UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
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)
Coleen Downs Dinneen, Esq.
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) 449-2810
Date of fiscal year end: September 30, 2004
Date of reporting period: September 30, 2004
This Form N-CSR/A is being filed SOLELY to amend and restate the Section 302
certification attached to the N-CSR filed on December 2, 2004 (Accession No.
0001193125-04-206442) in order to correct a clerical error within such
certification.
Item 1. Reports to Stockholders.
The Registrant's annual reports transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 are as follows:
FUND AND MANAGER REVIEW
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
PORTFOLIO REVIEW | The Fund underperformed its benchmark, the Russell Midcap
Growth Index, for the 12 months ended September 30, 2004. The Fund posted solid
gains of over 10% during the 12-month period. These returns compare favorably
to our peers but did not match the gains of the Index. Underperformance was
primarily due to the fact that many of the stocks that had performed well early
in 2003 suffered the most during the market correction last December, as well
as during the challenging final three months of the fiscal year.
For the year as a whole, technology and consumer discretionary stocks had the
greatest positive influence on performance. In both sectors, we invested in
companies that consistently beat expectations and raised guidance. Most of
these winners were primarily dependent on innovative new products and services
rather than on the economy to drive their growth.
Despite some big winners in the biotechnology industry, the Fund's healthcare
holdings were among the biggest detractors to performance. In addition, we
underweighted the financials sector for most of the year and therefore missed
much of the appreciation in that group. The Fund also suffered from poor stock
selections in financials.
Early in the year, our primary focus was on companies leveraged to the cyclical
rebound, including technology and energy companies, as well as on companies
positioned to benefit from continued strength in consumer spending.
Nevertheless, at this point in the economic cycle, with profits starting to
decelerate and the Federal Reserve committed to a measured pace of rate hikes,
we are trying to strike a balance between cyclical industries on the one hand
and more defensive, non-cyclicals and financials on the other. As always, the
fundamentals of individual companies override our top-down inclinations.
OUTLOOK | Near term, earnings growth may be the primary driver of stock
appreciation. Higher-beta names--securities that are more volatile than the
market as a whole--should lead the market, particularly technology, which is
oversold and out of favor. Financials also should benefit in this environment,
especially the asset management companies and asset-sensitive banks.
Longer-term, we are more cautious in the face of rising interest rates and
decelerating profits. In particular, we are long-term bulls on energy, given
the imbalance between supply and demand, and on biotech, where many emerging
companies offer encouraging products. We are long-term bearish on technology,
as we believe the overcapacity of the tech "bubble" still needs to be absorbed.
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 | $50.6 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS INCEPTION
-------------------------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH FUND:
INSTITUTIONAL 13.22% -3.94% 8.01%
RETAIL 12.93 -4.22 7.71
LIPPER MID-CAP GROWTH FUNDS INDEX(a) 11.22 -0.99 4.46
RUSSELL MIDCAP GROWTH INDEX(a) 13.68 0.63 6.40
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 2004(b)(c)
[CHART]
Loomis Sayles Lipper
Aggressive Mid Cap Russell
Growth Growth Funds Midcap
Fund Index Growth Index
------------- ------------ ------------
12/31/1996 250,000 250,000 250,000
1/31/1997 265,500 256,397 261,061
2/28/1997 257,243 239,354 255,313
3/31/1997 240,754 221,150 240,886
4/30/1997 243,498 219,235 246,786
5/31/1997 265,486 247,788 268,901
6/30/1997 267,982 258,228 276,343
7/31/1997 295,235 273,998 302,793
8/31/1997 288,475 273,237 299,837
9/30/1997 314,235 292,801 315,012
10/31/1997 307,228 276,403 299,240
11/30/1997 297,735 271,981 302,386
12/31/1997 306,607 278,351 306,356
1/31/1998 290,602 273,087 300,840
2/28/1998 313,821 296,284 329,124
3/31/1998 324,491 311,625 342,920
4/30/1998 333,025 312,981 347,577
5/31/1998 318,072 294,737 333,279
6/30/1998 334,358 308,295 342,709
7/31/1998 317,272 287,776 328,029
8/31/1998 252,961 225,733 265,422
9/30/1998 280,433 249,272 285,500
10/31/1998 299,390 258,441 306,521
11/30/1998 301,785 278,080 327,197
12/31/1998 341,983 313,952 361,083
1/31/1999 345,300 329,536 371,908
2/28/1999 338,394 303,940 353,720
3/31/1999 434,058 325,607 373,420
4/30/1999 456,195 338,963 390,435
5/31/1999 473,074 337,552 385,412
6/30/1999 535,000 364,759 412,319
7/31/1999 530,827 359,767 399,191
8/31/1999 561,774 357,945 395,042
9/30/1999 555,145 368,394 391,679
10/31/1999 695,041 400,964 421,963
11/30/1999 815,700 451,259 465,661
12/31/1999 1,018,402 545,390 546,293
1/31/2000 1,046,917 536,026 546,182
2/29/2000 1,423,493 670,359 661,006
3/31/2000 1,292,817 623,177 661,685
4/30/2000 1,170,516 540,968 597,454
5/31/2000 1,052,645 492,337 553,903
6/30/2000 1,201,700 568,843 612,677
7/31/2000 1,173,099 545,247 573,879
8/31/2000 1,388,480 616,555 660,427
9/30/2000 1,377,234 586,921 628,140
10/31/2000 1,166,792 539,463 585,150
11/30/2000 873,461 426,655 457,993
12/31/2000 961,331 457,408 482,109
1/31/2001 881,925 463,620 509,649
2/28/2001 688,607 394,076 421,494
3/31/2001 589,930 352,264 361,172
4/30/2001 686,029 398,709 421,375
5/31/2001 654,129 401,997 419,393
6/30/2001 634,178 400,428 419,614
7/31/2001 570,887 379,366 391,316
8/31/2001 498,556 353,948 362,953
9/30/2001 397,199 302,898 302,968
10/31/2001 435,847 319,762 334,814
11/30/2001 480,957 346,026 370,860
12/31/2001 486,825 361,034 384,958
1/31/2002 470,126 347,226 372,458
2/28/2002 422,691 329,962 351,343
3/31/2002 457,859 350,761 378,158
4/30/2002 433,821 339,101 358,137
5/31/2002 405,709 327,786 347,451
6/30/2002 367,045 298,335 309,107
7/31/2002 330,414 266,160 279,076
8/31/2002 325,128 262,987 278,104
9/30/2002 313,423 246,647 256,009
10/31/2002 326,023 259,085 275,839
11/30/2002 350,637 274,472 297,429
12/31/2002 309,052 258,247 279,459
1/31/2003 305,250 254,417 276,716
2/28/2003 302,625 250,489 274,309
3/31/2003 303,805 254,073 279,417
4/30/2003 326,652 271,896 298,442
5/31/2003 362,975 294,377 327,158
6/30/2003 363,266 298,986 331,824
7/31/2003 382,591 310,778 343,682
8/31/2003 417,445 326,063 362,609
9/30/2003 401,040 315,122 355,578
10/31/2003 440,302 339,841 384,234
11/30/2003 443,516 347,922 394,516
12/31/2003 432,960 349,706 398,822
1/31/2004 450,235 358,542 411,991
2/29/2004 441,141 363,487 418,902
3/31/2004 451,110 363,400 418,102
4/30/2004 432,389 351,872 406,298
5/31/2004 430,314 359,534 415,886
6/30/2004 434,875 368,183 422,505
7/31/2004 440,181 342,024 394,524
8/31/2004 452,418 336,100 389,660
9/30/2004 454,075 350,478 404,208
Data quoted reflects past performance and cannot guarantee future results.
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.
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, in part, because the value of the 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 12 months ended September 30, 2004. Underperformance was
primarily due to the fact that many of the stocks that had performed well early
in 2003 suffered the most during the market correction last December, as well
as during the challenging final three months of the fiscal year. In particular,
poor results from the Fund's healthcare and consumer discretionary holdings led
to underperformance in the third calendar quarter of 2004.
For the year as a whole, technology and consumer discretionary stocks had the
greatest positive influence on performance. In both sectors, we invested in
companies that consistently beat expectations and raised guidance. Most of
these winners were primarily dependent on innovative new products and services
rather than on the economy to drive their growth.
Despite some big winners in the biotechnology industry, the Fund's healthcare
holdings were among the biggest detractors to performance. In addition, we
underweighted the financials sector for most of the year and therefore missed
much of the appreciation in that group. The Fund also suffered from poor stock
selections in financials.
Early in the year, our primary focus was on companies leveraged to the cyclical
rebound, including technology and energy companies, as well as on companies
positioned to benefit from continued strength in consumer spending.
Nevertheless, at this point in the economic cycle, with profits starting to
decelerate and the Federal Reserve committed to a measured pace of rate hikes,
we are trying to strike a balance between cyclical industries on the one hand
and more defensive, non-cyclicals and financials on the other. As always, the
fundamentals of individual companies override our top-down inclinations.
OUTLOOK | Near term, earnings growth may be the primary driver of stock
appreciation. Higher-beta names--securities that are more volatile than the
market as a whole--should lead the market, particularly technology, which is
oversold and out of favor. Financials also should benefit in this environment,
especially the asset management companies and asset-sensitive banks.
Longer-term, we are more cautious in the face of rising interest rates and
decelerating profits. In particular, we are long-term bulls on energy, given
the imbalance between supply and demand, and on biotech, where many emerging
companies offer encouraging products. We are long-term bearish on technology,
as we believe the overcapacity of the tech "bubble" still needs to be absorbed.
The Fund is closed to new investors.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalents
STRATEGY | Invests at least 80% of its assets in common stock or other equity
securities 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 SEPTEMBER 30, 2004
SINCE
DESCRIPTION 1 YEAR INCEPTION
-----------------------------------------------------
LOOMIS SAYLES MID CAP GROWTH FUND 12.46% -9.98%
LIPPER MID-CAP GROWTH FUNDS INDEX(a) 11.22 -3.22
RUSSELL MIDCAP GROWTH INDEX(a) 13.68 -1.16
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 2004(b)
[CHART]
Lipper
Mid-Cap Russell
Loomis Sayles Growth Midcap
Mid Cap Growth Funds Growth
Fund Index Index
-------------- ---------- -----------
2/28/2001 2,500,000 2,500,000 2,500,000
3/31/2001 2,212,500 2,234,746 2,142,213
4/30/2001 2,572,474 2,529,397 2,499,294
5/31/2001 2,460,057 2,550,254 2,487,536
6/30/2001 2,385,025 2,540,300 2,488,846
7/31/2001 2,145,091 2,406,684 2,321,004
8/31/2001 1,882,532 2,245,433 2,152,774
9/30/2001 1,497,554 1,921,570 1,796,985
10/31/2001 1,645,063 2,028,555 1,985,876
11/30/2001 1,820,098 2,195,173 2,199,676
12/31/2001 1,842,667 2,290,384 2,283,291
1/31/2002 1,777,621 2,202,790 2,209,151
2/28/2002 1,595,060 2,093,265 2,083,914
3/31/2002 1,727,609 2,225,216 2,242,963
4/30/2002 1,640,019 2,151,243 2,124,210
5/31/2002 1,535,058 2,079,464 2,060,829
6/30/2002 1,385,083 1,892,628 1,833,400
7/31/2002 1,250,037 1,688,512 1,655,275
8/31/2002 1,230,037 1,668,377 1,649,513
9/30/2002 1,185,017 1,564,722 1,518,462
10/31/2002 1,232,537 1,643,623 1,636,078
11/30/2002 1,327,565 1,741,242 1,764,136
12/31/2002 1,170,116 1,638,309 1,657,550
1/31/2003 1,155,138 1,614,009 1,641,277
2/28/2003 1,145,089 1,589,093 1,627,005
3/31/2003 1,152,646 1,611,832 1,657,302
4/30/2003 1,240,132 1,724,897 1,770,143
5/31/2003 1,377,663 1,867,519 1,940,467
6/30/2003 1,377,663 1,896,753 1,968,141
7/31/2003 1,452,608 1,971,566 2,038,472
8/31/2003 1,590,170 2,068,530 2,150,734
9/30/2003 1,525,132 1,999,120 2,109,033
10/31/2003 1,675,205 2,155,940 2,279,001
11/30/2003 1,685,256 2,207,202 2,339,985
12/31/2003 1,647,675 2,218,524 2,365,525
1/31/2004 1,707,650 2,274,577 2,443,631
2/29/2004 1,677,595 2,305,948 2,484,625
3/31/2004 1,715,173 2,305,398 2,479,877
4/30/2004 1,685,158 2,232,260 2,409,868
5/31/2004 1,757,620 2,280,870 2,466,737
6/30/2004 1,822,652 2,335,736 2,505,992
7/31/2004 1,672,647 2,169,785 2,340,029
8/31/2004 1,625,144 2,132,208 2,311,181
9/30/2004 1,715,000 2,223,417 2,397,468
Data quoted reflects past performance and cannot guarantee future results.
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.
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, in part, because the value of the 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 | The Fund underperformed its benchmark, the Russell 2000
Index, for the 12 months ended September 30, 2004. The Fund's underperformance
was primarily due to weakness in the technology and financial services areas.
Technology proved to be a difficult sector for most of the year. Investors were
skeptical of the sustainability of any rally in technology holdings, especially
in the semiconductor area. Therefore, most rallies were short-lived. In the
financials sector, capital-market-sensitive names, such as Knight Trading Group
and eSpeed, dragged down performance.
The Fund's consumer discretionary sector was the largest positive contributor
to returns. Good stock selection in an array of consumer-related industries
helped performance. In particular, Ask Jeeves and Net Flix surged on strong
demand for their services. The energy sector also posted solid gains, with
every one of the Fund's energy stocks up for the year. Evergreen Resources rose
more than 40% and was our strongest contributor in this sector.
Throughout the year we increased exposure to energy, financials and materials
and processing companies, because many delivered solid results with good future
prospects. We reduced the Fund's technology weighting, as investors worried
about the sustainability in earnings growth for many tech-related industries.
OUTLOOK | The third quarter was difficult, as investors worried about
terrorism, the war in Iraq, increasing energy prices, and the effects of a
tightening Federal Reserve monetary policy. Yet, we remain optimistic on the
market near term. The fourth quarter is generally a seasonally positive period
for equities, and we believe this year should be no different. Nevertheless,
the market may trade within a narrow range until after the election. But as
investors look toward next year, we believe the market may be setting up for a
rally, due to modest valuations in many sectors and reduced expectations for
the market in general.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its assets 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 | $30.5 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS INCEPTION
---------------------------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH FUND:
INSTITUTIONAL 4.31% -10.64% 0.08%
RETAIL 3.91 -10.90 -0.18
LIPPER SMALL-CAP GROWTH FUNDS INDEX(a) 8.17 2.94 5.01
RUSSELL 2000 INDEX(a) 18.77 7.41 7.45
RUSSELL 2000 GROWTH INDEX(a) 11.92 -0.68 2.22
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 2004(b)(c)
[CHART]
Lipper Russell
Small-Cap 2000 Russell
Growth Funds Growth 2000
Value Index Index Index
----- ----- ----- -----
12/31/1996 250,000 250,000 250,000 250,000
1/31/1997 256,500 255,797 256,245 254,996
2/28/1997 237,493 237,326 240,769 248,813
3/31/1997 212,747 220,207 223,779 237,073
4/30/1997 208,747 216,928 221,191 237,734
5/31/1997 242,752 247,023 254,436 264,182
6/30/1997 257,001 260,237 263,063 275,503
7/31/1997 277,741 275,899 276,542 288,323
8/31/1997 282,491 280,282 284,841 294,920
9/30/1997 313,734 303,870 307,571 316,506
10/31/1997 291,741 288,334 289,097 302,603
11/30/1997 288,503 281,817 282,204 300,645
12/31/1997 298,572 278,064 282,363 305,908
1/31/1998 288,809 273,937 278,596 301,080
2/28/1998 320,202 296,085 303,193 323,343
3/31/1998 334,707 309,478 315,911 336,678
4/30/1998 330,222 311,729 317,848 338,541
5/31/1998 302,516 289,667 294,756 320,308
6/30/1998 332,042 298,156 297,767 320,982
7/31/1998 299,336 275,720 272,902 294,997
8/31/1998 231,806 215,500 209,905 237,715
9/30/1998 259,228 227,024 231,187 256,318
10/31/1998 269,520 235,975 243,245 266,771
11/30/1998 303,264 255,166 262,115 280,748
12/31/1998 354,424 280,746 285,834 298,121
1/31/1999 364,702 287,535 298,691 302,083
2/28/1999 341,763 259,868 271,368 277,616
3/31/1999 367,873 271,613 281,033 281,950
4/30/1999 371,295 282,219 305,852 307,215
5/31/1999 364,426 283,757 306,336 311,702
6/30/1999 419,017 310,316 322,473 325,797
7/31/1999 406,614 309,220 312,501 316,858
8/31/1999 418,487 304,885 300,814 305,131
9/30/1999 441,420 315,937 306,616 305,198
10/31/1999 498,098 334,359 314,470 306,434
11/30/1999 550,847 376,545 347,721 324,731
12/31/1999 679,800 452,471 409,007 361,491
1/31/2000 667,428 447,759 405,201 355,685
2/29/2000 908,703 578,948 499,476 414,422
3/31/2000 788,481 533,505 446,973 387,099
4/30/2000 725,166 467,554 401,845 363,805
5/31/2000 627,051 429,327 366,657 342,602
6/30/2000 701,420 504,937 414,022 372,467
7/31/2000 629,454 472,086 378,540 360,483
8/31/2000 734,950 522,857 418,358 387,989
9/30/2000 711,506 496,964 397,574 376,585
10/31/2000 641,849 459,679 365,301 359,775
11/30/2000 476,188 381,396 298,975 322,843
12/31/2000 556,378 415,131 317,270 350,570
1/31/2001 531,174 427,780 342,949 368,822
2/28/2001 413,519 373,014 295,939 344,622
3/31/2001 352,235 336,786 269,033 327,764
4/30/2001 416,835 373,146 301,970 353,405
5/31/2001 405,331 383,257 308,964 362,092
6/30/2001 415,180 392,921 317,390 374,595
7/31/2001 356,598 371,018 290,313 354,318
8/31/2001 316,374 349,053 272,183 342,874
9/30/2001 247,816 294,576 228,265 296,719
10/31/2001 276,439 316,162 250,225 314,083
11/30/2001 297,476 340,661 271,112 338,398
12/31/2001 309,256 361,298 287,991 359,285
1/31/2002 294,380 350,373 277,746 355,548
2/28/2002 257,612 329,170 259,769 345,804
3/31/2002 273,610 356,082 282,348 373,597
4/30/2002 263,514 346,687 276,239 377,002
5/31/2002 250,891 332,779 260,087 360,270
6/30/2002 229,290 308,052 238,032 342,394
7/31/2002 196,731 264,364 201,449 290,682
8/31/2002 194,488 263,980 201,355 289,942
9/30/2002 178,209 247,970 186,811 269,120
10/31/2002 189,722 258,551 196,260 277,749
11/30/2002 200,668 280,207 215,716 302,536
12/31/2002 180,742 261,487 200,840 285,691
1/31/2003 174,850 254,582 195,384 277,784
2/28/2003 172,612 246,649 190,173 269,391
3/31/2003 170,920 251,735 193,052 272,859
4/30/2003 188,884 272,540 211,323 298,731
5/31/2003 209,926 300,331 235,137 330,789
6/30/2003 214,145 310,509 239,668 336,775
7/31/2003 229,028 328,666 257,786 357,847
8/31/2003 247,282 346,094 271,633 374,254
9/30/2003 241,100 337,594 264,757 367,346
10/31/2003 261,039 368,222 287,629 398,194
11/30/2003 269,731 378,027 297,006 412,325
12/31/2003 259,077 378,566 298,334 420,691
1/31/2004 277,601 396,277 314,007 438,968
2/29/2004 266,663 394,788 313,521 442,903
3/31/2004 265,543 392,059 314,986 447,031
4/30/2004 254,045 372,901 299,175 424,239
5/31/2004 262,175 380,679 305,126 430,991
6/30/2004 272,557 391,533 315,278 449,142
7/31/2004 247,563 356,991 286,979 418,900
8/31/2004 236,893 345,426 280,801 416,747
9/30/2004 251,533 365,160 296,328 436,311
Data quoted reflects past performance and cannot guarantee future results.
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
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.
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, in part, because the value of the 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 outperformed its benchmark, the Russell 2000 Index,
for the 12 months ended September 30, 2004. The Fund's outperformance was
fueled by the continued rotation away from the lower-quality stocks in 2003
into attractively-valued, fundamentally sound equities. Our long-standing
investment discipline, which emphasizes undervalued, under-followed or
misunderstood small companies, typically favors higher-quality characteristics,
such as positive earnings and cash flows, superior earnings visibility, and
better balance sheets. As a result, stock selection was positive during the
period in the transportation, consumer staples and consumer discretionary
sectors.
Within the transportation industry, an improving economy increased freight
volumes, and transportation capacity was relatively stable. Our holdings in
trucking (Landstar and Old Dominion) and rail service (Genesee & Wyoming) were
particularly positive. Within staples, grocery supplier Smart & Final, and
cereal and snack manufacturer Ralcorp were solid performers. In consumer
discretionary, contribution was broad based, with Cole National and Fossil Inc.
leading the way.
Although absolute returns in the materials sector were strong, our holdings
were somewhat conservatively positioned during what turned out to be an
exceptional rally driven by higher commodity prices. Within producer durables,
good performance from select industrial and defense-oriented stocks was offset
by weakness in technology-oriented industrials serving the telecommunication
and semiconductor equipment industries. Technology was the weakest sector for
the year, and although our stock selection was favorable, we entered the year
modestly overweight in the sector.
OUTLOOK | With solid earnings growth and relatively flat stock prices this
year, valuation levels look reasonable. Interest rates are low, and corporate
balance sheets appear to be in good shape. We expect continued earnings growth
but at a somewhat slower pace during the next several quarters, as the recovery
matures and higher raw materials and energy prices work their way through the
economy. Long term, the economy should continue to expand, corporate earnings
should grow, inflation should remain tame, and interest rates, although
increasing, should move up in a measured fashion.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its assets 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 | $582.4 million
[PHOTO] [PHOTO]
Joseph Gatz Daniel Thelen
JOSEPH GATZ DANIEL THELEN
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE FUND:
INSTITUTIONAL 23.84% 13.30% 14.00% 14.96%
RETAIL(a) 23.51 13.03 13.77 14.79
ADMIN(a) 23.25 12.74 13.37 14.42
LIPPER SMALL-CAP CORE FUNDS INDEX(b)(c) 21.99 10.50 11.64 N/A
RUSSELL 2000 VALUE INDEX(c) 25.66 14.71 13.41 14.60
RUSSELL 2000 INDEX(c) 18.77 7.41 9.87 11.03
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 2004(d)(e)
[CHART]
Loomis Sayles Lipper Small
Small Cap -Cap Core Russell 2000 Russell
Value Fund Funds Index Value Index 2000 Index
------------- ------------- ------------ ----------
5/13/1991 $ 250,000 $ 250,000 $ 250,000 $ 250,000
5/31/1991 255,500 250,000 261,728 261,916
6/30/1991 246,500 250,000 249,473 246,653
7/31/1991 266,000 250,000 255,952 255,308
8/31/1991 286,250 250,000 263,720 264,758
9/30/1991 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
1/31/1992 359,360 265,945 295,624 304,999
2/29/1992 379,469 273,568 309,725 313,896
3/31/1992 359,099 264,312 306,355 303,271
4/30/1992 340,817 255,365 302,112 292,646
5/31/1992 341,340 254,825 310,327 296,538
6/30/1992 311,567 245,833 300,278 282,514
7/31/1992 320,185 252,555 311,590 292,344
8/31/1992 309,739 248,421 305,517 284,095
9/30/1992 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
1/31/1993 385,875 296,024 370,979 345,386
2/28/1993 376,994 289,261 372,463 337,409
3/31/1993 392,750 297,159 386,591 348,358
4/30/1993 382,724 287,452 377,301 338,796
5/31/1993 399,053 298,214 389,167 353,787
6/30/1993 401,058 300,514 392,856 355,994
7/31/1993 410,798 303,304 399,600 360,909
8/31/1993 432,856 312,400 415,222 376,501
9/30/1993 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
1/31/1994 469,799 333,938 451,601 409,602
2/28/1994 462,637 333,304 450,293 408,121
3/31/1994 435,940 320,340 430,084 386,573
4/30/1994 431,056 319,794 434,322 388,871
5/31/1994 424,545 320,604 433,699 384,504
6/30/1994 414,452 310,196 422,386 371,448
7/31/1994 416,731 314,670 430,189 377,550
8/31/1994 436,266 329,162 447,122 398,589
9/30/1994 435,940 329,749 442,378 397,254
10/31/1994 433,019 331,467 434,283 395,686
11/30/1994 415,785 323,070 416,763 379,706
12/31/1994 421,856 325,868 429,306 389,907
1/31/1995 423,163 329,229 427,200 384,988
2/28/1995 439,582 342,338 443,008 401,003
3/31/1995 450,088 349,588 445,199 407,909
4/30/1995 451,393 355,463 458,439 416,979
5/31/1995 460,602 359,779 468,257 424,149
6/30/1995 473,084 374,109 484,258 446,152
7/31/1995 504,591 394,788 501,926 471,851
8/31/1995 528,862 407,916 516,837 481,612
9/30/1995 538,699 414,898 524,553 490,213
10/31/1995 510,794 400,223 503,602 468,290
11/30/1995 535,415 412,187 523,618 487,965
12/31/1995 557,206 426,052 539,838 500,839
1/31/1996 558,321 429,170 543,420 500,301
2/29/1996 586,348 444,379 551,937 515,895
3/31/1996 599,834 455,506 563,523 526,396
4/30/1996 635,464 486,931 578,898 554,543
5/31/1996 661,646 508,903 593,556 576,396
6/30/1996 646,031 485,793 586,548 552,727
7/31/1996 609,659 446,334 555,366 504,450
8/31/1996 640,203 469,085 579,461 533,738
9/30/1996 661,842 488,809 595,280 554,597
10/31/1996 671,571 479,658 602,183 546,049
11/30/1996 703,672 496,987 634,587 568,549
12/31/1996 726,893 505,760 655,187 583,449
1/31/1997 739,832 517,036 665,260 595,109
2/28/1997 730,214 503,508 671,575 580,680
3/31/1997 714,296 478,111 653,562 553,280
4/30/1997 707,581 478,242 663,172 554,822
5/31/1997 784,495 529,245 715,970 616,546
6/30/1997 821,288 559,170 752,202 642,968
7/31/1997 868,348 592,820 783,774 672,887
8/31/1997 886,496 607,321 796,217 688,283
9/30/1997 939,332 652,898 849,164 738,661
10/31/1997 909,743 626,902 826,076 706,213
11/30/1997 906,377 618,871 835,128 701,645
12/31/1997 915,712 618,206 863,435 713,926
1/31/1998 895,567 609,161 847,814 702,659
2/28/1998 958,973 654,637 899,067 754,616
3/31/1998 1,001,743 685,496 935,534 785,738
4/30/1998 997,335 692,091 940,158 790,086
5/31/1998 954,549 656,163 906,874 747,534
6/30/1998 942,236 653,811 901,752 749,107
7/31/1998 881,273 606,640 831,121 688,464
8/31/1998 730,311 489,398 700,960 554,778
9/30/1998 767,192 509,982 740,546 598,194
10/31/1998 807,546 530,915 762,535 622,590
11/30/1998 853,253 560,518 783,175 655,209
12/31/1998 905,814 595,725 807,733 695,755
1/31/1999 863,331 591,259 789,399 705,001
2/28/1999 802,380 542,960 735,503 647,899
3/31/1999 802,861 545,426 729,435 658,014
4/30/1999 868,294 582,266 796,024 716,977
5/31/1999 885,747 594,314 820,492 727,450
6/30/1999 926,669 628,657 850,200 760,345
7/31/1999 915,178 625,223 830,023 739,482
8/31/1999 884,702 602,297 799,682 712,114
9/30/1999 865,239 601,830 783,694 712,270
10/31/1999 856,760 607,069 768,013 715,155
11/30/1999 874,580 646,203 771,994 757,856
12/31/1999 909,126 715,909 795,713 843,645
1/31/2000 875,398 702,150 774,905 830,097
2/29/2000 937,288 801,151 822,268 967,176
3/31/2000 990,432 789,758 826,123 903,410
4/30/2000 992,512 745,843 831,013 849,047
5/31/2000 950,033 714,136 818,331 799,563
6/30/2000 981,194 777,128 842,243 869,262
7/31/2000 997,580 752,970 870,306 841,295
8/31/2000 1,059,929 820,051 909,215 905,486
9/30/2000 1,044,030 798,977 904,060 878,874
10/31/2000 1,063,449 774,942 900,851 839,641
11/30/2000 1,029,312 697,771 882,512 753,451
12/31/2000 1,119,891 765,544 977,337 818,159
1/31/2001 1,151,024 792,794 1,004,314 860,755
2/28/2001 1,121,558 742,434 1,002,928 804,277
3/31/2001 1,081,182 707,334 986,842 764,935
4/30/2001 1,140,647 763,688 1,032,519 824,776
5/31/2001 1,173,954 791,519 1,059,070 845,048
6/30/2001 1,219,738 815,994 1,101,681 874,227
7/31/2001 1,226,813 797,090 1,076,976 826,906
8/31/2001 1,212,582 774,784 1,073,245 800,198
9/30/2001 1,084,412 673,267 954,769 692,481
10/31/2001 1,122,583 713,264 979,707 733,006
11/30/2001 1,190,948 766,270 1,050,104 789,753
12/31/2001 1,275,148 820,091 1,114,398 838,499
1/31/2002 1,273,363 810,375 1,129,190 829,778
2/28/2002 1,284,314 788,738 1,136,065 807,036
3/31/2002 1,358,933 849,341 1,221,145 871,899
4/30/2002 1,362,602 853,515 1,264,131 879,845
5/31/2002 1,337,530 821,702 1,222,322 840,796
6/30/2002 1,292,856 775,677 1,195,260 799,078
7/31/2002 1,124,139 670,247 1,017,670 678,393
8/31/2002 1,142,462 673,799 1,013,148 676,665
9/30/2002 1,056,321 626,103 940,778 628,071
10/31/2002 1,074,067 648,354 954,930 648,208
11/30/2002 1,127,877 696,200 1,031,134 706,057
12/31/2002 1,106,448 662,377 987,077 666,744
1/31/2003 1,077,680 643,007 959,285 648,291
2/28/2003 1,054,402 622,929 927,036 628,702
3/31/2003 1,057,460 628,189 936,937 636,798
4/30/2003 1,144,277 680,497 1,025,932 697,177
5/31/2003 1,215,795 740,279 1,130,685 771,993
6/30/2003 1,241,448 757,321 1,149,843 785,964
7/31/2003 1,289,120 796,158 1,207,184 835,142
8/31/2003 1,337,977 830,662 1,253,039 873,432
9/30/2003 1,304,394 812,622 1,238,666 857,310
10/31/2003 1,412,528 876,479 1,339,669 929,304
11/30/2003 1,453,633 908,054 1,391,094 962,283
12/31/2003 1,488,520 933,305 1,441,403 981,806
1/31/2004 1,522,458 962,874 1,491,241 1,024,461
2/29/2004 1,551,994 979,629 1,520,117 1,033,645
3/31/2004 1,577,757 990,251 1,541,139 1,043,278
4/30/2004 1,523,167 956,217 1,461,439 990,088
5/31/2004 1,535,047 964,540 1,479,080 1,005,846
6/30/2004 1,603,357 1,005,716 1,554,201 1,048,206
7/31/2004 1,536,818 952,723 1,482,754 977,627
8/31/2004 1,558,794 944,388 1,497,299 972,602
9/30/2004 1,615,579 991,351 1,556,525 1,018,262
Data quoted reflects past performance and cannot guarantee future results.
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.
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
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.
Value stocks 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 underperformed its benchmark, the Russell 2000
Index, for the 12 months ended September 30, 2004. Our focus on the smaller-cap
names in the Fund's universe of stocks was a negative influence on performance
during the period. Much of the Fund's underperformance for the fiscal year
occurred in the final calendar quarter of 2003 and the first calendar quarter
of 2004, when investors focused on the larger, more liquid stocks in
the benchmark.
The Fund's technology sector suffered the greatest setbacks during the fiscal
year. Early in the period, investors rotated out of volatile sectors, such as
technology. Then, as the year progressed, the sector's fundamentals showed
signs of erosion, putting further downward pressure on technology stocks. In
particular, shares of technology companies Microsemi Corp. and Silicon Storage
Technology Inc. fell as evidence grew that the rebound in tech fundamentals had
peaked. In addition to technology, the healthcare and producer durables sectors
also dragged down Fund performance, primarily due to unfavorable stock
selections.
On the bright side, the consumer discretionary sector offered the greatest
positive contribution to the Fund's one-year performance. Energy also was a
significant positive contributor, largely due to good stock choices and an
overall positive environment for energy holdings. In particular, the Fund
realized strong gains from Quicksilver Resources, an energy exploration and
development company that benefited from strong demand and rising worldwide
energy prices.
OUTLOOK | In the near term, we believe the market has the potential to post
strong gains, as long as the economy regains momentum, the presidential
election goes off without a major incident, and oil prices ease from their
recent peaks. Longer term, we expect average gains for stocks, as the threat of
higher inflation and interest rates may serve to depress earnings multiples.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalents
STRATEGY | Invests at least 80% of its assets 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 | $20.8 million
[PHOTO] [PHOTO]
Chris Ely Dave Smith
CHRIS ELY DAVE SMITH
[PHOTO]
Phil Fine
PHIL FINE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
FUND NAME 1 YEAR 5 YEARS INCEPTION(a)
-------------------------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND -5.32% -7.40% -4.17%
LIPPER SMALL-CAP GROWTH FUNDS INDEX(b) 8.17 2.94 4.87
RUSSELL 2000 GROWTH INDEX(b) 11.92 -0.68 -0.58
RUSSELL 2000 INDEX(b) 18.77 7.41 6.69
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 2004(c)
[CHART]
Loomis Sayles
Small Company Lipper Small-Cap Russell 2000 Russell 2000
Growth Fund Growth Funds Index Growth Index Index
------------ ------------------ ------------ ------------
5/7/1999 3,000,000 3,000,000 3,000,000 3,000,000
5/31/1999 2,934,000 3,016,354 3,004,753 3,043,821
6/30/1999 3,396,105 3,298,675 3,163,029 3,181,461
7/31/1999 3,273,166 3,287,027 3,065,220 3,094,164
8/31/1999 3,315,063 3,240,941 2,950,585 2,979,653
9/30/1999 3,501,038 3,358,429 3,007,498 2,980,303
10/31/1999 3,950,921 3,554,247 3,084,532 2,992,374
11/30/1999 4,337,716 4,002,685 3,410,680 3,171,047
12/31/1999 5,330,619 4,809,787 4,011,818 3,530,009
1/31/2000 5,381,793 4,759,699 3,974,482 3,473,322
2/29/2000 7,367,675 6,154,247 4,899,203 4,046,892
3/31/2000 6,416,508 5,671,181 4,384,218 3,780,078
4/30/2000 5,702,351 4,970,115 3,941,564 3,552,611
5/31/2000 5,003,242 4,563,770 3,596,423 3,345,559
6/30/2000 6,154,989 5,367,502 4,061,012 3,637,195
7/31/2000 5,228,048 5,018,298 3,712,981 3,520,175
8/31/2000 6,139,819 5,557,998 4,103,539 3,788,767
9/30/2000 5,932,907 5,282,750 3,899,678 3,677,414
10/31/2000 5,347,923 4,886,405 3,583,124 3,513,254
11/30/2000 4,001,316 4,054,260 2,932,549 3,152,614
12/31/2000 4,508,282 4,412,859 3,111,995 3,423,368
1/31/2001 4,392,419 4,547,319 3,363,881 3,601,600
2/28/2001 3,494,609 3,965,154 2,902,774 3,365,283
3/31/2001 3,123,132 3,580,050 2,638,858 3,200,667
4/30/2001 3,534,136 3,966,561 2,961,925 3,451,054
5/31/2001 3,433,767 4,074,036 3,030,531 3,535,880
6/30/2001 3,436,857 4,176,764 3,113,175 3,657,972
7/31/2001 3,248,174 3,943,935 2,847,589 3,459,969
8/31/2001 3,004,561 3,710,450 2,669,754 3,348,217
9/30/2001 2,456,529 3,131,357 2,238,977 2,897,505
10/31/2001 2,699,971 3,360,816 2,454,374 3,067,068
11/30/2001 2,894,909 3,621,247 2,659,251 3,304,510
12/31/2001 3,050,076 3,840,612 2,824,813 3,508,476
1/31/2002 2,891,777 3,724,480 2,724,318 3,471,984
2/28/2002 2,602,599 3,499,090 2,547,990 3,376,829
3/31/2002 2,846,202 3,785,168 2,769,458 3,648,232
4/30/2002 2,715,277 3,685,299 2,709,539 3,681,480
5/31/2002 2,526,565 3,537,460 2,551,112 3,518,089
6/30/2002 2,392,657 3,274,603 2,334,782 3,343,530
7/31/2002 1,917,715 2,810,198 1,975,945 2,838,554
8/31/2002 1,920,783 2,806,116 1,975,026 2,831,326
9/30/2002 1,756,364 2,635,933 1,832,366 2,627,997
10/31/2002 1,862,975 2,748,407 1,925,048 2,712,256
11/30/2002 1,987,795 2,978,613 2,115,891 2,954,308
12/31/2002 1,826,386 2,779,617 1,969,971 2,789,815
1/31/2003 1,762,462 2,706,216 1,916,453 2,712,601
2/28/2003 1,722,807 2,621,886 1,865,348 2,630,638
3/31/2003 1,731,938 2,675,954 1,893,587 2,664,512
4/30/2003 1,917,602 2,897,118 2,072,796 2,917,154
5/31/2003 2,133,715 3,192,537 2,306,381 3,230,202
6/30/2003 2,215,863 3,300,728 2,350,829 3,288,658
7/31/2003 2,389,365 3,493,734 2,528,543 3,494,430
8/31/2003 2,562,833 3,678,998 2,664,357 3,654,645
9/30/2003 2,517,215 3,588,638 2,596,912 3,587,186
10/31/2003 2,699,965 3,914,219 2,821,256 3,888,427
11/30/2003 2,776,104 4,018,446 2,913,238 4,026,419
12/31/2003 2,669,501 4,024,170 2,926,262 4,108,107
1/31/2004 2,785,091 4,212,446 3,079,989 4,286,587
2/29/2004 2,687,613 4,196,614 3,075,223 4,325,013
3/31/2004 2,644,880 4,167,609 3,089,598 4,365,321
4/30/2004 2,489,625 3,963,959 2,934,506 4,142,759
5/31/2004 2,544,397 4,046,641 2,992,879 4,208,695
6/30/2004 2,626,581 4,162,010 3,092,464 4,385,938
7/31/2004 2,331,353 3,794,833 2,814,885 4,090,619
8/31/2004 2,227,841 3,671,895 2,754,284 4,069,594
9/30/2004 2,383,893 3,881,664 2,906,582 4,260,645
Data quoted reflects past performance and cannot guarantee future results.
