE - 1.7%
Bear Stearns Cos., Inc., 2.875%, 7/02/08 125,000 123,497
Goldman Sachs Group, Inc., 7.350%, 10/01/09 85,000 100,649
Lehman Brothers Holdings, Inc., 7.375%, 1/15/07 90,000 102,526
Morgan Stanley Group, Inc., 6.875%, 3/01/07 90,000 101,470
----------
428,142
----------
CHEMICALS - 1.2%
Eastman Chemical Co., 6.300%, 11/15/18 115,000 124,028
Rohm & Haas Co., 7.850%, 7/15/29 128,000 163,372
----------
287,400
----------
CONSTRUCTION MACHINERY - 1.1%
Caterpillar Financial Services Corp., 4.875%, 6/15/07 95,000 102,000
John Deere Capital Corp., 5.100%, 1/15/13 150,000 157,659
----------
259,659
----------
ELECTRIC - 4.2%
Consolidated Edison Company of New York, 5.625%, 7/01/12 100,000 109,547
Constellation Energy Group, Inc., 7.600%, 4/01/32 100,000 119,295
Dominion Resources, Inc., 5.700%, 9/17/12 145,000 156,175
11
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BENCHMARK CORE BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRIC - CONTINUED
Duke Energy Corp., 4.200%, 10/01/08 $ 160,000 $ 163,872
Exelon Corp., 6.750%, 5/01/11 100,000 114,348
MidAmerican Energy Holdings Co., 6.375%, 6/15/06 90,000 97,873
Pacific Gas & Electric Co., 6.050%, 3/01/34 110,000 111,259
Progress Energy, Inc., 6.050%, 4/15/07 50,000 54,523
Progress Energy, Inc., 6.750%, 3/01/06 95,000 102,965
----------
1,029,857
----------
ENTERTAINMENT - 0.7%
AOL Time Warner, Inc., 7.625%, 4/15/31 50,000 58,496
Time Warner, Inc., 8.180%, 8/15/07 90,000 104,936
----------
163,432
----------
FOOD & BEVERAGE - 2.1%
Bottling Group LLC, 2.450%, 10/16/06 100,000 100,815
ConAgra Foods, Inc., 6.750%, 9/15/11 90,000 103,317
General Mills, Inc., 3.875%, 11/30/07 105,000 108,205
Kellogg Co., Series B, 6.600%, 4/01/11 90,000 104,142
Kraft Foods, Inc., 5.625%, 11/01/11 100,000 108,437
----------
524,916
----------
GOVERNMENT AGENCIES - 10.2%
Federal Farm Credit Bank, 2.375%, 10/02/06 195,000 196,429
Federal Home Loan Bank, 2.500%, 3/15/06 350,000 355,324
Federal Home Loan Bank, 4.500%, 9/16/13 345,000 352,919
Federal Home Loan Mortgage Corp., 2.750%, 3/15/08 240,000 240,626
Federal Home Loan Mortgage Corp., 4.500%, 1/15/14 340,000 345,291
Federal National Mortgage Association, 3.250%, 11/15/07 355,000 363,107
Federal National Mortgage Association, 3.250%, 8/15/08 150,000 152,269
Federal National Mortgage Association, 3.250%, 2/15/09 150,000 151,239
Federal National Mortgage Association, 4.625%, 10/15/13 335,000 344,828
----------
2,502,032
----------
INDEPENDENT/ENERGY - 0.9%
Devon Financing Corp., 6.875%, 9/30/11 105,000 121,498
Union Oil Co., 7.500%, 2/15/29 85,000 102,865
----------
224,363
----------
INFORMATION/DATA TECHNOLOGY - 0.6%
Hewlett-Packard Co., 3.625%, 3/15/08 140,000 143,096
----------
INTEGRATED/ENERGY - 0.9%
Conoco Funding Co., 6.350%, 10/15/11 90,000 103,305
Pemex Project Funding Master Trust, 7.875%, 2/01/09 100,000 115,250
----------
218,555
----------
MEDIA CABLE - 0.6%
Comcast Cable Communications, 6.750%, 1/30/11 140,000 158,935
----------
MEDIA NONCABLE - 0.4%
Clear Channel Communications, Inc., 4.250%, 5/15/09 100,000 102,158
----------
METALS & MINING - 0.6%
Alcoa, Inc., 6.000%, 1/15/12 140,000 157,575
----------
12
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MORTGAGE RELATED - 34.9%
Federal Home Loan Mortgage Corp., 4.500%, 2/01/19 $ 249,065 $ 252,556
Federal Home Loan Mortgage Corp., 5.500%, 1/01/19 549,669 573,290
Federal Home Loan Mortgage Corp., 6.000%, 7/01/33 45,315 47,114
Federal Home Loan Mortgage Corp., 6.500%, 12/15/14 80,377 80,921
Federal Home Loan Mortgage Corp., 6.500%, 1/01/27 13,184 13,892
Federal Home Loan Mortgage Corp., 6.500%, 5/01/32 130,287 136,920
Federal Home Loan Mortgage Corp., 7.500%, 9/01/08 240,468 254,916
Federal Home Loan Mortgage Corp., 8.000%, 7/01/25 3,086 3,365
Federal Home Loan Mortgage Corp., 8.000%, 12/01/26 7,513 8,182
Federal National Mortgage Association, 4.500%, 8/01/33 504,651 493,709
Federal National Mortgage Association, 4.500%, 4/01/34 250,000 244,562
Federal National Mortgage Association, 5.500%, 2/01/18 216,489 225,775
Federal National Mortgage Association, 5.500%, 4/01/18 237,709 247,841
Federal National Mortgage Association, 5.500%, 10/01/18 112,200 116,983
Federal National Mortgage Association, 5.500%, 5/01/33 255,011 261,425
Federal National Mortgage Association, 5.500%, 6/01/33 451,539 463,307
Federal National Mortgage Association, 5.500%, 7/01/33 654,195 671,012
Federal National Mortgage Association, 5.500%, 12/01/33 423,599 434,254
Federal National Mortgage Association, 5.500%, 4/01/34 250,000 256,283
Federal National Mortgage Association, 6.000%, 11/01/16 132,333 139,463
Federal National Mortgage Association, 6.000%, 10/01/17 216,589 228,285
Federal National Mortgage Association, 6.000%, 5/01/18 349,415 368,283
Federal National Mortgage Association, 6.000%, 6/01/32 41,637 43,353
Federal National Mortgage Association, 6.000%, 7/01/33 290,599 302,576
Federal National Mortgage Association, 6.000%, 9/01/33 79,541 82,820
Federal National Mortgage Association, 6.000%, 10/01/33 277,084 288,504
Federal National Mortgage Association, 6.500%, 11/25/14 124,673 125,767
Federal National Mortgage Association, 6.500%, 7/01/32 31,249 32,831
Federal National Mortgage Association, 6.500%, 8/01/32 97,068 101,981
Federal National Mortgage Association, 6.500%, 9/01/32 128,268 134,761
Federal National Mortgage Association, 6.500%, 10/01/33 669,715 703,623
Federal National Mortgage Association, 7.000%, 4/01/16 124,104 132,840
Federal National Mortgage Association, 7.500%, 1/01/27 12,676 13,615
Federal National Mortgage Association, 7.500%, 12/01/30 44,107 47,278
Federal National Mortgage Association, 7.500%, 6/01/31 30,052 32,213
Federal National Mortgage Association, 7.500%, 3/01/32 62,074 66,516
Federal National Mortgage Association, 8.000%, 6/01/15 92,342 99,355
Government National Mortgage Association, 5.500%, 7/20/33 281,725 289,673
Government National Mortgage Association, 6.000%, 11/20/33 193,224 201,623
Government National Mortgage Association, 6.500%, 4/15/26 16,327 17,292
Government National Mortgage Association, 6.500%, 5/15/32 116,582 123,094
Government National Mortgage Association, 6.500%, 5/15/32 59,802 63,143
Government National Mortgage Association, 7.000%, 4/15/31 40,143 42,777
Government National Mortgage Association, 7.000%, 7/15/31 44,381 47,293
Government National Mortgage Association, 8.500%, 4/15/23 11,036 12,261
Government National Mortgage Association, 8.500%, 4/15/30 37,579 41,128
Government National Mortgage Association, 9.500%, 9/15/20 15,522 17,415
----------
8,586,070
----------
NON CAPTIVE CONSUMER - 0.9%
Capital One Bank, 5.125%, 2/15/14 105,000 105,373
Household Finance Corp., 7.200%, 7/15/06 100,000 111,023
----------
216,396
----------
13
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BENCHMARK CORE BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
NON CAPTIVE DIVERSIFIED - 0.9%
General Electric Capital Corp., 6.750%, 3/15/32 $ 195,000 $ 225,258
----------
OIL FIELD SERVICES - 1.5%
Ensco International, Inc., 6.750%, 11/15/07 100,000 112,579
Halliburton Co., 8.750%, 2/15/21 125,000 156,513
Transocean Sedco Forex, Inc., 6.750%, 4/15/05 100,000 104,635
----------
373,727
----------
PAPER - 1.0%
International Paper Co., 6.750%, 9/01/11 100,000 113,718
Weyerhaeuser Co., 6.750%, 3/15/12 110,000 124,261
----------
237,979
----------
PHARMACEUTICALS - 1.0%
Schering-Plough Corp., 5.300%, 12/01/13 145,000 151,235
Wyeth, 5.500%, 3/15/13 100,000 104,965
----------
256,200
----------
PIPELINES - 1.5%
Columbia Gas Systems, Inc., 7.050%, 11/28/07 90,000 97,177
Kinder Morgan Energy Partners LP, 7.125%, 3/15/12 100,000 116,885
Kinder Morgan, Inc., 6.500%, 9/01/12 145,000 162,730
----------
376,792
----------
RAILROADS - 1.0%
CSX Corp., 4.875%, 11/01/09 25,000 26,316
Norfolk Southern Corp., 6.750%, 2/15/11 90,000 104,041
Union Pacific Corp., 3.875%, 2/15/09 110,000 111,807
----------
242,164
----------
REAL ESTATE INVESTMENT TRUSTS - 0.9%
EOP Opererating LP, 6.625%, 3/15/12 95,000 108,274
Simon Property Group LP, 6.375%, 11/15/07 95,000 106,785
----------
215,059
----------
RETAILERS - 0.9%
Target Corp, 3.375%, 3/01/08 100,000 102,033
Wal-Mart Stores, Inc., 4.550%, 5/01/13 130,000 131,870
----------
233,903
----------
SOVEREIGNS - 0.4%
United Mexican States, 6.375%, 1/16/13 100,000 108,300
----------
SUPERMARKETS - 0.4%
Albertson's, Inc., 7.500%, 2/15/11 95,000 111,491
----------
TOBACCO - 0.9%
Altria Group, Inc., 7.000%, 11/04/13 100,000 110,204
Loews Corp., 5.250%, 3/15/16 105,000 103,713
----------
213,917
----------
TREASURIES - 13.4%
U.S. Treasury Bonds, 5.250%, 11/15/28 645,000 680,978
U.S. Treasury Bonds, 6.000%, 2/15/26 330,000 382,594
U.S. Treasury Notes, 2.000%, 5/15/06 765,000 771,126
U.S. Treasury Notes, 2.625%, 11/15/06 950,000 968,704
U.S. Treasury Notes, 3.250%, 8/15/07 470,000 486,652
----------
3,290,054
----------
14
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 2.5%
British Telecommunications Plc, 8.875%, 12/15/30 $ 125,000 $ 166,779
Deutsche Telekom International Finance BV, 5.250%, 7/22/13 100,000 104,105
Sprint Capital Corp., 6.125%, 11/15/08 125,000 137,786
Telecom Italia Capital, 5.250%, 11/15/13 144A 100,000 103,124
Verizon Pennsylvania, Inc., Series A, 5.650%, 11/15/11 99,000 106,534
-----------
618,328
-----------
TOTAL BONDS AND NOTES
(Identified Cost $23,525,912) 23,920,134
-----------
SHORT-TERM INVESTMENT - 6.9% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$1,708,017 on 4/01/04 collateralized by
$1,735,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $1,743,675 1,708,000 1,708,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,708,000) 1,708,000
-----------
TOTAL INVESTMENTS - 104.0%
(Identified Cost $25,233,912)@ 25,628,134
Liabilities, Less Cash and Other Assets--(4.0%) (995,274)
-----------
NET ASSETS - 100% $24,632,860
-----------
+ See Note 2.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transaction exempt from
registration, normally to qualified institutional buyers.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 25,295,736 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
374,201 and $ 41,803, respectively, resulting in net unrealized appreciation
of $ 332,398.
At September 30, 2003, the fund had a capital loss carryover of
approximately $563,440 which expires between September 30, 2009 and
September 30, 2010. This may be available to offset future realized capital
gains if any, to the extent provided by regulations.
See accompanying notes to financial statements.
15
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BOND FUND
FACE AMOUNT VALUE +
- -----------------------------------------------------------------------------------
BONDS AND NOTES - 93.1% OF NET ASSETS
NON-CONVERTIBLE BONDS - 87.6%
AIRLINES - 1.5%
American Airlines, Inc., 6.978%, 4/01/11 USD 3,510,792 $ 3,586,664
American Airlines, Inc., Series 1999-1, 7.024%, 4/15/11 1,000,000 1,015,233
Continental Airlines, Inc., 6.703%, 12/15/22 4,919,613 4,842,125
Continental Airlines, Inc., Series 1999-1C,
6.954%, 8/02/09 2,007,892 1,737,007
Continental Airlines, Inc., Series 1997-4A,
6.900%, 1/02/18 2,998,300 2,989,729
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/17 6,920,392 6,770,937
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/19 2,870,256 2,827,251
Continental Airlines, Inc., Series 1999-1B,
6.795%, 8/02/18 236,654 204,062
Continental Airlines, Inc., Series 2000-2,
7.487%, 4/02/12 825,000 841,286
Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/22 5,648,203 5,734,655
Continental Airlines, Inc., Series 98-1, Class B,
6.748%, 3/15/17 464,669 385,276
Continental Airlines, Inc., Series 99-2, Class B,
7.566%, 3/15/20 2,020,954 1,739,204
Delta Air Lines, Inc., 8.300%, 12/15/29 8,240,000 4,738,000
US Airways, 6.850%, 1/30/18 1,311,530 1,238,342
-----------
38,649,771
-----------
AUTOMOTIVE - 1.3%
Cummins Engine Co., Inc., 7.125%, 3/01/28 3,000,000 2,970,000
Dana Corp., 7.000%, 3/01/29 2,400,000 2,394,000
Dana Corp., 9.000%, 8/15/11 3,200,000 4,573,893
Ford Motor Co., 6.375%, 2/01/29 1,500,000 1,335,544
Ford Motor Co., 6.625%, 10/01/28 1,500,000 1,378,869
Ford Motor Credit Co., 7.250%, 2/22/05 GBP 5,250,000 9,799,713
Ford Motor Credit Co., 7.375%, 10/28/09 USD 500,000 548,822
General Motors Acceptance Corp., 5.125%, 5/09/08 2,040,000 2,123,501
General Motors Acceptance Corp., 6.375%, 12/07/07 GBP 500,000 924,548
General Motors Acceptance Corp., 6.875%, 8/28/12 USD 200,000 216,027
General Motors Acceptance Corp., 7.000%, 12/07/05 GBP 4,315,000 8,117,282
General Motors Corp., 6.750%, 5/01/28 USD 500,000 490,070
-----------
34,872,269
-----------
BANKING - 1.0%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 16,880,000 19,419,056
Keycorp Capital II, 6.875%, 3/17/29 6,500,000 7,073,202
-----------
26,492,258
-----------
CHEMICALS - 1.0%
Freeport McMoran Resources, Inc., 7.000%, 2/15/08 775,000 813,750
IMC Global, Inc., 6.875%, 7/15/07 5,990,000 6,289,500
IMC Global, Inc., 7.300%, 1/15/28 9,065,000 9,563,575
IMC Global, Inc., 7.375%, 8/01/18 7,525,000 8,014,125
-----------
24,680,950
-----------
16
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONSUMER PRODUCTS - 0.5%
Bausch & Lomb, Inc., 7.125%, 8/01/28 USD 12,205,000 $12,856,527
Hasbro, Inc., 6.600%, 7/15/28 500,000 513,750
-----------
13,370,277
-----------
ELECTRIC - 2.9%
AES Corp., 7.750%, 3/01/14 4,375,000 4,380,469
AES Corp., 8.375%, 3/01/11 GBP 1,390,000 2,485,928
AES Corp., 8.875%, 2/15/11 USD 315,000 336,262
AES Corp., 8.875%, 11/01/27 10,985,000 10,655,450
Calpine Corp., 7.750%, 4/15/09 2,625,000 1,863,750
Calpine Corp., 7.875%, 4/01/08 1,000,000 728,750
Calpine Corp., 8.500%, 2/15/11 1,000,000 735,000
Calpine Corp., 8.750%, 7/15/13 144A 9,185,000 8,404,275
Commonwealth Edison Co., 4.750%, 12/01/11 605,000 618,797
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/27 10,143,000 10,552,848
Enersis SA, 6.900%, 12/01/06 4,212,000 4,522,045
Enersis SA, 7.375%, 1/15/14 144A 1,650,000 1,710,633
Enersis SA, 7.400%, 12/01/16 7,650,000 7,843,644
Power Receivables Finance LLC, 6.290%, 1/01/12 144A 3,554,440 3,781,675
Quezon Power Philippines Co., 8.860%, 6/15/17 7,382,813 6,570,703
Salton Sea Funding Corp., Series E, 8.300%, 5/30/11 2,132,775 2,404,704
Salton Sea Funding Corp., Series F, 7.475%, 11/30/18 228,765 255,645
Southern California Edison Co., 6.650%, 4/01/29 4,550,000 4,932,223
Southern California Edison Co., 7.625%, 1/15/10 2,000,000 2,378,826
Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 1,062,041
-----------
76,223,668
-----------
ELECTRONICS - 3.5%
Corning Glass, 7.000%, 3/15/07 2,275,000 2,277,844
Corning Glass, 8.875%, 3/15/16 825,000 975,442
Corning, Inc., 5.625%, 2/18/05 144A EUR 2,104,000 2,637,729
Corning, Inc., 5.900%, 3/15/14 USD 1,600,000 1,584,000
Corning, Inc., 6.200%, 3/15/16 2,500,000 2,481,250
Corning, Inc., 6.250%, 2/18/10 144A EUR 1,500,000 1,880,971
Corning, Inc., 6.750%, 9/15/13 USD 13,600,000 14,287,643
Corning, Inc., 6.850%, 3/01/29 2,550,000 2,370,284
Lucent Technologies, Inc., 6.450%, 3/15/29 48,420,000 40,914,900
Lucent Technologies, Inc., 6.500%, 1/15/28 500,000 421,250
Motorola, Inc., 5.800%, 10/15/08 450,000 478,810
Motorola, Inc., 6.500%, 11/15/28 3,749,000 3,805,554
Motorola, Inc., 7.625%, 11/15/10 600,000 698,142
Nortel Networks Corp., 6.875%, 9/01/23 8,107,000 7,742,185
Northern Telecom Capital Corp., 7.875%, 6/15/26 1,750,000 1,793,750
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 5,400,000 6,065,669
-----------
90,415,423
-----------
FOOD & BEVERAGE - 0.5%
Borden, Inc., 7.875%, 2/15/23 10,282,000 9,767,900
Borden, Inc., 9.200%, 3/15/21 2,925,000 3,071,250
Borden, Inc., 9.250%, 6/15/19 1,325,000 1,338,250
-----------
14,177,400
-----------
17
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOREIGN LOCAL GOVERNMENTS - 8.5%
Milit-Air, Inc., 5.750%, 6/30/19 CAD 6,145,004 $ 5,010,963
New Brunswick FM Project, 6.470%, 11/30/27 9,913,941 8,394,914
Ontario Hydro, Zero Coupon Bond, 11/27/20 1,507,000 451,600
Province of Alberta, 5.930%, 9/16/16 25,160,789 21,044,876
Province of British Columbia, Zero Coupon
Bond, 6/09/14 10,000,000 4,664,381
Province of British Columbia, Zero Coupon
Bond, 6/09/22 48,708,000 13,514,350
Province of British Columbia, 5.250%, 12/01/06 21,460,000 17,383,851
Province of British Columbia, 6.000%, 6/09/08 11,745,000 9,848,670
Province of Manitoba, 5.750%, 6/02/08 8,475,000 7,042,255
Province of Manitoba, 6.500%, 9/22/17 34,300,000 30,187,973
Province of Manitoba, 7.750%, 12/22/25 39,245,000 38,918,145
Province of Manitoba (Certificate of Deposit), Zero
Coupon Bond, 7/22/13 2,500,000 1,210,653
Province of Newfoundland, 6.150%, 4/17/28 2,500,000 2,043,719
Province of Ontario, 3.500%, 9/08/06 52,020,000 40,395,125
Province of Ontario, 5.900%, 3/08/06 8,755,000 7,101,400
Province of Saskatchewan, Zero Coupon Bond, 4/10/14 27,000,000 12,629,832
Province of Saskatchewan, 5.500%, 6/02/08 775,000 638,378
------------
220,481,085
------------
GOVERNMENT AGENCIES - 10.5%
Federal Home Loan Mortgage Corp., 3.220%, 6/20/07 SGD 9,250,000 5,765,642
Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 32,500,000 42,168,267
Federal Home Loan Mortgage Corp., 5.500%, 9/15/11 USD 15,000,000 16,585,095
Federal National Mortgage Association, Zero Coupon
Bond, 10/29/07 NZD 103,925,000 56,528,657
Federal National Mortgage Association,
2.290%, 2/19/09 SGD 145,900,000 86,827,755
Federal National Mortgage Association,
5.250%, 1/15/09 USD 31,665,000 34,784,414
Federal National Mortgage Association,
5.375%, 11/15/11 7,700,000 8,452,968
Federal National Mortgage Association,
5.500%, 3/15/11 5,000,000 5,539,075
Federal National Mortgage Association,
6.375%, 8/15/07 AUD 21,000,000 16,480,048
------------
273,131,921
------------
HEALTHCARE - 1.2%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 6,825,000 6,839,728
Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 4,500,000 4,958,690
Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 1,965,000 2,073,185
Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 1,300,000 1,378,510
Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 5,000,000 5,360,090
Columbia/HCA Healthcare Corp., 7.750%, 7/15/36 1,000,000 1,071,073
HCA, Inc., 5.750%, 3/15/14 2,750,000 2,747,753
HCA, Inc., 6.250%, 2/15/13 3,000,000 3,125,994
HCA, Inc., 6.300%, 10/01/12 2,500,000 2,620,375
HCA, Inc., 7.500%, 11/06/33 1,000,000 1,064,621
------------
31,240,019
------------
18
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
HOME CONSTRUCTION - 0.3%
Pulte Corp., 7.300%, 10/24/05 USD 1,000,000 $ 1,079,760
Pulte Corp., 7.625%, 10/15/17 1,100,000 1,306,027
Pulte Homes, Inc., 6.375%, 5/15/33 2,000,000 1,993,262
Pulte Homes, Inc., 7.875%, 6/15/32 1,900,000 2,261,127
-----------
6,640,176
-----------
INFORMATION/DATA TECHNOLOGY - 1.4%
Arrow Electronics, Inc., 6.875%, 7/01/13 17,380,000 18,881,058
Arrow Electronics, Inc., 6.875%, 6/01/18 250,000 266,452
Xerox Capital Trust I, 8.000%, 2/01/27 16,480,000 16,191,600
Xerox Corp., 7.200%, 4/01/16 310,000 322,400
-----------
35,661,510
-----------
INTEGRATED/ENERGY - 1.9%
Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A 1,064,000 1,053,360
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 30,175,000 25,799,625
PDVSA Finance Ltd., 7.400%, 8/15/16 3,000,000 2,572,500
PDVSA Finance Ltd., 7.500%, 11/15/28 1,000,000 805,000
PDVSA Finance Ltd., 9.375%, 11/15/07 2,504,000 2,629,200
Pemex Project Funding Master Trust, 8.625%, 2/01/22 1,580,000 1,824,900
Petrozuata Finance, Inc., 7.630%, 4/01/09 144A 3,620,000 3,583,800
Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 11,450,000 10,419,500
Phillips 66 Capital Trust II, 8.000%, 1/15/37 1,000,000 1,167,439
-----------
49,855,324
-----------
LIFE INSURANCE - 1.3%
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 38,400,000 22,773,480
Provident Companies, Inc., 7.000%, 7/15/18 USD 500,000 477,858
Provident Companies, Inc., 7.250%, 3/15/28 5,550,000 5,222,628
UnumProvident Corp., 6.750%, 12/15/28 2,000,000 1,849,628
UnumProvident Corp., 7.375%, 6/15/32 4,250,000 4,059,817
-----------
34,383,411
-----------
LODGING - 0.4%
Host Marriott Corp., Series B, 7.875%, 8/01/08 1,000,000 1,038,750
ITT Corp., 7.375%, 11/15/15 2,500,000 2,700,000
La Quinta Properties, Inc., 8.875%, 3/15/11 750,000 847,500
La Quinta Corp., 7.000%, 8/15/07 5,500,000 5,802,500
-----------
10,388,750
-----------
MEDIA CABLE - 0.8%
Charter Communications Holdings LLC,
9.625%, 11/15/09 16,675,000 14,090,375
Charter Communications Holdings LLC,
10.000%, 4/01/09 500,000 427,500
Charter Communications Holdings LLC,
10.000%, 5/15/11 1,100,000 913,000
Comcast Corp., 5.500%, 3/15/11 3,000,000 3,190,194
CSC Holdings, Inc., 7.875%, 2/15/18 1,550,000 1,662,375
Shaw Comunications, Inc., 7.500%, 11/20/13 CAD 930,000 754,346
-----------
21,037,790
-----------
METALS & MINING - 0.4%
Vale Overseas Ltd., 8.250%, 1/17/34 USD 10,730,000 9,817,950
-----------
19
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MORTGAGE RELATED - 0.0%
Federal Home Loan Mortgage Corp., 5.000%, 12/01/31 USD 696,372 $ 700,328
-----------
NON CAPTIVE DIVERSIFIED - 0.1%
General Electric Capital Corp., 1.725%, 6/27/08 SGD 4,250,000 2,468,105
-----------
OIL FIELD SERVICES - 0.3%
Pecom Energia SA, 8.125%, 7/15/10 144A USD 5,640,000 5,781,000
Trico Marine Services, Inc., 8.875%, 5/15/12 5,030,000 2,615,600
-----------
8,396,600
-----------
PACKAGING - 0.0%
Owens-Illinois, Inc., 7.800%, 5/15/18 740,000 684,500
-----------
PAPER - 2.4%
Abitibi-Consolidated, Inc., 7.500%, 4/01/28 1,500,000 1,371,615
Boise Cascade Corp., 7.350%, 2/01/16 1,975,000 2,088,349
Boise Cascade Corp., Series A, 7.450%, 8/10/11 18,400,000 19,439,729
Fort James Corp., 7.750%, 11/15/23 2,500,000 2,650,000
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/28 5,165,000 5,061,700
Georgia-Pacific Group, 7.375%, 12/01/25 15,885,000 15,726,150
Georgia-Pacific Group, 7.750%, 11/15/29 13,855,000 14,062,825
Tembec Industries, Inc., 7.750%, 3/15/12 1,000,000 965,000
-----------
61,365,368
-----------
PHARMACEUTICALS - 0.4%
Pharma Services Intermediate Holding Corp.,
Zero Coupon Bond, 4/01/14
(step to 11.500% on 4/01/09) 144A# 17,500,000 10,018,750
-----------
PIPELINES - 2.4%
Coastal Corp., 6.950%, 6/01/28 5,620,000 4,172,850
El Paso Corp., 5.750%, 3/14/06 12,845,000 14,621,523
El Paso Corp., 7.000%, 5/15/11 200,000 171,500
El Paso Corp., 7.750%, 1/15/32 500,000 401,250
KN Capital Trust, 7.630%, 4/15/28 15,750,000 18,159,388
Southern Natural Gas Co., 7.350%, 2/15/31 1,500,000 1,440,000
Tennessee Gas Pipeline Co., 7.000%, 10/15/28 13,625,000 12,739,375
Tennessee Gas Pipeline Co., 7.500%, 4/01/17 1,700,000 1,755,250
Williams Cos., Inc., 7.500%, 1/15/31 9,575,000 9,239,875
Williams Holdings of Delaware, 6.500%, 12/01/08 1,050,000 1,090,687
-----------
63,791,698
-----------
PROPERTY & CASUALTY INSURANCE - 0.1%
Aon Corp., 7.375%, 12/14/12 2,500,000 2,942,430
-----------
RAILROADS - 0.5%
Missouri Pacific Railroad Co., 5.000%, 1/01/45 7,346,000 5,445,222
TFM SA de CV, 11.750%, 6/15/09 6,165,000 6,195,825
-----------
11,641,047
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.9%
AMB Property Corp., 7.500%, 6/30/18 7,500,000 8,962,583
First Industrial LP, 7.500%, 12/01/17 8,400,000 9,796,676
First Industrial LP, 7.600%, 7/15/28 15,250,000 16,831,974
Health Care Property Investors, Inc., 6.000%, 3/01/15 500,000 539,362
Highwoods Realty LP, 7.500%, 4/15/18 5,640,000 6,324,318
20
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - CONTINUED
Spieker Properties, Inc., 7.500%, 10/01/27 USD 2,098,000 $ 2,382,010
TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 5,000,000 5,537,500
------------
50,374,423
------------
RESTAURANTS - 0.1%
McDonald's Corp., 3.627%, 10/10/10 SGD 3,000,000 1,831,516
------------
RETAILERS - 1.4%
Dillard's, Inc., 7.750%, 5/15/27 USD 1,000,000 1,000,000
Dillard's, Inc., 6.625%, 1/15/18 860,000 844,950
Dillard's, Inc., 7.000%, 12/01/28 1,125,000 1,057,500
Dillard's, Inc., 7.750%, 7/15/26 7,182,000 7,325,640
J.C. Penney Co., Inc., 6.875%, 10/15/15 720,000 793,800
J.C. Penney Co., Inc., 7.125%, 11/15/23 3,386,000 3,826,180
J.C. Penney Co., Inc., 7.650%, 8/15/16 2,620,000 3,058,850
J.C. Penney Co., Inc., 7.950%, 4/01/17 3,500,000 4,138,750
J.C. Penney Co., Inc., 8.125%, 4/01/27 9,450,000 10,631,250
Woolworth Corp., 8.500%, 1/15/22 4,475,000 5,017,594
------------
37,694,514
------------
SOVEREIGNS - 14.1%
Bangko Sentral Pilipinas, 8.600%, 6/15/27 6,300,000 5,670,000
Canadian Government, 3.500%, 6/01/04 CAD 32,350,000 24,707,132
Canadian Government, 4.500%, 9/01/07 69,350,000 55,413,416
Canadian Government, 6.000%, 9/01/05 104,590,000 83,931,015
Canadian Government, 6.000%, 6/01/08 50,000,000 42,126,719
Petroleos Mexicanos, 8.625%, 12/01/23 144A USD 6,485,000 7,457,750
PF Export Receivables Master Trust,
6.436%, 6/01/15 144A 2,770,909 2,850,905
Republic of Argentina, 8.875%, 3/01/29^ 1,000,000 227,500
Republic of Brazil, 8.250%, 1/20/34 37,005,000 31,454,250
Republic of Brazil, 8.875%, 4/15/24 32,625,000 29,851,875
Republic of Brazil, 10.125%, 5/15/27 6,181,000 6,255,172
Republic of Brazil C Bond, 8.000%, 4/15/14 33,124,788 32,296,668
Republic of Dominican, 9.040%, 1/23/13 144A 5,295,000 3,812,400
Republic of Peru, 4.500%, 3/07/17
(step to 5.000% on 3/07/05)# 3,075,000 2,675,250
Republic of South Africa, 12.500%, 12/21/06 ZAR 5,690,000 967,081
Republic of South Africa, 13.500%, 9/15/15 10,740,000 2,145,406
Republic of Uruguay, 7.500%, 3/15/15 USD 4,356,000 3,757,050
Republic of Uruguay, 7.875%, 1/15/33 4,104,544 3,078,408
Republic of Venezuela, 9.250%, 9/15/27 19,635,000 17,455,515
SP Powerassets Ltd., 3.730%, 10/22/10 SGD 1,000,000 620,286
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 6,915,000 7,631,028
United Mexican States, 5.375%, 6/10/13 EUR 1,500,000 1,857,898
United Mexican States, 8.375%, 1/14/11 USD 1,000,000 1,212,000
------------
367,454,724
------------
SOVEREIGNS NON-CALLABLE - 3.4%
Government of Sweden, 5.250%, 3/15/11 SEK 10,000,000 1,436,016
Government of Sweden, 6.500%, 5/05/08 52,835,000 7,872,352
Kingdom of Norway, 5.500%, 5/15/09 NOK 84,935,000 13,518,042
Kingdom of Norway, 6.750%, 1/15/07 411,485,000 66,291,799
------------
89,118,209
------------
21
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SUPRANATIONAL - 4.3%
Eurofima, 6.250%, 12/28/18 AUD 6,000,000 $ 4,726,047
Eurofima, 6.500%, 8/22/11 5,360,000 4,223,305
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 152,375,000 83,479,166
International Bank for Reconstruction & Development,
5.500%, 11/3/08 9,500,000 6,250,601
International Bank for Reconstruction & Development,
8.000%, 5/23/07 19,000,000 13,407,728
------------
112,086,847
------------
TAXABLE MUNICIPAL - 0.1%
Orange County, California Pension Obligation, Zero
Coupon Bond, 9/01/16 USD 5,000,000 2,632,050
------------
TEXTILE - 0.1%
Kellwood Co., 7.625%, 10/15/17 2,500,000 2,762,500
Phillips-Van Heusen Corp., 7.750%, 11/15/23 1,000,000 1,035,000
------------
3,797,500
------------
TOBACCO - 0.5%
Altria Group, Inc., 7.000%, 11/04/13 11,000,000 12,122,451
------------
TRANSPORTATION SERVICES - 1.8%
American President Cos. Ltd., 8.000%, 1/15/24 19,104,000 18,053,280
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19++ 4,535,138 4,254,823
Atlas Air, Inc., Series 1999-1A, 6.880%, 1/02/11++ 1,800,000 1,660,406
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/15++ 4,376,407 2,536,651
Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/11++ 249,713 95,053
Atlas Air, Inc., Series 2000-1, Class A, 8.707%,
1/02/20++ 2,598,582 2,485,803
Atlas Air, Inc., Series A, 7.380%, 1/02/18++ 14,893,700 14,138,292
Atlas Air, Inc., Series B, 7.680%, 1/02/14++ 6,606,427 3,956,325
------------
47,180,633
------------
TREASURIES - 11.1%
U.S. Treasury Notes, 1.625%, 9/30/05 2,325,000 2,335,535
U.S. Treasury Notes, 1.625%, 10/31/05 45,000,000 45,179,280
U.S. Treasury Notes, 1.625%, 2/28/06 75,000,000 75,117,150
U.S. Treasury Notes, 1.875%, 12/31/05 162,100,000 163,233,403
U.S. Treasury Notes, 2.375%, 8/15/06 2,500,000 2,536,817
------------
288,402,185
------------
WIRELESS - 0.0%
Nextel Communications, Inc., 9.500%, 2/01/11 500,000 570,000
------------
WIRELINES - 3.7%
AT&T Corp., 6.750%, 11/21/06 EUR 3,750,000 5,010,168
Colt Telecom Group Plc, 7.625%, 12/15/09 1,500,000 1,845,900
Deutsche Telekom International Finance BV,
7.125%, 7/11/11 3,000,000 4,282,309
Philippine Long Distance Telephone Co.,
8.350%, 3/06/17 USD 12,579,000 11,446,890
Philippine Long Distance Telephone Co.,
11.375%, 5/15/12 925,000 1,040,625
Qwest Capital Funding, Inc., 6.375%, 7/15/08 625,000 556,250
Qwest Capital Funding, Inc., 7.000%, 8/03/09 2,700,000 2,369,250
22
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - CONTINUED
Qwest Capital Funding, Inc., 7.625%, 8/03/21 USD 4,930,000 $ 4,141,200
Qwest Capital Funding, Inc., 7.750%, 2/15/31 13,475,000 11,049,500
Qwest Capital Funding, Inc., 7.900%, 8/15/10 2,000,000 1,800,000
Qwest Corp., 5.625%, 11/15/08 750,000 748,125
Qwest Corp., 6.875%, 9/15/33 1,025,000 907,125
Qwest Corp., 7.250%, 9/15/25 7,100,000 6,603,000
Qwest Corp., 7.500%, 6/15/23 2,325,000 2,173,875
Sprint Capital Corp., 6.875%, 11/15/28 11,075,000 11,501,288
Sprint Capital Corp., 7.900%, 3/15/05 1,100,000 1,162,860
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A 500,000 590,769
US West Capital Funding, Inc., 6.500%, 11/15/18 5,925,000 4,710,375
US West Capital Funding, Inc., 6.875%, 7/15/28 32,200,000 24,955,000
--------------
96,894,509
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $2,050,870,532) 2,283,688,339
--------------
CONVERTIBLE BONDS - 5.5%
ELECTRONICS - 0.8%
Amkor Technology, Inc., 5.000%, 3/15/07 1,150,000 1,105,438
Corning, Inc., 3.500%, 11/01/08 6,100,000 7,815,625
Nortel Networks Corp., 4.250%, 9/01/08 11,510,000 11,697,037
Richardson Electronics Ltd., 7.250%, 12/15/06 450,000 445,500
--------------
21,063,600
--------------
INDEPENDENT/ENERGY - 0.2%
Devon Energy Corp., 4.900%, 8/15/08 1,400,000 1,438,500
Devon Energy Corp., 4.950%, 8/15/08 2,600,000 2,671,500
--------------
4,110,000
--------------
INFORMATION/DATA TECHNOLOGY - 0.6%
Infineon Tech, 4.250%, 2/06/07 EUR 8,850,000 10,713,831
Maxtor Corp., 5.750%, 3/01/12 USD 6,895,000 6,067,600
--------------
16,781,431
--------------
MEDIA CABLE - 0.3%
Rogers Communications, Inc., 2.000%, 11/26/05 6,775,000 6,402,375
--------------
PHARMACEUTICALS - 0.8%
Human Genome Sciences, Inc., 3.750%, 3/15/07 7,325,000 7,077,781
Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 6,750,000 6,522,188
Nektar Therapeutics, 3.500%, 10/17/07 1,000,000 973,750
Vertex Pharmaceuticals, Inc., 5.750%, 2/15/11 144A 6,108,000 5,810,235
--------------
20,383,954
--------------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/12 197,000 169,420
--------------
TOBACCO - 1.7%
Loews Corp., 3.125%, 9/15/07 46,015,000 45,439,812
--------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 8.000%, 8/15/05^** 1,000,000 100
Preston Corp., 7.000%, 5/01/11 750,000 675,000
--------------
675,100
--------------
WIRELESS - 0.3%
Nextel Communications, Inc., 5.250%, 1/15/10 6,695,000 6,728,475
--------------
23
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------------
CONVERTIBLE BONDS - CONTINUED
WIRELINES - 0.8%
Colt Telecom Group Plc, 2.000%, 3/29/06 EUR 1,000,000 $ 1,353,659
Colt Telecom Group Plc, 2.000%, 12/16/06 8,225,000 11,488,109
Colt Telecom Group Plc, 2.000%, 4/03/07 5,750,000 8,110,805
Telus Corp., 6.750%, 6/15/10 CAD 1,500,000 1,200,137
--------------
22,152,710
--------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $118,626,556) 143,906,877
--------------
TOTAL BONDS AND NOTES
(Identified Cost $2,169,497,088) 2,427,595,216
--------------
SHARES
- -------------------------------------------------------------------------------------
PREFERRED STOCKS - 3.5% OF NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.4%
ELECTRIC - 0.4%
Central Maine Power Co., 3.500% 2,230 129,563
Connecticut Light & Power Co., $1.90 2,925 90,675
Entergy Arkansas, Inc., 4.32% 100 6,500
Entergy Louisiana, Inc., 4.160% 2,824 186,384
Entergy Mississippi, Inc., 4.360% 5,000 361,250
Entergy New Orleans, Inc., 4.360% 665 48,191
Entergy New Orleans, Inc., 4.750% 200 15,794
MDU Resources Group, Inc., 5.100% 3,100 306,900
Pacific Gas & Electric Co., Series D, 5.000% ^ 75,600 1,935,360
Pacific Gas & Electric Co., Series H, 4.500% ^ 45,000 1,048,500
PECO Energy Co., $3.80 300 23,100
Public Service Co., 4.000% 360 24,964
Southern California Edison Co., 4.320% 50,700 975,975
Southern California Edison Co., 4.780% 50,100 1,054,605
Southern California Edison Co., 7.230% 35,262 3,716,837
Xcel Energy, Inc., $3.60 1,100 71,500
--------------
9,996,098
--------------
LODGING - 0.0%
La Quinta Properties, Inc., Series A, 9.000% 18,010 462,677
--------------
REAL ESTATE INVESTMENT TRUSTS - 0.0%
First Industrial Realty Trust, Inc., Series E, 7.900% 100 2,525
--------------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $7,579,504) 10,461,300
--------------
CONVERTIBLE PREFERRED STOCKS - 3.1%
AUTOMOTIVE - 0.2%
Cummins Capital Trust I, 7.000% 58,500 4,036,500
--------------
CONSUMER PRODUCTS - 0.2%
Newell Financial Trust I, 5.250% 130,000 6,126,250
--------------
24
SHARES VALUE +
- ---------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS - CONTINUED
ELECTRONICS - 0.5%
Lucent Technologies Capital Trust, 7.750% ^ 9,975 $ 12,580,470
--------------
INDEPENDENT/ENERGY - 0.1%
Chesapeake Energy Corp., 6.750% 32,600 2,885,100
--------------
LODGING - 0.1%
Host Marriott Financial Trust, 6.750% 60,500 3,168,688
--------------
PACKAGING - 0.0%
Owens-Illinois, Inc., 4.750% 26,000 884,000
--------------
PAPER - 1.1%
International Paper Capital Trust, 5.250% 597,109 29,780,811
--------------
PIPELINES - 0.1%
Williams Cos., Inc., 5.500% 25,000 1,593,750
--------------
WIRELINES - 0.8%
Philippine Long Distance Telephone Co., $3.50 GDS 431,475 19,847,850
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $66,209,655) 80,903,419
--------------
TOTAL PREFERRED STOCKS
(Identified Cost $73,789,159) 91,364,719
--------------
FACE AMOUNT
- ---------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 2.0% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$52,477,510 on 4/01/04 collateralized by
$53,265,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $53,531,325 USD 52,477,000 52,477,000
--------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $52,477,000) 52,477,000
--------------
TOTAL INVESTMENTS - 98.6%
(Identified Cost $2,295,763,247)@ 2,571,436,935
Cash and Other Assets, Less Liabilities--1.4% 36,785,053
--------------
NET ASSETS - 100% $2,608,221,988
--------------
+ See Note 2.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transaction exempt from
registration, normally to qualified institutional buyers.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases to a higher coupon rate at a specified date and rate.
^ Non-income producing security due to default or bankruptcy filing.
++ Security in bankruptcy filing.
** Security valued at fair value as determined in good faith by or under the
direction of the board of Trustees.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 2,299,966,865 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
286,031,449 and $ 14,561,379, respectively, resulting in net unrealized
appreciation of $ 271,470,070.
At September 30, 2003, the fund had a capital loss carryover of
approximately $195,407,248 which expires between September 30, 2008 and
September 30, 2011. This may be available to offset future realized capital
gains if any, to the extent provided by regulations.
Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR:
Euro; GBP: Great British Pound; GDS: Global Depositary Shares; NOK:
Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; SGD: Singapore
Dollar: USD: United States Dollar; ZAR: South African Rand
See accompanying notes to financial statements.
25
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES CORE PLUS FIXED INCOME FUND
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - 97.8% OF NET ASSETS
AEROSPACE/DEFENSE - 1.1%
Raytheon Co., 6.750%, 8/15/07 USD 15,000 $16,863
-------
ASSET-BACKED SECURITIES - 4.2%
Americredit Automobile Receivables Trust, Series
2003-DM, Class A4, 2.840%, 4/02/04 5,000 5,062
Countrywide Asset Backed Certificates, 4.905%, 8/25/32 35,000 36,251
Residential Funding Mortgage Securities II, Series
2003-HI4, Class A4, 4.590%, 4/25/18 20,000 20,675
-------
61,988
-------
AUTOMOTIVE - 4.7%
Ford Motor Credit Co., 5.625%, 10/01/08 15,000 15,482
Ford Motor Credit Co., 7.375%, 2/01/11 15,000 16,358
General Motors Acceptance Corp., 8.000%, 11/01/31 5,000 5,534
General Motors Corp., 8.375%, 7/15/33 15,000 17,015
Navistar International Corp., Series B, 8.000%, 2/01/08 15,000 15,413
-------
69,802
-------
BANKING - 2.9%
Bank of America Corp., 5.875%, 2/15/09 5,000 5,579
Chevy Chase Bank, 6.875%, 12/01/13 5,000 5,137
Citigroup, Inc., 5.000%, 3/06/07 15,000 16,096
J.P. Morgan Chase & Co., 5.750%, 1/02/13 5,000 5,435
Wells Fargo & Co., 3.500%, 4/04/08 10,000 10,247
-------
42,494
-------
BEVERAGES - 0.4%
Cia Brasileira de Bebidas, 8.750%, 9/15/13 144A 5,000 5,488
-------
BROKERAGE - 0.4%
Goldman Sachs Group, Inc., 6.600%, 1/15/12 5,000 5,730
-------
BUILDING MATERIALS - 1.1%
American Standard, Inc., 7.375%, 4/15/05 15,000 15,750
-------
CHEMICALS - 3.0%
Eastman Chemical Co., 6.300%, 11/15/18 20,000 21,570
ICI Wilmington, Inc., 5.625%, 12/01/13 5,000 5,221
IMC Global, Inc., Series B, 10.875%, 6/01/08 15,000 18,075
-------
44,866
-------
CONSTRUCTION MACHINERY - 1.1%
Case New Holland, Inc., 9.250%, 8/01/11 144A 15,000 16,950
-------
ELECTRIC - 5.5%
CenterPoint Energy, Inc., 5.875%, 6/01/08 10,000 10,388
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/13 15,000 16,924
FirstEnergy Corp., 6.450%, 11/15/11 10,000 10,949
IPALCO Enterprises, Inc., 8.375%, 5/15/04 15,000 16,650
Pacific Gas & Electric Co., 6.050%, 3/01/34 20,000 20,229
Southern California Edison Co., 7.625%, 1/15/10 5,000 5,947
-------
81,087
-------
ELECTRONICS - 1.1%
Avnet, Inc., 8.000%, 11/15/06 15,000 16,500
-------
26
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ENTERTAINMENT - 0.4%
AOL Time Warner, Inc., 7.700%, 5/01/32 USD 5,000 $ 5,911
--------
ENVIRONMENTAL - 1.9%
Allied Waste North America, Inc.,
6.500%, 11/15/10 144A 10,000 10,213
Waste Management, Inc., 6.875%, 5/15/09 15,000 17,138
--------
27,351
--------
FOOD & BEVERAGE - 1.5%
Dean Foods Co., 6.900%, 10/15/17 10,000 10,500
Smithfield Foods, Inc., 7.750%, 5/15/13 10,000 11,000
--------
21,500
--------
GOVERNMENT AGENCIES - 7.7%
Federal Home Loan Mortgage Corp., 5.750%, 3/15/09 80,000 89,771
Federal National Mortgage Association,
6.375%, 8/15/07 AUD 30,000 23,543
--------
113,314
--------
HEALTHCARE - 1.1%
HCA, Inc., 6.950%, 5/01/12 USD 15,000 16,361
--------
INTEGRATED/ENERGY - 1.6%
Pemex Project Funding Master Trust, 7.875%, 2/01/09 20,000 23,050
--------
MEDIA CABLE - 1.5%
Comcast Cable Communications, 6.750%, 1/30/11 10,000 11,352
CSC Holdings, Inc., 7.250%, 7/15/08 10,000 10,550
--------
21,902
--------
MEDIA NONCABLE - 1.1%
Clear Channel Communications, Inc., 4.250%, 5/15/09 10,000 10,216
Dex Media West, 9.875%, 8/15/13 144A 5,000 5,550
--------
15,766
--------
MORTGAGE RELATED - 22.3%
Federal Home Loan Mortgage Corp., 4.500%, 8/01/18 62,106 62,989
Federal Home Loan Mortgage Corp., 5.000%, 5/01/18 52,236 53,763
Federal Home Loan Mortgage Corp., 5.500%, 11/01/18 24,907 25,978
Federal National Mortgage Association,
4.500%, 10/01/33 29,672 29,029
Federal National Mortgage Association,
5.000%, 5/01/18 50,030 51,481
Federal National Mortgage Association,
5.500%, 5/01/33 47,535 48,730
Federal National Mortgage Association,
7.500%, 3/01/32 31,302 33,553
Government National Mortgage Association,
6.000%, 3/15/31 23,329 24,392
--------
329,915
--------
NON CAPTIVE CONSUMER - 1.1%
Capital One Bank, 6.500%, 6/13/13 15,000 16,317
--------
NON CAPTIVE DIVERSIFIED - 1.1%
International Lease Finance Corp., 5.625%, 6/01/07 15,000 16,359
--------
27
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES CORE PLUS FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
OIL FIELD SERVICES - 1.1%
Halliburton Co., 5.500%, 10/15/10 144A USD 15,000 $15,887
-------
PAPER - 4.7%
Abitibi-Consolidated, Inc., 8.550%, 8/01/10 CAD 15,000 16,397
Boise Cascade Corp., 6.500%, 11/01/10 USD 20,000 21,444
Georgia-Pacific Corp., 7.500%, 5/15/06 15,000 16,125
International Paper Co., 4.000%, 4/01/10 15,000 14,959
-------
68,925
-------
PHARMACEUTICALS - 1.0%
Valeant Pharmaceuticals International,
7.000%, 12/15/11 144A 15,000 15,488
-------
PIPELINES - 1.2%
Kinder Morgan Energy Partners LP, 7.125%, 3/15/12 15,000 17,533
-------
REAL ESTATE INVESTMENT TRUSTS - 0.4%
iStar Financial, Inc., 6.000%, 12/15/10 5,000 5,250
-------
REFINING - 0.7%
Premcor Refining Group, Inc., 6.750%, 2/01/11 10,000 10,875
-------
RESTAURANTS - 0.7%
Domino's, Inc., 8.250%, 7/01/11 10,000 10,775
-------
SOVEREIGNS - 3.0%
Canadian Government, 5.750%, 9/01/06 CAD 55,000 45,007
-------
SUPERMARKETS - 3.1%
Couche-Tard US/Finance, 7.500%, 12/15/13 144A USD 10,000 10,700
Delhaize America, Inc., 8.125%, 4/15/11 15,000 17,250
Fred Meyer, Inc., 7.450%, 3/01/08 15,000 17,353
-------
45,303
-------
SUPRANATIONAL - 3.2%
Inter-American Development Bank, 5.500%, 3/30/10 EUR 35,000 47,946
-------
TOBACCO - 1.1%
Philip Morris Cos., Inc., 7.750%, 1/15/27 USD 15,000 16,719
-------
TRANSPORTATION SERVICES - 0.3%
Overseas Shipholding Group, Inc., 7.500%, 2/15/24 5,000 5,063
-------
TREASURIES - 4.9%
U.S. Treasury Notes, 1.875%, 12/31/05 30,000 30,210
U.S. Treasury Notes, 3.500%, 11/15/06 15,000 15,634
U.S. Treasury Notes, 7.500%, 2/15/05 25,000 26,383
-------
72,227
-------
WIRELESS - 1.3%
AT&T Wireless Services, Inc., 8.750%, 3/01/31 15,000 19,455
-------
WIRELINES - 4.3%
AT&T Corp., 8.750%, 5/15/04 15,000 17,694
Qwest Corp., 7.200%, 11/10/26 10,000 9,200
Qwest Corp., 7.250%, 9/15/25 5,000 4,650
Qwest Corp., 7.500%, 6/15/23 5,000 4,675
Sprint Capital Corp., 6.875%, 11/15/28 15,000 15,577
Telus Corp., 8.000%, 6/01/11 10,000 12,046
-------
63,842
-------
28
VALUE +
- --------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TOTAL BONDS AND NOTES
(Identified Cost $1,381,626) $1,445,559
----------
TOTAL INVESTMENTS - 97.8%
(Identified Cost $1,381,626)@ 1,445,559
Cash and Other Assets, Less Liabilities--2.2% 31,856
----------
NET ASSETS - 100% $1,477,415
----------
+ See Note 2.