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.
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, in part, because the value of the underlying securities is
based on future expectations that may or may not be met.
In mid-September, we implemented some changes to the portfolio's structure. The
volatility that exists in the market today--and we believe is here to stay--led
us to attempt to reduce some of the risks inherent in a relatively concentrated
portfolio. Specifically, we increased the number of holdings from 75 to
approximately 125 and we reduced the sector concentration. Our strategy remains
the same and we are confident this new structure is the best way to better
position the portfolio in the current market environment.
5
FUND AND MANAGER REVIEW
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
PORTFOLIO REVIEW | We positioned the portfolio with stocks we believed would
benefit from an improving economic environment driven by moderate GDP growth
and higher interest rates. Still, the Fund lagged its benchmark, the S&P 500
Index, for the 2 months ended September 30, 2004.
The Fund's holdings in healthcare, energy and consumer staples were positive
contributors to performance. Stock selection was the key in healthcare and
materials while overweighting energy proved advantageous.
In terms of specific holdings, the three stocks that performed best for the
year on a relative basis included Harris Corp., ConocoPhillips and Praxair.
Harris, a provider of products and services for the communication markets, saw
an increase in order flow. ConocoPhillips advanced on higher energy prices.
Praxair, an industrial gas provider, saw a gain in profits due to the expanding
economy.
The Fund's relative performance suffered somewhat from stock selections in
the telecommunication and consumer discretionary sectors. In addition,
overweighting the technology sector hurt performance. In particular, the
sell-off in technology stocks and concerns about slowing top-line growth hurt
Intel and VERITAS Software. We sold VERITAS, but Intel remains a core holding
based on its attractive valuation and long-term market opportunity potential.
OUTLOOK | We continue to believe the U.S. equity market will generate moderate
returns for 2004. Although domestic politics, tensions in the Middle East,
higher oil prices and rising interest rates have weighed on market performance
so far this year, fundamentals continue to improve. In addition, we believe
earnings announcements will continue to be positive.
KEY FUND FACTS
OBJECTIVE | Long-term capital growth
STRATEGY | Invests at least 80% of assets 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 | $5.2 million
[PHOTO] [PHOTO]
Robert Ix Mark A. Shank
ROBERT IX MARK A. SHANK
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE SINCE
FUND NAME 1 YEAR 5 YEARS REGISTRATION(a)(b) INCEPTION(a)(b)
- --------------------------------------------------------------------------------------
LOOMIS SAYLES TAX-MANAGED
EQUITY FUND 13.40% 4.05% 9.05% 10.17%
RETURN AFTER TAXES ON DISTRIBUTIONS 12.87 0.30 5.21 6.84
RETURN AFTER TAXES ON DISTRIBUTIONS
AND SALE OF FUND SHARES 9.06 1.46 5.84 7.16
LIPPER MULTI-CAP CORE FUNDS INDEX(c) 13.97 1.02 6.08 8.32
S&P 500 INDEX(c) 13.87 -1.31 6.22 9.18
CUMULATIVE PERFORMANCE REGISTRATION TO SEPTEMBER 30, 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
04/30/2004 479,877 386,400 389,440
05/31/2004 482,132 391,028 394,784
06/30/2004 494,041 399,684 402,461
07/31/2004 473,637 383,296 389,140
08/31/2004 470,795 383,014 390,714
09/30/2004 481,596 391,205 394,946
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 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 595,589 515,564 553,073
02/29/2004 607,561 523,571 560,760
03/31/2004 604,037 517,628 552,300
04/30/2004 595,580 506,730 543,630
05/31/2004 598,380 512,799 551,090
06/30/2004 613,160 524,150 561,806
07/31/2004 587,836 502,659 543,212
08/31/2004 584,309 502,289 545,409
09/30/2004 597,568 513,030 551,317
Data quoted reflects past performance and cannot guarantee future results.
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
which, performance and rankings would be lower. Returns do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of shares.
(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.
Growth funds involve increased risks, in part, because the value of the
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 | Buoyed by performance in the energy, industrials and
financials sectors, the Fund outperformed its benchmark, the S&P 500 Index,
during the fiscal year ended September 30, 2004. The Fund's energy holdings
benefited from rising oil and natural gas prices. Positive stock-picking helped
propel the Fund's financials sector, as two banks represented in the portfolio
were taken over at prices well above their costs. The Fund's industrials sector
also performed well due to our position in Tyco, which continued to benefit
from strong business growth.
Although no sectors generated negative performance for the year, the
consumer staples and healthcare areas were uninspiring. The consumer staples
sector generally lagged as disappointing performance from a number of bell
weather stocks dragged down the whole group. Healthcare lagged due to our
position in McKesson, which reduced its earnings guidance due to a lack of
price increases from the pharmaceutical companies.
Throughout the fiscal year we favored attractively-valued companies with
economic sensitivity. Given our forecast for rising interest rates, we
underweighted the financials sector. Within the final few months of the year,
we increased the Fund's energy weighting, because we believed oil and natural
gas prices would remain high.
OUTLOOK | In the short term, we believe the market may remain volatile, as
election uncertainty and continued increases in energy prices weigh on the
market. Longer-term, we are confident in the market's potential. Continued
economic growth should promote earnings and dividend growth, which would be
positive for stock prices. However, further increases in interest rates may put
a damper on the stock market, so our forecast is for solid, but not overly
robust returns. The best performance may include energy and other
economically-sensitive areas.
KEY FUND FACTS
OBJECTIVE | Long-term growth of capital and income
STRATEGY | Invests primarily in equity securities, including common stocks,
convertible securities, and warrants; Fund invests primarily in medium- and
large-sized companies
FUND INCEPTION DATE | 5/13/91
EXPENSE RATIO | 0.85%
TOTAL NET ASSETS | $33.6 million
[PHOTO] [PHOTO]
Warren Koontz James Carroll
WARREN KOONTZ JAMES CARROLL
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
--------------------------------------------------------------------------
LOOMIS SAYLES VALUE FUND 19.38% 3.03% 9.60% 9.85%
LIPPER LARGE-CAP VALUE FUNDS INDEX(b) 16.69 1.35 10.26 10.38
S&P 500 INDEX(b) 13.87 -1.31 11.08 10.68
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 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 860,577 935,257 977,670
04/30/2004 844,571 918,021 962,322
05/31/2004 857,830 924,729 975,528
6/30/2004 874,387 945,085 994,497
7/31/2004 861,708 922,336 961,582
8/31/2004 864,982 929,020 965,472
9/30/2004 879,401 939,998 975,928
Data quoted reflects past performance and cannot guarantee future results.
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.
Value stocks 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 slightly lagged its benchmark, the S&P 500 Index,
for the 12 months ended September 30, 2004.
On the stock side, our higher quality emphasis helped to generate solid
absolute returns for the portfolio. The economically-sensitive sectors were
among our best performers, especially materials, which generated strong
absolute and relative returns. Strong stock selection was particularly helpful
in healthcare, which more than made up for the drag we had in telecommunication
services.
In the bond portfolio, our currency and country strategies were keys to
performance. We positioned the portfolio to take advantage of a weaker U.S.
dollar and invested nearly 75% of the portfolio in non-dollar currencies. In
particular, the portfolio realized double-digit returns from several
currencies, including the euro, U.K. sterling, Canadian dollar, Australian
dollar, New Zealand dollar and Swedish krona. Emerging market positions, which
advanced strongly for the year, dominated our country strategy. The portfolio
realized notable gains from positions in Brazil.
Issue selection in the bond portfolio also enhanced performance. Specifically,
we focused on BBB-rated corporate securities, which were strong out-performers
for the year. Our issue selections also helped offset the negative impact of
our duration strategy. We maintained a shorter duration (sensitivity to
interest rate changes), which cost the portfolio some performance in the
declining yield environment.
OUTLOOK | We continue to believe we will see modest returns in the equity
markets this year. Although domestic political events, tension in the Middle
East, higher oil prices and rising interest rates have weighed on market
performance this year, fundamentals continue to improve and earnings remain
solid. Within the bond portfolio, we continue to favor non-U.S. dollar currency
exposure. We also plan to use corporates and emerging market debt for added
income and exposure to upgrade candidates. Nevertheless, we are not spending
our "quality budget" as aggressively as we would if spreads were wider.
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 | $17.3 million
[PHOTO] [PHOTO]
Daniel Fuss David Rolley
DANIEL FUSS DAVID ROLLEY
[PHOTO] [PHOTO]
Warren Koontz
MARK B. BARIBEAU WARREN KOONTZ
effective 10/1/04 effective 10/1/04
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS INCEPTION(a)
-----------------------------------------------------------------
LOOMIS SAYLES WORLDWIDE FUND 13.24% 11.87% 10.16%
LIPPER GLOBAL FLEXIBLE FUNDS INDEX(b) 12.55 3.23 6.44
S&P 500 INDEX(b) 13.87 -1.31 8.23
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 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 568,259 426,515 487,221
04/30/2004 557,689 414,215 479,572
05/31/2004 566,445 416,130 486,154
06/30/2004 577,378 421,198 495,607
07/31/2004 569,006 411,174 479,204
08/31/2004 571,168 412,788 481,142
09/30/2004 564,315 422,703 486,353
Data quoted reflects past performance and cannot guarantee future results.
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.
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
ADDITIONAL INFORMATION
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 that 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 SEC's
website at www.sec.gov. Information about how the Funds voted proxies relating
to portfolio securities during the 12 months ended June 30, 2004 is available
on (i) the Funds' website and (ii) the SEC's website.
Quarterly Portfolio Schedules
Beginning next quarter, the Funds will file a complete schedule of portfolio
holdings with the SEC for the first and third quarters of each fiscal year on
Form N-Q. The Funds' Forms N-Q will be available on the SEC's website at
www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room
in Washington, DC. Information on the operation of the Public Reference Room
may be obtained by calling 1-800-SEC-0330.
9
UNDERSTANDING YOUR FUND'S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1) transaction
costs, including redemption fees and certain exchange fees; and (2) ongoing
costs, including management fees, distribution fees (12b-1 fees), and other
Fund expenses. These costs are described in more detail in the Fund's
prospectus. The examples below are intended to help you understand the ongoing
costs of investing in the Funds and help you compare these with the ongoing
costs of investing in other mutual funds.
The first line in the table of each Fund shows the actual account values and
actual Fund expenses you would have paid on a $1,000 investment in the Fund
from April 1, 2004 through September 30, 2004. It also shows how much a $1,000
investment would be worth at the close of the period, assuming actual fund
returns and expenses. To estimate the expenses you paid over the period, simply
divide your account value by $1,000 (for example $8,600 account value divided
by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid
During the Period column as shown below for your class.
The second line in the table of each Fund provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratios and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expenses you paid on your investment for the period. You may use
this information to compare the ongoing costs of investing in the Funds and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs. Therefore, the second line in the table is
useful in comparing ongoing costs only, and will not help you determine the
relative costs of owning different funds. If transaction costs were included,
total costs would be higher.
Loomis Sayles Aggressive Growth Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual.................................... $1,000.00 $1,006.50 $5.02
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,020.00 $5.05
Retail Class
- ------------
Actual.................................... $1,000.00 $1,005.30 $6.27
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,018.75 $6.31
*Expenses are equal to the Fund's annualized expense ratio of 1.00% and 1.25% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the half-year
period).
Loomis Sayles Mid Cap Growth Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,000.00 $4.50
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,020.50 $4.55
*Expenses are equal to the Fund's annualized expense ratio 0.90%, multiplied by the average account value over the
period, multiplied by 183/366 (to reflect the half-year period).
Loomis Sayles Small Cap Growth Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual.................................... $1,000.00 $ 947.10 $4.87
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,020.00 $5.05
Retail Class
- ------------
Actual.................................... $1,000.00 $ 945.10 $6.08
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,018.75 $6.31
*Expenses are equal to the Fund's annualized expense ratio of 1.00% and 1.25% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the half-year
period).
10
Loomis Sayles Small Cap Value Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual....................................... $1,000.00 $1,023.90 $4.55
Hypothetical (5% return before expenses)..... $1,000.00 $1,020.50 $4.55
Retail Class
- ------------
Actual....................................... $1,000.00 $1,022.80 $5.82
Hypothetical (5% return before expenses)..... $1,000.00 $1,019.25 $5.81
Admin Class
- -----------
Actual....................................... $1,000.00 $1,021.30 $7.07
Hypothetical (5% return before expenses)..... $1,000.00 $1,018.00 $7.06
*Expenses are equal to the Fund's annualized expense ratio of 0.90%, 1.15% and 1.40% for
the Institutional, Retail and Admin Classes, respectively, multiplied by the average
account value over the period, multiplied by 183/366 (to reflect the half-year period).
Loomis Sayles Small Company Growth Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $ 901.00 $4.28
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,020.50 $4.55
*Expenses are equal to the Fund's annualized expense ratio of 0.90%, multiplied by the average account value over
the period, multiplied by 183/366 (to reflect the half-year period).
Loomis Sayles Tax-Managed Equity Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $ 989.50 $3.23
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,021.75 $3.29
*Expenses are equal to the Fund's annualized expense ratio of 0.65%, multiplied by the average account value over
the period, multiplied by 183/366 (to reflect the half-year period).
Loomis Sayles Value Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,021.80 $4.30
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,020.75 $4.29
*Expenses are equal to the Fund's annualized expense ratio of 0.85%, multiplied by the average account value over
the period, multiplied by 183/366 (to reflect the half-year period).
Loomis Sayles Worldwide Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $ 993.20 $4.98
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,020.00 $5.05
*Expenses are equal to the Fund's annualized expense ratio of 1.00%, multiplied by the average account value over
the period, multiplied by 183/366 (to reflect the half-year period).
11
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
Shares Value (a)
- -----------------------------------------------------------------
COMMON STOCKS - 97.7% OF TOTAL NET ASSETS
BANKS/SAVINGS & LOANS - 2.0%
TCF Financial Corp. 32,850 $ 995,027
----------
BIOTECHNOLOGY - 7.4%
Genzyme Corp.(c) 13,425 730,454
Gilead Sciences, Inc.(c) 23,550 880,299
ImClone Systems, Inc.(c) 6,925 365,986
Martek Biosciences Corp.(c) 9,100 442,624
Onyx Pharmaceuticals, Inc.(c) 9,700 417,197
OSI Pharmaceuticals, Inc.(c) 6,300 387,198
Pharmion Corp.(c) 9,650 498,867
----------
3,722,625
----------
CAPITAL MARKETS - 3.5%
Blackrock, Inc., Class A 14,050 1,032,534
T. Rowe Price Group, Inc. 14,775 752,639
----------
1,785,173
----------
CHEMICALS - 1.1%
Lyondell Chemical Co. 23,650 531,179
----------
COMMERCIAL BANKS - 1.0%
East West Bancorp, Inc. 15,375 516,446
----------
COMMERCIAL SERVICES & SUPPLIES - 4.5%
Corporate Executive Board Co. 16,150 989,026
Iron Mountain, Inc.(c) 38,325 1,297,301
----------
2,286,327
----------
COMMUNICATIONS EQUIPMENT - 5.0%
Juniper Networks, Inc.(c) 32,700 771,720
Research In Motion Ltd.(c) 23,125 1,765,362
----------
2,537,082
----------
COMPUTERS & PERIPHERALS - 4.2%
Apple Computer, Inc.(c) 35,825 1,388,219
Network Appliance, Inc.(c) 32,950 757,850
----------
2,146,069
----------
DIVERSIFIED FINANCIAL SERVICES - 4.2%
Chicago Mercantile Exchange 6,700 1,080,710
Moody's Corp. 14,475 1,060,294
----------
2,141,004
----------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - 1.7%
Cree, Inc.(c) 27,425 837,285
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.9%
FLIR Systems, Inc.(c) 7,925 463,613
----------
ENERGY EQUIPMENT & SERVICES - 2.1%
Smith International, Inc.(c) 17,550 1,065,812
----------
HEALTHCARE - EQUIPMENT & SUPPLIES - 5.5%
Advanced Medical Optics, Inc.(c) 18,900 747,873
Dade Behring Holdings, Inc.(c) 18,275 1,018,246
Fisher Scientific International, Inc.(c) 16,750 977,028
----------
2,743,147
----------
12
Shares Value (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 3.0%
Covance, Inc.(c) 37,700 $1,506,869
----------
HOME CONSTRUCTION - 4.9%
Pulte Homes, Inc. 20,100 1,233,537
Toll Brothers, Inc.(c) 26,950 1,248,593
----------
2,482,130
----------
HOTELS, RESTAURANTS & LEISURE - 7.8%
Starbucks Corp.(c) 22,025 1,001,256
Starwood Hotels & Resorts Worldwide, Inc. 22,450 1,042,129
Station Casinos, Inc. 23,575 1,156,118
Yum! Brands, Inc. 18,725 761,359
----------
3,960,862
----------
HOUSEHOLD DURABLES - 3.0%
Harman International Industries, Inc. 14,150 1,524,662
----------
INTERNET SOFTWARE & SERVICES - 2.9%
Ask Jeeves, Inc.(c) 16,000 523,360
Yahoo! Inc.(c) 27,825 943,546
----------
1,466,906
----------
IT SERVICES - 2.1%
Cognizant Technology Solutions Corp.(c) 35,500 1,083,105
----------
MEDIA - 2.2%
XM Satellite Radio Holdings, Inc., Class A(c) 36,500 1,132,230
----------
METALS & MINING - 6.3%
Freeport-McMoRan Copper & Gold, Inc., Class B 29,675 1,201,837
Nucor Corp. 12,900 1,178,673
Steel Dynamics, Inc. 20,825 804,262
----------
3,184,772
----------
OFFICE ELECTRONICS - 3.0%
Zebra Technologies Corp., Class A(c) 25,075 1,529,826
----------
OIL & GAS DRILLING EQUIPMENT - 2.0%
Noble Corp.(c) 22,575 1,014,746
----------
OIL & GAS EXPLORATION - 4.2%
EOG Resources, Inc. 16,175 1,065,124
Ultra Petroleum Corp.(c) 21,750 1,066,837
----------
2,131,961
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.5%
Marvell Technology Group Ltd.(c) 28,025 732,293
----------
SOFTWARE - 3.1%
Symantec Corp.(c) 28,150 1,544,872
----------
SPECIALTY RETAIL - 1.5%
PETsMART, Inc. 25,825 733,172
----------
TEXTILES APPAREL & LUXURY GOODS - 1.8%
Coach, Inc.(c) 21,875 927,938
----------
THRIFTS & MORTGAGE FINANCE - 1.4%
Commercial Capital Bancorp, Inc. 30,825 699,419
----------
13
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES AGGRESSIVE GROWTH FUND - CONTINUED
Shares Value (a)
- ------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRADING COMPANIES & DISTRIBUTORS - 2.2%
Fastenal Co. 19,200 $ 1,105,920
-----------
WIRELESS TELECOMMUNICATION SERVICES - 1.7%
Nextel Partners, Inc., Class A(c) 52,600 872,108
-----------
TOTAL COMMON STOCKS
(Identified Cost $44,036,477) 49,404,580
-----------
Principal Amount
- ------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 3.3%
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$1,651,030 on 10/1/04 collateralized by
$1,175,000 U.S. Treasury Bond, 8.500% due
2/15/20 with a value of $1,684,656 $1,651,000 1,651,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $1,651,000) 1,651,000
-----------
TOTAL INVESTMENTS - 101.0%
(Identified Cost $45,687,477)(b) 51,055,580
Other assets less liabilities--(1.0)% (482,395)
-----------
TOTAL NET ASSETS - 100% $50,573,185
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net
unrealized appreciation on
investments based on cost of
$46,347,575 for federal income
tax purposes was as follows:
Aggregate gross unrealized
appreciation for all
investments in which there is
an excess of value over tax
cost $4,860,172
Aggregate gross unrealized
depreciation for all
investments in which there is
an excess of tax cost over
value (152,167)
----------
Net unrealized appreciation $4,708,005
----------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $108,430,596 of which $87,288,208 expires on September 30,
2010 and $21,142,388 expires on September 30, 2011. These amounts may be
available to offset future realized capital gains, if any, to the extent
provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$498,755 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, unrealized gains on passive foreign
investment companies and wash sales.
(c)Non-income producing security.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Hotels, Restaurants & Leisure 7.8% Software 3.1%
Biotechnology 7.4 Office Electronics 3.0
Metals & Mining 6.3 Household Durables 3.0
Healthcare - Equipment & Supplies 5.5 Healthcare Providers & Services 3.0
Communications Equipment 5.0 Internet Software & Services 2.9
Home Construction 4.9 Media 2.2
Commercial Services & Supplies 4.5 Trading Companies & Distributors 2.2
Computers & Peripherals 4.2 IT Services 2.1
Diversified Financial Services 4.2 Energy Equipment & Services 2.1
Oil & Gas Exploration 4.2 Oil & Gas Drilling Equipment 2.0
Capital Markets 3.5 Banks/Savings & Loans 2.0
Other, less than 2% each 12.6
See accompanying notes to financial statements.
14
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES MID CAP GROWTH FUND
Shares Value (a)
- ----------------------------------------------------------------
COMMON STOCKS - 96.9% OF TOTAL NET ASSETS
BANKS/SAVINGS & LOANS - 1.9%
TCF Financial Corp. 5,350 $162,052
---------
BIOTECHNOLOGY - 7.3%
Genzyme Corp.(c) 2,275 123,783
Gilead Sciences, Inc.(c) 3,850 143,913
ImClone Systems, Inc.(c) 1,175 62,099
Martek Biosciences Corp.(c) 1,525 74,176
Onyx Pharmaceuticals, Inc.(c) 1,625 69,891
OSI Pharmaceuticals, Inc.(c) 1,050 64,533
Pharmion Corp.(c) 1,625 84,006
---------
622,401
---------
CAPITAL MARKETS - 3.5%
Blackrock, Inc., Class A 2,375 174,539
T. Rowe Price Group, Inc. 2,475 126,076
---------
300,615
---------
CHEMICALS - 1.1%
Lyondell Chemical Co. 4,000 89,840
---------
COMMERCIAL BANKS - 1.0%
East West Bancorp, Inc. 2,600 87,334
---------
COMMERCIAL SERVICES & SUPPLIES - 4.7%
Corporate Executive Board Co. 2,725 166,879
Iron Mountain, Inc.(c) 6,925 234,411
---------
401,290
---------
COMMUNICATIONS EQUIPMENT - 5.0%
Juniper Networks, Inc.(c) 5,525 130,390
Research In Motion Ltd.(c) 3,875 295,817
---------
426,207
---------
COMPUTERS & PERIPHERALS - 4.2%
Apple Computer, Inc.(c) 5,925 229,594
Network Appliance, Inc.(c) 5,550 127,650
---------
357,244
---------
DIVERSIFIED FINANCIAL SERVICES - 4.6%
Chicago Mercantile Exchange 1,100 177,430
Moody's Corp................................. 2,975 217,919
---------
395,349
---------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - 1.6%
Cree, Inc.(c) 4,625 141,201
---------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.9%
FLIR Systems, Inc.(c) 1,350 78,975
---------
ENERGY EQUIPMENT & SERVICES - 2.1%
Smith International, Inc.(c) 2,950 179,154
---------
HEALTHCARE - EQUIPMENT & SUPPLIES - 5.7%
Advanced Medical Optics, Inc.(c) 3,450 136,517
Dade Behring Holdings, Inc.(c) 3,075 171,333
Fisher Scientific International, Inc.(c) 3,075 179,365
---------
487,215
---------
15
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES MID CAP GROWTH FUND - CONTINUED
Shares Value (a)
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 2.8%
Covance, Inc.(c) 5,975 $238,821
---------
HOME CONSTRUCTION - 4.9%
Pulte Homes, Inc. 3,375 207,124
Toll Brothers, Inc.(c) 4,500 208,485
---------
415,609
---------
HOTELS, RESTAURANTS & LEISURE - 8.6%
Starbucks Corp.(c) 3,725 169,338
Starwood Hotels & Resorts Worldwide, Inc. 4,550 211,211
Station Casinos, Inc. 4,175 204,742
Yum! Brands, Inc. 3,750 152,475
---------
737,766
---------
HOUSEHOLD DURABLES - 3.0%
Harman International Industries, Inc. 2,350 253,212
---------
INTERNET SOFTWARE & SERVICES - 1.5%
Ask Jeeves, Inc.(c) 3,925 128,387
---------
IT SERVICES - 2.1%
Cognizant Technology Solutions Corp.(c) 6,000 183,060
---------
MEDIA - 2.2%
XM Satellite Radio Holdings, Inc., Class A(c) 6,125 189,997
---------
METALS & MINING - 6.1%
Freeport-McMoRan Copper & Gold, Inc., Class B 4,875 197,437
Nucor Corp. 2,100 191,877
Steel Dynamics, Inc. 3,500 135,170
---------
524,484
---------
OFFICE ELECTRONICS - 3.0%
Zebra Technologies Corp., Class A(c) 4,250 259,292
---------
OIL & GAS DRILLING EQUIPMENT - 2.0%
Noble Corp.(c) 3,800 170,810
---------
OIL & GAS EXPLORATION - 4.1%
EOG Resources, Inc. 2,650 174,502
Ultra Petroleum Corp.(c) 3,675 180,259
---------
354,761
---------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.4%
Marvell Technology Group Ltd.(c) 4,725 123,464
---------
SOFTWARE - 3.0%
Symantec Corp.(c) 4,750 260,680
---------
SPECIALTY RETAIL - 1.5%
PETsMART, Inc. 4,475 127,045
---------
TEXTILES APPAREL & LUXURY GOODS - 1.8%
Coach, Inc.(c) 3,675 155,894
---------
THRIFTS & MORTGAGE FINANCE - 1.4%
Commercial Capital Bancorp, Inc. 5,175 117,421
---------
TRADING COMPANIES & DISTRIBUTORS - 2.2%
Fastenal Co. 3,200 184,320
---------
16
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES MID CAP GROWTH FUND - CONTINUED
Shares Value (a)
- ---------------------------------------------------------------
COMMON STOCKS - CONTINUED
WIRELESS TELECOMMUNICATION SERVICES - 1.7%
Nextel Partners, Inc., Class A(c) 8,875 $ 147,148
----------
TOTAL COMMON STOCKS
(Identified Cost $7,394,990) 8,301,048
----------
TOTAL INVESTMENTS - 96.9%
(Identified Cost $7,394,990)(b) 8,301,048
Other assets less liabilities--3.1% 268,779
----------
TOTAL NET ASSETS - 100% $8,569,827
----------
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At September 30, 2004, the net unrealized appreciation on investments based on cost of $7,509,846 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over $816,674
value (25,472)
--------
Net unrealized appreciation $791,202
--------
At September 30, 2004, the Fund had a capital loss carryover of approximately
$4,658,636 of which $2,388,997 expires on September 30, 2010 and $2,269,639
expires on September 30, 2011. These amounts may be available to offset future
realized capital gains, if any, to the extent provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$104,716 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees, unrealized gains on passive foreign investment
companies and wash sales.
(c) Non-income producing security.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Hotels, Restaurants & Leisure 8.6%
Biotechnology 7.3
Metals & Mining 6.1
Healthcare - Equipment & Supplies 5.7
Communications Equipment 5.0
Home Construction 4.9
Commercial Services & Supplies 4.7
Diversified Financial Services 4.6
Computers & Peripherals 4.2
Oil & Gas Exploration 4.1
Capital Markets 3.5
Software 3.0
Office Electronics 3.0
Household Durables 3.0
Healthcare Providers & Services 2.8
Media 2.2
Trading Companies & Distributors 2.2
IT Services 2.1
Energy Equipment & Services 2.1
Oil & Gas Drilling Equipment 2.0
Other, less than 2% each 15.8
17
See accompanying notes to financial statements.
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP GROWTH FUND
Shares Value (a)
- ---------------------------------------------------------------
COMMON STOCKS - 100.6% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 2.2%
DRS Technologies, Inc.(c) 17,450 $ 653,328
----------
AIR FREIGHT & LOGISTICS - 2.1%
EGL, Inc.(c) 20,850 630,921
----------
BANKS/SAVINGS & LOANS - 2.1%
Silicon Valley Bancshares(c) 17,550 652,333
----------
BIOTECHNOLOGY - 6.9%
Keryx Biopharmaceuticals, Inc.(c) 20,950 234,431
Martek Biosciences Corp.(c) 9,950 483,968
Onyx Pharmaceuticals, Inc.(c) 6,500 279,565
Pharmion Corp.(c) 4,750 245,556
Salix Pharmaceuticals Ltd.(c) 26,087 561,392
Telik, Inc.(c) 12,700 283,210
----------
2,088,122
----------
BUILDING PRODUCTS - 1.7%
Simpson Manufacturing Co., Inc. 8,150 515,080
----------
CAPITAL MARKETS - 2.1%
Affiliated Managers Group, Inc.(c) 12,200 653,188
----------
CHEMICALS - 1.8%
Headwaters, Inc.(c) 17,250 532,335
----------
CHEMICALS - SPECIALTY - 1.2%
Cuno, Inc.(c) 6,300 363,825
----------
COMMERCIAL BANKS - 2.8%
UCBH Holdings, Inc. 9,250 361,397
Wintrust Financial Corp. 8,450 484,016
----------
845,413
----------
COMMERCIAL SERVICES & SUPPLIES - 10.1%
Bright Horizons Family Solutions, Inc.(c) 8,825 479,109
Corporate Executive Board Co. 5,425 332,227
CoStar Group, Inc.(c) 13,500 664,065
Educate, Inc.(c) 30,350 357,827
Heidrick & Struggles International, Inc.(c) 19,775 569,915
Navigant Consulting, Inc.(c) 30,550 670,878
----------
3,074,021
----------
COMMUNICATIONS EQUIPMENT - 3.5%
AudioCodes Ltd.(c) 23,925 301,216
F5 Networks, Inc.(c) 14,850 452,331
Tekelec(c) 18,950 316,086
----------
1,069,633
----------
COMPUTER SERVICES - 1.6%
Sapient Corp.(c) 65,525 499,956
----------
COMPUTERS & PERIPHERALS - 1.1%
Novatel Wireless, Inc.(c) 14,525 341,338
----------
CONSUMER DURABLES & APPAREL - 2.1%
Quiksilver, Inc.(c) 25,600 650,752
----------
DIVERSIFIED FINANCIAL SERVICES - 1.3%
National Financial Partners Corp. 11,425 408,787
----------
18
Shares Value (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.1%
ScanSource, Inc.(c) 5,125 $ 326,975
----------
ENERGY EQUIPMENT & SERVICES - 1.9%
Input/Output, Inc.(c) 55,900 576,329
----------
HEALTHCARE - DRUGS - 1.8%
First Horizon Pharmaceutical Corp.(c) 26,675 533,767
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 8.6%
Advanced Medical Optics, Inc.(c) 16,750 662,797
ArthroCare Corp.(c) 19,325 566,029
Epix Pharmaceuticals, Inc.(c) 19,200 370,752
Given Imaging Ltd.(c) 14,900 572,905
Intuitive Surgical, Inc.(c) 17,950 444,263
----------
2,616,746
----------
HEALTHCARE PROVIDERS & SERVICES - 1.6%
United Surgical Partners International, Inc.(c) 14,350 492,923
----------
HOTELS, RESTAURANTS & LEISURE - 7.2%
Penn National Gaming, Inc.(c) 14,825 598,930
Scientific Games Corp., Class A(c) 37,875 723,412
Shuffle Master, Inc.(c) 10,150 380,219
Sonic Corp.(c) 19,425 497,863
----------
2,200,424
----------
INTERNET SOFTWARE & SERVICES - 2.8%
Akamai Technologies, Inc.(c) 23,100 324,555
Jupitermedia Corp.(c) 28,925 514,865
----------
839,420
----------
IT SERVICES - 3.5%
Anteon International Corp.(c) 14,450 529,592
iPayment Holdings, Inc.(c) 13,650 548,184
----------
1,077,776
----------
LEISURE EQUIPMENT & PRODUCTS - 1.4%
Jakks Pacific, Inc.(c) 18,725 430,675
----------
MACHINERY - 3.8%
Actuant Corp., Class A(c) 14,450 595,485
Ceradyne, Inc.(c) 12,975 569,732
----------
1,165,217
----------
METALS & MINING - 1.8%
Steel Dynamics, Inc. 14,200 548,404
----------
OIL & GAS - 4.3%
Cimarex Energy Co.(c) 10,525 367,743
Denbury Resources, Inc.(c) 23,075 586,105
Unit Corp.(c) 10,525 369,217
----------
1,323,065
----------
PHARMACEUTICALS - 0.9%
Bone Care International, Inc.(c) 10,775 261,833
----------
ROAD & RAIL - 1.6%
Old Dominion Freight Line, Inc.(c) 17,100 492,651
----------
19
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP GROWTH FUND - CONTINUED
Shares Value (a)
- ----------------------------------------------------------------------
COMMON STOCKS - CONTINUED
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.4%
FormFactor, Inc.(c) 28,350 $ 549,139
Tessera Technologies, Inc.(c) 22,175 490,068
-----------
1,039,207
-----------
SOFTWARE - 6.2%
Altiris, Inc.(c) 19,075 603,724
InfoSpace, Inc.(c) 8,300 393,337
JAMDAT Mobile, Inc.(c) 1,325 30,568
Macrovision Corp.(c) 13,050 314,244
RSA Security, Inc.(c) 28,475 549,567
-----------
1,891,440
-----------
SPECIALTY RETAIL - 3.2%
Brookstone, Inc.(c) 18,750 354,187
Guitar Center, Inc.(c) 14,100 610,530
-----------
964,717
-----------
TELECOMMUNICATIONS - WIRELESS - 1.3%
Alamosa Holdings, Inc.(c) 50,625 386,775
-----------
THRIFTS & MORTGAGE FINANCE - 1.6%
BankAtlantic Bancorp, Inc., Class A 27,000 494,640
-----------
TOTAL COMMON STOCKS
(Identified Cost $27,909,044) 30,642,016
-----------
TOTAL INVESTMENTS - 100.6%
(Identified Cost $27,909,044)(b) 30,642,016
Other assets less liabilities--(0.6%) (186,460)
-----------
TOTAL NET ASSETS - 100% $30,455,556
-----------
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At September 30, 2004, the net unrealized appreciation on investments based on cost of $27,927,215 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost $2,964,660
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value (249,859)
----------
Net unrealized appreciation. $2,714,801
----------
At September 30, 2004, the Fund had a capital loss carryover of approximately
$209,546,027 of which $150,262,987 expires on September 30, 2010 and
$59,283,040 expires on September 30, 2011. These amounts may be available to
offset future realized capital gains, if any, to the extent provided by
regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of $0
in undistributed ordinary income and $0 in undistributed long-term gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees and wash sales.
(c) Non-income producing security.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Commercial Services & Supplies 10.1% Semiconductors & Semiconductor Equipment 3.4%
Healthcare Equipment & Supplies 8.6 Specialty Retail 3.2
Hotels, Restaurants & Leisure 7.2 Commercial Banks 2.8
Biotechnology 6.9 Internet Software & Services 2.8
Software 6.2 Aerospace & Defense 2.2
Oil & Gas 4.3 Capital Markets 2.1
Machinery 3.8 Banks/Savings & Loans 2.1
IT Services 3.5 Consumer Durables & Apparel 2.1
Communications Equipment 3.5 Air Freight & Logistics 2.1
Other, less than 2% each 23.7
See accompanying notes to financial statements.