144ASecurities 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 March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 1,387,503 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
62,824 and $ 4,768, respectively, resulting in net unrealized appreciation
of $ 58,056.
At September 30, 2003, the fund had a capital loss carryover of
approximately $2,354,133 which expires on September 30, 2011. This may be
available to offset future realized capital gains if any, to the extent
provided by regulations.
Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR:
Euro; USD: United States Dollar
See accompanying notes to financial statements.
29
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND
FACE AMOUNT VALUE +
- -----------------------------------------------------------------------------
BONDS AND NOTES - 95.4% OF NET ASSETS
NON-CONVERTIBLE BONDS - 90.7%
AEROSPACE/DEFENSE - 0.1%
Raytheon Co., 6.750%, 3/15/18 USD 250,000 $ 283,334
-----------
AIRLINES - 2.9%
American Airlines, Inc., 6.978%, 4/01/11 723,875 739,518
Continental Airlines, Inc., 6.703%, 12/15/22 653,046 642,760
Continental Airlines, Inc., 8.000%, 12/15/05 750,000 697,500
Continental Airlines, Inc., Series 1997-4A,
6.900%, 1/02/18 208,215 207,620
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/17 936,915 916,681
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/19 1,730,596 1,704,666
Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/22 434,477 441,127
Delta Air Lines, Inc., 8.300%, 12/15/29 7,547,000 4,339,525
Delta Air Lines, Inc., 9.750%, 5/15/21 200,000 124,000
Northwest Airlines Corp., 7.625%, 3/15/05 250,000 243,750
Northwest Airlines Corp., 7.875%, 3/15/08 325,000 258,375
Northwest Airlines Corp., 9.875%, 3/15/07 250,000 213,750
US Airways, 6.850%, 1/30/18 1,967,294 1,857,513
-----------
12,386,785
-----------
ASSET-BACKED SECURITIES - 0.2%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/29 725,000 680,615
-----------
AUTOMOTIVE - 3.0%
Cummins Engine Co., Inc., 7.125%, 3/01/28 2,350,000 2,326,500
Dana Corp., 7.000%, 3/15/28 850,000 847,875
Dana Corp., 9.000%, 8/15/11 350,000 420,875
Dana Corp., 9.000%, 8/15/11 250,000 357,335
Ford Motor Co., 6.375%, 2/01/29 725,000 645,513
Ford Motor Co., 6.625%, 10/01/28 3,650,000 3,355,248
Ford Motor Credit Co., 7.250%, 2/22/05 GBP 1,000,000 1,866,612
General Motors Acceptance Corp., 5.125%, 5/09/08 USD 2,000,000 2,081,864
General Motors Acceptance Corp., 6.375%, 12/07/07 GBP 300,000 554,729
General Motors Acceptance Corp., 6.875%, 8/28/12 USD 200,000 216,027
-----------
12,672,578
-----------
BANKING - 2.1%
Keycorp Capital II, 6.875%, 3/17/29 5,250,000 5,712,971
Keycorp Capital III, 7.750%, 7/15/29 2,500,000 2,981,310
-----------
8,694,281
-----------
CHEMICALS - 0.8%
IMC Global, Inc., 6.875%, 7/15/07 2,550,000 2,677,500
IMC Global, Inc., 7.300%, 1/15/28 250,000 263,750
IMC Global, Inc., 7.375%, 8/01/18 285,000 303,525
-----------
3,244,775
-----------
CONSUMER PRODUCTS - 0.3%
Bausch & Lomb, Inc., 7.125%, 8/01/28 1,250,000 1,316,727
Hasbro, Inc., 6.600%, 7/15/28 75,000 77,063
-----------
1,393,790
-----------
30
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRIC - 3.8%
AES Corp., 7.750%, 3/01/14 USD 480,000 $ 480,600
AES Corp., 8.875%, 11/01/27 1,300,000 1,261,000
AES Corp., 9.375%, 9/15/10 100,000 109,000
Calpine Corp., 7.875%, 4/01/08 550,000 400,813
Calpine Corp., 8.500%, 2/15/11 150,000 110,250
Calpine Corp., 8.750%, 7/15/13 144A 20,000 18,300
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/27 1,450,000 1,508,590
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/13 500,000 564,141
Enersis SA, 7.400%, 12/01/16 4,000,000 4,101,252
ESI Tractebel Acquisition Corp., Series B,
7.990%, 12/30/11 736,000 761,760
Power Receivables Finance LLC, 6.290%, 1/01/12 144A 1,491,373 1,586,717
Quezon Power Philippines Co., 8.860%, 6/15/17 1,706,250 1,518,562
Salton Sea Funding Corp., 7.840%, 5/30/10 466,883 508,903
Salton Sea Funding Corp., Series E, 8.300%, 5/30/11 249,935 281,801
Southern California Edison Co., 6.650%, 4/01/29 550,000 596,203
Southern California Edison Co., 7.625%, 1/15/10 500,000 594,706
Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 1,062,041
Tiverton Power Associates Ltd., 9.000%, 7/15/18 144A 460,000 356,500
-----------
15,821,139
-----------
ELECTRONICS - 1.9%
Corning Glass, 7.000%, 3/15/07 250,000 250,312
Corning, Inc., 5.625%, 2/18/05 144A EUR 250,000 313,419
Corning, Inc., 6.850%, 3/01/29 USD 250,000 232,381
Lucent Technologies, Inc., 5.500%, 11/15/08 550,000 532,125
Lucent Technologies, Inc., 6.450%, 3/15/29 2,970,000 2,509,650
Lucent Technologies, Inc., 6.500%, 1/15/28 200,000 168,500
Motorola, Inc., 5.800%, 10/15/08 645,000 686,294
Motorola, Inc., 6.500%, 11/15/28 1,325,000 1,344,988
Motorola, Inc., 7.625%, 11/15/10 350,000 407,250
Nortel Networks Corp., 6.875%, 9/01/23 250,000 238,750
Northern Telecom Capital Corp., 7.875%, 6/15/26 150,000 153,750
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 1,158,000 1,300,749
-----------
8,138,168
-----------
FOOD & BEVERAGE - 0.9%
Borden, Inc., 7.875%, 2/15/23 2,625,000 2,493,750
Borden, Inc., 9.200%, 3/15/21 750,000 787,500
Borden, Inc., 9.250%, 6/15/19 362,000 365,620
-----------
3,646,870
-----------
FOREIGN LOCAL GOVERNMENTS - 12.9%
New Brunswick FM Project, 6.470%, 11/30/27 CAD 1,239,243 1,049,364
Province of Alberta, 5.930%, 9/16/16 1,268,370 1,060,885
Province of British Columbia, Zero Coupon Bond,
8/23/13 11,700,000 5,699,822
Province of British Columbia, Zero Coupon Bond,
5/15/21 4,500,000 1,332,152
Province of British Columbia, 5.250%, 12/01/06 1,615,000 1,308,244
Province of British Columbia, 5.700%, 6/18/29 4,300,000 3,411,101
Province of British Columbia, 6.250%, 12/01/09 7,025,000 6,002,685
31
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOREIGN LOCAL GOVERNMENTS - CONTINUED
Province of Manitoba, 5.750%, 6/02/08 CAD 8,365,000 $ 6,950,851
Province of Manitoba, 6.500%, 9/22/17 5,075,000 4,466,588
Province of Newfoundland, 6.150%, 4/17/28 1,000,000 817,488
Province of Ontario, 3.500%, 9/08/06 940,000 729,939
Province of Ontario, 5.900%, 3/08/06 18,885,000 15,318,097
Province of Saskatchewan, 5.500%, 6/02/08 4,460,000 3,673,761
Province of Saskatchewan, 5.750%, 3/05/29 3,460,000 2,741,661
-----------
54,562,638
-----------
GOVERNMENT AGENCIES - 6.0%
Federal Home Loan Mortgage Corp., 3.220%, 6/20/07 SGD 1,500,000 934,969
Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 4,675,000 6,065,743
Federal Home Loan Mortgage Corp., 5.500%, 9/15/11 USD 260,000 287,475
Federal National Mortgage Association, Zero Coupon
Bond, 10/29/07 NZD 11,450,000 6,228,079
Federal National Mortgage Association,
2.290%, 2/19/09 SGD 16,000,000 9,521,892
Federal National Mortgage Association,
6.375%, 8/15/07 AUD 3,000,000 2,354,293
-----------
25,392,451
-----------
HEALTHCARE - 1.9%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 2,750,000 2,755,935
Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 2,100,000 2,226,823
Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 1,000,000 1,072,018
HCA, Inc., 6.250%, 2/15/13 1,000,000 1,041,998
HCA, Inc., 7.500%, 11/06/33 1,000,000 1,064,621
-----------
8,161,395
-----------
HOME CONSTRUCTION - 0.3%
Pulte Corp., 7.625%, 10/15/17 500,000 593,648
Pulte Homes, Inc., 6.375%, 5/15/33 500,000 498,316
-----------
1,091,964
-----------
INDEPENDENT/ENERGY - 0.5%
Chesapeake Energy Corp., 7.500%, 9/15/13 150,000 165,750
Chesapeake Energy Corp., 7.750%, 1/15/15 595,000 658,962
Pioneer Natural Resources Co., 7.200%, 1/15/28 1,000,000 1,138,360
-----------
1,963,072
-----------
INFORMATION/DATA TECHNOLOGY - 1.0%
Arrow Electronics, Inc., 6.875%, 7/01/13 3,500,000 3,802,284
Xerox Capital Trust I, 8.000%, 2/01/27 500,000 491,250
-----------
4,293,534
-----------
INTEGRATED/ENERGY - 1.1%
Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A 95,000 94,050
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 3,000,000 2,565,000
Pemex Project Funding Master Trust, 8.625%, 2/01/22 250,000 288,750
Petrozuata Finance, Inc., 7.630%, 4/01/09 144A 250,000 247,500
Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 1,425,000 1,296,750
-----------
4,492,050
-----------
32
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
LIFE INSURANCE - 2.9%
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 17,000,000 $10,082,009
UnumProvident Corp., 6.750%, 12/15/28 USD 600,000 554,888
UnumProvident Corp., 7.375%, 6/15/32 1,700,000 1,623,927
-----------
12,260,824
-----------
LODGING - 0.4%
Felcor Lodging LP, 9.000%, 6/01/11 375,000 402,187
Host Marriott Corp., Series B, 7.875%, 8/01/08 700,000 727,125
La Quinta Corp., 7.000%, 8/15/07 375,000 395,625
-----------
1,524,937
-----------
MEDIA CABLE - 0.9%
Charter Communications Holdings LLC,
9.625%, 11/15/09 3,000,000 2,535,000
Charter Communications Holdings LLC,
10.000%, 5/15/11 500,000 415,000
TCI Communications, Inc., 7.875%, 2/15/26 550,000 651,356
-----------
3,601,356
-----------
MEDIA NONCABLE - 0.3%
News America Holdings, Inc., 7.700%, 10/30/25 700,000 841,930
News America Holdings, Inc., 7.750%, 1/20/24 400,000 473,155
-----------
1,315,085
-----------
METALS & MINING - 0.1%
Vale Overseas Ltd., 8.250%, 1/17/34 520,000 475,800
-----------
MORTGAGE RELATED - 0.1%
Federal Home Loan Mortgage Corp., 5.000%, 12/01/31 348,186 350,164
-----------
NON CAPTIVE DIVERSIFIED - 0.0%
General Electric Capital Corp., 1.725%, 6/27/08 SGD 250,000 145,183
-----------
OIL FIELD SERVICES - 0.7%
Global Marine, Inc., 7.000%, 6/01/28 USD 1,000,000 1,150,499
Pecom Energia SA, 8.125%, 7/15/10 144A 1,472,000 1,508,800
Trico Marine Services, Inc., 8.875%, 5/15/12 375,000 195,000
-----------
2,854,299
-----------
PAPER - 3.8%
Arcel Finance Ltd., 7.048%, 9/01/11 144A 1,000,000 1,060,000
Boise Cascade Corp., Series A, 7.450%, 8/10/11 1,250,000 1,320,634
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/28 2,000,000 1,960,000
Georgia-Pacific Group, 7.375%, 12/01/25 6,000,000 5,940,000
Georgia-Pacific Group, 7.750%, 11/15/29 5,515,000 5,597,725
Mead Corp., 6.840%, 3/01/37 100,000 108,215
-----------
15,986,574
-----------
PHARMACEUTICALS - 0.2%
Pharma Services Intermediate Holding Corp.,
Zero Coupon Bond, 4/01/14 (step to 11.500% on
4/01/09) 144A# 1,500,000 858,750
-----------
PIPELINES - 3.6%
Coastal Corp., 6.500%, 6/01/08 500,000 427,500
El Paso Corp., 5.750%, 3/14/06 2,745,000 3,124,646
33
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PIPELINES - CONTINUED
El Paso Corp., 7.000%, 5/15/11 USD 750,000 $ 643,125
KN Capital Trust, 7.630%, 4/15/28 1,000,000 1,152,977
KN Energy, Inc., 7.250%, 3/01/28 3,850,000 4,388,596
Southern Natural Gas Co., 7.350%, 2/15/31 3,250,000 3,120,000
Tennessee Gas Pipeline Co., 7.000%, 10/15/28 1,750,000 1,636,250
Tennessee Gas Pipeline Co., 7.500%, 4/01/17 750,000 774,375
-----------
15,267,469
-----------
PROPERTY & CASUALTY INSURANCE - 0.2%
Aon Corp., 7.375%, 12/14/12 750,000 882,729
-----------
RAILROADS - 0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/45 500,000 370,625
-----------
REAL ESTATE INVESTMENT TRUSTS - 3.5%
EOP Operating LP, 7.250%, 2/15/18 2,000,000 2,354,302
First Industrial LP, 7.500%, 12/01/17 3,000,000 3,498,813
First Industrial LP, 7.600%, 7/15/28 6,400,000 7,063,911
Highwoods Realty LP, 7.500%, 4/15/18 475,000 532,633
Spieker Properties, Inc., 7.350%, 12/01/17 500,000 593,273
TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 600,000 664,500
-----------
14,707,432
-----------
REFINING - 0.2%
Merey Sweeny LP, 8.850%, 12/18/19 144A 875,000 1,022,193
-----------
RESTAURANTS - 0.1%
McDonald's Corp., 3.627%, 10/10/10 SGD 1,000,000 610,505
-----------
RETAILERS - 1.7%
Dillard's, Inc., 7.750%, 7/15/26 USD 1,025,000 1,045,500
J.C. Penney Co., Inc., 6.500%, 12/15/07 500,000 540,000
J.C. Penney Co., Inc., 6.875%, 10/15/15 325,000 358,312
J.C. Penney Co., Inc., 7.125%, 11/15/23 1,045,000 1,180,850
J.C. Penney Co., Inc., 7.650%, 8/15/16 1,000,000 1,167,500
J.C. Penney Co., Inc., 7.950%, 4/01/17 850,000 1,005,125
Woolworth Corp., 8.500%, 1/15/22 1,855,000 2,079,919
-----------
7,377,206
-----------
SOVEREIGNS - 13.4%
Bangko Sentral Pilipinas, 8.600%, 6/15/27 1,630,000 1,467,000
Canadian Government, 3.500%, 6/01/04 CAD 7,675,000 5,861,739
Canadian Government, 4.500%, 9/01/07 13,520,000 10,803,019
Canadian Government, 6.000%, 9/01/05 6,235,000 5,003,441
Petroleos Mexicanos, 8.625%, 12/01/23 144A USD 1,400,000 1,610,000
Petroleos Mexicanos, 9.250%, 3/30/18 400,000 491,000
Petroleos Mexicanos, 9.500%, 9/15/27 1,450,000 1,805,250
PF Export Receivables Master Trust,
6.436%, 6/01/15 144A 2,309,091 2,375,754
Republic of Argentina, 8.875%, 3/01/29^ 1,500,000 341,250
Republic of Brazil, 8.250%, 1/20/34 7,370,000 6,264,500
Republic of Brazil, 10.125%, 5/15/27 4,877,000 4,935,524
Republic of Brazil, 11.000%, 8/17/40 575,000 614,100
Republic of Brazil C Bond, 8.000%, 4/15/14 7,850,217 7,653,962
Republic of Dominican, 9.040%, 1/23/13 144A 200,000 144,000
34
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SOVEREIGNS - CONTINUED
Republic of Peru, 4.500%, 3/07/17
(step to 5.000% on 3/07/05)# USD 500,000 $ 435,000
Republic of South Africa, 12.500%, 12/21/06 ZAR 3,020,000 513,284
Republic of Uruguay, 7.875%, 1/15/33 USD 1,419,778 1,064,833
Republic of Venezuela, 9.250%, 9/15/27 4,250,000 3,778,250
SP Powerassets Ltd., 3.730%, 10/22/10 SGD 250,000 155,071
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 1,040,000 1,147,689
United Mexican States, 5.375%, 6/10/13 EUR 250,000 309,650
-----------
56,774,316
-----------
SOVEREIGNS NON-CALLABLE - 4.2%
Government of Sweden, 5.250%, 3/15/11 SEK 10,000,000 1,436,016
Government of Sweden, 6.500%, 5/05/08 5,000,000 744,994
Kingdom of Norway, 5.500%, 5/15/09 NOK 20,000,000 3,183,150
Kingdom of Norway, 6.750%, 1/15/07 76,825,000 12,376,800
-----------
17,740,960
-----------
SUPRANATIONAL - 7.0%
Eurofima, 6.500%, 8/22/11 AUD 550,000 433,361
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 40,850,000 22,379,813
International Bank for Reconstruction & Development,
5.500%, 11/03/08 9,250,000 6,086,111
International Bank for Reconstruction & Development,
8.000%, 5/23/07 1,000,000 705,670
-----------
29,604,955
-----------
TAXABLE MUNICIPAL - 0.3%
Orange County, California Pension Obligation, Zero
Coupon Bond, 9/01/16 USD 2,000,000 1,052,820
-----------
TEXTILE - 0.8%
Kellwood Co., 7.625%, 10/15/17 2,500,000 2,762,500
Phillips-Van Heusen Corp., 7.750%, 11/15/23 630,000 652,050
-----------
3,414,550
-----------
TRANSPORTATION SERVICES - 0.7%
American President Cos. Ltd., 8.000%, 1/15/24 2,500,000 2,362,500
Atlas Air, Inc., Series A, 7.380%, 1/02/18++ 680,907 646,371
-----------
3,008,871
-----------
WIRELESS - 0.1%
AT&T Wireless Services, Inc., 7.350%, 3/01/06 250,000 274,177
AT&T Wireless Services, Inc., 7.500%, 5/01/07 250,000 284,217
-----------
558,394
-----------
WIRELINES - 5.7%
AT&T Corp., 6.750%, 11/21/06 EUR 2,400,000 3,206,507
Philippine Long Distance Telephone Co.,
8.350%, 3/06/17 USD 3,914,000 3,561,740
Qwest Capital Funding, Inc., 7.000%, 8/03/09 825,000 723,938
Qwest Capital Funding, Inc., 7.625%, 8/03/21 350,000 294,000
Qwest Capital Funding, Inc., 7.750%, 2/15/31 775,000 635,500
Qwest Capital Funding, Inc., 7.900%, 8/15/10 50,000 45,000
Qwest Corp., 5.625%, 11/15/08 250,000 249,375
35
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - CONTINUED
Sprint Capital Corp., 6.875%, 11/15/28 USD 5,835,000 $ 6,059,595
Sprint Capital Corp., 6.900%, 5/01/19 1,550,000 1,693,976
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A 100,000 118,154
US West Capital Funding, Inc., 6.500%, 11/15/18 2,575,000 2,047,125
US West Capital Funding, Inc., 6.875%, 7/15/28 7,200,000 5,580,000
------------
24,214,910
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $337,596,797) 382,900,346
------------
CONVERTIBLE BONDS - 4.7%
ELECTRONICS - 0.8%
Corning, Inc., 3.500%, 11/01/08 1,985,000 2,543,281
Nortel Networks Corp., 4.250%, 9/01/08 400,000 406,500
Richardson Electronics Ltd., 7.250%, 12/15/06 300,000 297,000
------------
3,246,781
------------
INDEPENDENT/ENERGY - 0.8%
Devon Energy Corp., 4.900%, 8/15/08 1,300,000 1,335,750
Devon Energy Corp., 4.950%, 8/15/08 1,900,000 1,952,250
------------
3,288,000
------------
INFORMATION/DATA TECHNOLOGY - 0.1%
Infineon Tech, 4.250%, 2/06/07 EUR 100,000 121,060
Maxtor Corp., 5.750%, 3/01/12 USD 287,000 252,560
------------
373,620
------------
MEDIA CABLE - 0.1%
Rogers Communications, Inc., 2.000%, 11/26/05 500,000 472,500
------------
PHARMACEUTICALS - 0.2%
Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 1,000,000 966,250
------------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/12 130,000 111,800
------------
TOBACCO - 0.7%
Loews Corp., 3.125%, 9/15/07 3,155,000 3,115,562
------------
WIRELESS - 0.4%
Nextel Communications, Inc., 5.250%, 1/15/10 1,850,000 1,859,250
------------
WIRELINES - 1.6%
Colt Telecom Group Plc, 2.000%, 3/29/06 EUR 200,000 270,732
Colt Telecom Group Plc, 2.000%, 12/16/06 2,050,000 2,863,298
Colt Telecom Group Plc, 2.000%, 4/03/07 2,400,000 3,385,379
------------
6,519,409
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $15,077,942) 19,953,172
------------
TOTAL BONDS AND NOTES
(Identified Cost $352,674,739) 402,853,518
------------
36
SHARES VALUE +
- --------------------------------------------------------------------
COMMON STOCKS - 0.1% OF NET ASSETS
OIL & GAS - 0.1%
Pogo Producing Co. 8,652 $ 396,867
----------
TOTAL COMMON STOCKS
(Identified Cost $355,650) 396,867
----------
PREFERRED STOCKS - 2.1% OF NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.8%
ELECTRIC - 0.8%
Del Marva Power & Light Co., 4.000% 434 28,644
Entergy Louisiana, Inc., 4.440% 830 57,685
Entergy New Orleans, Inc., 4.360% 90 6,522
Entergy New Orleans, Inc., 4.750% 2,876 227,114
MDU Resources Group, Inc., 5.100% 720 71,280
Pacific Gas & Electric Co., 5.000%^ 19,100 490,488
Pacific Gas & Electric Co., 6.570%^ 35,000 1,071,000
Pacific Gas & Electric Co., Series H, 4.500%^ 10,000 233,000
Public Service Electric & Gas Co., 4.180% 1,950 155,025
Southern California Edison Co., 4.320% 500 9,625
Southern California Edison Co., 7.230% 5,000 527,032
Union Electric Co., $4.50 6,500 575,250
Xcel Energy, Inc., 4.110% 100 7,500
----------
3,460,165
----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $2,124,946) 3,460,165
----------
CONVERTIBLE PREFERRED STOCKS - 1.3%
CONSUMER PRODUCTS - 0.3%
Newell Financial Trust I, 5.250% 22,500 1,060,313
----------
ELECTRONICS - 0.4%
Lucent Technologies Capital Trust, 7.750%^ 1,500 1,891,800
----------
LODGING - 0.1%
Host Marriott Financial Trust, 6.750% 5,000 261,875
----------
PACKAGING - 0.0%
Owens-Illinois, Inc., 4.750% 3,000 102,000
----------
WIRELINES - 0.5%
Philippine Long Distance Telephone Co., $3.50 GDS 47,750 2,196,500
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $3,929,947) 5,512,488
----------
TOTAL PREFERRED STOCKS
(Identified Cost $6,054,893) 8,972,653
----------
37
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 1.1% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$4,574,044 on 4/01/04 collateralized by
$4,645,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $4,668,225 USD 4,574,000 $ 4,574,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $4,574,000) 4,574,000
------------
TOTAL INVESTMENTS - 98.7%
(Identified Cost $363,659,282)@ 416,797,038
Cash and Other Assets, Less Liabilities--1.3% 5,625,086
------------
NET ASSETS - 100% $422,422,124
------------
+ See Note 2.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transaction exempt from
registration, normally to qualified institutional buyers.
GDSGlobal Depositary Share is a certificate issued by a custodian bank
representing the right to receive securities of the foreign issuer. The
values of GDS's are significantly influenced by trading on exchanges not
located in the United States.
^ Non-Income producing security due to default or bankruptcy filing.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases to a higher coupon rate at a specified date and rate.
++ Security in default or bankruptcy filing.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 364,181,631 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
58,248,954 and $ 5,633,542, respectively, resulting in net unrealized
appreciation of $ 52,615,407.
At September 30, 2003, the fund had a capital loss carryover of
approximately $30,313,297 which expires between September 30, 2008 and
September 30, 2011. This may be available to offset future realized capital
gains if any, to the extent provided by regulations.
Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR:
Euro; GBP: Great British Pound; NOK: Norwegian Krone, NZD: New Zealand
Dollar; SEK: Swedish Krona; SGD: Singapore Dollar; USD: United States
Dollar; ZAR: South African Rand
See accompanying notes to financial statements.
38
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - 94.4% OF NET ASSETS
NON-CONVERTIBLE BONDS - 94.1%
AUSTRALIA - 3.5%
Queensland Treasury Corp., 6.000%, 7/14/09 AUD 11,525,000 $ 9,019,307
Queensland Treasury Corp., 8.000%, 9/14/07 9,995,000 8,256,746
-----------
17,276,053
-----------
AUSTRIA - 1.3%
Republic of Austria, 4.500%, 9/28/05 JPY 160,000,000 1,632,865
Republic of Austria, 5.000%, 7/15/12 EUR 3,360,000 4,482,768
Republic of Austria, 6.000%, 2/14/07 HUF 50,000,000 231,150
-----------
6,346,783
-----------
BELGIUM - 3.1%
Kingdom of Belgium, 3.750%, 3/28/09 EUR 11,865,000 15,014,128
-----------
BRAZIL - 1.2%
Cia Brasileira de Bebidas, 8.750%, 9/15/13 144A USD 2,500,000 2,743,750
Republic of Brazil, 8.250%, 1/20/34 2,065,000 1,755,250
Republic of Brazil C Bond, 8.000%, 4/15/14 1,311,452 1,278,665
-----------
5,777,665
-----------
CANADA - 9.0%
Abitibi-Consolidated, Inc., 8.500%, 8/01/29 1,000,000 981,769
Alcan, Inc., 5.500%, 5/02/06 EUR 900,000 1,169,129
Canadian Government, 0.700%, 3/20/06 JPY 243,000,000 2,351,061
Canadian Government, 5.500%, 6/01/10 CAD 13,315,000 11,070,215
Canadian Pacific Railway Ltd., 4.900%, 6/15/10 144A 700,000 543,534
Falconbridge Ltd., 7.350%, 6/05/12 USD 400,000 467,942
Ford Motor Credit Co., 7.163%, 4/23/07 CAD 250,000 202,701
Government of Quebec, 5.625%, 6/21/11 EUR 3,500,000 4,810,642
Household Financial Corp. Ltd., 4.500%, 7/02/08 CAD 2,100,000 1,652,221
Inco Ltd., 7.200%, 9/15/32 USD 375,000 433,179
Methanex Corp., 7.750%, 8/15/05 1,500,000 1,582,500
Noranda, Inc., 7.250%, 7/15/12 700,000 813,922
Province of British Columbia, 6.000%, 6/09/08 CAD 1,805,000 1,513,568
Province of Ontario, 5.700%, 12/01/08 12,510,000 10,406,269
Province of Ontario, 6.250%, 12/03/08 NZD 3,025,000 2,037,176
Province of Saskatchewan, 5.750%, 3/05/29 CAD 1,425,000 1,129,152
Shaw Comunications, Inc., 7.500%, 11/20/13 1,450,000 1,176,131
Teck Cominco Ltd., 7.000%, 9/15/12 USD 927,000 1,054,156
Videotron Ltee, 6.875%, 1/15/14 500,000 522,500
-----------
43,917,767
-----------
CAYMAN ISLAND - 1.1%
Arcel Finance Ltd., 7.048%, 9/01/11 144A 3,110,000 3,296,600
Enersis SA, 7.400%, 12/01/16 400,000 410,125
Hutchison Whampoa International Ltd.,
7.450%, 11/24/33 144A 600,000 627,981
PDVSA Finance Ltd., 7.400%, 8/15/16 230,000 197,225
Vale Overseas Ltd., 8.250%, 1/17/34 695,000 635,925
-----------
5,167,856
-----------
39
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CHILE - 0.2%
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/27 USD 350,000 $ 364,142
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/13 450,000 507,727
-----------
871,869
-----------
COLOMBIA - 0.6%
Bavaria S.A., 8.875%, 11/01/10 144A 1,500,000 1,593,750
Republic of Colombia, 8.125%, 5/21/24 1,200,000 1,137,000
-----------
2,730,750
-----------
DENMARK - 0.9%
Kingdom of Denmark, 4.000%, 8/15/08 DKK 17,865,000 3,061,309
Kommunekredit, 5.000%, 6/07/06 NOK 4,640,000 709,947
Rohm & Haas Denmark A/S, 6.000%, 3/09/07 EUR 650,000 865,458
-----------
4,636,714
-----------
FINLAND - 2.1%
Republic of Finland, 5.000%, 7/04/07 7,700,000 10,172,113
-----------
GERMANY - 7.6%
Bundesrepublik Deutschland, 5.000%, 7/04/11 10,000,000 13,413,216
Kreditanstalt Wiederauf, 5.250%, 1/04/10 9,200,000 12,445,834
Munchener Hypothekenbank eG, 5.000%, 1/16/12 2,435,000 3,234,990
Republic of Germany, 5.000%, 1/04/12 4,970,000 6,664,937
Republic of Germany, 5.000%, 7/04/12 1,200,000 1,605,451
-----------
37,364,428
-----------
HONG KONG - 0.1%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A USD 300,000 345,125
-----------
IRELAND - 2.1%
Depfa ACS Bank, 3.250%, 4/15/08 EUR 4,250,000 5,280,634
Republic of Ireland, 4.600%, 4/18/16 4,025,000 5,135,935
-----------
10,416,569
-----------
ITALY - 3.2%
Republic of Italy, 0.375%, 10/10/06 JPY 460,000,000 4,412,246
Republic of Italy, 4.500%, 3/01/07 EUR 4,650,000 6,030,399
Republic of Italy, 5.000%, 12/15/04 JPY 519,000,000 5,146,489
-----------
15,589,134
-----------
MALAYSIA - 0.5%
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A USD 1,000,000 1,181,537
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 1,000,000 1,103,547
-----------
2,285,084
-----------
MEXICO - 1.5%
America Movil SA de CV, 4.125%, 3/01/09 144A 2,315,000 2,319,516
Gruma SA de CV, 7.625%, 10/15/07 1,000,000 1,107,500
Petroleos Mexicanos, 8.625%, 12/01/23 144A 900,000 1,035,000
Petroleos Mexicanos, 9.500%, 9/15/27 500,000 622,500
TFM SA de CV, 11.750%, 6/15/09 245,000 246,225
United Mexican States, 5.375%, 6/10/13 EUR 800,000 990,879
United Mexican States, 8.375%, 1/14/11 USD 750,000 909,000
-----------
7,230,620
-----------
40
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
NETHERLANDS - 5.2%
Deutsche Telekom AG, 5.250%, 5/20/08 EUR 1,100,000 $ 1,444,355
GMAC International Finance BV, 8.000%, 3/14/07 NZD 1,125,000 762,161
Heidelberg Cement Finance BV, 4.750%, 4/09/09 EUR 1,000,000 1,210,602
Kingdom of Netherlands, 5.000%, 7/15/11 13,000,000 17,404,513
Olivetti Finance NV, 6.875%, 1/24/13 1,000,000 1,417,686
Repsol International Finance BV, 5.750%, 12/04/06 300,000 395,724
Telefonica Europe BV, 5.125%, 2/14/13 1,000,000 1,287,772
Volkswagen International Finance NV, 4.875%, 5/22/13 1,000,000 1,244,592
-----------
25,167,405
-----------
NEW ZEALAND - 0.3%
Government of New Zealand, 6.000%, 11/15/11 NZD 2,225,000 1,509,241
-----------
NORWAY - 1.8%
Kingdom of Norway, 5.500%, 5/15/09 NOK 44,860,000 7,139,805
Kingdom of Norway, 6.750%, 1/15/07 10,745,000 1,731,061
-----------
8,870,866
-----------
PHILIPPINES - 0.0%
Philippine Long Distance Telephone Co.,
11.375%, 5/15/12 USD 225,000 253,125
-----------
SINGAPORE - 1.3%
Flextronics International Ltd., 6.500%, 5/15/13 210,000 221,025
Flextronics International Ltd., 9.750%, 7/01/10 EUR 150,000 203,972
Goverment of Singapore, 2.250%, 7/01/13 SGD 5,510,000 3,076,783
Singapore Telecommunications Ltd., 6.000%, 11/21/11 EUR 1,000,000 1,369,922
SP Powerassets Ltd., 3.730%, 10/22/10 SGD 2,340,000 1,451,469
-----------
6,323,171
-----------
SOUTH AFRICA - 0.6%
Republic of South Africa, 5.250%, 5/16/13 EUR 800,000 980,345
Republic of South Africa, 8.500%, 6/23/17 USD 1,400,000 1,737,750
-----------
2,718,095
-----------
SOUTH KOREA - 0.1%
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 500,000 561,636
-----------
SPAIN - 4.3%
Government of Spain, 3.600%, 1/31/09 EUR 6,960,000 8,775,081
Government of Spain, 5.400%, 7/30/11 7,890,000 10,811,451
Kingdom of Spain, 4.625%, 7/22/04 JPY 155,000,000 1,506,207
-----------
21,092,739
-----------
SUPRANATIONAL - 1.7%
European Investment Bank, 0.875%, 11/08/04 432,000,000 4,162,440
European Investment Bank, 2.125%, 9/20/07 71,000,000 718,026
European Investment Bank, 6.000%, 11/26/04 GBP 155,000 288,242
International Bank for Reconstruction & Development,
4.750%, 12/20/04 JPY 246,000,000 2,436,305
Nordic Investment Bank, 5.250%, 4/20/06 SEK 6,000,000 831,440
-----------
8,436,453
-----------
41
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SWEDEN - 4.5%
Government of Sweden, 5.250%, 3/15/11 SEK 30,375,000 $ 4,361,900
Government of Sweden, 6.500%, 5/05/08 112,300,000 16,732,566
Stena AB, 7.500%, 11/01/13 USD 950,000 992,750
-----------
22,087,216
-----------
THAILAND - 0.1%
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A 555,000 642,218
-----------
UNITED KINGDOM - 7.4%
Hilton Group Finance Plc, 6.500%, 7/17/09 EUR 985,000 1,353,300
Imperial Chemical Industries Plc, 9.750%, 4/15/05 GBP 875,000 1,685,841
MBNA Europe Funding Plc, 6.500%, 3/27/07 EUR 1,000,000 1,344,714
NGG Finance Plc, 6.125%, 8/23/11 600,000 820,532
Permanent Finance Plc, 5.100%, 6/10/09 2,196,000 2,878,863
Standard Chartered Bank, 6.750%, 4/27/09 GBP 400,000 780,310
United Kingdom Treasury, 5.000%, 3/07/12 5,300,000 9,947,767
United Kingdom Treasury, 6.250%, 11/25/10 7,500,000 15,063,858
WPP Group Plc, 6.000%, 6/18/08 EUR 1,690,000 2,273,256
-----------
36,148,441
-----------
UNITED STATES - 28.5%
Allied Waste North America, Inc.,
6.500%, 11/15/10 144A USD 775,000 791,469
Allied Waste North America, Inc., 8.500%, 12/01/08 430,000 481,600
American Standard, Inc., 7.125%, 6/01/06 EUR 325,000 428,941
American Standard, Inc., 8.250%, 6/01/09 GBP 325,000 644,160
Arrow Electronics, Inc., 6.875%, 7/01/13 USD 540,000 586,638
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 7,000,000 4,151,416
AT&T Corp., 6.750%, 11/21/06 EUR 150,000 200,407
Bank of America Corp., 4.625%, 2/18/14 1,155,000 1,443,245
Bowater, Inc., 6.500%, 6/15/13 USD 1,300,000 1,272,375
Chesapeake Energy Corp., 6.875%, 1/15/16 1,000,000 1,050,000
CITGO Petroleum Corp., 11.375%, 2/01/11 250,000 291,875
Citi Credit Card Issuance Trust, 5.375%, 4/10/13 EUR 2,000,000 2,706,089
Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 USD 250,000 263,764
Corning, Inc., 5.900%, 3/15/14 1,675,000 1,658,250
Corning, Inc., 6.750%, 9/15/13 400,000 420,225
Couche-Tard US/Finance, 7.500%, 12/15/13 144A 1,000,000 1,070,000
D.R. Horton, Inc., 5.000%, 1/15/09 810,000 838,350
Dana Corp., 9.000%, 8/15/11 200,000 285,868
Dean Foods Co., 6.625%, 5/15/09 1,750,000 1,881,250
Dean Foods Co., 8.150%, 8/01/07 500,000 557,500
Equistar Chemicals, L. P., 6.500%, 2/15/06 250,000 255,000
Federal Farm Credit Bank, 2.125%, 7/17/06 10,000,000 10,039,790
Federal Home Loan Mortgage Corp., 3.220%, 6/20/07 SGD 2,500,000 1,558,282
Federal Home Loan Mortgage Corp., 5.500%, 4/01/33 USD 1,037,029 1,063,604
Federal Home Loan Mortgage Corp., 6.000%, 1/01/33 449,844 467,705
Federal National Mortgage Association,
1.750%, 3/26/08 JPY 1,160,000,000 11,667,508
Federal National Mortgage Association,
2.290%, 2/19/09 SGD 5,700,000 3,392,174
Federal National Mortgage Association,
5.500%, 5/01/33 USD 950,694 974,607
Federal National Mortgage Association,
6.000%, 7/01/17 1,555,289 1,639,271
First Industrial LP, 6.875%, 4/15/12 1,650,000 1,876,487
Ford Motor Credit Co., 7.250%, 2/22/05 GBP 700,000 1,306,628
Fort James Corp., 4.750%, 6/29/04 EUR 1,625,000 2,002,224
General Electric Capital Corp., 1.725%, 6/27/08 SGD 2,250,000 1,306,644
General Motors Acceptance Corp., 7.000%, 12/07/05 GBP 610,000 1,147,518
42
FACE AMOUNT VALUE +
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
Hasbro, Inc., 6.600%, 7/15/28 USD 400,000 $ 411,000
Household Finance Corp., 5.125%, 6/24/09 EUR 900,000 1,184,960
IMC Global, Inc., Series B, 10.875%, 6/01/08 USD 500,000 602,500
iStar Financial, Inc., 4.875%, 1/15/09 144A 495,000 499,950
iStar Financial, Inc., 7.000%, 3/15/08 1,000,000 1,087,500
ITT Corp., 7.375%, 11/15/15 600,000 648,000
KB Home, 8.625%, 12/15/08 320,000 360,800
KfW International Finance, Inc., 1.000%, 12/20/04 JPY 771,000,000 7,438,418
Lear Corp., 8.125%, 4/01/08 EUR 1,000,000 1,402,884
McDonald's Corp., 3.627%, 10/10/10 SGD 500,000 305,253
MGM Mirage, 5.875%, 2/27/14 144A USD 1,900,000 1,897,625
Morgan Stanley, 5.375%, 11/14/13 GBP 1,400,000 2,541,947
Motorola, Inc., 8.000%, 11/01/11 USD 230,000 274,819
National Rural Utilities Cooperative Finance Corp.,
4.125%, 2/24/06 EUR 625,000 788,405
News America Holdings, Inc., 8.625%, 2/07/14 AUD 1,240,000 1,007,967
Overseas Shipholding Group, Inc., 7.500%, 2/15/24 USD 1,065,000 1,078,312
PerkinElmer, Inc., 8.875%, 1/15/13 210,000 242,550
Phillips-Van Heusen Corp., 8.125%, 5/01/13 1,000,000 1,077,500
Pioneer Natural Resources Co., 6.500%, 1/15/08 275,000 306,288
Premcor Refining Group, Inc., 6.750%, 2/01/11 600,000 652,500
Premcor Refining Group, Inc., 7.500%, 6/15/15 570,000 627,000
Schering-Plough Corp., 5.300%, 12/01/13 150,000 156,450
Smithfield Foods, Inc., 7.750%, 5/15/13 500,000 550,000
Starwood Hotels & Resorts Worldwide, Inc.,
7.875%, 5/01/12 250,000 282,500
TECO Energy, Inc., 7.000%, 5/01/12 1,200,000 1,266,000
U.S. Treasury Notes, 1.875%, 12/31/05 9,000,000 9,062,928
U.S. Treasury Notes, 2.625%, 11/15/06 18,100,000 18,456,353
U.S. Treasury Notes, 3.250%, 8/15/08 10,390,000 10,682,624
U.S. Treasury Notes, 6.875%, 5/15/06 10,880,000 12,067,878
United Rentals NA, 6.500%, 2/15/12 144A 1,000,000 995,000
US West Capital Funding, Inc., 6.875%, 7/15/28 630,000 488,250
Valeant Pharmaceuticals International,
7.000%, 12/15/11 144A 440,000 454,300
Xerox Corp., 7.200%, 4/01/16 200,000 208,000
Yum! Brands, Inc., 7.700%, 7/01/12 350,000 415,187
------------
139,242,512
------------
VIRGIN ISLANDS - 0.3%
First Citizens St. Lucia, 5.125%, 2/14/11 1,515,000 1,542,403
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $441,211,262) 459,738,179
------------
CONVERTIBLE BONDS - 0.3%
CANADA - 0.1%
Nortel Networks Corp., 4.250%, 9/01/08 700,000 711,375
------------
UNITED STATES - 0.2%
Corning, Inc., 3.500%, 11/01/08 125,000 160,156
Lam Research Corp., 4.000%, 6/01/06 100,000 100,500
LSI Logic Corp., 4.000%, 11/01/06 290,000 284,563
Nextel Communications, Inc., 5.250%, 1/15/10 290,000 291,450
------------
836,669
------------
43
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $1,262,178) USD. $ 1,548,044
------------
TOTAL BONDS AND NOTES
(Identified Cost $442,473,440) 461,286,223
------------
SHORT-TERM INVESTMENT - 2.8% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$13,356,130 on 4/01/04 collateralized by
$13,560,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $13,627,800 13,356,000 13,356,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $13,356,000) 13,356,000
------------
TOTAL INVESTMENTS - 97.2%
(Identified Cost $455,829,440)@ 474,642,223
Cash and Other Assets, Less Liabilities--2.8% 13,850,561
------------
NET ASSETS - 100% $488,492,784
------------
+ See Note 2.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transaction exempt from
registration, normally to qualified institutional buyers.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 456,830,435 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
18,618,422 and $ 806,634, respectively, resulting in net unrealized
appreciation of $ 17,811,788.
At September 30, 2003, the fund had a capital loss carryover of
approximately $160,418 which expires on September 30, 2010. This may be
available to offset future realized capital gains if any, to the extent
provided by regulations.
Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; DKK:
Danish Krone; EUR: Euro; GBP: Great British Pound; HUF: Hungarian Forint:
JPY: Japanese Yen; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK:
Swedish Krona; SGD: Singapore Dollar; USD: United States Dollar
Industry Holdings at March 31, 2004 as a Percentage of Net Assets
Sovereigns Non-Callable 20.9%
Sovereigns 20.0
Treasuries 10.3
Foreign Local Governments 8.4
Government Agencies 5.5
Foreign Agencies 4.1
Banking 2.0
Supranational 1.7
Wirelines 1.6
Paper 1.5
Other 21.2
See accompanying notes to financial statements.
44
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - 89.5% OF NET ASSETS
NON-CONVERTIBLE BONDS - 80.5%
AIRLINES - 2.4%
American Airlines, Inc., 6.978%, 4/01/11 USD 126,678 $ 129,416
Continental Airlines, Inc., 8.000%, 12/15/05 150,000 139,500
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/17 361,990 354,172
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/19 316,572 311,829
Continental Airlines, Inc., Series 1999-2,
7.434%, 3/15/06 100,000 98,751
Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/22 521,373 529,353
Delta Air Lines, Inc., 8.300%, 12/15/29 1,000,000 575,000
Delta Air Lines, Inc., 10.125%, 5/15/10 200,000 136,000
----------
2,274,021
----------
AUTOMOTIVE - 2.2%
Cummins Engine Co., Inc., 7.125%, 3/01/28 350,000 346,500
Dana Corp., 7.000%, 3/15/28 100,000 99,750
Dana Corp., 7.000%, 3/01/29 850,000 847,875
Dana Corp., 9.000%, 8/15/11 550,000 786,138
----------
2,080,263
----------
CHEMICALS - 3.7%
Freeport McMoran Resources, Inc., 7.000%, 2/15/08 100,000 105,000
Huntsman International LLC, 10.125%, 7/01/09 225,000 228,937
Huntsman International LLC, 10.125%, 7/01/09 EUR 600,000 703,288
IMC Global, Inc., 7.300%, 1/15/28 USD 1,525,000 1,608,875
IMC Global, Inc., 7.375%, 8/01/18 750,000 798,750
----------
3,444,850
----------
ELECTRIC - 6.7%
AES Corp., 7.750%, 3/01/14 1,185,000 1,186,481
AES Corp., 8.375%, 3/01/11 GBP 405,000 724,317
AES Corp., 8.875%, 2/15/11 USD 125,000 133,438
AES Corp., 8.875%, 11/01/27 700,000 679,000
Calpine Canada Energy Finance, 8.750%, 10/15/07 CAD 250,000 137,159
Calpine Corp., 7.625%, 4/15/06 USD 65,000 57,200
Calpine Corp., 7.750%, 4/15/09 255,000 181,050
Calpine Corp., 7.875%, 4/01/08 350,000 255,062
Calpine Corp., 8.500%, 2/15/11 300,000 220,500
Calpine Corp., 8.750%, 7/15/13 144A 565,000 516,975
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/1/27 125,000 130,051
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/1/13 125,000 141,035
Enersis SA, 7.375%, 1/15/14 144A 1,000,000 1,036,747
Enersis SA, 7.400%, 12/01/16 500,000 512,656
Quezon Power Philippines Co., 8.860%, 6/15/17 468,750 417,188
----------
6,328,859
----------
ELECTRONICS - 7.7%
Corning, Inc., 5.900%, 3/15/14 250,000 247,500
Corning, Inc., 6.750%, 9/15/13 425,000 446,489
Corning, Inc., 6.850%, 3/01/29 701,000 651,595
45
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRONICS - CONTINUED
Lucent Technologies, Inc., 5.500%, 11/15/08 USD 440,000 $ 425,700
Lucent Technologies, Inc., 6.450%, 3/15/29 2,915,000 2,463,175
Nortel Networks Corp., 6.875%, 9/01/23 1,000,000 955,000
Northern Telecom Capital Corp., 7.875%, 6/15/26 1,975,000 2,024,375
----------
7,213,834
----------
FOOD & BEVERAGE - 4.2%
Borden, Inc., 7.875%, 2/15/23 999,000 949,050
Borden, Inc., 9.200%, 3/15/21 2,231,000 2,342,550
Borden, Inc., 9.250%, 6/15/19 674,000 680,740
----------
3,972,340
----------
GOVERNMENT AGENCIES - 4.4%
Federal Home Loan Mortgage Corp., 3.220%, 6/20/07 SGD 250,000 155,828
Federal National Mortgage Association,
2.290%, 2/19/09 2,000,000 1,190,236
Federal National Mortgage Association,
2.375%, 2/15/07 USD 2,750,000 2,762,631
----------
4,108,695
----------
INFORMATION/DATA TECHNOLOGY - 1.8%
Xerox Capital Trust I, 8.000%, 2/01/27 1,500,000 1,473,750
Xerox Corp., 7.200%, 4/01/16 265,000 275,600
----------
1,749,350
----------
INTEGRATED/ENERGY - 3.4%
Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A 95,000 94,050
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 1,450,000 1,239,750
PDVSA Finance Ltd., 7.500%, 11/15/28 200,000 161,000
Petrozuata Finance, Inc., 7.630%, 4/01/09 144A 375,000 371,250
Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 1,435,000 1,305,850
----------
3,171,900
----------
LIFE INSURANCE - 3.0%
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 3,700,000 2,194,320
Provident Companies, Inc., 7.250%, 3/15/28 USD 250,000 235,254
UnumProvident Corp., 7.375%, 6/15/32 400,000 382,100
----------
2,811,674
----------
MEDIA CABLE - 2.2%
Charter Communications Holdings LLC,
9.625%, 11/15/09 665,000 561,925
Charter Communications Holdings LLC,
10.000%, 4/01/09 100,000 85,500
Charter Communications Holdings LLC,
10.000%, 5/15/11 800,000 664,000
CSC Holdings, Inc., 6.750%, 4/15/12 144A 500,000 506,562
Innova S de RL, 9.375%, 9/19/13 200,000 217,000
----------
2,034,987
----------
METALS & MINING - 0.5%
Vale Overseas Ltd., 8.250%, 1/17/34 500,000 457,500
----------
46
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
NON CAPTIVE DIVERSIFIED - 0.5%
General Electric Capital Corp., 1.725%, 6/27/08 SGD 750,000 $ 435,548
----------
OIL FIELD SERVICES - 1.4%
Pecom Energia SA, 8.125%, 7/15/10 144A USD 600,000 615,000
Trico Marine Services, Inc., 8.875%, 5/15/12 1,400,000 728,000
----------
1,343,000
----------
PAPER - 2.4%
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/28 925,000 906,500
Georgia-Pacific Group, 7.375%, 12/01/25 650,000 643,500
Georgia-Pacific Group, 7.750%, 11/15/29 500,000 507,500
Pope & Talbot, Inc., 8.375%, 6/01/13 200,000 208,000
----------
2,265,500
----------
PHARMACEUTICALS - 0.3%
Pharma Services Intermediate Holding Corp.,
Zero Coupon Bond, 4/01/14
(step to 11.500% on 4/01/09) 144A# 500,000 286,250
----------
PIPELINES - 6.6%
El Paso Corp., 5.750%, 3/14/06 1,775,000 2,020,491
Tennessee Gas Pipeline Co., 7.000%, 10/15/28 600,000 561,000
Williams Cos., Inc., 7.125%, 9/01/11 250,000 262,500
Williams Cos., Inc., 7.500%, 1/15/31 3,450,000 3,329,250
----------
6,173,241
----------
RAILROADS - 0.4%
Missouri Pacific Railroad Co., 4.750%, 1/01/20 30,000 24,018
Missouri Pacific Railroad Co., 5.000%, 1/01/45 314,000 232,753
TFM SA de CV, 12.500%, 6/15/12 125,000 140,000
----------
396,771
----------
RESTAURANTS - 0.3%
McDonald's Corp., 3.627%, 10/10/10 SGD 500,000 305,253
----------
RETAILERS - 3.8%
Dillard's, Inc., 6.625%, 1/15/18 USD 150,000 147,375
Dillard's, Inc., 7.000%, 12/01/28 250,000 235,000
Dillard's, Inc., 7.750%, 7/15/26 1,500,000 1,530,000
J.C. Penney Co., Inc., 6.875%, 10/15/15 550,000 606,375
Woolworth Corp., 8.500%, 1/15/22 910,000 1,020,337
----------
3,539,087
----------
SOVEREIGNS - 9.8%
Petroleos Mexicanos, 8.625%, 12/01/23 144A 275,000 316,250
Petroleos Mexicanos, 9.250%, 3/30/18 200,000 245,500
Republic of Argentina, 8.875%, 3/01/29^ 700,000 159,250
Republic of Brazil, 8.250%, 1/20/34 2,525,000 2,146,250
Republic of Brazil, 8.875%, 4/15/24 200,000 183,000
Republic of Brazil, 10.125%, 5/15/27 675,000 683,100
Republic of Brazil, 10.250%, 6/17/13 700,000 750,750
Republic of Brazil C Bond, 8.000%, 4/15/14 277,063 270,136
Republic of Dominican, 9.040%, 1/23/13 144A 710,000 511,200
Republic of Peru, 4.500%, 3/07/17
(step to 5.000% on 3/07/05)# 275,000 239,250
47
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SOVEREIGNS - CONTINUED
Republic of South Africa, 12.500%, 12/21/06 ZAR 455,000 $ 77,332
Republic of South Africa, 13.500%, 9/15/15 150,000 29,964
Republic of Uruguay, 7.500%, 3/15/15 USD 1,133,000 977,213
Republic of Uruguay, 7.875%, 1/15/33 996,407 747,305
Republic of Venezuela, 9.250%, 9/15/27 2,125,000 1,889,125
-----------
9,225,625
-----------
SOVEREIGNS NON-CALLABLE - 3.0%
Kingdom of Norway, 6.750%, 1/15/07 NOK 17,500,000 2,819,317
-----------
TEXTILE - 0.9%
Phillips-Van Heusen Corp., 7.750%, 11/15/23 USD 805,000 833,175
-----------
TRANSPORTATION SERVICES - 4.2%
American President Cos. Ltd., 8.000%, 1/15/24 2,485,000 2,348,325
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19++ 976,062 915,732
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/15++ 88,412 51,246
Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/11++ 149,828 57,032
Atlas Air, Inc., Series B, 7.680%, 1/02/14^ 921,608 551,914
-----------
3,924,249
-----------
WIRELINES - 4.7%
Philippine Long Distance Telephone Co.,
8.350%, 3/06/17 975,000 887,250
Qwest Capital Funding, Inc., 7.625%, 8/03/21 200,000 168,000
Qwest Capital Funding, Inc., 7.750%, 2/15/31 1,400,000 1,148,000
Qwest Capital Funding, Inc., 7.900%, 8/15/10 800,000 720,000
Qwest Corp., 7.250%, 10/15/35 225,000 208,125
US West Capital Funding, Inc., 6.500%, 11/15/18 894,000 710,730
US West Capital Funding, Inc., 6.875%, 7/15/28 775,000 600,625
-----------
4,442,730
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $65,675,075) 75,638,019
-----------
CONVERTIBLE BONDS - 9.0%
ELECTRONICS - 1.5%
Corning, Inc., 3.500%, 11/01/08 675,000 864,844
Nortel Networks Corp., 4.250%, 9/01/08 425,000 431,906
Richardson Electronics Ltd., 7.250%, 12/15/06 150,000 148,500
-----------
1,445,250
-----------
INFORMATION/DATA TECHNOLOGY - 1.6%
Maxtor Corp., 5.750%, 3/01/12 1,655,000 1,456,400
-----------
PHARMACEUTICALS - 2.0%
Nektar Therapeutics, 3.500%, 10/17/07 850,000 827,687
Vertex Pharmaceuticals, Inc., 5.750%, 2/15/11 144A 1,100,000 1,046,375
-----------
1,874,062
-----------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/12 24,000 20,640
-----------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 8.000%, 8/15/05^** 75,000 8
-----------
48
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 3.9%
Colt Telecom Group Plc, 2.000%, 8/06/05 DEM 250,000 $ 176,175
Colt Telecom Group Plc, 2.000%, 3/29/06 EUR 705,000 954,330
Colt Telecom Group Plc, 2.000%, 12/16/06 900,000 1,257,057
Colt Telecom Group Plc, 2.000%, 4/03/07 885,000 1,248,359
-----------
3,635,921
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $5,894,204) 8,432,281
-----------
TOTAL BONDS AND NOTES
(Identified Cost $71,569,279) 84,070,300
-----------
SHARES
- --------------------------------------------------------------------------
COMMON STOCKS - 0.9% OF NET ASSETS
ENERGY EQUIPMENT & SERVICES - 0.0%
Trico Marine Services, Inc.* 33,866 40,300
-----------
OIL & GAS - 0.2%
Pogo Producing Co. 4,148 190,269
-----------
REAL ESTATE - 0.7%
Associated Estates Realty Corp. 35,200 322,784
Developers Diversified Realty Corp. 7,125 287,850
-----------
610,634
-----------
TOTAL COMMON STOCKS
(Identified Cost $1,104,324) 841,203
-----------
PREFERRED STOCKS - 7.5% OF NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.3%
ELECTRIC - 0.3%
Pacific Gas & Electric Co., 5.000%^ 10,600 272,208
Pacific Gas & Electric Co., 5.500%^ 400 11,340
Pacific Gas & Electric Co., Series G, 4.800%^ 400 9,760
Southern California Edison Co., 4.320% 1,100 21,175
-----------
314,483
-----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $115,640) 314,483
-----------
CONVERTIBLE PREFERRED STOCKS - 7.2%
AUTOMOTIVE - 2.2%
Cummins Capital Trust I, 7.000% 29,500 2,035,500
-----------
ELECTRONICS - 1.1%
Lucent Technologies Capital Trust, 7.750%^ 800 1,008,960
-----------
INDEPENDENT/ENERGY - 0.5%
Chesapeake Energy Corp., 6.750% 5,000 442,500
-----------
49
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
SHARES VALUE +
- -------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS - CONTINUED
LODGING - 0.3%
Host Marriott Financial Trust, 6.750% 6,000 $ 314,250
-----------
PACKAGING - 0.4%
Owens-Illinois, Inc., 4.750% 10,000 340,000
-----------
WIRELINES - 2.7%
Philippine Long Distance Telephone Co., $3.50 GDS 55,950 2,573,700
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $4,163,761) 6,714,910
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $4,279,401) 7,029,393
-----------
FACE AMOUNT
- -------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 4.4% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$4,116,040 on 4/01/04 collateralized by
$4,130,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $4,200,900 USD 4,116,000 4,116,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $4,116,000) 4,116,000
-----------
TOTAL INVESTMENTS - 102.3%
(Identified Cost $81,069,004)@ 96,056,896
Liabilities, Less Cash and Other Assets--(2.3%) (2,167,948)
-----------
NET ASSETS - 100% $93,888,948
-----------
+ See Note 2.
144ASecurities 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.
GDSGlobal Depositary Share is a certificate issued by a custodian bank
representing the right to receive securities of the foreign issuer. The
values of GDS's are significantly influenced by trading on exchanges not
located in the United States.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases to a higher coupon rate at a specified date and rate.
^ Non-income producing security due to default or bankruptcy filing.
++ Security in bankruptcy filing.
** Securities valued at fair value as determined in good faith by or under the
direction of the board of Trustees.
* Non-income producing security.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 81,066,076 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
16,655,661 and $ 1,664,840, respectively, resulting in net unrealized
appreciation of $ 14,990,821.
At September 30, 2003, the fund had a capital loss carryover of
approximately $18,421,576 which expires between September 30, 2008 and
September 30, 2011. This may be available to offset future realized capital
gains if any, to the extent provided by regulations.
Key to Abbreviations: CAD: Canadian Dollar; DEM: German Deutschemark: EUR:
Euro; GBP: Great British Pound; NOK: Norwegian Krone; SGD Singapore Dollar;
USD: United States Dollar; ZAR: South African Rand
See accompanying notes to financial statements.
50
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
FACE AMOUNT VALUE +
- -----------------------------------------------------------------------------
BONDS AND NOTES - 98.7% OF NET ASSETS
NON-CONVERTIBLE BONDS - 98.7%
AEROSPACE/DEFENSE - 0.3%
Raytheon Co., 6.000%, 12/15/10 $ 100,000 $ 112,242
----------
ASSET-BACKED SECURITIES - 1.1%
Community Program Loan Trust, Series 1987-A, Class A4,
4.500%, 10/01/18 374,506 380,331
----------
AUTOMOTIVE - 4.8%
DaimlerChrysler NA Holding, 4.750%, 1/15/08 150,000 156,401
Ford Motor Credit Co., 7.000%, 10/01/13 600,000 633,158
General Motors Acceptance Corp., 6.150%, 4/05/07 550,000 591,726
General Motors Acceptance Corp., 6.875%, 8/28/12 250,000 270,033
----------
1,651,318
----------
BANKING - 5.7%
Bank One Corp., 2.625%, 6/30/08 500,000 491,512
Citigroup, Inc., 3.500%, 2/01/08 400,000 409,288
J.P. Morgan Chase & Co., 3.625%, 5/01/08 500,000 511,772
MBNA Corp., 4.625%, 9/15/08 500,000 522,538
----------
1,935,110
----------
BEVERAGES - 1.1%
Cia Brasileira de Bebidas, 8.750%, 9/15/13 144A 350,000 384,125
----------
BROKERAGE - 1.5%
Goldman Sachs Group, Inc., 4.125%, 1/15/08 500,000 521,791
----------
CONSUMER PRODUCTS - 0.8%
Bausch & Lomb, Inc., 6.500%, 8/01/05 250,000 262,022
----------
ELECTRIC - 12.6%
CenterPoint Energy, Inc., 5.875%, 6/01/08 360,000 373,971
Dominion Resources, Inc., 4.125%, 2/15/08 540,000 559,760
Duke Energy Corp., 6.250%, 1/15/12 385,000 423,758
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/13 600,000 676,969
Exelon Generation Co. LLC, 6.950%, 6/15/11 100,000 115,578
NiSource Finance Corp., 7.875%, 11/15/10 450,000 544,240
Pacific Gas & Electric Co., 3.600%, 3/01/09 500,000 502,202
Progress Energy, Inc., 5.850%, 10/30/08 350,000 382,420
Progress Energy, Inc., 6.750%, 3/01/06 200,000 216,768
Public Service New Mexico, 4.400%, 9/15/08 500,000 517,739
----------
4,313,405
----------
ELECTRONICS - 2.6%
Motorola, Inc., 5.800%, 10/15/08 200,000 212,805
Motorola, Inc., 8.000%, 11/01/11 550,000 657,175
----------
869,980
----------
ENTERTAINMENT - 2.1%
AOL Time Warner, Inc., 6.125%, 4/15/06 150,000 161,613
AOL Time Warner, Inc., 6.150%, 5/01/07 500,000 549,324
----------
710,937
----------
ENVIRONMENTAL - 1.5%
Waste Management, Inc., 6.875%, 5/15/09 450,000 514,144
----------
51
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOOD & BEVERAGE - 2.3%
Kraft Food, Inc., 5.250%, 6/01/07 $ 725,000 $ 781,667
----------
HEALTHCARE - 1.2%
HCA, Inc., 5.250%, 11/06/08 400,000 413,462
----------
INDEPENDENT/ENERGY - 2.4%
Devon Financing Corp., 6.875%, 9/30/11 500,000 578,564
Pioneer Natural Resources Co., 6.500%, 1/15/08 200,000 222,755
----------
801,319
----------
INDUSTRIAL OTHER - 0.8%
IDEX Corp., 6.875%, 2/15/08 250,000 274,738
----------
INTEGRATED/ENERGY - 2.3%
PDVSDA Finance Ltd., 6.800%, 11/15/08 60,000 58,800
Pemex Project Funding Master Trust, 6.125%, 8/15/08 400,000 431,600
Phillips Petroleum Co., 6.375%, 3/30/09 250,000 284,337
----------
774,737
----------
MEDIA CABLE - 3.4%
Comcast Cable Communications, 6.200%, 11/15/08 700,000 774,749
Cox Communications, Inc., 3.875%, 10/01/08 100,000 101,420
Cox Communications, Inc., 6.400%, 8/01/08 250,000 278,196
----------
1,154,365
----------
MEDIA NONCABLE - 2.5%
Clear Channel Communications, Inc., 3.125%, 2/01/07 150,000 151,742
Clear Channel Communications, Inc., 4.625%, 1/15/08 125,000 130,918
News America, Inc., 6.625%, 1/09/08 500,000 562,106
----------
844,766
----------
MORTGAGE RELATED - 14.3%
Federal Home Loan Mortgage Corp., 4.500%, 11/01/18 979,696 993,628
Federal Home Loan Mortgage Corp., 5.500%, 3/01/13 44,811 46,914
Federal Home Loan Mortgage Corp., 6.000%, 11/01/12 85,347 90,077
Federal National Mortgage Association, 5.000%, 1/01/19 760,150 782,210
Federal National Mortgage Association, 5.000%, 2/01/19 990,344 1,019,200
Federal National Mortgage Association, 5.500%, 1/01/17 157,208 163,967
Federal National Mortgage Association, 5.500%, 1/01/17 181,451 189,234
Federal National Mortgage Association, 5.500%, 2/01/17 90,259 94,139
Federal National Mortgage Association, 5.500%, 9/01/17 470,599 490,784
Federal National Mortgage Association, 5.500%, 12/01/18 750,870 782,876
Nomura Asset Securities Corp., 6.280%, 3/15/30 221,805 237,241
----------
4,890,270
----------
NON CAPTIVE CONSUMER - 3.5%
American General Finance Corp., 2.750%, 6/15/08 350,000 344,148
Capital One Bank, 4.875%, 5/15/08 400,000 421,507
Capital One Bank, 6.875%, 2/01/06 225,000 243,070
Countrywide Home Loans, Inc., 3.250%, 5/21/08 200,000 200,563
----------
1,209,288
----------
NON CAPTIVE DIVERSIFIED - 1.3%
CIT Group, Inc., 3.375%, 4/01/09 450,000 446,197
----------
52
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
OIL FIELD SERVICES - 2.2%
Halliburton Co., 5.625%, 12/01/08 $ 150,000 $ 160,712
Halliburton Co., 6.000%, 8/01/06 550,000 589,998
----------
750,710
----------
PAPER - 4.6%
Boise Cascade Corp., 7.500%, 2/01/08 500,000 548,968
International Paper Co., 5.850%, 10/30/12 350,000 375,812
MacMillan Bloedel Ltd., 6.750%, 2/15/06 150,000 161,824
Temple-Inland, Inc., 6.750%, 3/01/09 100,000 112,716
Weyerhaeuser Co., 6.000%, 8/01/06 350,000 378,105
----------
1,577,425
----------
PIPELINES - 0.5%
Kinder Morgan, Inc., 6.650%, 3/01/05 165,000 171,882
----------
RAILROADS - 1.8%
CSX Corp., 6.750%, 3/15/11 100,000 114,587
Union Pacific Corp., 3.875%, 2/15/09 500,000 508,216
----------
622,803
----------
REAL ESTATE INVESTMENT TRUSTS - 4.2%
American Health Properties, Inc., 7.500%, 1/15/07 275,000 307,020
EOP Operating LP, 6.800%, 1/15/09 500,000 572,253
Excel Realty Trust, Inc., 6.875%, 10/15/04 250,000 256,566
Simon Property Group LP, 3.750%, 1/30/09 144A 300,000 304,676
----------
1,440,515
----------
REFINING - 1.6%
Valero Energy Corp., 4.750%, 6/15/13 550,000 549,459
----------
RETAILERS - 1.1%
J.C. Penney Co., Inc., 7.600%, 4/01/07 350,000 390,250
----------
SOVEREIGNS - 3.5%
Republic of South Africa, 8.375%, 10/17/06 600,000 679,500
United Mexican States, 4.625%, 10/08/08 500,000 517,500
----------
1,197,000
----------
TOBACCO - 1.7%
Altria Group, Inc., 5.625%, 11/04/08 550,000 581,834
----------
TRANSPORTATION SERVICES - 1.3%
ERAC USA Finance Co., 6.800%, 2/15/08 144A 200,000 225,315
ERAC USA Finance Co., 7.350%, 6/15/08 144A 200,000 231,582
----------
456,897
----------
WIRELESS - 1.8%
AT&T Wireless Services, Inc., 7.500%, 5/01/07 300,000 341,061
INTELSAT, 7.625%, 4/15/12 250,000 289,015
----------
630,076
----------
WIRELINES - 6.3%
Qwest Corp., 5.625%, 11/15/08 150,000 149,625
Sprint Capital Corp., 6.375%, 5/01/09 850,000 947,139
Telecom Italia Capital, 4.000%, 11/15/08 144A 400,000 408,933
Telus Corp., 8.000%, 6/01/11 550,000 662,536
----------
2,168,233
----------
53
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $32,048,104) $33,783,298
-----------
TOTAL BONDS AND NOTES
(Identified Cost $32,048,104) 33,783,298
-----------
SHORT-TERM INVESTMENT - 3.2% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$1,094,011 on 4/01/04 collateralized by
$1,115,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $1,120,575 $1,094,000 1,094,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,094,000) 1,094,000
-----------
TOTAL INVESTMENTS - 101.9%
(Identified Cost $33,142,104)@ 34,877,298
Liabilities, Less Cash and Other Assets--(1.9%) (635,633)
-----------
NET ASSETS - 100% $34,241,665
-----------
+ See Note 2.
144ASecurities 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 March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 33,250,104 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
1,671,033 and $ 43,839, respectively, resulting in net unrealized
appreciation of $ 1,627,194.
At September 30, 2003, the fund had a capital loss carryover of
approximately $518,909 which expires on September 30, 2011. This may be
available to offset future realized capital gains if any, to the extent
provided by regulations.
See accompanying notes to financial statements.
54
PORTFOLIO OF INVESTMNETS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - 96.0% OF NET ASSETS
NON-CONVERTIBLE BONDS - 95.5%
AEROSPACE/DEFENSE - 1.7%
Raytheon Co., 6.400%, 12/15/18 USD 2,500,000 $ 2,767,695
-----------
AIRLINES - 0.7%
Continental Airlines, Inc., Series 1998-1A,
6.648%, 3/15/19 553,631 541,675
US Airways, 6.850%, 1/30/18 655,765 619,171
-----------
1,160,846
-----------
ASSET-BACKED SECURITIES - 1.4%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/29 2,500,000 2,346,948
-----------
AUTOMOTIVE - 6.4%
Delphi Automotive Systems Corp., 7.125%, 5/01/29 2,500,000 2,628,015
Ford Motor Co., 6.375%, 2/01/29 3,350,000 2,982,716
Ford Motor Credit Co., 7.250%, 2/22/05 GBP 250,000 466,653
Ford Motor Credit Co., 7.375%, 10/28/09 USD 150,000 164,647
General Motors Acceptance Corp., 5.125%, 5/09/08 2,500,000 2,602,330
General Motors Acceptance Corp., 6.625%, 10/15/05 150,000 159,163
General Motors Acceptance Corp., 7.500%, 12/01/06 NZD 1,500,000 1,004,010
General Motors Corp., 6.750%, 5/01/28 USD 700,000 686,097
-----------
10,693,631
-----------
BANKING - 0.9%
Bank of America Corp., 7.200%, 4/15/06 150,000 165,767
Commercial Credit Co., 6.500%, 6/01/05 150,000 158,269
FleetBoston Financial Corp., 7.375%, 12/01/09 175,000 209,628
Keycorp Capital II, 6.875%, 3/17/29 500,000 544,092
Wachovia Corp., 3.500%, 8/15/08 150,000 152,610
Wells Fargo & Co., 6.375%, 8/01/11 175,000 200,183
-----------
1,430,549
-----------
BEVERAGES - 0.7%
Cia Brasileira de Bebidas, 8.750%, 9/15/13 144A 1,025,000 1,124,937
-----------
CONSUMER PRODUCTS - 0.8%
Bausch & Lomb, Inc., 7.125%, 8/01/28 1,250,000 1,316,727
-----------
ELECTRIC - 2.7%
Commonwealth Edison Co., 4.750%, 12/01/11 91,000 93,075
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/27 1,000,000 1,040,407
Enersis SA, 7.400%, 12/01/16 3,300,000 3,383,533
-----------
4,517,015
-----------
ELECTRONICS - 0.9%
Motorola, Inc., 5.800%, 10/15/08 200,000 212,804
Motorola, Inc., 6.500%, 11/15/28 500,000 507,543
Motorola, Inc., 7.625%, 11/15/10 250,000 290,893
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 500,000 561,636
-----------
1,572,876
-----------
FOREIGN LOCAL GOVERNMENTS - 12.6%
Milit-Air, Inc., 5.750%, 6/30/19 CAD 1,591,513 1,297,804
New Brunswick FM Project, 6.47%, 11/30/27 495,697 419,746
55
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOREIGN LOCAL GOVERNMENTS - CONTINUED
Province of Alberta, 5.000%, 12/16/08 CAD 2,000,000 $ 1,620,589
Province of Alberta, 5.930%, 9/16/16 571,337 477,875
Province of British Columbia,
Zero Coupon Bond, 6/09/14 1,000,000 466,438
Province of British Columbia, 5.700%, 6/18/29 325,000 257,816
Province of British Columbia, 6.000%, 6/09/08 2,900,000 2,431,770
Province of British Columbia, 6.250%, 12/01/09 290,000 247,798
Province of Manitoba, 5.750%, 6/02/08 3,750,000 3,116,042
Province of Manitoba, 6.500%, 9/22/17 1,825,000 1,606,211
Province of Newfoundland, 6.150%, 4/17/28 500,000 408,744
Province of Ontario, 5.900%, 3/08/06 3,530,000 2,863,271
Province of Saskatchewan, Zero Coupon Bond, 4/10/14 2,500,000 1,169,429
Province of Saskatchewan, 6.000%, 6/01/06 5,215,000 4,261,291
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/15 AUD 900,000 351,939
-----------
20,996,763
-----------
GOVERNMENT AGENCIES - 7.7%
Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 1,600,000 2,075,976
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/07 NZD 6,850,000 3,725,969
Federal National Mortgage Association,
2.290%, 2/19/09 SGD 8,000,000 4,760,946
Federal National Mortgage Association,
6.375%, 8/15/07 AUD 3,000,000 2,354,293
-----------
12,917,184
-----------
HEALTHCARE - 2.5%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 100,000 100,216
Columbia/HCA Healthcare Corp., 7.750%, 7/15/36 250,000 267,768
HCA, Inc., 5.750%, 3/15/14 1,000,000 999,183
HCA, Inc., 6.250%, 2/15/13 150,000 156,300
HCA, Inc., 6.300%, 10/01/12 2,450,000 2,567,967
-----------
4,091,434
-----------
HOME CONSTRUCTION - 1.8%
Pulte Corp., 7.300%, 10/24/05 200,000 215,952
Pulte Corp., 7.625%, 10/15/17 1,000,000 1,187,297
Pulte Homes, Inc., 6.375%, 5/15/33 1,000,000 996,631
Pulte Homes, Inc., 7.875%, 6/15/32 500,000 595,033
-----------
2,994,913
-----------
INDEPENDENT/ENERGY - 0.0%
Union Oil Co., 7.500%, 2/15/29 45,000 54,458
-----------
INFORMATION/DATA TECHNOLOGY - 0.4%
Dell Corp., 7.100%, 4/15/28 450,000 538,550
Hewlett-Packard Co., 3.625%, 3/15/08 150,000 153,317
-----------
691,867
-----------
INTEGRATED/ENERGY - 3.1%
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 500,000 427,500
Conoco, Inc., 6.350%, 4/15/09 175,000 199,278
PDVSA Finance Ltd., 7.400%, 8/15/16 2,000,000 1,715,000
56
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INTEGRATED/ENERGY - CONTINUED
PDVSA Finance Ltd., 7.500%, 11/15/28 USD 2,000,000 $1,610,000
Pemex Project Funding Master Trust, 8.625%, 2/01/22 500,000 577,500
Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 700,000 637,000
----------
5,166,278
----------
LIFE INSURANCE - 2.2%
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 4,200,000 2,490,850
UnumProvident Corp., 6.750%, 12/15/28 USD 1,300,000 1,202,258
----------
3,693,108
----------
MEDIA NONCABLE - 0.2%
Clear Channel Communications, Inc., 5.750%, 1/15/13 250,000 264,827
----------
METALS & MINING - 0.1%
Teck Cominco Ltd., 7.000%, 9/15/12 100,000 113,717
----------
MORTGAGE RELATED - 0.4%
Federal National Mortgage Association,
5.000%, 2/01/18 256,840 264,253
Federal National Mortgage Association,
5.500%, 9/01/16 223,686 233,302
Federal National Mortgage Association,
6.000%, 10/01/28 58,869 61,428
Federal National Mortgage Association,
6.500%, 2/01/11 29,940 31,909
----------
590,892
----------
NON CAPTIVE DIVERSIFIED - 0.1%
General Electric Capital Corp., 1.725%, 6/27/08 SGD 250,000 145,183
----------
OIL FIELD SERVICES - 0.4%
Global Marine, Inc., 7.000%, 6/01/28 USD 250,000 287,625
Pecom Energia SA, 8.125%, 7/15/10 144A 332,000 340,300
----------
627,925
----------
PAPER - 1.4%
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/28 1,500,000 1,470,000
MacMillan Bloedel Ltd., 7.700%, 2/15/26 305,000 350,220
Weyerhaeuser Co., 6.950%, 10/01/27 500,000 543,776
----------
2,363,996
----------
PIPELINES - 3.0%
Coastal Corp., 6.950%, 6/01/28 350,000 259,875
El Paso Corp., 5.750%, 3/14/06 100,000 113,830
El Paso Corp., 7.000%, 5/15/11 EUR 1,125,000 964,688
El Paso Energy Corp., 6.750%, 5/15/09 USD 250,000 220,625
KN Capital Trust, 7.630%, 4/15/28 2,000,000 2,305,954
KN Energy, Inc., 7.250%, 3/01/28 1,000,000 1,139,895
----------
5,004,867
----------
PROPERTY & CASUALTY INSURANCE - 0.5%
Aon Corp., 7.375%, 12/14/12 575,000 676,759
Progressive Corp., 6.625%, 3/01/29 35,000 39,432
Progressive Corp., 7.000%, 10/01/13 150,000 177,809
----------
894,000
----------
57
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
FACE AMOUNT VALUE +
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RAILROADS - 0.5%
Canadian Pacific Railway Ltd., 4.900%, 6/15/10 144A CAD 1,000,000 $ 776,477
Missouri Pacific Railroad Co., 5.000%, 1/01/45 USD 175,000 129,719
-----------
906,196
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.8%
EOP Operating LP, 6.750%, 2/15/12 250,000 285,297
First Industrial LP, 7.600%, 7/15/28 1,250,000 1,379,670
Highwoods Realty LP, 7.500%, 4/15/18 1,000,000 1,121,333
Spieker Properties, Inc., 7.500%, 10/01/27 234,000 265,677
-----------
3,051,977
-----------
REFINING - 0.4%
Merey Sweeny LP, 8.850%, 12/18/19 144A 500,000 584,110
-----------
RESTAURANTS - 0.2%
McDonald's Corp., 3.627%, 10/10/10 SGD 500,000 305,253
-----------
RETAILERS - 0.2%
Target Corp., 5.875%, 3/01/12 USD 150,000 166,554
Wal-Mart Stores, Inc., 6.875%, 8/10/09 200,000 234,716
-----------
401,270
-----------
SOVEREIGNS - 12.3%
Canadian Government, 3.500%, 6/01/04 CAD 3,625,000 2,768,574
Canadian Government, 4.500%, 9/01/07 4,070,000 3,252,092
Canadian Government, 6.000%, 9/01/05 6,870,000 5,513,013
Republic of Brazil C Bond, 8.000%, 4/15/14 USD 615,703 600,311
Republic of South Africa, 8.500%, 6/23/17 1,125,000 1,396,406
Republic of South Africa, 12.500%, 12/21/06 ZAR 5,840,000 992,575
Republic of South Africa, 13.500%, 9/15/15 245,000 48,941
SP Powerassets Ltd., 3.730%, 10/22/10 SGD 500,000 310,143
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 3,390,000 3,741,024
United Mexican States, 7.500%, 1/14/12 905,000 1,052,063
United Mexican States, 8.300%, 8/15/31 750,000 881,250
-----------
20,556,392
-----------
SOVEREIGNS NON-CALLABLE - 5.7%
Government of Sweden, 5.250%, 3/15/11 SEK 12,225,000 1,755,530
Government of Sweden, 6.500%, 5/05/08 14,000,000 2,085,983
Kingdom of Norway, 5.500%, 5/15/09 NOK 10,000,000 1,591,575
Kingdom of Norway, 6.750%, 1/15/07 25,250,000 4,067,871
-----------
9,500,959
-----------
SUPRANATIONAL - 5.7%
Eurofima, 6.500%, 8/22/11 AUD 3,225,000 2,541,074
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 9,650,000 5,286,786
International Bank for Reconstruction & Development,
5.500%, 11/03/08 1,000,000 657,958
International Bank for Reconstruction & Development,
8.000%, 5/23/07 1,505,000 1,062,033
-----------
9,547,851
-----------
TAXABLE MUNICIPAL - 0.8%
Orange County, California Pension Obligation, Zero
Coupon Bond, 9/01/16 USD 2,500,000 1,316,025
-----------
58
FACE AMOUNT VALUE +
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TEXTILE - 0.7%
Kellwood Co., 7.625%, 10/15/17 USD 1,000,000 $ 1,105,000
------------
TRANSPORTATION SERVICES - 1.4%
American President Cos. Ltd., 8.000%, 1/15/24 100,000 94,500
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19++ 216,508 203,126
Atlas Air, Inc., Series B, 7.680%, 1/02/14++ 3,429,237 2,053,633
------------
2,351,259
------------
TREASURIES - 8.1%
U.S. Treasury Notes, 1.875%, 12/31/05 13,500,000 13,594,392
------------
WIRELESS - 0.6%
America Movil SA de CV, 4.125%, 3/01/09 144A 500,000 500,976
INTELSAT, 7.625%, 4/15/12 500,000 578,030
------------
1,079,006
------------
WIRELINES - 4.5%
AT&T Corp., 6.750%, 11/21/06 EUR 250,000 334,011
Sprint Capital Corp., 6.875%, 11/15/28 USD 3,750,000 3,894,342
Sprint Capital Corp., 6.900%, 5/01/19 250,000 273,222
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A 2,235,000 2,640,735
US West Capital Funding, Inc., 6.500%, 11/15/18 500,000 397,500
------------
7,539,810
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $141,872,495) 159,382,136
------------
CONVERTIBLE BONDS - 0.5%
ELECTRONICS - 0.0%
Richardson Electronics Ltd., 7.250%, 12/15/06 50,000 49,500
------------
INDEPENDENT/ENERGY - 0.4%
Devon Energy Corp., 4.900%, 8/15/08 200,000 205,500
Devon Energy Corp., 4.950%, 8/15/08 500,000 513,750
------------
719,250
------------
INFORMATION/DATA TECHNOLOGY - 0.1%
Maxtor Corp., 5.750%, 3/01/12 70,000 61,600
------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 6.500%, 5/01/11^** 129,000 13
------------
WIRELINES - 0.0%
Telus Corp., 6.750%, 6/15/10 CAD 50,000 40,004
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $905,804) 870,367
------------
TOTAL BONDS AND NOTES
(Identified Cost $142,778,299) 160,252,503
------------
59
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
SHARES VALUE +
- -------------------------------------------------------------------
PREFERRED STOCKS - 1.5% OF NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.9%
ELECTRIC - 0.9%
Central Illinois Light Co., 4.500% 100 $ 8,600
Connecticut Light & Power Co., $2.20 263 10,093
Dayton Power & Light Co., 3.750% 701 46,901
Del Marva Power & Light Co., 4.000% 350 23,100
Duquesne Light Co., 4.000% 300 10,425
MDU Resources Group, Inc., 5.100% 720 71,280
Northern Indiana Public Service Co., 4.250% 2,410 180,148
Pacific Gas & Electric Co., 5.500% ^ 100 2,835
Pacific Gas & Electric Co., Series D, 5.000% ^ 25,100 642,560
PSI Energy, Inc., 4.320% 200 4,600
Public Service Electric & Gas Co., 4.080% 400 32,400
San Diego Gas & Electric Co., 4.500% 100 1,755
Southern California Edison Co., 4.320% 1,292 24,871
Union Electric Co., $4.50 4,410 390,285
----------
1,449,853
----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $957,309) 1,449,853
----------
CONVERTIBLE PREFERRED STOCKS - 0.6%
CONSUMER PRODUCTS -- 0.6%
Newell Financial Trust I, 5.250% 22,000 1,036,750
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $827,153) 1,036,750
----------
TOTAL PREFERRED STOCKS
(Identified Cost $1,784,462) 2,486,603
----------
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 1.0% OF NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 3/31/04 at 0.350% to be repurchased at
$1,698,016 on 4/01/04 collateralized by
$1,725,000 U.S. Treasury Note, 1.750% due
12/31/04 with a value of $1,733,625 USD 1,698,000 1,698,000
---------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,698,000) 1,698,000
---------
60
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
VALUE +
- ----------------------------------------------------------------
TOTAL INVESTMENTS - 98.5%
(Identified Cost $146,260,761)@ $164,437,106
Cash and Other Assets, Less Liabilities--1.5% 2,425,998
------------
NET ASSETS - 100% $166,863,104
------------
+ See Note 2.
144ASecurities 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.
^ Non-income producing security due to default or bankruptcy filing.
++ Security in bankruptcy filing.
** Security valued at fair value as determined in good faith by or under the
direction of the board of Trustees.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 146,682,885 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
19,963,511 and $ 2,209,290, respectively, resulting in net unrealized
appreciation of $ 17,754,221.
Key to Abbreviations:AUD: Australia Dollar; CAD: Canadian Dollar; EUR: Euro;
GBP: Great British Pound; NZD: New Zealand Dollar; NOK: Norwegian Krone,
SEK: Swedish Krona; SGD: Singapore Dollar; USD: United States Dollar; ZAR:
South Africa Rand
See accompanying notes to financial statements.
61
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - 97.2% OF NET ASSETS
MORTGAGE RELATED - 14.2%
Federal Home Loan Mortgage Corp., 4.500%, 8/01/33 $ 457,863 $ 447,856
Federal National Mortgage Association, 5.500%, 2/01/34 419,508 430,060
Federal National Mortgage Association, 6.500%, 11/01/31 279,992 294,175
----------
1,172,091
----------
TREASURIES - 83.0%
U.S. Treasury Bonds, 5.250%, 11/15/28 835,000 881,577
U.S. Treasury Bonds, 7.250%, 5/15/16 2,000,000 2,582,188
U.S. Treasury Notes, 1.625%, 9/30/05 1,785,000 1,793,088
U.S. Treasury Notes, 3.250%, 8/15/08 100,000 102,816
U.S. Treasury Notes, 5.000%, 2/15/11 1,335,000 1,473,715
----------
6,833,384
----------
TOTAL BONDS AND NOTES
(Identified Cost $7,749,075) 8,005,475
----------
TOTAL INVESTMENTS - 97.2%
(Identified Cost $7,749,075)@ 8,005,475
Cash and Other Assets, Less Liabilities--2.8% 229,336
----------
NET ASSETS - 100% $8,234,811
----------
+ See Note 2.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $ 7,812,558 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were $
201,153 and $ 8,236, respectively, resulting in net unrealized appreciation
of $ 192,917.
See accompanying notes to financial statements.
62
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63
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2004 (UNAUDITED)
BENCHMARK CORE CORE PLUS FIXED
BOND FUND BOND FUND INCOME FUND
- ----------------------------------------------------------------------------------------------------------------
ASSETS
Investments at value $ 25,628,134 $2,571,436,935 $ 1,445,559
Cash 254,466 770,285 25,251
Foreign currency at value -- 236,797 2,369
Receivable for:
Fund shares sold 50,000 18,226,047 --
Securities sold 210,552 765,579 16,125
Dividends and interest 193,806 31,137,657 16,790
Due from the adviser 13,052 59,573 11,428
------------ -------------- ---------------
26,350,010 2,622,632,873 1,517,522
------------ -------------- ---------------
LIABILITIES
Payable for:
Securities purchased 1,693,973 8,646,309 22,234
Fund Shares redeemed -- 3,693,937 --
Foreign taxes -- 65,469 --
Accrued expenses:
Management fees 5,920 1,303,013 454
Deferred Trustees' fees 2,204 27,093 2,008
Accounting and administrative fees 3,322 304,337 1,246
Transfer agent fees 2,043 88,089 1,251
12b-1 fees -- 1,829 --
Other 9,688 280,809 12,914
------------ -------------- ---------------
1,717,150 14,410,885 40,107
------------ -------------- ---------------
NET ASSETS $ 24,632,860 $2,608,221,988 $ 1,477,415
------------ -------------- ---------------
Net Assets consist of:
Capital paid in $ 24,622,357 $2,490,569,545 $ 3,707,332
Undistributed (overdistributed) net investment income (loss) 160,761 (2,242,767) (8,931)
Accumulated net realized gain (loss) (544,480) (155,911,348) (2,284,946)
Unrealized appreciation (depreciation) on:
Investments 394,222 275,673,688 63,933
Foreign currency translations -- 132,870 27
------------ -------------- ---------------
NET ASSETS $ 24,632,860 $2,608,221,988 $ 1,477,415
------------ -------------- ---------------
INSTITUTIONAL CLASS:
Net assets $ 24,530,103 $2,358,141,222 $ 1,477,415
Shares of beneficial interest
outstanding, no par value 2,344,726 175,140,191 160,996
Net asset value and redemption price $ 10.46 $ 13.46 $ 9.18
RETAIL CLASS:
Net assets $ 102,757 $ 230,382,309 --
Shares of beneficial interest
outstanding, no par value 9,845 17,124,029 --
Net asset value and redemption price $ 10.44 $ 13.45 --
ADMIN CLASS:
Net assets -- $ 19,698,457 --
Shares of beneficial interest
outstanding, no par value -- 1,465,853 --
Net asset value and redemption price -- $ 13.44 --
Identified cost of investments $ 25,233,912 $2,295,763,247 $ 1,381,626
Cost of foreign currency $ -- $ 234,479 $ 2,346
See accompanying notes to financial statements.
64
FIXED GLOBAL INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE U.S. GOVERNMENT
INCOME FUND BOND FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND SECURITIES FUND
- ---------------------------------------------------------------------------------------------------------------
$ 416,797,038 $474,642,223 $ 96,056,896 $ 34,877,298 $164,437,106 $ 8,005,475
544 201 855 923 336 153,765
4,922 2,603,189 17,352 -- -- --
-- 8,375,845 4,243 -- -- 51
95,800 -- -- 492,814 134,770 --
5,848,729 8,488,880 1,408,976 464,996 2,394,889 85,674
9,087 -- 8,882 9,686 8,180 9,746
- ------------- ------------ ------------------ --------------------- ----------------- ---------------
422,756,120 494,110,338 97,497,204 35,845,717 166,975,281 8,254,711
- ------------- ------------ ------------------ --------------------- ----------------- ---------------
-- 5,266,148 3,514,533 1,573,215 -- --
-- 67,148 3,700 -- -- 19
7,373 -- 8,639 -- -- --
178,380 226,374 45,927 8,687 56,854 2,134
6,317 5,221 2,921 2,329 3,611 2,072
60,985 34,344 12,196 5,535 22,675 1,629
3,884 14,896 1,453 1,325 1,673 1,633
-- 1,979 -- -- -- --
77,057 1,444 18,887 12,961 27,364 12,413
- ---------------------------------------------------------------------------------------------------------------
333,996 5,617,554 3,608,256 1,604,052 112,177 19,900
- ---------------------------------------------------------------------------------------------------------------
$ 422,422,124 $488,492,784 $ 93,888,948 $ 34,241,665 $166,863,104 $ 8,234,811
- ---------------------------------------------------------------------------------------------------------------
$ 384,728,169 $462,958,181 $ 89,750,838 $ 32,613,093 $146,105,944 $ 8,022,963
5,723,914 2,081,339 1,558,569 (50,184) (190,127) (34,812)
(21,184,869) 4,750,219 (12,410,899) (56,438) 2,765,434 (9,740)
53,137,756 18,812,783 14,987,892 1,735,194 18,176,345 256,400
17,154 (109,738) 2,548 -- 5,508 --
- ---------------------------------------------------------------------------------------------------------------
$ 422,422,124 $488,492,784 $ 93,888,948 $ 34,241,665 $166,863,104 $ 8,234,811
- ---------------------------------------------------------------------------------------------------------------
$422,422,124 $191,611,471 $ 93,888,948 $ 34,241,665 $166,863,104 $ 8,234,811
31,273,839 12,391,431 12,944,647 3,368,510 12,289,299 734,361
$ 13.51 $ 15.46 $ 7.25 $ 10.17 $ 13.58 $ 11.21
-- $296,881,313 -- -- -- --
-- 19,333,702 -- -- -- --
-- 15.36 -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
$ 363,659,282 $455,829,440 $ 81,069,004 $ 33,142,104 $146,260,761 $ 7,749,075
$ 4,855 $ 2,549,685 $ 17,115 $ -- $ -- $ --
See accompanying notes to financial statements.
65
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
BENCHMARK CORE CORE PLUS FIXED
BOND FUND BOND FUND INCOME FUND
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends* $ -- $ 2,969,048 $ --
Interest 437,764 65,094,008 63,609
------------ ------------ ---------------
Total income 437,764 68,063,056 63,609
------------ ------------ ---------------
EXPENSES
Management fees 31,525 6,620,208 4,486
12b-1 fees (Retail Class) 59 225,721 --
12b-1 fees (Admin Class) -- 19,591 --
Shareholder service fees (Admin Class) -- 19,591 --
Trustees' fees and expenses 3,068 63,038 2,563
Accounting and administrative fees 6,895 723,997 841
Custodian 26,542 336,100 18,738
Transfer agent fees and expenses 12,847 418,070 7,095
Audit and tax services 14,348 33,133 14,311
Registration 16,948 64,582 10,146
Shareholder reporting 1,875 148,153 789
Legal 330 39,979 193
Miscellaneous 3,497 131,958 1,407
------------ ------------ ---------------
Total expenses 117,934 8,844,121 60,569
Less expenses waived and reimbursed by the investment adviser (70,589) (303,993) (54,801)
------------ ------------ ---------------
Net expenses 47,345 8,540,128 5,768
------------ ------------ ---------------
Net investment income 390,419 59,522,928 57,841
------------ ------------ ---------------
NET REALIZED GAIN (LOSS) ON:
Investments 73,314 53,646,925 93,771
Foreign currency transactions -- 417,087 318
------------ ------------ ---------------
Total net realized gain (loss) 73,314 54,064,012 94,089
------------ ------------ ---------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 171,008 74,570,155 (38,799)
Foreign currency translations -- (67,763) (46)
------------ ------------ ---------------
Total net change in unrealized appreciation (depreciation) 171,008 74,502,392 (38,845)
------------ ------------ ---------------
Total net realized gain (loss) and change in unrealized appreciation
(depreciation) 244,322 128,566,404 55,244
------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 634,741 $188,089,332 $ 113,085
------------ ------------ ---------------
*Net of foreign withholding taxes of $131,961, $14,746, $1,224, $17,279, and
$129 for the Bond, Fixed Income, Global Bond, Institutional High Income and
Investment Grade Fixed Income Funds, respectively.
See accompanying notes to financial statements.
66
FIXED GLOBAL INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE U.S. GOVERNMENT
INCOME FUND BOND FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND SECURITIES FUND
- ----------------------------------------------------------------------------------------------------------
$ 435,382 $ -- $ 239,585 $ -- $ 99,366 $ --
13,712,350 5,518,537 3,759,193 874,322 4,407,950 163,392
- ----------------------------------------------------------------------------------------------------------
14,147,732 5,518,537 3,998,778 874,322 4,507,316 163,392
- ----------------------------------------------------------------------------------------------------------
1,071,279 811,109 277,691 51,905 316,656 13,030
-- 176,637 -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
13,840 9,950 4,982 3,402 6,679 2,728
140,588 88,704 30,369 11,353 51,945 2,850
86,935 70,405 30,475 22,099 43,039 16,272
24,371 49,917 7,953 7,425 9,528 9,382
16,959 17,784 19,409 15,183 15,828 12,126
9,607 31,100 9,539 8,597 9,000 10,906
35,241 11,048 7,220 3,288 13,016 1,003
9,325 4,213 1,608 730 3,448 173
29,661 12,151 7,127 3,620 11,239 --
- ----------------------------------------------------------------------------------------------------------
1,437,806 1,283,018 396,373 127,602 480,378 68,470
(45,143) -- (49,259) (49,745) (44,977) (46,753)
- ----------------------------------------------------------------------------------------------------------
1,392,663 1,283,018 347,114 77,857 435,401 21,717
- ----------------------------------------------------------------------------------------------------------
12,755,069 4,235,519 3,651,664 796,465 4,071,915 141,675
- ----------------------------------------------------------------------------------------------------------
9,480,471 4,778,605 6,051,615 540,301 2,942,965 52,258
151,757 366,294 8,660 -- 59,776 --
- ----------------------------------------------------------------------------------------------------------
9,632,228 5,144,899 6,060,275 540,301 3,002,741 52,258
- ----------------------------------------------------------------------------------------------------------
14,989,610 8,387,113 2,541,621 (144,743) 5,765,351 (35,537)
(34,618) (166,257) (1,289) -- (16,397) --
- ----------------------------------------------------------------------------------------------------------
14,954,992 8,220,856 2,540,332 (144,743) 5,748,954 (35,537)
- ----------------------------------------------------------------------------------------------------------
24,587,220 13,365,755 8,600,607 395,558 8,751,695 16,721
- ----------------------------------------------------------------------------------------------------------
$ 37,342,289 $ 17,601,274 $ 12,252,271 $ 1,192,023 $ 12,823,610 $ 158,396
- ----------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
67
STATEMENTS OF CHANGES IN NET ASSETS
BENCHMARK CORE BOND FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 390,419 $ 789,884
Net realized gain (loss) on investments 73,314 979,907
Change in unrealized appreciation (depreciation) on investments 171,008 (655,947)
-------------- ------------------
Increase (decrease) in net assets from operations 634,741 1,113,844
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (1,018,266) (657,294)
RETAIL CLASS
Net investment income (3,038) (619)
ADMIN CLASS
Net investment income -- (377)
-------------- ------------------
Total Distributions (1,021,304) (658,290)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 6,229,470 716,130
-------------- ------------------
Total increase (decrease) in net assets 5,842,907 1,171,684
NET ASSETS
Beginning of period 18,789,953 17,618,269
-------------- ------------------
End of period $24,632,860 $18,789,953
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ 160,761 $ 791,646
-------------- ------------------
BOND FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 59,522,928 $ 106,476,716
Net realized gain (loss) on investments 54,064,012 (8,850,576)
Change in unrealized appreciation (depreciation) on investments 74,502,392 323,663,649
-------------- ------------------
Increase (decrease) in net assets from operations 188,089,332 421,289,789
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (57,956,438) (102,850,567)
RETAIL CLASS
Net investment income (5,162,117) (6,701,077)
ADMIN CLASS
Net investment income (448,839) (613,900)
-------------- ------------------
Total Distributions (63,567,394) (110,165,544)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 597,541,728 334,519,643
-------------- ------------------
Total increase (decrease) in net assets 722,063,666 645,643,888
NET ASSETS
Beginning of period 1,886,158,322 1,240,514,434
-------------- ------------------
End of period $2,608,221,988 $1,886,158,322
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ (2,242,767) $ 1,801,699
-------------- ------------------
See accompanying notes to financial statements.