20
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP VALUE FUND
Shares Value (a)
- ---------------------------------------------------------------
COMMON STOCKS - 95.9% OF TOTAL NET ASSETS
ADVERTISING - 0.7%
Catalina Marketing Corp. 173,600 $ 4,006,688
-----------
AEROSPACE & DEFENSE - 2.2%
Allied Defense Group, Inc. (The)(c) 76,175 1,412,285
Moog, Inc., Class A(c) 128,275 4,656,382
United Defense Industries, Inc.(c) 163,525 6,539,365
-----------
12,608,032
-----------
AUTO COMPONENTS - 1.2%
Cooper Tire & Rubber Co. 236,450 4,769,196
Dana Corp. 136,650 2,417,339
-----------
7,186,535
-----------
AUTOMOBILES - 0.3%
Monaco Coach Corp. 86,200 1,866,230
-----------
BIOTECHNOLOGY - 0.5%
Serologicals Corp.(c) 137,075 3,197,960
-----------
BUILDING PRODUCTS - 1.4%
Elk Corp. 154,375 4,285,450
Lennox International, Inc. 270,525 4,041,643
-----------
8,327,093
-----------
CHEMICALS - 3.1%
Cytec Industries, Inc. 122,225 5,982,914
Great Lakes Chemical Corp. 102,250 2,617,600
Millennium Chemicals, Inc.(c) 75,075 1,592,341
Scotts Co., Class A(c) 55,125 3,536,269
Spartech Corp. 172,375 4,326,612
-----------
18,055,736
-----------
COMMERCIAL BANKS - 6.9%
Alabama National BanCorporation 46,875 2,806,406
CVB Financial Corp. 161,672 3,592,352
East West Bancorp, Inc. 135,650 4,556,483
First Midwest Bancorp, Inc. 82,225 2,841,696
IBERIABANK Corp. 62,275 3,594,513
Independent Bank Corp. 182,437 4,925,799
Oriental Financial Group, Inc. 148,875 4,028,558
Signature Bank(c) 121,875 3,260,156
South Financial Group, Inc. 154,775 4,364,655
Texas Regional Bancshares, Inc., Class A 107,175 3,332,071
Wintrust Financial Corp. 46,500 2,663,520
-----------
39,966,209
-----------
COMMERCIAL SERVICES & SUPPLIES - 2.2%
DiamondCluster International, Inc.(c) 164,875 2,011,475
McGrath Rentcorp 13,275 485,201
School Specialty, Inc.(c) 57,800 2,277,898
Waste Connections, Inc.(c) 177,450 5,621,616
WCA Waste Corp.(c) 273,450 2,403,626
-----------
12,799,816
-----------
COMMUNICATIONS EQUIPMENT - 2.3%
Andrew Corp.(c) 71,875 879,750
Aspect Communications Corp.(c) 237,875 2,362,099
21
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
Shares Value (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
COMMUNICATIONS EQUIPMENT - CONTINUED
Brocade Communications Systems, Inc.(c) 431,525 $ 2,438,116
CommScope, Inc.(c) 170,925 3,691,980
Comtech Telecommunications Corp.(c) 71,075 1,926,132
Foundry Networks, Inc.(c) 203,900 1,935,011
-----------
13,233,088
-----------
COMPUTERS & PERIPHERALS - 1.1%
Eletronics for Imaging, Inc.(c) 138,525 2,249,646
Imation Corp. 116,850 4,158,691
-----------
6,408,337
-----------
CONSTRUCTION & ENGINEERING - 0.8%
Washington Group International, Inc.(c) 134,125 4,643,407
-----------
CONSTRUCTION MATERIALS - 0.7%
Eagle Materials, Inc. 56,975 4,062,317
-----------
CONSUMER DURABLES & APPAREL - 0.3%
Tupperware Corp. 114,375 1,942,088
-----------
CONSUMER FINANCE - 0.5%
Nelnet, Inc., Class A(c) 122,500 2,741,550
-----------
DIVERSIFIED FINANCIAL SERVICES - 1.5%
iShares Russell 2000 Value Index Fund 25,000 4,292,250
National Financial Partners Corp. 127,550 4,563,739
-----------
8,855,989
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.5%
Commonwealth Telephone Enterprises, Inc.(c) 68,575 2,986,441
-----------
ELECTRIC UTILITIES - 0.8%
Texas Genco Holdings, Inc. 103,625 4,834,106
-----------
ELECTRICAL EQUIPMENT - 1.7%
AMETEK, Inc. 188,200 5,706,224
Artesyn Technologies, Inc.(c) 398,100 3,973,038
-----------
9,679,262
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.4%
Aeroflex, Inc.(c) 152,100 1,607,697
Benchmark Electronics, Inc.(c) 87,000 2,592,600
Excel Technology, Inc.(c) 98,375 2,540,043
Global Imaging System, Inc.(c) 94,600 2,940,168
Rogers Corp.(c) 26,100 1,108,989
ScanSource, Inc.(c) 28,700 1,831,060
Tech Data Corp.(c) 51,025 1,967,014
Varian, Inc.(c) 138,850 5,258,249
-----------
19,845,820
-----------
ENERGY EQUIPMENT & SERVICES - 3.2%
Cal Dive International, Inc.(c) 163,500 5,823,870
Grey Wolf, Inc.(c) 557,625 2,726,786
Hydril Co.(c) 114,500 4,917,775
Input/Output, Inc.(c) 475,000 4,897,250
-----------
18,365,681
-----------
FOOD - PACKAGED & MISCELLANEOUS - 0.2%
Lance, Inc. 86,150 1,391,323
-----------
22
Shares Value (a)
- ------------------------------------------------------------
COMMON STOCKS - CONTINUED
FOOD & STAPLES RETAILING - 1.0%
BJ's Wholesale Club, Inc.(c) 163,175 $ 4,461,204
Smart & Final, Inc.(c) 87,650 1,469,014
-----------
5,930,218
-----------
FOOD PRODUCTS - 1.3%
J & J Snack Foods Corp.(c) 32,000 1,372,160
Ralcorp Holdings, Inc.(c) 176,650 6,377,065
-----------
7,749,225
-----------
GAS UTILITIES - 1.4%
AGL Resources, Inc. 162,450 4,998,586
Southern Union Co. 156,161 3,201,301
-----------
8,199,887
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.4%
Analogic Corp. 107,800 4,494,182
Sybron Dental Specialties, Inc.(c) 119,250 3,540,532
-----------
8,034,714
-----------
HEALTHCARE PROVIDERS & SERVICES - 0.8%
Andrx Corp.(c) 151,425 3,385,863
Omnicell, Inc.(c) 106,525 1,408,260
-----------
4,794,123
-----------
HOTELS, RESTAURANTS & LEISURE - 4.0%
CBRL Group, Inc. 144,275 5,205,442
Dover Downs Entertainment, Inc. 171,915 1,769,005
Fairmont Hotels & Resorts, Inc. 138,925 3,795,431
Multimedia Games, Inc.(c) 135,525 2,100,638
O'Charley's, Inc.(c) 72,550 1,182,565
Sonic Corp.(c) 138,112 3,539,811
Steak n Shake Co. (The)(c) 226,525 3,869,047
Sunterra Corp.(c) 208,825 1,990,102
-----------
23,452,041
-----------
INDUSTRIAL CONGLOMERATES - 0.6%
ALLETE, Inc. 60,583 1,968,958
Texas Industries, Inc. 35,625 1,832,550
-----------
3,801,508
-----------
INSURANCE - 5.7%
AmerUs Group Co. 66,150 2,712,150
Delphi Financial Group, Inc. 123,225 4,949,948
Endurance Specialty Holdings Ltd. 146,400 4,706,760
Ohio Casualty Corp.(c) 182,175 3,812,923
Platinum Underwriters Holdings Ltd. 143,300 4,195,824
ProAssurance Corp.(c) 107,375 3,760,273
Protective Life Corp. 123,375 4,849,871
RLI Corp. 108,900 4,089,195
-----------
33,076,944
-----------
INTERNET SOFTWARE & SERVICES - 0.7%
Digitas, Inc.(c) 519,850 4,018,441
-----------
23
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
Shares Value (a)
- ----------------------------------------------------------------
COMMON STOCKS - CONTINUED
IT SERVICES - 1.3%
BISYS Group, Inc.(The)(c) 165,675 $ 2,420,512
Perot Systems Corp., Class A(c) 330,150 5,302,209
-----------
7,722,721
-----------
MACHINERY - 6.7%
Actuant Corp., Class A(c) 162,650 6,702,806
Albany International Corp., Class A 107,925 3,217,244
Barnes Group, Inc. 153,100 4,205,657
CLARCOR, Inc. 129,625 6,179,224
Commercial Vehicle Group Inc.(c) 169,725 2,688,444
ESCO Technologies, Inc.(c) 46,725 3,166,086
IDEX Corp. 164,700 5,593,212
JLG Industries, Inc. 33,775 567,420
Reliance Steel & Aluminum Co. 129,725 5,150,083
Robbins & Myers, Inc. 73,400 1,614,800
-----------
39,084,976
-----------
MANUFACTURING - 1.2%
Federal Signal Corp. 150,225 2,791,181
Harsco Corp. 91,925 4,127,432
-----------
6,918,613
-----------
MEDIA - 5.4%
ADVO, Inc. 126,437 3,911,961
Harte-Hanks, Inc. 181,625 4,542,441
John Wiley & Son, Inc., Class A 133,450 4,263,727
Journal Communications, Inc., Class A 213,300 3,741,282
R.H. Donnelley Corp.(c) 191,400 9,447,504
Saga Communications, Inc., Class A(c) 217,250 3,682,388
Scholastic Corp.(c) 59,825 1,847,994
-----------
31,437,297
-----------
MULTI-UTILITIES & UNREGULATED POWER - 1.2%
Energen Corp. 41,225 2,125,149
ONEOK, Inc. 187,750 4,885,255
-----------
7,010,404
-----------
MULTILINE RETAIL - 0.4%
ShopKo Stores, Inc.(c) 136,250 2,372,113
-----------
OIL & GAS - 1.9%
Energy Partners Ltd.(c) 113,675 1,850,629
Meridian Resource Corp.(c) 210,225 1,856,287
Patina Oil & Gas Corp. 97,300 2,877,161
Stone Energy Corp.(c) 98,675 4,318,018
-----------
10,902,095
-----------
PHARMACEUTICALS - 1.5%
Par Pharmaceutical Cos., Inc.(c) 117,775 4,231,656
Perrigo Co. 232,500 4,777,875
-----------
9,009,531
-----------
REAL ESTATE - 7.8%
American Home Mortgage Investment Corp. 149,700 4,184,115
Bedford Property Investors, Inc. 129,350 3,924,479
CBL & Associates Properties, Inc. 74,750 4,556,013
24
Shares Value (a)
- ---------------------------------------------------------------------
COMMON STOCKS - CONTINUED
REAL ESTATE - CONTINUED
Corporate Office Properties Trust 197,025 $ 5,047,780
First Potomac Realty Trust 145,025 2,996,217
Highland Hospitality Corp. 200,900 2,290,260
LaSalle Hotel Properties 198,550 5,479,980
Levitt Corp., Class A 111,587 2,617,831
Macerich Co. (The) 43,375 2,311,454
Newcastle Investment Corp. 156,475 4,803,782
Ramco-Gershenson Properties Trust 75,400 2,041,832
Saxon Capitol, Inc.(c) 220,325 4,736,987
Strategic Hotel Capital, Inc. 23,175 313,326
-----------
45,304,056
-----------
RETAIL - SPECIALTY - 1.6%
Adesa, Inc.(c) 181,750 2,986,153
Pier 1 Imports, Inc. 165,075 2,984,556
West Marine, Inc.(c) 146,325 3,128,428
-----------
9,099,137
-----------
ROAD & RAIL - 4.0%
AMERCO(c) 77,475 2,937,852
Genesee & Wyoming, Inc., Class A(c) 213,675 5,410,251
Laidlaw International, Inc.(c) 266,700 4,387,215
Landstar System, Inc.(c) 76,900 4,512,492
Marten Transport Ltd(c) 108,075 1,888,070
Old Dominion Freight Line, Inc.(c) 145,050 4,178,891
-----------
23,314,771
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.0%
Cymer, Inc.(c) 52,075 1,492,470
DSP Group, Inc.(c) 196,525 4,136,851
-----------
5,629,321
-----------
SOFTWARE - 1.2%
Datastream Systems, Inc.(c) 169,425 1,096,180
Hyperion Solutions Corp.(c) 63,650 2,163,463
Inet Technologies, Inc.(c) 120,460 1,515,387
MRO Software, Inc.(c) 70,400 704,000
Retek, Inc.(c) 334,275 1,524,294
-----------
7,003,324
-----------
SPECIALTY RETAIL - 1.9%
Cost Plus, Inc.(c) 87,300 3,088,674
Men's Wearhouse, Inc.(c) 172,350 5,006,767
Party City Corp.(c) 196,275 2,898,982
-----------
10,994,423
-----------
TEXTILES APPAREL & LUXURY GOODS - 0.5%
Fossil, Inc.(c) 91,012 2,815,911
-----------
THRIFTS & MORTGAGE FINANCE - 4.8%
Bank Mutual Corp. 463,796 5,565,552
BankAtlantic Bancorp, Inc., Class A 253,325 4,640,914
BankUnited Financial Corp.(c) 193,125 5,629,594
Independence Community Bank Corp. 107,275 4,189,089
Provident Bancorp, Inc. 421,950 4,953,693
Provident Financial Services, Inc. 164,325 2,834,606
-----------
27,813,448
-----------
25
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
Shares Value (a)
- -------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRADING COMPANIES & DISTRIBUTORS - 0.7%
Hughes Supply, Inc. 131,150 $ 3,943,681
------------
TRANSPORTATION - 0.0%
Hub Group, Inc., Class A(c) 1,125 41,906
------------
WATER UTILITIES - 0.4%
American States Water Co. 82,650 2,057,985
------------
TOTAL COMMON STOCKS
(Identified Cost $450,536,102) 558,536,522
------------
Principal Amount
- -------------------------------------------------------------------------
SHORT TERM INVESTMENTS - 4.0%
COMMERCIAL PAPER - 4.0%
UBS Finance, Inc., 1.350%, 10/01/2004(d) $23,269,000 23,269,000
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $23,269,000) 23,269,000
------------
TOTAL INVESTMENTS - 99.9%
(Identified Cost $473,805,102)(b) 581,805,522
Other assets less liabilities--0.1% 641,066
------------
TOTAL NET ASSETS - 100% $582,446,588
------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net unrealized
appreciation on investments based on cost of
$474,074,714 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $116,478,245
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (8,747,437)
------------
Net unrealized appreciation $107,730,808
------------
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$23,833,094 in undistributed ordinary income and $33,635,271 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees and wash sales.
(c)Non-income producing security.
(d)Interest rate represents annualized yield at time of purchase; not a coupon
rate.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Real Estate 7.8%
Commercial Banks 6.9
Machinery 6.7
Insurance 5.7
Media 5.4
Thrifts & Mortgage Finance 4.8
Hotels, Restaurants & Leisure 4.0
Road & Rail 4.0
Electronic Equipment & Instruments 3.4
Energy Equipment & Services 3.2
Chemicals 3.1
Communications Equipment 2.3
Commercial Services & Supplies 2.2
Aerospace & Defense 2.2
Other, less than 2% each 34.2
See accompanying notes to financial statements.
26
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
Shares Value (a)
- ---------------------------------------------------------------
COMMON STOCKS - 98.5% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 1.8%
DRS Technologies, Inc.(c) 4,625 $ 173,160
United Defense Industries, Inc.(c) 5,000 199,950
----------
373,110
----------
AIR FREIGHT & LOGISTICS - 2.1%
EGL, Inc.(c) 7,775 235,272
UTI Worldwide, Inc. 3,625 213,186
----------
448,458
----------
BANKS/SAVINGS & LOANS - 0.8%
Silicon Valley Bancshares(c) 4,625 171,911
----------
BIOTECHNOLOGY - 5.3%
Keryx Biopharmaceuticals, Inc.(c) 8,550 95,675
Lifecell Corp.(c) 15,000 150,000
Martek Biosciences Corp.(c) 4,225 205,504
Onyx Pharmaceuticals, Inc.(c) 3,850 165,588
Pharmion Corp.(c) 2,875 148,626
Salix Pharmaceuticals Ltd.(c) 7,125 153,330
Telik, Inc.(c) 8,650 192,895
----------
1,111,618
----------
BUILDING PRODUCTS - 2.2%
NCI Building Systems, Inc.(c) 4,375 139,562
Simpson Manufacturing Co., Inc. 2,875 181,700
Trex Company, Inc.(c) 2,875 127,305
----------
448,567
----------
BUSINESS SERVICES - 0.9%
Global Payments, Inc. 3,450 184,747
----------
CAPITAL MARKETS - 0.8%
Affiliated Managers Group, Inc.(c) 3,275 175,344
----------
CHEMICALS - 0.8%
Headwaters, Inc.(c) 5,375 165,873
----------
CHEMICALS - SPECIALTY - 0.9%
Cuno, Inc.(c) 3,075 177,581
----------
COMMERCIAL BANKS - 2.3%
East West Bancorp, Inc. 5,000 167,950
UCBH Holdings, Inc. 3,075 120,140
Wintrust Financial Corp. 3,275 187,592
----------
475,682
----------
COMMERCIAL SERVICES - 1.0%
Charles River Associates, Inc.(c) 5,375 205,809
----------
COMMERCIAL SERVICES & SUPPLIES - 9.1%
Bright Horizons Family Solutions, Inc.(c) 2,475 134,368
Corporate Executive Board Co. 2,450 150,038
CoStar Group, Inc.(c) 3,650 179,543
DiamondCluster International, Inc.(c) 15,575 190,015
Educate, Inc.(c) 17,100 201,609
Heidrick & Struggles International, Inc.(c) 6,150 177,243
Jackson Hewitt Tax Service, Inc. 8,275 167,403
Korn/Ferry International(c) 9,050 164,982
27
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL COMPANY GROWTH FUND - CONTINUED
Shares Value (a)
- --------------------------------------------------------------
COMMON STOCKS - CONTINUED
COMMERCIAL SERVICES & SUPPLIES - CONTINUED
Laureate Education, Inc.(c) 4,625 $ 172,142
Navigant Consulting, Inc.(c) 9,225 202,581
Strayer Education, Inc. 1,350 155,264
----------
1,895,188
----------
COMMUNICATIONS EQUIPMENT - 4.5%
Alvarion Ltd.(c) 13,275 171,779
AudioCodes Ltd.(c) 18,075 227,564
F5 Networks, Inc.(c) 7,825 238,349
Sonus Networks, Inc.(c) 29,050 163,552
Tekelec(c) 8,650 144,282
----------
945,526
----------
COMPUTER SERVICES - 0.8%
Sapient Corp.(c) 21,350 162,901
----------
COMPUTERS & PERIPHERALS - 1.7%
Mobility Electronics, Inc.(c) 20,000 164,800
Novatel Wireless, Inc.(c) 8,275 194,462
----------
359,262
----------
CONSUMER DURABLES & APPAREL - 0.7%
Quiksilver, Inc.(c) 5,950 151,249
----------
CONSUMER FINANCE - 0.8%
ACE Cash Express, Inc.(c) 6,725 175,119
----------
DIVERSIFIED FINANCIAL SERVICES - 1.8%
Marlin Business Services, Inc.(c) 10,200 191,352
National Financial Partners Corp. 5,000 178,900
----------
370,252
----------
EDUCATION - 0.8%
Universal Technical Institute, Inc.(c) 5,200 156,936
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.2%
FLIR Systems, Inc.(c) 2,300 134,550
ScanSource, Inc.(c) 1,925 122,815
----------
257,365
----------
ENERGY EQUIPMENT & SERVICES - 2.9%
Atwood Oceanics, Inc.(c) 3,550 168,767
Input/Output, Inc.(c) 16,350 168,568
Maverick Tube Corp.(c) 5,350 164,833
Offshore Logistics, Inc.(c) 3,175 109,284
----------
611,452
----------
FOOD PRODUCTS - 0.8%
Peet's Coffee & Tea, Inc.(c) 7,400 173,086
----------
HEALTHCARE - DRUGS - 0.8%
First Horizon Pharmaceutical Corp.(c) 8,850 177,089
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 6.9%
Advanced Medical Optics, Inc.(c) 4,225 167,183
American Medical Systems Holdings, Inc.(c) 5,200 188,604
Animas Corp.(c) 8,350 134,435
ArthroCare Corp.(c) 6,350 185,991
Digirad Corp.(c) 12,700 132,715
28
Shares Value (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE EQUIPMENT & SUPPLIES - CONTINUED
Epix Pharmaceuticals, Inc.(c) 7,700 $ 148,687
Given Imaging Ltd.(c) 5,575 214,359
Intuitive Surgical, Inc.(c) 6,350 157,163
Palomar Medical Technologies, Inc.(c) 4,625 101,380
----------
1,430,517
----------
HEALTHCARE PROVIDERS & SERVICES - 6.2%
Chemed Corp. 3,275 182,549
Covance, Inc.(c) 5,200 207,844
Genesis HealthCare Corp.(c) 6,150 187,021
HealthExtras, Inc.(c) 14,800 206,312
TLC Vision Corp.(c) 16,350 143,390
United Surgical Partners International, Inc.(c) 5,775 198,371
VCA Antech, Inc.(c) 7,700 158,851
----------
1,284,338
----------
HOTELS, RESTAURANTS & LEISURE - 4.9%
Applebee's International, Inc. 4,800 121,344
Buffalo Wild Wings, Inc.(c) 5,375 150,715
Penn National Gaming, Inc.(c) 4,050 163,620
Scientific Games Corp., Class A(c) 8,850 169,035
Shuffle Master, Inc.(c) 5,200 194,792
Station Casinos, Inc. 4,425 217,002
----------
1,016,508
----------
INSURANCE - 0.8%
Arch Capital Group Ltd.(c) 4,225 164,522
----------
INTERNET & CATALOG RETAIL - 1.3%
Audible, Inc.(c) 7,000 125,510
Blue Nile, Inc.(c) 4,075 137,246
----------
262,756
----------
INTERNET SOFTWARE & SERVICES - 3.1%
Akamai Technologies, Inc.(c) 7,275 102,214
Ask Jeeves, Inc.(c) 5,375 175,816
Jupitermedia Corp.(c) 10,575 188,235
NetRatings, Inc.(c) 10,375 184,986
----------
651,251
----------
IT SERVICES - 2.5%
Anteon International Corp.(c) 4,800 175,920
iPayment Holdings, Inc.(c) 4,225 169,676
Lionbridge Technologies, Inc.(c) 19,800 170,082
----------
515,678
----------
LEISURE EQUIPMENT & PRODUCTS - 0.8%
Jakks Pacific, Inc.(c) 7,700 177,100
----------
MACHINERY - 3.6%
Actuant Corp., Class A(c) 4,625 190,596
Ceradyne, Inc.(c) 3,850 169,053
ESCO Technologies, Inc.(c) 2,075 140,602
Joy Global, Inc. 2,725 93,686
Middleby Corp. 3,075 161,899
----------
755,836
----------
29
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES SMALL COMPANY GROWTH FUND - CONTINUED
Shares Value (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
MEDIA & ENTERTAINMENT - 0.7%
Entravision Communications Corp.(c) 19,425 $ 147,824
----------
METALS & MINING - 0.9%
Steel Dynamics, Inc. 4,750 183,445
----------
OIL & GAS - 3.8%
Cimarex Energy Co.(c) 5,525 193,043
Denbury Resources, Inc.(c) 4,800 121,920
Quicksilver Resources, Inc.(c) 5,650 184,586
Southwestern Energy Co.(c) 3,075 129,119
Unit Corp.(c) 4,425 155,229
----------
783,897
----------
OIL & GAS EXPLORATION - 1.1%
Range Resources Corp. 6,550 114,559
Ultra Petroleum Corp.(c) 2,500 122,625
----------
237,184
----------
PHARMACEUTICALS - 0.8%
Bone Care International, Inc.(c) 6,725 163,418
----------
REAL ESTATE - 0.9%
Jones Lang LaSalle, Inc.(c) 5,775 190,633
----------
ROAD & RAIL - 0.8%
Old Dominion Freight Line, Inc.(c) 6,143 176,980
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.9%
Cymer, Inc.(c) 5,675 162,646
FormFactor, Inc.(c) 8,650 167,550
Microsemi Corp.(c) 13,475 189,997
Silicon Laboratories, Inc.(c) 2,900 95,961
Tessera Technologies, Inc.(c) 8,450 186,745
----------
802,899
----------
SOFTWARE - 5.6%
Activision, Inc.(c) 11,925 165,400
Altiris, Inc.(c) 4,800 151,920
Epicor Software Corp.(c) 13,650 164,210
InfoSpace, Inc.(c) 3,275 155,202
JAMDAT Mobile, Inc.(c) 825 19,033
Macromedia, Inc.(c) 7,875 158,130
Macrovision Corp.(c) 6,925 166,754
RSA Security, Inc.(c) 9,225 178,042
----------
1,158,691
----------
SPECIALTY RETAIL - 2.1%
Brookstone, Inc.(c) 5,950 112,396
Guitar Center, Inc.(c) 3,450 149,385
PETCO Animal Supplies, Inc.(c) 5,375 175,547
----------
437,328
----------
TELECOMMUNICATIONS - WIRELESS - 0.8%
Alamosa Holdings, Inc.(c)...................... 21,925 167,507
----------
TEXTILES APPAREL & LUXURY GOODS - 0.9%
Fossil, Inc.(c)................................ 5,950 184,093
----------
30
Shares Value (a)
- ----------------------------------------------------------------
COMMON STOCKS - CONTINUED
THRIFTS & MORTGAGE FINANCE - 0.7%
Commercial Capital Bancorp, Inc............ 6,225 $ 141,245
-----------
WIRELESS TELECOMMUNICATION SERVICES - 0.6%
Ubiquitel, Inc.(c)......................... 30,775 123,100
-----------
TOTAL COMMON STOCKS
(Identified Cost $18,944,746) 20,530,875
-----------
TOTAL INVESTMENTS - 98.5%
(Identified Cost $18,944,746)(b) 20,530,875
Other assets less liabilities--1.5% 315,466
-----------
TOTAL NET ASSETS - 100% $20,846,341
-----------
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At September 30, 2004, the net unrealized appreciation on investments based on cost of $19,057,135 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost $1,735,062
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value (261,322)
----------
Net unrealized appreciation $1,473,740
----------
At September 30, 2004, the Fund had a capital loss carryover of approximately
$80,531,163 of which $3,585,920 expires on September 30, 2009, $50,230,327
expires on September 30, 2010 and $26,714,916 expires on September 30, 2011.
These amounts may be available to offset future realized capital gains, if
any, to the extent provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of $0
in undistributed ordinary income and $0 in undistributed long-term gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees and wash sales.
(c) Non-income producing security.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Commercial Services & Supplies 9.1%
Healthcare Equipment & Supplies 6.9
Healthcare Providers & Services 6.2
Software 5.6
Biotechnology 5.3
Hotels, Restaurants & Leisure 4.9
Communications Equipment 4.5
Semiconductors & Semiconductor Equipment 3.9
Oil & Gas 3.8
Machinery 3.6
Internet Software & Services 3.1
Energy Equipment & Services 2.9
IT Services 2.5
Commercial Banks 2.3
Building Products 2.2
Air Freight & Logistics 2.1
Specialty Retail 2.1
Other, less than 2% each 27.5
31
See accompanying notes to financial statements.
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
Shares Value (a)
- ----------------------------------------------------------------
COMMON STOCKS - 100.5% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 2.7%
Northrop Grumman Corp. 2,600 $138,658
---------
AUTOMOBILES - 2.4%
Harley-Davidson, Inc. 2,075 123,338
---------
BEVERAGES - 2.4%
PepsiCo, Inc. 2,575 125,274
---------
BIOTECHNOLOGY - 2.7%
Amgen, Inc.(c) 2,525 143,117
---------
CAPITAL MARKETS - 2.9%
Goldman Sachs Group, Inc. 1,600 149,184
---------
CHEMICALS - 2.1%
Praxair, Inc. 2,500 106,850
---------
COMMERCIAL BANKS - 5.1%
National City Corp. 2,875 111,032
Wells Fargo & Co. 2,625 156,529
---------
267,561
---------
COMMERCIAL SERVICES & SUPPLIES - 1.6%
ARAMARK Corp., Class B 3,525 85,094
---------
COMMUNICATIONS EQUIPMENT - 6.4%
Cisco Systems, Inc.(c) 6,250 113,125
Harris Corp. 2,400 131,856
Nokia Oyj ADR 6,300 86,436
---------
331,417
---------
COMPUTERS & PERIPHERALS - 2.0%
Dell, Inc.(c) 3,000 106,800
---------
DIVERSIFIED FINANCIALS - 2.7%
Citigroup, Inc. 3,175 140,081
---------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.2%
CenturyTel, Inc. 4,800 164,352
---------
ELECTRIC UTILITIES - 1.9%
Dominion Resources, Inc. 1,525 99,506
---------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.8%
Flextronics International Ltd.(c) 6,900 91,425
---------
ENERGY EQUIPMENT & SERVICES - 1.4%
GlobalSantaFe Corp. 2,400 73,560
---------
HEALTHCARE EQUIPMENT & SUPPLIES - 5.3%
Guidant Corp. 1,350 89,154
Medtronic, Inc. 1,575 81,742
Zimmer Holdings, Inc.(c) 1,300 102,752
---------
273,648
---------
HEALTHCARE PROVIDERS & SERVICES - 2.4%
Caremark Rx, Inc.(c) 3,925 125,875
---------
HOTELS, RESTAURANTS & LEISURE - 3.2%
Carnival Corp. 3,500 165,515
---------
HOUSEHOLD DURABLES - 2.5%
Leggett & Platt, Inc. 4,650 130,665
---------
INDUSTRIAL CONGLOMERATES - 4.6%
3M Co. 1,300 103,961
General Electric Co. 4,100 137,678
---------
241,639
---------
INSURANCE - 6.1%
AFLAC, Inc. 4,250 166,642
American International Group, Inc. 2,200 149,578
---------
316,220
---------
32
Shares Value (a)
- ---------------------------------------------------------------------
COMMON STOCKS - CONTINUED
IT SERVICES - 8.4%
Accenture Ltd., Class A(c) 5,700 $ 154,185
First Data Corp. 3,000 130,500
SunGard Data Systems, Inc.(c) 6,500 154,505
----------
439,190
----------
MACHINERY - 5.8%
Danaher Corp. 2,175 111,534
Dover Corp. 2,875 111,751
Illinois Tool Works, Inc. 825 76,865
----------
300,150
----------
MEDIA - 3.1%
Viacom, Inc., Class B 4,775 160,249
----------
MULTILINE RETAIL - 2.7%
Target Corp. 3,100 140,275
----------
OIL & GAS - 7.1%
ConocoPhillips 1,500 124,275
Devon Energy Corp. 1,650 117,167
Exxon Mobil Corp. 2,650 128,074
----------
369,516
----------
PHARMACEUTICALS - 3.5%
Perrigo Co. 4,750 97,613
Pfizer, Inc. 2,775 84,915
----------
182,528
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.5%
DSP Group, Inc.(c) 3,500 73,675
Intel Corp. 3,900 78,234
Maxim Integrated Products, Inc. 1,950 82,466
----------
234,375
----------
TOTAL COMMON STOCKS
(Identified Cost $4,635,845) 5,226,062
----------
TOTAL INVESTMENTS - 100.5%
(Identified Cost $4,635,845)(b) 5,226,062
Other assets less liabilities--(0.5%) (24,023)
----------
TOTAL NET ASSETS - 100% $5,202,039
----------
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At September 30, 2004, the net unrealized appreciation on investments based on cost of $4,670,005 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost $615,725
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value (59,668)
--------
Net unrealized appreciation $556,057
--------
At September 30, 2004, the Fund had a capital loss carryover of approximately
$4,164,003 of which $214,505 expires on September 30, 2009, $2,177,191
expires on September 30, 2010, $1,662,157 expires on September 30, 2011 and
$110,150 expires on September 30, 2012. These amounts may be available to
offset future realized capital gains, if any, to the extent provided by
regulations.
For the year ended September 30, 2004, the Fund has elected to defer $17,838
of capital losses attributable to Post-October losses.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$23,793 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees and wash sales.
(c) Non-income producing security.
ADR An American Depositary Receipt is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading
exchanges not located in the United States.
33
See accompanying notes to financial statements.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
IT Services 8.4%
Oil & Gas 7.1
Communications Equipment 6.4
Insurance 6.1
Machinery 5.8
Healthcare Equipment & Supplies 5.3
Commercial Banks 5.1
Industrial Conglomerates 4.6
Semiconductors & Semiconductor Equipment 4.5
Pharmaceuticals 3.5
Hotels, Restaurants & Leisure 3.2
Diversified Telecommunication Services 3.2
Media 3.1
Capital Markets 2.9
Biotechnology 2.7
Multiline Retail 2.7
Diversified Financials 2.7
Aerospace & Defense 2.7
Household Durables 2.5
Healthcare Providers & Services 2.4
Beverages 2.4
Automobiles 2.4
Chemicals 2.1
Computers & Peripherals 2.0
Other, less than 2% each 6.7
34
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES VALUE FUND
Shares Value (a)
- -----------------------------------------------------------------
COMMON STOCKS - 98.7% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 5.2%
Honeywell International, Inc. 17,050 $ 611,413
Northrop Grumman Corp. 13,250 706,622
Raytheon Co. 11,075 420,629
----------
1,738,664
----------
AUTO COMPONENTS - 1.0%
Johnson Controls, Inc. 5,775 328,078
----------
BANKS/SAVINGS & LOANS - 1.8%
Comerica, Inc. 10,475 621,691
----------
BEVERAGES - 0.8%
Anheuser-Busch Cos., Inc. 5,750 287,213
----------
BUILDING PRODUCTS - 1.9%
Masco Corp. 18,650 643,985
----------
CAPITAL MARKETS - 5.8%
J.P. Morgan Chase & Co. 21,700 862,141
Lehman Brothers Holdings, Inc. 7,600 605,872
Merrill Lynch & Co., Inc. 9,750 484,770
----------
1,952,783
----------
CHEMICALS - 2.0%
Praxair, Inc. 15,525 663,538
----------
COMMERCIAL BANKS - 9.3%
Bank of America Corp. 13,850 600,121
PNC Financial Services Group 6,350 343,535
SouthTrust Corp. 14,050 585,323
SunTrust Banks, Inc. 4,625 325,646
U.S. Bancorp 26,050 752,845
Wells Fargo & Co. 8,600 512,818
----------
3,120,288
----------
COMMERCIAL SERVICES & SUPPLIES - 2.0%
Waste Management, Inc. 24,125 659,578
----------
COMMUNICATIONS EQUIPMENT - 1.0%
Motorola, Inc. 18,650 336,446
----------
COMPUTERS & PERIPHERALS - 2.6%
Apple Computer, Inc.(c) 9,150 354,563
Hewlett-Packard Co. 27,475 515,156
----------
869,719
----------
CONSUMER FINANCE - 2.1%
American Express Co. 13,575 698,569
----------
DIVERSIFIED FINANCIALS - 2.5%
Citigroup, Inc. 18,800 829,456
----------
DIVERSIFIED TELECOMMUNICATION SERVICES - 6.6%
BellSouth Corp. 17,775 482,058
CenturyTel, Inc. 16,975 581,224
Citizens Communications Co. 28,425 380,611
Qwest Communications International, Inc.(c) 70,725 235,514
SBC Communications, Inc. 21,225 550,789
----------
2,230,196
----------
35
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES VALUE FUND - CONTINUED
Shares Value (a)
- --------------------------------------------------------------
COMMON STOCKS - CONTINUED
ELECTRIC UTILITIES - 3.3%
Exelon Corp. 18,200 $ 667,758
PG&E Corp.(c) 14,175 430,920
----------
1,098,678
----------
ENERGY - 1.4%
Peabody Energy Corp. 7,900 470,050
----------
ENERGY EQUIPMENT & SERVICES - 3.7%
GlobalSantaFe Corp. 19,800 606,870
Halliburton Co. 18,750 631,687
----------
1,238,557
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.6%
Baxter International, Inc. 16,650 535,464
----------
HEALTHCARE PROVIDERS & SERVICES - 4.4%
McKesson Corp. 20,500 525,825
Quest Diagnostics, Inc. 4,200 370,524
Universal Health Services, Inc., Class B 13,250 576,375
----------
1,472,724
----------
HOTELS, RESTAURANTS & LEISURE - 2.1%
McDonald's Corp. 25,250 707,757
----------
INDUSTRIAL CONGLOMERATES - 2.1%
Tyco International Ltd. 22,875 701,347
----------
INSURANCE - 2.2%
Allstate Corp. 15,700 753,443
----------
IT SERVICES - 4.5%
Accenture Ltd., Class A(c) 15,375 415,894
DST Systems, Inc.(c) 8,225 365,766
First Data Corp. 8,225 357,787
SunGard Data Systems, Inc.(c) 15,225 361,898
----------
1,501,345
----------
LEISURE EQUIPMENT & PRODUCTS - 1.1%
Hasbro, Inc. 19,550 367,540
----------
MEDIA - 6.4%
DIRECTV Group, Inc. (The)(c) 24,800 436,232
McGraw-Hill Cos., Inc. 3,525 280,907
News Corp. Ltd., ADR 15,750 493,448
Time Warner, Inc.(c) 31,025 500,743
Tribune Co. 10,425 428,989
----------
2,140,319
----------
MULTI-UTILITIES & UNREGULATED POWER - 1.3%
Constellation Energy Group, Inc. 10,700 426,288
----------
MULTILINE RETAIL - 1.9%
J.C. Penney Co., Inc. (Holding Co.) 17,725 625,338
----------
OIL & GAS - 8.9%
BP Plc ADR 16,675 959,313
ChevronTexaco Corp. 8,550 458,622
ConocoPhillips 5,450 451,533
ExxonMobil Corp. 23,150 1,118,839
----------
2,988,307
----------
36
Shares Value (a)
- --------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
PHARMACEUTICALS - 1.7%
Abbott Laboratories 5,925 $ 250,983
Pfizer, Inc. 11,075 338,895
-----------
589,878
-----------
PROPERTY & CASUALTY INSURANCE - 2.1%
Berkshire Hathaway, Inc., Class B(c) 244 700,524
-----------
REAL ESTATE - 1.6%
Simon Property Group, Inc. 10,000 536,300
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.8%
Lam Research Corp.(c) 12,675 277,329
-----------
TOBACCO - 1.5%
Altria Group, Inc. 10,975 516,264
-----------
THRIFT & MORTGAGE - 1.5%
Sovereign Bancorp, Inc. 22,925 500,224
-----------
TOTAL COMMON STOCKS
(Identified Cost $27,735,792) 33,127,880
-----------
Principal Amount
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 1.4%
COMMERCIAL PAPER - 1.4%
UBS Finance, Inc., 1.350%, 10/01/2004(d) $462,000 462,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $462,000) 462,000
-----------
TOTAL INVESTMENTS - 100.1%
(Identified Cost $28,197,792)(b) 33,589,880
Other assets less liabilities--(0.1)% (26,822)
-----------
TOTAL NET ASSETS - 100% $33,563,058
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net unrealized appreciation on investments based on cost of $28,286,455 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost $5,853,570
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value (550,145)
----------
Net unrealized appreciation $5,303,425
----------
At September 30, 2004, the Fund had a capital loss carryover of approximately
$2,114,368 which expires on September 30, 2011. This amount may be available
to offset future realized capital gains, if any, to the extent provided by
regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$523,980 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily due
to deferred trustees' fees, distributions from Real Estate Investment Trusts
and wash sales.