68
CORE PLUS FIXED INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 57,841 $ 720,185
Net realized gain (loss) on investments 94,089 491,215
Change in unrealized appreciation (depreciation) on investments (38,845) (35,470)
-------------- ------------------
Increase (decrease) in net assets from operations 113,085 1,175,930
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (226,805) (1,094,908)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (1,469,769) (29,682,908)
-------------- ------------------
Total increase (decrease) in net assets (1,583,489) (29,601,886)
NET ASSETS
Beginning of period 3,060,904 32,662,790
-------------- ------------------
End of period $ 1,477,415 $ 3,060,904
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ (8,931) $ 160,033
-------------- ------------------
FIXED INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 12,755,069 $ 26,848,591
Net realized gain (loss) on investments 9,632,228 3,436,448
Change in unrealized appreciation (depreciation) on investments 14,954,992 73,616,355
-------------- ------------------
Increase (decrease) in net assets from operations 37,342,289 103,901,394
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (28,854,737) (29,163,220)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 1,413,312 (34,358,387)
-------------- ------------------
Total increase (decrease) in net assets 9,900,864 40,379,787
NET ASSETS
Beginning of period 412,521,260 372,141,473
-------------- ------------------
End of period $422,422,124 $412,521,260
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ 5,723,914 $ 21,823,582
-------------- ------------------
See accompanying notes to financial statements.
69
STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL BOND FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 4,235,519 $ 3,973,757
Net realized gain (loss) on investments 5,144,899 4,325,616
Change in unrealized appreciation (depreciation) on investments 8,220,856 8,309,927
-------------- ------------------
Increase (decrease) in net assets from operations 17,601,274 16,609,300
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (4,387,120) (2,178,435)
RETAIL CLASS
Net investment income (4,027,328) (558,936)
-------------- ------------------
Total Distributions (8,414,448) (2,737,371)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 340,493,592 68,027,580
-------------- ------------------
Total increase (decrease) in net assets 349,680,418 81,899,509
NET ASSETS
Beginning of period 138,812,366 56,912,857
-------------- ------------------
End of period $488,492,784 $138,812,366
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ 2,081,339 $ 6,260,268
-------------- ------------------
INSTITUTIONAL HIGH INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 3,651,664 $ 7,131,139
Net realized gain (loss) on investments 6,060,275 (519,005)
Change in unrealized appreciation (depreciation) on investments 2,540,332 20,673,751
-------------- ------------------
Increase (decrease) in net assets from operations 12,252,271 27,285,885
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (7,853,152) (2,101,149)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 3,348,797 3,901,310
Redemption fees -- 19
-------------- ------------------
Total increase (decrease) in net assets 7,747,916 29,086,065
NET ASSETS
Beginning of period 86,141,032 57,054,967
-------------- ------------------
End of period $93,888,948 $86,141,032
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ 1,558,569 $ 5,760,057
-------------- ------------------
See accompanying notes to financial statements.
70
INTERMEDIATE DURATION FIXED INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 796,465 $ 1,952,851
Net realized gain (loss) on investments 540,301 22,348
Change in unrealized appreciation (depreciation) on investments (144,743) 1,935,960
-------------- ------------------
Increase (decrease) in net assets from operations 1,192,023 3,911,159
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (974,398) (2,022,513)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (3,078,523) (5,520,543)
-------------- ------------------
Total increase (decrease) in net assets (2,860,898) (3,631,897)
NET ASSETS
Beginning of period 37,102,563 40,734,460
-------------- ------------------
End of period $34,241,665 $37,102,563
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ (50,184) $ 127,749
-------------- ------------------
INVESTMENT GRADE FIXED INCOME FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 4,071,915 $ 8,460,061
Net realized gain (loss) on investments 3,002,741 5,426,945
Change in unrealized appreciation (depreciation) on investments 5,748,954 14,862,446
-------------- ------------------
Increase (decrease) in net assets from operations 12,823,610 28,749,452
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (6,264,787) (8,566,563)
Net realized gain on investments (4,492,034) (510,543)
-------------- ------------------
Total distributions (10,756,821) (9,077,106)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 22,525,289 (13,442,996)
-------------- ------------------
Total increase (decrease) in net assets 24,592,078 6,229,350
NET ASSETS
Beginning of period 142,271,026 136,041,676
-------------- ------------------
End of period $166,863,104 $142,271,026
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ (190,127) $ 2,002,745
-------------- ------------------
See accompanying notes to financial statements.
71
U.S. GOVERNMENT SECURITIES FUND
SIX MONTHS
ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -----------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 141,675 $ 444,050
Net realized gain (loss) on investments 52,258 328,629
Change in unrealized appreciation (depreciation) on investments (35,537) (351,722)
-------------- ------------------
Increase (decrease) in net assets from operations 158,396 420,957
-------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (238,936) (526,000)
Net realized gain on investments (224,515) (326,368)
-------------- ------------------
Total distributions (463,451) (852,368)
-------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (1,009,088) (3,511,709)
-------------- ------------------
Total increase (decrease) in net assets (1,314,143) (3,943,120)
NET ASSETS
Beginning of period 9,548,954 13,492,074
-------------- ------------------
End of period $ 8,234,811 $ 9,548,954
-------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS)
End of period $ (34,812) $ 62,449
-------------- ------------------
See accompanying notes to financial statements.
72
THIS PAGE INTENTIONALLY LEFT BLANK
73
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
BENCHMARK CORE BOND FUND
INSTITUTIONAL CLASS
3/31/2004(e) $10.68 $0.20(d) $ 0.09 $ 0.29 $(0.51) $ --
9/30/2003 10.59 0.39(d) 0.11 0.50 (0.41) --
9/30/2002+ 10.80 0.60(d) 0.09 0.69 (0.90) --
9/30/2001 10.51 0.71(d) 0.47 1.18 (0.89) --
9/30/2000 10.55 0.69(d) (0.12) 0.57 (0.61) --
9/30/1999 11.49 0.61 (0.76) (0.15) (0.64) (0.15)
RETAIL CLASS
3/31/2004(e) 10.65 0.18(d) 0.12 0.30 (0.51) --
9/30/2003 10.58 0.37(d) 0.09 0.46 (0.39) --
9/30/2002+/*/ 10.04 0.20(d) 0.34 0.54 -- --
BOND FUND
INSTITUTIONAL CLASS
3/31/2004(e) $12.66 $0.36(d) $ 0.80 $ 1.16 $(0.36) $ --
9/30/2003 10.33 0.78(d) 2.34 3.12 (0.79) --
9/30/2002++ 10.39 0.82(d) (0.06) 0.76 (0.82) --
9/30/2001 11.53 0.94(d) (0.91) 0.03 (1.17) --
9/30/2000 11.70 0.96 (0.20) 0.76 (0.93) --
9/30/1999 12.30 0.98 (0.06) 0.92 (1.00) (0.52)
RETAIL CLASS
3/31/2004(e) 12.65 0.34(d) 0.81 1.15 (0.35) --
9/30/2003 10.33 0.75(d) 2.34 3.09 (0.77) --
9/30/2002++ 10.39 0.79(d) (0.05) 0.74 (0.80) --
9/30/2001 11.52 0.91(d) (0.91) 0.00 (1.13) --
9/30/2000 11.69 0.92 (0.19) 0.73 (0.90) --
9/30/1999 12.29 0.96 (0.08) 0.88 (0.96) (0.52)
ADMIN CLASS
3/31/2004(e) 12.64 0.32(d) 0.82 1.14 (0.34) --
9/30/2003 10.32 0.72(d) 2.34 3.06 (0.74) --
9/30/2002++ 10.38 0.76(d) (0.05) 0.71 (0.77) --
9/30/2001 11.52 0.88(d) (0.92) (0.04) (1.10) --
9/30/2000 11.69 0.86 (0.16) 0.70 (0.87) --
9/30/1999 12.28 0.92(d) (0.06) 0.86 (0.93) (0.52)
* From commencement of class operations on May 1, 2002 through September 30,
2002. (a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Annualized for periods less
than one year. (d) Per share net investment income has been determined on the
basis of the weighted average number of shares outstanding during the
period. (e) For the six months ended March 31, 2004 (Unaudited). + As required
effective October 1, 2001, the Fund has adopted the provisions of the AICPA
Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Institutional and
Retail Classes was a decrease to net investment income by $0.03 and $0.03 per
share, respectively, an increase to net realized and unrealized gain (loss) on
investments by $0.03 and $0.03 per share, respectively and a decrease to the
ratio of net investment income to average net assets from 6.10% to 5.77% and
5.39% to 4.60% respectively, on an annualized basis. Per share ratios and
supplemental data for periods prior to October 1, 2001, have not been restated
to reflect this change in presentation. ++ As required effective October 1,
2001, the Fund has adopted the provisions of the AICPA Audit and Accounting
Guide, Audits of Investment Companies, and began amortizing premium on debt
securities and reclassifying paydown gains and losses to interest income for
financial statement purposes only. For the year ended September 30, 2002, the
impact to the Institutional, Retail and Admin Classes per share net investment
income and net realized and unrealized gain (loss) was less than $0.01. The
ratio of net investment income to average net assets for the Institutional,
Retail and Admin Classes decreased from 7.77% to 7.76%, 7.53% to 7.51%, 7.24%
to 7.22%, respectively, on an annualized basis. Per share ratios and
supplemental data for periods prior to October 1, 2001, have not been restated
to reflect this change in presentation.
See accompanying notes to financial statements.
74
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------
Net assets Net assets,
value, end of Net Portfolio
Total end of Total period Net Gross investment turnover
distributions the period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate
- ----------------------------------------------------------------------------------------------------
$(0.51) $10.46 2.9% $ 24,530 0.45% 1.12% 3.72% 43%
(0.41) 10.68 4.8 18,763 0.45 1.08 3.69 202
(0.90) 10.59 6.9 17,594 0.45 1.28 5.77 94
(0.89) 10.80 11.9 16,476 0.47 1.08 6.78 85
(0.61) 10.51 5.8 16,107 0.53 0.90 6.74 69
(0.79) 10.55 (1.4) 22,584 0.65 1.15 6.14 29
(0.51) 10.44 3.0 103 0.70 1.37 3.47 43
(0.39) 10.65 4.5 27 0.70 41.18 3.52 202
-- 10.58 5.4 13 0.70 214.46 4.60 94
$(0.36) $13.46 9.3% $2,358,141 0.75% 0.78% 5.43% 15%
(0.79) 12.66 30.9 1,730,165 0.75 0.78 6.64 35
(0.82) 10.33 7.5 1,172,286 0.75 0.79 7.76 22
(1.17) 10.39 0.3 1,383,951 0.75 0.78 8.52 20
(0.93) 11.53 6.7 1,670,825 0.75 0.76 8.32 17
(1.52) 11.70 7.6 1,541,834 0.75 0.75 8.15 33
(0.35) 13.45 9.1 230,382 1.00 1.03 5.17 15
(0.77) 12.65 30.6 143,932 1.00 1.07 6.35 35
(0.80) 10.33 7.3 61,845 1.00 1.14 7.51 22
(1.13) 10.39 0.1 77,035 1.00 1.13 8.28 20
(0.90) 11.52 6.5 78,039 1.00 1.08 8.10 17
(1.48) 11.69 7.3 55,490 1.00 1.04 7.90 33
(0.34) 13.44 9.0 19,698 1.25 1.28 4.90 15
(0.74) 12.64 30.4 12,061 1.25 1.40 6.13 35
(0.77) 10.32 7.0 6,383 1.25 1.68 7.22 22
(1.10) 10.38 (0.3) 5,498 1.25 1.71 8.02 20
(0.87) 11.52 6.2 3,736 1.25 1.98 7.90 17
(1.45) 11.69 7.1 1,548 1.25 2.38 7.66 33
See accompanying notes to financial statements.
75
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
CORE PLUS FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 9.53 $0.21(d) $ 0.20 $ 0.41 $(0.76) $ --
9/30/2003 9.43 0.48(d) 0.33 0.81 (0.71) --
9/30/2002+ 10.30 0.62(d) (0.64) (0.02) (0.77) (0.08)
9/30/2001* 10.00 0.20(d) 0.10 0.30 -- --
FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2004(e) $13.24 $0.40(d) $ 0.79 $ 1.19 $(0.92) $ --
9/30/2003 10.95 0.84(d) 2.40 3.24 (0.95) --
9/30/2002++ 11.23 0.87(d) (0.15) 0.72 (1.00) --
9/30/2001 11.95 0.96(d) (0.78) 0.18 (0.90) --
9/30/2000 12.09 0.99(d) (0.30) 0.69 (0.83) --
9/30/1999 12.47 0.97 (0.27) 0.70 (0.82) (0.26)
GLOBAL BOND FUND
INSTITUTIONAL CLASS
3/31/2004(e) $14.93 $0.25(d) $ 0.88 $ 1.13 $(0.60) $ --
9/30/2003 12.68 0.62(d) 2.25 2.87 (0.62) --
9/30/2002+++ 11.08 0.68(d) 0.92 1.60 -- --
9/30/2001 10.93 0.72(d) 0.07 0.79 (0.60) (0.04)
9/30/2000 12.60 0.76(d) (1.33) (0.57) (0.67) (0.43)
9/30/1999 11.93 0.79 0.87 1.66 (0.70) (0.29)
RETAIL CLASS
3/31/2004(e) 14.83 0.23(d) 0.89 1.12 (0.59) --
9/30/2003 12.62 0.58(d) 2.24 2.82 (0.61) --
9/30/2002+++ 11.06 0.65(d) 0.91 1.56 -- --
9/30/2001 10.91 0.69(d) 0.07 0.76 (0.57) (0.04)
9/30/2000 12.57 0.73(d) (1.32) (0.59) (0.64) (0.43)
9/30/1999 11.91 0.76(d) 0.86 1.62 (0.67) (0.29)
* From commencement of fund operations on June 18, 2001 through September 30,
2001. (a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Annualized for periods less
than one year. (d) Per share net investment income (loss) has been determined
on the basis of the weighted average number of shares outstanding during the
period. (e) For the six months ended March 31, 2004 (Unaudited). + As required
effective October 1, 2001, the Fund has adopted the provisions of the AICPA
Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Fund was a decrease
to net investment income by $0.03 per share and an increase to net realized and
unrealized gain (loss) on investments by $0.03 per share. The ratio of net
investment income to average net assets for the Fund decreased from 6.66% to
6.27% on an annualized basis. Per share ratios and supplemental data for
periods prior to October 1, 2001, have not been restated to reflect this change
in presentation.
See accompanying notes to financial statements.
76
RATIOS TO AVERAGE NET ASSETS
- ---------------- --------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total end of Total period Net Gross investment turnover
distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate
- -----------------------------------------------------------------------------------------------------
$(0.76) $ 9.18 4.5% $ 1,477 0.45% 4.73% 4.51% 45%
(0.71) 9.53 8.9 3,061 0.45 1.31 5.05 99
(0.85) 9.43 (0.2) 32,663 0.45 0.80 6.27 104
-- 10.30 3.0 39,514 0.45 1.18 6.80 21
$(0.92) $13.51 9.2% $422,422 0.65% 0.67% 5.95% 21%
(0.95) 13.24 31.5 412,521 0.65 0.67 7.03 33
(1.00) 10.95 6.7 372,141 0.65 0.70 7.87 21
(0.90) 11.23 1.6 420,091 0.65 0.68 8.39 24
(0.83) 11.95 5.9 427,730 0.63 0.63 8.34 19
(1.08) 12.09 5.8 298,007 0.64 0.64 8.30 22
$(0.60) $15.46 7.7% $191,611 0.82% 0.82% 3.28% 23%
(0.62) 14.93 23.4 83,325 0.90 0.94 4.50 107
-- 12.68 14.4 44,810 0.90 1.07 5.78 65
(0.64) 11.08 7.7 37,681 0.90 1.09 6.65 58
(1.10) 10.93 (5.0) 37,035 0.90 1.12 6.64 17
(0.99) 12.60 14.2 34,154 0.90 1.10 6.32 42
(0.59) 15.36 7.7 296,881 1.07 1.07 3.00 23
(0.61) 14.83 23.1 55,487 1.15 1.21 4.13 107
-- 12.62 14.1 12,103 1.15 1.47 5.53 65
(0.61) 11.06 7.4 10,375 1.15 1.47 6.42 58
(1.07) 10.91 (5.2) 11,721 1.15 1.51 6.41 17
(0.96) 12.57 13.8 7,106 1.15 1.61 6.08 42
++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Fund's net
investment income and net realized and unrealized gain (loss) was less than
$0.01 per share. The ratio of net investment income to average net assets for
the Fund remained unchanged. Per share ratios and supplemental data for periods
prior to October 1, 2001, have not been restated to reflect this change in
presentation. +++ As required effective October 1, 2001, the Fund has adopted
the provisions of the AICPA Audit and Accounting Guide, Audits of Investment
Companies, and began amortizing premium on debt securities and reclassifying
paydown gains and losses to interest income for financial statement purposes
only. For the year ended September 30, 2002, the effect of this change to the
Institutional and Retail Classes was a decrease to net investment income by
$0.01 and $0.01 per share, respectively, an increase to net realized and
unrealized gain (loss) on investments by $0.01 and $0.01 per share,
respectively and a decrease to the ratio of net investment income to average
net assets from 5.89% to 5.78% and 5.63% to 5.53%, respectively, on an
annualized basis. Per share ratios and supplemental data for periods prior to
October 1, 2001, have not been restated to reflect this change in presentation.
See accompanying notes to financial statements.
77
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
INSTITUTIONAL HIGH INCOME FUND
INSTITUTIONAL CLASS
3/31/2004(f) $ 6.91 $0.29(d) $ 0.67 $ 0.96 $(0.62) $ --
9/30/2003 4.81 0.59(d) 1.69 2.28 (0.18) --
9/30/2002+ 6.50 0.68(d) (0.96) (0.28) (1.41) --
9/30/2001 8.33 0.91(d) (1.93) (1.02) (0.81) --
9/30/2000 8.40 0.94(d) (0.11) 0.83 (0.90) --
9/30/1999 8.41 0.95 0.35 1.30 (1.07) (0.24)
INTERMEDIATE DURATION FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2004(f) $10.10 $0.23(d) $ 0.13 $ 0.36 $(0.29) $ --
9/30/2003 9.62 0.51(d) 0.49 1.00 (0.52) --
9/30/2002++// 10.13 0.60(d) (0.50) 0.10 (0.60) (0.01)
9/30/2001 9.55 0.64(d) 0.57 1.21 (0.63) --
9/30/2000 9.53 0.62 0.01 0.63 (0.61) --
9/30/1999 9.87 0.61 (0.26) 0.35 (0.69) --
INVESTMENT GRADE FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2004(f) $13.38 $0.35(d) $ 0.76 $ 1.11 $(0.53) $(0.38)
9/30/2003 11.56 0.77(d) 1.87 2.64 (0.78) (0.04)
9/30/2002+++// 11.16 0.77(d) 0.35 1.12 (0.66) (0.06)
9/30/2001 11.00 0.81(d) 0.15 0.96 (0.79) (0.01)
9/30/2000 11.02 0.82 0.00(e) 0.82 (0.79) (0.05)
9/30/1999 11.42 0.81 (0.27) 0.54 (0.82) (0.12)
U.S. GOVERNMENT SECURITIES FUND
INSTITUTIONAL CLASS
3/31/2004(f) $11.60 $0.18(d) $ 0.03 $ 0.21 $(0.31) $(0.29)
9/30/2003 11.94 0.43(d) 0.05 0.48 (0.53) (0.29)
9/30/2002++++// 11.19 0.51(d) 0.83 1.34 (0.59) --
9/30/2001 10.62 0.62(d) 0.70 1.32 (0.75) --
9/30/2000 10.38 0.68 0.22 0.90 (0.66) --
9/30/1999 11.41 0.65 (1.03) (0.38) (0.65) --
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Annualized for periods less
than one year. (d) Per share net investment income has been determined on the
basis of the weighted average number of shares outstanding during the
period. (e) Amount is less than $0.01 per share. (f) For the six months ended
March 31, 2004 (Unaudited). + As required effective October 1, 2001, the Fund
has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of
Investment Companies, and began amortizing premium on debt securities and
reclassifying paydown gains and losses to interest income for financial
statement purposes only. For the year ended September 30, 2002, the effect of
this change to the Fund's net investment income and net realized and unrealized
gain (loss) was less than $0.01 per share. The ratio of net investment income
to average net assets for the Fund increased from 11.60% to 11.61% on an
annualized basis. Per share ratios and supplemental data for periods prior to
October 1, 2001, have not been restated to reflect this change in
presentation. ++ As required effective October 1, 2001, the Fund has adopted
the provisions of the AICPA Audit and Accounting Guide, Audits of Investment
Companies, and began amortizing premium on debt securities for financial
statement purposes only. For the year ended September 30, 2002, the effect of
this change to the Fund was a decrease to net investment income by $0.01 per
share and an increase to net realized and unrealized gain (loss) on investment
by $0.01 per share. The ratios of net investment income to average net assets
for the Fund decreased from 6.23% to 6.13% on an annualized basis. Per share
ratios and supplemental data for periods prior to October 1, 2001, have not
been restated to reflect this change in presentation
See accompanying notes to financial statements.
78
RATIOS TO AVERAGE NET ASSETS
- -------------- ------------------------------------------
Net asset Net assets,
value, end of Portfolio
Total end of Total period Net Gross Net investment turnover
distributions period return(a) (000) expenses(b)(c) expenses(c) income(c) rate
- -------------------------------------------------------------------------------------------------
$(0.62) $ 7.25 14.2% $ 93,889 0.75% 0.86% 7.89% 35%
(0.18) 6.91 48.7 86,141 0.75 0.91 10.01 53
(1.41) 4.81 (6.0) 57,055 0.75 1.10 11.61 32
(0.81) 6.50 (12.6) 31,972 0.75 1.03 12.64 43
(0.90) 8.33 10.2 39,619 0.75 1.03 11.22 28
(1.31) 8.40 16.8 25,484 0.75 1.15 12.22 57
$(0.29) $10.17 3.5% $ 34,242 0.45% 0.74% 4.60% 30%
(0.52) 10.10 10.7 37,103 0.45 0.74 5.15 63
(0.61) 9.62 1.0 40,734 0.45 0.83 6.13 24
(0.63) 10.13 13.0 23,568 0.48 0.89 6.48 19
(0.61) 9.55 6.9 20,580 0.55 0.99 6.65 20
(0.69) 9.53 3.6 14,371 0.55 1.18 6.27 35
$(0.91) $13.58 8.6% $166,863 0.55% 0.61% 5.14% 18%
(0.82) 13.38 23.8 142,271 0.55 0.62 6.22 32
(0.72) 11.56 10.4 136,042 0.55 0.64 6.76 20
(0.80) 11.16 9.0 148,168 0.55 0.62 7.25 14
(0.84) 11.00 7.7 153,412 0.55 0.58 7.45 18
(0.94) 11.02 4.8 146,757 0.55 0.59 7.15 18
$(0.60) $11.21 2.0% $ 8,235 0.50% 1.58% 3.26% 34%
(0.82) 11.60 4.3 9,549 0.50 1.28 3.68 60
(0.59) 11.94 12.4 13,492 0.50 1.16 4.58 101
(0.75) 11.19 12.9 15,018 0.50 1.25 5.63 124
(0.66) 10.62 9.1 11,495 0.50 1.24 6.17 86
(0.65) 10.38 (3.5) 16,141 0.52 1.03 5.75 75
+++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities for financial statement purposes
only. For the year ended September 30, 2002, the effect of this change to the
Fund's net investment income and net realized and unrealized gain (loss) was
less than $0.01 per share. The ratios of net investment income to average net
assets for the Fund decreased from 6.77% to 6.76% on an annualized basis. Per
share ratios and supplemental data for periods prior to October 1, 2001, have
not been restated to reflect this change in presentation. ++++ As required
effective October 1, 2001, the Fund has adopted the provisions of the AICPA
Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Fund was a decrease
to net investment income by $0.06 per share and an increase to net realized and
unrealized gain (loss) on investment by $0.06 per share. The ratio of net
investment income to average net assets for the Fund decreased from 5.12% to
4.58% on an annualized basis. Per share ratios and supplemental data for
periods prior to October 1, 2001, have not bee restated to reflect this change
in presentation.
See accompanying notes to financial statements.
79
NOTES TO FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED, MARCH 31, 2004 (UNAUDITED)
1. ORGANIZATION | Loomis Sayles Funds I (the "Trust") is organized as a
Massachusetts business trust and was organized as such on December 23, 1993.
The Trust is registered under the Investment Company Act of 1940 (the "1940
Act"), as amended, as an open-end management investment company. The
Declaration of Trust permits the Trustees to issue an unlimited number of
shares of the Trust in multiple series (individually, a "Fund" and
collectively, the "Funds"). Shares of certain Funds in the Trust were first
registered under the Securities Act of 1933 (the "1933 Act") effective March 7,
1997 (subsequent to their commencement of investment operations). Information
presented in these financial statements pertains to the fixed income funds of
the Trust, the financial statements for the equity funds are presented in a
separate report. The following Funds are included in this report:
Loomis Sayles Benchmark Core Bond Fund (the "Benchmark Core Bond Fund")
Loomis Sayles Bond Fund (the "Bond Fund")
Loomis Sayles Core Plus Fixed Income Fund (the "Core Plus Fixed Income Fund")
Loomis Sayles Fixed Income Fund (the "Fixed Income Fund")
Loomis Sayles Global Bond Fund (the "Global Bond Fund")
Loomis Sayles Institutional High Income Fund (the "Institutional High Income
Fund")
Loomis Sayles Intermediate Duration Fixed Income Fund (the "Intermediate
Duration Fixed Income Fund")
Loomis Sayles Investment Grade Fixed Income Fund (the "Investment Grade Fixed
Income Fund")
Loomis Sayles U.S. Government Securities Fund (the "U.S. Government Securities
Fund")
Each Fund offers Institutional Class Shares. Benchmark Core Bond Fund, Bond
Fund and Global Bond Fund also offer Retail Class Shares. In addition, Bond
Fund offers Admin Class Shares.
Most expenses of the Trust can be directly attributed to a Fund. Expenses which
can not be directly attributed are generally apportioned based on the relative
net assets of each of the Funds in the Trust. Expenses of a Fund are borne pro
rata by the holders of each Class of shares, except that each Class bears
expenses unique to that Class (including the Rule 12b-1 service and
distribution fees and transfer agent fees applicable to such Class). In
addition, each Class votes as a Class only with respect to its own Rule 12b-1
Plan. Shares of each Class would receive their pro rata share of the net assets
of a Fund, if the Fund were liquidated. The Trustees approve separate dividends
from net investment income on each class of shares.
2. SIGNIFICANT ACCOUNTING POLICIES | The following is a summary of significant
accounting policies consistently followed by each Fund in the preparation of
its financial statements. The Funds' financial statements are prepared in
accordance with accounting principles generally accepted in the United States
of America which require the use of management estimates that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
A. SECURITY VALUATION | Debt securities for which market quotations are readily
available are generally valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Broker-dealer bid quotations may also be used to value debt
and equity securities where a pricing service does not price a security or
where a pricing service does not provide a reliable price for the security.
Such pricing services generally use the most recent bid prices in the principal
market in which such securities are normally traded. Equity securities for
which market quotations are readily available are valued at market value, as
reported by pricing services recommended by the investment adviser's pricing
committee and approved by the Board of Trustees. Such pricing services
generally use the security's last sale price on the exchange or market where
primarily traded or, if there is no reported sale during the day, the closing
bid price. Securities traded on the NASDAQ National Market are valued at the
NASDAQ Official Closing Price ("NOCP"), or if lacking a NOCP, at the most
recent bid quotation on the NASDAQ National Market. Short-term obligations with
a remaining maturity of 60 days or less are valued at amortized cost, which
approximates market value. Securities for which market quotations are not
readily available (including restricted securities, if any) are valued at fair
value as determined in good faith by the Fund's investment adviser using
consistently applied procedures under the general supervision of the Board of
Trustees.
The Funds may hold securities traded in foreign markets. Foreign securities are
valued at the market price in the foreign market. However, if events occurring
after the close of the foreign market (but before the close of regular trading
on the New York Stock Exchange) are believed to materially affect the value of
those securities, such securities are fair valued pursuant to procedures
approved by the Board of Trustees. When fair valuing its securities, the Fund
may, among other things, use modeling tools or other processes that may take
into account factors such as securities market activity and/or significant
events that occur after the close of the foreign market and before the Fund
calculates its net asset value.
80
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME | Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon as the Fund is
notified. Interest income is recorded on an accrual basis, and interest income
is increased by the accretion of discount and decreased by the amortization of
premium. Investment income is recorded net of foreign taxes withheld when
applicable. In determining net gain or loss on securities sold, the cost of
securities has been determined on an identified cost basis.
C. FOREIGN CURRENCY TRANSLATION | The books and records of the Funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars are
translated into U.S. dollars based upon foreign exchange rates prevailing at
the end of the period. Purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange
rates prevailing at the end of the period, it is not practical to isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities. Such changes are included with the net realized and unrealized gain
or loss on investments.
Net realized foreign exchange gains or losses arise from: sales of foreign
currency, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the Funds' books
and the U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, other than investment securities, at the end of the
fiscal periods, resulting from changes in exchange rates.
Certain Funds use foreign currency exchange contracts to facilitate
transactions in foreign-denominated investments. Losses may arise from changes
in the value of the foreign currency or if the counterparties do not perform
under the contracts' terms.
Each Fund (except U.S. Government Securities Fund) may purchase investments of
foreign issuers. Investing in securities of foreign issuers involves special
risks and considerations not typically associated with investing in U.S.
companies and securities of the U.S. government. These risks include
revaluation of currencies and the risk of appropriation. Moreover, the markets
for securities of many foreign issuers may be less liquid and the prices of
such securities may be more volatile than those of comparable U.S. companies
and the U.S. government.
D. FORWARD FOREIGN CURRENCY CONTRACTS | Each Fund that may invest in foreign
investments may enter into forward foreign currency exchange contracts.
Contracts to buy generally are used to acquire exposure to foreign currencies,
while contracts to sell generally are used to hedge a Fund's investments
against currency fluctuation. Also, a contract to buy or sell can offset a
previous contract. These contracts involve market risk in excess of the
unrealized gain or loss reflected in the Fund's Statement of Assets and
Liabilities. The U.S. dollar value of the currencies the Fund has committed to
buy or sell (if any) is shown in the portfolio composition under the caption
"Forward Currency Contracts Outstanding." These amounts represent the aggregate
exposure to each currency the Fund has acquired or hedged through currency
contracts outstanding at period end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. Risks may arise upon entering into these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign currency relative to
the U.S. dollar. At March 31, 2004, there were no open forward currency
contracts.
E. 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 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.
Accordingly, no provision for federal income tax has been made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities, such
taxes are accrued as applicable.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS | Dividends and distributions
are recorded on ex-dividend date. The timing and characterization of certain
income and capital gains distributions are determined in accordance with
federal tax regulations, which
81
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED, MARCH 31, 2004 (UNAUDITED)
may differ from accounting principles generally accepted in the United States
of America. These differences are primarily due to differing treatments for
book and tax purposes of items such as non-deductible expenses, net operating
losses, foreign currency transactions, capital loss carryforwards, defaulted
bond interest and excise tax regulations. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to capital accounts. Distributions from net investment income
and short-term capital gains are considered to be ordinary income for tax
purposes.
G. REPURCHASE AGREEMENTS | Each Fund, through its custodian, receives delivery
of the underlying securities collateralizing repurchase agreements. It is each
Fund's policy that the market value of the collateral be at least equal to 102%
of the repurchase price, including interest. The Fund's adviser is responsible
for determining that the value of the collateral is at all times at least equal
to 102% of the repurchase price, including interest. 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.
3. PURCHASES AND SALES OF SECURITIES | For the six months ended March 31, 2004,
purchases and sales of securities (excluding short-term investments) were as
follows:
U.S. GOVERNMENT/AGENCIES OTHER SECURITIES
------------------------ -------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- ------------ ----------- ------------ ------------
Benchmark Core Bond Fund $ 10,819,595 $ 6,866,490 $ 4,503,159 $ 2,042,844
Bond Fund 378,689,362 8,501,060 494,574,766 315,587,232
Core Plus Fixed Income Fund 423,371 1,113,497 671,676 1,472,125
Fixed Income Fund 32,124,178 38,679,593 56,520,450 62,789,799
Global Bond Fund 65,059,526 3,439,287 311,521,106 56,082,257
Institutional High Income Fund 8,595,668 4,516,515 22,988,171 28,260,702
Intermediate Duration Fixed Income Fund 3,605,853 2,475,542 6,618,184 9,849,318
Investment Grade Fixed Income Fund 22,987,595 4,613,366 14,724,582 22,510,246
U.S. Government Securities Fund 2,814,663 3,476,751 -- --
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. MANAGEMENT FEES | Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as
investment adviser to each of the Funds. Separate management agreements for
each Fund in effect for the six months ended March 31, 2004, provided for fees
at the following annual percentage rates of each Fund's average daily net
assets. Loomis Sayles has contractually agreed, until February 1, 2005, to
reduce its advisory fees and/or bear other expenses, to the extent necessary to
limit the total operating expenses of each Fund, to the following annual
percentage rate of the Fund's average daily net assets:
EXPENSE LIMIT AS A PERCENTAGE OF
AVERAGE DAILY NET ASSETS
-------------------------------------------
FUND MANAGEMENT FEES INSTITUTIONAL CLASS RETAIL CLASS ADMIN CLASS
- ---- --------------- ------------------- ------------ -----------
Benchmark Core Bond Fund 0.30% 0.45% 0.70% --
Bond Fund 0.60% 0.75% 1.00% 1.25%
Core Plus Fixed Income Fund 0.35% 0.45% -- --
Fixed Income Fund 0.50% 0.65% -- --
Global Bond Fund 0.60% 0.90% 1.15% --
Institutional High Income Fund 0.60% 0.75% -- --
Intermediate Duration Fixed Income Fund 0.30% 0.45% -- --
Investment Grade Fixed Income Fund 0.40% 0.55% -- --
U.S. Government Securities Fund 0.30% 0.50% -- --
82
For the six months ended March 31, 2004, the management fees and waivers of
management fees for each Fund were as follows:
PERCENTAGE OF
AVERAGE DAILY
GROSS WAIVER OF NET NET ASSETS*
MANAGEMENT MANAGEMENT MANAGEMENT -------------
FUND FEE FEE FEE GROSS NET
- ---- ---------- ---------- ---------- ----- -----
Benchmark Core Bond Fund $ 31,525 $ 31,525 $ -- 0.30% --
Bond Fund 6,620,208 303,993 6,316,215 0.60% 0.57%
Core Plus Fixed Income Fund 4,486 4,486 -- 0.35% --
Fixed Income Fund 1,071,279 45,143 1,026,136 0.50% 0.48%
Global Bond Fund 811,109 -- 811,109 0.60% 0.60%
Institutional High Income Fund 277,691 49,259 228,432 0.60% 0.49%
Intermediate Duration Fixed Income Fund 51,905 49,745 2,160 0.30% 0.01%
Investment Grade Fixed Income Fund 316,656 44,977 271,679 0.40% 0.34%
U.S. Government Securities Fund 13,030 13,030 -- 0.30% --
* Annualized
For the six months ended March 31, 2004, and in addition to the waiver of
management fees, expenses have been reimbursed as follows:
FUND AMOUNT
- ---- -------
Core Plus Fixed Income Fund $50,315
U.S. Government Securities Fund 33,723
For the six months ended March 31, 2004, the investment adviser reimbursed
$39,064 of other expenses to Benchmark Core Bond Fund.
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trusts. Loomis Sayles' general partner is indirectly owned by CDC IXIS
Asset Management North America, L.P. ("CDC IXIS North America"). CDC IXIS Asset
Management North America is ultimately owned by three large affiliated French
financial services firms: Caisse des Depots et Consignations; Caisse Nationales
des Caisses d'Epargne; and CNP Assurances, a leading French life insurance
company.
B. ACCOUNTING AND ADMINISTRATIVE EXPENSE | CDC IXIS Asset Management Services,
Inc. ("CIS"), a wholly owned subsidiary of CDC IXIS North America, performs
certain accounting and administrative services for the Funds and has
subcontracted with State Street Bank and Trust Company ("State Street Bank"),
to serve as sub-administrator. Pursuant to an agreement among the Loomis Sayles
Funds Trusts (the Trust and Loomis Sayles Funds II), the CDC Nvest Funds Trusts
(CDC Nvest Funds Trust I, CDC Nvest Funds Trust II, CDC Nvest Funds Trust III,
CDC Nvest Cash Management Trust and CDC Nvest Companies Trust I) and CIS, each
Fund pays CIS its pro rata portion of a group fee for these services
representing the higher amount based on the following calculations:
(1)Percentage of Average Daily Net Assets
FIRST NEXT OVER
$5 BILLION $5 BILLION $10 BILLION
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Fund's pro rata portion, allocated based on the combined
assets of the Loomis Sayles Funds Trusts and the CDC Nvest
Funds Trusts, of the annual aggregate minimum fee of $5 million.
83
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED, MARCH 31, 2004 (UNAUDITED)
For the six months ended March 31, 2004, fees paid to CIS for accounting and
administrative expense were as follows:
ACCOUNTING
AND
FUND ADMINISTRATIVE
- ---- --------------
Benchmark Core Bond Fund $ 6,895
Bond Fund 723,997
Core Plus Fixed Income Fund 841
Fixed Income Fund 140,588
Global Bond Fund 88,704
Institutional High Income Fund 30,369
Intermediate Duration Fixed Income Fund 11,353
Investment Grade Fixed Income Fund 51,945
U.S. Government Securities Fund 2,850
C. TRANSFER AGENT FEES | CIS is the transfer and shareholder servicing agent
for each Fund and has subcontracted with Boston Financial Data Services
("BFDS") to serve as sub-transfer agent.
Benchmark Core Bond Fund, Core Plus Fixed Income Fund, Fixed Income Fund,
Institutional High Income Fund, Intermediate Duration Fixed Income Fund,
Investment Grade Fixed Income Fund and U.S. Government Securities Fund pay
service fees monthly to CIS representing the higher amount based on the
following calculations:
(1)Each Fund's pro rata portion of an annual aggregate fee
determined by applying an annual fee rate of 0.01% to the
eligible average daily net assets. Eligible assets are the
average daily net assets of all Institutional Funds*.
Each Class is subject to a monthly minimum fee of $1,000 allocated
based on the combined net assets of Institutional Class, Retail
Class and Admin Class as applicable.
or
(2)An allocated portion, based on eligible assets, of an annual
aggregate minimum fee for the period January 1, 2004 through
December 31, 2004 of $100,000. For the period September 15,
2003 through December 31, 2003, the aggregate minimum fee was
$29,315.
* Institutional Funds consist of Benchmark Core Bond Fund, Core Plus Fixed
Income Fund, Fixed Income Fund, Institutional High Income Fund, Intermediate
Duration Fixed Income Fund, Investment Grade Fixed Income Fund, U.S. Government
Securities Fund, Loomis Sayles Mid Cap Growth Fund and Loomis Sayles Small
Company Growth Fund.
Bond Fund and Global Bond Fund pay service fees monthly to CIS representing the
higher amount based on the following calculations:
(1)Each Fund's pro rata portion of an annual aggregate fee
determined by applying an annual fee rate of 0.026% to the
eligible average daily net assets. Eligible assets are the
average daily net assets of all accounts in No Load Retail
Funds* and Load Funds--Class Y**.
Each Class of shares is subject to a monthly Class minimum of
$1,250 allocated based on the combined net assets of Institutional
Class, Retail Class and Admin Class as applicable.
or
(2)An allocated portion, based on eligible assets of an annual
aggregate minimum fee for the period January 1, 2004 through
December 31, 2004 of $650,000. For the period September 15,
2003 through December 31, 2003, the aggregate minimum fee was
$190,547.
* No Load Retail Funds consist of Bond Fund, Global Bond Fund, Loomis Sayles
Aggressive Growth Fund, Loomis Sayles Small Cap Growth Fund, Loomis Sayles
Small Cap Value Fund, Loomis Sayles Tax-Managed Equity Fund, Loomis Sayles
Value Fund and Loomis Sayles Worldwide Fund.
** Load Funds--Class Y consist of all Funds with Class Y shares offered within
the Loomis Sayles Funds Trusts and the CDC Nvest Funds Trusts.
CIS, BFDS and other firms are also reimbursed by the Funds for out-of-pocket
expenses.
84
For the six months ended March 31, 2004, amounts paid to CIS as compensation
for its services as transfer agent were as follows:
TRANSFER
FUND AGENT FEE
- ---- ---------
Benchmark Core Bond Fund $ 12,000
Bond Fund 292,695
Core Plus Fixed Income Fund 6,000
Fixed Income Fund 21,455
Global Bond Fund 35,179
Institutional High Income Fund 6,000
Intermediate Duration Fixed Income Fund 6,000
Investment Grade Fixed Income Fund 7,927
U.S. Government Securities Fund 6,000
D. SERVICE AND DISTRIBUTION FEES | The Trust has entered into a distribution
agreement with CDC IXIS Asset Management Distributors, L.P. ("CDC IXIS
Distributors"), a wholly owned subsidiary of CDC IXIS North America. Pursuant
to this agreement, CDC IXIS Distributors serves as principal underwriter of the
various Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, Benchmark Core Bond Fund, Bond Fund
and Global Bond Fund have adopted Distribution Plans relating to each Fund's
Retail Class shares (the "Retail Class Plan") and Bond Fund has adopted a
separate Distribution Plan relating to its Admin Class shares (the "Admin Class
Plan").
Under the respective Retail Class and Admin Class Plans, each Fund pays CDC
IXIS Distributors a monthly distribution fee at an annual rate of 0.25% of the
average daily net assets attributable to the Fund's Retail Class and Admin
Class Shares, as reimbursement for expenses incurred by CDC IXIS Distributors
in providing personal services to investors in Retail Class and Admin Class
Shares and/or maintenance of shareholder accounts. In addition, the Admin Class
shares of the Bond Fund may pay a shareholder service fee at an annual rate of
0.25% of the average daily net assets attributable to Admin Class shares to
securities dealers or financial intermediaries for providing personal service
and account maintenance for their customers who hold such shares.
E. TRUSTEES FEES AND EXPENSES | The Loomis Sayles Funds Trusts and the CDC
Nvest Funds Trusts do not pay any compensation directly to their officers or
Trustees who are directors, officers or employees of Loomis Sayles, CDC IXIS
Distributors, CDC IXIS North America, CIS or their affiliates. Each Trustee who
is an independent Trustee of Loomis Sayles Funds Trusts and the CDC Nvest Funds
Trusts receives in the aggregate a retainer fee at the annual rate of $45,000
and meeting attendance fees of $4,500 for each meeting of the Board of Trustees
attended. Each committee member receives an additional retainer fee at the
annual rate of $7,000 while each committee chairman receives a retainer fee
(beyond the $7,000 fee) at the annual rate of $5,000. The retainer fees assume
four Board or Committee meetings per year; Trustees are compensated for each
additional Board or Committee meeting in excess of four per year, at the rate
of $4,500 and $1,750, respectively. These fees are allocated to the various
series of the Loomis Sayles Funds Trusts and CDC Nvest Funds Trusts based on a
formula that takes into account, among other factors, the relative net assets
of each Fund. Trustees are reimbursed for travel expenses in connection with
attendance at meetings.
A deferred compensation plan (the "Plan") is available to the Trustees on a
voluntary basis. Each participating Trustee will receive an amount equal to the
value that such deferred compensation would have been had it been invested in a
designated Fund or certain other series of the Loomis Sayles Funds Trusts or
CDC Nvest Funds Trusts on the normal payment date. Deferred amounts remain in
the Funds until distributed in accordance with the Plan.
85
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED, MARCH 31, 2004 (UNAUDITED)
F. PUBLISHING SERVICES | CIS performs certain desktop publishing services for
the funds. Fees for these services are presented in the statements of
operations as shareholder reporting. For the six months ended March 31, 2004,
amounts paid to CIS as compensation for these services were as follows:
PUBLISHING
FUND SERVICES FEE
- ---- ------------
Benchmark Core Bond Fund $42
Bond Fund 42
Core Plus Fixed Income Fund 42
Fixed Income Fund 42
Global Bond Fund 42
Institutional High Income Fund 42
Intermediate Duration Fixed Income Fund 42
Investment Grade Fixed Income Fund 42
U.S. Government Securities Fund 42
5. LINE OF CREDIT | Benchmark Core Bond Fund, Bond Fund, Global Bond Fund and
U.S. Government Securities Fund, together with certain other Funds of the
Loomis Sayles Funds Trusts participate in a $25 million committed unsecured
revolving line of credit provided by State Street Bank. Borrowings under the
line of credit will be made solely to temporarily finance the repurchase of
capital shares. Interest is charged to each participating Fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a commitment fee of 0.09% per annum, payable at the end of each
calendar quarter, is accrued and apportioned among the participating Funds
based on their average daily unused portion of the line of credit. For the six
months ended, March 31, 2004, the Funds had no borrowings under the agreement.
6. SHAREHOLDERS | At March 31, 2004, the Loomis Sayles Funded Pension Plan
("Pension Plan") and the Loomis Sayles Employees' Profit Sharing Retirement
Plan held shares of beneficial interest in the Funds as follows:
PROFIT SHARING
FUND PENSION PLAN RETIREMENT PLAN
- ---- ------------ ---------------
Benchmark Core Bond Fund 162,581 10,475
Bond Fund 864,049 1,107,137
Global Bond Fund 778,173 274,115
Institutional High Income Fund 673,017 671,056
Intermediate Duration Fixed Income Fund -- 92,716
U.S. Government Securities Fund -- 108,470
At March 31, 2004, Loomis Sayles owned 70,649 shares, equating to 43.9% of U.S.
Government Securities Fund shares outstanding. In addition, an individual
affiliated with Institutional High Income Fund held approximately 7.7% of the
Fund's total outstanding shares.
7. CAPITAL SHARES | Each Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
BENCHMARK CORE BOND FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ------- ---------- ---------- ------------
Issued from the sale of shares 545,671 $5,743,220 2,422,176 $ 25,428,179
Issued in connection with the
reinvestment of distributions 100,026 1,018,260 63,568 657,289
Redeemed (58,527) (608,864) (2,390,148) (25,372,394)
------------- --------------- ------------ --------------
Net change 587,170 $6,152,616 95,596 $ 713,074
------------- --------------- ------------ --------------
86
BENCHMARK CORE BOND FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------- ----------------------------
Shares Amount Shares+ Amount+
RETAIL CLASS ------ -------- ------- ---------
Issued from the sale of shares 10,486 $109,604 21,698 $ 226,483
Issued in connection with
the reinvestment of distributions 110 1,119 46 483
Issued in Admin Class Conversion -- -- 11 120
Redeemed (3,327) (33,869) (20,427) (213,206)
------------- --------------- ------------ --------------
Net change 7,269 $ 76,854 1,328 $ 13,880
------------- --------------- ------------ --------------
Shares+ Amount+
ADMIN CLASS ------- ---------
Issued from the sale of shares -- $ --
Issued in connection with
the reinvestment of distributions 36 373
Redeemed (1,036) (11,077)
Redeemed in Admin Class Conversion (11) (120)
------------ --------------
Net change (1,011) $ (10,824)
------------ --------------
+On May 21, 2003, the outstanding Admin Class Shares were automatically
converted into Retail Class Shares.
BOND FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 54,569,059 $ 728,321,745 73,324,254 $ 865,368,126
Issued in connection with the
reinvestment of distributions 3,914,512 51,997,889 8,047,516 95,729,467
Redeemed (20,032,606) (266,403,536) (58,178,892) (694,716,068)
----------- --------------- ------------ --------------
Net change 38,450,965 $ 513,916,098 23,192,878 $ 266,381,525
----------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 8,361,597 $ 111,172,399 10,698,127 $ 126,724,696
Issued in connection with the
reinvestment of distributions 345,781 4,592,546 501,537 6,020,082
Redeemed (2,961,815) (38,964,107) (5,810,220) (68,583,285)
----------- --------------- ------------ --------------
Net change 5,745,563 $ 76,800,838 5,389,444 $ 64,161,493
----------- --------------- ------------ --------------
Shares Amount Shares Amount
ADMIN CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 770,580 $ 10,271,066 734,063 $ 8,650,325
Issued in connection with the
reinvestment of distributions 23,430 310,765 28,653 343,812
Redeemed (282,431) (3,757,039) (426,792) (5,017,512)
----------- --------------- ------------ --------------
Net change 511,579 $ 6,824,792 335,924 $ 3,976,625
----------- --------------- ------------ --------------
CORE PLUS FIXED INCOME FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 84,807 $ 782,070 258,591 $ 2,442,079
Issued in connection with
the reinvestment of distributions 16,666 151,786 100,556 943,040
Redeemed (261,721) (2,403,625) (3,501,201) (33,068,027)
----------- --------------- ------------ --------------
Net change (160,248) $ (1,469,769) (3,142,054) $ (29,682,908)
----------- --------------- ------------ --------------
87
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED, MARCH 31, 2004 (UNAUDITED)
FIXED INCOME FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 939,879 $ 12,916,801 51,677 $ 669,700
Issued in connection with
the reinvestment of distributions 2,195,946 28,854,728 2,687,854 29,163,210
Redeemed (3,017,701) (40,358,217) (5,584,613) (64,191,297)
------------- --------------- ------------ --------------
Net change 118,124 $ 1,413,312 (2,845,082) $(34,358,387)
------------- --------------- ------------ --------------
GLOBAL BOND FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 7,190,416 $109,445,002 6,826,866 $ 96,070,233
Issued in connection with
the reinvestment of distributions 221,015 3,315,228 167,510 2,149,151
Redeemed (602,138) (9,200,256) (4,945,203) (69,473,498)
------------- --------------- ------------ --------------
Net change 6,809,293 $103,559,974 2,049,173 $ 28,745,886
------------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 16,706,670 $253,888,139 5,094,560 $ 71,990,932
Issued in connection with
the reinvestment of distributions 253,905 3,783,183 42,406 541,523
Issued in Admin Class Conversion
Redeemed (1,368,583) (20,737,704) (2,353,971) (33,250,761)
------------- --------------- ------------ --------------
Net change 15,591,992 $236,933,618 2,782,995 $ 39,281,694
------------- --------------- ------------ --------------
INSTITUTIONAL HIGH INCOME FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,965,638 $ 14,266,815 3,390,595 $ 21,662,281
Issued in connection with
the reinvestment of distributions 818,610 5,763,013 366,537 1,902,330
Redeemed (2,297,311) (16,681,031) (3,165,620) (19,663,301)
------------- --------------- ------------ --------------
Net change 486,937 $ 3,348,797 591,512 $ 3,901,310
------------- --------------- ------------ --------------
88
INTERMEDIATE DURATION FIXED INCOME FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ ---------- ------------
Issued from the sale of shares 213,719 $ 2,152,154 431,215 $ 4,298,793
Issued in connection with
the reinvestment of distributions 56,595 569,722 150,813 1,478,480
Redeemed (575,741) (5,800,399) (1,141,662) (11,297,816)
------------- --------------- ------------ --------------
Net change (305,427) $ (3,078,523) (559,634) $ (5,520,543)
------------- --------------- ------------ --------------
INVESTMENT GRADE FIXED INCOME FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ ---------- ------------
Issued from the sale of shares 1,704,853 $ 23,248,200 366,484 $ 4,309,417
Issued in connection with
the reinvestment of distributions 722,225 9,664,174 661,621 8,042,325
Redeemed (770,531) (10,387,085) (2,162,360) (25,794,738)
------------- --------------- ------------ --------------
Net change 1,656,547 $ 22,525,289 (1,134,255) $(13,442,996)
------------- --------------- ------------ --------------
U.S. GOVERNMENT SECURITIES FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ ---------- ------------
Issued from the sale of shares 54,999 $ 614,979 773,246 $ 8,923,630
Issued in connection with
the reinvestment of distributions 34,197 380,846 62,260 715,212
Redeemed (178,098) (2,004,913) (1,142,525) (13,150,551)
------------- --------------- ------------ --------------
Net change (88,902) $ (1,009,088) (307,019) $ (3,511,709)
------------- --------------- ------------ --------------
89
[LOGO] LS LOOMIS SAYLES FUNDS
Loomis Sayles Aggressive Growth Fund
Loomis Sayles Mid Cap Growth Fund
Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Small Company Growth Fund
Loomis Sayles Tax-Managed Equity Fund
Loomis Sayles Value Fund
Loomis Sayles Worldwide Fund
TABLE OF CONTENTS
Fund and Manager Review 1
Portfolio of Investments 10
Statements of Assets and Liabilities 42
Statements of Operations 44
Statements of Changes in Net Assets 46
Financial Highlights 50
Notes to Financial Statements 56
SEMI-ANNUAL REPORT
MARCH 31, 2004 (Unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
PORTFOLIO REVIEW | The Fund under-performed its benchmark, the Russell Midcap
Growth Index, for the six-month period ended March 31, 2004. The Fund tended to
outperform on days when the market rose but lagged during the corrections. This
was due to the Fund's high beta and the Fund's concentrated holdings and
overweight in technology. Reducing this large "downside capture" remains our
single-highest priority.
For the period, the Fund's consumer discretionary, technology, and healthcare
sectors made the greatest contributions to absolute performance, but they
underperformed their respective sectors in the index. Unfortunately, the Fund
did not hold several stocks that were both significantly represented in the
benchmark and strong performers, particularly in the healthcare and consumer
discretionary sectors. The Fund owned some stocks that were on the smaller side
of the mid-cap range (especially in the technology sector), and these stocks
underperformed during market corrections.
We continue to look for companies expected to show superior growth in earnings
and revenues, either because of new products or their inherent operating
leverage. We believe monetary and fiscal policy may remain supportive of
economic expansion. As a result, we've been focusing on companies leveraged to
a cyclical rebound, including technology and energy companies, and businesses
that should benefit from continued strength in consumer spending. Recently, we
have been reducing our exposure to some of the most cyclically-leveraged
industries, such as semiconductors and semi capital equipment, because it
appears these stocks now may be discounting peak earnings. We have also been
adding more names in healthcare, particularly in the biotechnology industry,
where we are finding companies with exciting news from clinical trials and
imminent product launches.
OUTLOOK | We believe the cyclical bull market remains intact and expect
positive returns from the market during 2004. We believe 2005 could be a more
challenging year for the market, as its likely the Fed will begin to raise
rates back to more normal levels, and the impact of tax cuts and other stimuli
will likely abate.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalent
STRATEGY | Invests primarily in common stocks or other equity securities
(which may include securities offered in the secondary markets or in IPOs) of
companies with market capitalizations that fall within the capitalization
range of the Russell Midcap Growth Index, although the Fund may invest in
companies of any size
FUND INCEPTION DATE | 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS: | Institutional: 1/2/97; Retail: 1/2/97
EXPENSE RATIO | Institutional: 1.00%; Retail: 1.25%
TOTAL NET ASSETS | $52.1 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
- -----------------------------------------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH FUND:
INSTITUTIONAL 12.49% 48.51% 0.77% 8.49%
RETAIL 12.33 48.09 0.48 8.18
LIPPER MID-CAP GROWTH FUNDS INDEX(a) 15.32 43.03 2.22 5.29
RUSSELL MIDCAP GROWTH INDEX(a) 17.58 49.63 2.29 7.35
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(b)(c)
[CHART]
Loomis Sayles Lipper Mid Russell
Aggressive Cap Growth Midcap
Growth Fund Funds Index Growth Index
-------------- ------------ ------------
12/31/1996 $ 250,000 $ 250,000 $ 250,000
01/31/1997 265,500 256,397 261,061
02/28/1997 257,250 239,354 255,313
03/31/1997 240,750 221,150 240,886
04/30/1997 243,500 219,235 246,786
05/31/1997 265,500 247,788 268,901
06/30/1997 268,000 258,228 276,343
07/31/1997 295,250 273,998 302,793
08/31/1997 288,500 273,237 299,837
09/30/1997 314,250 292,801 315,012
10/31/1997 307,250 276,403 299,240
11/30/1997 297,750 271,981 302,386
12/31/1997 306,624 278,351 306,356
01/31/1998 290,613 273,087 300,840
02/28/1998 313,830 296,284 329,124
03/31/1998 324,504 311,625 342,920
04/30/1998 333,044 312,981 347,577
05/31/1998 318,100 294,737 333,279
06/30/1998 334,378 308,295 342,709
07/31/1998 317,299 287,776 328,029
08/31/1998 252,985 225,733 265,422
09/30/1998 280,472 249,272 285,500
10/31/1998 299,419 258,441 306,521
11/30/1998 301,821 278,080 327,197
12/31/1998 342,010 313,952 361,083
01/31/1999 345,328 329,536 371,908
02/28/1999 338,416 303,940 353,720
03/31/1999 434,080 325,607 373,420
04/30/1999 456,198 338,963 390,435
05/31/1999 473,064 337,552 385,412
06/30/1999 534,996 364,759 412,319
07/31/1999 530,849 359,767 399,191
08/31/1999 561,815 357,945 395,042
09/30/1999 555,179 368,394 391,679
10/31/1999 695,080 400,964 421,963
11/30/1999 815,737 451,259 465,661
12/31/1999 1,018,446 545,390 546,293
01/31/2000 1,046,993 536,026 546,182
02/29/2000 1,423,576 670,359 661,006
03/31/2000 1,292,954 623,177 661,685
04/30/2000 1,170,694 540,968 597,454
05/31/2000 1,052,760 492,337 553,903
06/30/2000 1,201,836 568,843 612,677
07/31/2000 1,173,289 545,247 573,879
08/31/2000 1,388,686 616,555 660,427
09/30/2000 1,377,440 586,921 628,140
10/31/2000 1,166,946 539,463 585,150
11/30/2000 873,581 426,655 457,993
12/31/2000 961,466 457,408 482,109
01/31/2001 882,076 463,620 509,649
02/28/2001 688,729 394,076 421,494
03/31/2001 590,004 352,264 361,172
04/30/2001 686,092 398,709 421,375
05/31/2001 654,160 401,997 419,393
06/30/2001 634,240 400,428 419,614
07/31/2001 570,962 379,366 391,316
08/31/2001 498,603 353,948 362,953
09/30/2001 397,242 302,898 302,968
10/31/2001 435,912 319,762 334,814
11/30/2001 481,026 346,026 370,860
12/31/2001 486,885 361,034 384,958
01/31/2002 470,187 347,226 372,458
02/28/2002 422,729 329,962 351,343
03/31/2002 457,883 350,761 378,158
04/30/2002 433,861 339,101 358,137
05/31/2002 405,738 327,786 347,451
06/30/2002 367,068 298,335 309,107
07/31/2002 330,449 266,160 279,076
08/31/2002 325,176 262,987 278,104
09/30/2002 313,458 246,647 256,009
10/31/2002 326,055 259,085 275,839
11/30/2002 350,663 274,472 297,429
12/31/2002 309,064 258,247 279,459
01/31/2003 305,255 254,417 276,716
02/28/2003 302,619 250,489 274,309
03/31/2003 303,791 254,073 279,417
04/30/2003 326,641 271,896 298,442
05/31/2003 362,967 294,377 327,158
06/30/2003 363,260 298,986 331,824
07/31/2003 382,594 310,778 343,682
08/31/2003 417,456 326,063 362,609
09/30/2003 401,050 315,122 355,578
10/31/2003 440,306 339,841 384,234
11/30/2003 443,528 347,922 394,516
12/31/2003 432,982 349,706 398,822
01/31/2004 450,266 358,542 411,991
02/29/2004 441,185 363,487 418,902
03/31/2004 451,145 363,400 418,102
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gain distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) See page 9 for a description of the indexes. (b) Cumulative performance is
shown for the Institutional Class of shares. Performance of the Retail Class of
shares would be lower due to higher fees. (c) The mountain chart is based on
the initial investment minimum of $250,000 for the Institutional Class. * Not
annualized.
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Growth funds involve
increased risks because, in part, the value of the Fund's underlying securities
is based on future expectations that may or may not be met.
1
FUND AND MANAGER REVIEW
LOOMIS SAYLES MID CAP GROWTH FUND
PORTFOLIO REVIEW | The Fund underperformed its benchmark, the Russell Midcap
Growth Index, for the six-month period ended March 31, 2004. The Fund tended to
outperform on days when the market rose but lagged during the corrections. This
was due to the Fund's high beta and the Fund's concentrated holdings and
overweight in technology, relative to the benchmark. Reducing this large
"downside capture" remains our single-highest priority.
For the period, the Fund's consumer discretionary, technology, and healthcare
sectors made the greatest contributions to absolute performance, but they
under-performed their respective sectors in the index. Unfortunately, the Fund
did not hold several stocks that were both significantly represented in the
benchmark and strong performers, particularly in the healthcare and consumer
discretionary sectors. The Fund owned some stocks that were on the smaller side
of the mid-cap range (especially in the technology sector), and these stocks
underperformed during market corrections.
We continue to look for companies expected to show superior growth in earnings
and revenues, either because of new products or their inherent operating
leverage. We believe monetary and fiscal policy may remain supportive of
economic expansion. As a result, we've been focusing on companies leveraged to
a cyclical rebound, including technology and energy companies, and businesses
that should benefit from continued strength in consumer spending. Recently, we
have been reducing our exposure to some of the most cyclically-leveraged
industries and groups, such as semi-conductors and semi capital equipment,
because it appears these stocks now may be discounting peak earnings. We have
also been adding more names in healthcare, particularly in the biotechnology
industry, where we are finding companies with exciting news from clinical
trials and imminent product launches.
OUTLOOK | We believe the cyclical bull market remains intact and expect
positive returns from the market during 2004. We believe 2005 could be a more
challenging year for the market, as the Fed begins to raise rates back to more
normal levels, and the impact of tax cuts and other stimuli begins to abate.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalents
STRATEGY | Invests primarily in common stocks or other equity securities
(which may include securities offered in secondary markets on IPOs) of
companies with market capitalization that fall within the capitalization range
of the Russell Midcap Growth Index
FUND INCEPTION DATE | 2/28/01
EXPENSE RATIO | 0.90%
TOTAL NET ASSETS | $8.6 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
DESCRIPTION 6 MONTHS* 1 YEAR INCEPTION
---------------------------------------------------------------
LOOMIS SAYLES MID CAP GROWTH FUND 12.46% 48.81% -11.50%
LIPPER MID-CAP GROWTH FUNDS INDEX(a) 15.32 43.03 -2.59
RUSSELL MIDCAP GROWTH INDEX(a) 17.58 49.63 -0.26
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(b)
[CHART]
Lipper
Mid-Cap Russell
Loomis Sayles Growth Midcap
Mid Cap Growth Funds Growth
Fund Index Index
---------- ---------- -----------
02/28/2001 $2,500,000 $2,500,000 $2,500,000
03/31/2001 2,212,500 2,234,746 2,142,213
04/30/2001 2,572,500 2,529,397 2,499,294
05/31/2001 2,460,000 2,550,254 2,487,536
06/30/2001 2,385,000 2,540,300 2,488,846
07/31/2001 2,145,000 2,406,684 2,321,004
08/31/2001 1,882,500 2,245,433 2,152,774
09/30/2001 1,497,500 1,921,570 1,796,985
10/31/2001 1,645,000 2,028,555 1,985,876
11/30/2001 1,820,000 2,195,173 2,199,676
12/31/2001 1,842,500 2,290,384 2,283,291
01/31/2002 1,777,500 2,202,790 2,209,151
02/28/2002 1,595,000 2,093,265 2,083,914
03/31/2002 1,727,500 2,225,216 2,242,963
04/30/2002 1,640,000 2,151,243 2,124,210
05/31/2002 1,535,000 2,079,464 2,060,829
06/30/2002 1,385,000 1,892,628 1,833,400
07/31/2002 1,250,000 1,688,512 1,655,275
08/31/2002 1,230,000 1,668,377 1,649,513
09/30/2002 1,185,000 1,564,722 1,518,462
10/31/2002 1,232,500 1,643,623 1,636,078
11/30/2002 1,327,500 1,741,242 1,764,136
12/31/2002 1,170,000 1,638,309 1,657,550
01/31/2003 1,155,000 1,614,009 1,641,277
02/28/2003 1,145,000 1,589,093 1,627,005
03/31/2003 1,152,500 1,611,832 1,657,302
04/30/2003 1,240,000 1,724,897 1,770,143
05/31/2003 1,377,500 1,867,519 1,940,467
06/30/2003 1,377,500 1,896,753 1,968,141
07/31/2003 1,452,500 1,971,566 2,038,472
08/31/2003 1,590,000 2,068,530 2,150,734
09/30/2003 1,525,000 1,999,120 2,109,033
10/31/2003 1,675,000 2,155,940 2,279,001
11/30/2003 1,685,000 2,207,202 2,339,985
12/31/2003 1,647,500 2,218,524 2,365,525
01/31/2004 1,707,500 2,274,577 2,443,631
02/29/2004 1,677,500 2,305,948 2,484,625
03/31/2004 1,715,000 2,305,398 2,479,877
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) See page 9 for a description of the indexes. (b) The mountain chart is
based on the Fund's minimum initial investment of $2,500,000. * Not annualized.
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Growth funds involve
increased risks because, in part, the value of the Fund's underlying securities
is based on future expectations that may or may not be met.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL CAP GROWTH FUND
PORTFOLIO REVIEW | Although all but one of the sectors the Fund invested in
generated positive returns for the six-month period ended March 31, 2004, the
Fund underperformed its benchmark, the Russell 2000 Growth Index. Only the
Fund's consumer discretionary sector contributed to positive relative
performance compared to the index. Underperformance in the Fund's technology,
financial services and healthcare sectors accounted for the bulk of the Fund's
performance shortfall relative to the benchmark.
In terms of absolute performance, the Fund realized the best results from
stocks in the consumer discretionary, healthcare and technology sectors. Strong
results from names such as Ask Jeeves and Netflix powered gains in the consumer
discretionary sector. The healthcare sector also had big movers for the period,
including Impax Laboratories and Esperion Therapeutics. The technology sector
had big contributors, such as F5 Networks, but it also had negative performers,
as investors took profits after realizing large gains in early 2003 and in
January, 2004.
The Fund's auto and transportation group generated negative performance due to
poor results from AirTran Holdings, which suffered from higher fuel prices and
a generally weak revenue environment. Some of the Fund's semiconductor
holdings, such as Sigmatel and Varian Semi, also generated negative
performance. We trimmed or eliminated many of our holdings in the semiconductor
industry because we believe peak earnings growth for this industry already may
have occurred.
OUTLOOK | The Fund remains positioned for an expanding economy, with
over-weights in the consumer discretionary and technology areas. We also have
started to increase our exposure to healthcare companies, particularly in the
biotechnology industry. The Fund remains underweighted in the financial
services sector, because we have not found many names in this area that meet
our long-term growth criteria.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests primarily in equity securities of companies with market
capitalizations that fall within the capitalization range of the Russell 2000
Index, an index that tracks stocks of the 2,000 smallest companies
FUND INCEPTION DATE | 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 1/2/97; Retail: 1/2/97
EXPENSE RATIO | Institutional: 1.00%; Retail: 1.25%
TOTAL NET ASSETS | $39.3 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
-------------------------------------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH FUND:
INSTITUTIONAL 10.13% 55.34% -6.31% 0.84%
RETAIL 9.94 55.09 -6.56 0.59
LIPPER SMALL-CAP GROWTH FUNDS INDEX(a) 16.13 55.74 7.62 6.40
RUSSELL 2000 GROWTH INDEX(a) 18.97 63.16 2.31 3.24
RUSSELL 2000 INDEX(a) 21.69 63.83 9.66 8.35
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004 (b)(c)
[CHART]
Loomis Sayles Lipper Small-
Small Cap Cap Growth Russell 2000 Russell 2000
Growth Fund Funds Index Growth Index Index
------------- ------------- ------------ ------------
12/31/1996 $ 250,000 $ 250,000 $ 250,000 $ 250,000
01/31/1997 256,500 255,797 256,245 254,996
02/28/1997 237,500 237,326 240,769 248,813
03/31/1997 212,750 220,207 223,779 237,073
04/30/1997 208,750 216,928 221,191 237,734
05/31/1997 242,750 247,023 254,436 264,182
06/30/1997 257,000 260,237 263,063 275,503
07/31/1997 277,750 275,899 276,542 288,323
08/31/1997 282,500 280,282 284,841 294,920
09/30/1997 313,750 303,870 307,571 316,506
10/31/1997 291,750 288,334 289,097 302,603
11/30/1997 288,500 281,817 282,204 300,645
12/31/1997 298,565 278,064 282,363 305,908
01/31/1998 288,806 273,937 278,596 301,080
02/28/1998 320,192 296,085 303,193 323,343
03/31/1998 334,699 309,478 315,911 336,678
04/30/1998 330,215 311,729 317,848 338,541
05/31/1998 302,521 289,667 294,756 320,308
06/30/1998 332,061 298,156 297,767 320,982
07/31/1998 299,356 275,720 272,902 294,997
08/31/1998 231,836 215,500 209,905 237,715
09/30/1998 259,266 227,024 231,187 256,318
10/31/1998 269,553 235,975 243,245 266,771
11/30/1998 303,313 255,166 262,115 280,748
12/31/1998 354,480 280,746 285,834 298,121
01/31/1999 364,766 287,535 298,691 302,083
02/28/1999 341,820 259,868 271,368 277,616
03/31/1999 367,931 271,613 281,033 281,950
04/30/1999 371,360 282,219 305,852 307,215
05/31/1999 364,503 283,757 306,336 311,702
06/30/1999 419,099 310,316 322,473 325,797
07/31/1999 406,703 309,220 312,501 316,858
08/31/1999 418,571 304,885 300,814 305,131
09/30/1999 441,518 315,937 306,616 305,198
10/31/1999 498,224 334,359 314,470 306,434
11/30/1999 550,974 376,545 347,721 324,731
12/31/1999 679,948 452,471 409,007 361,491
01/31/2000 667,551 447,759 405,201 355,685
02/29/2000 908,883 578,948 499,476 414,422
03/31/2000 788,613 533,505 446,973 387,099
04/30/2000 725,313 467,554 401,845 363,805
05/31/2000 627,198 429,327 366,657 342,602
06/30/2000 701,575 504,937 414,022 372,467
07/31/2000 629,571 472,086 378,540 360,483
08/31/2000 735,071 522,857 418,358 387,989
09/30/2000 711,598 496,964 397,574 376,585
10/31/2000 641,968 459,679 365,301 359,775
11/30/2000 476,307 381,396 298,975 322,843
12/31/2000 556,512 415,131 317,270 350,570
01/31/2001 531,328 427,780 342,949 368,822
02/28/2001 413,620 373,014 295,939 344,622
03/31/2001 352,303 336,786 269,033 327,764
04/30/2001 416,905 373,146 301,970 353,405
05/31/2001 405,408 383,257 308,964 362,092
06/30/2001 415,263 392,921 317,390 374,595
07/31/2001 356,683 371,018 290,313 354,318
08/31/2001 316,443 349,053 272,183 342,874
09/30/2001 247,884 294,576 228,265 296,719
10/31/2001 276,518 316,162 250,225 314,083
11/30/2001 297,573 340,661 271,112 338,398
12/31/2001 309,364 361,298 287,991 359,285
01/31/2002 294,485 350,373 277,746 355,548
02/28/2002 257,709 329,170 259,769 345,804
03/31/2002 273,711 356,082 282,348 373,597
04/30/2002 263,605 346,687 276,239 377,002
05/31/2002 250,972 332,779 260,087 360,270
06/30/2002 229,356 308,052 238,032 342,394
07/31/2002 196,791 264,364 201,449 290,682
08/31/2002 194,545 263,980 201,355 289,942
09/30/2002 178,263 247,970 186,811 269,120
10/31/2002 189,773 258,551 196,260 277,749
11/30/2002 200,721 280,207 215,716 302,536
12/31/2002 180,790 261,487 200,840 285,691
01/31/2003 174,894 254,582 195,384 277,784
02/28/2003 172,648 246,649 190,173 269,391
03/31/2003 170,964 251,735 193,052 272,859
04/30/2003 188,931 272,540 211,323 298,731
05/31/2003 209,985 300,331 235,137 330,789
06/30/2003 214,196 310,509 239,668 336,775
07/31/2003 229,075 328,666 257,786 357,847
08/31/2003 247,322 346,094 271,633 374,254
09/30/2003 241,146 337,594 264,757 367,346
10/31/2003 261,078 368,222 287,629 398,194
11/30/2003 269,781 378,027 297,006 412,325
12/31/2003 259,113 378,566 298,334 420,691
01/31/2004 277,641 396,277 314,007 438,968
02/29/2004 266,693 394,788 313,521 442,903
03/31/2004 265,570 392,059 314,986 447,031
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) See page 9 for a description of the indexes. (b) Cumulative performance is
shown for the Institutional Class of shares. Performance of the Retail Class of
shares would be lower due to higher fees. (c) The mountain chart is based on
the initial investment minimum of $250,000 for the Institutional Class. * Not
annualized.
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Growth funds involve
increased risks because, in part, the value of the Fund's underlying securities
is based on future expectations that may or may not be met.
3
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL CAP VALUE FUND
PORTFOLIO REVIEW | The Fund lagged its benchmark, the Russell 2000 Index, for
the six-month period ended March 31, 2004. In late 2003 and early 2004, the
best-performing small-cap stocks were higher risk in nature. These stocks
included the smallest market caps, companies with weaker balance sheets, and
companies generating losses from operations. Our long-standing investment
discipline, which emphasizes undervalued, under-followed or misunderstood small
companies, typically favors positive earnings and cash flows, superior earnings
visibility and better balance sheets. Although this discipline did not match
the market's preference early in the period, a significant rotation back to
higher-quality stocks occurred in February and March, resulting in improving
relative performance for the Fund.
All the Fund's sectors advanced during the period. The Fund's strongest
performing sectors included energy, auto and transportation, and healthcare.
Energy stocks benefited from continued price increases for oil and natural gas.
The auto and transportation sector was strong due to appreciation from
economically-sensitive end markets such as recreational vehicles, railroads and
trucking. Healthcare's strength was driven by individual stocks, such as Andrx
and Perrigo, and medical technology company Serologicals.
Due to their defensive characteristics and limited economic sensitivity, the
Fund's utilities and consumer staples holdings, though up for the period, could
not keep up with the market. Technology also lagged, as investors took profits
following an extraordinary run in previous quarters.
OUTLOOK | We maintain a positive short-term outlook, with our enthusiasm
tempered somewhat by the strong first-quarter returns for small-cap stocks. We
expect near-term economic news to be positive and earnings expectations to move
higher. We are cautious on the second half of 2004. In our view, continued
economic growth and early signs of inflation may be followed by a period of
rising interest rates, which ultimately may affect growth and valuations. In
addition, we are concerned that current stock valuations are based on
substantial gains in corporate profits and may be vulnerable to disappointments
as the year progresses.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests primarily in equity securities of companies with market
capitalizations that fall within the capitalization range of the Russell 2000
Index
FUND INCEPTION DATE | 5/13/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/13/91; Retail: 1/2/97;
Admin; 1/2/98
EXPENSE RATIO | Institutional: 0.90%; Retail: 1.15%; Admin: 1.40%
TOTAL NET ASSETS | $579.9 million
[PHOTO] [PHOTO]
Joseph Gatz Daniel Thelen
JOSEPH GATZ DANIEL THELEN
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
- -----------------------------------------------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE FUND:
INSTITUTIONAL 20.95% 49.19% 14.47% 13.73% 15.37%
RETAIL(a) 20.76 48.76 14.19 13.51 15.20
ADMIN(a) 20.68 48.43 13.90 13.12 14.82
LIPPER SMALL-CAP CORE FUNDS
INDEX(b)(c) 21.86 57.64 12.67 11.95 N/A
RUSSELL 2000 VALUE INDEX(c) 24.42 64.49 16.14 13.61 15.12
RUSSELL 2000 INDEX(c) 21.69 63.83 9.66 10.44 11.70
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(d)(e)
[CHART]
Loomis Sayles Lipper
Small Cap Small-Cap Core Russell 2000 Russell 2000
Value Fund Funds Index Value Index Index
---------- -------------- ------------ ------------
05/13/1991 $250,000 $250,000 $250,000 $250,000
05/31/1991 255,500 250,000 261,728 261,916
06/30/1991 246,500 250,000 249,473 246,653
07/31/1991 266,000 250,000 255,952 255,308
08/31/1991 286,250 250,000 263,720 264,758
09/30/1991 286,500 250,000 264,026 266,831
10/31/1991 292,250 250,000 267,028 273,889
11/30/1991 285,000 250,000 256,192 261,221
12/31/1991 326,192 250,000 272,804 282,138
01/31/1992 359,360 265,945 295,624 304,999
02/29/1992 379,469 273,568 309,725 313,896
03/31/1992 359,099 264,312 306,355 303,271
04/30/1992 340,817 255,365 302,112 292,646
05/31/1992 341,340 254,825 310,327 296,538
06/30/1992 311,567 245,833 300,278 282,514
07/31/1992 320,185 252,555 311,590 292,344
08/31/1992 309,739 248,421 305,517 284,095
09/30/1992 313,134 249,627 311,285 290,647
10/31/1992 323,058 258,944 318,551 299,885
11/30/1992 353,875 277,051 338,259 322,832
12/31/1992 368,973 287,564 352,287 334,079
01/31/1993 385,875 296,024 370,979 345,386
02/28/1993 376,994 289,261 372,463 337,409
03/31/1993 392,750 297,159 386,591 348,358
04/30/1993 382,724 287,452 377,301 338,796
05/31/1993 399,053 298,214 389,167 353,787
06/30/1993 401,058 300,514 392,856 355,994
07/31/1993 410,798 303,304 399,600 360,909
08/31/1993 432,856 312,400 415,222 376,501
09/30/1993 452,622 317,447 425,169 387,126
10/31/1993 464,941 324,170 434,894 397,090
11/30/1993 447,179 316,166 423,565 384,020
12/31/1993 460,032 325,338 436,038 397,150
01/31/1994 469,799 333,938 451,601 409,602
02/28/1994 462,637 333,304 450,293 408,121
03/31/1994 435,940 320,340 430,084 386,573
04/30/1994 431,056 319,794 434,322 388,871
05/31/1994 424,545 320,604 433,699 384,504
06/30/1994 414,452 310,196 422,386 371,448
07/31/1994 416,731 314,670 430,189 377,550
08/31/1994 436,266 329,162 447,122 398,589
09/30/1994 435,940 329,749 442,378 397,254
10/31/1994 433,010 331,467 434,283 395,686
11/30/1994 415,755 323,070 416,763 379,706
12/31/1994 421,818 325,868 429,306 389,907
01/31/1995 423,131 329,229 427,200 384,988
02/28/1995 439,544 342,338 443,008 401,003
03/31/1995 450,049 349,588 445,199 407,909
04/30/1995 451,362 355,463 458,439 416,979
05/31/1995 460,553 359,779 468,257 424,149
06/30/1995 473,027 374,109 484,258 446,152
07/31/1995 504,540 394,788 501,926 471,851
08/31/1995 528,832 407,916 516,837 481,612
09/30/1995 538,680 414,898 524,553 490,213
10/31/1995 510,777 400,223 503,602 468,290
11/30/1995 535,397 412,187 523,618 487,965
12/31/1995 557,183 426,052 539,838 500,839
01/31/1996 558,274 429,170 543,420 500,301
02/29/1996 586,279 444,379 551,937 515,895
03/31/1996 599,735 455,506 563,523 526,396
04/30/1996 635,378 486,931 578,898 554,543
05/31/1996 661,564 508,903 593,556 576,396
06/30/1996 645,925 485,793 586,548 552,727
07/31/1996 609,555 446,334 555,366 504,450
08/31/1996 640,106 469,085 579,461 533,738
09/30/1996 661,712 488,809 595,280 554,597
10/31/1996 671,415 479,658 602,183 546,049
11/30/1996 703,512 496,987 634,587 568,549
12/31/1996 726,762 505,760 655,187 583,449
01/31/1997 739,717 517,036 665,260 595,109
02/28/1997 730,105 503,508 671,575 580,680
03/31/1997 714,224 478,111 653,562 553,280
04/30/1997 707,538 478,242 663,172 554,822
05/31/1997 784,435 529,245 715,970 616,546
06/30/1997 821,212 559,170 752,202 642,968
07/31/1997 868,247 592,820 783,774 672,887
08/31/1997 886,414 607,321 796,217 688,283
09/30/1997 939,228 652,898 849,164 738,661
10/31/1997 909,652 626,902 826,076 706,213
11/30/1997 906,272 618,871 835,128 701,645
12/31/1997 915,645 618,206 863,435 713,926
01/31/1998 895,483 609,161 847,814 702,659
02/28/1998 958,919 654,637 899,067 754,616
03/31/1998 1,001,702 685,496 935,534 785,738
04/30/1998 997,276 692,091 940,158 790,086
05/31/1998 954,493 656,163 906,874 747,534
06/30/1998 942,200 653,811 901,752 749,107
07/31/1998 881,222 606,640 831,121 688,464
08/31/1998 730,254 489,398 700,960 554,778
09/30/1998 767,135 509,982 740,546 598,194
10/31/1998 807,459 530,915 762,535 622,590
11/30/1998 853,192 560,518 783,175 655,209
12/31/1998 905,760 595,725 807,733 695,755
01/31/1999 863,318 591,259 789,399 705,001
02/28/1999 802,402 542,960 735,503 647,899
03/31/1999 802,901 545,426 729,435 658,014
04/30/1999 868,312 582,266 796,024 716,977
05/31/1999 885,788 594,314 820,492 727,450
06/30/1999 926,732 628,657 850,200 760,345
07/31/1999 915,247 625,223 830,023 739,482
08/31/1999 884,789 602,297 799,682 712,114
09/30/1999 865,316 601,830 783,694 712,270
10/31/1999 856,827 607,069 768,013 715,155
11/30/1999 874,618 646,203 771,994 757,856
12/31/1999 909,124 715,909 795,713 843,645
01/31/2000 875,377 702,150 774,905 830,097
02/29/2000 937,246 801,151 822,268 967,176
03/31/2000 990,423 789,758 826,123 903,410
04/30/2000 992,469 745,843 831,013 849,047
05/31/2000 950,029 714,136 818,331 799,563
06/30/2000 981,220 777,128 842,243 869,262
07/31/2000 997,582 752,970 870,306 841,295
08/31/2000 1,059,963 820,051 909,215 905,486
09/30/2000 1,044,112 798,977 904,060 878,874
10/31/2000 1,063,542 774,942 900,851 839,641
11/30/2000 1,029,383 697,771 882,512 753,451
12/31/2000 1,119,971 765,544 977,337 818,159
01/31/2001 1,151,051 792,794 1,004,314 860,755
02/28/2001 1,121,607 742,434 1,002,928 804,277
03/31/2001 1,081,258 707,334 986,842 764,935
04/30/2001 1,140,691 763,688 1,032,519 824,776
05/31/2001 1,173,952 791,519 1,059,070 845,048
06/30/2001 1,219,754 815,994 1,101,681 874,227
07/31/2001 1,226,843 797,090 1,076,976 826,906
08/31/2001 1,212,666 774,784 1,073,245 800,198
09/30/2001 1,084,529 673,267 954,769 692,481
10/31/2001 1,122,698 713,264 979,707 733,006
11/30/2001 1,191,110 766,270 1,050,104 789,753
12/31/2001 1,275,273 820,091 1,114,398 838,499
01/31/2002 1,273,439 810,375 1,129,190 829,778
02/28/2002 1,284,443 788,738 1,136,065 807,036
03/31/2002 1,359,027 849,341 1,221,145 871,899
04/30/2002 1,362,695 853,515 1,264,131 879,845
05/31/2002 1,337,630 821,702 1,222,322 840,796
06/30/2002 1,293,002 775,677 1,195,260 799,078
07/31/2002 1,124,270 670,247 1,017,670 678,393
08/31/2002 1,142,610 673,799 1,013,148 676,665
09/30/2002 1,056,410 626,103 940,778 628,071
10/31/2002 1,074,139 648,354 954,930 648,208
11/30/2002 1,127,938 696,200 1,031,134 706,057
12/31/2002 1,106,540 662,377 987,077 666,744
01/31/2003 1,077,807 643,007 959,285 648,291
02/28/2003 1,054,576 622,929 927,036 628,702
03/31/2003 1,057,633 628,189 936,937 636,798
04/30/2003 1,144,444 680,497 1,025,932 697,177
05/31/2003 1,215,972 740,279 1,130,685 771,993
06/30/2003 1,241,648 757,321 1,149,843 785,964
07/31/2003 1,289,334 796,158 1,207,184 835,142
08/31/2003 1,338,241 830,662 1,253,039 873,432
09/30/2003 1,304,617 812,622 1,238,666 857,310
10/31/2003 1,412,826 876,479 1,339,669 929,304
11/30/2003 1,453,939 908,054 1,391,094 962,283
12/31/2003 1,488,772 933,305 1,441,403 981,806
01/31/2004 1,522,651 962,874 1,491,241 1,024,461
02/29/2004 1,552,137 979,629 1,520,117 1,033,645
03/31/2004 1,577,934 990,251 1,541,139 1,043,278
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Performance shown for periods prior to the inception date of the Retail
Class (12/31/96) and Admin Class (1/02/98) represents the performance of the
Institutional Class of shares during the periods shown, adjusted to reflect the
current levels of management and 12b-1 fees payable by the respective Classes
of shares. Since index performance data is not available coincident with the
Fund's inception date, the beginning value of the index is the value as of the
month end closest to the Fund's inception date. (b) The Lipper Small-Cap Core
Funds Index performance data is not available prior to January 1, 1992. (c) See
page 9 for a description of the indexes. (d) Cumulative performance is shown
for the Institutional Class of shares. Performance of the Retail and Admin
Classes of shares would be lower due to higher fees and expenses. (e) The
mountain chart is based on the initial investment minimum of $250,000 for the
Institutional Class. * Not annualized.
Value stocks present the risk that they may fall out of favor with investors
and underperform the overall equity market during any given period. Small- and
mid-cap stocks may be more volatile than larger, more established companies.
The secondary market for these stocks may be less liquid, which could adversely
impact the Fund's value. Foreign investments involve special risks including
greater economic, political and currency fluctuation risks, which may be even
greater in emerging markets. Foreign countries may have different accounting
standards than those of the U.S.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
PORTFOLIO REVIEW | The Fund under-performed its benchmark, the Russell 2000
Growth Index, for the six months ended March 31, 2004. The investment approach
that had produced strong gains in the prior six-month period ran into
headwinds, despite solid evidence of rebounding revenue and profit growth
across a number of industries and sectors. In retrospect, many of the stocks in
the Fund had reached valuations that fully discounted near-term results and
thus were vulnerable to profit-taking and swings in investor sentiment.
Consumer discretionary stocks, responding to strong revenue and earnings
growth, offered the greatest positive contribution to performance in the
period. The healthcare, energy and technology sectors contributed to the Fund's
positive return for the period, although their impact was relatively small.
The most significant detractor to the Fund's return was the producer durables
sector. Most holdings in this sector provide capital equipment for the
production of semiconductors and have seen a strong upswing in demand. The
stocks sold off however, as investors grew concerned that this demand could not
be sustained. We eliminated most of the Fund's exposure to the industry. The
auto and transportation area also detracted slightly from the Fund's return,
with the shortfall almost entirely due to the decline of AirTran Holdings, a
leading discount air carrier. Concerns about rising fuel prices and a more
competitive environment caused this stock to fall.
OUTLOOK | We are taking steps that we believe should enhance the Fund's
performance during bouts of market volatility, without changing the Fund's
character. Although we are optimistic for stocks in the coming months, we must
prepare for increased short-term volatility caused by unexpected events at home
and abroad.
We will continue to focus on what we believe to be fundamentally strong
small-cap companies, but we plan to broaden our universe beyond the consumer
discretionary, healthcare and technology sectors. This should offer some
incremental downside protection in times of market stress. We also plan to be
more aggressive sellers, by eliminating holdings that are failing to perform
and by taking profits more aggressively. We will continue to view market
corrections as opportunities to add to existing positions or establish new
positions in stocks with compelling fundamentals at attractive valuations.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalents
STRATEGY | Invests primarily in equity securities of companies with market
capitalizations that fall within the capitalization range of the Russell 2000
Index
FUND INCEPTION DATE | 5/7/99
EXPENSE RATIO | 0.90%
TOTAL NET ASSETS | $23.7 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
FUND NAME 6 MONTHS* 1 YEAR INCEPTION(a)
---------------------------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND 5.08% 52.72% -2.53%
LIPPER SMALL-CAP GROWTH FUNDS INDEX(b) 16.13 55.74 6.91
RUSSELL 2000 GROWTH INDEX(b) 18.97 63.16 0.60
RUSSELL 2000 INDEX(b) 21.69 63.83 7.93
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles
Small Company Lipper Small-Cap Russell 2000 Russell 2000
Growth Fund Growth Funds Index Growth Index Index
------------ ------------------ ------------ ------------
05/07/1999 $3,000,000 $3,000,000 $3,000,000 $3,000,000
05/31/1999 2,934,000 3,016,354 3,004,753 3,043,821
06/30/1999 3,396,000 3,298,675 3,163,029 3,181,461
07/31/1999 3,273,000 3,287,027 3,065,220 3,094,164
08/31/1999 3,315,000 3,240,941 2,950,585 2,979,653
09/30/1999 3,501,000 3,358,429 3,007,498 2,980,303
10/31/1999 3,951,000 3,554,247 3,084,532 2,992,374
11/30/1999 4,338,000 4,002,685 3,410,680 3,171,047
12/31/1999 5,331,000 4,809,787 4,011,818 3,530,009
01/31/2000 5,382,000 4,759,699 3,974,482 3,473,322
02/29/2000 7,368,000 6,154,247 4,899,203 4,046,892
03/31/2000 6,417,000 5,671,181 4,384,218 3,780,078
04/30/2000 5,703,000 4,970,115 3,941,564 3,552,611
05/31/2000 5,004,000 4,563,770 3,596,423 3,345,559
06/30/2000 6,156,000 5,367,502 4,061,012 3,637,195
07/31/2000 5,229,000 5,018,298 3,712,981 3,520,175
08/31/2000 6,141,000 5,557,998 4,103,539 3,788,767
09/30/2000 5,934,000 5,282,750 3,899,678 3,677,414
10/31/2000 5,349,000 4,886,405 3,583,124 3,513,254
11/30/2000 4,002,000 4,054,260 2,932,549 3,152,614
12/31/2000 4,508,999 4,412,859 3,111,995 3,423,368
01/31/2001 4,393,305 4,547,319 3,363,881 3,601,600
02/28/2001 3,495,159 3,965,154 2,902,774 3,365,283
03/31/2001 3,123,722 3,580,050 2,638,858 3,200,667
04/30/2001 3,534,738 3,966,561 2,961,925 3,451,054
05/31/2001 3,434,268 4,074,036 3,030,531 3,535,880
06/30/2001 3,437,312 4,176,764 3,113,175 3,657,972
07/31/2001 3,248,549 3,943,935 2,847,589 3,459,969
08/31/2001 3,004,984 3,710,450 2,669,754 3,348,217
09/30/2001 2,456,963 3,131,357 2,238,977 2,897,505
10/31/2001 2,700,528 3,360,816 2,454,374 3,067,068
11/30/2001 2,895,380 3,621,247 2,659,251 3,304,510
12/31/2001 3,050,653 3,840,612 2,824,813 3,508,476
01/31/2002 2,892,335 3,724,480 2,724,318 3,471,984
02/28/2002 2,603,102 3,499,090 2,547,990 3,376,829
03/31/2002 2,846,667 3,785,168 2,769,458 3,648,232
04/30/2002 2,715,751 3,685,299 2,709,539 3,681,480
05/31/2002 2,526,988 3,537,460 2,551,112 3,518,089
06/30/2002 2,393,027 3,274,603 2,334,782 3,343,530
07/31/2002 1,918,075 2,810,198 1,975,945 2,838,554
08/31/2002 1,921,120 2,806,116 1,975,026 2,831,326
09/30/2002 1,756,713 2,635,933 1,832,366 2,627,997
10/31/2002 1,863,273 2,748,407 1,925,048 2,712,256
11/30/2002 1,988,100 2,978,613 2,115,891 2,954,308
12/31/2002 1,826,738 2,779,617 1,969,971 2,789,815
01/31/2003 1,762,802 2,706,216 1,916,453 2,712,601
02/28/2003 1,723,223 2,621,886 1,865,348 2,630,638
03/31/2003 1,732,357 2,675,954 1,893,587 2,664,512
04/30/2003 1,918,075 2,897,118 2,072,796 2,917,154
05/31/2003 2,134,239 3,192,537 2,306,381 3,230,202
06/30/2003 2,216,442 3,300,728 2,350,829 3,288,658
07/31/2003 2,389,982 3,493,734 2,528,543 3,494,430
08/31/2003 2,563,523 3,678,998 2,664,357 3,654,645
09/30/2003 2,517,854 3,588,638 2,596,912 3,587,186
10/31/2003 2,700,528 3,914,219 2,821,256 3,888,427
11/30/2003 2,776,642 4,018,446 2,913,238 4,026,419
12/31/2003 2,670,082 4,024,170 2,926,262 4,108,107
01/31/2004 2,785,776 4,212,446 3,079,989 4,286,587
02/29/2004 2,688,350 4,196,614 3,075,223 4,325,013
03/31/2004 2,645,726 4,167,609 3,089,598 4,365,321
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month-end closest
to the Fund's inception date. (b) See page 9 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$3,000,000. * Not annualized.
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the U.S. Growth funds involve
increased risks because, in part, the value of the Fund's underlying securities
is based on future expectations that may or may not be met.
5
FUND AND MANAGER REVIEW
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
PORTFOLIO REVIEW | We continued to position the Fund to take advantage of an
economic recovery by adding to positions with more cyclical leverage (energy,
materials, industrials) and focusing on high-quality companies during the
six-month period ended March 31, 2004. This proved to be prudent because
high-quality companies positioned for an improving economy showed strong
performance during the period.
Positive contributions from our sector allocations and specific security
selections helped the Fund outperform its benchmark, the S&P 500 Index, for the
six months. In particular, solid stock selection in the technology (NVIDIA),
financials (New York Community Bank) and healthcare (Caremark Rx) sectors
combined with a technology overweight and a healthcare underweight helped
generate the out-performance.
The Fund's consumer discretionary and telecommunication holdings had a negative
impact on performance during the period. Within the consumer discretionary
sector, Kohl's was a weak performer due to mediocre consumer holiday spending
and concerns about a management transition. In the telecom sector, our lone
holding, Century Tel, Inc., declined in value because of downward earnings
revisions.
OUTLOOK | Low interest rates, productivity enhancements, fiscal stimulus, tax
cuts and improving economic growth should continue to drive strong earnings and
cash flow throughout the next few quarters. Longer-term, we believe stocks
appear attractive versus other asset classes. Looking ahead, high-quality
companies that offer a combination of earnings growth, solid free cash flow and
an attractive yield may offer long-term investors competitive returns.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalents
STRATEGY | Invests primarily in equity securities and may invest in companies
of any size; the Fund uses a tax-managed approach in an effort to minimize the
effect of federal income tax
FUND INCEPTION DATE | 10/1/95
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.65%
TOTAL NET ASSETS | $3.9 million
[PHOTO] [PHOTO]
Robert Ix Mark A. Shank
ROBERT IX MARK A. SHANK
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE SINCE
FUND NAME 6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a)(b) INCEPTION(a)(b)
- ---------------------------------------------------------------------------------------
LOOMIS SAYLES TAX-MANAGED
EQUITY FUND 14.60% 29.67% 4.90% 9.88% 10.94%
RETURN AFTER TAXES
ON DISTRIBUTION 14.07 29.07 1.12 5.75 7.39
RETURN AFTER TAXES
ON DISTRIBUTION AND
SALE OF FUND SHARES 9.84 19.68 2.17 6.39 7.71
LIPPER MULTI-CAP CORE FUNDS
INDEX(c) 14.99 39.21 1.43 6.66 8.94
S&P 500 INDEX(c) 14.08 35.12 -1.20 6.70 9.77
CUMULATIVE PERFORMANCE REGISTRATION TO MARCH 31, 2004(d)
[CHART]
Loomis Sayles Tax- Lipper Multi-Cap
Managed Equity Fund Core Index S&P 500 Index
------------------- ---------------- -------------
03/07/1997 $250,000 $250,000 $250,000
03/31/1997 239,400 240,761 239,728
04/30/1997 249,995 249,093 254,039
05/31/1997 260,386 265,902 269,506
06/30/1997 264,664 275,935 281,581
07/31/1997 285,059 296,903 303,985
08/31/1997 272,223 288,745 286,955
09/30/1997 281,799 304,622 302,671
10/31/1997 272,630 293,161 292,563
11/30/1997 273,853 298,142 306,106
12/31/1997 270,575 302,300 311,363
01/31/1998 274,989 303,991 314,807
02/28/1998 295,293 325,697 337,512
03/31/1998 310,079 340,978 354,796
04/30/1998 316,259 344,674 358,365
05/31/1998 307,210 335,215 352,206
06/30/1998 316,700 344,621 366,512
07/31/1998 319,128 337,592 362,609
08/31/1998 272,561 285,037 310,184
09/30/1998 299,927 298,549 330,055
10/31/1998 312,507 318,921 356,902
11/30/1998 327,514 336,014 378,533
12/31/1998 363,190 358,799 400,346
01/31/1999 375,218 370,701 417,087
02/28/1999 362,604 356,420 404,125
03/31/1999 383,139 367,674 420,293
04/30/1999 394,287 382,673 436,569
05/31/1999 388,420 378,397 426,260
06/30/1999 413,943 396,944 449,917
07/31/1999 411,890 388,203 435,868
08/31/1999 406,902 381,437 433,712
09/30/1999 394,874 371,928 421,822
10/31/1999 400,155 390,806 448,515
11/30/1999 402,795 403,387 457,632
12/31/1999 430,627 433,310 484,585
01/31/2000 417,766 421,067 460,238
02/29/2000 439,940 437,289 451,526
03/31/2000 482,958 465,317 495,699
04/30/2000 482,958 448,043 480,785
05/31/2000 489,611 432,472 470,921
06/30/2000 482,515 450,709 482,531
07/31/2000 473,202 443,666 474,989
08/31/2000 510,455 474,966 504,490
09/30/2000 494,933 453,148 477,856
10/31/2000 494,489 448,028 475,836
11/30/2000 482,071 409,881 438,322
12/31/2000 505,560 418,852 440,467
01/31/2001 484,405 433,310 456,094
02/28/2001 473,013 394,303 414,507
03/31/2001 457,825 370,916 388,248
04/30/2001 474,098 400,964 418,418
05/31/2001 477,895 404,342 421,222
06/30/2001 459,995 397,384 410,970
07/31/2001 455,113 389,394 406,924
08/31/2001 436,669 367,333 381,450
09/30/2001 416,056 329,678 350,647
10/31/2001 423,108 338,629 357,333
11/30/2001 438,297 365,222 384,743
12/31/2001 446,478 373,780 388,114
01/31/2002 442,615 365,514 382,450
02/28/2002 440,959 358,912 375,074
03/31/2002 461,931 373,438 389,180
04/30/2002 454,205 357,565 365,585
05/31/2002 451,997 354,636 362,892
06/30/2002 427,714 326,853 337,043
07/31/2002 399,016 301,075 310,776
08/31/2002 397,360 302,980 312,810
09/30/2002 374,181 275,117 278,814
10/31/2002 387,978 292,537 303,354
11/30/2002 399,568 310,351 321,209
12/31/2002 388,649 292,519 302,338
01/31/2003 376,452 287,579 294,418
02/28/2003 374,234 282,614 290,001
03/31/2003 375,343 283,528 292,816
04/30/2003 399,183 305,579 316,936
05/31/2003 418,588 326,243 333,634
06/30/2003 419,142 331,114 337,890
07/31/2003 426,350 337,512 343,848
08/31/2003 434,666 347,890 350,554
09/30/2003 424,686 343,263 346,831
10/31/2003 443,537 363,706 366,451
11/30/2003 447,418 369,385 369,675
12/31/2003 467,972 384,112 389,063
01/31/2004 479,884 393,136 396,204
02/29/2004 489,527 399,242 401,711
03/31/2004 486,701 394,711 395,651
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(d)
[CHART]
Loomis Sayles Tax- Lipper Multi-Cap
Managed Equity Fund Core Index S&P 500 Index
------------------- ----------------- -------------
10/01/1995 $250,000 $250,000 $250,000
10/31/1995 245,000 246,367 249,106
11/30/1995 251,000 256,957 260,042
12/31/1995 251,056 260,604 265,051
01/31/1996 250,806 267,360 274,072
02/29/1996 255,316 272,840 276,613
03/31/1996 255,316 276,407 279,276
04/30/1996 261,079 283,096 283,393
05/31/1996 265,087 288,628 290,702
06/30/1996 263,334 285,556 291,811
07/31/1996 248,801 271,583 278,918
08/31/1996 257,070 280,648 284,802
09/30/1996 270,600 294,863 300,832
10/31/1996 277,114 298,544 309,129
11/30/1996 297,158 317,833 332,495
12/31/1996 290,230 313,950 325,907
01/31/1997 308,432 328,827 346,268
02/28/1997 305,904 327,853 348,982
03/31/1997 297,056 315,737 334,643
04/30/1997 310,202 326,663 354,621
05/31/1997 323,096 348,707 376,211
06/30/1997 328,405 361,864 393,066
07/31/1997 353,712 389,362 424,342
08/31/1997 337,783 378,663 400,569
09/30/1997 349,666 399,485 422,507
10/31/1997 338,289 384,455 408,396
11/30/1997 339,806 390,987 427,302
12/31/1997 335,738 396,440 434,641
01/31/1998 341,215 398,658 439,448
02/28/1998 366,409 427,122 471,143
03/31/1998 384,757 447,163 495,270
04/30/1998 392,425 452,009 500,252
05/31/1998 381,197 439,604 491,654
06/30/1998 392,973 451,940 511,625
07/31/1998 395,985 442,722 506,177
08/31/1998 338,203 373,801 432,995
09/30/1998 372,160 391,521 460,733
10/31/1998 387,769 418,236 498,210
11/30/1998 406,391 440,653 528,405
12/31/1998 450,659 470,533 558,855
01/31/1999 465,584 486,141 582,224
02/28/1999 449,931 467,414 564,129
03/31/1999 475,413 482,172 586,699
04/30/1999 489,246 501,842 609,419
05/31/1999 481,965 496,235 595,028
06/30/1999 513,635 520,557 628,051
07/31/1999 511,087 509,094 608,440
08/31/1999 504,898 500,221 605,430
09/30/1999 489,974 487,751 588,833
10/31/1999 496,526 512,507 626,095
11/30/1999 499,802 529,006 638,822
12/31/1999 534,337 568,248 676,446
01/31/2000 518,378 552,192 642,460
02/29/2000 545,893 573,466 630,298
03/31/2000 599,271 610,222 691,960
04/30/2000 599,271 587,569 671,142
05/31/2000 607,526 567,148 657,372
06/30/2000 598,721 591,065 673,578
07/31/2000 587,165 581,829 663,050
08/31/2000 633,390 622,876 704,232
09/30/2000 614,129 594,263 667,053
10/31/2000 613,579 587,549 664,233
11/30/2000 598,171 537,523 611,866
12/31/2000 627,316 549,287 614,860
01/31/2001 601,066 568,248 636,675
02/28/2001 586,931 517,094 578,622
03/31/2001 568,085 486,423 541,966
04/30/2001 588,277 525,828 584,082
05/31/2001 592,989 530,259 587,995
06/30/2001 570,777 521,134 573,684
07/31/2001 564,719 510,656 568,037
08/31/2001 541,834 481,724 532,477
09/30/2001 516,257 432,343 489,478
10/31/2001 525,007 444,082 498,812
11/30/2001 543,854 478,956 537,074
12/31/2001 554,006 490,179 541,779
01/31/2002 549,212 479,339 533,873
02/28/2002 547,158 470,681 523,577
03/31/2002 573,180 489,731 543,268
04/30/2002 563,593 468,915 510,331
05/31/2002 560,854 465,074 506,571
06/30/2002 530,722 428,638 470,488
07/31/2002 495,113 394,834 433,821
08/31/2002 493,058 397,332 436,660
09/30/2002 464,296 360,792 389,204
10/31/2002 481,417 383,636 423,460
11/30/2002 495,797 406,998 448,385
12/31/2002 482,249 383,612 422,043
01/31/2003 467,114 377,135 410,987
02/28/2003 464,363 370,624 404,820
03/31/2003 465,739 371,822 408,751
04/30/2003 495,320 400,739 442,420
05/31/2003 519,398 427,839 465,730
06/30/2003 520,086 434,227 471,671
07/31/2003 529,029 442,617 479,987
08/31/2003 539,349 456,227 489,348
09/30/2003 526,966 450,159 484,151
10/31/2003 550,356 476,968 511,540
11/30/2003 555,171 484,415 516,041
12/31/2003 580,676 503,729 543,104
01/31/2004 595,456 515,564 553,073
02/29/2004 607,422 523,571 560,760
03/31/2004 603,903 517,628 552,300
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Performance data reflects certain fee waivers and reimbursements. Without such
waivers, performance and rankings would be lower.