(c) Non-income producing security.
(d)Interest rate represents annualized yield at the time of purchase; not a
coupon rate.
ADR An American Depositary Receipt is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States.
37
See accompanying notes to financial statements.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Commercial Banks 9.3%
Oil & Gas 8.9
Diversified Telecommunication Services 6.6
Media 6.4
Capital Markets 5.8
Aerospace & Defense 5.2
IT Services 4.5
Healthcare Providers & Services 4.4
Energy Equipment & Services 3.7
Electric Utilities 3.3
Computers & Peripherals 2.6
Diversified Financials 2.5
Insurance 2.2
Hotels, Restaurants & Leisure 2.1
Industrial Conglomerates 2.1
Property & Casualty Insurance 2.1
Consumer Finance 2.1
Chemicals 2.0
Commercial Services & Supplies 2.0
Other, less than 2% each 20.9
38
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES WORLDWIDE FUND
Principal Amount Value (a)
- ----------------------------------------------------------------------------
BONDS AND NOTES - 37.9% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 37.2%
AUSTRALIA - 0.7%
Queensland Treasury Corp., 8.000%, 9/14/2007 AUD $ 100,000 $ 77,643
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/2015 AUD 120,000 46,171
---------
123,814
---------
AUSTRIA - 0.0%
Republic of Austria, 6.000%, 2/14/2007 HUF 2,000,000 9,415
---------
BELGIUM - 0.7%
Kingdom of Belgium, 3.750%, 3/28/2009 EUR 25,000 31,737
Kingdom of Belgium, 4.250%, 9/28/2013 EUR 65,000 82,480
---------
114,217
---------
BRAZIL - 1.1%
Republic of Brazil, 8.250%, 1/20/2034 USD 185,000 164,927
Republic of Brazil, C Bond, 8.000%, 4/15/2014 USD 29,319 28,991
---------
193,918
---------
CANADA - 1.2%
Alcan, Inc., 5.500%, 5/02/2006 EUR 25,000 32,316
Canadian Government, 0.700%, 3/20/2006 JPY 4,000,000 36,670
Canadian Pacific Railway Ltd.,
4.900%, 6/15/2010, 144A CAD 25,000 19,909
Province of British Columbia, 6.000%,
6/09/2008 CAD 35,000 29,788
Province of Ontario, 5.900%, 3/08/2006 CAD 15,000 12,354
Shaw Communications, Inc.,
7.500%, 11/20/2013 CAD 70,000 58,849
Teck Cominco Ltd., 7.000%, 9/15/2012 USD 15,000 16,514
---------
206,400
---------
CAYMAN ISLAND - 0.5%
Arcel Finance Ltd., 7.048%, 9/01/2011, 144A USD 15,000 15,699
Vale Overseas Ltd., 8.250%, 1/17/2034 USD 75,000 72,938
---------
88,637
---------
CHILE - 0.3%
Empresa Nacional de Electricidad SA,
Series B, 8.500%, 4/01/2009 USD 50,000 56,424
---------
COLOMBIA - 0.2%
Republic of Colombia, 8.125%, 5/21/2024 USD 40,000 36,100
---------
DENMARK - 0.2%
Kingdom of Denmark, 5.000%, 8/15/2005 DKK 225,000 38,392
---------
FRANCE - 0.1%
GIE PSA Tresorerie, 5.875%, 9/27/2011 EUR 15,000 20,585
---------
GERMANY - 1.8%
Eurohypo AG - Europaeische Hypothekenbank
der Deutschen Bank, 4.000%, 2/01/2007 EUR 150,000 191,645
Kreditanstalt Wiederauf, 5.250%, 1/04/2010 EUR 80,000 108,408
Republic of Germany, 3.250%, 4/17/2009 EUR 10,000 12,446
---------
312,499
---------
HONG KONG - 0.1%
Bangkok Bank PLC/Hong Kong,
9.025%, 3/15/2029, 144A USD 15,000 16,794
---------
39
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
IRELAND - 0.2%
Republic of Ireland, 4.600%, 4/18/2016 EUR $ 30,000 $ 38,849
---------
ITALY - 3.2%
Republic of Italy, 0.375%, 10/10/2006 JPY 24,000,000 219,000
Republic of Italy, 4.500%, 3/01/2007 EUR 210,000 271,649
Republic of Italy, 5.000%, 12/15/2004 JPY 6,000,000 55,107
---------
545,756
---------
MEXICO - 1.0%
Government of Mexico, 6.750%, 6/06/2006 JPY 7,000,000 70,076
Innova S de RL, 9.375%, 9/19/2013 USD 25,000 27,188
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 1,000,000 83,014
---------
180,278
---------
NETHERLANDS - 1.8%
E. On International Finance Series EMTN,
5.750%, 5/29/2009 EUR 10,000 13,610
GMAC International Finance BV,
8.000%, 3/14/2007 NZD 55,000 37,504
Kingdom of Netherlands, 5.000%, 7/15/2011 EUR 50,000 67,121
Olivetti Finance NV, 6.875%, 1/24/2013 EUR 10,000 14,443
Repsol International Finance BV,
5.750%, 12/04/2006 EUR 100,000 131,398
RWE Finance B.V., 6.125%, 10/26/2012 EUR 25,000 35,274
Telefonica Europe BV, 5.125%, 2/14/2013 EUR 10,000 13,182
---------
312,532
---------
NORWAY - 0.4%
Kingdom of Norway, 6.750%, 1/15/2007 NOK 380,000 61,573
---------
PERU - 0.3%
Republic of Peru, 4.500%, 3/07/2017
(step to 5.000% on 3/07/05)(e) USD 50,000 44,000
---------
SINGAPORE - 0.6%
Government of Singapore, 4.625%, 7/01/2010 SGD 125,000 82,173
Singapore Telecommunications Ltd.,
6.000%, 11/21/2011 EUR 10,000 13,797
---------
95,970
---------
SOUTH AFRICA - 0.4%
Republic of South Africa, 5.250%, 5/16/2013 EUR 50,000 62,716
---------
SUPRANATIONAL - 1.1%
Inter-American Development Bank, Zero
Coupon Bond, 5/11/2009 BRL 700,000 121,906
International Bank for Reconstruction &
Development, 4.750%, 12/20/2004 JPY 7,000,000 64,292
---------
186,198
---------
SWEDEN - 0.6%
Government of Sweden, Series 1045,
5.250%, 3/15/2011 SEK 495,000 72,624
Stena AB, 7.500%, 11/01/2013 USD 25,000 25,031
---------
97,655
---------
UNITED KINGDOM - 0.6%
NGG Finance Plc, 6.125%, 8/23/2011 EUR 10,000 13,876
United Kingdom Treasury, 6.250%, 11/25/2010 GBP 35,000 68,307
WPP Group Plc, 6.000%, 6/18/2008 EUR 20,000 26,927
---------
109,110
---------
40
Principal Amount Value (a)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - 20.1%
AES Corp., 7.750%, 3/01/2014 USD $ 100,000 $103,250
Agco Corp., 6.875%, 4/15/2014 EUR 20,000 24,487
AK Steel Corp., 7.750%, 6/15/2012 USD 100,000 97,750
American Standard, Inc., 8.250%, 6/01/2009 GBP 10,000 19,386
Arrow Electronics, Inc., 6.875%, 7/01/2013 USD 75,000 81,152
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 100,000 58,827
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 USD 88,712 83,438
Bausch & Lomb, Inc., 7.125%, 8/01/2028 USD 95,000 100,451
Borden, Inc., 7.875%, 2/15/2023 USD 150,000 121,500
Bowater, Inc., 6.500%, 6/15/2013 USD 25,000 24,257
Cerro Negro Finance Ltd., 7.900%, 12/01/2020,
144A USD 30,000 29,250
Charter Communications Holdings LLC,
10.000%, 5/15/2011 USD 200,000 154,000
Chesapeake Energy Corp., 6.875%, 1/15/2016 USD 110,000 114,950
Columbia/HCA Healthcare Corp.,
7.050%, 12/01/2027 USD 50,000 48,606
Columbia/HCA Healthcare Corp.,
7.190%, 11/15/2015 USD 50,000 54,137
Continental Airlines, Inc.,
Series 1998-1A, 6.648%, 9/15/2017 USD 42,291 39,586
Continental Airlines, Inc.,
Series 2000-2, 7.487%, 4/02/2012 USD 75,000 73,108
Corning Glass, 8.875%, 3/15/2016 USD 25,000 28,714
Cummins Engine Co., Inc., 7.125%, 3/01/2028 USD 160,000 160,000
Dillard's, Inc., 6.625%, 1/15/2018 USD 50,000 47,750
Dillard's, Inc., 7.000%, 12/01/2028 USD 50,000 47,000
ESI Tractebel Acquisition Corp., Series B,
7.990%, 12/30/2011 USD 22,000 22,715
Federal Home Loan Mortgage Corp.,
5.125%, 1/15/2012 EUR 200,000 266,918
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 100,000 58,647
Federal National Mortgage Association,
2.375%, 2/15/2007 USD 50,000 49,345
Georgia-Pacific Group, 7.375%, 12/01/2025 USD 50,000 53,250
Georgia-Pacific Group, 7.750%, 11/15/2029 USD 35,000 37,625
Hasbro, Inc., 6.600%, 7/15/2028 USD 50,000 50,250
IMC Global, Inc., 7.375%, 8/01/2018 USD 100,000 105,000
J.C. Penney Co., Inc., 7.125%, 11/15/2023 USD 25,000 26,438
KfW International Finance, Inc., 1.000%,
12/20/2004 JPY 8,000,000 72,909
Lear Corp., 8.125%, 4/01/2008 EUR 50,000 70,292
Lucent Technologies, Inc., 6.450%, 3/15/2029 USD 155,000 125,550
Morgan Stanley, 5.375%, 11/14/2013 GBP 20,000 35,636
Motorola, Inc., 8.000%, 11/01/2011 USD 75,000 90,147
News America Holdings, Inc., 8.625%, 2/07/2014 AUD 50,000 39,024
Pemex Project Funding Master Trust,
7.875%, 2/01/2009 USD 115,000 128,225
Pioneer Natural Resources Co., 7.200%, 1/15/2028 USD 175,000 197,090
Qwest Corp., 6.875%, 9/15/2033 USD 30,000 25,275
Service Corp. International, 6.500%, 3/15/2008 USD 5,000 5,206
Sprint Capital Corp., 6.875%, 11/15/2028 USD 25,000 26,222
US West Capital Funding, Inc., 6.875%, 7/15/2028 USD 200,000 143,500
Williams Cos., Inc., 7.500%, 1/15/2031 USD 100,000 100,500
Woolworth Corp., 8.500%, 1/15/2022 USD 150,000 159,750
41
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
Principal Amount Value (a)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
Xerox Capital Trust I, 8.000%, 2/01/2027 USD $ 50,000 $ 49,250
Xerox Corp., 7.200%, 4/01/2016 USD 20,000 20,450
----------
3,470,813
----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $5,747,646) 6,422,645
----------
CONVERTIBLE BONDS - 0.7%
UNITED STATES - 0.7%
Builders Transportation, Inc.,
8.000%, 8/15/2005(d) USD 95,000 10
Corning, Inc., 3.500%, 11/01/2008 USD 50,000 58,750
Loews Corp., 3.125%, 9/15/2007 USD 70,000 68,512
----------
127,272
----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $192,940) 127,272
----------
TOTAL BONDS AND NOTES
(Identified Cost $5,940,586) 6,549,917
----------
Shares
- -------------------------------------------------------------------------------
COMMON STOCKS - 55.3% OF TOTAL NET ASSETS
AUSTRALIA - 1.4%
Aristocrat Leisure Ltd. 29,400 165,642
Newcrest Mining Ltd. 6,500 71,807
----------
237,449
----------
AUSTRIA - 1.6%
Erste Bank der oesterreichischen Sparkassen AG 3,600 150,067
Wienerberger AG 3,300 123,952
----------
274,019
----------
BELGIUM - 0.7%
Umicore 1,775 129,648
----------
BERMUDA - 1.3%
Accenture Ltd., Class A(c) 5,750 155,537
Golar LNG Ltd.(c) 4,400 69,360
----------
224,897
----------
CANADA - 1.5%
Canfor Corp.(c) 7,150 90,449
Cott Corp.(c) 2,500 73,165
PetroKazakhstan, Inc., Class A 2,830 96,312
----------
259,926
----------
DENMARK - 0.5%
William Demant Holding A/S(c) 2,100 92,766
----------
FRANCE - 1.2%
Axa 3,900 79,151
Total Fina SA, Class B 600 122,464
----------
201,615
----------
42
Shares Value (a)
- ------------------------------------------------------------------
COMMON STOCKS - CONTINUED
GERMANY - 1.6%
Bayerische Motoren Werke (BMW) AG 1,800 $ 74,152
SAP AG 500 77,884
Siemens AG 1,600 117,929
----------
269,965
----------
HONG KONG - 0.3%
Esprit Holdings Ltd. 11,500 58,882
----------
INDIA - 0.4%
State Bank of India, GDR, 144A 2,470 61,380
----------
IRELAND - 0.5%
Anglo Irish Bank Corp. Plc 4,921 90,293
----------
ISRAEL - 0.1%
Teva Pharmaceutical Industries Ltd., ADR 592 15,362
----------
ITALY - 0.7%
Eni Spa 5,200 116,640
----------
JAPAN - 8.1%
Advantest Corp. 900 54,148
Chugai Pharmaceutical Co. Ltd. 4,000 57,815
Diamond City Co., Ltd. 2,600 69,291
Diamond City Co., Ltd. (New)(c) 1,300 34,646
GOLDCREST Co. Ltd. 880 51,659
H.I.S. Co. Ltd. 2,500 78,905
Honda Motor Co. Ltd. 2,300 112,143
Mitsubishi Tokyo Financial Group, Inc. 13 108,587
Nippon Thompson Co. Ltd. 10,000 61,332
Nitori Co. 800 45,991
Sammy Corp. 2,300 112,981
SFCG Co. Ltd. 520 102,706
Sumitomo Realty & Development Co. Ltd. 8,000 85,358
Sumitomo Rubber Industries Ltd. 8,000 77,566
T&D Holdings, Inc. 1,600 70,328
Takefuji Corp. 1,040 66,692
TDK Corp., ADR 725 48,619
UFJ Holdings, Inc.(c) 18 79,071
Xebio Co. Ltd. 2,900 80,787
----------
1,398,625
----------
MEXICO - 0.6%
Fomento Economico Mexicano SA de CV, ADR 2,175 96,092
----------
RUSSIA - 0.5%
Gazprom, ADR(c) 2,550 91,290
----------
SCOTLAND - 0.8%
Royal Bank of Scotland Group Plc 4,900 141,867
----------
SINGAPORE - 1.1%
Keppel Corp. Ltd. 16,000 75,214
Singapore Press Holdings Ltd.(c) 43,000 121,218
----------
196,432
----------
SOUTH KOREA - 0.6%
Samsung Electronics 270 107,233
----------
43
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
Shares Value (a)
- --------------------------------------------------------------
COMMON STOCKS - CONTINUED
SWEDEN - 1.2%
SKF AB, Class B 1,100 $ 41,797
Telefonaktiebolaget LM Ericsson, ADR(c) 5,350 167,134
---------
208,931
---------
SWITZERLAND - 2.3%
Roche Holding AG 1,000 103,627
Straumann AG 650 138,255
Synthes, Inc.(c) 1,350 147,402
---------
389,284
---------
TAIWAN - 0.9%
Advanced Semiconductor Engineering, Inc. 89,561 59,610
United Microelectronics Corp., ADR 26,245 88,708
---------
148,318
---------
UNITED KINGDOM - 4.2%
BHP Billiton Plc 11,765 124,141
Burberry Group Plc 16,100 108,830
CSR Plc(c) 16,700 107,484
Pearson Plc 8,300 88,896
Smith & Nephew Plc 9,600 88,486
Standard Chartered Plc 4,200 72,226
Vodafone Group Plc 59,500 142,802
---------
732,865
---------
UNITED STATES - 23.2%
AFLAC, Inc. 4,000 156,840
American International Group, Inc. 2,150 146,178
Amgen, Inc.(c) 2,000 113,360
Caremark Rx, Inc.(c) 4,000 128,280
Carnival Corp. 3,000 141,870
CenturyTel, Inc. 4,500 154,080
Cisco Systems, Inc.(c) 3,750 67,875
Citigroup, Inc. 2,750 121,330
ConocoPhillips 1,500 124,275
Covad Communications Group, Inc.(c) 459 771
Danaher Corp. 2,000 102,560
Dell, Inc.(c) 2,500 89,000
Devon Energy Corp. 1,800 127,818
Dominion Resources, Inc. 750 48,938
Dover Corp. 2,250 87,458
ExxonMobil Corp. 3,000 144,990
First Data Corp. 3,200 139,200
General Electric Co. 2,500 83,950
GlobalSantaFe Corp. 4,000 122,600
Goldman Sachs Group, Inc. 1,200 111,888
Guidant Corp. 1,200 79,248
Harley-Davidson, Inc. 2,000 118,880
Harris Corp. 2,700 148,338
Illinois Tool Works, Inc. 700 65,219
Intel Corp. 1,500 30,090
Leggett & Platt, Inc. 4,500 126,450
Maxim Integrated Products, Inc. 2,250 95,153
Medtronic, Inc. 2,250 116,775
44
Shares Value (a)
- -----------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
UNITED STATES - CONTINUED
Northrop Grumman Corp. 2,600 $ 138,658
PepsiCo, Inc. 2,750 133,787
Pfizer, Inc. 2,500 76,500
Praxair, Inc. 2,000 85,480
SunGard Data Systems, Inc.(c) 6,000 142,620
Target Corp. 1,750 79,188
Viacom, Inc., Class B 3,000 100,680
Wells Fargo & Co. 2,250 134,167
Zimmer Holdings, Inc.(c) 1,500 118,560
-----------
4,003,054
-----------
TOTAL COMMON STOCKS
(Identified Cost $8,297,583) 9,546,833
-----------
PREFERRED STOCKS - 1.4% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.7%
GERMANY - 0.7%
ProSiebenSati Media AG 6,700 123,703
-----------
TOTAL NON-COVERTIBLE PREFERRED STOCKS
(Identified Cost $117,301) 123,703
-----------
CONVERTIBLE PREFERRED STOCKS - 0.7%
PHILIPPINES - 0.7%
Philippine Long Distance Telephone Co., $3.50
GDS 2,500 124,375
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $91,812) 124,375
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $209,113) 248,078
-----------
WARRANTS - 0.0% OF NET ASSETS
CANADA - 0.0%
Anooraq Resources Corp., expiring 06/01/05(c) 11,900 0
-----------
TOTAL WARRANTS
(Identified Cost $0) 0
-----------
Principal Amount
- -----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 3.4%
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$579,010 on 10/01/04 collateralized by $435,000
U.S. Treasury Bond, 7.625% due 2/15/25 with a
value of $595,542 $579,000 579,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $579,000) 579,000
-----------
TOTAL INVESTMENTS - 98.0%
(Identified Cost $15,026,282)(b) 16,923,828
Other assets less liabilities--2.0% 350,599
-----------
TOTAL NET ASSETS - 100% $17,274,427
-----------
45
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net unrealized
appreciation on investments based on cost of
$15,047,525 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $2,187,128
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (310,825)
----------
Net unrealized appreciation $1,876,303
----------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $2,049,444 of which $1,008,781 expires on September 30, 2010
and $1,040,663 expires on September 30, 2011. These amounts may be available
to offset future realized capital gains, if any, to the extent provided by
regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$470,328 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, premium amortization accruals and wash sales.
(c)Non-income producing security.
(d)Non-income producing security due to default or backruptcy filing.
(e)Step Bond: Coupon is zero or below market rate for an initial period
and then increases at a specified date and rate.
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 September
30, 2004, the total value of these securities amounted to $201,859 or
1.17% of total net assets.
ADR/GDR/GDS--An American Depositary Receipt (ADR), Global Depositary Receipt
(GDR) or Global Depositary Shares (GDS) 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 GDR's are significantly influenced
by trading on exchanges not located in the United States.
Key to Abbreviations: AUD: Australian Dollar; BRL: Brazilian Real; CAD:
Canadian Dollar; DKK: Danish Krone; EUR: Euro; HUF: Hungarian Forint; GBP:
Great British Pound; JPY: Japanese Yen; MXN: Mexican Peso; NOK: Norwegian
Krone; NZD: New Zealand Dollar; SGD: Singapore Dollar; SEK: Swedish Krona;
USD: United States Dollar.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Sovereigns 7.5%
Oil & Gas 4.6
Healthcare Equipment & Supplies 3.4
Wireless Telecommunication Services 3.0
Metals & Mining 2.7
Specialty Retail 2.7
Insurance 2.6
IT Services 2.5
Containers & Packaging 2.4
Communications Equipment 2.2
Government Agencies 2.2
Consumer Finance 2.1
Wireless 2.1
Electronics 2.0
Machinery 2.0
Other, less than 2% each 50.6
See accompanying notes to financial statements.
46
THIS PAGE INTENTIONALLY LEFT BLANK
47
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004
AGGRESSIVE MID CAP SMALL CAP
GROWTH FUND GROWTH FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------
ASSETS
Investments at cost...................................... $ 45,687,477 $ 7,394,990 $ 27,909,044
Net unrealized appreciation.............................. 5,368,103 906,058 2,732,972
--------------- --------------- ---------------
Investments at value................................... 51,055,580 8,301,048 30,642,016
Cash..................................................... 817 359,892 340,326
Foreign cash at value (identified cost $ 11,020)......... -- -- --
Receivable for Fund shares sold.......................... 38,122 -- 2,695
Receivable for securities sold........................... 138,938 23,156 2,561,224
Dividends and interest receivable........................ 10,430 1,721 3,273
Tax reclaims receivable.................................. -- -- --
Receivable from investment adviser....................... 8,666 5,108 13,308
Other.................................................... -- -- --
--------------- --------------- ---------------
TOTAL ASSETS 51,252,553 8,690,925 33,562,842
--------------- --------------- ---------------
LIABILITIES
Payable for securities purchased......................... 511,313 86,480 385,728
Payable for Fund shares redeemed......................... 82,795 -- 2,645,442
Foreign taxes............................................ -- -- --
Management fees payable.................................. 30,590 5,149 19,662
Trustees' fees payable................................... 1,677 1,640 1,664
Deferred Trustees' fees.................................. 5,244 4,196 4,989
Accounting and administrative fees payable............... 10,075 1,562 9,262
Service and distribution fees payable.................... 173 -- 99
Transfer agent fees payable.............................. 4,242 1,219 4,417
Other accounts payable and accrued expenses.............. 33,259 20,852 36,023
--------------- --------------- ---------------
TOTAL LIABILITIES 679,368 121,098 3,107,286
--------------- --------------- ---------------
NET ASSETS $ 50,573,185 $ 8,569,827 $ 30,455,556
--------------- --------------- ---------------
Net Assets consist of:....................................
Paid in capital.......................................... $ 153,802,265 $ 12,336,741 $ 237,291,769
Undistributed (overdistributed) net investment income
(loss) (126,934) (8,765) (4,989)
Accumulated net realized gain (loss) on investments...... (108,470,249) (4,664,207) (209,564,196)
Net unrealized appreciation (depreciation) on investments
and foreign currency translations...................... 5,368,103 906,058 2,732,972
--------------- --------------- ---------------
NET ASSETS $ 50,573,185 $ 8,569,827 $ 30,455,556
--------------- --------------- ---------------
NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS
Net assets............................................. $ 25,191,189 $ 8,569,827 $ 15,866,663
--------------- --------------- ---------------
Shares of beneficial interest.......................... 1,625,450 1,250,012 1,771,713
--------------- --------------- ---------------
Net asset value, offering and redemption price per
share................................................ $ 15.50 $ 6.86 $ 8.96
=============== =============== ===============
RETAIL CLASS
Net assets............................................. $ 25,381,996 -- $ 14,588,893
--------------- --------------- ---------------
Shares of beneficial interest.......................... 1,670,054 -- 1,661,545
--------------- --------------- ---------------
Net asset value, offering and redemption price per
share................................................ $ 15.20 -- $ 8.78
--------------- --------------- ---------------
ADMIN CLASS
Net assets............................................. -- -- --
--------------- --------------- ---------------
Shares of beneficial interest.......................... -- -- --
--------------- --------------- ---------------
Net asset value, offering and redemption price per
share................................................ -- -- --
--------------- --------------- ---------------
See accompanying notes to financial statements.
48
SMALL CAP SMALL COMPANY TAX-MANAGED
VALUE FUND GROWTH FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
- -----------------------------------------------------------------------------------
$ 473,805,102 $ 18,944,746 $ 4,635,845 $ 28,197,792 $ 15,026,282
108,000,420 1,586,129 590,217 5,392,088 1,897,546
- -----------------------------------------------------------------------------------
581,805,522 20,530,875 5,226,062 33,589,880 16,923,828
1,589 384,079 14,222 736 887
-- -- -- -- 11,198
1,389,967 -- -- -- 259,034
5,255,677 84,648 -- -- 47,976
596,377 1,773 2,354 40,011 128,992
-- -- -- -- 1,181
9,814 1,167 3,837 4,769 10,769
-- -- -- -- 1,050
- -----------------------------------------------------------------------------------
589,058,946 21,002,542 5,246,475 33,635,396 17,384,915
- -----------------------------------------------------------------------------------
5,388,214 108,972 12,809 -- 62,670
649,103 -- -- 15,130 --
2,084 -- -- 248 869
353,356 12,554 2,098 13,824 10,292
2,096 1,652 1,636 1,662 1,625
16,686 4,530 4,086 4,880 4,376
102,642 4,707 1,247 7,263 2,790
2,030 -- -- -- --
19,392 1,225 1,572 2,334 1,539
76,755 22,561 20,988 26,997 26,327
- -----------------------------------------------------------------------------------
6,612,358 156,201 44,436 72,338 110,488
- -----------------------------------------------------------------------------------
$ 582,446,588 $ 20,846,341 $ 5,202,039 $ 33,563,058 $ 17,274,427
- -----------------------------------------------------------------------------------
$ 417,264,099 $ 99,908,294 $ 8,808,117 $ 29,854,901 $ 16,980,411
76,941 (4,530) 19,706 519,100 465,952
57,105,128 (80,643,552) (4,216,001) (2,203,031) (2,070,687)
108,000,420 1,586,129 590,217 5,392,088 1,898,751
- -----------------------------------------------------------------------------------
$ 582,446,588 $ 20,846,341 $ 5,202,039 $ 33,563,058 $ 17,274,427
- -----------------------------------------------------------------------------------
$ 346,356,022 $ 20,846,341 $ 5,202,039 $ 33,563,058 $ 17,274,427
- -----------------------------------------------------------------------------------
13,450,078 2,661,967 612,914 2,103,614 1,694,505
- -----------------------------------------------------------------------------------
$ 25.75 $ 7.83 $ 8.49 $ 15.95 $ 10.19
- -----------------------------------------------------------------------------------
$ 173,410,804 -- -- -- --
- -----------------------------------------------------------------------------------
6,767,802 -- -- -- --
- -----------------------------------------------------------------------------------
$ 25.62 -- -- -- --
- -----------------------------------------------------------------------------------
$ 62,679,762 -- -- -- --
- -----------------------------------------------------------------------------------
2,464,777 -- -- -- --
- -----------------------------------------------------------------------------------
$ 25.43 -- -- -- --
- -----------------------------------------------------------------------------------
See accompanying notes to financial statements.
49
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED SEPTEMBER 30, 2004
AGGRESSIVE MID CAP SMALL CAP
GROWTH FUND GROWTH FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------
Investment Income
Dividends......................................................... $ 80,903 $ 13,076 $ 21,368
Interest.......................................................... 5,748 383 3,794
Less foreign taxes withheld....................................... -- -- --
------------ ------------ ------------
86,651 13,459 25,162
------------ ------------ ------------
EXPENSES
Management fees................................................... 411,607 63,508 333,595
Distribution fees--Retail Class................................... 74,093 -- 54,892
Service and distribution fees--Admin Class........................ -- -- --
Trustees' fees and expenses....................................... 11,574 9,178 11,075
Accounting and administrative fees................................ 36,011 5,556 29,186
Custodian......................................................... 48,105 33,959 50,392
Transfer agent fees-- Institutional Class, Retail Class, Admin
Class........................................................... 43,315 13,348 42,137
Audit and tax services............................................ 27,896 23,533 37,661
Registration...................................................... 27,319 19,760 40,419
Shareholder reporting............................................. 21,582 4,389 15,075
Legal............................................................. 3,506 538 2,647
Miscellaneous..................................................... 13,524 4,413 13,171
------------ ------------ ------------
Total expenses.................................................... 718,532 178,182 630,250
Less reimbursement/waiver......................................... (95,630) (101,973) (130,564)
------------ ------------ ------------
Net expenses...................................................... 622,902 76,209 499,686
------------ ------------ ------------
Net investment income (loss)...................................... (536,251) (62,750) (474,524)
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
REALIZED GAIN (LOSS) ON:
Investments--net.................................................. 11,771,511 1,544,389 12,648,409
Foreign currency transactions--net................................ -- -- --
------------ ------------ ------------
Total net realized gain (loss) on investments and foreign currency
transactions.................................................... 11,771,511 1,544,389 12,648,409
------------ ------------ ------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments--net.................................................. (4,394,736) (529,308) (8,644,086)
Foreign currency translations--net................................ -- -- --
------------ ------------ ------------
Total net change in unrealized appreciation (depreciation) on
investments and foreign currency translations................... (4,394,736) (529,308) (8,644,086)
------------ ------------ ------------
Total net realized and unrealized gain (loss) on investments and
foreign currency transactions................................... 7,376,775 1,015,081 4,004,323
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,840,524 $ 952,331 $ 3,529,799
============ ============ ============
See accompanying notes to financial statements.
50
SMALL CAP SMALL COMPANY TAX-MANAGED
VALUE FUND GROWTH FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
------------------------------------------------------------------------
$ 5,647,498 $ 14,791 $ 45,543 $ 856,511 $ 132,855
245,986 1,037 60 3,612 411,927
(7,720) -- (157) (4,071) (9,113)
------------------------------------------------------------------------
5,885,764 15,828 45,446 856,052 535,669
------------------------------------------------------------------------
4,147,405 175,343 18,372 191,851 113,288
423,988 -- -- -- --
261,292 -- -- -- --
36,942 9,941 8,924 10,706 9,514
362,854 15,341 2,411 25,178 9,912
108,561 41,388 30,972 38,506 82,734
209,183 13,594 17,745 23,908 17,058
46,110 24,623 23,296 25,606 25,172
45,209 19,650 15,240 17,420 19,073
94,577 9,676 2,589 9,567 2,556
35,184 1,621 242 2,366 959
75,979 8,052 4,773 10,552 1,751
------------------------------------------------------------------------
5,847,284 319,229 124,564 355,660 282,017
(185,229) (108,817) (100,680) (29,514) (130,966)
------------------------------------------------------------------------
5,662,055 210,412 23,884 326,146 151,051
------------------------------------------------------------------------
223,709 (194,584) 21,562 529,906 384,618
------------------------------------------------------------------------
65,900,639 2,281,688 (11,257) 3,827,567 509,475
-- -- -- -- (7,864)
------------------------------------------------------------------------
65,900,639 2,281,688 (11,257) 3,827,567 501,611
------------------------------------------------------------------------
46,216,250 (3,170,922) 375,137 2,637,813 773,530
-- -- -- -- (1,462)
------------------------------------------------------------------------
46,216,250 (3,170,922) 375,137 2,637,813 772,068
------------------------------------------------------------------------
112,116,889 (889,234) 363,880 6,465,380 1,273,679
------------------------------------------------------------------------
$112,340,598 $ (1,083,818) $ 385,442 $ 6,995,286 $ 1,658,297
------------------------------------------------------------------------
See accompanying notes to financial statements.
51
STATEMENTS OF CHANGES IN NET ASSETS
Aggressive Growth Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (536,251) $ (471,108)
Net realized gain (loss) on investments and foreign currency transactions 11,771,511 (1,638,969)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations (4,394,736) 13,073,722
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 6,840,524 10,963,645
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- --
Retail Class -- --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions -- --
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (12,946,996) 2,847,129
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (6,106,472) 13,810,774
NET ASSETS
Beginning of period 56,679,657 42,868,883
- -------------------------------------------------------------------------------------------------------------------------
End of period $ 50,573,185 $56,679,657
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (126,934) $ (1,142)
------------------ ------------------
Mid Cap Growth Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (62,750) $ (51,079)
Net realized gain (loss) on investments and foreign currency transactions 1,544,389 (109,243)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations (529,308) 1,858,351
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 952,331 1,698,029
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions -- --
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (42,608) 32,706
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 909,723 1,730,735
NET ASSETS
Beginning of period 7,660,104 5,929,369
- -------------------------------------------------------------------------------------------------------------------------
End of period $8,569,827 $7,660,104
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (8,765) $ (1,142)
------------------ ------------------
See accompanying notes to financial statements.
52
Small Cap Growth Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (474,524) $ (636,880)
Net realized gain (loss) on investments and foreign currency transactions 12,648,409 (3,722,740)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations (8,644,086) 18,110,700
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 3,529,799 13,751,080
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- --
Retail Class -- --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions -- --
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (25,938,308) (36,514,836)
- -------------------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class 63 --
Retail Class 41 --
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (22,408,405) (22,763,756)
NET ASSETS
Beginning of period 52,863,961 75,627,717
- -------------------------------------------------------------------------------------------------------------------------
End of period $ 30,455,556 $ 52,863,961
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (4,989) $ (1,142)
------------------ ------------------
Small Cap Value Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 223,709 $ 567,375
Net realized gain (loss) on investments and foreign currency transactions 65,900,639 4,755,610
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations 46,216,250 79,201,327
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 112,340,598 84,524,312
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (755,336) --
Retail Class (73,295) --
Admin Class -- --
CAPITAL GAINS:
Institutional Class (7,446,392) --
Retail Class (3,811,026) --
Admin Class (1,088,512) --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions (13,174,561) --
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 15,767,810 37,141,909
- -------------------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class 2,915 --
Retail Class 1,477 --
Admin Class 486 --
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 114,938,725 121,666,221
NET ASSETS
Beginning of period 467,507,863 345,841,642
- -------------------------------------------------------------------------------------------------------------------------
End of period $582,446,588 $467,507,863
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 76,941 $ 682,317
------------------ ------------------
See accompanying notes to financial statements.
53
STATEMENTS OF CHANGES IN NET ASSETS
Small Company Growth Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (194,584) $ (216,252)
Net realized gain (loss) on investments and foreign currency transactions 2,281,688 (3,347,715)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations (3,170,922) 10,422,651
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations (1,083,818) 6,858,684
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- --
- -------------------------------------------------------------------------------------------------------------------------
Total distributions -- --
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (2,300,199) (30,642,707)
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (3,384,017) (23,784,023)
NET ASSETS
Beginning of period 24,230,358 48,014,381
- -------------------------------------------------------------------------------------------------------------------------
End of period $20,846,341 $ 24,230,358
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (4,530) $ (1,142)
------------------ ------------------
Tax-Managed Equity Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 21,562 $ 71,050
Net realized gain (loss) on investments and foreign currency transactions (11,257) (145,271)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations 375,137 684,831
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 385,442 610,610
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (62,322) (82,181)
- -------------------------------------------------------------------------------------------------------------------------
Total distributions (62,322) (82,181)
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 2,388,811 (15,464,446)
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 2,711,931 (14,936,017)
NET ASSETS
Beginning of period 2,490,108 17,426,125
- -------------------------------------------------------------------------------------------------------------------------
End of period $5,202,039 $ 2,490,108
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 19,706 $ 60,856
------------------ ------------------
See accompanying notes to financial statements.