(a) Shares of the Fund were registered for offer under the Securities Act of
1933 on March 7, 1997. In accordance with regulations, performance information
is provided for the period beginning on March 7, 1997 ("Registration").
Performance from inception is also provided for the convenience of our
shareholders. (b) Index performance is not available coincident with the Fund's
inception and registration dates, comparative performance is presented from the
month end closest to the Fund's inception and registration dates. (c) See page
9 for a description of the indexes and disclosure related to after tax
returns. (d) The mountain chart is based on the Fund's minimum initial
investment of $250,000. * Not annualized.
Growth funds involve increased risks because, in part, the value of the Fund's
underlying securities is based on future expectations that may or may not be
met.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES VALUE FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the S&P 500 Index, for
the six-month period ended March 31, 2004. Our stock selections within the
consumer discretionary and industrials sectors were the major contributors to
out-performance. In addition, performance among stocks in these sectors
benefited from a strong economic environment.
J.C. Penney, Tyco and Simon Property Group were the leading performers. J.C.
Penney benefited from a rebound in sales and the potential sale of its Eckerd
Drug Store division. Tyco serves cyclical markets, which are showing signs of a
rebound. Simon Property is a REIT (real estate investment trust), which has
been sought after by investors for its high dividend yield and dividend growth
prospects.
The Fund's financial and healthcare sectors had the greatest negative relative
impact on performance for the period. Unfavorable stock selections within the
financials sector led to poor relative performance for that segment. We
maintained an underweight in the healthcare sector and healthcare lagged the
overall market. The Fund's poorest-performing individual holdings--McKesson,
Universal Health Services and Abbott Labs--are all healthcare stocks. McKesson
has been involved in aggressive bidding for new business, which has raised
profit concerns among investors. Universal Health Services has been hit with
increased costs due to patient payment issues. Abbott Labs moderately reduced
its earning guidance, which caused the stock price to fall. Although the
healthcare sector is struggling at present, we believe the long-term outlook
remains bright.
OUTLOOK | We continue to favor higher-quality stocks. Given the broad rally
during the past 12 months, it has become more difficult to find attractive
values in the market. We believe the stock market, as measured by the S&P 500
Index, is near the mid-point of its potential return range for 2004, leading us
to believe that returns may be positive but they may moderate from current
levels.
KEY FUND FACTS
OBJECTIVE | Long-term growth of capital and income
STRATEGY | Invests primarily in equity securities, including common stocks,
convertible securities, and warrants; the Fund invests primarily in medium-
and large-sized companies
FUND INCEPTION DATE | 5/13/91
EXPENSE RATIO | 0.85%
TOTAL NET ASSETS | $41.0 million
[PHOTO] [PHOTO]
Warren Koontz James Carroll
WARREN KOONTZ JAMES CARROLL
[PHOTO]
Jeffrey Wardlow
JEFFREY WARDLOW
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
-----------------------------------------------------------------------
LOOMIS SAYLES VALUE FUND 16.83% 39.54% 1.58% 9.83% 10.07%
LIPPER LARGE-CAP
VALUE FUNDS INDEX(b) 16.11 37.82 1.22 10.70 10.75
S&P 500 INDEX(b) 14.08 35.12 -1.20 11.68 11.14
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper Large-Cap
Value Fund Value Funds Index S&P 500 Index
------------- ----------------- -------------
05/13/1991 $ 250,000 $ 250,000 $ 250,000
05/31/1991 263,750 260,446 260,785
06/30/1991 248,750 247,339 248,838
07/31/1991 257,000 258,858 260,436
08/31/1991 263,250 265,201 262,978
09/30/1991 256,250 263,184 262,144
10/31/1991 257,250 268,159 265,669
11/30/1991 240,500 256,911 254,964
12/31/1991 267,887 284,716 284,123
01/31/1992 276,529 282,621 278,829
02/29/1992 282,375 287,719 282,440
03/31/1992 275,766 281,277 276,947
04/30/1992 282,120 286,450 285,078
05/31/1992 282,629 288,668 286,476
06/30/1992 276,529 282,325 282,214
07/31/1992 287,712 293,299 293,743
08/31/1992 279,325 287,289 287,731
09/30/1992 281,358 290,677 291,112
10/31/1992 283,900 292,636 292,118
11/30/1992 299,658 304,674 302,065
12/31/1992 305,652 309,352 305,772
01/31/1993 312,545 312,900 308,328
02/28/1993 315,461 315,955 312,530
03/31/1993 321,293 325,136 319,125
04/30/1993 312,810 319,076 311,411
05/31/1993 319,702 327,700 319,741
06/30/1993 319,437 329,180 320,678
07/31/1993 317,051 328,208 319,388
08/31/1993 329,776 341,482 331,507
09/30/1993 327,920 342,711 328,964
10/31/1993 335,078 348,613 335,769
11/30/1993 330,306 343,067 332,569
12/31/1993 341,961 350,389 336,590
01/31/1994 355,103 361,813 348,033
02/28/1994 351,544 353,113 338,586
03/31/1994 337,033 338,450 323,825
04/30/1994 343,878 342,660 327,978
05/31/1994 347,711 347,605 333,360
06/30/1994 337,033 339,230 325,189
07/31/1994 348,806 349,126 335,867
08/31/1994 364,138 363,280 349,637
09/30/1994 351,544 353,816 341,087
10/31/1994 350,996 359,615 348,750
11/30/1994 334,569 347,102 336,049
12/31/1994 338,950 351,034 341,034
01/31/1995 346,131 357,357 349,878
02/28/1995 365,089 370,646 363,513
03/31/1995 374,855 379,335 374,240
04/30/1995 388,930 390,363 385,260
05/31/1995 405,591 404,834 400,658
06/30/1995 408,463 413,616 409,964
07/31/1995 424,262 426,690 423,560
08/31/1995 426,560 429,282 424,625
09/30/1995 440,060 444,703 442,545
10/31/1995 429,145 441,145 440,963
11/30/1995 448,678 460,256 460,320
12/31/1995 458,348 467,728 469,187
01/31/1996 471,875 482,113 485,156
02/29/1996 475,965 487,530 489,655
03/31/1996 480,998 492,803 494,368
04/30/1996 480,998 499,503 501,656
05/31/1996 490,121 508,756 514,594
06/30/1996 491,065 509,051 516,557
07/31/1996 473,133 489,082 493,735
08/31/1996 484,458 501,793 504,150
09/30/1996 508,601 526,381 532,526
10/31/1996 522,477 537,498 547,214
11/30/1996 558,944 576,000 588,576
12/31/1996 555,351 566,255 576,914
01/31/1997 584,543 594,832 612,957
02/28/1997 588,458 599,601 617,761
03/31/1997 568,523 576,688 592,378
04/30/1997 588,458 602,345 627,742
05/31/1997 624,058 637,054 665,961
06/30/1997 654,673 663,641 695,797
07/31/1997 711,826 713,656 751,160
08/31/1997 689,343 683,123 709,079
09/30/1997 724,517 718,085 747,913
10/31/1997 697,684 696,421 722,934
11/30/1997 718,353 719,260 756,401
12/31/1997 717,570 727,491 769,391
01/31/1998 719,197 728,533 777,901
02/28/1998 766,791 776,460 834,007
03/31/1998 789,978 810,968 876,716
04/30/1998 796,486 819,212 885,536
05/31/1998 782,656 805,276 870,316
06/30/1998 781,435 820,337 905,667
07/31/1998 746,452 806,111 896,023
08/31/1998 641,501 696,099 766,478
09/30/1998 685,434 729,554 815,580
10/31/1998 743,604 787,979 881,920
11/30/1998 769,232 828,198 935,371
12/31/1998 793,193 860,189 989,272
01/31/1999 791,361 874,489 1,030,640
02/28/1999 768,005 854,461 998,609
03/31/1999 795,941 880,403 1,038,562
04/30/1999 853,186 932,283 1,078,780
05/31/1999 848,149 916,368 1,053,306
06/30/1999 869,673 956,763 1,111,763
07/31/1999 837,615 929,600 1,077,048
08/31/1999 802,352 912,659 1,071,719
09/30/1999 757,472 878,903 1,042,339
10/31/1999 785,866 921,229 1,108,299
11/30/1999 780,930 924,442 1,130,829
12/31/1999 782,659 952,911 1,197,430
01/31/2000 748,924 912,630 1,137,268
02/29/2000 688,719 874,249 1,115,741
03/31/2000 758,266 954,304 1,224,892
04/30/2000 755,152 943,680 1,188,040
05/31/2000 768,127 944,384 1,163,665
06/30/2000 749,962 933,958 1,192,353
07/31/2000 746,848 929,738 1,173,717
08/31/2000 797,191 983,551 1,246,616
09/30/2000 784,735 968,022 1,180,803
10/31/2000 814,319 975,755 1,175,811
11/30/2000 796,672 933,933 1,083,111
12/31/2000 840,165 971,538 1,088,412
01/31/2001 851,185 979,621 1,127,028
02/28/2001 828,095 932,405 1,024,263
03/31/2001 797,134 896,167 959,376
04/30/2001 835,442 946,942 1,033,930
05/31/2001 849,086 962,182 1,040,857
06/30/2001 834,393 936,035 1,015,524
07/31/2001 827,571 929,657 1,005,527
08/31/2001 796,609 886,115 942,579
09/30/2001 729,438 816,964 866,463
10/31/2001 734,685 822,288 882,986
11/30/2001 775,371 875,034 950,716
12/31/2001 792,655 888,223 959,045
01/31/2002 785,626 871,835 945,049
02/28/2002 781,841 867,010 926,824
03/31/2002 808,335 905,288 961,681
04/30/2002 788,330 866,699 903,376
05/31/2002 793,737 867,866 896,721
06/30/2002 735,882 807,346 832,848
07/31/2002 674,243 737,605 767,941
08/31/2002 682,354 742,570 772,965
09/30/2002 603,953 656,741 688,960
10/31/2002 647,209 704,932 749,600
11/30/2002 687,220 749,126 793,721
12/31/2002 660,364 713,451 747,091
01/31/2003 645,108 696,464 727,520
02/28/2003 620,045 679,041 716,604
03/31/2003 616,776 678,604 723,562
04/30/2003 666,903 735,895 783,162
05/31/2003 715,940 781,191 824,425
06/30/2003 728,471 790,129 834,942
07/31/2003 732,285 801,134 849,663
08/31/2003 746,996 814,674 866,233
09/30/2003 736,644 805,523 857,034
10/31/2003 773,149 849,965 905,517
11/30/2003 788,405 860,420 913,484
12/31/2003 833,639 913,198 961,391
01/31/2004 844,666 927,032 979,037
02/29/2004 863,412 946,582 992,645
03/31/2004 860,655 935,257 977,670
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 9 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$250,000. * Not annualized.
Value stocks present the risk that they may fall out of favor with investors
and underperform the overall equity market during any given period. Foreign
investments involve special risks including greater economic, political and
currency fluctuation risks, which may be even greater in emerging markets.
Foreign countries may have different accounting standards than those of the U.S.
7
FUND AND MANAGER REVIEW
LOOMIS SAYLES WORLDWIDE FUND
PORTFOLIO REVIEW | The Fund under-performed its benchmark, the S&P 500 Index,
during the six-month period ended March 31, 2004, primarily due to
underperformance in the Fund's bond portfolio. The Fund's stock portfolio
outperformed, but not enough to offset the bond portfolio's underperformance.
Our bond market strategy became more cautious as the period advanced and we
sought to reduce risk on several fronts. We reduced the bond portfolio's
duration, reflecting our expectation for higher interest rates. We also
increased the portfolio's overall quality rating by scaling back corporate bond
exposure. We worked toward moving the portfolio's currency composition closer
to that of the benchmark. We increased exposure to the yen, the Singapore
dollar and the sterling. Nevertheless, the portfolio was under-weighted in the
yen, which was a negative influence on relative performance, because of its
strong performance. The bond portfolio also was under-weighted in the U.S.
dollar, and it was over-weighted in the outperforming Australian dollar, U.K.
sterling, euro, Norwegian krone and Danish krone.
Out-performance in the international stock portfolio was due to investments in
quality growth companies that exhibited increasing revenues and earnings,
including those in the financials, materials, energy and consumer staples
sectors. On the other hand, investments in the consumer discretionary,
industrials and information technology sectors detracted from performance. In
addition, an underweight in Japan and exposure to export-related Japanese
companies hurt performance. The weakening U.S. dollar relative to the yen made
exports to the U.S. more expensive, and export-related businesses suffered.
Nevertheless, as economic and company-related news has improved, we have slowly
increased exposure to Japan.
OUTLOOK | From a stock perspective, earnings are growing the fastest in the
U.S., Asia and the emerging markets. All indications point to economic growth
taking hold in the U.S. On the bond front, we believe several non-dollar
markets may generate relative out-performance, including Canada, where
policymakers recently reduced interest rates; Australia, New Zealand and the
United Kingdom, where the monetary policy authorities have been tightening for
some time; and euro nations, where there is little evidence that inflation may
be bottoming.
KEY FUND FACTS
OBJECTIVE | High total investment return through a combination of capital
appreciation and current income
STRATEGY | Invests primarily in equity and fixed income securities of U.S. and
foreign issuers including securities of issuers located in emerging securities
markets
FUND INCEPTION DATE | 5/1/96
EXPENSE RATIO| 1.00%
TOTAL NET ASSETS | $16.8 million
[PHOTO] [PHOTO]
Robert Ix Eswar Menon
ROBERT IX ESWAR MENON
[PHOTO] [PHOTO]
Daniel Fuss Alexander Muromcew
DANIEL FUSS ALEXANDER MUROMCEW
[PHOTO] [PHOTO]
David Rolley John Tribolet
DAVID ROLLEY JOHN TRIBOLET
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED MARCH 31, 2004
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION(a)
---------------------------------------------------------------------------
LOOMIS SAYLES WORLDWIDE FUND 14.02% 33.17% 13.73% 10.93%
LIPPER GLOBAL FLEXIBLE FUNDS INDEX(b) 13.57 33.87 4.72 6.98
S&P 500 INDEX(b) 14.08 35.12 -1.20 8.79
CUMULATIVE PERFORMANCE INCEPTION TO MARCH 31, 2004(c)
[CHART]
Loomis Sayles Lipper Global
Worldwide Fund Flexible Funds Index S&P 500 Index
-------------- -------------------- -------------
05/01/1996 $250,000 $250,000 $250,000
05/31/1996 252,250 251,586 256,447
06/30/1996 253,000 252,629 257,426
07/31/1996 244,500 246,466 246,053
08/31/1996 250,500 250,102 251,243
09/30/1996 258,500 257,121 265,384
10/31/1996 263,500 260,291 272,704
11/30/1996 276,250 271,371 293,316
12/31/1996 273,097 271,756 287,504
01/31/1997 273,097 276,787 305,466
02/28/1997 273,611 278,385 307,860
03/31/1997 273,097 273,834 295,211
04/30/1997 275,666 276,512 312,835
05/31/1997 283,631 288,138 331,881
06/30/1997 286,971 296,211 346,750
07/31/1997 302,330 308,392 374,340
08/31/1997 295,076 299,543 353,369
09/30/1997 306,742 312,306 372,722
10/31/1997 289,110 301,232 360,274
11/30/1997 289,370 302,170 376,952
12/31/1997 282,692 304,762 383,426
01/31/1998 291,293 305,506 387,666
02/28/1998 309,069 319,280 415,627
03/31/1998 311,936 329,994 436,911
04/30/1998 307,922 332,904 441,306
05/31/1998 294,733 330,053 433,721
06/30/1998 282,405 329,795 451,338
07/31/1998 282,405 326,570 446,532
08/31/1998 252,301 290,436 381,974
09/30/1998 252,014 295,085 406,443
10/31/1998 270,077 310,493 439,504
11/30/1998 286,132 324,396 466,142
12/31/1998 291,114 332,163 493,003
01/31/1999 295,187 336,107 513,619
02/28/1999 289,547 327,933 497,656
03/31/1999 298,634 338,611 517,566
04/30/1999 311,169 356,802 537,609
05/31/1999 312,736 351,118 524,914
06/30/1999 319,943 364,134 554,046
07/31/1999 325,897 363,883 536,746
08/31/1999 324,644 362,603 534,090
09/30/1999 322,137 360,621 519,449
10/31/1999 334,671 367,933 552,320
11/30/1999 387,079 380,851 563,548
12/31/1999 467,272 406,460 596,738
01/31/2000 451,347 398,155 566,757
02/29/2000 515,728 420,307 556,028
03/31/2000 507,934 418,265 610,424
04/30/2000 484,893 404,266 592,059
05/31/2000 472,694 397,916 579,912
06/30/2000 487,942 412,180 594,208
07/31/2000 472,016 407,090 584,921
08/31/2000 485,231 420,974 621,250
09/30/2000 472,016 408,554 588,452
10/31/2000 449,652 400,636 585,964
11/30/2000 426,926 385,157 539,767
12/31/2000 446,497 400,748 542,409
01/31/2001 450,281 405,929 561,653
02/28/2001 438,929 385,458 510,441
03/31/2001 418,591 366,444 478,104
04/30/2001 425,686 385,129 515,258
05/31/2001 432,308 382,183 518,710
06/30/2001 428,997 376,598 506,085
07/31/2001 424,267 371,266 501,103
08/31/2001 421,902 362,098 469,733
09/30/2001 402,510 338,224 431,801
10/31/2001 410,550 346,217 440,035
11/30/2001 417,172 358,725 473,789
12/31/2001 418,713 359,167 477,939
01/31/2002 412,510 356,843 470,965
02/28/2002 413,543 353,916 461,882
03/31/2002 421,297 363,747 479,253
04/30/2002 423,365 358,846 450,197
05/31/2002 430,602 363,067 446,880
06/30/2002 420,780 349,394 415,049
07/31/2002 401,137 328,712 382,703
08/31/2002 405,790 330,347 385,207
09/30/2002 389,248 310,026 343,343
10/31/2002 399,069 323,079 373,562
11/30/2002 415,611 336,044 395,550
12/31/2002 417,580 327,497 372,312
01/31/2003 421,323 322,306 362,559
02/28/2003 425,600 318,934 357,119
03/31/2003 426,670 318,595 360,586
04/30/2003 448,057 337,122 390,288
05/31/2003 471,582 355,162 410,851
06/30/2003 475,325 359,456 416,092
07/31/2003 469,443 362,263 423,429
08/31/2003 479,068 369,911 431,687
09/30/2003 498,316 375,567 427,102
10/31/2003 517,030 389,936 451,263
11/30/2003 521,842 396,191 455,234
12/31/2003 547,702 409,462 479,108
01/31/2004 556,008 418,719 487,902
02/29/2004 562,654 424,606 494,684
03/31/2004 568,192 426,515 487,221
Past performance is no guarantee of future performance. Average annual total
returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of shares. Performance data reflects
certain fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closet
to the Fund's inception date. (b) See page 9 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $250,000. * Not annualized.
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
Foreign countries may have different accounting standards than those of the U.S.
8
DISCLOSURE
INDEX DEFINITIONS
Indexes are unmanaged and do not have expenses that affect results, unlike
mutual funds. Index returns are adjusted for the reinvestment of capital gain
distributions and income dividends. It is not possible to invest directly in an
index.
Lipper Mid-Cap Growth Funds Index is an equally weighted index of typically the
30 largest mutual funds within the mid-cap growth funds investment objective.
Lipper Multi-Cap Core Funds Index is an equally weighted index of typically the
30 largest mutual funds within the multi-cap core funds investment objective.
Lipper Small-Cap Core Funds Index is an equally weighted index of typically the
30 largest mutual funds within the small-cap core funds investment objective.
Lipper Small-Cap Growth Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the small-cap growth funds investment
objective.
Lipper Large-Cap Value Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the large-cap value funds investment
objective.
Lipper Global Flexible Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the global flexible portfolio funds
investment objective.
Source: Lipper, Inc.
Russell Midcap Growth Index is an index which measures the performance of those
Russell Midcap companies with higher price-to-book ratios and higher forecasted
growth values. The stocks are also members of the Russell 1000 Growth Index.
Russell 2000 Growth Index is an index comprised of those Russell 2000 companies
with higher price-to-book ratios and higher forecasted growth values.
Russell 2000 Index is an index comprised of the 2,000 smallest companies in the
Russell 3000 Index (a broad market index), representing approximately 8% of the
Russell 3000 total market capitalization.
Russell 2000 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and
industry group representation. It is a market-value weighted index (stock price
times number of shares outstanding), with each stock's weight in the index
proportionate to its market value.
AFTER TAX RETURNS
After-tax returns are calculated using the historical highest individual
federal marginal income tax rates and do not reflect the impact of state and
local taxes. Actual after-tax returns depend on an investor's tax situation and
may differ from those shown. After-tax returns shown are not relevant to
investors who hold their shares through tax-deferred arrangements, such as
401(k) plans, qualified plans, education savings accounts or individual
retirement accounts. Under certain circumstances, the addition of the tax
benefits from capital losses resulting from redemptions may cause the Return
After Taxes on Distributions and Sale of Fund Shares to be greater than the
Return After Taxes on Distribution or even the Return Before Taxes.
PROXY VOTING INFORMATION
A description of the Funds' proxy voting policies and procedures is available
(i) without charge, upon request, by calling Loomis Sayles at 800-633-3330;
(ii) on the Funds' website, www.loomissayles.com, and (iii) on the Securities
and Exchange Commission's website at www.sec.gov.
9
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
SHARES VALUE +
- -------------------------------------------------------------------
COMMON STOCKS - 99.7% OF NET ASSETS
BIOTECHNOLOGY - 11.1%
Amylin Pharmaceuticals, Inc.* 21,375 $ 506,374
Celgene Corp.* 10,600 505,090
Gen-Probe, Inc.* 27,175 907,917
ImClone Systems, Inc.* 17,125 870,977
Invitrogen Corp.* 13,950 1,000,075
Millennium Pharmaceuticals, Inc.* 32,600 550,940
OSI Pharmaceuticals, Inc.* 13,425 515,520
QLT, Inc.* 15,325 391,401
Telik, Inc.* 20,500 550,220
-----------
5,798,514
-----------
CAPITAL MARKETS - 2.5%
Ameritrade Holding Corp.* 83,875 1,291,675
-----------
COMMERCIAL SERVICES & SUPPLIES - 4.2%
Apollo Group, Inc.-University of Phoenix Online* 12,791 1,113,073
Monster Worldwide, Inc.* 40,325 1,056,515
-----------
2,169,588
-----------
COMMUNICATIONS EQUIPMENT - 6.0%
Juniper Networks, Inc.* 60,575 1,575,556
Polycom, Inc.* 47,150 1,000,994
Research In Motion Ltd.* 5,825 543,531
-----------
3,120,081
-----------
COMPUTERS & PERIPHERALS - 2.1%
Network Appliance, Inc.* 50,900 1,091,805
-----------
ENERGY EQUIPMENT & SERVICES - 4.0%
Patterson-UTI Energy, Inc.* 36,100 1,278,301
Smith International, Inc.* 15,075 806,663
-----------
2,084,964
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 5.3%
Kinetic Concepts, Inc.* 11,575 519,139
St. Jude Medical, Inc.* 13,925 1,003,993
Zimmer Holdings, Inc.* 16,725 1,233,970
-----------
2,757,102
-----------
HEALTHCARE PROVIDERS & SERVICES - 3.6%
Caremark Rx, Inc.* 37,400 1,243,550
eResearch Technology, Inc.* 22,700 636,735
-----------
1,880,285
-----------
HOTELS RESTAURANTS & LEISURE - 4.3%
International Game Technology 25,225 1,134,116
Station Casinos, Inc. 25,225 1,114,188
-----------
2,248,304
-----------
INSURANCE - 2.0%
Everest Re Group Ltd. 12,375 1,057,320
-----------
INTERNET & CATALOG RETAIL - 2.6%
Amazon.com, Inc.* 17,975 777,958
Netflix, Inc.* 16,325 557,009
-----------
1,334,967
-----------
10
SHARES VALUE +
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
INTERNET SOFTWARE & SERVICES - 5.3%
Akamai Technologies, Inc.* 55,025 $ 723,029
Ask Jeeves, Inc.* 36,825 1,315,757
SINA Corp.* 19,275 729,173
-----------
2,767,959
-----------
IT SERVICES - 2.3%
Cognizant Technology Solutions Corp.* 27,150 1,228,538
-----------
MEDIA - 4.4%
Getty Images, Inc.* 20,125 1,086,348
XM Satellite Radio Holdings, Inc., Class A* 42,400 1,187,200
-----------
2,273,548
-----------
METALS & MINING - 1.6%
Freeport-McMoRan Copper & Gold, Inc., Class B 21,300 832,617
-----------
OIL & GAS - 2.1%
XTO Energy, Inc. 43,000 1,085,320
-----------
PHARMACEUTICALS - 5.8%
Eon Labs, Inc.* 15,725 1,054,833
Medicis Pharmaceutical Corp., Class A 28,850 1,154,000
MGI Pharma, Inc.* 13,375 819,352
-----------
3,028,185
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 7.7%
Broadcom Corp., Class A* 36,225 1,418,933
Cypress Semiconductor Corp.* 38,050 778,884
Silicon Laboratories, Inc.* 14,475 765,438
Xilinx, Inc.* 27,200 1,033,600
-----------
3,996,855
-----------
SOFTWARE - 14.4%
Activision, Inc.* 73,463 1,162,177
Autodesk, Inc. 39,425 1,246,618
Cognos, Inc.* 24,800 770,288
Electronic Arts, Inc.* 20,375 1,099,435
Red Hat, Inc.* 68,100 1,556,766
Symantec Corp.* 36,200 1,676,060
-----------
7,511,344
-----------
SPECIALTY RETAIL - 3.1%
Advance Auto Parts, Inc.* 19,475 792,048
Hot Topic, Inc.* 30,400 804,080
-----------
1,596,128
-----------
TEXTILES APPAREL & LUXURY GOODS - 1.9%
Coach, Inc.* 23,675 970,438
-----------
THRIFTS & MORTGAGE FINANCE - 1.9%
New York Community Bancorp, Inc. 29,275 1,003,547
-----------
WIRELESS TELECOMMUNICATION SERVICES - 1.5%
Nextel Partners, Inc., Class A* 60,625 767,513
-----------
TOTAL COMMON STOCKS
(Identified Cost $43,549,806) 51,896,597
-----------
11
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND - CONTINUED
VALUE +
- -------------------------------------------------------------
TOTAL INVESTMENTS - 99.7%
(Identified Cost $43,549,806)@ $51,896,597
Cash and Other Assets, Less Liabilities--0.3% 176,082
-----------
NET ASSETS - 100% $52,072,679
-----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $43,549,806 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $9,179,677
and $832,886, respectively, resulting in net unrealized appreciation of
$8,346,791.
At September 30, 2003, the fund had a capital loss carryover of approximately
$119,831,301 which expires between September 30, 2009 and September 30, 2011.
This may be available to offset future realized capital gains if any, to the
extent provided by regulations.
See accompanying notes to financial statements.
12
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES MID CAP GROWTH FUND
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - 99.2% OF NET ASSETS
BIOTECHNOLOGY - 11.1%
Amylin Pharmaceuticals, Inc.* 3,525 $ 83,507
Celgene Corp.* 1,750 83,387
Gen-Probe, Inc.* 4,700 157,027
ImClone Systems, Inc.* 2,800 142,408
Invitrogen Corp.* 2,500 179,225
Millennium Pharmaceuticals, Inc.* 4,500 76,050
OSI Pharmaceuticals, Inc.* 2,225 85,440
QLT, Inc.* 2,525 64,489
Telik, Inc.* 3,175 85,217
----------
956,750
----------
CAPITAL MARKETS - 2.4%
Ameritrade Holding Corp.* 13,225 203,665
----------
COMMERCIAL SERVICES & SUPPLIES - 4.6%
Apollo Group, Inc.-University of Phoenix Online* 2,566 223,293
Monster Worldwide, Inc.* 6,650 174,230
----------
397,523
----------
COMMUNICATIONS EQUIPMENT - 5.9%
Juniper Networks, Inc.* 9,925 258,149
Polycom, Inc.* 7,675 162,940
Research In Motion Ltd.* 950 88,645
----------
509,734
----------
COMPUTERS & PERIPHERALS - 2.0%
Network Appliance, Inc.* 8,175 175,354
----------
ENERGY EQUIPMENT & SERVICES - 3.9%
Patterson-UTI Energy, Inc.* 5,700 201,837
Smith International, Inc.* 2,475 132,437
----------
334,274
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 5.7%
Kinetic Concepts, Inc.* 1,825 81,851
St. Jude Medical, Inc.* 2,525 182,053
Zimmer Holdings, Inc.* 3,050 225,029
----------
488,933
----------
HEALTHCARE PROVIDERS & SERVICES - 3.6%
Caremark Rx, Inc.* 6,175 205,319
eResearch Technology, Inc.* 3,650 102,382
----------
307,701
----------
HOTELS RESTAURANTS & LEISURE - 4.3%
International Game Technology 4,150 186,584
Station Casinos, Inc. 4,175 184,410
----------
370,994
----------
INSURANCE - 2.0%
Everest Re Group Ltd. 1,975 168,744
----------
INTERNET & CATALOG RETAIL - 2.4%
Amazon.com, Inc.* 2,750 119,020
Netflix, Inc.* 2,675 91,271
----------
210,291
----------
13
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES MID CAP GROWTH FUND - CONTINUED
SHARES VALUE +
- -----------------------------------------------------------------
COMMON STOCKS - CONTINUED
INTERNET SOFTWARE & SERVICES - 4.8%
Akamai Technologies, Inc.* 9,075 $ 119,245
Ask Jeeves, Inc.* 6,100 217,953
SINA Corp.* 2,100 79,443
----------
416,641
----------
IT SERVICES - 2.3%
Cognizant Technology Solutions Corp.* 4,350 196,838
----------
MEDIA - 4.6%
Getty Images, Inc.* 3,950 213,221
XM Satellite Radio Holdings, Inc., Class A* 6,550 183,400
----------
396,621
----------
METALS & MINING - 1.6%
Freeport-McMoRan Copper & Gold, Inc., Class B 3,425 133,883
----------
OIL & GAS - 2.0%
XTO Energy, Inc. 6,813 171,948
----------
PHARMACEUTICALS - 5.8%
Eon Labs, Inc.* 2,575 172,731
Medicis Pharmaceutical Corp., Class A 4,750 190,000
MGI Pharma, Inc.* 2,200 134,772
----------
497,503
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 7.6%
Broadcom Corp., Class A* 5,925 232,082
Cypress Semiconductor Corp.* 6,275 128,449
Silicon Laboratories, Inc.* 2,375 125,590
Xilinx, Inc.* 4,500 171,000
----------
657,121
----------
SOFTWARE - 14.4%
Activision, Inc.* 12,975 205,264
Autodesk, Inc. 6,475 204,740
Cognos, Inc.* 4,100 127,346
Electronic Arts, Inc.* 3,350 180,766
Red Hat, Inc.* 10,950 250,317
Symantec Corp.* 5,950 275,485
----------
1,243,918
----------
SPECIALTY RETAIL - 3.0%
Advance Auto Parts, Inc.* 3,250 132,177
Hot Topic, Inc.* 4,950 130,928
----------
263,105
----------
TEXTILES APPAREL & LUXURY GOODS - 1.8%
Coach, Inc.* 3,725 152,688
----------
THRIFTS & MORTGAGE FINANCE - 2.0%
New York Community Bancorp, Inc. 5,025 172,257
----------
14
SHARES VALUE +
- -----------------------------------------------------------------
COMMON STOCKS - CONTINUED
WIRELESS TELECOMMUNICATION SERVICES - 1.4%
Nextel Partners, Inc., Class A* 9,575 $ 121,220
----------
TOTAL COMMON STOCKS
(Identified Cost $7,101,205) 8,547,706
----------
TOTAL INVESTMENTS - 99.2%
(Identified Cost $7,101,205)@ 8,547,706
Cash and Other Assets, Less Liabilities--0.8% 71,940
----------
NET ASSETS - 100% $8,619,646
----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $7,101,205 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $1,577,325
and $130,824, respectively, resulting in net unrealized appreciation of
$1,446,501.
At September 30, 2003, the fund had a capital loss carryover of approximately
$6,153,377 which expires between September 30, 2010 and September 30, 2011.
This may be available to offset future realized capital gains if any, to the
extent provided by regulations.
See accompanying notes to financial statements.
15
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND
SHARES VALUE +
- ----------------------------------------------------------------
COMMON STOCKS - 99.8% OF NET ASSETS
BIOTECHNOLOGY - 8.4%
Connetics Corp.* 34,050 $ 754,888
Dendreon Corp.* 29,875 397,337
Onyx Pharmaceuticals, Inc.* 10,750 434,945
OSI Pharmaceuticals, Inc.* 10,825 415,680
QLT, Inc.* 7,500 191,550
Salix Pharmaceuticals Ltd.* 5,475 158,885
Telik, Inc.* 16,950 454,938
Vicuron Phamaceuticals, Inc.* 21,625 491,969
-----------
3,300,192
-----------
CAPITAL MARKETS - 3.7%
Affiliated Managers Group, Inc.* 13,800 753,204
Knight Trading Group, Inc.* 56,400 714,024
-----------
1,467,228
-----------
COMMERCIAL BANKS - 1.4%
UCBH Holdings, Inc. 14,150 566,566
-----------
COMMERCIAL SERVICES & SUPPLIES - 8.5%
Corporate Executive Board Co. 8,425 395,975
CoStar Group, Inc.* 19,700 726,733
Monster Worldwide, Inc.* 20,225 529,895
Navigant Consulting, Inc.* 27,000 546,210
Resources Connection, Inc.* 10,075 444,499
Strayer Education, Inc. 5,975 698,896
-----------
3,342,208
-----------
COMMUNICATIONS EQUIPMENT - 5.6%
AudioCodes Ltd.* 42,525 493,290
F5 Networks, Inc.* 19,550 661,768
Harmonic, Inc.* 40,000 386,000
Tekelec* 38,900 645,351
-----------
2,186,409
-----------
CONSUMER DURABLES & APPAREL - 1.5%
Quiksilver, Inc.* 27,125 592,681
-----------
DIVERSIFIED FINANCIAL SERVICES - 2.7%
eSPEED, Inc., Class A* 32,950 690,632
National Financial Partners Corp. 11,825 381,356
-----------
1,071,988
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.4%
Plexus Corp.* 31,700 563,943
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 5.4%
Epix Medical, Inc.* 25,025 519,269
Kyphon, Inc.* 25,500 609,705
Nektar Therapeutics* 18,725 404,085
Wright Medical Group, Inc.* 18,750 575,625
-----------
2,108,684
-----------
HEALTHCARE PROVIDERS & SERVICES - 3.3%
eResearch Technology, Inc.* 27,775 779,089
United Surgical Partners International, Inc.* 15,200 515,888
-----------
1,294,977
-----------
16
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HOTELS RESTAURANTS & LEISURE - 3.8%
Alliance Gaming Corp.* 18,250 $ 586,373
Multimedia Games, Inc.* 35,925 888,784
-----------
1,475,157
-----------
INTERNET & CATALOG RETAIL - 1.1%
Netflix, Inc.* 12,475 425,647
-----------
INTERNET SOFTWARE & SERVICES - 11.5%
Akamai Technologies, Inc.* 73,625 967,432
Ask Jeeves, Inc.* 27,750 991,507
Autobytel, Inc.* 46,400 612,480
Opsware, Inc.* 50,575 382,347
SkillSoft Plc* 68,025 877,523
SonicWALL, Inc.* 79,250 706,910
-----------
4,538,199
-----------
IT SERVICES - 1.0%
Lionbridge Technologies, Inc.* 41,425 403,065
-----------
MEDIA - 3.2%
Harris Interactive, Inc.* 50,600 426,558
XM Satellite Radio Holdings, Inc., Class A* 29,050 813,400
-----------
1,239,958
-----------
OIL & GAS - 3.2%
Evergreen Resources, Inc.* 19,650 674,978
Unit Corp.* 21,800 597,756
-----------
1,272,734
-----------
PHARMACEUTICALS - 5.7%
AtheroGenics, Inc.* 14,225 325,326
Impax Laboratories, Inc.* 35,875 802,523
Ligand Pharmaceuticals, Inc., Class B* 21,900 440,190
MGI Pharma, Inc.* 10,750 658,545
-----------
2,226,584
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 8.4%
Cypress Semiconductor Corp.* 27,700 567,019
FormFactor, Inc.* 26,750 559,877
Microsemi Corp.* 58,075 794,466
Mindspeed Technologies, Inc.* 77,400 505,422
Sigmatel, Inc.* 20,075 450,684
Tessera Technologies, Inc.* 23,825 435,998
-----------
3,313,466
-----------
SOFTWARE - 10.1%
Activision, Inc.* 60,138 951,375
Altiris, Inc.* 14,000 391,160
InfoSpace, Inc.* 20,975 815,298
Macromedia, Inc.* 29,650 595,076
RSA Security, Inc.* 32,000 601,280
Secure Computing Corp.* 37,225 608,629
-----------
3,962,818
-----------
17
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND - CONTINUED
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
SPECIALTY RETAIL - 9.9%
Aeropostale, Inc.* 17,975 $ 651,774
Finish Line, Inc., Class A* 19,775 731,279
Hot Topic, Inc.* 25,300 669,185
Sylvan Learning Systems, Inc.* 18,075 634,613
The Sports Authority, Inc.* 13,600 545,088
Tractor Supply Co.* 16,800 650,496
-----------
3,882,435
-----------
TOTAL COMMON STOCKS
(Identified Cost $34,855,943) 39,234,939
-----------
TOTAL INVESTMENTS - 99.8%
(Identified Cost $34,855,943)@ 39,234,939
Cash and Other Assets, Less Liabilities--0.2% 71,935
-----------
NET ASSETS - 100% $39,306,874
-----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $34,855,943 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $5,679,903
and $1,300,907, respectively, resulting in net unrealized appreciation of
$4,378,996.
At September 30, 2003, the fund had a capital loss carryover of approximately
$222,154,056 which expires between September 30, 2009 and September 30, 2011.
This may be available to offset realized capital gains if any, to the extent
provided by regulations.
See accompanying notes to financial statements.
18
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND
SHARES VALUE +
- -------------------------------------------------------------
COMMON STOCKS - 96.0% OF NET ASSETS
AEROSPACE & DEFENSE - 1.7%
Moog, Inc., Class A* 93,675 $ 3,196,191
The Allied Defense Group, Inc.* 76,175 1,467,892
United Defense Industries, Inc.* 163,525 5,198,460
------------
9,862,543
------------
AIRLINES - 0.3%
AMR Corp.* 133,900 1,704,547
------------
AUTO COMPONENTS - 1.5%
Cooper Tire & Rubber Co. 236,450 4,764,467
Dana Corp. 187,500 3,723,750
------------
8,488,217
------------
AUTOMOBILES - 0.8%
Monaco Coach Corp. 175,525 4,704,070
------------
BIOTECHNOLOGY - 0.6%
Serologicals Corp.* 157,275 3,208,410
------------
BUILDING PRODUCTS - 1.7%
Elk Corp. 165,825 4,492,199
Lennox International, Inc. 275,000 5,101,250
------------
9,593,449
------------
CHEMICALS - 2.0%
Cytec Industries, Inc. 41,700 1,483,269
Ferro Corp. 79,000 2,065,850
Millennium Chemicals, Inc.* 131,475 1,964,237
Scotts Co., Class A* 45,350 2,909,202
Spartech Corp. 135,125 3,364,612
------------
11,787,170
------------
COMMERCIAL BANKS - 5.5%
CVB Financial Corp. 161,672 3,356,311
East West Bancorp, Inc. 98,125 5,495,000
First Midwest Bancorp, Inc. 158,675 5,417,164
Independent Bank Corp. 145,962 4,066,501
Oriental Financial Group, Inc. 97,475 3,104,579
South Financial Group, Inc. 154,775 4,579,792
Texas Regional Bancshares, Inc., Class A 71,450 3,040,198
Wintrust Financial Corp. 56,425 2,743,948
------------
31,803,493
------------
COMMERCIAL SERVICES & SUPPLIES - 1.6%
Arbitron, Inc.* 65,950 2,655,147
School Specialty, Inc.* 57,800 2,055,946
Waste Connections, Inc.* 118,300 4,708,340
------------
9,419,433
------------
COMMUNICATIONS EQUIPMENT - 2.3%
Andrew Corp.* 358,725 6,277,688
CommScope, Inc.* 159,425 2,654,426
Inter-Tel, Inc. 144,700 4,349,682
------------
13,281,796
------------
19
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
COMPUTERS & PERIPHERALS - 1.9%
Advanced Digital Information Corp.* 291,550 $ 3,317,839
Eletronics for Imaging, Inc.* 193,800 4,761,666
Imation Corp. 76,750 2,887,335
------------
10,966,840
------------
CONSTRUCTION & ENGINEERING - 0.7%
Washington Group International, Inc.* 111,550 4,083,846
------------
CONSTRUCTION MATERIALS - 0.5%
Eagle Materials, Inc. 50,250 2,957,213
------------
CONSUMER DURABLES & APPAREL - 0.3%
Tupperware Corp. 94,375 1,680,819
------------
CONSUMER FINANCE - 0.5%
Nelnet, Inc., Class A* 122,500 3,111,500
------------
DIVERSIFIED FINANCIAL SERVICES - 1.4%
iShares Russell 2000 Value Index Fund 25,000 4,278,750
National Financial Partners Corp. 127,550 4,113,488
------------
8,392,238
------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.5%
Commonwealth Telephone Enterprises, Inc.* 68,575 2,812,261
------------
ELECTRIC UTILITIES - 1.1%
Black Hills Corp. 76,750 2,446,022
Texas Genco Holdings, Inc. 103,625 3,704,594
------------
6,150,616
------------
ELECTRICAL EQUIPMENT - 2.6%
American Power Conversion Corp. 189,875 4,369,024
AMETEK, Inc. 188,200 4,825,448
C&D Technologies, Inc. 127,050 2,123,006
Intermagnetics General Corp.* 136,775 3,624,537
------------
14,942,015
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 5.0%
Aeroflex, Inc.* 113,325 1,525,355
Excel Technology, Inc.* 71,525 2,249,461
Global Imaging System, Inc.* 133,000 4,418,260
Orbotech Ltd.* 96,325 2,316,616
Park Electrochemical Corp. 170,225 4,306,693
ScanSource, Inc.* 52,900 2,536,026
Tech Data Corp.* 83,350 3,412,349
Tektronix, Inc. 85,800 2,806,518
Varian, Inc.* 138,850 5,577,604
------------
29,148,882
------------
ENERGY EQUIPMENT & SERVICES - 2.5%
Cal Dive International, Inc.* 163,500 4,223,205
Grey Wolf, Inc.* 732,825 3,033,896
Hydril Co.* 152,575 3,997,465
Input/Output, Inc.* 413,575 3,205,206
------------
14,459,772
------------
FOOD & STAPLES RETAILING - 0.6%
BJ's Wholesale Club, Inc.* 148,175 3,771,054
------------
20
SHARES VALUE +
- -----------------------------------------------------------
COMMON STOCKS - CONTINUED
FOOD PRODUCTS - 1.3%
J & J Snack Foods Corp.* 32,000 $ 1,445,760
Ralcorp Holdings, Inc.* 202,500 6,162,075
------------
7,607,835
------------
GAS UTILITIES - 1.8%
AGL Resources, Inc. 162,450 4,714,299
New Jersey Resources Corp. 73,050 2,761,290
Southern Union Co.* 148,725 2,818,339
------------
10,293,928
------------
HEALTHCARE EQUIPMENT & SUPPLIES - 3.0%
Analogic Corp. 107,800 4,903,822
Dade Behring Holdings, Inc.* 108,400 4,821,632
Viasys Healthcare, Inc.* 180,450 4,081,779
Zoll Medical Corp.* 88,325 3,531,233
------------
17,338,466
------------
HEALTHCARE PROVIDERS & SERVICES - 0.7%
Andrx Corp.* 151,425 4,118,760
------------
HOTELS RESTAURANTS & LEISURE - 3.2%
CEC Entertainment, Inc.* 46,875 1,626,563
Dover Downs Entertainment, Inc. 171,565 1,837,461
Fairmont Hotels & Resorts, Inc. 197,150 4,958,322
O'Charley's, Inc.* 188,175 3,434,194
Sonic Corp.* 48,850 1,674,578
Sunterra Corp.* 160,050 2,167,077
The Steak n Shake Co.* 154,300 2,970,275
------------
18,668,470
------------
HOUSEHOLD DURABLES - 1.7%
Blyth, Inc. 69,275 2,263,214
Furniture Brands International, Inc. 142,750 4,596,550
Standard Pacific Corp. 46,375 2,782,500
------------
9,642,264
------------
INDUSTRIAL CONGLOMERATES - 1.2%
Allete, Inc. 181,750 6,377,607
Texas Industries, Inc.* 15,525 561,229
------------
6,938,836
------------
INSURANCE - 6.1%
American Financial Group, Inc. 108,450 3,235,064
AmerUs Group Co. 41,000 1,654,350
Delphi Financial Group, Inc. 123,225 5,177,914
Endurance Specialty Holdings Ltd. 146,400 5,203,056
Ohio Casualty Corp.* 182,175 3,641,678
Platinum Underwriters Holdings Ltd. 143,300 4,592,765
ProAssurance Corp.* 94,150 3,295,250
Protective Life Corp. 123,375 4,620,394
RLI Corp. 108,900 4,203,540
------------
35,624,011
------------
21
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE +
- ---------------------------------------------------------------
COMMON STOCKS - CONTINUED
IT SERVICES - 1.7%
Caci International, Inc., Class A* 78,650 $ 3,381,950
Perot Systems Corp., Class A* 327,225 4,352,092
The BISYS Group, Inc.* 117,925 1,976,423
------------
9,710,465
------------
MACHINERY - 5.6%
Actuant Corp., Class A* 162,650 6,380,759
Albany International Corp., Class A 89,450 2,405,311
Barnes Group, Inc. 92,975 2,593,073
CLARCOR, Inc. 118,775 5,243,916
ESCO Technologies, Inc.* 90,100 4,155,412
IDEX Corp. 109,800 4,774,104
Reliance Steel & Aluminum Co. 154,475 5,429,796
Robbins & Myers, Inc. 73,400 1,581,770
------------
32,564,141
------------
MANUFACTURING - 0.6%
Federal Signal Corp. 118,775 2,357,684
Harsco Corp. 22,650 1,030,575
------------
3,388,259
------------
MEDIA - 6.6%
A.H. Belo Corp., Series A 177,425 4,925,318
ADVO, Inc. 122,587 3,949,753
Entercom Communications Corp.* 71,950 3,257,177
Harte-Hanks, Inc. 181,625 4,253,657
John Wiley & Son, Inc., Class A 145,700 4,360,801
Journal Communications, Inc., Class A 218,825 4,376,500
R.H. Donnelley Corp.* 174,675 8,157,322
Regent Communications, Inc.* 186,825 1,216,231
Saga Communications, Inc., Class A* 217,250 4,051,713
------------
38,548,472
------------
METALS & MINING - 0.2%
Allegheny Technologies, Inc. 84,325 1,020,333
------------
MULTI-UTILITIES & UNREGULATED POWER - 1.0%
Energen Corp. 41,225 1,700,531
ONEOK, Inc. 187,750 4,233,763
------------
5,934,294
------------
MULTILINE RETAIL - 0.2%
ShopKo Stores, Inc.* 91,175 1,332,979
------------
OIL & GAS - 1.6%
Evergreen Resources, Inc.* 71,975 2,472,341
Patina Oil & Gas Corp. 97,300 2,554,125
Stone Energy Corp.* 86,500 4,278,290
------------
9,304,756
------------
PHARMACEUTICALS - 1.5%
Perrigo Co. 274,175 5,497,209
Pharmaceutical Resources, Inc.* 61,175 3,478,410
------------
8,975,619
------------
22
SHARES VALUE +
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
REAL ESTATE - 7.2%
American Home Mortgage Investment Corp. 149,700 $ 4,311,360
Bedford Property Investors, Inc. 146,250 4,456,238
CBL & Associates Properties, Inc. 74,750 4,585,165
Corporate Office Properties Trust 170,850 4,271,250
Highland Hospitality Corp.* 200,900 2,354,548
LaSalle Hotel Properties 198,550 4,685,780
Levitt Corp., Class A 111,587 2,733,882
Newcastle Investment Corp. 156,475 5,273,207
Ramco-Gershenson Properties Trust 139,300 3,928,260
The Macerich Co. 98,375 5,302,412
------------
41,902,102
------------
ROAD & RAIL - 2.5%
Genesee & Wyoming, Inc., Class A* 213,675 5,277,772
Landstar System, Inc.* 116,050 4,751,087
Old Dominion Freight Line, Inc.* 126,250 4,254,625
------------
14,283,484
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.7%
Cohu, Inc. 119,425 2,227,276
DSP Group, Inc.* 154,800 3,983,004
FEI Co.* 74,700 1,632,195
Semtech Corp.* 92,800 2,118,624
------------
9,961,099
------------
SOFTWARE - 2.3%
Actuate Corp.* 218,225 704,867
Ascential Software Corp.* 111,725 2,449,012
Aspen Technology, Inc.* 317,775 2,596,222
Inet Technologies, Inc.* 238,850 2,964,128
MSC. Software Corp.* 220,550 1,943,045
Witness Systems, Inc.* 196,525 2,539,103
------------
13,196,377
------------
SPECIALTY RETAIL - 1.3%
Men's Wearhouse, Inc.* 149,975 3,984,836
Party City Corp.* 226,450 3,371,840
------------
7,356,676
------------
TEXTILES APPAREL & LUXURY GOODS - 0.5%
Fossil, Inc.* 86,075 2,870,601
------------
THRIFTS & MORTGAGE FINANCE - 5.1%
Bank Mutual Corp. 274,796 3,074,967
BankAtlantic Bancorp, Inc., Class A 204,550 3,469,168
BankUnited Financial Corp.* 193,125 5,735,812
First Niagara Financial Group, Inc. 225,598 3,079,413
Independence Community Bank Corp. 92,375 3,764,281
MAF Bancorp, Inc. 56,775 2,467,442
Provident Bancorp, Inc. 378,150 4,481,078
Provident Financial Services, Inc. 198,325 3,706,694
------------
29,778,855
------------
23
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE +
- -----------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRADING COMPANIES & DISTRIBUTORS - 0.8%
Hughes Supply, Inc. 83,450 $ 4,372,780
------------
WATER UTILITIES - 1.0%
American States Water Co. 81,900 1,998,360
Aqua America, Inc. 184,687 4,004,014
------------
6,002,374
------------
TOTAL COMMON STOCKS
(Identified Cost $440,645,677) 557,066,420
------------
FACE AMOUNT
- -----------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 4.2% OF NET ASSETS
COMMERCIAL PAPER - 4.2%
UBS Finance, Inc., 0.870%, 4/01/04 $ 24,254,000 24,254,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $24,254,000) 24,254,000
------------
TOTAL INVESTMENTS - 100.2%
(Identified Cost $464,899,677)@ 581,320,420
Liabilities, Less Cash and Other Assets--(0.2%) (1,382,500)
------------
NET ASSETS - 100% $579,937,920
------------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $464,899,677 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were
$120,858,910 and $4,438,167, respectively, resulting in net unrealized
appreciation of $116,420,743.