54
Value Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 529,906 $ 448,264
Net realized gain (loss) on investments and foreign currency transactions 3,827,567 (2,165,764)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations 2,637,813 8,798,027
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 6,995,286 7,080,527
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (456,216) (273,025)
- -------------------------------------------------------------------------------------------------------------------------
Total distributions (456,216) (273,025)
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (10,935,484) (1,873,138)
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (4,396,414) 4,934,364
NET ASSETS
Beginning of period 37,959,472 33,025,108
- -------------------------------------------------------------------------------------------------------------------------
End of period $ 33,563,058 $37,959,472
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 519,100 $ 444,016
------------------ ------------------
Worldwide Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- -------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 384,618 $ 363,432
Net realized gain (loss) on investments and foreign currency transactions 501,611 104,771
Net change in unrealized appreciation (depreciation) on investments and foreign
currency translations 772,068 1,826,724
- -------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 1,658,297 2,294,927
- -------------------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (448,271) (284,901)
- -------------------------------------------------------------------------------------------------------------------------
Total distributions (448,271) (284,901)
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 5,565,347 148,718
- -------------------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class -- --
- -------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 6,775,373 2,158,744
NET ASSETS
Beginning of period 10,499,054 8,340,310
- -------------------------------------------------------------------------------------------------------------------------
End of period $17,274,427 $10,499,054
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 465,952 $ 443,887
------------------ ------------------
See accompanying notes to financial statements.
55
FINANCIAL HIGHLIGHTS
Income (loss) from Investment Operations: Less Distributions:
------------------------------------------ ----------------------------
Net asset
value, Net Net realized Dividends Distributions
beginning investment and unrealized Total from from from net
of income gain (loss) on investment net investment realized
the period (loss) investments operations income capital gains
- -------------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH FUND
INSTITUTIONAL CLASS
9/30/2004.......... $13.69 $(0.13)(c) $ 1.94 $ 1.81 $-- $ --
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)
RETAIL CLASS
9/30/2004.......... 13.46 (0.16)(c) 1.90 1.74 -- --
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)
MID CAP GROWTH FUND
INSTITUTIONAL CLASS
9/30/2004.......... $ 6.10 $(0.05)(c) $ 0.81 $ 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.
See accompanying notes to financial statements.
56
Ratios to Average Net Assets:
- -------------- ----------------------------------
Net asset Net assets,
value, Total end of the Net Gross Net investment Portfolio
Total end of the return period expenses expenses income (loss) turnover
distributions period (%)(a) (000) (%)(b)(d) (%)(d) (%)(d) rate(%)
- ---------------------------------------------------------------------------------------
$ -- $15.50 13.2 $ 25,191 1.00 1.17 (0.84) 284
-- 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
-- 15.20 12.9 25,382 1.25 1.42 (1.10) 284
-- 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
$ -- $ 6.86 12.5 $ 8,570 0.90 2.10 (0.74) 287
-- 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.
57
FINANCIAL HIGHLIGHTS - continued
Income (loss) from Investment Operations: Less Distributions:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income (loss) investments operations income capital gains
- -------------------------------------------------------------------------------------------------------
Small Cap Growth Fund
INSTITUTIONAL CLASS
9/30/2004.......... $ 8.59 $(0.09)(c) $ 0.46 $ 0.37 $ -- $ --
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 -- --
RETAIL CLASS
9/30/2004.......... 8.45 (0.11)(c) 0.44 0.33 -- --
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 -- --
SMALL CAP VALUE FUND
INSTITUTIONAL CLASS
9/30/2004.......... $21.34 $ 0.04(c) $ 4.97 $ 5.01 $(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)
RETAIL CLASS
9/30/2004.......... 21.25 (0.02)/(c)/ 4.95 4.93 (0.01) (0.55)
9/30/2003.......... 17.25 0.00(c)(d) 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)
ADMIN CLASS
9/30/2004.......... 21.13 (0.08)(c) 4.93 4.85 -- (0.55)
9/30/2003.......... 17.20 (0.05)(c) 3.98 3.93 -- --
9/30/2002.......... 19.80 0.00(c)(d) (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)
(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) Amount rounds to less than $0.01
per share.
See accompanying notes to financial statements.
58
Ratios to Average Net Assets:
- ------------------------- ---------------------------------
Net asset Net assets,
value, Total end of Net Gross Net investment Portfolio
Total Redemption end of return the period Expenses Expenses income (loss) turnover
distributions fee the period (%)(a) (000) (%)(b) (%) (%) rate (%)
- -------------------------------------------------------------------------------------------------
$ -- $0.00(d) $ 8.96 4.3 $ 15,867 1.00 1.31 (0.95) 217
-- -- 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
-- $0.00(d) 8.78 3.9 14,589 1.25 1.52 (1.19) 217
-- -- 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
$(0.60) $0.00(d) $25.75 23.8 $346,356 0.90 0.93 0.16 70
-- -- 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
(0.56) 0.00(d) 25.62 23.5 173,411 1.15 1.18 (0.08) 70
-- -- 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
(0.55) 0.00(d) 25.43 23.3 62,680 1.40 1.43 (0.33) 70
-- -- 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
See accompanying notes to financial statements.
59
FINANCIAL HIGHLIGHTS - continued
Income (loss) from Investment Operations: Less Distributions:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income (loss) investments operations income capital gains
- -------------------------------------------------------------------------------------------------------
Small Company Growth Fund
INSTITUTIONAL CLASS
9/30/2004.......... $ 8.27 $(0.07)(c) $ (0.37) $ (0.44) $ -- $ --
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 -- --
TAX-MANAGED EQUITY FUND
INSTITUTIONAL CLASS
9/30/2004.......... $ 7.66 $ 0.05(c) $ 0.97 $ 1.02 $(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)
VALUE FUND
INSTITUTIONAL CLASS
9/30/2004.......... $13.52 $ 0.21(c) $ 2.39 $ 2.60 $(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)
WORLDWIDE
FUND
INSTITUTIONAL CLASS
9/30/2004.......... $ 9.32 $ 0.25(c) $ 0.96 $ 1.21 $(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)
(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. *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.
60
Ratios to Average Net Assets:
- ------------------------- ---------------------------------
Net asset Net assets,
value, Total end of the Net Gross Net investment Portfolio
Total Redemption end of return period Expenses Expenses income turnover
distributions fee the period (%)(a) (000) (%)(b) (%) (loss) (%) rate(%)
- -------------------------------------------------------------------------------------------------
$ -- $-- $ 7.83 (5.3) $ 20,846 0.90 1.37 (0.83) 235
-- -- 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
$(0.19) $-- $ 8.49 13.4 $ 5,202 0.65 3.39 0.59 27
(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
$(0.17) $-- $15.95 19.4 $ 33,563 0.85 0.93 1.38 47
(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
$(0.34) $-- $10.19 13.2 $ 17,274 1.00 1.87 2.55 69
(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
See accompanying notes to financial statements.
61
NOTES TO FINANCIAL STATEMENTS
FOR THE YEAR ENDED SEPTEMBER 30, 2004
1. ORGANIZATION. Loomis Sayles Funds I and Loomis Sayles Funds II (the
"Trusts" and each a "Trust") are organized as Massachusetts business trusts.
Each Trust is registered under the Investment Company Act of 1940 (the "1940
Act"), as amended, as an open-end investment management 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
the funds of the Trusts as described below. 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 an 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 equity
securities, a 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. As of September 30, 2004,
approximately 24% of the market value of investments for the Loomis Sayles
Worldwide Fund were fair valued pursuant to procedures approved by the Board of
Trustees.
62
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, and interest income is recorded on an accrual basis. Interest
income is increased by the accretion of discount and decreased by the
amortization of premium. 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. Investment income and realized and unrealized gains and
losses are allocated on a pro rata basis to each class based on the relative
net assets of each class to the total net assets of the Fund.
C. FOREIGN CURRENCY TRANSLATION. The books and records of the Funds are
maintained in U.S. dollars. The 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 September 30, 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 and excise taxes have 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, gains realized from passive foreign investment
companies and redemptions in kind. 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.
63
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED SEPTEMBER 30, 2004
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 year ended September 30, 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... $151,447,228 $163,542,961
Mid Cap Growth Fund...... 23,579,378 23,821,738
Small Cap Growth Fund.... 93,604,087 121,224,377
Small Cap Value Fund..... 366,322,435 367,371,432
Small Company Growth Fund 54,052,388 56,314,863
Tax-Managed Equity Fund.. 3,412,947 974,997
Value Fund............... 17,778,475 28,896,177
Worldwide Fund........... 14,095,833 9,377,158
For the year ended September 30, 2004, purchases and sales of U.S.
Government/Agency securities by Worldwide Fund were $534,049 and $471,572,
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 year ended September 30, 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 year ended September 30, 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... $ 411,607 $ 95,630 $ 315,977 0.75% 0.58%
Mid Cap Growth Fund...... 63,508 63,508 -- 0.75% --
Small Cap Growth Fund.... 333,595 130,564 203,031 0.75% 0.46%
Small Cap Value Fund..... 4,147,405 185,229 3,962,176 0.75% 0.72%
Small Company Growth Fund 175,343 108,817 66,526 0.75% 0.28%
Tax-Managed Equity Fund.. 18,372 18,372 -- 0.50% --
Value Fund............... 191,851 29,514 162,337 0.50% 0.42%
Worldwide Fund........... 113,288 113,288 -- 0.75% --
64
For the year ended September 30, 2004, in addition to the waiver of
management fees, expenses have been reimbursed as follows:
Fund Amount
- ---- -------
Mid Cap Growth Fund.... $38,465
Tax-Managed Equity Fund 82,308
Worldwide Fund......... 17,678
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 North America is ultimately owned by three large affiliated French
financial services entities: Caisse des Depots et Consignations ("CDC"), a
public sector financial institution created by the French government in 1816;
Caisse Nationale des Caisses d'Epargne, a financial institution owned by CDC
and by affiliated French savings banks known as the Caisse d'Epargne; and CNP
Assurances, a large French life insurance company.
B. ACCOUNTING AND ADMINISTRATIVE FEES. 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 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 year ended September 30, 2004, fees paid to CIS for accounting and
administrative expense were as follows:
Accounting and
Fund Administrative
- ---- --------------
Aggressive Growth Fund... $ 36,011
Mid Cap Growth Fund...... 5,556
Small Cap Growth Fund.... 29,186
Small Cap Value Fund..... 362,854
Small Company Growth Fund 15,341
Tax-Managed Equity Fund.. 2,411
Value Fund............... 25,178
Worldwide Fund........... 9,912
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 Worldwide 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**.
65
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED SEPTEMBER 30, 2004
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 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 year ended September 30, 2004, amounts paid to CIS as compensation
for its services as transfer agent were as follows:
Fund Transfer Agent Fee
- ---- ------------------
Aggressive Growth Fund... $ 30,000
Mid Cap Growth Fund...... 12,000
Small Cap Growth Fund.... 30,000
Small Cap Value Fund..... 145,305
Small Company Growth Fund 12,000
Tax-Managed Equity Fund.. 15,000
Value Fund............... 15,000
Worldwide Fund........... 15,000
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 up to 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
66
North America, CIS or their affiliates. Each Trustee who is an independent
Trustee of the Loomis Sayles Funds Trusts and the CDC Nvest Funds Trusts
receives, in the aggregate, a retainer fee at the annual rate of $50,000 and
meeting attendance fees of $5,000 for each meeting of the Board of Trustees
attended. Each committee chairman receives an additional retainer fee at the
annual rate of $7,000. Each committee member receives a meeting attendance fee
of $3,750 per committee meeting attended. In addition, the independent
co-chairmen of the Board split an additional $50,000 annual retainer fee. These
fees are allocated to the various series of the Loomis Sayles Funds Trusts and
the 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.
Prior to July 1, 2004, the Trust paid each independent trustee a $45,000
annual retainer and a $4,500 fee per meeting attended. In addition, each
committee member received a retainer fee at the annual rate of $7,000 while
each committee chairman received a $5,000 annual retainer (beyond the $7,000).
Each committee member received a $1,750 fee per meeting attended. The retainer
fees assumed four Board or committee meetings per year.
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 year ended September 30, 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........... 104
G. REDEMPTION FEES. Effective April 1, 2004 shareholders of Small Cap Growth
Fund, Small Cap Value Fund and Worldwide Fund will be charged a 2% redemption
fee if they redeem, including redeeming by exchange, any class of shares of
these Funds within 60 days of their acquisition (including acquisition by
exchange). The redemption fee is intended to offset the costs to the Funds of
short-term trading, such as portfolio transaction and market impact costs
associated with redemption activity and administrative costs associated with
processing redemptions. The redemption fee is deducted from the shareholder's
redemption or exchange proceeds and is paid to the Fund. The "first-in,
first-out" (FIFO) method is used to determine the holding period of redeemed or
exchanged shares, which means that if shares were acquired on different days,
the shares acquired first will be redeemed or exchanged first for purposes of
determining whether the redemption fee applies. A new holding period begins
with each purchase or exchange. These fees are presented on the Statements of
Changes in Net Assets.
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 year ended, September 30, 2004, the Funds had no
borrowings under the agreement.
67
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED SEPTEMBER 30, 2004
6. SHAREHOLDERS. At September 30, 2004, Loomis Sayles owned 256,873 shares,
equating to 41.9% of Tax-Managed Equity Fund shares outstanding. At September
30, 2004, one shareholder owned 1,250,000 shares, equating to 100.0% of Mid Cap
Growth Fund. At September 30, 2004, two affiliated shareholders owned 93,017
shares each, equating to 5.5% each of the Loomis Sayles Worldwide Fund. At
September 30, 2004, the Loomis-Sayles Funded Pension Plan ("Pension Plan") and
the Loomis, Sayles & Company, L.P. 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 256,951 414,196
Small Cap Growth Fund. 234,766 440,924
Small Cap Value Fund.. 347,023 578,425
Value Fund............ 428,199 433,549
Worldwide Fund........ 885,919 343,862
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
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares...... 187,450 $ 2,792,212 1,017,143 $ 12,248,463
Issued in connection with
the reinvestment of distributions. -- -- -- --
Redeemed............................ (305,139) (4,700,924) (527,813) (5,940,072)
- ------------------------------------------------------------------------------------------------
Net change.......................... (117,689) $ (1,908,712) 489,330 $ 6,308,391
---------- -------------- ------------ --------------
Shares Amount Shares+ Amount+
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares...... 834,755 $ 12,658,043 1,142,750 $ 13,044,564
Issued in connection with
the reinvestment of distributions. -- -- -- --
Issued in Admin Class Conversion.... -- -- 56,540 631,556
Redeemed............................ (1,602,142) (23,696,327) (1,309,638) (14,596,979)
- ------------------------------------------------------------------------------------------------
Net change.......................... (767,387) $(11,038,284) (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)
---------- --------------
+On May 21, 2003, the outstanding Admin Class Shares were automatically converted into
Retail Class Shares.
MID CAP GROWTH FUND
Year Ended September 30, 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............................ (5,911) (42,608) -- --
- ------------------------------------------------------------------------------------------------
Net change.......................... (5,911) $ (42,608) 5,899 $ 32,706
---------- -------------- ------------ --------------
68
SMALL CAP GROWTH FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 561,970 $ 5,208,033 1,897,989 $ 13,566,717
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (1,411,141) (12,951,799) (5,953,993) (39,030,065)
- --------------------------------------------------------------------------------------------
Net change (849,171) $ (7,743,766) (4,056,004) $(25,463,348)
---------- -------------- ---------- ------------
Shares Amount Shares + Amount +
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 876,244 $ 8,100,386 3,879,141 $ 28,642,137
Issued in connection with
the reinvestment of distributions -- -- -- --
Issued in Admin Class conversion -- -- 2,120 14,288
Redeemed (2,807,828) (26,294,928) (5,421,506) (38,664,657)
- --------------------------------------------------------------------------------------------
Net change (1,931,584) $(18,194,542) (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)
---------- ------------
+On May 21, 2003, the outstanding Admin Class Shares were automatically converted into
Retail Class Shares.
SMALL CAP VALUE FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 2,569,944 $ 62,664,283 2,271,777 $ 43,519,989
Issued in connection with
the reinvestment of distributions 344,051 7,949,633 -- --
Redeemed (3,052,059) (74,375,223) (2,246,579) (42,192,200)
- --------------------------------------------------------------------------------------------
Net change (138,064) $ (3,761,307) 25,198 $ 1,327,789
---------- -------------- ---------- ------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 2,508,851 $ 60,345,432 3,698,495 $ 69,872,984
Issued in connection with
the reinvestment of distributions 168,096 3,867,490 -- --
Redeemed (2,506,061) (61,304,611) (2,135,122) (40,321,887)
- --------------------------------------------------------------------------------------------
Net change 170,886 $ 2,908,311 1,563,373 $ 29,551,097
---------- -------------- ---------- ------------
Shares Amount Shares Amount
ADMIN CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,146,366 $ 27,558,818 1,219,636 $ 22,714,426
Issued in connection with
the reinvestment of distributions 46,216 1,056,963 -- --
Redeemed (498,189) (11,994,975) (882,999) (16,451,403)
- --------------------------------------------------------------------------------------------
Net change 694,393 $ 16,620,806 336,637 $ 6,263,023
---------- -------------- ---------- ------------
69
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED SEPTEMBER 30, 2004
SMALL COMPANY GROWTH FUND
Year Ended September 30,
Year Ended September 30, 2004 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 (269,559) (2,300,199) (6,892,544) (40,388,459)
- --------------------------------------------------------------------------------------------
Net change (269,559) $ (2,300,199) (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
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ------------ ---------- ------------
Issued from the sale of shares...... 308,699 $ 2,572,021 324,896 $ 2,267,000
Issued in connection with
the reinvestment of distributions. 7,563 62,319 11,807 82,181
Redeemed............................ (28,467) (245,529) (2,580,065) (17,813,627)
- --------------------------------------------------------------------------------------------
Net change.......................... 287,795 $ 2,388,811 (2,243,362) $(15,464,446)
-------- --------------- ---------- ------------
VALUE FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ------------ ---------- ------------
Issued from the sale of shares...... 183,031 $ 2,766,965 328,065 $ 4,071,978
Issued in connection with
the reinvestment of distributions. 26,133 376,057 18,887 230,605
Redeemed............................ (458,838) (6,884,071) (493,835) (6,175,721)
Redeemed in kind*................... (455,344) (7,194,435) -- --
- --------------------------------------------------------------------------------------------
Net change.......................... (705,018) $(10,935,484) (146,883) $ (1,873,138)
-------- --------------- ---------- ------------
*Redeemed in kind to a shareholder on June 25, 2004.
WORLDWIDE FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ------------ ---------- ------------
Issued from the sale of shares...... 569,127 $ 5,599,341 711,080 $ 5,955,985
Issued in connection with
the reinvestment of distributions. 46,883 447,733 36,904 284,901
Redeemed............................ (48,543) (481,727) (728,370) (6,092,168)
- --------------------------------------------------------------------------------------------
Net change.......................... 567,467 $ 5,565,347 19,614 $ 148,718
-------- --------------- ---------- ------------
70
8. FUND LIQUIDATION. The Board of Trustees, upon recommendation of Loomis,
Sayles & Company, L.P., has approved a plan to liquidate the Loomis Sayles Mid
Cap Growth Fund at a future date to be determined by the officers of the Fund,
provided that all the outstanding shares held by any unaffiliated shareholders
have been redeemed by such date.
9. ADDITIONAL TAX INFORMATION. The tax character of distributions paid to
shareholders during the years ended September 30, 2004 and 2003 were as follows:
2004 Distributions Paid From: 2003 Distributions Paid From:
- - ------------------------------------ -------------------------------
Ordinary Long-Term Ordinary Long-Term
Income Capital Gains Total Income Capital Gains Total
- - ---------- ------------- ----------- -------- ------------- --------
Aggressive Growth Fund... $ -- $ -- $ -- $ -- $-- $ --
Mid Cap Growth Fund...... -- -- -- -- -- --
Small Cap Growth Fund.... -- -- -- -- -- --
Small Cap Value Fund..... 4,693,734 8,480,827 13,174,561 -- -- --
Small Company Growth Fund -- -- -- -- -- --
Tax-Managed Equity Fund.. 62,322 -- 62,322 82,181 -- 82,181
Value Fund............... 456,216 -- 456,216 273,025 -- 273,025
Worldwide Fund........... 448,271 -- 448,271 284,901 -- 284,901
10. SUBSEQUENT EVENT.
Corporate Name Change. Effective November 1, 2004, the names of the
Distributor and the Administrator and Transfer Agent will change as follows:
Old Name New Name
-------- --------
CDC IXIS Asset Management Distributors,
L.P................................... IXIS Asset Management Distributors, L.P.
CDC IXIS Asset Management Services, Inc. IXIS Asset Management Services Company
71
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
Loomis Sayles Funds I and Loomis Sayles Funds II
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Loomis Sayles
Mid Cap Growth Fund, Loomis Sayles Small Cap Value Fund, and Loomis Sayles
Small Company Growth Fund, each a series of Loomis Sayles Funds I and the
Loomis Sayles Aggressive Growth Fund, Loomis Sayles Small Cap Growth Fund,
Loomis Sayles Tax-Managed Equity Fund, Loomis Sayles Value Fund and Loomis
Sayles Worldwide Fund, each a series of Loomis Sayles Funds II (collectively,
the "Funds"), at September 30, 2004, the results of each of their operations,
the changes in each of their net assets and the financial highlights for each
of the periods indicated therein, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Funds' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 2004 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
As described in Note 8, the Board of Trustees, upon recommendation of
Loomis, Sayles & Company, L.P., has approved a plan to liquidate the Loomis
Sayles Mid Cap Growth Fund at a future date to be determined by the officers of
the Fund, provided that all the outstanding shares held by any unaffiliated
shareholders have been redeemed by such date.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 16, 2004
72
2004 U.S. TAX DISTRIBUTION INFORMATION TO SHAREHOLDERS
CORPORATE DIVIDENDS RECEIVED DEDUCTION. For the fiscal year ended September
30, 2004, a percentage of dividends distributed by the Funds listed below
qualify for the dividends received deduction for corporate shareholders. These
percentages are as follows:
Fund Qualifying Percentage
---- ---------------------
Small Cap Value Fund... 11.94%
Tax-Managed Equity Fund 100.00%
Value Fund............. 100.00%
Worldwide Fund......... 4.62%
CAPITAL GAINS DISTRIBUTIONS. Pursuant to Internal Revenue Section 852(b),
the following Funds paid distributions, which have been designated as capital
gains distributions for the fiscal year ended September 30, 2004.
Fund Amount
---- ----------
Small Cap Value Fund $8,480,827
QUALIFIED DIVIDEND INCOME. For the fiscal year ended September 30, 2004, the
Funds will designate up to the maximum amount allowable pursuant to the
Internal Revenue Code, as qualified dividend income eligible for reduced tax
rates. These lower rates range from 5% to 15% depending on an individual's tax
bracket. If the funds pay a distribution during calendar year 2004, complete
information will be reported in conjunction with Form 1099-DIV.
73
TRUSTEE AND OFFICER INFORMATION
The table below provides certain information regarding the Trustees and
officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts").
Unless otherwise indicated, the address of all persons below is 399 Boylston
Street, Boston, MA 02116
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- ----------------------------------------------------------------------------------------------------------------------
Independent Trustees
Graham T. Allison, Jr. (64) Trustee, Douglas Dillon Professor and Director of 41; Director, Taubman Centers,
Contract the Belfer Center of Science for Inc.; Advisory Board Member,
Review and International Affairs, John F. Kennedy USEC Inc.
Governance School of Government, Harvard
Committee University
Member,
Since 2003
Edward A. Benjamin (66) Trustee, Audit Retired 41; Director, Coal, Energy
Committee Investments & Management,
Member, LLC; Director, Precision Optics
Since 2002 Corporation
Daniel M. Cain (59) Trustee, President and CEO, Cain Brothers & 41; Trustee, Universal Health
Chairman of Company, Incorporated Realty Income Trust; Director,
the Audit Sheridan Healthcorp
Committee,
Since 2003
Co-Chairman
of the Board
since 2004
Paul G. Chenault (70) Trustee, Retired; Trustee, First Variable Life 41; Director, Mailco Office
Contract Products, Inc.
Review and
Governance
Committee
Member,
Since 2000 for
Loomis Sayles
Funds II and
2002 for
Loomis Sayles
Funds I
Kenneth J. Cowan (72) Trustee, Retired 41; None
Chairman of
the Contract
Review and
Governance
Committee,
Since 2003, Co-
Chairman of the
Board since
2004
74
TRUSTEE AND OFFICER INFORMATION
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- ---------------------------------------------------------------------------------------------------------------------
Richard Darman (61) Trustee, Partner, The Carlyle Group; Chairman of 41; Director and Chairman, AES
Contract the Board of Directors of AES Corporation
Review and Corporation; formerly, Professor, John
Governance F. Kennedy School of Government,
Committee Harvard University
Member,
Since 2003
Sandra O. Moose (62) Trustee, Audit President, Strategic Advisory Services; 41; Director, Verizon
Committee formerly, Senior Vice President and Communications; Director,
Member, Director, The Boston Consulting Group, Rohm and Haas Company;
Since 2003 Inc. Director, AES Corporation
John A. Shane (71) Trustee, President, Palmer Service Corporation 41; Director, Gensym
Contract Corporation; Director, Overland
Review and Storage, Inc.; Director, Abt
Governance Associates Inc.
Committee
Member,
Since 2003
Interested Trustees
Robert J. Blanding/1/ (57) Trustee, Since President, Chairman, Director, and Chief 41; None
555 California Street 2002 President Executive Officer, Loomis Sayles;
San Francisco, CA 94104 and CEO of
Loomis Sayles
Funds I and
Chief Executive
Officer of
Loomis Sayles
Funds II,
Since 2003
John T. Hailer/2/ (43) Trustee, Since President and Chief Executive Officer, 41; None
2003; President CDC IXIS Asset Management
of Loomis Distributors, L.P.; President and Chief
Sayles Funds II Executive Officer - CDC Nvest Funds
Since 2003
Executive Vice
President,
Loomis Sayles
Funds I;
Since 2003
75
TRUSTEE AND OFFICER INFORMATION
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- -------------------------------------------------------------------------------------------------------------------
Officers
John E. Pelletier (40) Chief Operating President, Director and Chief Executive Not Applicable
Officer, Officer, CDC IXIS Asset Management
Since 2004 Services, Inc.; Executive Vice President,
CDC IXIS Distribution Corporation;
Executive Vice President and Chief
Operating Officer, CDC IXIS Asset
Management Distributors, L.P. and CDC
IXIS Asset Management Advisers, L.P.;
formerly, Senior Vice President, General
Counsel, Secretary and Clerk, CDC IXIS
Distribution Corporation; Executive Vice
President, General Counsel, Secretary and
Clerk, CDC IXIS Asset Management
Distributors, L.P., CDC IXIS Asset
Management Advisers, L.P.; Executive
Vice President, General Counsel, Secretary
and Clerk CDC IXIS Asset Management
Services, Inc.
Coleen Downs Dinneen (43) Secretary, Clerk Senior Vice President, General Counsel, Not Applicable
and Chief Legal Secretary and Clerk, CDC IXIS
Officer, Distribution Corporation, CDC IXIS
Since 2004 Asset Management Distributors, L.P.,
CDC IXIS Asset Management Advisers,
L.P. and CDC IXIS Asset Management
Services, Inc.; formerly, Senior Vice
President, Deputy General Counsel,
Assistant Secretary and Assistant Clerk,
CDC IXIS Asset Management Advisers,
L.P., CDC IXIS Asset Management
Services, Inc. and Vice President Deputy
General Counsel, Assistant Secretary
and Assistant Clerk, CDC IXIS
Distribution Corporation
Michael Kardok (45) Treasurer, Senior Vice President, CDC IXIS Asset Not Applicable
Principal Management Services, Inc.; Senior Vice
Financial and President, CDC IXIS Asset Management
Accounting Advisers, L.P.; formerly, Senior Director
Officer, PFPC, Inc., Division Manager, First Data
Since 2004 Investor Services Group, Inc.
Kristin Vigneaux (35) Chief Chief Compliance Officer for Mutual Not Applicable
Compliance Funds, CDC IXIS Asset Management
Officer, Distributors, L.P., CDC IXIS Asset
Since 2004 Management Advisers, L.P. and CDC
IXIS Asset Management Services, Inc.;
formerly, Vice President CDC IXIS
Asset Management Services, Inc.
Daniel J. Fuss (70) Executive Vice Vice Chairman and Director, Loomis Not Applicable
One Financial Center President, Sayles & Company, L.P.; Prior to 2002,
Boston, MA 02111 Since 2004 President and Trustee of Loomis Sayles
Funds II
76
TRUSTEE AND OFFICER INFORMATION
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- -----------------------------------------------------------------------------------------------------
Frank LoPiccolo (50) Anti-Money President and CEO, CDC IXIS Asset Not Applicable
Laundering Management Services, Inc.
Officer,
Since 2003
*Each Trustee serves for an indefinite term in accordance with its current
By-Laws until the date his or her successor is elected and qualified, or
until he or she sooner dies, retires, is removed or becomes disqualified. At
a meeting held on February 27, 2004, the Trustees voted to suspend the
retirement policy until 2005.
**Previous positions during the past five years with the Distributor or Loomis
Sayles are omitted if not materially different from a trustee's or officer's
current position with such entity. As indicated, each Trustee is also a
trustee of certain other investment companies for which the Distributor acts
as principal underwriter.
1Mr. Blanding is deemed an "interested person" of the Trusts because he holds
the following positions with affiliated persons of the Trusts: President,
Chairman, Director and Chief Executive Officer of Loomis Sayles.
2Mr. Hailer is an "interested person" of the Trusts because he holds the
following positions with affiliated persons of the Trusts: Director and
Executive Vice President of CDC IXIS Asset Management Distribution
Corporation ("CDC IXIS Distribution Corporation"); and President and Chief
Executive Officer of CDC IXIS Asset Management Advisers, L.P. ("CDC IXIS
Advisers").
The Statement of Additional Information includes additional information about
the Trustees of the Trusts and is available without charge, by calling Loomis
Sayles at 800-633-3330.
77
FUND AND MANAGER REVIEW
LOOMIS SAYLES BENCHMARK CORE BOND FUND
PORTFOLIO REVIEW | The Fund underperformed its benchmark, the Lehman Aggregate
Bond Index, for the 12 months ended September 30, 2004.
This slight underperformance was due to the more conservative nature of the
Fund versus the peer group, and to our policy of maintaining a neutral duration
strategy.
At the beginning of the quarter we believed credit quality would continue to
improve, and we maintained an overweight position in corporate bonds. In
particular, we focused on BBB-rated bonds, where yields were attractive and
credit quality was relatively stable. Overall, favorable security selections
and an overweighting in the corporate bond sector had a positive impact on Fund
performance. In particular, bonds in the energy and industrials sectors
generated solid results.
In addition, we overweighted the asset-backed securities sector, and that
strategy combined with the higher-quality nature of our asset-backed holdings
added to relative performance. We also significantly underweighted Treasuries,
which was an effective move because Treasuries underperformed during the
period. We purchased a modest portion of TIPS (Treasury Inflation Protected
Securities), which we believe may enhance the Fund's performance in what's
likely to be an environment of rising interest rates.
OUTLOOK | We anticipate solid payroll gains ahead and acceleration in economic
activity for the remainder of 2004. Improved export growth, a weaker dollar,
capital spending, a revival in nonresidential construction, replenishment of
lean inventories, and the acceleration of state and local purchases are the
major factors we think may contribute to stronger growth. Falling oil prices
also are part of our forecast, and this supports our view that overall
inflation may continue to be low and have only a minimal impact on the
performance of the economy in the months ahead.
The Fund's interest rate sensitivity is the same as that of the market, and we
expect to keep it positioned as such for the foreseeable future. We continue to
favor the more stable securities within the mortgage-backed securities sector,
and we expect to maintain our overweight to the corporate sector, with a slight
bias toward cyclical names.
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 | $12.3 million
[PHOTO] [PHOTO]
Cliff Rowe Kurt Wagner
CLIFF ROWE KURT WAGNER
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE SINCE
1 YEAR 5 YEARS REGISTRATION(b) INCEPTION(c)
- -----------------------------------------------------------------------------------
LOOMIS SAYLES BENCHMARK CORE BOND FUND:
INSTITUTIONAL 3.56% 6.55% 6.35% 6.34%
RETAIL(a) 3.44 6.30 6.07 6.08
LIPPER INTERMEDIATE INVESTMENT GRADE
INDEX(e) 3.63 7.04 6.63 6.75
LEHMAN AGGREGATE BOND INDEX(e) 3.68 7.48 7.15 7.24
CUMULATIVE PERFORMANCE(d) REGISTRATION TO SEPTEMBER 30, 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 SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 during the
periods shown, adjusted to reflect the current levels of management and 12b-1
fees payable by the Retail Class. (b) 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. Performance of the Retail Class would be lower due to
higher fees. (e) See page 9 for a description of the indexes. (f) The mountain
chart is based on the Institutional Class minimum initial investment of
$250,000.
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
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 | The Fund significantly outperformed its benchmark, the
Lehman Government/Credit Index, for the 12 months ended September 30, 2004,
primarily due to the Fund's exposure to high-yield bonds. The credit cycle
continued to improve throughout the year as default rates continued to decline.
Investors in search of yield took advantage of this favorable environment for
high-yield bonds. We maintained a slight emphasis on the lower-quality rungs of
the high-yield market.
Non-dollar-denominated debt, particularly Canadian-dollar debt, which comprised
more than 18% of the portfolio, also contributed to the Fund's out-performance.
Continued weakness in the U.S. dollar, combined with higher oil prices, led to
a stronger Canadian dollar versus the U.S. dollar. In addition, the Fund's
performance benefited from exposure to the euro, the New Zealand dollar and the
Norwegian krone.
In terms of industries, paper was one of the best-performing areas for the
Fund. Led by such names as Georgia Pacific, Fort James and Boise Cascade, these
BB-rated bonds benefited from solid demand. On the negative side, airlines were
the worst performers, due to excessive debt relative to cash flow. In
particular, Delta AirLine's persistent operating losses prompted us to sell the
security in September.
In anticipation of higher interest rates later in 2004 and into 2005, we
lowered the average maturity and duration (sensitivity to interest rate
changes) of the Fund. We reduced duration from 7.14 years to 5.28 years and
average maturity from 12.45 years to 9.40 years.
OUTLOOK | Because we believe interest rates will increase in the U.S., we plan
to focus on sectors that aren't as susceptible to rate increases, such as
investment-grade and high-yield credit, rather than Treasuries. We continue to
believe corporate securities offer better return potential than Treasuries, and
the credit cycle should continue to strengthen. In addition, we plan to
continue investing in foreign-denominated bonds from countries with favorable
economic conditions.
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 stocks.
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 | $2,667.8 million
[PHOTO] [PHOTO]
Daniel Fuss Kathleen Gaffney
DANIEL FUSS KATHLEEN GAFFNEY
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
-----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND:
INSTITUTIONAL 12.45% 11.13% 11.31% 11.57%
RETAIL(c) 12.17 10.85 11.03 11.29
ADMIN(c) 11.89 10.56 10.56 10.75
LIPPER BBB RATED FUNDS INDEX(d) 5.25 7.18 7.39 7.57
LEHMAN GOVERNMENT/ CREDIT INDEX(d) 3.33 7.74 7.76 7.73
CUMULATIVE PERFORMANCE(e) INCEPTION TO SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 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 9 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 would be lower, due to
higher fees.
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 agencies are not issued, and may not be guaranteed by the
U.S. government.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund significantly outperformed its benchmark, the
Lehman Government/Credit Index, during the 12 months ended September 30, 2004,
primarily due to the Fund's exposure to high-yield bonds. The credit cycle
continued to improve throughout the year as default rates continued to decline.
Investors in search of yield took advantage of this favorable environment for
high-yield bonds. We maintained a slight emphasis on the lower-quality rungs of
the high- yield market.
Non-dollar-denominated debt, particularly Canadian-dollar debt, which comprised
more than 18% of the portfolio, also contributed to the Fund's outperformance.
Continued weakness in the U.S. dollar, combined with higher oil prices, led to
a stronger Canadian dollar versus the U.S. dollar. In addition, the Fund's
performance benefited from exposure to the euro, the New Zealand dollar and the
Norwegian krone.
In terms of industries, paper was one of the best-performing areas for the
Fund. Led by such names as Georgia Pacific, Fort James and Boise Cascade, these
BB-rated bonds benefited from solid demand. On the negative side, airlines were
the worst performers, due to excessive debt relative to cash flow. In
particular, Delta AirLine's persistent operating losses prompted us to sell the
security in September.
In anticipation of higher interest rates later in 2004 and into 2005, we
lowered the average maturity and duration (sensitivity to interest rate
changes) of the Fund. We reduced duration from 7.15 years to 6.34 years and
average maturity from 13.00 years to 11.68 years.
OUTLOOK | Because we expect interest rates to increase in the U.S., we plan to
focus on sectors that aren't as susceptible to rate increases, such as
investment-grade and high-yield credit, rather than Treasuries. We continue to
believe corporate securities offer better return potential than Treasuries, and
the credit cycle should continue to strengthen. In addition, we plan to
continue investing in foreign-denominated bonds from countries with favorable
economic conditions.
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 | $358.7 million
[PHOTO]
Daniel Fuss
DANIEL FUSS
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE SINCE
1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
------------------------------------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND 12.56% 11.20% 9.60% 11.37%
LIPPER BBB RATED FUNDS INDEX(b) 5.25 7.18 6.53 7.49
LEHMAN GOVERNMENT/ CREDIT INDEX(b) 3.33 7.74 7.32 7.78
CUMULATIVE PERFORMANCE REGISTRATION TO SEPTEMBER 30, 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 SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 9 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
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 agencies are not issued, and may not be guaranteed by the U.S.
government.
3
FUND AND MANAGER REVIEW
LOOMIS SAYLES GLOBAL BOND FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman Global
Aggregate Index for the 12 months ended September 30, 2004. The Fund
experienced strong gains in the fourth quarter of 2003 and third quarter of
2004, interrupted by significant declines in the second quarter of 2004.
Positive factors included individual security selection, country selection, and
currency selection. The largest negative factor was the short portfolio
duration relative to the index.
The portfolio had more than 30 individual holdings that enjoyed double digit
returns at the individual security level (in local currency terms) while only
one security, the Dominican Republic (U.S. dollar pay) suffered double-digit
negative returns. The security was sold in December 2003. In particular, the
purchase in May of a number of emerging market debt securities during the
market's sell-off accounted for the strongest single bond gains in the
portfolio. Winners included PDVSA Finance, Endesa, Republic of Brazil, and IMC
Global.
The portfolio's currency strategy boosted excess returns relative to the
benchmark, as the portfolio was overweight five currencies that recorded
returns greater than 10%.
Within local markets, the managers have maintained a defensive duration
strategy (sensitivity to interest rate changes), which cost the Fund a small
amount of performance relative to its benchmark.
OUTLOOK | Looking ahead, our portfolio strategy must respond to a confusing
macro picture, low nominal and real yields, tight spreads for credit and
largely directionless major currency markets. In response, we are maintaining
our modest U.S. dollar underweight, because the current account and budget
deficits suggest a potentially weaker dollar at some point. We continue to use
corporates and emerging market debt for added income and exposure to upgrade
candidates. Nevertheless, we are not spending our "quality budget" as
aggressively as we would if spreads were wider.
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: 0.80%; Retail: 1.04%
TOTAL NET ASSETS | $701.5 million
[PHOTO] [PHOTO]
Ken Buntrock David Rolley
KEN BUNTROCK DAVID ROLLEY
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
------------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND:
INSTITUTIONAL 8.63% 9.44% 10.34% 9.20%
RETAIL(b) 8.36 9.18 10.12 9.05
LIPPER GLOBAL INCOME FUNDS INDEX(c) 6.08 6.65 6.64 6.55
LEHMAN GLOBAL AGGREGATE INDEX(c) 6.52 6.72 7.10 7.56
CUMULATIVE PERFORMANCE(d) INCEPTION TO SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 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 9 for a description of the indexes.
(d) Performance is shown for the Institutional Class. Performance of the Retail
Class would be lower due to higher fees. (e) The mountain chart is based on the
Institutional Class minimum initial investment of $250,000.
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 agencies are not issued, and may not
be guaranteed by the U.S. government.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman High Yield
Index, for the 12 months ended September 30, 2004, primarily due to our
allocations to emerging market securities and convertible bonds. In addition,
strong security selection in the high yield sector contributed to excess
performance.
Although the emerging markets sector struggled from a sell-off in April and
May, the subsequent price declines on emerging market securities presented a
good opportunity to reallocate our positions. Through the first nine months of
2004, the emerging markets sector offered the strongest fixed-income
performance. Convertible securities also posted solid returns, particularly
"busted" convertibles--a convertible security that is trading well below its
conversion value--in the technology sector, which performed well as the
underlying securities faced credit upgrades.
The Fund's high-yield bonds benefited from continued improvement in credit
fundamentals and solid market technical factors. Investors continued to chase
yield from lower-rated bonds, which created enough demand to absorb the high
level of new issuance in the market. Our positions in the basic materials,
energy and building materials sectors advanced strongly, as the recovery in
global economic growth boosted demand. On the other hand, the Fund's airline
securities suffered under heavy debt loads, persistent operating losses and
rising oil prices.
OUTLOOK | We believe the bond market faces a period of transition from an
environment of declining yields to one with secular upward pressure on yields.
In our opinion, the Federal Reserve Board may pause its cycle of rate hikes in
the coming months and evaluate mixed economic data and geopolitical
developments. In the short term, this should support the bond market's current
levels. Longer term, we believe inflation may rise, placing pressure on
Treasuries. We remain comfortable investing in the lower-quality areas of the
market, given the solid backdrop of positive credit trends. We expect to
continue looking for opportunities in the BB-rated segment and will add to our
allocation when we find value.
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 | $97.1 million
[PHOTO]
Daniel Fuss
DANIEL FUSS
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE SINCE
1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
- ------------------------------------------------------------------------------------
LOOMIS SAYLES INSTITUTIONAL
HIGH INCOME FUND 18.10% 9.70% 7.41% 7.58%
LIPPER HIGH YIELD BOND FUNDS INDEX(b) 11.62 3.57 3.92 4.91
MERRILL LYNCH U.S. HIGH YIELD MASTER CPO
INDEX(b) 12.23 6.61 6.25 7.01
LEHMAN HIGH YIELD INDEX(b) 12.55 6.36 5.81 6.65
CUMULATIVE PERFORMANCE REGISTRATION TO SEPTEMBER 30, 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 SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 9 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
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 agencies are not issued, and may not be guaranteed by the U.S.
government.
5
FUND AND MANAGER REVIEW
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman
Government/Credit Intermediate Index, for the fiscal year, primarily due to our
exposure to U.S. credit securities. We significantly emphasized the credit
sector, due to our expectations for an improving economy. As the U.S. economy
continued to strengthen during the year, corporate credit quality improved, and
credit securities advanced strongly. Our overweight in lower-rated
investment-grade securities, particularly those rated BBB, was another key
contributor to performance.
In terms of industries, the Fund's holdings in the automotive area generated
solid results. Ratings agencies put off downgrading the auto industry, thus
keeping the industry's bond ratings favorable throughout the year. The Fund's
oil and gas securities also were positive contributors due to higher energy
prices. In addition, the telecom/wireline industry boosted Fund performance.
This industry performed well across the board, as companies continued to offer
more robust services and better pricing.
The only negative influence on relative performance came from our
underweighting of U.S. agency securities. Nevertheless, the impact on the Fund
was minimal.
OUTLOOK | Once evidence accumulates that the economy is growing at a healthy
rate on a sustainable basis, yields are likely to rise. We expect rates to rise
in 2005, but the Federal Reserve may be restrained by lower-than-expected
economic growth and inflation. In this environment, we believe the 10-year
Treasury yield may move slightly higher in the fourth quarter.
We continue to favor the corporate sectors, with an emphasis on
lower-quality securities. With a healthy economy and good profits, corporate
debt should perform well. But much of this good news already may be priced into
the tighter spreads now available on investment-grade corporate securities. We
expect corporate returns to be better than those available from government
bonds, but issue selection likely will be more important going forward.
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 | $31.1 million
[PHOTO]
Steven Kaseta
STEVEN KASETA
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS INCEPTION(a)
- ---------------------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND 3.57% 6.95% 6.03%
LIPPER INTERMEDIATE INVESTMENT GRADE INDEX(b) 3.63 7.04 6.10
LEHMAN GOVERNMENT/CREDIT INTERMEDIATE INDEX(b) 2.65 7.13 6.43
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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
$2,000,000.
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 agencies are not issued, and may not be guaranteed by the U.S.
government.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO REVIEW | The Fund's exposure to high-yield, Canadian and
international securities helped it significantly outperform both the Lipper and
Lehman Indexes for the 12-months ended September 30, 2004. These top-performing
areas are not represented in the Lehman Government/Credit Index, which gave the
Fund a strong performance advantage. The Fund's agency sector was the only area
that generated negative performance for the year, but the impact was minor,
because the Fund was significantly underweighted in agencies.
We continued to overweight the credit sectors during the year. This remained
our primary strategy to combat rising interest rates and to capture the
cyclical improvements in credit quality. In the investment-grade universe, we
shifted from a moderate overweight position to a neutral posture. This move was
based on our yield curve expectations and the slight possibility of a weaker
economy and lower yields. We plan to maintain our emphasis on BBB-rated
securities, and we will consider shifting some exposure from cyclicals to
financials.
We maintained exposure to the lower-quality areas of the high-yield market,
which are generally less interest-rate sensitive. The overall strengthening
economy was good for corporate credit quality and credit fundamentals, and
default rates continued to decline. Looking ahead, we will continue to monitor
default trends and reduce the Fund's high-yield exposure if those trends appear
to be bottoming.
OUTLOOK | As we examine the war in Iraq, the world economic outlook, worldwide
central bank policy, and corporate earnings, we note there is a tremendous
amount of leverage in the bond market. This leverage is due to the Federal
Reserve maintaining historically low short-term rates relative to longer-term
rates, spurring a preponderance of borrowing short and investing long. Trouble
may arise if short-term rates rise too quickly, which may create a rush to sell
more interest-rate-sensitive securities. We believe interest rates will rise,
but in a modest fashion. In this anticipated environment, we favor corporate
bonds over Treasuries due to their yield advantages, lack of new issuance and
coupon reinvestment.
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 | $177.1 million
[PHOTO] [PHOTO]
Daniel Fuss Steven Kaseta
DANIEL FUSS STEVEN KASETA
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE SINCE
1 YEAR 5 YEARS 10 YEARS REGISTRATION(a) INCEPTION(a)
- ------------------------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE
FIXED INCOME FUND 11.14% 12.26% 11.43% 9.97% 11.20%
LIPPER BBB RATED FUNDS INDEX(b) 5.25 7.18 7.39 6.53 7.28
LEHMAN GOVERNMENT/ CREDIT
INDEX(b) 3.33 7.74 7.76 7.32 7.61
CUMULATIVE PERFORMANCE REGISTRATION TO SEPTEMBER 30, 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 SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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 9 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
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 agencies are not issued, and may not be guaranteed by the U.S.
government.
7
FUND AND MANAGER REVIEW
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND*
PORTFOLIO REVIEW | The Fund underperformed its benchmark, the Lehman U.S.
Government Bond Index, for the 12 months ended September 30, 2004. As the yield
curve flattened during the period, the Fund's exposure to intermediate
securities hampered performance.
The Fund's longer duration (sensitivity to interest rate changes) was a
positive influence in a flattening-yield-curve environment. For example,
investments in lower-coupon 30-year mortgage securities boosted relative
performance because they provided the longest duration in the mortgage sector.
Overall, declining mortgage prepayments and higher yields relative to Treasury
securities helped the mortgage sector perform well. The Fund was over-weighted
in mortgages, which helped relative performance. In addition, the Fund's
overweight to longer-term U.S. Treasury Inflation Protected Securities (TIPS)
enhanced performance, as investor interest in these securities heightened and
overall inflation expectations grew*.
We increased the Fund's duration as the year progressed, from 6.73 years at the
beginning of the year to 6.95 years at the end of the fiscal year. We purchased
lower-coupon 30-year mortgages due to their attractive valuations and their
ability to best maintain their duration during various interest-rate
environments.
OUTLOOK | Typically, when the yield curve flattens considerably, as it did this
fiscal year, interest rates rise across the curve. This time, the increase in
rates primarily was contained to the short- to intermediate-area of the yield
curve. Given this market action and our forecast for the Federal Reserve to
continue raising short-term interest rates, we may reduce the Fund's duration
and adjust the portfolio's maturity structure to a "barbell," focusing on
maturities at the short and long ends of our range. We also may increase
exposure to mortgage securities, particularly if volatility remains moderate
and the Federal Reserve continues its mission to gradually increase interest
rates.
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 | $7.4 million
[PHOTO] [PHOTO]
John Hyll Cliff Rowe
JOHN HYLL CLIFF ROWE
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
- ----------------------------------------------------------------------------------
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND 2.33% 8.11% 8.37% 8.53%
LIPPER GENERAL U.S. GOVERNMENT FUNDS INDEX(b) 2.50 6.37 6.50 6.35
LEHMAN U.S. GOVERNMENT BOND INDEX(b) 2.53 7.24 7.44 7.44
CUMULATIVE PERFORMANCE INCEPTION TO SEPTEMBER 30, 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
Data quoted reflects past performance and cannot guarantee future results.
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
$250,000.
Securities issued by U.S. government agencies are not issued, and may not be
guaranteed by the U.S. government.
* Effective December 15, 2004, the Fund's name and investment strategy will
change. The Fund will be named the Loomis Sayles Inflation Protected Securities
Fund, and its strategy will emphasize inflation-protected debt securities
issued by the U.S. Treasury (TIPS). The principal value of the types of
securities are periodically adjusted according to the rate of inflation and
repayment of the original bonds is guaranteed by the U.S. government.
8
ADDITIONAL INFORMATION
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 1-10 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 Bond 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 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. Information regarding how the
Funds voted proxies relating to portfolio securities during the 12-month period
ended June 30, 2004 is available from the Funds' website and the SEC's website.
Quarterly Portfolio Schedules
Beginning next quarter, the Funds will file a complete schedule of portfolio
holdings with the SEC for the first and third quarters of each fiscal year on
Form N-Q. The Funds' Forms N-Q will be available on the SEC'S website at
www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room
in Washington, DC. Information on the operation of the Public Reference Room
may be obtained by calling 1-800-SEC-0330.
UNDERSTANDING YOUR FUND'S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1) transaction
costs, including redemption fees and certain exchange fees; and (2) ongoing
costs, including management fees, distribution fees (12b-1 fees), and other
Fund expenses. These costs are described in more detail in each Fund's
prospectus. The examples below are intended to help you understand the ongoing
costs of investing in the Funds and help you compare these with the ongoing
costs of investing in other mutual funds.
The first line in the table for each Class of shares shows the actual
account values and actual Fund expenses you would have paid on a $1,000
investment in the Fund from April 1, 2004 through September 30, 2004. It also
shows how much a $1,000 investment would be worth at the close of the period,
assuming actual Fund returns and expenses. To estimate the expenses you paid
over the period, simply divide your account value by $1,000 (for example $8,600
account value divided by $1,000 = 8.6) and multiply the result by the number in
the Expenses Paid During Period column as shown below for your Class.
The second line in the table for each Class of Fund shares provides
information about hypothetical account values and hypothetical expenses based
on the Fund's actual expense ratios and an assumed rate of return of 5% per
year before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid on your investment for the period. You may
use this information to compare the ongoing costs of investing in the Fund and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
9
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs. Therefore, the second line in the table is
useful in comparing ongoing costs only, and will not help you determine the
relative costs of owning different funds. If transaction costs were included,
total costs would be higher.
Loomis Sayles Benchmark Core Bond Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual........................................... $1,000.00 $1,006.70 $2.26
Hypothetical (5% return before expenses)......... $1,000.00 $1,022.75 $2.28
Retail Class
- ------------
Actual........................................... $1,000.00 $1,004.80 $3.51
Hypothetical (5% return before
expenses)...................................... $1,000.00 $1,021.50 $3.54
*Expenses are equal to the Fund's annualized expense ratio of 0.45% and 0.70% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half
year period).
Loomis Sayles Bond Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual.......................................................................... $1,000.00 $1,029.20 $3.80
Hypothetical (5% return before expenses)........................................ $1,000.00 $1,021.25 $3.79
Retail Class
- ------------
Actual.......................................................................... $1,000.00 $1,027.70 $5.07
Hypothetical (5% return before expenses)........................................ $1,000.00 $1,020.00 $5.05
Admin Class
- -----------
Actual.......................................................................... $1,000.00 $1,026.20 $6.33
Hypothetical (5% return before expenses)........................................ $1,000.00 $1,018.75 $6.31
*Expenses are equal to the Fund's annualized expense ratio of 0.75%, 1.00% and 1.25% for the Institutional, Retail and Admin
Class, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the
one-half year period).
Loomis Sayles Fixed Income Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,031.11 $3.30
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,021.75 $3.29
*Expenses are equal to the Fund's annualized expense ratio of 0.65% for the Institutional Class, multiplied by the
average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Loomis Sayles Global Bond Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual.................................... $1,000.00 $1,008.40 $3.97
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,021.05 $3.99
Retail Class
- ------------
Actual.................................... $1,000.00 $1,006.50 $5.22
Hypothetical (5% return before
expenses)............................... $1,000.00 $1,019.80 $5.25
*Expenses are equal to the Fund's annualized expense ratio of 0.79% and 1.04% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half
year period).
10
Loomis Sayles Institutional High Income Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,034.50 $3.81
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,021.25 $3.79
*Expenses are equal to the Fund's annualized expense ratio of 0.75% for the Institutional Class, multiplied by the
average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Loomis Sayles Intermediate Duration Fixed Income Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,000.50 $2.25
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,022.75 $2.28
*Expenses are equal to the Fund's annualized expense ratio of 0.45% for the Institutional Class, multiplied by the
average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Loomis Sayles Investment Grade Fixed Income Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,023.70 $2.78
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,022.25 $2.78
*Expenses are equal to the Fund's annualized expense ratio of 0.55% for the Institutional Class, multiplied by the
average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Loomis Sayles U.S. Government Securities Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 4/1/04 9/30/04 4/1/04 - 9/30/04
- ------------------- ------------- ------------- ----------------
Actual................................... $1,000.00 $1,003.20 $2.50
Hypothetical (5% return before
expenses).............................. $1,000.00 $1,022.50 $2.53
*Expenses are equal to the Fund's annualized expense ratio of 0.50% for the Institutional Class, multiplied by the
average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
11
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BENCHMARK CORE BOND FUND
Principal Amount Value (a)
- -----------------------------------------------------------------------------------------
BONDS AND NOTES - 98.4% OF TOTAL NET ASSETS
AEROSPACE/DEFENSE - 0.5%
Boeing Capital Corp., 6.100%, 3/01/2011 50,000 $ 54,763
----------
ASSET-BACKED SECURITIES - 10.4%
Americredit Automobile Receivables Trust, Series 2003-
DM, Class A4, 2.840%, 8/06/2010 50,000 49,784
Americredit Automobile Receivables Trust, Series 2004-BM,
Class A4, 2.670%, 3/07/2011 45,000 44,214
Chase Manhattan Auto Owner Trust, Series 2002-B, Class
A3, 3.580%, 5/15/2006 16,875 16,910
CNH Equipment Test, Series 2004-A, Class A4B,
3.480%, 9/15/2011 65,000 64,736
Countrywide Asset Backed Certificates, 3.438%, 12/25/2018 100,000 100,140
Ford Credit Auto Owner Trust, Series 2004-A, Class A4,
3.540%, 11/15/2008 85,000 85,587
MBNA Credit Card Master Note Trust, Series 2004-A4,
Class A4, 2.700%, 9/15/2009 90,000 89,068
Onyx Acceptance Owner Trust, Class 2004-B, Class A4,
3.890%, 2/15/2011 180,000 181,963
Residential Asset Mortgage Products, Inc., Series 2004-RZ1,
Class AI3, 2.870%, 8/25/2030 65,000 64,379
Residential Asset Mortgage Products, Inc., Series 2004-RZ1,
Class AI5, 4.070%, 7/25/2032 55,000 54,836
Residential Funding Mortgage Securities II, Series 2003-
HI4, Class A4, 4.590%, 4/25/2018 95,000 96,013
Residential Funding Mortgage Securities II, Series 2004-
HI1, Class A4, 4.140%, 9/25/2018 136,000 134,350
Residential Funding Mortgage Securities II, Series 2004-
H13, Class A4, 4.630%, 3/25/2019 25,000 24,981
Residential Funding Mortgage Securities II, Series 2004-
HI3, Class A3, 3.810%, 12/25/2016 65,000 64,888
USAA Auto Owner Trust, Series 2004-1,
Class A4, 2.670%, 10/15/2010 55,000 54,359
USAA Auto Owner Trust, Series 2004-2,
Class A4, 3.580%, 2/15/2011 30,000 30,255
WFS Financial Owner Trust, 3.930%, 2/17/2012
Series 2004-3, Class A4 120,000 120,084
----------
1,276,547
----------
AUTOMOTIVE - 2.2%
DaimlerChrysler NA Holding Corp., 6.400%, 5/15/2006 55,000 57,875
Ford Motor Co., 6.375%, 2/01/2029 55,000 48,340
Ford Motor Credit Co., 6.500%, 1/25/2007 35,000 37,071
General Motors Acceptance Corp., 6.875%, 9/15/2011 125,000 131,128
----------
274,414
----------
BANKING - 2.1%
Bank of America Corp., 7.400%, 1/15/2011 55,000 64,099
J.P. Morgan Chase & Co., 6.750%, 2/01/2011 70,000 78,754
MBNA America Bank, 4.625%, 8/03/2009 60,000 61,302
Wells Fargo & Co., 3.125%, 4/01/2009 60,000 58,415
----------
262,570
----------
BROKERAGE - 1.8%
Bear Stearns Cos., Inc., 2.875%, 7/02/2008 65,000 63,136
Goldman Sachs Group, Inc., 7.350%, 10/01/2009 45,000 51,624
12
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
BROKERAGE - CONTINUED
Lehman Brothers Holdings, Inc., 7.375%, 1/15/2007.. 45,000 $ 49,247
Morgan Stanley, 4.750%, 4/01/2014.................. 65,000 62,925
----------
226,932
----------
CHEMICALS - 0.5%
Eastman Chemical Co., 6.300%, 11/15/2018........... 60,000 64,237
----------
CONSTRUCTION MACHINERY - 1.1%
Caterpillar Financial Services Corp., 4.875%,
6/15/2007........................................ 50,000 52,080
John Deere Capital Corp., 5.100%, 1/15/2013........ 75,000 77,334
----------
129,414
----------
ELECTRIC - 3.8%
Consolidated Edison Company of New York,
5.625%, 7/01/2012 60,000 64,087
Constellation Energy Group, Inc., 7.600%, 4/01/2032 50,000 58,729
Dominion Resources, Inc., 5.700%, 9/17/2012 75,000 78,864
Duke Energy Corp., 4.200%, 10/01/2008 80,000 80,819
Exelon Corp., 6.750%, 5/01/2011 50,000 55,828
MidAmerican Energy Holdings Co., 6.375%, 6/15/2006 45,000 47,485
Progress Energy, Inc., 6.050%, 4/15/2007 25,000 26,449
Progress Energy, Inc., 6.750%, 3/01/2006 50,000 52,508
----------
464,769
----------
ELECTRONICS - 0.5%
Motorola, Inc., 5.800%, 10/15/2008 55,000 58,627
----------
ENTERTAINMENT - 0.6%
AOL Time Warner, Inc., 7.625%, 4/15/2031 25,000 28,775
Time Warner, Inc., 8.180%, 8/15/2007 45,000 50,359
----------
79,134
----------
FOOD & BEVERAGE - 1.3%
ConAgra Foods, Inc., 6.750%, 9/15/2011 45,000 50,631
General Mills, Inc., 6.000%, 2/15/2012 55,000 59,242
Kraft Foods, Inc., 5.625%, 11/01/2011 50,000 52,812
----------
162,685
----------
GAMING - 0.2%
Harrahs Operating Inc., 7.125%, 6/01/2007 10,000 10,850
Harrahs Operating Inc., 7.500%, 1/15/2009 15,000 16,781
----------
27,631
----------
GOVERNMENT AGENCIES - 10.0%
Federal Farm Credit Bank, 2.375%, 10/02/2006 100,000 99,021
Federal Home Loan Bank, 2.500%, 3/15/2006 175,000 174,760
Federal Home Loan Bank, 4.500%, 9/16/2013 175,000 174,801
Federal Home Loan Mortgage Corp., 2.750%, 3/15/2008 120,000 117,922
Federal Home Loan Mortgage Corp., 4.500%, 1/15/2014 170,000 169,160
Federal National Mortgage Association, 3.250%,
11/15/2007 180,000 180,011
Federal National Mortgage Association, 3.250%,
8/15/2008 75,000 74,372
Federal National Mortgage Association, 3.250%,
2/15/2009 75,000 73,875
Federal National Mortgage Association, 4.625%,
10/15/2013 170,000 170,998
----------
1,234,920
----------
13
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BENCHMARK CORE BOND FUND - CONTINUED
Principal Amount Value (a)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INDEPENDENT/ENERGY - 1.4%
Encana Corp., 6.500%, 8/15/2034 25,000 $ 26,721
Pioneer Natural Resources Co., 6.500%, 1/15/2008 55,000 59,620
Union Oil Co., 7.500%, 2/15/2029 20,000 23,842
XTO Energy, Inc., 4.900%, 2/01/2014 60,000 59,641
---------
169,824
---------
INFORMATION/DATA TECHNOLOGY - 0.6%
Hewlett-Packard Co., 3.625%, 3/15/2008 70,000 70,229
---------
INTEGRATED/ENERGY - 1.0%
Pemex Project Funding Master Trust, 6.125%, 8/15/2008 60,000 63,000
Pemex Project Funding Master Trust, 7.875%, 2/01/2009 50,000 55,750
---------
118,750
---------
MEDIA CABLE - 0.6%
Comcast Cable Communications, 6.750%, 1/30/2011 70,000 77,644
---------
MEDIA NON-CABLE - 0.9%
Clear Channel Communications, Inc., 4.250%, 5/15/2009 50,000 49,544
Clear Channel Communications, Inc., 6.000%, 11/01/2006 55,000 57,753
---------
107,297
---------
METALS & MINING - 0.6%
Alcoa, Inc., 6.000%, 1/15/2012 70,000 76,610
---------
MORTGAGE RELATED - 30.9%
Federal Home Loan Mortgage Corp., 4.000%, 7/01/2019 274,973 268,579
Federal Home Loan Mortgage Corp., 4.500%, 2/01/2019 118,143 117,832
Federal Home Loan Mortgage Corp., 4.500%, 4/01/2019 289,971 289,209
Federal Home Loan Mortgage Corp., 5.000%, 5/01/2034 118,307 117,285
Federal Home Loan Mortgage Corp., 5.500%, 1/01/2019 253,813 262,568
Federal Home Loan Mortgage Corp., 6.000%, 7/01/2033 19,866 20,548
Federal Home Loan Mortgage Corp., 6.500%, 1/01/2027 5,580 5,877
Federal Home Loan Mortgage Corp., 6.500%, 5/01/2032 51,333 53,893
Federal Home Loan Mortgage Corp., 7.500%, 9/01/2008 95,813 100,044
Federal Home Loan Mortgage Corp., 8.000%, 7/01/2025 1,182 1,294
Federal Home Loan Mortgage Corp., 8.000%, 12/01/2026 3,076 3,365
Federal National Mortgage Association, 4.500%, 8/01/2033 58,803 56,775
Federal National Mortgage Association, 4.500%, 4/01/2034 121,231 116,887
Federal National Mortgage Association, 5.000%, 4/01/2034 102,641 101,689
Federal National Mortgage Association, 5.000%, 5/01/2034 107,135 106,142
Federal National Mortgage Association, 5.500%, 2/01/2018 94,032 97,397
Federal National Mortgage Association, 5.500%, 10/01/2018 53,837 55,727
Federal National Mortgage Association, 5.500%, 5/01/2033 119,123 120,961
Federal National Mortgage Association, 5.500%, 7/01/2033 65,371 66,454
Federal National Mortgage Association, 5.500%, 12/01/2033 205,894 209,071
Federal National Mortgage Association, 5.500%, 4/01/2034 121,172 122,927
Federal National Mortgage Association, 6.000%, 11/01/2016 52,567 55,158
Federal National Mortgage Association, 6.000%, 10/01/2017 81,684 85,707
Federal National Mortgage Association, 6.000%, 6/01/2032 20,688 21,437
Federal National Mortgage Association, 6.000%, 9/01/2033 36,505 37,825
Federal National Mortgage Association, 6.000%, 10/01/2033 118,298 122,575
Federal National Mortgage Association, 6.000%, 30 year
TBA(c) 125,000 128,789
Federal National Mortgage Association, 6.500%, 11/25/2014 9,094 9,083
Federal National Mortgage Association, 6.500%, 7/01/2032 12,073 12,673
Federal National Mortgage Association, 6.500%, 8/01/2032 19,786 20,769
Federal National Mortgage Association, 6.500%, 9/01/2032 46,646 48,963
14
Principal Amount Value (a)
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MORTGAGE RELATED - CONTINUED
Federal National Mortgage Association, 6.500%, 10/01/2033 462,593 $ 485,645
Federal National Mortgage Association, 7.000%, 4/01/2016 48,055 51,005
Federal National Mortgage Association, 7.500%, 1/01/2027 5,201 5,589
Federal National Mortgage Association, 7.500%, 12/01/2030 16,053 17,206
Federal National Mortgage Association, 7.500%, 6/01/2031 10,554 11,312
Federal National Mortgage Association, 7.500%, 3/01/2032 12,800 13,709
Federal National Mortgage Association, 8.000%, 6/01/2015 35,808 38,245
Government National Mortgage Association, 5.500%, 7/20/2033 124,246 126,428
Government National Mortgage Association, 6.000%,
11/20/2033 84,181 87,274
Government National Mortgage Association, 6.500%, 4/15/2026 6,466 6,853
Government National Mortgage Association, 6.500%, 5/15/2032 64,911 68,555
Government National Mortgage Association, 7.000%, 4/15/2031 13,831 14,756
Government National Mortgage Association, 7.000%, 7/15/2031 10,496 11,197
Government National Mortgage Association, 8.500%, 4/15/2023 4,770 5,283
Government National Mortgage Association, 8.500%, 4/15/2030 13,818 15,183
Government National Mortgage Association, 9.500%, 9/15/2020 7,687 8,719
----------
3,804,462
----------
NON-CAPTIVE CONSUMER - 1.4%
Capital One Bank, 4.875%, 5/15/2008 60,000 62,144
Countrywide Home Loans, Inc., 5.500%, 2/01/2007 55,000 57,666
Household Finance Corp., 7.200%, 7/15/2006 50,000 53,590
----------
173,400
----------
NON-CAPTIVE DIVERSIFIED - 0.5%
Cit Group Inc. New, 4.000%, 5/08/2008 60,000 60,583
----------
OIL FIELD SERVICES - 0.9%
Ensco International, Inc., 6.750%, 11/15/2007 50,000 54,288
Transocean Sedco Forex, Inc., 6.750%, 4/15/2005 50,000 50,931
----------
105,219
----------
PAPER - 1.0%
International Paper Co., 6.750%, 9/01/2011 50,000 55,716
Weyerhaeuser Co., 6.750%, 3/15/2012 55,000 61,676
----------
117,392
----------
PHARMACEUTICALS - 0.6%
Schering-Plough Corp., 5.300%, 12/01/2013 75,000 77,616
----------
PIPELINES - 1.5%
Columbia Gas Systems, Inc., 7.050%, 11/28/2007 45,000 46,938
Kinder Morgan Energy Partners LP, 7.125%, 3/15/2012 50,000 56,955
Kinder Morgan, Inc., 6.500%, 9/01/2012 75,000 82,466
----------
186,359
----------
RAILROADS - 1.0%
CSX Corp., 6.750%, 3/15/2011 65,000 72,174
Norfolk Southern Corp., 6.750%, 2/15/2011 45,000 50,540
----------
122,714
----------
REAL ESTATE INVESTMENT TRUSTS - 2.0%
Archstone Smith Trust, 3.000%, 6/15/2008 40,000 38,804
CarrAmerica Reality Corp., 5.250%, 11/30/2007 25,000 26,171
EOP Opererating LP, 6.625%, 3/15/2012 55,000 61,129
First Industrial LP, 5.250%, 6/15/2009 60,000 61,798
Simon Property Group LP, 6.375%, 11/15/2007 55,000 59,483
----------
247,385
----------
15
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BENCHMARK CORE BOND FUND - CONTINUED
Principal Amount Value (a)
- ----------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RETAILERS - 0.5%
Wal-Mart Stores, Inc., 4.550%, 5/01/2013 65,000 $ 65,453
-----------
SOVEREIGNS - 0.4%
United Mexican States, 6.375%, 1/16/2013 50,000 52,650
-----------
SUPERMARKETS - 1.1%
Albertson's, Inc., 7.500%, 2/15/2011 55,000 63,615
Kroger Co., (The), 6.375%, 3/01/2008 65,000 70,473
-----------
134,088
-----------
TOBACCO - 1.0%
Altria Group, Inc., 7.000%, 11/04/2013 50,000 52,168
Loews Corp., 5.250%, 3/15/2016 65,000 65,443
-----------
117,611
-----------
TREASURIES - 13.5%
U.S. Treasury Bills, 1.153%, 12/09/2004(d) 130,000 129,595
U.S. Treasury Bonds, 5.250%, 11/15/2028 255,000 265,220
U.S. Treasury Bonds, 5.250%, 2/15/2029 485,000 504,912
U.S. Treasury Notes, 2.375%, 1/15/2025(e) 150,726 157,020
U.S. Treasury Notes, 2.625%, 11/15/2006 5,000 4,998
U.S. Treasury Notes, 3.000%, 11/15/2007 245,000 245,718
U.S. Treasury Notes, 3.250%, 8/15/2007 240,000 242,653
U.S. Treasury Notes, 3.625%, 5/15/2013 60,000 58,533
U.S. Treasury Notes, 5.000%, 2/15/2011 45,000 48,380
-----------
1,657,029
-----------
WIRELINES - 2.0%
Deutsche Telekom International Finance BV, 5.250%,
7/22/2013 50,000 51,167
Sprint Capital Corp., 7.625%, 1/30/2011 60,000 69,320
Telecom Italia Capital, 5.250%, 11/15/2013, 144A 50,000 50,943
Telus Corp., 7.500%, 6/01/2007 20,000 21,931
Verizon Pennsylvania, Inc., Series A, 5.650%, 11/15/2011 49,000 51,726
-----------
245,087
-----------
TOTAL BONDS AND NOTES
(Identified Cost $12,012,733) 12,104,045
-----------
TOTAL INVESTMENTS - 98.4%
(Identified Cost $12,012,733)(b) 12,104,045
Other assets less liabilities--1.6% 202,587
-----------
TOTAL NET ASSETS - 100% $12,306,632
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information: At September 30, 2004, the net unrealized
appreciation on investments based on cost of $12,052,127 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation
for all investments in which there is an
excess of value over tax cost $ 121,667
Aggregate gross unrealized depreciation
for all investments in which there is an
excess of tax cost over value (69,749)
---------
Net unrealized appreciation $ 51,918
---------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $566,150 of which $523,203 expires on September 30, 2009,
$40,237 expires on September 30, 2010 and $2,710 expires on September 30,
2012. These amounts may be available to offset future realized capital
gains, if any, to the extent provided by regulations.
For the year ended September 30, 2004, the Fund has elected to defer
$168,331 of capital losses attributable to Post-October losses.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$651,300 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, premium amortization accruals and wash sales.
(c)TBA - To be announced. See Note 2h of Notes to Financial Statements.
(d)Interest rate represents annualized yield at the time of purchase; not
a coupon rate.
16
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BENCHMARK CORE BOND FUND - CONTINUED
(e)Treasury Inflation Protected Security (TIPS).
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 September
30, 2004, the total value of these securities amounted to $50,943 or
0.41% of total net assets.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Mortgage Related 30.9%
Treasuries 13.5
Asset-Backed Securities 10.4
Government Agencies 10.0
Electric 3.8
Automotive 2.2
Banking 2.1
Real Estate Investment Trusts 2.0
Wirelines 2.0
Other, less than 2% each 21.5
See accompanying notes to financial statements.