See accompanying notes to financial statements.
24
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
SHARES VALUE +
- ---------------------------------------------------------------
COMMON STOCKS - 99.9% OF NET ASSETS
BIOTECHNOLOGY - 6.1%
ARIAD Pharmaceuticals, Inc.* 17,250 $ 163,185
Connetics Corp.* 20,550 455,593
Dendreon Corp.* 17,875 237,738
Onyx Pharmaceuticals, Inc.* 6,625 268,047
Salix Pharmaceuticals Ltd.* 3,275 95,041
Telik, Inc.* 8,725 234,179
-----------
1,453,783
-----------
COMMERCIAL BANKS - 3.2%
East West Bancorp, Inc. 4,625 259,000
UCBH Holdings, Inc. 12,425 497,497
-----------
756,497
-----------
COMMERCIAL SERVICES & SUPPLIES - 8.5%
Corporate Executive Board Co. 2,825 132,775
CoStar Group, Inc.* 12,550 462,969
DiamondCluster International, Inc., Class A* 44,175 427,614
Navigant Consulting, Inc.* 15,200 307,496
Resources Connection, Inc.* 6,050 266,920
Strayer Education, Inc. 3,575 418,168
-----------
2,015,942
-----------
COMMUNICATIONS EQUIPMENT - 10.1%
Anaren, Inc.* 18,950 299,031
AudioCodes Ltd.* 25,450 295,220
F5 Networks, Inc.* 11,700 396,045
Harmonic, Inc.* 31,575 304,699
NMS Communications Corp.* 29,450 210,862
Performance Technologies, Inc.* 30,775 519,789
SpectraLink Corp. 20,925 356,353
-----------
2,381,999
-----------
COMPUTERS & PERIPHERALS - 1.4%
Mobility Electronics, Inc.* 37,325 339,620
-----------
CONSUMER FINANCE - 1.7%
ACE Cash Express, Inc.* 13,400 404,010
-----------
DIVERSIFIED FINANCIAL SERVICES - 2.1%
Marlin Business Services, Inc.* 15,400 259,182
National Financial Partners Corp. 7,150 230,588
-----------
489,770
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.6%
Plexus Corp.* 18,900 336,231
Zygo Corp.* 18,575 290,327
-----------
626,558
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 4.6%
Epix Medical, Inc.* 14,500 300,875
Kyphon, Inc.* 15,000 358,650
Wright Medical Group, Inc.* 14,200 435,940
-----------
1,095,465
-----------
25
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES SMALL COMPANY GROWTH FUND - CONTINUED
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 6.6%
eResearch Technology, Inc.* 16,725 $ 469,136
HealthExtras, Inc.* 41,950 481,586
Psychiatric Solutions, Inc.* 20,425 382,969
United Surgical Partners International, Inc.* 6,900 234,186
-----------
1,567,877
-----------
HOTELS RESTAURANTS & LEISURE - 4.7%
Multimedia Games, Inc.* 22,275 551,084
WMS Industries, Inc.* 18,425 571,175
-----------
1,122,259
-----------
INTERNET SOFTWARE & SERVICES - 13.1%
Ask Jeeves, Inc.* 16,625 594,011
Autobytel, Inc.* 27,700 365,640
Bankrate, Inc.* 15,175 302,134
eCollege.com* 28,275 590,382
Marimba, Inc.* 23,000 135,470
SkillSoft Plc* 49,675 640,808
SonicWALL, Inc.* 53,475 476,997
-----------
3,105,442
-----------
MEDIA - 1.3%
Harris Interactive, Inc.* 36,175 304,955
-----------
OIL & GAS - 2.4%
Quicksilver Resources, Inc.* 14,375 557,175
-----------
PHARMACEUTICALS - 2.8%
AtheroGenics, Inc.* 8,850 202,400
Impax Laboratories, Inc.* 20,500 458,585
-----------
660,985
-----------
ROAD & RAIL - 1.9%
Old Dominion Freight Line, Inc.* 13,062 440,189
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 7.0%
FormFactor, Inc.* 17,000 355,810
Microsemi Corp.* 34,150 467,172
Mindspeed Technologies, Inc.* 45,500 297,115
Sigmatel, Inc.* 12,775 286,799
Tessera Technologies, Inc.* 14,125 258,487
-----------
1,665,383
-----------
SOFTWARE - 12.6%
Altiris, Inc.* 11,800 329,692
BakBone Software, Inc.* 60,325 162,878
Concord Communications, Inc.* 23,100 332,871
E.piphany, Inc.* 39,650 286,273
Embarcadero Technologies, Inc.* 36,500 468,660
InfoSpace, Inc.* 14,300 555,841
RSA Security, Inc.* 26,150 491,358
Secure Computing Corp.* 22,300 364,605
-----------
2,992,178
-----------
SPECIALTY RETAIL - 7.2%
Finish Line, Inc., Class A* 12,425 459,477
Select Comfort Corp.* 18,375 506,966
26
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
SPECIALTY RETAIL - CONTINUED
The Sports Authority, Inc.* 10,475 $ 419,838
Tractor Supply Co.* 8,550 331,056
-----------
1,717,337
-----------
TOTAL COMMON STOCKS
(Identified Cost $20,156,242) 23,697,424
-----------
TOTAL INVESTMENTS - 99.9%
(Identified Cost $20,156,242)@ 23,697,424
Cash and Other Assets, Less Liabilities--0.1% 23,454
-----------
NET ASSETS - 100% $23,720,878
-----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $20,156,242 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $4,190,536
and $649,354, respectively, resulting in net unrealized appreciation of
$3,541,182.
At September 30, 2003, the fund had a capital loss carryover of approximately
$82,709,199 which expires between September 30, 2009 and September 30, 2011.
This may be available to offset realized capital gains if any, to the extent
provided by regulations.
See accompanying notes to financial statements.
27
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
SHARES VALUE +
- -------------------------------------------------------------
COMMON STOCKS - 97.5% OF NET ASSETS
AEROSPACE & DEFENSE - 2.1%
Northrop Grumman Corp. 825 $ 81,197
--------
AUTOMOBILES - 2.2%
Harley-Davidson, Inc. 1,625 86,677
--------
BEVERAGES - 5.6%
Anheuser-Busch Cos., Inc. 1,125 57,375
Coca-Cola Enterprises, Inc. 2,500 60,425
PepsiCo, Inc. 1,900 102,315
--------
220,115
--------
BIOTECHNOLOGY - 1.7%
Amgen, Inc.* 1,150 66,896
--------
BUILDING PRODUCTS - 1.6%
Masco Corp. 2,000 60,880
--------
CAPITAL MARKETS - 2.6%
Goldman Sachs Group, Inc. 975 101,741
--------
CHEMICALS - 2.5%
Praxair, Inc. 2,675 99,296
--------
COMMERCIAL BANKS - 4.4%
National City Corp. 1,625 57,818
Wells Fargo & Co. 1,975 111,923
--------
169,741
--------
COMMERCIAL SERVICES & SUPPLIES - 1.4%
ARAMARK Corp., Class B 1,950 53,450
--------
COMMUNICATIONS EQUIPMENT - 6.1%
Cisco Systems, Inc.* 4,325 101,724
Harris Corp. 1,625 78,666
Nokia Oyj ADR 2,925 59,319
--------
239,709
--------
COMPUTERS & PERIPHERALS - 1.4%
Dell, Inc.* 1,675 56,314
--------
CONTAINERS & PACKAGING - 1.1%
Smurfit-Stone Container Corp.* 2,500 43,975
--------
DIVERSIFIED FINANCIAL SERVICES - 2.9%
Citigroup, Inc. 2,150 111,155
--------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.3%
CenturyTel, Inc. 3,250 89,342
--------
ELECTRIC UTILITIES - 2.1%
Dominion Resources, Inc. 1,300 83,590
--------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.2%
Flextronics International Ltd.* 5,000 86,100
--------
ENERGY EQUIPMENT & SERVICES - 1.1%
GlobalSantaFe Corp. 1,550 43,044
--------
HEALTHCARE EQUIPMENT & SUPPLIES - 3.1%
Guidant Corp. 900 57,033
Medtronic, Inc. 1,325 63,269
--------
120,302
--------
28
SHARES VALUE +
- ---------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 3.0%
Cardinal Health, Inc. 600 $ 41,340
Caremark Rx, Inc.* 2,225 73,981
--------
115,321
--------
HOTELS RESTAURANTS & LEISURE - 3.5%
Brinker International, Inc.* 1,450 54,998
Carnival Corp. 1,800 80,838
--------
135,836
--------
HOUSEHOLD DURABLES - 2.1%
Leggett & Platt, Inc. 3,450 81,799
--------
INDUSTRIAL CONGLOMERATES - 3.9%
3M Co. 750 61,402
General Electric Co. 2,975 90,797
--------
152,199
--------
INSURANCE - 5.4%
AFLAC, Inc. 2,725 109,381
American International Group, Inc. 1,425 101,674
--------
211,055
--------
IT SERVICES - 5.9%
Affiliated Computer Services, Inc., Class A* 1,450 75,255
First Data Corp. 2,225 93,806
SunGard Data Systems, Inc.* 2,175 59,595
--------
228,656
--------
MACHINERY - 5.2%
Danaher Corp. 825 77,030
Dover Corp. 1,700 65,909
Illinois Tool Works, Inc. 775 61,403
--------
204,342
--------
MEDIA - 2.1%
Viacom, Inc., Class B 2,050 80,381
--------
MULTILINE RETAIL - 2.7%
Target Corp. 2,300 103,592
--------
OIL & GAS - 6.4%
ConocoPhillips 1,225 85,517
Devon Energy Corp. 1,325 77,049
Exxon Mobil Corp. 2,125 88,379
--------
250,945
--------
PAPER & FOREST PRODUCTS - 1.7%
International Paper Co. 1,600 67,616
--------
PHARMACEUTICALS - 2.5%
Pfizer, Inc. 2,775 97,264
--------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.4%
Intel Corp. 2,000 54,400
Maxim Integrated Products, Inc. 1,625 76,521
--------
130,921
--------
29
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND - CONTINUED
SHARES VALUE +
- -----------------------------------------------------------------
COMMON STOCKS - CONTINUED
SOFTWARE - 1.4%
VERITAS Software Corp.* 2,000 $ 53,820
----------
THRIFTS & MORTGAGE FINANCE - 1.9%
New York Community Bancorp, Inc. 2,158 73,976
----------
TOTAL COMMON STOCKS
(Identified Cost $3,248,579) 3,801,247
----------
TOTAL INVESTMENTS - 97.5%
(Identified Cost $3,248,579)@ 3,801,247
Cash and Other Assets, Less Liabilities--2.5% 99,314
----------
NET ASSETS - 100% $3,900,561
----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $3,248,579 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $579,442
and $26,774, respectively, resulting in net unrealized appreciation of
$552,668.
At September 30, 2003, the fund had a capital loss carryover of approximately
$4,053,853 which expires between September 30, 2009 and September 30, 2011.
This may be available to offset realized capital gains if any, to the extent
provided by regulations.
ADR-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 ADR's are significantly influenced by trading on
exchanges not located in the United States.
See accompanying notes to financial statements.
30
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES VALUE FUND
SHARES VALUE +
- ---------------------------------------------------------------
COMMON STOCKS - 99.3% OF NET ASSETS
AEROSPACE & DEFENSE - 5.1%
Honeywell International, Inc. 23,000 $ 778,550
Northrop Grumman Corp. 9,300 915,306
Raytheon Co. 13,375 419,172
----------
2,113,028
----------
BEVERAGES - 0.9%
Anheuser-Busch Cos., Inc. 6,950 354,450
----------
BUILDING PRODUCTS - 1.7%
Masco Corp. 22,550 686,422
----------
CAPITAL MARKETS - 6.0%
J.P. Morgan Chase & Co. 26,250 1,101,187
Lehman Brothers Holdings, Inc. 9,500 787,265
Mellon Financial Corp. 18,975 593,728
----------
2,482,180
----------
CHEMICALS - 2.0%
Praxair, Inc. 22,400 831,488
----------
COMMERCIAL BANKS - 9.7%
Bank of America Corp. 11,000 890,780
Charter One Financial, Inc. 12,400 438,464
PNC Financial Services Group 7,700 426,734
SouthTrust Corp. 12,000 397,920
SunTrust Banks, Inc. 5,575 388,633
U.S. Bancorp 28,950 800,468
Wells Fargo & Co. 10,900 617,703
----------
3,960,702
----------
COMMERCIAL SERVICES & SUPPLIES - 2.1%
Waste Management, Inc. 29,175 880,501
----------
COMMUNICATIONS EQUIPMENT - 1.0%
Motorola, Inc. 23,550 414,480
----------
COMPUTERS & PERIPHERALS - 3.1%
Apple Computer, Inc.* 17,575 475,404
Hewlett-Packard Co. 34,175 780,557
----------
1,255,961
----------
CONSUMER FINANCE - 2.1%
American Express Co. 16,375 849,044
----------
DIVERSIFIED FINANCIAL SERVICES - 3.0%
Citigroup, Inc. 23,700 1,225,290
----------
DIVERSIFIED TELECOMMUNICATION SERVICES - 7.6%
BellSouth Corp. 22,475 622,333
CenturyTel, Inc. 29,975 824,013
Citizens Communications Co.* 50,800 657,352
Qwest Communications International, Inc.* 85,475 368,397
SBC Communications, Inc. 25,625 628,837
----------
3,100,932
----------
31
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES VALUE FUND - CONTINUED
SHARES VALUE +
- ------------------------------------------------------------
COMMON STOCKS - CONTINUED
ELECTRIC UTILITIES - 3.8%
Exelon Corp. 11,500 $ 792,005
FirstEnergy Corp. 20,100 785,508
----------
1,577,513
----------
ENERGY EQUIPMENT & SERVICES - 2.4%
GlobalSantaFe Corp. 16,825 467,230
Halliburton Co. 17,050 518,150
----------
985,380
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.5%
Baxter International, Inc. 20,100 620,889
----------
HEALTHCARE PROVIDERS & SERVICES - 4.3%
McKesson Corp. 19,000 571,710
Quest Diagnostics, Inc. 5,100 422,433
Universal Health Services, Inc. Class B 16,950 780,886
----------
1,775,029
----------
HOTELS RESTAURANTS & LEISURE - 2.2%
McDonald's Corp. 31,500 899,955
----------
INDUSTRIAL CONGLOMERATES - 2.0%
Tyco International Ltd. 28,625 820,106
----------
INSURANCE - 3.1%
Allstate Corp. 19,500 886,470
XL Capital Ltd., Class A 5,300 403,012
----------
1,289,482
----------
IT SERVICES - 4.2%
Accenture Ltd., Class A* 13,675 339,140
DST Systems, Inc.* 9,925 450,099
First Data Corp. 9,925 418,438
SunGard Data Systems, Inc.* 18,375 503,475
----------
1,711,152
----------
LEISURE EQUIPMENT & PRODUCTS - 1.6%
Hasbro, Inc. 29,650 644,888
----------
MEDIA - 7.3%
Knight-Ridder, Inc. 4,575 335,119
McGraw-Hill Cos., Inc. 4,275 325,499
News Corp. Ltd. ADR* 19,050 604,075
The DIRECTV Group, Inc.* 30,000 461,400
Time Warner, Inc.* 37,475 631,828
Tribune Co. 12,575 634,283
----------
2,992,204
----------
MULTI-UTILITIES & UNREGULATED POWER - 1.3%
Constellation Energy Group, Inc. 12,950 517,353
----------
MULTILINE RETAIL - 1.6%
J.C. Penney Co., Inc. (Holding Co.) 18,725 651,255
----------
OIL & GAS - 7.7%
BP Plc ADR 20,125 1,030,400
ChevronTexaco Corp. 5,175 454,262
ConocoPhillips 6,600 460,746
Exxon Mobil Corp. 29,400 1,222,746
----------
3,168,154
----------
32
SHARES VALUE +
- -----------------------------------------------------------------------
COMMON STOCKS - CONTINUED
PAPER & FOREST PRODUCTS - 1.0%
International Paper Co. 9,700 $ 409,922
-----------
PHARMACEUTICALS - 3.0%
Abbott Laboratories 11,300 464,430
Pfizer, Inc. 21,825 764,966
-----------
1,229,396
-----------
PROPERTY & CASUALTY INSURANCE - 2.3%
Berkshire Hathaway, Inc., Class B* 304 945,747
-----------
REAL ESTATE - 1.7%
Simon Property Group, Inc. 12,100 707,124
-----------
SPECIALTY RETAIL - 2.0%
Gap, Inc. 18,000 394,560
TJX Companies, Inc. 17,875 439,010
-----------
833,570
-----------
TOBACCO - 2.0%
Altria Group, Inc. 15,075 820,834
-----------
TOTAL COMMON STOCKS
(Identified Cost $34,110,519) 40,754,431
-----------
FACE AMOUNT
- -----------------------------------------------------------------------
SHORT-TERM INVESTMENT - 0.7% OF NET ASSETS
COMMERCIAL PAPER - 0.7%
UBS Finance, Inc., 0.870%, 4/01/04 $293,000 293,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $293,000) 293,000
-----------
TOTAL INVESTMENTS - 100.0%
(Identified Cost $34,403,519)@ 41,047,431
Cash and Other Assets, Less Liabilities--0.0% 396
-----------
NET ASSETS - 100% $41,047,827
-----------
+See Note 2.
*Non-income producing security.
@At March 31, 2004, the net unrealized appreciation on investments based on
cost of $34,403,519 for federal income tax purposes was as follows: Aggregate
gross unrealized appreciation for all securities in which there is an excess
of value over tax cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value were $6,831,728
and $187,816, respectively, resulting in net unrealized appreciation of
$6,643,912.
At September 30, 2003, the fund had a capital loss carryover of approximately
$3,179,432 which expires between September 30, 2010 and September 30, 2011.
This may be available to offset realized capital gains if any, to the extent
provided by regulations.
ADR-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 ADR's are significantly influenced by trading on
exchanges not located in the United States.
See accompanying notes to financial statements.
33
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND
FACE AMOUNT VALUE +
- ----------------------------------------------------------------------------
BONDS AND NOTES - 39.1% OF NET ASSETS
NON-CONVERTIBLE BONDS - 38.1%
AUSTRALIA - 0.8%
Queensland Treasury Corp., 8.000%, 9/14/07 AUD 100,000 $ 82,609
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/15 120,000 46,925
--------
129,534
--------
AUSTRIA - 0.0%
Republic of Austria, 6.000%, 2/14/07 HUF 2,000,000 9,246
--------
BELGIUM - 0.6%
Kingdom of Belgium, 3.750%, 3/28/09 EUR 15,000 18,981
Kingdom of Belgium, 4.250%, 9/28/13 65,000 81,813
--------
100,794
--------
BRAZIL - 0.7%
Republic of Brazil, 8.250%, 1/20/34 USD 135,000 114,750
--------
CANADA - 1.2%
Alcan, Inc., 5.500%, 5/02/06 EUR 25,000 32,476
Canadian Government, 0.700%, 3/20/06 JPY 4,000,000 38,700
Canadian Pacific Railway Ltd., 4.900%, 6/15/10 144A CAD 25,000 19,412
Methanex Corp., 7.750%, 8/15/05 USD 15,000 15,825
Province of British Columbia, 6.000%, 6/09/08 CAD 35,000 29,349
Province of Ontario, 5.900%, 3/08/06 15,000 12,167
Shaw Comunications, Inc., 7.500%, 11/20/13 70,000 56,779
--------
204,708
--------
CAYMAN ISLAND - 0.5%
Arcel Finance Ltd., 7.048%, 9/01/11 144A USD 15,000 15,900
Vale Overseas Ltd., 8.250%, 1/17/34 75,000 68,625
--------
84,525
--------
CHILE - 0.3%
Empresa Nacional de Electricidad SA, Series B,
8.500%, 4/1/2009 50,000 57,063
--------
COLOMBIA - 0.1%
Republic of Colombia, 8.125%, 5/21/24 25,000 23,687
--------
DENMARK - 0.2%
Kingdom of Denmark, 5.000%, 8/15/05 DKK 225,000 38,566
--------
ECUADOR - 0.1%
Republic of Ecuador, 7.000%, 8/15/30 144A USD 25,000 22,125
--------
GERMANY - 1.8%
Eurohypo AG - Europaeische Hypothekenbank der
Deutschen Bank, 4.000%, 2/01/07 EUR 150,000 191,620
Kreditanstalt Wiederauf, 5.250%, 1/04/10 80,000 108,225
--------
299,845
--------
IRELAND - 0.4%
Republic of Ireland, 4.600%, 4/18/16 50,000 63,800
--------
ITALY - 3.3%
Republic of Italy, 0.375%, 10/10/06 JPY 24,000,000 230,204
Republic of Italy, 4.500%, 3/01/07 EUR 210,000 272,341
Republic of Italy, 5.000%, 12/15/04 JPY 6,000,000 59,497
--------
562,042
--------
34
FACE AMOUNT VALUE +
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MEXICO - 0.9%
Innova S de RL, 9.375%, 9/19/13 USD 25,000 $ 27,125
Petroleos Mexicanos, 8.625%, 12/01/23 144A 115,000 132,250
--------
159,375
--------
NETHERLANDS - 1.2%
GMAC International Finance BV, 8.000%, 3/14/07 NZD 55,000 37,261
Olivetti Finance NV, 6.875%, 1/24/13 EUR 10,000 14,177
Repsol International Finance BV, 5.750%, 12/04/06 100,000 131,908
Telefonica Europe BV, 5.125%, 2/14/13 EUR 10,000 12,878
--------
196,224
--------
NORWAY - 0.4%
Kingdom of Norway, 6.750%, 1/15/07 NOK 380,000 61,219
--------
PERU - 0.3%
Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on
3/07/05)# USD 50,000 43,500
--------
SINGAPORE - 0.7%
Flextronics International Ltd., 9.750%, 7/01/10 EUR 10,000 13,598
Goverment of Singapore, 2.250%, 7/01/13 SGD 150,000 83,760
Singapore Telecommunications Ltd., 6.000%, 11/21/11 EUR 10,000 13,699
--------
111,057
--------
SOUTH AFRICA - 0.4%
Republic of South Africa, 5.250%, 5/16/13 50,000 61,272
--------
SUPRANATIONAL - 0.5%
Corporacion Andina De Fomento, 6.875%, 3/15/12 USD 10,000 11,480
International Bank for Reconstruction & Development,
4.750%, 12/20/2004 JPY 7,000,000 69,326
--------
80,806
--------
SWEDEN - 0.6%
Government of Sweden, 5.250%, 3/15/11 SEK 495,000 71,083
Stena AB, 7.500%, 11/01/13 USD 25,000 26,125
--------
97,208
--------
UNITED KINGDOM - 0.4%
National Grid Group Finance Plc, 6.125%, 8/23/11 EUR 10,000 13,676
United Kingdom Treasury, 6.250%, 11/25/10 GBP 10,000 20,085
WPP Group Plc, 6.000%, 6/18/08 EUR 20,000 26,902
--------
60,663
--------
UNITED STATES - 22.7%
American Standard, Inc., 8.250%, 6/01/09 GBP 10,000 19,820
Arrow Electronics, Inc., 6.875%, 7/01/13 USD 75,000 81,478
ASIF Global Financing XXVII, 2.380%, 2/26/09 144A SGD 100,000 59,306
AT&T Corp., 6.750%, 11/21/06 EUR 10,000 13,360
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19++ USD 88,733 83,248
Bausch & Lomb, Inc., 7.125%, 8/01/28 95,000 100,071
Borden, Inc., 7.875%, 2/15/23 150,000 142,500
Bowater, Inc., 6.500%, 6/15/13 25,000 24,469
Charter Communications Holdings LLC,
10.000%, 5/15/11 200,000 166,000
35
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
FACE AMOUNT VALUE +
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
Chesapeake Energy Corp., 6.875%, 1/15/16 144A USD 55,000 $ 57,750
Chesapeake Energy Corp., 7.750%, 1/15/15 50,000 55,375
CITGO Petroleum Corp., 11.375%, 2/01/11 25,000 29,188
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 50,000 50,108
Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 50,000 55,096
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/17 42,587 41,667
Continental Airlines, Inc., Series 2000-2,
7.487%, 4/02/12 75,000 76,481
Corning Glass, 8.875%, 3/15/16 25,000 29,559
Cummins Engine Co., Inc., 7.125%, 3/01/28 110,000 108,900
Dana Corp., 9.000%, 8/15/11 25,000 35,734
Dillard's, Inc., 6.625%, 1/15/18 50,000 49,125
Dillard's, Inc., 7.000%, 12/01/28 50,000 47,000
ESI Tractebel Acquisition Corp., Series B,
7.990%, 12/30/11 23,000 23,805
Federal Home Loan Mortgage Corp., 5.125%, 1/15/12 EUR 200,000 265,558
Federal National Mortgage Association,
2.290%, 2/19/09 SGD 100,000 59,512
Federal National Mortgage Association,
2.375%, 2/15/07 USD 100,000 100,459
Ford Motor Credit Co., 7.250%, 2/22/05 GBP 15,000 27,999
Fort James Corp., 4.750%, 6/29/04 EUR 50,000 61,530
Freeport McMoran Resources, Inc., 7.000%, 2/15/08 USD 50,000 52,500
General Motors Acceptance Corp., 7.000%, 12/07/05 GBP 10,000 18,812
Georgia-Pacific Group, 7.375%, 12/01/25 USD 50,000 49,500
Georgia-Pacific Group, 7.750%, 11/15/29 35,000 35,525
Gruma SA de CV, 7.625%, 10/15/07 30,000 33,225
Hasbro, Inc., 6.600%, 7/15/28 50,000 51,375
IMC Global, Inc., 7.375%, 8/01/18 100,000 106,500
J.C. Penney Co., Inc., 7.125%, 11/15/23 25,000 28,250
KfW International Finance, Inc., 1.000%, 12/20/04 JPY 8,000,000 77,182
Lear Corp., 8.125%, 4/01/08 EUR 50,000 70,144
Lucent Technologies, Inc., 5.500%, 11/15/08 USD 105,000 101,587
Morgan Stanley, 5.375%, 11/14/13 GBP 20,000 36,314
Motorola, Inc., 8.000%, 11/01/11 USD 75,000 89,615
National Rural Utilities Cooperative Finance Corp.,
4.125%, 2/24/2006 EUR 25,000 31,536
News America Holdings, Inc., 8.625%, 2/07/14 AUD 50,000 40,644
Pioneer Natural Resources Co., 7.200%, 1/15/28 USD 175,000 199,213
Qwest Corp., 6.875%, 9/15/33 30,000 26,550
Sprint Capital Corp., 6.875%, 11/15/28 25,000 25,962
Teck Cominco Ltd., 7.000%, 9/15/12 15,000 17,058
Trico Marine Services, Inc., 8.875%, 5/15/12 100,000 52,000
U.S. Treasury Notes, 1.625%, 2/28/06 375,000 375,586
US West Capital Funding, Inc., 6.875%, 7/15/28 200,000 155,000
Williams Cos., Inc., 7.500%, 1/15/31 100,000 96,500
Woolworth Corp., 8.500%, 1/15/22 150,000 168,187
Xerox Corp., 7.200%, 4/01/16 20,000 20,800
----------
3,824,663
----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $5,575,311) 6,406,672
----------
36
FACE AMOUNT VALUE +
- -----------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONVERTIBLE BONDS - 1.0%
CANADA - 0.1%
Nortel Networks Corp., 4.250%, 9/01/08 USD 15,000 $ 15,244
----------
UNITED STATES - 0.9%
Builders Transportation, Inc., 8.000%, 8/15/05^** 95,000 10
Corning, Inc., 3.500%, 11/01/08 50,000 64,062
Human Genome Sciences, Inc., 3.750%, 3/15/07 25,000 24,156
Loews Corp., 3.125%, 9/15/07 70,000 69,125
----------
157,353
----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $219,892) 172,597
----------
TOTAL BONDS AND NOTES
(Identified Cost $5,795,203) 6,579,269
----------
SHARES
- -----------------------------------------------------------------------------
COMMON STOCKS - 55.4% OF NET ASSETS
AUSTRALIA - 1.7%
AMP Ltd. 16,800 72,438
BHP Steel Ltd. 15,640 75,453
Minara Resources Ltd.* 32,691 72,244
Newcrest Mining Ltd. 6,500 63,689
----------
283,824
----------
AUSTRIA - 1.5%
Erste Bank der oesterreichischen Sparkassen AG 900 135,016
Wienerberger AG 3,300 109,740
----------
244,756
----------
BELGIUM - 0.6%
Umicore 1,775 108,459
----------
BERMUDA - 1.0%
Golar LNG Ltd.* 4,400 66,818
Noble Group Ltd. 17,000 48,324
Ocean Grand Holdings Ltd. 160,000 56,357
----------
171,499
----------
BRAZIL - 0.7%
Embraer-Empresa Brasileria de Aeronautica SA ADR 3,457 110,970
----------
CANADA - 1.6%
Angiotech Pharmaceuticals, Inc.* 2,888 70,420
Anooraq Resources Corp.* 23,800 62,567
NOVA Chemicals Corp. 2,093 52,502
PetroKazakhstan, Inc., Class A* 2,830 79,573
----------
265,062
----------
CHINA - 0.2%
China Shipping Development Co. Ltd., Class H 60,000 41,155
----------
FINLAND - 0.9%
Nokia Oyj ADR 7,875 159,705
----------
37
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
SHARES VALUE +
- ------------------------------------------------------------
COMMON STOCKS - CONTINUED
FRANCE - 0.7%
Axa 3,900 $ 81,822
Total Fina SA, Class B 200 36,850
----------
118,672
----------
GERMANY - 1.6%
Bayerische Motoren Werke (BMW) AG 1,800 73,323
Hochtief AG 2,300 64,768
MAN AG 1,600 57,231
SAP AG 500 79,413
----------
274,735
----------
HONG KONG - 2.0%
Esprit Holdings Ltd. 21,000 87,762
Giordano International Ltd. 106,000 66,255
Kerry Properties Ltd. 41,500 67,327
Norstar Founders Group Ltd.* 144,000 50,778
Shanghai Industrial Holdings Ltd. 27,000 60,087
----------
332,209
----------
INDIA - 0.6%
State Bank of India GDR 2,470 96,330
----------
IRELAND - 0.5%
Anglo Irish Bank Corp. Plc 4,921 78,800
----------
ISRAEL - 0.9%
Taro Pharmaceutical Industries Ltd.* 1,550 89,884
Teva Pharmaceutical Industries Ltd. ADR 875 55,484
----------
145,368
----------
ITALY - 0.3%
Mediaset Spa 5,100 56,702
----------
JAPAN - 7.5%
CHUGAI PHARMACEUTICAL Co. Ltd. 4,000 63,669
DIAMOND CITY Co. Ltd. 2,300 77,716
GOLDCREST Co. Ltd. 880 54,925
Ichiyoshi Securitiess Co. Ltd. 11,000 77,087
Isetan Co. Ltd. 5,400 82,097
JAFCO Co. Ltd. 700 68,397
JGC Corp. 6,000 66,131
KAPPA CREATE Co. Ltd. 500 57,131
NITTO DENKO Corp. 900 49,461
NTT DoCoMo, Inc. 31 68,645
OTSUKA KAGU Ltd. 1,400 53,355
Resona Holdings, Inc.* 43,000 71,894
SAMMY Corp. 2,300 88,523
SFCG Co. Ltd. 400 80,580
Sumitomo Metal Industries Ltd. 57,000 76,037
Sumitomo Realty & Development Co. Ltd. 4,000 51,929
TDK Corp. ADR 725 54,933
Tokyo Electron Ltd. 1,100 73,470
XEBIO Co. Ltd. 900 25,901
YAMADA DENKI Co. Ltd. 600 23,442
----------
1,265,323
----------
38
SHARES VALUE +
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
MEXICO - 0.6%
Fomento Economico Mexicano SA de CV ADR 2,175 $107,162
--------
NETHERLANDS - 0.2%
Aegon NV 2,600 33,407
--------
RUSSIA - 0.6%
Gazprom ADR 2,550 96,390
--------
SINGAPORE - 0.9%
Flextronics International Ltd.* 5,000 86,100
Keppel Corp. Ltd. 16,000 69,738
--------
155,838
--------
SOUTH KOREA - 0.7%
Daewoo Shipbuilding & Marin Engineering Co. Ltd. 5,320 56,691
Samsung Electronics 130 65,086
--------
121,777
--------
SWEDEN - 0.9%
Atlas Copco AB, Class A 1,100 39,186
SKF AB, Class B 1,100 39,949
Telefonaktiebolaget LM Ericsson ADR* 2,475 68,681
--------
147,816
--------
SWITZERLAND - 2.4%
Basilea Pharmaceutica AG* 100 7,642
Credit Suisse Group* 3,150 109,460
Roche Holding AG 1,000 97,917
Straumann AG 600 103,961
Synthes-Stratec, Inc. 75 77,037
--------
396,017
--------
TAIWAN - 0.8%
Advanced Semiconductor Engineering, Inc.* 84,700 90,354
United Microelectronics Corp. ADR* 9,575 49,790
--------
140,144
--------
UNITED KINGDOM - 2.9%
Barclays Plc 3,800 33,639
BHP Billiton Plc 9,365 85,790
Colt Telecom Group Plc* 19,800 33,965
CSR Plc* 2,600 11,361
Exel Plc 6,000 77,997
Smith & Nephew Plc 9,600 94,956
Standard Chartered Plc 4,200 70,701
Vodafone Group Plc 31,400 74,573
--------
482,982
--------
UNITED STATES - 23.1%
Affiliated Computer Services, Inc., Class A* 1,750 90,825
AFLAC, Inc. 3,000 120,420
American International Group, Inc. 1,500 107,025
Amgen, Inc.* 1,500 87,255
Anheuser-Busch Cos., Inc. 2,000 102,000
Brinker International, Inc.* 2,000 75,860
Cardinal Health, Inc. 750 51,675
Caremark Rx, Inc.* 2,500 83,125
39
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2004 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
SHARES VALUE +
- ----------------------------------------------------------------------
COMMON STOCKS - CONTINUED
UNITED STATES - CONTINUED
Carnival Corp. 2,250 $ 101,047
CenturyTel, Inc. 4,500 123,705
Cisco Systems, Inc.* 3,500 82,320
Citigroup, Inc. 1,750 90,475
Coca-Cola Enterprises, Inc. 2,750 66,468
ConocoPhillips 1,250 87,262
Danaher Corp. 1,000 93,370
Dell, Inc.* 2,000 67,240
Devon Energy Corp. 1,800 104,670
Dominion Resources, Inc. 750 48,225
Dover Corp. 2,000 77,540
Exxon Mobil Corp. 2,500 103,975
First Data Corp. 2,750 115,940
General Electric Co. 2,500 76,300
GlobalSantaFe Corp. 2,750 76,368
Goldman Sachs Group, Inc. 1,200 125,220
Guidant Corp. 900 57,033
Harley-Davidson, Inc. 1,500 80,010
Harris Corp. 2,000 96,820
Illinois Tool Works, Inc. 1,000 79,230
International Paper Co. 2,000 84,520
Leggett & Platt, Inc. 3,250 77,058
Masco Corp. 2,000 60,880
Maxim Integrated Products, Inc. 1,750 82,408
Medtronic, Inc. 1,800 85,950
National City Corp. 3,000 106,740
New York Community Bancorp, Inc. 2,133 73,119
Northrop Grumman Corp. 1,000 98,420
PepsiCo, Inc. 2,250 121,162
Pfizer, Inc. 2,500 87,625
Praxair, Inc. 2,500 92,800
Smurfit-Stone Container Corp.* 4,000 70,360
SunGard Data Systems, Inc.* 2,200 60,280
Target Corp. 1,500 67,560
VERITAS Software Corp.* 2,000 53,820
Viacom, Inc., Class B 2,250 88,222
Wells Fargo & Co. 2,000 113,340
----------
3,895,667
----------
TOTAL COMMON STOCKS
(Identified Cost $7,882,225) 9,330,769
----------
CONVERTIBLE PREFERRED STOCKS - 0.7% OF NET ASSETS
PHILIPPINES - 0.7%
Philippine Long Distance Telephone Co., $3.50 GDS 2,500 115,000
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $91,812) 115,000
----------
40
SHARES VALUE +
- --------------------------------------------------------------------
WARRANTS - 0.0% OF NET ASSETS
CANADA - 0.0%
Anooraq Resources Corp., expiring 6/01/05 11,900 $ 0
-----------
TOTAL WARRANTS
(Identified Cost $0) 0
-----------
TOTAL INVESTMENTS - 95.2%
(Identified Cost $13,769,240)@ 16,025,038
Cash and Other Assets, Less Liabilities--4.8% 801,588
-----------
NET ASSETS - 100% $16,826,626
-----------
+ See Note 2.
144ASecurities 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.
ADR/GDS/GDR--AnAmerican Depositary Receipt (ADR) or Global Depositary Shares
(GDS) or Global Depositary Receipt (GDR) is a certificate issued
by a custodian bank representing the right to receive securities
of the foreign issuer described. The values of ADR's or GDS's or
GDR's are significantly influenced by trading on exchanges not
located in the United States.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
^ Non-income producing security due to default or backruptcy filing.
++ Issuer in backruptcy filing.
** Security valued at fair value as determined in good faith under the
direction of the Board of Trustees.
* Non-income producing security.
@ At March 31, 2004, the net unrealized appreciation on investments based on
cost of $13,777,920 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost and aggregate gross unrealized depreciation
for all securities in which there is an excess of tax cost over value were
$2,502,351 and $255,233, respectively, resulting in net unrealized
appreciation of $2,247,118.
At September 30, 2003, the fund had a capital loss carryover of
approximately $2,482,954 which expires between September 30, 2009 and
September 30, 2011. This may be available to offset realized capital gains
if any, to the extent provided by regulations.
Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; DKK:
Danish Krone; EUR: Euro; HUF: Hungarian Forint; GBP: Great British Pound;
JPY: Japanese Yen; NOK: Norwegian Krone; NZD: New Zealand Dollar; SGD:
Singapore Dollar; SEK: Swedish Krona; USD: United States Dollar.
Industry Holdings at March 31, 2004 as a Percentage of Net Assets
Sovereigns 6.9%
Oil & Gas 4.2
Consumer Finance 3.9
Containers & Packaging 3.4
Metals & Mining 3.2
Specialty Retail 3.1
Diversified Financial Services 3.0
Government Agencies 2.5
Beverages 2.4
Communications Equipment 2.4
Treasuries 2.2
Wireless Telecommunication Services 2.2
Insurance 2.0
Other 53.8
See accompanying notes to financial statements.
41
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2004 (UNAUDITED)
AGGRESSIVE MID CAP
GROWTH FUND GROWTH FUND
- -------------------------------------------------------------------------------------------
ASSETS
Investments at value $ 51,896,597 $ 8,547,706
Cash 389,339 119,543
Receivable for:
Fund shares sold 34,993 --
Securities sold 1,200,698 191,472
Dividends and interest 2,334 381
Foreign tax reclaim -- --
Due from the adviser 11,850 10,548
-------------- --------------
53,535,811 8,869,650
-------------- --------------
LIABILITIES
Payable for:
Securities purchased 1,378,163 233,833
Fund Shares redeemed 16,299 --
Foreign taxes -- --
Accrued expenses:
Management fees 32,421 5,338
Deferred Trustees' fees 2,549 2,072
Transfer agent fees and expenses 5,703 1,291
Accounting and administrative fees 7,495 1,115
12b-1 fees 181 --
Other 20,321 6,355
-------------- --------------
1,463,132 250,004
-------------- --------------
NET ASSETS $ 52,072,679 $ 8,619,646
-------------- --------------
Net Assets consist of:
Capital paid in $ 155,570,575 $ 12,379,271
Undistributed net investment income (loss) (307,069) (36,356)
Accumulated net realized gain (loss) (111,537,618) (5,169,770)
Unrealized appreciation (depreciation) on:
Investments 8,346,791 1,446,501
Foreign currency translations -- --
-------------- --------------
NET ASSETS $ 52,072,679 $ 8,619,646
-------------- --------------
INSTITUTIONAL CLASS
Net assets $ 25,678,984 $ 8,619,646
Shares of beneficial interest outstanding, no par value 1,667,737 1,255,911
Net asset value and redemption price $ 15.40 $ 6.86
RETAIL CLASS
Net assets $ 26,393,695 --
Shares of beneficial interest outstanding, no par value 1,745,639 --
Net asset value and redemption price $ 15.12 --
ADMIN CLASS
Net assets -- --
Shares of beneficial interest outstanding, no par value -- --
Net asset value and redemption price -- --
Identified cost of investments $ 43,549,806 $ 7,101,205
See accompanying notes to financial statements.
42
SMALL CAP SMALL CAP SMALL COMPANY TAX-MANAGED
GROWTH FUND VALUE FUND GROWTH FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
- ----------------------------------------------------------------------------------------------
$ 39,234,939 $ 581,320,420 $ 23,697,424 $ 3,801,247 $ 41,047,431 $ 16,025,038
424,172 1,399 459,421 101,133 189 738,179
2,357 1,704,029 -- -- 874 171
682,938 5,351,093 199,770 -- -- 60,194
566 520,936 497 2,794 40,252 120,079
-- -- -- -- -- 946
14,456 25,650 12,334 10,215 2,828 11,310
- ----------------------------------------------------------------------------------------------
40,359,428 588,923,527 24,369,446 3,915,389 41,091,574 16,955,917
- ----------------------------------------------------------------------------------------------
983,932 7,742,607 620,625 -- -- 100,591
14,768 690,626 -- -- -- --
-- 1,365 -- 167 332 1,783
24,735 363,353 15,015 1,601 17,303 10,310
2,520 7,642 2,240 2,017 2,395 2,134
2,074 21,841 1,352 1,807 2,587 1,525
7,947 71,834 3,804 924 5,852 1,856
106 1,991 -- -- -- --
16,472 84,348 5,532 8,312 15,278 11,092
- ----------------------------------------------------------------------------------------------
1,052,554 8,985,607 648,568 14,828 43,747 129,291
- ----------------------------------------------------------------------------------------------
$ 39,306,874 $ 579,937,920 $ 23,720,878 $ 3,900,561 $ 41,047,827 $ 16,826,626
- ----------------------------------------------------------------------------------------------
$ 244,634,261 $ 428,018,437 $ 100,599,490 $ 7,527,196 $ 37,052,327 $ 16,439,701
(285,068) 229,634 (103,844) 7,582 260,949 176,093
(209,421,315) 35,269,106 (80,315,950) (4,186,885) (2,909,361) (2,045,618)
4,378,996 116,420,743 3,541,182 552,668 6,643,912 2,255,798
-- -- -- -- -- 652
- ----------------------------------------------------------------------------------------------
$ 39,306,874 $ 579,937,920 $ 23,720,878 $ 3,900,561 $ 41,047,827 $ 16,826,626
- ----------------------------------------------------------------------------------------------
$ 23,839,829 $ 342,875,931 $ 23,720,878 $ 3,900,561 $ 41,047,827 $ 16,826,626
2,519,949 13,634,289 2,729,171 454,564 2,629,425 1,640,781
$ 9.46 $ 25.15 $ 8.69 $ 8.58 $ 15.61 $ 10.26
$ 15,467,045 $ 182,145,827 -- -- -- --
1,665,571 7,270,447 -- -- -- --
$ 9.29 $ 25.05 -- -- -- --
-- $ 54,916,162 -- -- -- --
-- 2,205,806 -- -- -- --
-- $ 24.90 -- -- -- --
$ 34,855,943 $ 464,899,677 $ 20,156,242 $ 3,248,579 $ 34,403,519 $ 13,769,240
See accompanying notes to financial statements.
43
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
AGGRESSIVE MID CAP SMALL CAP
GROWTH FUND GROWTH FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends* $ 16,262 $ 2,458 $ 11,026
Interest 3,573 95 8,307
------------ ------------ ------------
Total Income 19,835 2,553 19,333
------------ ------------ ------------
EXPENSES
Management fees 214,637 31,472 200,076
12b-1 fees (Retail Class) 39,579 -- 36,490
12b-1 fees (Admin Class) -- -- --
Shareholder service fees (Admin Class) -- -- --
Trustees' fees and expenses 4,026 2,725 3,963
Accounting and administrative fees 18,779 2,754 17,504
Custodian 23,817 17,361 25,380
Transfer agent fees and expenses 23,582 6,793 19,595
Audit and tax services 14,845 11,568 16,815
Registration 15,278 10,786 24,282
Shareholder reporting 5,313 3,694 6,552
Legal 1,424 162 1,092
Miscellaneous 6,184 1,656 5,960
------------ ------------ ------------
Total expenses 367,464 88,971 357,709
Less expenses waived and reimbursed
by the investment adviser (41,702) (51,204) (54,450)
------------ ------------ ------------
Net expenses 325,762 37,767 303,259
------------ ------------ ------------
Net investment income (loss) (305,927) (35,214) (283,926)
------------ ------------ ------------
NET REALIZED GAIN (LOSS) ON:
Investments 8,293,683 983,699 12,791,290
Foreign currency transactions -- -- --
------------ ------------ ------------
Total net realized gain (loss) 8,293,683 983,699 12,791,290
------------ ------------ ------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (1,416,048) 11,135 (6,998,062)
Foreign currency translations -- -- --
------------ ------------ ------------
Total net change in unrealized appreciation (depreciation) (1,416,048) 11,135 (6,998,062)
------------ ------------ ------------
Total net realized gain (loss) and change in
unrealized appreciation (depreciation) 6,877,635 994,834 5,793,228
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,571,708 $ 959,620 $ 5,509,302
------------ ------------ ------------
*Net of foreign withholding taxes of $2,548, $167, $2,153 and $2,735 for the
Small Cap Value Fund, Tax-Managed Equity Fund, Value Fund and Worldwide Fund,
respectively.