17
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND
Principal Amount Value (a)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - 89.8% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 86.1%
AIRLINES - 1.3%
American Airlines, Inc., 6.978%, 4/01/2011 USD 3,497,431 $ 3,455,400
American Airlines, Inc., Series 1999-1,
7.024%, 10/15/2009 1,000,000 982,676
Continental Airlines, Inc., 6.703%, 12/15/2022 4,902,796 4,569,034
Continental Airlines, Inc., Series 1999-1C,
6.954%, 8/02/2009 2,007,892 1,527,992
Continental Airlines, Inc., Series 1997-4A,
6.900%, 1/02/2018 2,973,886 2,863,375
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 6,872,295 6,432,736
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/2019 4,468,892 4,312,863
Continental Airlines, Inc., Series 1999-1B,
6.795%, 8/02/2018 232,845 186,453
Continental Airlines, Inc., Series 2000-2,
7.487%, 4/02/2012 825,000 804,191
Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/2022 5,501,915 5,346,292
Continental Airlines, Inc., Series 98-1, Class B,
6.748%, 3/15/2017 464,669 357,428
Continental Airlines, Inc., Series 99-2, Class B,
7.566%, 3/15/2020 2,012,870 1,556,746
US Airways, 6.850%, 7/30/2019 1,291,811 1,180,403
-----------
33,575,589
-----------
AUTOMOTIVE - 1.1%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 3,000,000 3,000,000
Dana Corp., 9.000%, 8/15/2011 695,000 1,030,183
Ford Motor Co., 6.375%, 2/01/2029 1,500,000 1,318,375
Ford Motor Co., 6.625%, 10/01/2028 1,500,000 1,357,974
Ford Motor Credit Co., 7.250%, 2/22/2005 GBP 5,250,000 9,567,798
Ford Motor Credit Co., 7.375%, 10/28/2009 USD 500,000 547,668
General Motors Acceptance Corp., 5.625%,
5/15/2009 2,040,000 2,079,609
General Motors Acceptance Corp., 6.375%,
12/07/2007 GBP 500,000 915,567
General Motors Acceptance Corp., 6.875%,
8/28/2012 USD 200,000 207,822
General Motors Acceptance Corp., 7.000%,
12/07/2005 GBP 4,315,000 7,963,104
General Motors Corp., 6.750%, 5/01/2028 USD 500,000 469,242
-----------
28,457,342
-----------
BANKING - 1.0%
Bangkok Bank PLC/Hong Kong,
9.025%, 3/15/2029, 144A 16,880,000 18,898,780
Keycorp Capital II, 6.875%, 3/17/2029 6,500,000 6,928,110
-----------
25,826,890
-----------
CHEMICALS - 1.4%
Borden, Inc., 7.875%, 2/15/2023 13,182,000 10,677,420
Borden, Inc., 9.200%, 3/15/2021 2,925,000 2,705,625
IMC Global, Inc., 6.875%, 7/15/2007 5,990,000 6,349,400
IMC Global, Inc., 7.300%, 1/15/2028 8,215,000 8,297,150
IMC Global, Inc., 7.375%, 8/01/2018 7,525,000 7,901,250
-----------
35,930,845
-----------
18
Principal Amount Value (a)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONSUMER PRODUCTS - 0.5%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 USD 12,705,000 $13,433,962
Hasbro, Inc., 6.600%, 7/15/2028 500,000 502,500
-----------
13,936,462
-----------
ELECTRIC - 2.7%
AES Corp., 7.750%, 3/01/2014 4,875,000 5,033,437
AES Corp., 8.375%, 3/01/2011 GBP 1,990,000 3,641,433
AES Corp., 8.875%, 2/15/2011 USD 315,000 350,438
AES Corp., 8.875%, 11/01/2027 11,465,000 11,020,731
Calpine Canada Energy Finance, 8.750%, 10/15/2007 CAD 500,000 277,590
Calpine Corp., 7.750%, 4/15/2009 USD 2,625,000 1,680,000
Calpine Corp., 7.875%, 4/01/2008 1,000,000 675,000
Calpine Corp., 8.500%, 2/15/2011 1,000,000 640,000
Calpine Corp., 8.750%, 7/15/2013, 144A 9,185,000 6,934,675
Commonwealth Edison Co., 4.750%, 12/01/2011 537,000 537,317
Edison Mission Energy, 7.730%, 6/15/2009 1,835,000 1,926,750
Empresa Nacional de Electricidad SA (Endesa-
Chile), 7.875%, 2/01/2027 11,581,000 11,804,699
Enersis SA, 7.375%, 1/15/2014 3,435,000 3,600,275
Enersis SA, 7.400%, 12/01/2016 7,650,000 8,012,289
Power Receivables Finance LLC,
6.290%, 1/01/2012, 144A 3,467,335 3,633,455
Quezon Power Philippines Co., 8.860%, 6/15/2017 7,264,688 6,538,219
Salton Sea Funding Corp., Series E, 8.300%,
5/30/2011 2,052,775 2,268,317
Salton Sea Funding Corp., Series F, 7.475%,
11/30/2018 227,292 241,498
Southern California Edison Co., 7.625%, 1/15/2010 2,000,000 2,321,268
Texas-New Mexico Power Co., 6.250%, 1/15/2009 1,000,000 1,054,595
-----------
72,191,986
-----------
ELECTRONICS - 3.6%
Corning Glass, 8.875%, 3/15/2016 825,000 947,552
Corning, Inc., 5.900%, 3/15/2014 9,330,000 9,119,394
Corning, Inc., 6.200%, 3/15/2016 5,155,000 5,064,220
Corning, Inc., 6.750%, 9/15/2013 13,600,000 14,174,260
Corning, Inc., 6.850%, 3/01/2029 2,550,000 2,367,810
Lucent Technologies, Inc., 6.450%, 3/15/2029 49,920,000 40,435,200
Lucent Technologies, Inc., 6.500%, 1/15/2028 500,000 405,000
Motorola, Inc., 5.800%, 10/15/2008 450,000 479,680
Motorola, Inc., 6.500%, 11/15/2028 3,749,000 3,892,774
Motorola, Inc., 7.625%, 11/15/2010 600,000 702,136
Nortel Networks Corp., 6.875%, 9/01/2023 9,607,000 8,790,405
Northern Telecom Capital Corp., 7.875%, 6/15/2026 1,900,000 1,833,500
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 5,400,000 6,055,479
Amkor Technology, Inc., 7.125%, 3/15/2011 1,485,000 1,217,700
Amkor Technology, Inc., 10.500%, 5/01/2009 500,000 425,000
-----------
95,910,110
-----------
FOREIGN LOCAL GOVERNMENTS - 12.2%
Milit-Air, Inc., 5.750%, 6/30/2019 CAD 6,019,496 4,996,489
Ontario Hydro, Zero Coupon Bond, 11/27/2020 1,507,000 478,186
Province of Alberta, 5.930%, 9/16/2016 24,467,506 20,715,440
Province of British Columbia, 5.250%, 12/01/2006 26,460,000 21,807,019
Province of British Columbia, 6.000%, 6/09/2008 66,745,000 56,806,170
19
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND - CONTINUED
Principal Amount Value (a)
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOREIGN LOCAL GOVERNMENTS - CONTINUED
Province of Manitoba, 5.750%, 6/02/2008 CAD 74,125,000 $ 62,570,471
Province of Manitoba (Certificate of Deposit),
Zero Coupon Bond, 7/22/2013 2,500,000 1,274,993
Province of Ontario, 3.500%, 9/08/2006 52,020,000 41,430,340
Province of Ontario, 5.700%, 12/01/2008 25,000,000 21,091,327
Province of Ontario, 5.900%, 3/08/2006 8,755,000 7,210,368
Province of Saskatchewan, Zero Coupon Bond,
4/10/2014 27,000,000 13,190,245
Province of Saskatchewan, 5.500%, 6/02/2008 775,000 648,969
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 895,400,000 74,330,940
------------
326,550,957
------------
GOVERNMENT AGENCIES - 9.6%
Federal Home Loan Mortgage Corp.,
2.875%, 5/15/2007 USD 35,000,000 34,866,685
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 9,250,000 5,662,057
Federal Home Loan Mortgage Corp.,
5.500%, 9/15/2011 USD 15,000,000 16,154,670
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/2007 NZD 103,925,000 57,566,654
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 145,900,000 85,566,357
Federal National Mortgage Association,
2.375%, 2/15/2007 USD 10,000,000 9,868,890
Federal National Mortgage Association,
5.250%, 1/15/2009 31,665,000 33,725,252
Federal National Mortgage Association,
5.375%, 11/15/2011 7,700,000 8,218,094
Federal National Mortgage Association,
5.500%, 3/15/2011 5,000,000 5,383,085
------------
257,011,744
------------
HEALTHCARE - 1.2%
Columbia/HCA Healthcare Corp.,
7.050%, 12/01/2027 7,325,000 7,120,830
Columbia/HCA Healthcare Corp.,
7.190%, 11/15/2015 4,500,000 4,872,335
Columbia/HCA Healthcare Corp.,
7.500%, 12/15/2023 1,965,000 2,015,176
Columbia/HCA Healthcare Corp.,
7.580%, 9/15/2025 1,300,000 1,355,809
Columbia/HCA Healthcare Corp.,
7.690%, 6/15/2025 5,000,000 5,299,770
Columbia/HCA Healthcare Corp.,
7.750%, 7/15/2036 1,000,000 1,044,951
HCA, Inc., 5.750%, 3/15/2014 2,750,000 2,726,221
HCA, Inc., 6.250%, 2/15/2013 3,000,000 3,092,187
HCA, Inc., 6.300%, 10/01/2012 2,500,000 2,591,922
HCA, Inc., 7.500%, 11/06/2033 1,000,000 1,050,113
------------
31,169,314
------------
HOME CONSTRUCTION - 0.2%
Pulte Corp., 7.300%, 10/24/2005 1,000,000 1,044,734
Pulte Corp., 7.625%, 10/15/2017 1,100,000 1,279,728
20
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
HOME CONSTRUCTION - CONTINUED
Pulte Homes, Inc., 6.375%, 5/15/2033 USD 2,000,000 $ 1,966,292
Pulte Homes, Inc., 7.875%, 6/15/2032 1,900,000 2,236,515
-----------
6,527,269
-----------
INFORMATION/DATA TECHNOLOGY - 1.7%
Arrow Electronics, Inc., 6.875%, 7/01/2013 17,380,000 18,805,560
Arrow Electronics, Inc., 6.875%, 6/01/2018 250,000 260,213
Xerox Capital Trust I, 8.000%, 2/01/2027 25,440,000 25,058,400
Xerox Corp., 7.200%, 4/01/2016 615,000 628,837
-----------
44,753,010
-----------
INTEGRATED/ENERGY - 2.1%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 38,705,000 37,737,375
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 1,580,000 1,796,460
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 16,458,000 16,211,130
Phillips 66 Capital Trust II, 8.000%, 1/15/2037 1,000,000 1,135,538
-----------
56,880,503
-----------
LIFE INSURANCE - 0.8%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 38,400,000 22,589,706
-----------
LODGING - 0.1%
ITT Corp., 7.375%, 11/15/2015 USD 2,500,000 2,725,000
-----------
MEDIA CABLE - 1.3%
Charter Communications Holdings LLC,
9.625%, 11/15/2009 22,430,000 17,663,625
Charter Communications Holdings LLC,
10.000%, 4/01/2009 500,000 405,000
Charter Communications Holdings LLC,
10.000%, 5/15/2011 1,100,000 847,000
Comcast Corp., 5.500%, 3/15/2011 3,000,000 3,127,113
CSC Holdings, Inc., 7.875%, 2/15/2018 1,550,000 1,600,375
NTL Cable Plc, 9.750%, 4/15/2014, 144A GBP 5,605,000 10,104,076
Shaw Comunications, Inc., 7.500%, 11/20/2013 CAD 930,000 781,853
-----------
34,529,042
-----------
METALS & MINING - 0.5%
AK Steel Corp., 7.750%, 6/15/2012 USD 3,730,000 3,646,075
Vale Overseas Ltd., 8.250%, 1/17/2034 10,730,000 10,434,925
-----------
14,081,000
-----------
MORTGAGE RELATED - 0.0%
Federal Home Loan Mortgage Corp.,
5.000%, 12/01/2031 593,944 590,537
-----------
NON-CAPTIVE DIVERSIFIED - 0.1%
General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008 SGD 4,250,000 2,455,193
-----------
OIL FIELD SERVICES - 0.2%
Pecom Energia SA, 8.125%, 7/15/2010, 144A USD 5,640,000 5,625,900
-----------
PACKAGING - 0.1%
Owens-Illinois, Inc., 7.800%, 5/15/2018 2,815,000 2,730,550
-----------
21
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PAPER - 2.5%
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 USD 1,500,000 $ 1,308,750
Boise Cascade Corp., 7.350%, 2/01/2016 1,975,000 2,323,773
Boise Cascade Corp., Series A, 7.450%, 8/10/2011 18,400,000 21,151,702
Fort James Corp., 7.750%, 11/15/2023 2,500,000 2,818,750
Georgia-Pacific Corp. (Timber Group), 7.250%,
6/01/2028 5,165,000 5,345,775
Georgia-Pacific Group, 7.375%, 12/01/2025 15,885,000 16,917,525
Georgia-Pacific Group, 7.750%, 11/15/2029 13,855,000 14,894,125
International Paper Co., 4.250%, 1/15/2009 2,000,000 2,006,880
Tembec Industries, Inc., 7.750%, 3/15/2012 1,000,000 1,005,000
-----------
67,772,280
-----------
PHARMACEUTICALS - 0.4%
Pharma Services Intermediate Holding Corp., Zero
Coupon Bond, 4/01/2014
(step to 11.500% on 4/01/09), 144A(e) 17,500,000 11,025,000
-----------
PIPELINES - 2.4%
Coastal Corp., 6.375%, 2/01/2009 2,350,000 2,256,000
Coastal Corp., 6.950%, 6/01/2028 8,279,000 6,664,595
El Paso Corp., 5.750%, 3/14/2006 4,000,000 4,940,926
El Paso Corp., 7.000%, 5/15/2011 440,000 424,600
El Paso Corp., 7.750%, 1/15/2032 500,000 436,250
El Paso Energy, 7.800%, 8/01/2031 1,000,000 877,500
KN Capital Trust, 7.630%, 4/15/2028 15,750,000 17,290,996
Southern Natural Gas Co., 7.350%, 2/15/2031 1,500,000 1,481,250
Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 14,625,000 13,893,750
Tennessee Gas Pipeline Co., 7.500%, 4/01/2017 1,700,000 1,763,750
Williams Cos., Inc., 7.500%, 1/15/2031 13,985,000 14,054,925
-----------
64,084,542
-----------
PROPERTY & CASUALTY INSURANCE - 0.1%
Aon Corp., 7.375%, 12/14/2012 2,500,000 2,875,165
-----------
RAILROADS - 0.4%
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 7,346,000 5,307,485
TFM SA de CV, 11.750%, 6/15/2009 5,475,000 5,529,750
-----------
10,837,235
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.9%
AMB Property Corp., 7.500%, 6/30/2018 7,500,000 8,683,477
First Industrial LP, 7.500%, 12/01/2017 8,400,000 9,582,056
First Industrial LP, 7.600%, 7/15/2028 15,250,000 16,900,477
Health Care Property Investors, Inc., 6.000%,
3/01/2015 500,000 521,936
Highwoods Realty LP, 7.500%, 4/15/2018 5,640,000 5,953,528
Spieker Properties, Inc., 7.500%, 10/01/2027 2,098,000 2,354,690
TriNet Corporate Realty Trust, Inc., 7.700%,
7/15/2017 5,000,000 5,669,250
-----------
49,665,414
-----------
RESTAURANTS - 0.1%
McDonald's Corp., 3.627%, 10/10/2010 SGD 3,750,000 2,272,566
-----------
22
Principal Amount Value (a)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RETAILERS - 1.0%
Dillard's, Inc., 6.625%, 1/15/2018 USD 1,920,000 $ 1,833,600
Dillard's, Inc., 7.000%, 12/01/2028 1,125,000 1,057,500
Dillard's, Inc., 7.750%, 7/15/2026 7,182,000 7,110,180
Dillard's, Inc., 7.750%, 5/15/2027 1,000,000 990,000
J.C. Penney Co., Inc., 6.875%, 10/15/2015 720,000 766,800
J.C. Penney Co., Inc., 7.125%, 11/15/2023 3,386,000 3,580,695
J.C. Penney Co., Inc., 7.650%, 8/15/2016 2,620,000 2,973,700
J.C. Penney Co., Inc., 7.950%, 4/01/2017 3,500,000 4,042,500
Woolworth Corp., 8.500%, 1/15/2022 4,475,000 4,765,875
------------
27,120,850
------------
SOVEREIGNS - 14.1%
Bangko Sentral Pilipinas, 8.600%, 6/15/2027 6,300,000 5,418,000
Canadian Government, 4.250%, 9/01/2008 CAD 69,120,000 55,718,115
Canadian Government, 4.500%, 9/01/2007 69,350,000 56,465,096
Canadian Government, 6.000%, 9/01/2005 104,590,000 85,302,007
Canadian Government, Series WH31,
6.000%, 6/01/2008 52,500,000 44,836,420
Petroleos Mexicanos, 8.625%, 12/01/2023, 144A USD 6,485,000 7,328,050
PF Export Receivables Master Trust,
6.436%, 6/01/2015, 144A 2,618,182 2,627,215
Republic of Argentina, 8.875%, 3/01/2029(d) 1,000,000 227,950
Republic of Brazil, 8.250%, 1/20/2034 37,005,000 32,989,957
Republic of Brazil, 8.875%, 4/15/2024 32,625,000 31,254,750
Republic of Brazil, 10.125%, 5/15/2027 6,181,000 6,551,860
Republic of Brazil C Bond, 8.000%, 4/15/2014 3,400,931 3,362,840
Republic of Dominican, 9.040%, 1/23/2013, 144A 5,295,000 4,103,625
Republic of Peru, 4.500%, 3/07/2017(f) 3,075,000 2,706,000
Republic of South Africa, 12.500%, 12/21/2006 ZAR 5,690,000 948,612
Republic of Uruguay, 7.500%, 3/15/2015 USD 4,356,000 3,855,060
Republic of Uruguay, 7.875%, 1/15/2033 4,186,633 3,370,240
Republic of Venezuela, 9.250%, 9/15/2027 19,635,000 19,350,292
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 1,000,000 616,461
Tenaga Nasional Berhad, 7.500%, 11/01/2025, 144A USD 6,915,000 7,769,729
United Mexican States, 8.375%, 1/14/2011 1,000,000 1,172,500
------------
375,974,779
------------
SOVEREIGNS NON-CALLABLE - 3.4%
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 394,045,000 59,505,327
Government of Sweden, Series 1045,
5.250%, 3/15/2011 10,000,000 1,467,157
Kingdom of Norway, 5.500%, 5/15/2009 NOK 84,935,000 13,685,775
Kingdom of Norway, 6.750%, 1/15/2007 91,305,000 14,794,625
------------
89,452,884
------------
SUPRANATIONAL - 5.9%
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 BRL 297,000,000 51,723,085
International Bank for Reconstruction &
Development, Zero Coupon Bond, 8/20/2007 NZD 152,375,000 85,953,130
International Bank for Reconstruction &
Development, 5.500%, 11/03/2008 9,500,000 6,267,566
International Bank for Reconstruction &
Development, 8.000%, 5/23/2007 19,000,000 13,289,174
------------
157,232,955
------------
23
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TAXABLE MUNICIPAL - 0.1%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/2016 USD 5,000,000 $ 2,648,250
--------------
TEXTILE - 0.1%
Kellwood Co., 7.625%, 10/15/2017 USD 2,500,000 2,748,965
Phillips-Van Heusen Corp., 7.750%, 11/15/2023 310,000 310,000
--------------
3,058,965
--------------
TOBACCO - 0.4%
Altria Group, Inc., 7.000%, 11/04/2013 11,000,000 11,476,993
--------------
TRANSPORTATION SERVICES - 2.5%
American President Cos. Ltd., 8.000%, 1/15/2024 19,104,000 19,677,120
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019(d) 4,800,206 4,514,803
Atlas Air, Inc., 9.057%, 7/02/2017 1,964,656 1,467,873
Atlas Air, Inc., Series 1999-1A, 6.880%, 7/02/2009 1,798,550 1,678,777
Atlas Air, Inc., Series 1999-1B, 7.630%,
1/02/2015(d) 12,196,472 8,655,046
Atlas Air, Inc., Series 1999-1C, 8.770%,
1/02/2011(d) 249,713 104,790
Atlas Air, Inc., Series 2000-1, Class A,
8.707%, 7/02/2021 2,598,582 2,557,135
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 17,571,934 16,542,394
Atlas Air, Inc., Series B, 7.680%, 1/02/2014(d) 15,342,408 10,977,339
--------------
66,175,277
--------------
TREASURIES - 5.3%
U.S. Treasury Notes, 1.625%, 9/30/2005 2,325,000 2,312,194
U.S. Treasury Notes, 1.625%, 10/31/2005 35,000,000 34,781,250
U.S. Treasury Notes, 1.625%, 2/28/2006 75,000,000 74,235,375
U.S. Treasury Notes, 1.875%, 12/31/2005 16,850,000 16,763,779
U.S. Treasury Notes, 2.375%, 8/15/2006 2,500,000 2,491,992
U.S. Treasury Notes, 6.500%, 10/15/2006 9,000,000 9,689,418
--------------
140,274,008
--------------
WIRELESS - 0.1%
Rogers Wireless, Inc., 6.375%, 3/01/2014 1,895,000 1,743,400
--------------
WIRELINES - 3.7%
Colt Telecom Group Plc, 7.625%, 12/15/2009 EUR 1,500,000 1,771,276
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 USD 13,019,000 12,172,765
Philippine Long Distance Telephone Co.,
11.375%, 5/15/2012 925,000 1,045,250
Qwest Capital Funding, Inc., 6.375%, 7/15/2008 919,000 847,777
Qwest Capital Funding, Inc., 7.000%, 8/03/2009 3,990,000 3,650,850
Qwest Capital Funding, Inc., 7.250%, 2/15/2011 825,000 736,313
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 5,170,000 4,045,525
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 14,185,000 10,851,525
Qwest Capital Funding, Inc., 7.900%, 8/15/2010 2,000,000 1,845,000
Qwest Corp., 7.250%, 9/15/2025 7,300,000 6,570,000
Sprint Capital Corp., 6.875%, 11/15/2028 11,075,000 11,616,490
Sprint Capital Corp., 7.900%, 3/15/2005 1,100,000 1,126,917
US West Capital Funding, Inc., 6.500%, 11/15/2018 17,025,000 12,428,250
US West Capital Funding, Inc., 6.875%, 7/15/2028 42,385,000 30,411,237
--------------
99,119,175
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $2,120,674,043) 2,296,858,687
--------------
24
Principal Amount Value (a)
- -----------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONVERTIBLE BONDS - 3.7%
ELECTRONICS - 0.8%
Corning, Inc., 3.500%, 11/01/2008 USD 6,100,000 $ 7,167,500
Nortel Networks Corp., 4.250%, 9/01/2008 11,510,000 11,107,150
Richardson Electronics Ltd., 7.250%, 12/15/2006 450,000 450,000
Amkor Technology, Inc., 5.000%, 3/15/2007 2,500,000 2,087,500
--------------
20,812,150
--------------
INDEPENDENT/ENERGY - 0.2%
Devon Energy Corp., 4.900%, 8/15/2008 1,400,000 1,517,250
Devon Energy Corp., 4.950%, 8/15/2008 2,600,000 2,817,750
--------------
4,335,000
--------------
INFORMATION/DATA TECHNOLOGY - 0.3%
Maxtor Corp., 5.750%, 3/01/2012 7,295,000 6,419,600
Kulicke & Soffa Industries, Inc., 0.500%, 11/30/2008 1,040,000 730,600
--------------
7,150,200
--------------
MEDIA CABLE - 0.2%
Rogers Communications, Inc., 2.000%, 11/26/2005 6,775,000 6,512,469
--------------
PHARMACEUTICALS - 0.5%
Nektar Therapeutics, 3.500%, 10/17/2007 1,000,000 933,750
Vertex Pharmaceuticals, Inc., 5.750%, 2/15/2011,
144A 12,253,000 12,880,966
--------------
13,814,716
--------------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/2012 180,000 160,650
--------------
TOBACCO - 1.3%
Loews Corp., 3.125%, 9/15/2007 35,029,000 34,284,634
--------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 8.000%, 8/15/2005(d) 1,000,000 100
Preston Corp., 7.000%, 5/01/2011 750,000 675,000
--------------
675,100
--------------
WIRELESS - 0.1%
Nextel Communications, Inc., 5.250%, 1/15/2010 3,505,000 3,491,856
--------------
WIRELINES - 0.3%
Colt Telecom Group Plc, 2.000%, 12/16/2006 EUR 4,675,000 6,784,374
Telus Corp., 6.750%, 6/15/2010 CAD 1,500,000 1,243,209
--------------
8,027,583
--------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $88,241,968) 99,264,358
--------------
TOTAL BONDS AND NOTES
(Identified Cost $2,208,916,011) 2,396,123,045
--------------
Shares
- -----------------------------------------------------------------------------------------
COMMON STOCKS - 0.0% OF TOTAL NET ASSETS
IT SERVICES - 0.0%
Covad Communications Group, Inc.(c) 8,612 14,468
--------------
TOTAL COMMON STOCKS
(Identified Cost $0) 14,468
--------------
25
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND - CONTINUED
Shares Value (a)
- -------------------------------------------------------------------------
PREFERRED STOCKS - 2.4% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.3%
CONSTRUCTION MACHINERY - 0.0%
United Rentals Trust, 6.500% 14,000 $ 532,000
-----------
ELECTRIC - 0.2%
Central Maine Power Co., 3.500% 2,230 133,800
Connecticut Light & Power Co., 1.900% 2,925 90,675
Entergy Arkansas, Inc., 4.32% 100 6,850
Entergy Louisiana, Inc., 4.160% 2,824 188,855
Entergy Mississippi, Inc., 4.360% 5,000 350,469
Entergy New Orleans, Inc., 4.360% 665 45,968
Entergy New Orleans, Inc., 4.750% 200 14,400
MDU Resources Group, Inc., 5.100% 3,100 310,194
Pacific Gas & Electric Co., Series H, 4.500% 45,000 852,750
Pacific Gas & Electric Co., Series D, 5.000% 75,600 1,606,500
PECO Energy Co., 3.800% 300 20,856
Public Service Co., 4.000% 360 25,560
Southern California Edison Co., 4.320% 50,700 943,020
Southern California Edison Co., 4.780% 50,100 1,027,050
Xcel Energy, Inc., 3.600% 1,100 69,685
-----------
5,686,632
-----------
LODGING - 0.0%
La Quinta Properties, Inc., Series A, 9.000% 10,115 256,415
-----------
PIPELINES - 0.1%
El Paso Tennessee Pipeline Co. 22,500 1,025,156
-----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $5,773,741) 7,500,203
-----------
CONVERTIBLE PREFERRED STOCKS - 2.1%
AUTOMOTIVE - 0.2%
Cummins Capital Trust I, 7.000% 58,500 4,760,437
-----------
CONSUMER PRODUCTS - 0.2%
Newell Financial Trust I, 5.250% 130,000 5,703,750
-----------
ELECTRONICS - 0.4%
Lucent Technologies Capital Trust, 7.750% 9,975 11,074,744
-----------
INDEPENDENT/ENERGY - 0.2%
Chesapeake Energy Corp., 6.000% 59,300 4,751,413
-----------
LODGING - 0.1%
Host Marriott Financial Trust, 7.750% 60,500 3,176,250
-----------
PACKAGING - 0.1%
Owens-Illinois, Inc., 4.750% 78,300 2,728,755
-----------
PIPELINES - 0.1%
Williams Cos., Inc., 5.500% 25,000 1,768,750
-----------
WIRELINES - 0.8%
Philippine Long Distance Telephone Co., $3.50, GDS 448,725 22,324,069
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $42,058,749) 56,288,168
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $47,832,490) 63,788,371
-----------
26
Shares Value (a)
- ------------------------------------------------------------------------------------
MUTUAL FUNDS - 0.2% OF TOTAL NET ASSETS
BOND MUTUAL FUNDS - 0.2%
High Income Opportunity Fund, Inc. 114,625 $ 782,889
Morgan Stanley Emerging Markets Debt Fund, Inc. 201,929 1,849,670
PIMCO Strategic Global Government Fund, Inc. 53,125 632,187
Senior High Income Portfolio, Inc. 107,425 642,401
Templeton Emerging Markets Income Fund, Inc. 52,350 675,315
--------------
4,582,462
--------------
TOTAL MUTUAL FUNDS
(Identified Cost $4,094,735) 4,582,462
--------------
Principal Amount
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 7.2% OF TOTAL NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$45,000,813 on 10/01/04 collateralized by
$33,530,000 U.S. Treasury Bond, 7.625% due
2/15/25 with a value of $45,904,682 $ 45,000,000 45,000,000
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$57,622,040 on 10/01/04 collateralized by
$40,995,000 U.S. Treasury Bond, 8.500% due
2/15/20 with a value of $58,776,581 57,621,000 57,621,000
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$45,000,813 on 10/01/04 collateralized by
$46,020,000 U.S. Treasury Note, 2.500% due
9/30/06 with a value of $45,904,950 45,000,000 45,000,000
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$45,000,813 on 10/01/04 collateralized by
$37,945,000 U.S. Treasury Bond, 6.375% due
8/15/27 with a value of $45,901,611 45,000,000 45,000,000
--------------
192,621,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $192,621,000) 192,621,000
--------------
TOTAL INVESTMENTS - 99.6%
(Identified Cost $2,453,464,236)(b) 2,657,129,346
Other assets less liabilities--0.4% 10,716,891
--------------
TOTAL NET ASSETS - 100% $2,667,846,237
--------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information: At September 30, 2004, the net unrealized
appreciation on investments based on cost of $2,461,705,387 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over
tax cost $217,895,065
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost
over value (22,471,106)
- ------------
Net unrealized appreciation $195,423,959
- ------------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $128,266,517 of which $23,727,492 expires on September 30,
2010 and $104,539,025 expires on September 30, 2011. These amounts may be
available to offset future realized capital gains, if any, to the extent
provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$45,768,635 in undistributed ordinary income and $0 in undistributed
long-term gains.
27
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES BOND FUND - CONTINUED
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, wash sales, defaulted bond income accruals,
corporate action cost basis adjustments and premium amortization accruals.
(c)Non-income producing security.
(d)Non-income producing security due to default or bankruptcy filing.
(e)Step Bond: Coupon is zero or below market rate for an initial period
and then increases at a specified date and rate.
(f)Variable rate security. The rate as of September 30, 2004 is disclosed.
GDSGlobal Depositary Shares 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.
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 September
30, 2004, the total value of these securities amounted to $173,525,161
or 6.50% of total net assets.
Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; EUR: Euro;
GBP: Great British Pound; MXN: Mexican Peso; NOK: Norweigan Krone; NZD: New
Zealand Dollar; SEK: Swedish Krona; SGD: Singapore Dollar; USD: United States
Dollar; ZAR: South African Rand
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Sovereigns 14.1%
Foreign Local Governments 12.2
Government Agencies 9.6
Supranational 5.9
Treasuries 5.3
Wirelines 4.8
Electronics 4.8
Sovereigns Non-Callable 3.4
Electric 2.9
Pipelines 2.6
Paper 2.5
Transportation Services 2.5
Integrated/Energy 2.1
Information/Data Technology 2.0
Other, less than 2% each 17.7
See accompanying notes to financial statements.