See accompanying notes to financial statements.
44
SMALL CAP SMALL COMPANY TAX-MANAGED
VALUE FUND GROWTH FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
--------------------------------------------------------------------------
$ 2,942,253 $ 9,364 $ 18,720 $ 441,685 $ 50,584
205,554 434 13 1,801 198,581
--------------------------------------------------------------------------
3,147,807 9,798 18,733 443,486 249,165
--------------------------------------------------------------------------
2,034,382 93,750 7,450 100,198 51,516
210,316 -- -- -- --
60,142 -- -- -- --
60,142 -- -- -- --
17,170 3,170 2,579 3,563 2,874
177,987 8,202 978 13,150 4,507
51,075 21,271 14,920 19,581 38,798
108,488 7,054 9,096 13,367 8,583
19,058 11,593 11,182 13,009 12,407
28,225 7,893 7,820 9,422 7,835
52,162 11,018 1,924 4,586 1,336
11,156 1,070 121 958 315
34,890 2,824 1,456 4,711 680
--------------------------------------------------------------------------
2,865,193 167,845 57,526 182,545 128,851
(93,335) (55,345) (47,841) (12,208) (60,163)
--------------------------------------------------------------------------
2,771,858 112,500 9,685 170,337 68,688
--------------------------------------------------------------------------
375,949 (102,702) 9,048 273,149 180,477
--------------------------------------------------------------------------
44,065,071 2,609,290 18,249 2,012,547 441,187
-- -- -- -- (225)
--------------------------------------------------------------------------
44,065,071 2,609,290 18,249 2,012,547 440,962
--------------------------------------------------------------------------
54,636,573 (1,215,869) 337,588 3,889,637 1,131,782
-- -- -- -- (2,015)
--------------------------------------------------------------------------
54,636,573 (1,215,869) 337,588 3,889,637 1,129,767
--------------------------------------------------------------------------
98,701,644 1,393,421 355,837 5,902,184 1,570,729
--------------------------------------------------------------------------
$ 99,077,593 $ 1,290,719 $ 364,885 $ 6,175,333 $ 1,751,206
--------------------------------------------------------------------------
See accompanying notes to financial statements.
45
STATEMENTS OF CHANGES IN NET ASSETS
AGGRESSIVE GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- ----------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ (305,927) $ (471,108)
Net realized gain (loss) on investments 8,293,683 (1,638,969)
Change in unrealized appreciation
(depreciation) on investments (1,416,048) 13,073,722
---------------- ------------------
Increase (decrease) in net assets from
operations 6,571,708 10,963,645
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets
derived from capital share transactions (11,178,686) 2,847,129
---------------- ------------------
Total increase (decrease) in net assets (4,606,978) 13,810,774
NET ASSETS
Beginning of the period 56,679,657 42,868,883
---------------- ------------------
End of the period $ 52,072,679 $56,679,657
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME
(LOSS)
End of the period $ (307,069) $ (1,142)
---------------- ------------------
MID CAP GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ (35,214) $ (51,079)
Net realized gain (loss) on investments 983,699 (109,243)
Change in unrealized appreciation (depreciation) on investments 11,135 1,858,351
---------------- ------------------
Increase (decrease) in net assets from operations 959,620 1,698,029
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (78) 32,706
---------------- ------------------
Total increase (decrease) in net assets 959,542 1,730,735
NET ASSETS
Beginning of the period 7,660,104 5,929,369
---------------- ------------------
End of the period $8,619,646 $7,660,104
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ (36,356) $ (1,142)
---------------- ------------------
See accompanying notes to financial statements.
46
SMALL CAP GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ (283,926) $ (636,880)
Net realized gain (loss) on investments 12,791,290 (3,722,740)
Change in unrealized appreciation (depreciation) on investments (6,998,062) 18,110,700
---------------- ------------------
Increase (decrease) in net assets from operations 5,509,302 13,751,080
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (19,066,389) (36,514,836)
---------------- ------------------
Total increase (decrease) in net assets (13,557,087) (22,763,756)
NET ASSETS
Beginning of the period 52,863,961 75,627,717
---------------- ------------------
End of the period $ 39,306,874 $ 52,863,961
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ (285,068) $ (1,142)
---------------- ------------------
SMALL CAP VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 375,949 $ 567,375
Net realized gain (loss) on investments 44,065,071 4,755,610
Change in unrealized appreciation (depreciation) on investments 54,636,573 79,201,327
---------------- ------------------
Increase (decrease) in net assets from operations 99,077,593 84,524,312
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (755,337) --
Net realized gain on investments (7,446,392) --
RETAIL CLASS
Net investment income (73,295) --
Net realized gain on investments (3,811,026) --
ADMIN CLASS
Net investment income -- --
Net realized gain on investments (1,088,512) --
---------------- ------------------
Total distributions (13,174,562) --
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 26,527,026 37,141,909
---------------- ------------------
Total increase (decrease) in net assets 112,430,057 121,666,221
NET ASSETS
Beginning of the period 467,507,863 345,841,642
---------------- ------------------
End of the period $579,937,920 $467,507,863
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ 229,634 $ 682,317
---------------- ------------------
See accompanying notes to financial statements.
47
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
SMALL COMPANY GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ (102,702) $ (216,252)
Net realized gain (loss) on investments 2,609,290 (3,347,715)
Change in unrealized appreciation (depreciation) on investments (1,215,869) 10,422,651
---------------- ------------------
Increase (decrease) in net assets from operations 1,290,719 6,858,684
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (1,800,199) (30,642,707)
---------------- ------------------
Total increase (decrease) in net assets (509,480) (23,784,023)
NET ASSETS
Beginning of the period 24,230,358 48,014,381
---------------- ------------------
End of the period $23,720,878 $ 24,230,358
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ (103,844) $ (1,142)
---------------- ------------------
TAX-MANAGED EQUITY FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 9,048 $ 71,050
Net realized gain (loss) on investments 18,249 (145,271)
Change in unrealized appreciation (depreciation) on investments 337,588 684,831
---------------- ------------------
Increase (decrease) in net assets from operations 364,885 610,610
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (62,322) (82,181)
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 1,107,890 (15,464,446)
---------------- ------------------
Total increase (decrease) in net assets 1,410,453 (14,936,017)
NET ASSETS
Beginning of the period 2,490,108 17,426,125
---------------- ------------------
End of the period $3,900,561 $ 2,490,108
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ 7,582 $ 60,856
---------------- ------------------
See accompanying notes to financial statements.
48
VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 273,149 $ 448,264
Net realized gain (loss) on investments 2,012,547 (2,165,764)
Change in unrealized appreciation (depreciation) on investments 3,889,637 8,798,027
---------------- ------------------
Increase (decrease) in net assets from operations 6,175,333 7,080,527
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (456,216) (273,025)
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions (2,630,762) (1,873,138)
---------------- ------------------
Total increase (decrease) in net assets 3,088,355 4,934,364
NET ASSETS
Beginning of the period 37,959,472 33,025,108
---------------- ------------------
End of the period $41,047,827 $37,959,472
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ 260,949 $ 444,016
---------------- ------------------
WORLDWIDE FUND
SIX MONTHS ENDED
MARCH 31, 2004 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2003
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) $ 180,477 $ 363,432
Net realized gain (loss) on investments 440,962 104,771
Change in unrealized appreciation (depreciation) on investments 1,129,767 1,826,724
---------------- ------------------
Increase (decrease) in net assets from operations 1,751,206 2,294,927
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (448,271) (284,901)
---------------- ------------------
FROM CAPITAL SHARES TRANSACTIONS
Increase (decrease) in net assets derived from capital share transactions 5,024,637 148,718
---------------- ------------------
Total increase (decrease) in net assets 6,327,572 2,158,744
NET ASSETS
Beginning of the period 10,499,054 8,340,310
---------------- ------------------
End of the period $16,826,626 $10,499,054
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period $ 176,093 $ 443,887
---------------- ------------------
See accompanying notes to financial statements.
49
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH FUND
INSTITUTIONAL CLASS
3/31/2004(e) $13.69 $(0.07)(c) $ 1.78 $ 1.71 $ -- $ --
9/30/2003 10.70 (0.10)(c) 3.09 2.99 -- --
9/30/2002 13.56 (0.13)(c) (2.73) (2.86) -- --
9/30/2001 47.71 (0.20)(c) (33.43) (33.63) -- (0.52)
9/30/2000 20.08 (0.26)(c) 29.11 28.85 -- (1.22)
9/30/1999 10.51 (0.09)(c) 10.05 9.96 -- (0.39)
RETAIL CLASS
3/31/2004(e) 13.46 (0.09)(c) 1.75 1.66 -- --
9/30/2003 10.55 (0.13)(c) 3.04 2.91 -- --
9/30/2002 13.41 (0.16)(c) (2.70) (2.86) -- --
9/30/2001 47.33 (0.25)(c) (33.15) (33.40) -- (0.52)
9/30/2000 19.99 (0.38)(c) 28.94 28.56 -- (1.22)
9/30/1999 10.49 (0.14)(c) 10.03 9.89 -- (0.39)
MID CAP GROWTH FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 6.10 $(0.03)(c) $ 0.79 $ 0.76 $ -- $ --
9/30/2003 4.74 (0.04)(c) 1.40 1.36 -- --
9/30/2002 5.99 (0.05)(c) (1.20) (1.25) -- --
9/30/2001* 10.00 (0.03)(c) (3.98) (4.01) -- --
* From commencement of Fund operations on February 28, 2001 through September
30, 2001. (a) Total returns would have been lower had the adviser not reduced
its advisory fees and/or borne other operating expenses. Periods less than one
year are not annualized. (b) The adviser has agreed to reimburse a portion of
the Fund's expenses during the period. Without this reimbursement the Fund's
ratio of operating expenses would have been higher. (c) Per share net
investment income (loss) has been determined on the basis of the weighted
average number of shares outstanding during the period. (d) Annualized for
periods less than one year. (e) For the six months ended March 31, 2004
(unaudited).
See accompanying notes to financial statements.
50
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total end of Total period Net Gross investment turnover
distributions period return(a) (000) expenses(b)(d) expenses(d) income (loss)(d) rate
- ---------------------------------------------------------------------------------------------------
$ -- $15.40 12.5% $ 25,679 1.00% 1.14% (0.93)% 134%
-- 13.69 27.9 23,866 1.00 1.23 (0.88) 248
-- 10.70 (21.1) 13,421 1.00 1.31 (0.91) 220
(0.52) 13.56 (71.1) 16,347 1.00 1.13 (0.75) 258
(1.22) 47.71 147.8 62,364 1.00 1.11 (0.66) 191
(0.39) 20.08 97.9 13,308 1.00 2.96 (0.56) 199
-- 15.12 12.3 26,394 1.25 1.39 (1.18) 134
-- 13.46 27.6 32,813 1.25 1.47 (1.13) 248
-- 10.55 (21.3) 26,885 1.25 1.45 (1.16) 220
(0.52) 13.41 (71.2) 41,456 1.25 1.37 (1.01) 258
(1.22) 47.33 147.0 110,824 1.25 1.35 (0.89) 191
(0.39) 19.99 97.5 1,175 1.25 9.05 (0.80) 199
$ -- $ 6.86 12.5% $ 8,620 0.90% 2.12% (0.84)% 132%
-- 6.10 28.7 7,660 0.90 2.45 (0.79) 246
-- 4.74 (20.9) 5,929 0.90 1.88 (0.81) 216
-- 5.99 (40.1) 7,483 0.90 1.93 (0.62) 145
See accompanying notes to financial statements.
51
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
------------------------------------------ ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income (loss) investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 8.59 $(0.04)(c) $ 0.91 $ 0.87 $ -- $ --
9/30/2003 6.35 (0.06)(c) 2.30 2.24 -- --
9/30/2002 8.83 (0.08)(c) (2.40) (2.48) -- --
9/30/2001 26.98 (0.12)(c) (17.06) (17.18) -- (0.97)
9/30/2000 16.74 (0.16)(c) 10.40 10.24 -- --
9/30/1999 9.83 (0.08) 6.99 6.91 -- --
RETAIL CLASS
3/31/2004(e) 8.45 (0.05)(c) 0.89 0.84 -- --
9/30/2003 6.26 (0.08)(c) 2.27 2.19 -- --
9/30/2002 8.72 (0.10)(c) (2.36) (2.46) -- --
9/30/2001 26.74 (0.15)(c) (16.90) (17.05) -- (0.97)
9/30/2000 16.65 (0.24)(c) 10.33 10.09 -- --
9/30/1999 9.80 (0.08) 6.93 6.85 -- --
SMALL CAP VALUE FUND
INSTITUTIONAL CLASS
3/31/2004(e) $21.34 $ 0.03(c) $ 4.38 $ 4.41 $(0.05) $(0.55)
9/30/2003 17.28 0.05(c) 4.01 4.06 -- --
9/30/2002 19.89 0.10(c) (0.36) (0.26) (0.11) (2.24)
9/30/2001 20.42 0.16(c) 0.60 0.76 (0.20) (1.09)
9/30/2000 17.33 0.14(c) 3.36 3.50 (0.14) (0.27)
9/30/1999 15.60 0.16 1.83 1.99 (0.12) (0.14)
RETAIL CLASS
3/31/2004(e) 21.25 0.00(c)(f) 4.36 4.36 (0.01) (0.55)
9/30/2003 17.25 0.00(c)(f) 4.00 4.00 -- --
9/30/2002 19.85 0.05(c) (0.35) (0.30) (0.06) (2.24)
9/30/2001 20.38 0.11(c) 0.60 0.71 (0.15) (1.09)
9/30/2000 17.28 0.10(c) 3.36 3.46 (0.09) (0.27)
9/30/1999 15.57 0.09 1.84 1.93 (0.08) (0.14)
ADMIN CLASS
3/31/2004(e) 21.13 (0.03)(c) 4.35 4.32 -- (0.55)
9/30/2003 17.20 (0.05)(c) 3.98 3.93 -- 0.00
9/30/2002 19.80 0.00(c)(f) (0.35) (0.35) (0.01) (2.24)
9/30/2001 20.34 0.05(c) 0.60 0.65 (0.10) (1.09)
9/30/2000 17.24 0.04(c) 3.37 3.41 (0.04) (0.27)
9/30/1999 15.54 0.04 1.83 1.87 (0.03) (0.14)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Per share net investment
income (loss) has been determined on the basis of the weighted average number
of shares outstanding during the period. (d) Annualized for periods less than
one year. (e) For the six months ended March 31, 2004 (Unaudited). (f) Amount
is less than $0.01 per share.
See accompanying notes to financial statements.
52
RATIOS TO AVERAGE NET ASSETS:
- -------------- --------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total end of Total period Net Gross investment turnover
distributions period return(a) (000) expenses(b)(d) expenses(d) income (loss)(d) rate
- ---------------------------------------------------------------------------------------------------
$ -- $ 9.46 10.1% $ 23,840 1.00% 1.20% (0.93)% 110%
-- 8.59 35.3 22,519 1.00 1.19 (0.91) 190
-- 6.35 (28.1) 42,415 1.00 1.07 (0.90) 162
(0.97) 8.83 (65.2) 124,479 0.99 0.99 (0.74) 140
-- 26.98 61.2 262,147 0.92 0.92 (0.62) 170
-- 16.74 70.3 81,132 1.00 1.11 (0.80) 163
-- 9.29 9.9 15,467 1.25 1.45 (1.18) 110
-- 8.45 35.0 30,345 1.25 1.43 (1.17) 190
-- 6.26 (28.2) 32,135 1.25 1.33 (1.15) 162
(0.97) 8.72 (65.3) 50,197 1.25 1.26 (1.01) 140
-- 26.74 60.6 69,416 1.23 1.23 (0.92) 170
-- 16.65 69.9 6,032 1.25 1.80 (1.04) 163
$(0.60) $25.15 21.0% $342,876 0.90% 0.93% 0.26% 40%
-- 21.34 23.5 289,945 0.90 0.94 0.26 74
(2.35) 17.28 (2.6) 234,370 0.94 0.96 0.48 86
(1.29) 19.89 3.9 215,439 0.98 0.98 0.76 98
(0.41) 20.42 20.7 214,919 0.93 0.93 0.76 102
(0.26) 17.33 12.8 301,496 0.90 0.90 0.87 113
(0.56) 25.05 20.8 182,146 1.15 1.18 0.01 40
-- 21.25 23.2 140,152 1.15 1.20 (0.01) 74
(2.30) 17.25 (2.8) 86,816 1.19 1.20 0.22 86
(1.24) 19.85 3.6 97,544 1.22 1.22 0.51 98
(0.36) 20.38 20.4 92,698 1.17 1.17 0.53 102
(0.22) 17.28 12.4 75,302 1.20 1.20 0.57 113
(0.55) 24.90 20.7 54,916 1.40 1.43 (0.24) 40
-- 21.13 22.9 37,411 1.40 1.47 (0.27) 74
(2.25) 17.20 (3.0) 24,655 1.44 1.53 (0.01) 86
(1.19) 19.80 3.3 16,471 1.50 1.59 0.23 98
(0.31) 20.34 20.1 11,391 1.50 1.68 0.21 102
(0.17) 17.24 12.0 4,863 1.50 1.70 0.30 113
See accompanying notes to financial statements.
53
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
SMALL COMPANY GROWTH FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 8.27 $(0.04)(c) $ 0.46 $ 0.42 $ -- $ --
9/30/2003 5.77 (0.05)(c) 2.55 2.50 -- --
9/30/2002 8.07 (0.07)(c) (2.23) (2.30) -- --
9/30/2001 19.78 (0.07)(c) (11.45) (11.52) -- (0.19)
9/30/2000 11.67 (0.06) 8.17 8.11 -- --
9/30/1999* 10.00 (0.01) 1.68 1.67 -- --
TAX-MANAGED EQUITY FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 7.66 $ 0.03(c) $ 1.08 $ 1.11 $(0.19) $ --
9/30/2003 6.78 0.06(c) 0.85 0.91 (0.03) --
9/30/2002 7.67 0.06(c) (0.81) (0.75) (0.14) --
9/30/2001 11.16 0.12(c) (1.60) (1.48) (0.09) (1.92)
9/30/2000 13.46 0.12 2.43 2.55 (0.07) (4.78)
9/30/1999 13.59 0.04 3.87 3.91 (0.10) (3.94)
VALUE FUND
INSTITUTIONAL CLASS
3/31/2004(e) $13.52 $ 0.10(c) $ 2.16 $ 2.26 $(0.17) $ --
9/30/2003 11.17 0.15(c) 2.29 2.44 (0.09) --
9/30/2002 13.90 0.13(c) (2.42) (2.29) (0.16) (0.28)
9/30/2001 15.12 0.14(c) (1.19) (1.05) (0.17) --
9/30/2000 16.54 0.17 0.41 0.58 (0.15) (1.85)
9/30/1999 16.85 0.22 1.53 1.75 (0.24) (1.82)
WORLDWIDE FUND
INSTITUTIONAL CLASS
3/31/2004(e) $ 9.32 $ 0.13(c) $ 1.15 $ 1.28 $(0.34) $ --
9/30/2003 7.53 0.32(c) 1.74 2.06 (0.27) --
9/30/2002+ 8.48 0.35(c) (0.55) (0.20) (0.75) --
9/30/2001 13.93 0.65(c) (2.44) (1.79) (0.35) (3.31)
9/30/2000 10.28 0.58(c) 4.02 4.60 (0.48) (0.47)
9/30/1999 8.79 0.50 1.82 2.32 (0.44) (0.39)
* From commencement of fund operations on May 7, 1999 through September 30,
1999.(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Per share net investment
income (loss) has been determined on the basis of the weighted average number
of shares outstanding during the period. (d) Annualized for periods less than
one year. (e) For the six months ended March 31, 2004 (Unaudited) + As
required effective October 1, 2001, the Fund has adopted the provisions of the
AICPA Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities for financial statement purposes only.
For the year ended September 30, 2002, the impact to the Fund's per share net
investment income and net realized and unrealized gain (loss) was less than
$0.01. The ratio of net investment income to average net assets for the Fund
decreased from 4.29% to 4.26% on an annualized basis. Per share ratios and
supplemental data for periods prior to October 1, 2001, have not been restated
to reflect this change in presentation.
See accompanying notes to financial statements.
54
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total end of Total period Net Gross investment turnover
distributions period return(a) (000) expenses(b)(d) expenses(d) income (loss)(d) rate
- ---------------------------------------------------------------------------------------------------
$ -- $ 8.69 5.1% $ 23,721 0.90% 1.34% (0.82)% 89%
-- 8.27 43.3 24,230 0.90 1.31 (0.81) 220
-- 5.77 (28.5) 48,014 0.90 1.07 (0.82) 157
(0.19) 8.07 (58.6) 69,710 0.90 1.02 (0.61) 150
-- 19.78 69.5 133,784 0.90 0.99 (0.51) 174
-- 11.67 16.7 17,674 0.90 2.17 (0.51) 56
$(0.19) $ 8.58 14.6% $ 3,901 0.65% 3.86% 0.61% 7%
(0.03) 7.66 13.5 2,490 0.65 1.82 0.81 200
(0.14) 6.78 (10.1) 17,426 0.65 1.14 0.72 188
(2.01) 7.67 (15.9) 19,211 0.65 1.05 1.29 300
(4.85) 11.16 25.3 23,718 0.65 0.95 1.00 356
(4.04) 13.46 31.7 21,886 0.65 1.00 0.30 250
$(0.17) $15.61 16.8% $ 41,048 0.85% 0.91% 1.36% 34%
(0.09) 13.52 22.0 37,959 0.85 0.92 1.23 56
(0.44) 11.17 (17.2) 33,025 0.85 0.90 0.90 66
(0.17) 13.90 (7.1) 39,549 0.85 0.96 0.87 90
(2.00) 15.12 3.6 38,792 0.85 0.89 0.87 73
(2.06) 16.54 10.5 66,726 0.78 0.78 1.20 59
$(0.34) $10.26 14.0% $ 16,827 1.00% 1.88% 2.63% 33%
(0.27) 9.32 28.0 10,499 1.00 2.23 3.81 94
(0.75) 7.53 (3.0) 8,340 1.00 2.43 4.26 113
(3.66) 8.48 (15.0) 8,528 1.00 2.58 6.85 160
(0.95) 13.93 46.5 9,748 1.00 2.48 4.26 183
(0.83) 10.28 27.8 6,233 1.00 3.46 5.07 165
See accompanying notes to financial statements.
55
NOTES TO FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
1. ORGANIZATION | Loomis Sayles Funds I and Loomis Sayles Funds II (the
"Trusts" and each a "Trust") are organized as Massachusetts business trusts and
were organized as such on December 23, 1993 and February 20, 1991,
respectively. Each Trust is registered under the Investment Company Act of 1940
(the "1940 Act"), as amended, as an open-end investment company. Each
Declaration of Trust permits the Trustees to issue an unlimited number of
shares of the Trusts in multiple series (individually, a "Fund" and
collectively, the "Funds"). Shares of Loomis Sayles Tax-Managed Equity Fund
were first registered under the Securities Act of 1933 (the "1933 Act")
effective March 7, 1997 (subsequent to its commencement of investment
operations). Information presented in these financial statements pertains to
certain equity funds of the Trusts, the financial statements for the remaining
equity funds and the fixed income funds are presented in separate reports. The
following Funds are included in this report:
LOOMIS SAYLES FUNDS I
Loomis Sayles Mid Cap Growth Fund (the "Mid Cap Growth Fund")
Loomis Sayles Small Cap Value Fund (the "Small Cap Value Fund")
Loomis Sayles Small Company Growth Fund (the "Small Company Growth Fund")
LOOMIS SAYLES FUNDS II
Loomis Sayles Aggressive Growth Fund (the "Aggressive Growth Fund")
Loomis Sayles Small Cap Growth Fund (the "Small Cap Growth Fund")
Loomis Sayles Tax-Managed Equity Fund (the "Tax-Managed Equity Fund")
Loomis Sayles Value Fund (the "Value Fund")
Loomis Sayles Worldwide Fund (the "Worldwide Fund")
Each Fund offers Institutional Class shares. Aggressive Growth Fund, Small Cap
Growth Fund and Small Cap Value Fund also offer Retail Class shares. In
addition, Small Cap Value Fund offers Admin Class shares.
Most expenses of the Trusts can be directly attributed to a Fund. Expenses
which can not be directly attributed are generally apportioned based on the
relative net assets of each of the Funds in the Trusts. Expenses of a Fund are
borne pro rata by the holders of each Class of shares, except that each Class
bears expenses unique to that Class (including the Rule 12b-1 service and
distribution fees and transfer agent fees applicable to such Class). In
addition, each Class votes as a Class only with respect to its own Rule 12b-1
Plan. Shares of each Class would receive their pro rata share of the net assets
of a Fund, if the Fund were liquidated. The Trustees approve separate dividends
from net investment income on each Class of shares.
2. SIGNIFICANT ACCOUNTING POLICIES | The following is a summary of significant
accounting policies consistently followed by each Fund in the preparation of
its financial statements. The Funds' financial statements are prepared in
accordance with accounting principles generally accepted in the United States
of America which require the use of management estimates that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates.
A. SECURITY VALUATION | Equity securities for which market quotations are
readily available are valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Such pricing services generally use the security's last sale
price on the exchange or market where primarily traded or, if there is no
reported sale during the day, the closing bid price. Securities traded on the
NASDAQ National Market are valued at the NASDAQ Official Closing Price
("NOCP"), or if lacking a NOCP, at the most recent bid quotation on the NASDAQ
National Market. Debt securities for which market quotations are readily
available are generally valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Such pricing services generally use the most recent bid
prices in the principal market in which such securities are normally traded.
Broker-dealer bid quotations may also be used to value debt and equity
securities where a pricing service does not price a security or where a pricing
service does not provide a reliable price for the security. Short-term
obligations with a remaining maturity of 60 days or less are valued at
amortized cost, which approximates market value. Securities for which market
quotations are not readily available (including restricted securities, if any)
are valued at fair value as determined in good faith by the Fund's investment
adviser using consistently applied procedures under the general supervision of
the Board of Trustees.
The Funds may hold securities traded in foreign markets. Foreign securities are
valued at the market price in the foreign market. However, if events occurring
after the close of the foreign market (but before the close of regular trading
on the New York Stock Exchange) are believed to materially affect the value of
those securities, such securities are fair valued pursuant to procedures
approved by the Board of Trustees. When fair valuing its securities, the Funds
may, among other things, use modeling tools or other processes that may take
into account factors such as securities market activity and/or significant
events that occur after the close of the foreign market and before the Fund
calculates its net asset value.
56
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME | Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon as the Fund is
notified. Interest income is recorded on an accrual basis, and interest income
is increased by the accretion of discount and decreased by the amortization of
premium. Investment income is recorded net of foreign taxes withheld when
applicable. The Funds estimate the components of distributions received from
Real Estate Investment Trusts (REITs). In determining net gain or loss on
securities sold, the cost of securities has been determined on an identified
cost basis.
C. FOREIGN CURRENCY TRANSLATION | The books and records of the Funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars are
translated into U.S. dollars based upon foreign exchange rates prevailing at
the end of the period. Purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange
rates prevailing at the end of the period, it is not practical to isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities. Such changes are included with the net realized and unrealized gain
or loss on investments.
Net realized foreign exchange gains or losses arise from: sales of foreign
currency, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the Funds' books
and the U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, other than investment securities, at the end of the
fiscal periods, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate
transactions in foreign-denominated investments. Losses may arise from changes
in the value of the foreign currency or if the counterparties do not perform
under the contracts' terms.
Each Fund may purchase investments of foreign issuers. Investing in securities
of foreign issuers involves special risks and considerations not typically
associated with investing in U.S. companies and securities of the U.S.
government. These risks include revaluation of currencies and the risk of
appropriation. Moreover, the markets for securities of many foreign issuers may
be less liquid and the prices of such securities may be more volatile than
those of comparable U.S. companies and the U.S. government.
D. FORWARD FOREIGN CURRENCY CONTRACTS | Each Fund may enter into forward
foreign currency exchange contracts. Contracts to buy generally are used to
acquire exposure to foreign currencies, while contracts to sell generally are
used to hedge a Fund's investments against currency fluctuation. Also, a
contract to buy or sell can offset a previous contract. These contracts involve
market risk in excess of the unrealized gain or loss reflected in the Fund's
statement of assets and liabilities. The U.S. dollar value of the currencies
the Fund has committed to buy or sell (if any) is shown in the portfolio
composition under the caption "Forward Currency Contracts Outstanding." These
amounts represent the aggregate exposure to each currency the Fund has acquired
or hedged through currency contracts outstanding at period end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. Risks may arise upon entering into these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign currency relative to
the U.S. dollar. At March 31, 2004, there were no open forward foreign currency
contracts.
E. FEDERAL AND FOREIGN INCOME TAXES | The Trusts treat each Fund as a separate
entity for federal income tax purposes. Each Fund intends to meet the
requirements of the Internal Revenue Code 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.
Accordingly, no provision for federal income tax has been made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities, such
taxes are accrued as applicable.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS | Dividends and distributions
are recorded on ex-dividend date. The timing and characterization of certain
income and capital gains distributions are determined in accordance with
federal tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due
to differing treatments for book and tax purposes of items such as
distributions from real estate investment trusts, net operating losses,
non-deductible expenses, foreign currency transactions and gains realized from
passive foreign investment companies. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to
capital accounts. Distributions from net investment income and short-term
capital gains are considered to be ordinary income for tax purposes.
57
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
G. REPURCHASE AGREEMENTS | Each Fund, through its custodian, receives delivery
of the underlying securities collateralizing repurchase agreements. It is each
Fund's policy that the market value of the collateral be at least equal to 102%
of the repurchase price, including interest. The Fund's adviser is responsible
for determining that the value of the collateral is at all times at least equal
to 102% of the repurchase price, including interest. 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.
3. PURCHASES AND SALES OF SECURITIES | For the six months ended March 31, 2004,
purchases and sales of securities (excluding short-term investments and U.S.
Government/Agency securities) were as follows:
Fund Purchases Sales
- ---- ------------ ------------
Aggressive Growth Fund $ 73,912,951 $ 83,018,731
Mid Cap Growth Fund 10,807,481 10,782,948
Small Cap Growth Fund 55,567,390 76,397,095
Small Cap Value Fund 215,557,389 205,164,488
Small Company Growth Fund 21,722,745 23,105,026
Tax-Managed Equity Fund 1,219,690 198,514
Value Fund 13,413,750 16,240,653
Worldwide Fund 7,991,582 4,303,989
For the six months ended March 31, 2004, purchases and sales of U.S.
Government/Agency securities by Worldwide Fund were $534,942 and $50,592,
respectively.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES | Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the
investment adviser to each of the Funds. Separate management agreements for
each Fund in effect for the six months ended March 31, 2004, provide for fees
at the following annual percentage rates of each Fund's average daily net
assets. Loomis Sayles has contractually agreed, until January 31, 2005, to
reduce its advisory fees and/or bear other expenses, to the extent necessary to
limit the total operating expenses of each Fund, to the following annual
percentage rate of the Fund's average daily net assets:
Expense Limit as a Percentage of
Average Daily Net Assets
Management --------------------------------
Fund Fees Institutional Retail Admin
- ---- ---------- ------------- ------ -----
Aggressive Growth Fund 0.75% 1.00% 1.25% --
Mid Cap Growth Fund 0.75% 0.90% -- --
Small Cap Growth Fund 0.75% 1.00% 1.25% --
Small Cap Value Fund 0.75% 0.90% 1.15% 1.40%
Small Company Growth Fund 0.75% 0.90% -- --
Tax-Managed Equity Fund 0.50% 0.65% -- --
Value Fund 0.50% 0.85% -- --
Worldwide Fund 0.75% 1.00% -- --
For the six months ended March 31, 2004, the management fees and waivers for
each Fund were as follows:
Percentage of
Gross Waiver of Net Average Daily Net Assets*
Management Management Management ------------------------
Fund Fee Fee Fee Gross Net
- ---- ---------- ---------- ---------- ----- ----
Aggressive Growth Fund $ 214,637 $ 41,702 $ 172,935 0.75% 0.60%
Mid Cap Growth Fund 31,472 31,472 -- 0.75% --
Small Cap Growth Fund 200,076 54,450 145,626 0.75% 0.55%
Small Cap Value Fund 2,034,382 93,335 1,941,047 0.75% 0.72%
Small Company Growth Fund 93,750 55,345 38,405 0.75% 0.31%
Tax-Managed Equity Fund 7,450 7,450 -- 0.50% --
Value Fund 100,198 12,208 87,990 0.50% 0.44%
Worldwide Fund 51,516 51,516 -- 0.75% --
* Annualized
58
For the six months ended March 31, 2004, in addition to the waiver of
management fees, expenses have been reimbursed as follows:
Fund Amount
- ---- -------
Mid Cap Growth Fund $19,732
Tax-Managed Equity Fund 40,391
Worldwide Fund 8,647
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trusts. Loomis Sayles' general partner is indirectly owned by CDC IXIS
Asset Management North America, L.P. ("CDC IXIS North America"). CDC IXIS Asset
Management North America is ultimately owned by three large affiliated French
financial services firms: Caisse des Depots et Consignations; Caisse Nationale
des Caisses d'Epargne; and CNP Assurances, a leading French life insurance
company.
B. ACCOUNTING AND ADMINISTRATIVE EXPENSE | CDC IXIS Asset Management Services,
Inc. ("CIS"), a wholly owned subsidiary of CDC IXIS North America, performs
certain accounting and administrative services for the Funds and has
subcontracted with State Street Bank and Trust Company ("State Street Bank"),
to serve as sub-administrator. Pursuant to an agreement among the Trusts, the
CDC Nvest Funds Trusts (CDC Nvest Funds Trust I, CDC Nvest Funds Trust II, CDC
Nvest Funds Trust III, CDC Nvest Cash Management Trust and CDC Nvest Companies
Trust I) and CIS, each Fund pays CIS its pro rata portion of a group fee for
these services representing the higher amount based on the following
calculations:
(1)Percentage of Average Daily Net Assets
First Next Over
$5 billion $5 billion $10 billion
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Fund's pro rata portion, allocated based on the combined
assets of the Trusts and the CDC Nvest Funds Trusts, of the
annual aggregate minimum fee of $5 million.
For the six months ended March 31, 2004, fees paid to CIS for accounting and
administrative expense were as follows:
Accounting and
Fund Administrative
- ---- --------------
Aggressive Growth Fund $ 18,779
Mid Cap Growth Fund 2,754
Small Cap Growth Fund 17,504
Small Cap Value Fund 177,987
Small Company Growth Fund 8,202
Tax-Managed Equity 978
Value Fund 13,150
Worldwide Fund 4,507
C. TRANSFER AGENT FEES | CIS is the transfer and shareholder servicing agent
for each Fund and has subcontracted with Boston Financial Data Services
("BFDS") to serve as sub-transfer agent.
Aggressive Growth Fund, Small Cap Growth Fund, Small Cap Value Fund,
Tax-Managed Equity Fund, Value Fund and Wordwide Fund pay service fees to CIS
monthly representing the higher amount based on the following calculations:
(1)Each Fund's pro rata portion of an annual aggregate fee
determined by applying an annual fee rate of 0.026% of the
eligible average daily net assets. Eligible assets are the
average daily net assets of all accounts in No Load Retail
Funds* and Load Funds--Class Y**.
59
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
Each Class of shares is subject to a monthly Class minimum of
$1,250 allocated based on the combined net assets of
Institutional Class, Retail Class and Admin Class, as
applicable.
or
(2)An allocated portion, based on eligible assets, of an annual
aggregate minimum fee for the period January 1, 2004 through
December 31, 2004, of $650,000. For the period September 15,
2003 through December 31, 2003, the aggregate minimum fee was
$190,547.
*No Load Retail Funds consist of Aggressive Growth Fund, Small Cap Growth Fund,
Small Cap Value Fund, Tax-Managed Equity Fund, Value Fund, Worldwide Fund,
Loomis Sayles Bond Fund and Loomis Sayles Global Bond Fund.
**Load Funds--Class Y consist of all Funds with Class Y shares offered within
the Trusts and the CDC Nvest Funds Trusts.
Mid Cap Growth Fund and Small Company Growth Fund pay service fees monthly to
CIS representing the higher amount based on the following calculations:
(1)Annual aggregate fee determined by applying an annual fee rate
of 0.01% to the eligible average daily net assets. Eligible
assets are the average daily net assets of all Institutional
Funds*.
Each Fund is subject to a monthly minimum fee of $1,000.
or
(2)An allocated portion, based on eligible assets, of an aggregate
minimum fee for the period January 1, 2004 through December 31,
2004, of $100,000. For the period September 15, 2003 through
December 31, 2003, the aggregate minimum fee was $29,315.
*Institutional Funds consist of Mid Cap Growth Fund, Small Company Growth Fund,
Loomis Sayles Benchmark Core Bond Fund, Loomis Sayles Core Plus Income Fund,
Loomis Sayles Fixed Income Fund, Loomis Sayles Institutional High Income Fund,
Loomis Sayles Intermediate Duration Fixed Income Fund, Loomis Sayles Investment
Grade Fixed Income Fund and Loomis Sayles U.S. Government Securities Fund.
CIS, BFDS and other firms are also reimbursed by the Funds for out-of-pocket
expenses.
For the six months ended March 31, 2004, amounts paid to CIS as compensation
for its services as transfer agent were as follows:
Fund Transfer Agent Fee
- ---- ------------------
Aggressive Growth Fund $15,000
Mid Cap Growth Fund 6,000
Small Cap Growth Fund 15,000
Small Cap Value Fund 71,855
Small Company Growth Fund 6,000
Tax-Managed Equity 7,500
Value Fund 7,500
Worldwide Fund 7,500
D. SERVICE AND DISTRIBUTION FEES | The Trusts have entered into a distribution
agreement with CDC IXIS Asset Management Distributors, L.P. ("CDC IXIS
Distributors"), a wholly owned subsidiary of CDC IXIS North America. Pursuant
to this agreement, CDC IXIS Distributors serves as principal underwriter of the
various Funds of the Trusts except for Loomis Sayles Investment Grade Bond
Fund--Class J.
Pursuant to Rule 12b-1 under the 1940 Act, Aggressive Growth Fund, Small Cap
Growth Fund and Small Cap Value Fund have adopted Distribution Plans relating
to each Fund's Retail Class shares (the "Retail Class Plan") and Small Cap
Value Fund has adopted a separate Distribution Plan relating to Admin Class
shares (the "Admin Class Plan").
Under the respective Retail Class and Admin Class Plans, each Fund pays CDC
IXIS Distributors a monthly distribution fee at an annual rate of 0.25% of the
average daily net assets attributable to the Fund's Retail Class and Admin
Class Shares, as reimbursement for expenses incurred by CDC IXIS Distributors
in providing personal services to investors in Retail Class and Admin Class
Shares and/or maintenance of shareholder accounts. In addition, the Admin Class
shares of the Small Cap Value Fund may pay a shareholder service fee at an
annual rate of 0.25% of the average daily net assets attributable to Admin
Class shares to securities dealers or financial intermediaries for providing
personal service and account maintenance for their customers who hold such
shares.
E. TRUSTEES FEES AND EXPENSES | The Loomis Sayles Funds Trusts and CDC Nvest
Funds Trusts do not pay any compensation directly to their officers or Trustees
who are directors, officers or employees of Loomis Sayles, CDC IXIS
Distributors, CDC IXIS
60
North America, CIS or their affiliates. Each Trustee who is an independent
Trustee of Loomis Sayles Funds Trusts and the CDC Nvest Funds Trusts receives
in the aggregate a retainer fee at the annual rate of $45,000 and meeting
attendance fees of $4,500 for each meeting of the Board of Trustees attended.
Each committee member receives an additional retainer fee at the annual rate of
$7,000 while each committee chairman receives a retainer fee (beyond the $7,000
fee) at the annual rate of $5,000. The retainer fees assume four Board or
Committee meetings per year; Trustees are compensated for each additional Board
or Committee meeting in excess of four per year, at the rate of $4,500 and
$1,750, respectively. These fees are allocated to the various series of the
Trusts and CDC Nvest Funds Trusts based on a formula that takes into account,
among other factors, the relative net assets of each Fund. Trustees are
reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the "Plan") is available to the Trustees on a
voluntary basis. Each participating Trustee will receive an amount equal to the
value that such deferred compensation would have been had it been invested in a
designated Fund or certain other series of the Trusts or CDC Nvest Funds Trusts
on the normal payment date. Deferred amounts remain in the Funds until
distributed in accordance with the Plan.
F. PUBLISHING SERVICES | CIS performs certain desktop publishing services for
the funds. Fees for these services are presented in the statements of
operations as shareholder reporting. For the six months ended March 31, 2004,
amounts paid to CIS as compensation for these services were as follows:
Publishing
Fund Services Fee
- ---- ------------
Aggressive Growth Fund $ 37
Mid Cap Growth Fund 42
Small Cap Growth Fund 37
Small Cap Value Fund 42
Small Company Growth Fund 42
Tax-Managed Equity Fund 96
Value Fund 37
Worldwide Fund 37
5. LINE OF CREDIT | Each Fund, except Mid Cap Growth Fund and Small Company
Growth Fund, together with certain other Funds of the Trusts, participate in a
$25 million committed unsecured revolving line of credit provided by State
Street Bank. Borrowings under the line of credit will be made solely to
temporarily finance the repurchase of capital shares. Interest is charged to
each participating Fund based on its borrowings at a rate per annum equal to
the federal funds rate plus 0.50%. In addition, a commitment fee of 0.09% per
annum, payable at the end of each calendar quarter, is accrued and apportioned
among the participating Funds based on their average daily unused portion of
the line of credit. For the six months ended, March 31, 2004, the Funds had no
borrowings under the agreement.
6. SHAREHOLDERS | At March 31, 2004, Loomis Sayles owned 256,870 shares,
equating to 56.5% of Tax-Managed Equity Fund shares outstanding. At March 31,
2004, the Loomis Sayles Funded Pension Plan ("Pension Plan") and the Loomis
Sayles Employees' Profit Sharing Retirement Plan held shares of beneficial
interest in the Funds as follows:
Profit Sharing
Fund Pension Plan Retirement Plan
- ---- ------------ ---------------
Aggressive Growth Fund 187,842 440,386
Small Cap Growth Fund 234,766 492,732
Small Cap Value Fund 433,474 613,133
Value Fund 428,199 413,216
Worldwide Fund 885,919 335,600
61
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
7. CAPITAL SHARES | Each Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
AGGRESSIVE GROWTH FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 85,574 $ 1,292,216 1,017,143 $ 12,248,463
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (160,976) (2,399,633) (527,813) (5,940,072)
------------- --------------- ------------ --------------
Net change (75,402) $ (1,107,417) 489,330 $ 6,308,391
------------- --------------- ------------ --------------
Shares Amount Shares+ Amount+
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 332,589 $ 4,924,823 1,142,750 $ 13,044,564
Issued in connection with
the reinvestment of distributions -- -- -- --
Issued in Admin Class Conversion -- -- 56,540 631,556
Redeemed (1,024,391) (14,996,092) (1,309,638) (14,596,979)
------------- --------------- ------------ --------------
Net change (691,802) $(10,071,269) (110,348) $ (920,859)
------------- --------------- ------------ --------------
Shares+ Amount+
ADMIN CLASS ---------- ------------
Issued from the sale of shares 29,865 $ 315,554
Issued in connection with
the reinvestment of distributions -- --
Redeemed (216,812) (2,224,401)
Redeemed in Admin Class Conversion (56,892) (631,556)
------------ --------------
Net change (243,839) $ (2,540,403)
------------ --------------
+OnMay 21, 2003, the outstanding Admin Class Shares were automatically
converted into Retail Class Shares.
MID CAP GROWTH FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares -- $ -- 5,899 $ 32,706
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (12) (78) -- --
------------- --------------- ------------ --------------
Net change (12) $ (78) 5,899 $ 32,706
------------- --------------- ------------ --------------
SMALL CAP GROWTH FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 264,451 $ 2,521,616 1,897,989 $ 13,566,717
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (365,386) (3,441,395) (5,953,993) (39,030,065)
------------- --------------- ------------ --------------
Net change (100,935) $ (919,779) (4,056,004) $(25,463,348)
------------- --------------- ------------ --------------
Shares Amount Shares+ Amount+
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 664,991 $ 6,220,402 3,879,141 $ 28,642,137
Issued in connection with
the reinvestment of distributions -- -- -- --
Issued in Admin Class Conversion -- -- 2,120 14,288
Redeemed (2,592,549) (24,367,012) (5,421,506) (38,664,657)
------------- --------------- ------------ --------------
Net change (1,927,558) $(18,146,610) (1,540,245) $(10,008,232)
------------- --------------- ------------ --------------
Shares+ Amount+
ADMIN CLASS ---------- ------------
Issued from the sale of shares 46,488 $ 301,256
Issued in connection with
the reinvestment of distributions -- --
Redeemed (217,093) (1,330,224)
Redeemed in Admin Class Conversion (2,135) (14,288)
------------ --------------
Net change (172,740) $ (1,043,256)
------------ --------------
+OnMay 21, 2003, the outstanding Admin Class Shares were automatically
converted into Retail Class Shares.
62
SMALL CAP VALUE FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,273,856 $ 30,501,008 2,271,777 $ 43,519,989
Issued in connection with
the reinvestment of distributions 344,051 7,949,633 -- --
Redeemed (1,571,760) (37,591,112) (2,246,579) (42,192,200)
------------- --------------- ------------ --------------
Net change 46,147 $ 859,529 25,198 $ 1,327,789
------------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,547,330 $ 36,598,921 3,698,495 $ 69,872,984
Issued in connection with
the reinvestment of distributions 168,095 3,867,490 -- --
Redeemed (1,041,894) (24,992,718) (2,135,122) (40,321,887)
------------- --------------- ------------ --------------
Net change 673,531 $ 15,473,693 1,563,373 $ 29,551,097
------------- --------------- ------------ --------------
Shares Amount Shares Amount
ADMIN CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 614,565 $ 14,466,820 1,219,636 $ 22,714,426
Issued in connection with
the reinvestment of distributions 46,216 1,056,962 -- --
Redeemed (225,359) (5,329,978) (882,999) (16,451,403)
------------- --------------- ------------ --------------
Net change 435,422 $ 10,193,804 336,637 $ 6,263,023
------------- --------------- ------------ --------------
SMALL COMPANY GROWTH FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares -- $ -- 662,784 $ 4,750,079
Issued from subscriptions-in-kind+ -- -- 839,609 4,995,673
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (202,355) (1,800,199) (6,892,544) (40,388,459)
------------- --------------- ------------ --------------
Net change (202,355) $ (1,800,199) (5,390,151) $(30,642,707)
------------- --------------- ------------ --------------
+Issued in exchange for portfolio securities distributed in-kind by Energen Corporation
Retirement Income Plan to shareholders thereof and contributed to the Fund in-kind by
such shareholders on April 15, 2003.
TAX-MANAGED EQUITY FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 121,891 $ 1,045,647 324,896 $ 2,267,000
Issued in connection with
the reinvestment of distributions 7,563 62,319 11,807 82,181
Redeemed (9) (76) (2,580,065) (17,813,627)
------------- --------------- ------------ --------------
Net change 129,445 $ 1,107,890 (2,243,362) $(15,464,446)
------------- --------------- ------------ --------------
63
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
FOR THE SIX MONTHS ENDED MARCH 31, 2004 (UNAUDITED)
VALUE FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ----------- -------- -----------
Issued from the sale of shares 100,164 $ 1,479,034 328,065 $ 4,071,978
Issued in connection with
the reinvestment of distributions 26,133 376,057 18,887 230,605
Redeemed (305,504) (4,485,853) (493,835) (6,175,721)
------------- --------------- ------------ --------------
Net change (179,207) $(2,630,762) (146,883) $(1,873,138)
------------- --------------- ------------ --------------
WORLDWIDE FUND
Six Months Ended March 31, 2004 Year Ended September 30, 2003
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ----------- -------- -----------
Issued from the sale of shares 491,682 $ 4,824,306 711,080 $ 5,955,985
Issued in connection with
the reinvestment of distributions 46,883 447,733 36,904 284,901
Redeemed (24,822) (247,402) (728,370) (6,092,168)
------------- --------------- ------------ --------------
Net change 513,743 $ 5,024,637 19,614 $ 148,718
------------- --------------- ------------ --------------
64
Item 2. Code of Ethics.
The Trust has adopted a code of Ethics that applies to the Trust's principal
executive officer, principal financial officer and persons performing similar
functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Trust has established an audit committee and
determined that all committee members qualify as financial experts. The
committee members are Ms. Sandra O. Moose, Messrs. Edward A. Benjamin and Daniel
M. Cain. Each of these individuals is also Independent Trustee of the Trust.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the report to shareholders filed under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Companies and Affiliated Purchasers.
Not Applicable.
Item 9. Submission of Matters to a Vote of Securities Holders.
Not Applicable.
Item 10. Controls and Procedures.
The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Trust in this Form N-CSR
was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the Trust's internal controls
or in other factors that could significantly affect the Trust's internal
controls subsequent to the date of their evaluation.
Item 11. Exhibits.
(a) Certifications of Principal Executive Officer and Principal Financial
Officer pursuant to 30a-2 under the Investment Company Act of 1940 (17 CFR
270.30a-2), as herewith as exhibits (a)(1)(i) and (a)(1)(ii).
(b) Certifications of Principal Executive Officer and Principal Financial
Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed
herewith as Exhibit (b)(2)
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.
Loomis Sayles Funds I
By: /s/ ROBERT J. BLANDING
--------------------------------------
Name: Robert J. Blanding
Title: President & Chief Executive Officer
Date: May 19, 2004
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/ ROBERT J. BLANDING
--------------------------------------
Name: Robert J. Blanding
Title: President & Chief Executive Officer
Date: May 19, 2004
By: /s/ NICHOLAS H. PALMERINO
--------------------------------------
Name: Nicholas H. Palmerino
Title: Treasurer
Date: May 19, 2004