28
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES FIXED INCOME FUND
Principal Amount Value (a)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - 95.1% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 92.8%
AIRLINES - 2.1%
American Airlines, Inc., 6.978%, 4/01/2011 USD 721,120 $ 712,454
Continental Airlines, Inc., 6.703%, 12/15/2022 650,814 606,509
Continental Airlines, Inc., 8.000%, 12/15/2005 750,000 686,250
Continental Airlines, Inc., Series 1997-4A,
6.900%, 1/02/2018 206,520 198,845
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 930,403 870,893
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/2019 1,728,534 1,668,183
Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/2022 423,224 411,253
Northwest Airlines Corp., 7.875%, 3/15/2008 325,000 217,750
Northwest Airlines, Inc., 8.875%, 6/01/2006 535,000 449,400
US Airways, 6.850%, 7/30/2019 1,937,717 1,770,605
-----------
7,592,142
-----------
ASSET-BACKED SECURITIES - 0.2%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/2029 725,000 682,977
-----------
AUTOMOTIVE - 2.9%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 2,350,000 2,350,000
Ford Motor Co., 6.375%, 2/01/2029 725,000 637,215
Ford Motor Co., 6.625%, 10/01/2028 3,650,000 3,304,403
Ford Motor Credit Co., 7.250%, 2/22/2005 GBP 1,000,000 1,822,438
General Motors Acceptance Corp., 5.625%, 5/15/2009 USD 1,500,000 1,529,124
General Motors Acceptance Corp., 6.375%, 12/07/2007 GBP 300,000 549,340
General Motors Acceptance Corp., 6.875%, 8/28/2012 USD 200,000 207,822
-----------
10,400,342
-----------
BANKING - 1.6%
Keycorp Capital II, 6.875%, 3/17/2029 5,250,000 5,595,781
-----------
CHEMICALS - 0.8%
Borden, Inc., 7.875%, 2/15/2023 2,625,000 2,126,250
Borden, Inc., 9.200%, 3/15/2021 750,000 693,750
-----------
2,820,000
-----------
CONSUMER PRODUCTS - 0.4%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 1,250,000 1,321,720
Hasbro, Inc., 6.600%, 7/15/2028 75,000 75,375
-----------
1,397,095
-----------
ELECTRIC - 3.9%
AES Corp., 7.750%, 3/01/2014 480,000 495,600
AES Corp., 8.875%, 11/01/2027 1,300,000 1,249,625
AES Corp., 9.375%, 9/15/2010 100,000 112,625
Calpine Corp., 7.875%, 4/01/2008 550,000 371,250
Calpine Corp., 8.500%, 2/15/2011 150,000 96,000
Calpine Corp., 8.750%, 7/15/2013, 144A 20,000 15,100
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 1,589,000 1,619,693
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/2013 500,000 558,128
Enersis SA, 7.400%, 12/01/2016 4,000,000 4,189,432
29
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRIC - CONTINUED
ESI Tractebel Acquisition Corp., Series B,
7.990%, 12/30/2011 USD 720,000 $ 743,400
Power Receivables Finance LLC,
6.290%, 1/01/2012, 144A 1,454,826 1,524,527
Quezon Power Philippines Co., 8.860%, 6/15/2017 1,678,950 1,511,055
Salton Sea Funding Corp., Series E, 8.300%, 5/30/2011 240,560 265,818
Texas-New Mexico Power Co., 6.250%, 1/15/2009 1,000,000 1,054,595
Tiverton Power Associates Ltd.,
9.000%, 7/15/2018, 144A 456,952 333,575
-----------
14,140,423
-----------
ELECTRONICS - 2.0%
Amkor Technology, Inc., 7.125%, 3/15/2011 125,000 102,500
Corning, Inc., 6.200%, 3/15/2016 250,000 245,598
Corning, Inc., 6.850%, 3/01/2029 250,000 232,138
Lucent Technologies, Inc., 6.450%, 3/15/2029 4,095,000 3,316,950
Lucent Technologies, Inc., 6.500%, 1/15/2028 200,000 162,000
Motorola, Inc., 6.500%, 11/15/2028 1,325,000 1,375,813
Nortel Networks Corp., 6.875%, 9/01/2023 250,000 228,750
Northern Telecom Capital Corp., 7.875%, 6/15/2026 150,000 144,750
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 1,158,000 1,298,564
-----------
7,107,063
-----------
FOREIGN LOCAL GOVERNMENTS - 16.6%
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 119,000,000 9,878,693
Province of Alberta, 5.930%, 9/16/2016 CAD 1,233,422 1,044,278
Province of British Columbia,
Zero Coupon Bond, 8/23/2013 11,700,000 5,933,097
Province of British Columbia, 5.250%, 12/01/2006 1,615,000 1,331,003
Province of British Columbia, 6.000%, 6/09/2008 1,000,000 851,092
Province of British Columbia, 6.250%, 12/01/2009 7,025,000 6,083,115
Province of Manitoba, 5.750%, 6/02/2008 14,515,000 12,252,417
Province of Ontario, 3.500%, 9/08/2006 940,000 748,645
Province of Ontario, 5.900%, 3/08/2006 18,885,000 15,553,146
Province of Saskatchewan, 5.500%, 6/02/2008 6,960,000 5,828,162
-----------
59,503,648
-----------
GOVERNMENT AGENCIES - 4.9%
Federal Home Loan Mortgage Corp.,
2.875%, 5/15/2007 USD 1,000,000 996,191
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 1,500,000 918,172
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/2007 NZD 11,450,000 6,342,441
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 16,000,000 9,383,562
-----------
17,640,366
-----------
HEALTHCARE - 2.2%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/2027 USD 2,750,000 2,673,349
Columbia/HCA Healthcare Corp., 7.580%, 9/15/2025 2,100,000 2,190,153
Columbia/HCA Healthcare Corp., 7.690%, 6/15/2025 1,000,000 1,059,954
HCA, Inc., 6.250%, 2/15/2013 1,000,000 1,030,729
HCA, Inc., 7.500%, 11/06/2033 1,000,000 1,050,113
-----------
8,004,298
-----------
30
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
HOME CONSTRUCTION - 0.3%
Pulte Corp., 7.625%, 10/15/2017 USD 500,000 $ 581,695
Pulte Homes, Inc., 6.375%, 5/15/2033 500,000 491,573
-----------
1,073,268
-----------
INDEPENDENT/ENERGY - 0.5%
Chesapeake Energy Corp., 6.875%, 1/15/2016 325,000 339,625
Chesapeake Energy Corp., 7.500%, 9/15/2013 150,000 164,250
Pioneer Natural Resources Co., 7.200%, 1/15/2028 1,000,000 1,126,230
-----------
1,630,105
-----------
INFORMATION/DATA TECHNOLOGY - 1.4%
Arrow Electronics, Inc., 6.875%, 7/01/2013 3,500,000 3,787,080
Xerox Capital Trust I, 8.000%, 2/01/2027 1,200,000 1,182,000
-----------
4,969,080
-----------
INTEGRATED/ENERGY - 1.7%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 4,650,000 4,533,750
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 250,000 284,250
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 1,425,000 1,403,625
-----------
6,221,625
-----------
LIFE INSURANCE - 2.8%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 17,000,000 10,000,651
-----------
LODGING - 0.1%
Felcor Lodging LP, 9.000%, 6/01/2011 USD 375,000 412,500
-----------
MEDIA CABLE - 1.2%
Charter Communications Holdings LLC,
9.625%, 11/15/2009 3,550,000 2,795,625
Charter Communications Holdings LLC,
10.000%, 5/15/2011 500,000 385,000
NTL Cable Plc, 9.750%, 4/15/2014, 144A GBP 250,000 450,672
TCI Communications, Inc., 7.875%, 2/15/2026 USD 550,000 645,564
-----------
4,276,861
-----------
METALS & MINING - 0.2%
AK Steel Corp., 7.750%, 6/15/2012 250,000 244,375
Vale Overseas Ltd., 8.250%, 1/17/2034 520,000 505,700
-----------
750,075
-----------
MORTGAGE RELATED - 0.1%
Federal Home Loan Mortgage Corp.,
5.000%, 12/01/2031 296,972 295,268
-----------
NON-CAPTIVE DIVERSIFIED - 0.0%
General Electric Capital Corp., 1.725%, 6/27/2008 SGD 250,000 144,423
-----------
OIL FIELD SERVICES - 0.4%
Pecom Energia SA, 8.125%, 7/15/2010, 144A USD 1,472,000 1,468,320
-----------
PAPER - 4.9%
Arcel Finance Ltd., 7.048%, 9/01/2011, 144A 1,000,000 1,046,613
Boise Cascade Corp., Series A, 7.450%, 8/10/2011 1,250,000 1,436,936
31
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PAPER - CONTINUED
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/2028 USD 2,000,000 $ 2,070,000
Georgia-Pacific Group, 7.375%, 12/01/2025 6,000,000 6,390,000
Georgia-Pacific Group, 7.750%, 11/15/2029 5,515,000 5,928,625
International Paper Co., 4.250%, 1/15/2009 700,000 702,408
Mead Corp., 6.840%, 3/01/2037 100,000 108,922
-----------
17,683,504
-----------
PHARMACEUTICALS - 0.3%
Pharma Services Intermediate Holding Corp., Zero
Coupon Bond, 4/01/2014
(step to 11.500% on 4/01/09), 144A(e) 1,500,000 945,000
-----------
PIPELINES - 3.3%
Coastal Corp., 6.375%, 2/01/2009 1,330,000 1,276,800
Coastal Corp., 6.500%, 6/01/2008 500,000 487,500
El Paso Corp., 5.750%, 3/14/2006 EUR 620,000 765,844
El Paso Corp., 7.000%, 5/15/2011 USD 750,000 723,750
El Paso Energy, 7.800%, 8/01/2031 250,000 219,375
KN Capital Trust, 7.630%, 4/15/2028 1,000,000 1,097,841
Southern Natural Gas Co., 7.350%, 2/15/2031 3,250,000 3,209,375
Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 2,465,000 2,341,750
Tennessee Gas Pipeline Co., 7.500%, 4/01/2017 750,000 778,125
Williams Cos., Inc., 7.500%, 1/15/2031 1,000,000 1,005,000
-----------
11,905,360
-----------
RAILROADS - 0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 500,000 361,250
-----------
REAL ESTATE INVESTMENT TRUSTS - 3.9%
EOP Operating LP, 7.250%, 2/15/2018 2,000,000 2,273,838
First Industrial LP, 7.500%, 12/01/2017 3,000,000 3,422,163
First Industrial LP, 7.600%, 7/15/2028 6,400,000 7,092,659
Highwoods Realty LP, 7.500%, 4/15/2018 475,000 501,405
Spieker Properties, Inc., 7.350%, 12/01/2017 500,000 578,096
-----------
13,868,161
-----------
REFINING - 0.3%
Merey Sweeny LP, 8.850%, 12/18/2019, 144A 864,062 1,033,677
-----------
RESTAURANTS - 0.2%
McDonald's Corp., 3.627%, 10/10/2010 SGD 1,000,000 606,018
-----------
RETAILERS - 1.2%
Dillard's, Inc., 7.750%, 7/15/2026 USD 1,025,000 1,014,750
J.C. Penney Co., Inc., 6.875%, 10/15/2015 325,000 346,125
J.C. Penney Co., Inc., 7.125%, 11/15/2023 1,045,000 1,105,087
Woolworth Corp., 8.500%, 1/15/2022 1,855,000 1,975,575
-----------
4,441,537
-----------
SOVEREIGNS - 12.7%
Bangko Sentral Pilipinas, 8.600%, 6/15/2027 1,630,000 1,401,800
Canadian Government, 4.500%, 9/01/2007 CAD 16,520,000 13,450,662
Canadian Government, 6.000%, 9/01/2005 6,235,000 5,085,171
Canadian Government, Series WH31,
6.000%, 6/01/2008 800,000 683,222
Petroleos Mexicanos, 8.625%, 12/01/2023, 144A USD 1,400,000 1,582,000
Petroleos Mexicanos, 9.250%, 3/30/2018 400,000 487,000
32
Principal Amount Value (a)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SOVEREIGNS - CONTINUED
PF Export Receivables Master Trust,
6.436%, 6/01/2015, 144A USD 2,181,818 $ 2,189,346
Republic of Argentina, 8.875%, 3/01/2029(d) 1,500,000 341,925
Republic of Brazil, 8.250%, 1/20/2034 7,370,000 6,570,355
Republic of Brazil, 10.125%, 5/15/2027 4,877,000 5,169,620
Republic of Brazil, 11.000%, 8/17/2040 575,000 644,575
Republic of Brazil C Bond, 8.000%, 4/15/2014 439,777 434,851
Republic of Dominican, 9.040%, 1/23/2013, 144A 200,000 155,000
Republic of South Africa, 12.500%, 12/21/2006 ZAR 3,020,000 503,481
Republic of Uruguay, 7.875%, 1/15/2033 USD 1,448,172 1,165,778
Republic of Venezuela, 9.250%, 9/15/2027 4,250,000 4,188,375
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 250,000 154,115
Tenaga Nasional Berhad, 7.500%, 11/01/2025, 144A USD 1,040,000 1,168,549
-----------
45,375,825
-----------
SOVEREIGNS NON-CALLABLE - 1.5%
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 5,000,000 755,057
Government of Sweden, Series 1045,
5.250%, 3/15/2011 10,000,000 1,467,157
Kingdom of Norway, 5.500%, 5/15/2009 NOK 20,000,000 3,222,647
-----------
5,444,861
-----------
SUPRANATIONAL - 9.8%
Inter-American Development Bank, Zero Coupon
Bond, 5/11/2009 BRL 30,000,000 5,224,554
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/2007 NZD 40,850,000 23,043,054
International Bank for Reconstruction & Development,
5.500%, 11/03/2008 9,250,000 6,102,631
International Bank for Reconstruction & Development,
8.000%, 5/23/2007 1,000,000 699,430
-----------
35,069,669
-----------
TAXABLE MUNICIPAL - 0.3%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/2016 USD 2,000,000 1,059,300
-----------
TEXTILE - 0.8%
Kellwood Co., 7.625%, 10/15/2017 2,500,000 2,748,965
Phillips-Van Heusen Corp., 7.750%, 11/15/2023 195,000 195,000
-----------
2,943,965
-----------
TRANSPORTATION SERVICES - 1.6%
American President Cos. Ltd., 8.000%, 1/15/2024 2,500,000 2,575,000
Atlas Air, Inc., 9.057%, 7/02/2017 394,351 294,635
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/2015(d) 1,326,184 941,107
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 1,588,782 1,495,696
Atlas Air, Inc., Series B, 7.680%, 1/02/2014(d) 642,982 460,047
-----------
5,766,485
-----------
WIRELINES - 5.6%
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 3,914,000 3,659,590
Qwest Capital Funding, Inc., 7.000%, 8/03/2009 825,000 754,875
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 350,000 273,875
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 775,000 592,875
Qwest Capital Funding, Inc., 7.900%, 8/15/2010 50,000 46,125
33
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - CONTINUED
Sprint Capital Corp., 6.875%, 11/15/2028 USD 5,835,000 $ 6,120,291
Sprint Capital Corp., 6.900%, 5/01/2019 1,550,000 1,696,997
US West Capital Funding, Inc., 6.500%, 11/15/2018 2,575,000 1,879,750
US West Capital Funding, Inc., 6.875%, 7/15/2028 7,200,000 5,166,000
------------
20,190,378
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $300,052,536) 332,821,301
------------
CONVERTIBLE BONDS - 2.3%
ELECTRONICS - 1.0%
Amkor Technology, Inc., 5.000%, 3/15/2007 900,000 751,500
Corning, Inc., 3.500%, 11/01/2008 1,985,000 2,332,375
Nortel Networks Corp., 4.250%, 9/01/2008 400,000 386,000
Richardson Electronics Ltd., 7.250%, 12/15/2006 300,000 300,000
------------
3,769,875
------------
INDEPENDENT/ENERGY - 1.0%
Devon Energy Corp., 4.900%, 8/15/2008 1,300,000 1,408,875
Devon Energy Corp., 4.950%, 8/15/2008 1,900,000 2,059,125
------------
3,468,000
------------
INFORMATION/DATA TECHNOLOGY - 0.1%
Maxtor Corp., 5.750%, 3/01/2012 287,000 252,560
------------
MEDIA CABLE - 0.1%
Rogers Communications, Inc., 2.000%, 11/26/2005 500,000 480,625
------------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/2012 119,000 106,207
------------
WIRELESS - 0.1%
Nextel Communications, Inc., 5.250%, 1/15/2010 275,000 273,969
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $7,080,398) 8,351,236
------------
TOTAL BONDS AND NOTES
(Identified Cost $307,132,934) 341,172,537
------------
Shares
- ------------------------------------------------------------------------------------
COMMON STOCKS - 0.1% OF TOTAL NET ASSETS
IT SERVICES - 0.0%
Covad Communications Group, Inc.(c) 1,551 2,606
------------
OIL & GAS - 0.1%
Pogo Producing Co. 8,652 410,537
------------
TOTAL COMMON STOCKS
(Identified Cost $355,650) 413,143
------------
34
Shares Value (a)
- -----------------------------------------------------------------------
PREFERRED STOCKS - 2.2% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.7%
CONSTRUCTION MACHINERY - 0.0%
United Rentals Trust, 6.500% 3,000 $ 114,000
----------
ELECTRIC - 0.7%
Del Marva Power & Light Co., 4.000% 434 27,342
Entergy Louisiana, Inc., 4.440% 830 59,241
Entergy New Orleans, Inc., 4.360% 90 6,222
Entergy New Orleans, Inc., 4.750% 2,876 207,072
MDU Resources Group, Inc., 5.100% 720 72,045
Pacific Gas & Electric Co., 5.000% 19,100 403,010
Pacific Gas & Electric Co., Series H, 4.500% 10,000 189,500
Pacific Gas & Electric Co., 6.570% 29,750 755,650
Public Service Electric & Gas Co., 4.180% 1,950 142,545
Southern California Edison Co., 4.320% 500 9,300
Union Electric Co., 4.500% 6,500 508,625
Xcel Energy, Inc., 4.110% 100 7,450
----------
2,388,002
----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $1,714,196) 2,502,002
----------
CONVERTIBLE PREFERRED STOCKS - 1.5%
CONSUMER PRODUCTS - 0.3%
Newell Financial Trust I, 5.250% 22,500 987,187
----------
ELECTRONICS - 0.5%
Lucent Technologies Capital Trust, 7.750% 1,500 1,665,375
----------
LODGING - 0.1%
Host Marriott Financial Trust, 7.750% 5,000 262,500
----------
PACKAGING - 0.0%
Owens-Illinois, Inc., 4.750% 4,250 148,113
----------
WIRELINES - 0.6%
Philippine Long Distance Telephone Co., $3.50, GDS 47,750 2,375,562
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $3,972,196) 5,438,737
----------
TOTAL PREFERRED STOCKS
(Identified Cost $5,686,392) 7,940,739
----------
35
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 2.1% OF TOTAL NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$7,399,134 on 10/01/04 collateralized by
$5,265,000 U.S. Treasury Bond, 8.500% due
2/15/20 with a value of $7,548,694 $ 7,399,000 $ 7,399,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $7,399,000) 7,399,000
------------
TOTAL INVESTMENTS - 99.5%
(Identified Cost $320,573,976)(b) 356,925,419
Other assets less liabilities--0.5% 1,726,279
------------
TOTAL NET ASSETS - 100% $358,651,698
------------
(a)See Note 2a of Notes to Financial Statements.
(b)At September 30, 2004, the net unrealized appreciation on investments
based on cost of $321,441,855 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 39,968,808
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (4,485,244)
------------
Net unrealized appreciation $ 35,483,564
------------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $19,564,019 which expires on September 30, 2011. This amount
may be available to offset future realized capital gains, if any, to the
extent provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$28,853,898 in undistributed ordinary income and $0 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, defaulted bond income accruals and
premium amortization accruals.
(c)Non-income producing security.
(d)Non-Income producing security due to default or bankruptcy filing.
(e)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.
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 September
30, 2004, the total value of these securities amounted to $29,148,969
or 8.13% of total net assets.
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.
Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; EUR: Euro;
GBP: Great British Pound; MXN: Mexican Peso; NOK: Norwegian Krone; NZD: New
Zealand Dollar; SEK: Swedish Krona; SGD: Singapore Dollar; USD: United
States Dollar; ZAR: South African Rand
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Foreign Local Governments 16.6% Electronics 3.5%
Sovereigns 12.7 Pipelines 3.3
Supranational 9.8 Automotive 2.9
Wirelines 6.2 Life Insurance 2.8
Paper 4.9 Healthcare 2.2
Government Agencies 4.9 Airlines 2.1
Electric 4.6 Other, less than 2% each 17.0
Real Estate Investment Trusts 3.9
See accompanying notes to financial statements.
36
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES GLOBAL BOND FUND
Principal Amount Value (a)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - 94.6% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 94.6%
AUSTRALIA - 3.0%
Queensland Treasury Corp., 6.000%, 7/14/2009 AUD 13,125,000 $ 9,737,939
Queensland Treasury Corp., 8.000%, 9/14/2007 14,550,000 11,296,994
-----------
21,034,933
-----------
AUSTRIA - 1.3%
Republic of Austria, 4.500%, 9/28/2005 JPY 160,000,000 1,518,447
Republic of Austria, 5.000%, 7/15/2012, 144A EUR 3,360,000 4,502,477
Republic of Austria, 5.500%, 3/03/2005 CHF 3,900,000 3,189,262
Republic of Austria, 6.000%, 2/14/2007 HUF 50,000,000 235,374
-----------
9,445,560
-----------
BELGIUM - 2.8%
Kingdom of Belgium, 3.750%, 3/28/2009 EUR 15,560,000 19,753,012
-----------
BRAZIL - 1.5%
Cia Brasileira de Bebidas, 8.750%, 9/15/2013 USD 2,500,000 2,825,000
Republic of Brazil, 8.250%, 1/20/2034 4,200,000 3,744,300
Republic of Brazil C Bond, 8.000%, 4/15/2014 4,063,650 4,018,137
-----------
10,587,437
-----------
CANADA - 5.0%
Abitibi-Consolidated, Inc., 5.250%, 6/20/2008 1,760,000 1,705,000
Alcan, Inc., 5.500%, 5/02/2006 EUR 900,000 1,163,381
Avenor Inc., 10.850%, 11/30/2014 CAD 1,675,000 1,575,498
Canadian Government, 0.700%, 3/20/2006 JPY 243,000,000 2,227,680
Canadian Pacific Railway Ltd., 4.900%, 6/15/2010,
144A 3,700,000 2,946,589
Celestica, Inc., 7.875%, 7/01/2011 USD 1,950,000 2,023,125
Falconbridge Ltd., 7.350%, 6/05/2012 400,000 458,695
Government of Quebec, 5.625%, 6/21/2011 EUR 3,500,000 4,815,618
Household Financial Corp. Ltd., 4.500%, 7/02/2008 CAD 2,100,000 1,687,595
Province of Ontario, 5.700%, 12/01/2008 10,405,000 8,778,211
Province of Ontario, 6.250%, 12/03/2008 NZD 6,025,000 4,033,107
Rogers Wireless, Inc., 6.375%, 3/01/2014 USD 1,530,000 1,407,600
Shaw Comunications, Inc., 7.500%, 11/20/2013 CAD 1,450,000 1,219,019
Teck Cominco Ltd., 7.000%, 9/15/2012, 144A USD 927,000 1,020,557
-----------
35,061,675
-----------
CAYMAN ISLAND - 0.9%
Arcel Finance Ltd., 7.048%, 9/01/2011, 144A 3,110,000 3,254,967
Enersis SA, 7.400%, 12/01/2016 400,000 418,943
Hutchison Whampoa International Ltd.,
7.450%, 11/24/2033, 144A 1,575,000 1,632,147
Vale Overseas Ltd., 8.250%, 1/17/2034 1,320,000 1,283,700
-----------
6,589,757
-----------
CHILE - 0.5%
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 2,900,000 2,956,016
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/2013 450,000 502,315
-----------
3,458,331
-----------
COLOMBIA - 0.5%
Bavaria S.A., 8.875%, 11/01/2010, 144A 1,500,000 1,584,375
Republic of Colombia, 8.125%, 5/21/2024 2,000,000 1,805,000
-----------
3,389,375
-----------
37
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
DENMARK - 0.6%
Kingdom of Denmark, 4.000%, 8/15/2008 DKK 17,865,000 $ 3,067,531
Rohm & Haas Denmark A/S, 6.000%, 3/09/2007 EUR 650,000 860,678
-----------
3,928,209
-----------
FINLAND - 1.4%
Republic of Finland, 5.000%, 7/04/2007 7,700,000 10,109,937
-----------
FRANCE - 2.9%
Dexia Municipal Agency, 5.500%, 4/25/2006 13,975,000 18,147,984
GIE PSA Tresorerie, 5.875%, 9/27/2011 1,850,000 2,538,878
-----------
20,686,862
-----------
GERMANY - 8.1%
Bundesobligation, 4.000%, 2/16/2007 20,775,000 26,566,347
Eurohypo AG - Europaeische Hypothekenbank der
Deutschen Bank, 4.000%, 2/01/2007 3,465,000 4,426,993
Kreditanstalt Wiederauf, 5.250%, 1/04/2010 8,925,000 12,094,293
Munchener Hypothekenbank eG, 5.000%, 1/16/2012 2,435,000 3,253,219
Republic of Germany, 3.250%, 4/17/2009 3,045,000 3,789,830
Republic of Germany, 5.000%, 1/04/2012 4,970,000 6,676,568
-----------
56,807,250
-----------
HONG KONG - 0.4%
Bangkok Bank PLC/Hong Kong,
9.025%, 3/15/2029, 144A USD 2,500,000 2,798,990
-----------
IRELAND - 1.5%
Republic of Ireland, 4.600%, 4/18/2016 EUR 8,195,000 10,612,179
-----------
ITALY - 2.5%
Republic of Italy, 0.375%, 10/10/2006 JPY 800,000,000 7,300,006
Republic of Italy, 5.000%, 12/15/2004 1,098,000,000 10,084,560
-----------
17,384,566
-----------
MALAYSIA - 0.3%
Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A USD 1,000,000 1,202,091
Tenaga Nasional Berhad, 7.500%, 11/01/2025, 144A 1,000,000 1,123,605
-----------
2,325,696
-----------
MEXICO - 2.8%
America Movil SA de CV, 4.125%, 3/01/2009, 144A 2,315,000 2,257,107
Government of Mexico, 6.750%, 6/06/2006 JPY 924,000,000 9,250,086
Innova S de RL, 9.375%, 9/19/2013 USD 850,000 924,375
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 36,500,000 3,030,019
United Mexican States, 2.600%, 5/10/2005 JPY 250,000,000 2,304,876
United Mexican States, 5.375%, 6/10/2013 EUR 800,000 1,011,305
United Mexican States, 8.375%, 1/14/2011 750,000 879,375
-----------
19,657,143
-----------
NETHERLANDS - 4.8%
Deutsche Telekom AG, 5.250%, 5/20/2008 1,100,000 1,450,022
Diageo Capital BV, 3.875%, 1/06/2009 2,050,000 2,573,569
E. On International Finance, Series EMTN,
5.750%, 5/29/2009 1,845,000 2,511,108
Kingdom of Netherlands, 5.500%, 1/15/2028 8,305,000 11,606,302
Olivetti Finance NV, 6.875%, 1/24/2013 1,000,000 1,444,250
Repsol International Finance BV, 5.000%, 7/22/2013 5,300,000 6,819,137
38
Principal Amount Value (a)
- -------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
NETHERLANDS - CONTINUED
RWE Finance BV, 6.125%, 10/26/2012 EUR 1,800,000 $ 2,539,736
Telefonica Europe BV, 5.125%, 2/14/2013 1,000,000 1,318,238
Volkswagen International Finance NV,
4.875%, 5/22/2013 2,500,000 3,119,956
-----------
33,382,318
-----------
NORWAY - 1.1%
Eksportfinans ASA, 2.500%, 12/28/2005 CHF 4,030,000 3,286,326
Kingdom of Norway, 5.500%, 5/15/2009 NOK 25,665,000 4,135,461
-----------
7,421,787
-----------
PHILIPPINES - 0.0%
Philippine Long Distance Telephone Co.,
11.375%, 5/15/2012 USD 225,000 254,250
-----------
REPUBLIC OF SOUTH KOREA - 0.1%
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 500,000 560,692
-----------
SINGAPORE - 2.8%
Flextronics International Ltd., 6.500%, 5/15/2013 210,000 214,725
Government of Singapore, 3.625%, 7/01/2011 SGD 18,075,000 11,273,172
Government of Singapore, 4.625%, 7/01/2010 8,110,000 5,331,394
Singapore Telecommunications Ltd.,
6.000%, 11/21/2011 EUR 1,000,000 1,379,646
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 2,340,000 1,442,519
-----------
19,641,456
-----------
SOUTH AFRICA - 0.4%
Republic of South Africa, 5.250%, 5/16/2013 EUR 800,000 1,003,449
Republic of South Africa, 8.500%, 6/23/2017 USD 1,400,000 1,701,000
-----------
2,704,449
-----------
SPAIN - 4.7%
Government of Spain, 3.600%, 1/31/2009 EUR 14,900,000 18,817,574
Government of Spain, 5.400%, 7/30/2011 6,660,000 9,139,334
Kingdom of Spain, 4.750%, 3/14/2005 JPY 520,000,000 4,828,185
-----------
32,785,093
-----------
SUPRANATIONAL - 2.8%
European Investment Bank, 0.875%, 11/08/2004 922,000,000 8,393,488
European Investment Bank, 2.125%, 9/20/2007 71,000,000 678,122
European Investment Bank, 6.000%, 11/26/2004 GBP 155,000 281,191
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 BRL 27,100,000 4,719,514
International Bank for Reconstruction & Development,
4.750%, 12/20/2004 JPY 535,000,000 4,913,761
Nordic Investment Bank, 5.250%, 4/20/2006 SEK 6,000,000 850,820
-----------
19,836,896
-----------
SWEDEN - 4.1%
Government of Sweden, 5.250%, 3/15/2011 69,675,000 10,222,417
Government of Sweden, 6.500%, 5/05/2008 106,420,000 16,070,644
Stena AB, 7.500%, 11/01/2013 USD 1,290,000 1,291,613
Volvo Treasury AB, 6.000%, 2/09/2007 EUR 620,000 821,281
-----------
28,405,955
-----------
39
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
THAILAND - 0.1%
Thai Farmers Bank Plc, 8.250%, 8/21/2016, 144A USD 555,000 $ 622,739
-----------
UNITED KINGDOM - 8.5%
Hilton Group Finance Plc, 6.500%, 7/17/2009 EUR 985,000 1,364,232
MBNA Europe Funding Plc, 6.500%, 3/27/2007 1,000,000 1,338,821
mm02 Plc, 6.375%, 1/25/2007 1,670,000 2,227,349
NGG Finance Plc, 6.125%, 8/23/2011 1,600,000 2,220,130
Pearson Plc, 6.125%, 2/01/2007 640,000 848,695
Permanent Finance Plc, 5.100%, 6/10/2009 2,196,000 2,871,842
Scottish Power UK Plc, Series EMTN,
6.625%, 1/14/2010 GBP 1,250,000 2,382,273
Standard Chartered Bank, 6.750%, 4/27/2009 700,000 1,329,743
Tesco Plc, 4.750%, 4/13/2010 EUR 1,300,000 1,692,185
United Kingdom Treasury, 5.000%, 3/07/2012 GBP 12,590,000 23,053,979
United Kingdom Treasury, 6.250%, 11/25/2010 9,185,000 17,925,588
WPP Group Plc, 6.000%, 6/18/2008 EUR 1,690,000 2,275,367
-----------
59,530,204
-----------
UNITED STATES - 28.8%
Agco Corp., 6.875%, 4/15/2014 1,770,000 2,167,109
Allied Waste North America, Inc.,
6.500%, 11/15/2010 USD 775,000 767,250
American Standard, Inc., 7.125%, 6/01/2006 EUR 325,000 428,214
American Standard, Inc., 8.250%, 6/01/2009 GBP 325,000 630,035
ASIF Global Financing XXVII, 2.380%, 2/26/2009 SGD 13,500,000 7,941,693
Bank of America Corp., 4.625%, 2/18/2014 EUR 1,270,000 1,610,052
Bowater, Inc., 6.500%, 6/15/2013 USD 2,250,000 2,183,173
Chesapeake Energy Corp., 6.875%, 1/15/2016 2,200,000 2,299,000
Citi Credit Card Issuance Trust, 5.375%, 4/10/2013 EUR 3,243,000 4,373,689
Corning, Inc., 5.900%, 3/15/2014 USD 1,675,000 1,637,190
Corning, Inc., 6.750%, 9/15/2013 400,000 416,890
Couche-Tard US/Finance, 7.500%, 12/15/2013 3,500,000 3,727,500
D.R. Horton, Inc., 5.000%, 1/15/2009 810,000 824,175
Dean Foods Co., 6.625%, 5/15/2009 2,250,000 2,390,625
Dean Foods Co., 8.150%, 8/01/2007 500,000 543,750
Equistar Chemicals, LP, 6.500%, 2/15/2006 2,590,000 2,654,750
Federal Farm Credit Bank, 2.125%, 7/17/2006 10,000,000 9,886,520
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 4,500,000 2,754,514
Federal Home Loan Mortgage Corp.,
5.500%, 4/01/2033 USD 903,023 917,365
Federal Home Loan Mortgage Corp.,
6.000%, 1/01/2033 359,003 371,336
Federal National Mortgage Association,
1.750%, 3/26/2008 JPY 1,160,000,000 11,040,619
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 5,700,000 3,342,894
Federal National Mortgage Association,
5.500%, 5/01/2033 USD 891,341 905,096
Federal National Mortgage Association,
6.000%, 7/01/2017 1,250,910 1,312,513
First Industrial LP, 6.875%, 4/15/2012 1,650,000 1,812,114
General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008 SGD 2,250,000 1,299,808
HCA, Inc., 5.250%, 11/06/2008 USD 3,040,000 3,112,720
40
Principal Amount Value (a)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
HCA, Inc., 7.500%, 11/06/2033 USD 3,000,000 $ 3,150,339
Household Finance Corp., 5.125%, 6/24/2009 EUR 900,000 1,191,683
IMC Global, Inc., Series B, 10.875%, 6/01/2008 USD 500,000 606,250
iStar Financial, Inc., 4.875%, 1/15/2009 1,495,000 1,498,038
John Deere Capital Corp., 3.900%, 1/15/2008 2,175,000 2,206,435
KfW International Finance, Inc., 1.000%, 12/20/2004 JPY 1,379,000,000 12,567,679
Lear Corp., 8.125%, 4/01/2008 EUR 2,504,000 3,520,207
Lehman Brothers Holdings, Inc., 4.000%, 1/22/2008 USD 2,175,000 2,209,324
McDonald's Corp., 3.627%, 10/10/2010 SGD 500,000 303,009
Morgan Stanley, 5.375%, 11/14/2013 GBP 1,400,000 2,494,513
News America Holdings, Inc., 8.625%, 2/07/2014 AUD 1,240,000 967,806
Overseas Shipholding Group, Inc., 7.500%, 2/15/2024 USD 1,760,000 1,709,400
Pemex Project Funding Master Trust,
7.875%, 2/01/2009 5,600,000 6,244,000
Phillips-Van Heusen Corp., 8.125%, 5/01/2013 1,000,000 1,070,000
Pioneer Natural Resources Co., 6.500%, 1/15/2008 275,000 298,097
Premcor Refining Group, Inc., 6.750%, 2/01/2011 1,440,000 1,533,600
Premcor Refining Group, Inc., 7.500%, 6/15/2015 570,000 612,750
Qwest Capital Funding, Inc., 7.250%, 2/15/2011 1,035,000 923,737
Qwest Corp., 7.875%, 9/01/2011, 144A 1,500,000 1,556,250
Russell Corp., 9.250%, 5/01/2010 2,325,000 2,522,625
Service Corp. International, 6.500%, 3/15/2008 1,265,000 1,317,181
Smithfield Foods, Inc., 7.000%, 8/01/2011, 144A 2,770,000 2,894,650
U.S. Treasury Notes, 2.375%, 1/15/2025(c) 6,144,597 6,401,182
U.S. Treasury Notes, 2.625%, 11/15/2006 8,600,000 8,596,973
U.S. Treasury Notes, 1.875%, 12/31/2005 9,000,000 8,953,947
U.S. Treasury Notes, 5.750%, 8/15/2010 21,065,000 23,483,368
U.S. Treasury Notes, 6.875%, 5/15/2006 21,880,000 23,415,013
Union Pacific Corp., 3.875%, 2/15/2009 2,175,000 2,164,249
United Rentals North America, Inc.,
6.500%, 2/15/2012 1,000,000 962,500
US West Capital Funding, Inc., 6.875%, 7/15/2028 630,000 452,025
Valeant Pharmaceuticals International,
7.000%, 12/15/2011 1,300,000 1,316,250
Williams Companies., Inc. (The), 7.875%, 9/01/2021 1,870,000 2,075,700
XTO Energy, Inc., 6.250%, 4/15/2013 1,375,000 1,506,109
------------
202,075,483
------------
VENEZUELA - 0.2%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 1,310,000 1,277,250
------------
VIRGIN ISLANDS - 0.2%
First Citizens St. Lucia, 5.125%, 2/14/2011, 144A 1,515,000 1,524,142
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $645,092,925) 663,653,626
------------
CONVERTIBLE BONDS - 0.0%
UNITED STATES - 0.0%
Nextel Communications, Inc., 5.250%, 1/15/2010 290,000 288,913
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $251,866) 288,913
------------
TOTAL BONDS AND NOTES
(Identified Cost $645,344,791) 663,942,539
------------
41
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.6% OF TOTAL NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 9/30/2004 at 0.650% to be repurchased at
$25,007,452 on 10/1/2004 collateralized by
$17,795,000 U.S Treasury Bond, 8.500% due
2/15/2020 with a value of $25,513,581 $ 25,007,000 $ 25,007,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $25,007,000) 25,007,000
------------
TOTAL INVESTMENTS - 98.2%
(Identified Cost $670,351,791)(b) 688,949,539
Other assets less liabilities--1.8% 12,532,569
------------
TOTAL NET ASSETS - 100% $701,482,108
------------
(a)See Note 2a of Notes to Financial Statements.
(b)At September 30, 2004, the net unrealized appreciation on investments
based on cost of $ 673,492,424 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 $ 19,181,559
Aggregate gross unrealized
depreciation for all
securities in which there is
an excess of tax cost over
value (3,724,444)
------------
Net unrealized appreciation $ 15,457,115
------------
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$17,863,471 in undistributed ordinary income and $1,963,811 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, premium amortization accruals, wash sales
and mark-to-market on forward contracts.
(c)Treasury Inflation Protected Security (TIPS).
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 September
30, 2004, the total value of these securities amounted to $30,758,628
or 4.38% of total net assets.
Key to Abbreviations: AUD: Australian Dollar; BRL: Brazilian Real; CAD:
Canadian Dollar; CHF: Swiss Franc; DKK: Danish Krone; EUR: Euro; GBP: great
British Pound; HUF: Hungarian Forint: JPY: Japanese Yen; MXN: Mexican Peso;
NOK: Norweigan Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; SGD:
Singapore Dollar; USD: United States Dollar
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Sovereigns 24.3%
Sovereigns Non-Callable 14.9
Treasuries 10.1
Foreign Local Governments 5.5
Government Agencies 3.9
Foreign Agencies 3.5
Supranational 2.8
Banks/Savings & Loans 2.6
Other, less than 2% each 27.0
See accompanying notes to financial statements.
42
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - 86.8% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 81.0%
AIRLINES - 1.6%
American Airlines, Inc., 6.978%, 4/01/2011 USD 126,196 $ 124,679
Continental Airlines, Inc., 8.000%, 12/15/2005 150,000 137,250
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 359,474 336,482
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/2019 316,195 305,155
Continental Airlines, Inc., Series 2000-2A,
7.707%, 10/02/2022 507,869 493,504
Northwest Airlines Corp., Series 1999-2B,
7.950%, 3/01/2015 222,348 173,232
----------
1,570,302
----------
AUTOMOTIVE - 0.4%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 350,000 350,000
----------
CHEMICALS - 4.9%
IMC Global, Inc., 7.300%, 1/15/2028 1,460,000 1,474,600
IMC Global, Inc., 7.375%, 8/01/2018 400,000 420,000
Borden, Inc., 7.875%, 2/15/2023 999,000 809,190
Borden, Inc., 9.200%, 3/15/2021 2,231,000 2,063,675
----------
4,767,465
----------
CONSTRUCTION MACHINERY - 0.5%
Great Lakes Dredge & Dock Corp.,
7.750%, 12/15/2013 200,000 173,000
United Rentals North America, Inc.,
7.000%, 2/15/2014 395,000 350,563
----------
523,563
----------
ELECTRIC - 7.7%
AES Corp., 7.750%, 3/01/2014 1,185,000 1,223,512
AES Corp., 8.375%, 3/01/2011 GBP 405,000 741,096
AES Corp., 8.875%, 2/15/2011 USD 125,000 139,063
AES Corp., 8.875%, 11/01/2027 700,000 672,875
Calpine Canada Energy Finance, 8.750%, 10/15/2007 CAD 510,000 283,142
Calpine Corp., 7.625%, 4/15/2006 USD 65,000 60,125
Calpine Corp., 7.750%, 4/15/2009 255,000 163,200
Calpine Corp., 7.875%, 4/01/2008 350,000 236,250
Calpine Corp., 8.500%, 2/15/2011 300,000 192,000
Calpine Corp., 8.750%, 7/15/2011, 144A 565,000 426,575
Edison Mission Energy, 7.730%, 6/15/2009 775,000 813,750
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 225,000 229,346
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/2013 125,000 139,532
Enersis SA, 7.375%, 1/15/2014 1,125,000 1,179,129
Enersis SA, 7.400%, 12/01/2016 500,000 523,679
Quezon Power Philippines Co., 8.860%, 6/15/2017 461,250 415,125
----------
7,438,399
----------
ELECTRONICS - 8.6%
Corning, Inc., 5.900%, 3/15/2014 500,000 488,713
Corning, Inc., 6.200%, 3/15/2016 400,000 392,956
Corning, Inc., 6.750%, 9/15/2013 425,000 442,946
43
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
Principal Amount Value (a)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRONICS - CONTINUED
Corning, Inc., 6.850%, 3/01/2029 USD 701,000 $ 650,916
Lucent Technologies, Inc., 6.450%, 3/15/2029 3,415,000 2,766,150
Nortel Networks Corp., 6.875%, 9/01/2023 1,000,000 915,000
Northern Telecom Capital Corp., 7.875%, 6/15/2026 1,975,000 1,905,875
Amkor Technology, Inc., 7.125%, 3/15/2011 250,000 205,000
Amkor Technology, Inc., 7.750%, 5/15/2013 775,000 635,500
----------
8,403,056
----------
FOREIGN LOCAL GOVERNMENTS - 2.6%
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 30,000,000 2,490,427
----------
GOVERNMENT AGENCIES - 1.4%
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 250,000 153,029
Federal National Mortgage Association,
2.290%, 2/19/2009 2,000,000 1,172,945
----------
1,325,974
----------
INFORMATION/DATA TECHNOLOGY - 2.3%
Xerox Capital Trust I, 8.000%, 2/01/2027 USD 1,600,000 1,576,000
Xerox Corp., 7.200%, 4/01/2016 640,000 654,400
----------
2,230,400
----------
INTEGRATED/ENERGY - 2.9%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 1,450,000 1,413,750
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 1,435,000 1,413,475
----------
2,827,225
----------
LIFE INSURANCE - 2.2%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 3,700,000 2,176,612
----------
MEDIA CABLE - 3.5%
Charter Communications Holdings LLC,
9.625%, 11/15/2009 USD 1,000,000 787,500
Charter Communications Holdings LLC,
10.000%, 4/01/2009 100,000 81,000
Charter Communications Holdings LLC,
10.000%, 5/15/2011 800,000 616,000
CSC Holdings, Inc., 6.750%, 4/15/2012, 144A 500,000 501,250
Innova S de RL, 9.375%, 9/19/2013 200,000 217,500
NTL Cable Plc, 9.750%, 4/15/2014, 144A GBP 650,000 1,171,748
----------
3,374,998
----------
METALS & MINING - 1.2%
AK Steel Corp., 7.750%, 6/15/2012 USD 700,000 684,250
Vale Overseas Ltd., 8.250%, 1/17/2034 500,000 486,250
----------
1,170,500
----------
NON-CAPTIVE DIVERSIFIED - 0.4%
General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008 SGD 750,000 433,269
----------
OIL FIELD SERVICES - 0.6%
Pecom Energia SA, 8.125%, 7/15/2011, 144A USD 600,000 598,500
----------
44
Principal Amount Value (a)
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PACKAGING - 0.8%
Owens-Illinois, Inc., 7.800%, 5/15/2018 USD 525,000 $ 509,250
Solo Cup Co., 8.500%, 2/15/2014 250,000 246,250
----------
755,500
----------
PAPER - 3.2%
Abitibi-Consolidated, Inc., 5.250%, 6/20/2008 200,000 193,750
Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 250,000 230,000
Bowater, Inc., 6.500%, 6/15/2013 250,000 242,575
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/2028 925,000 957,375
Georgia-Pacific Group, 7.375%, 12/01/2025 650,000 692,250
Georgia-Pacific Group, 7.750%, 11/15/2029 500,000 537,500
Pope & Talbot, Inc., 8.375%, 6/01/2013 200,000 209,000
----------
3,062,450
----------
PHARMACEUTICALS - 0.3%
Pharma Services Intermediate Holding Corp.,
Zero Coupon Bond, 4/01/2014
(step to 11.500% on 4/01/09), 144A(d) 500,000 315,000
----------
PIPELINES - 6.7%
Coastal Corp., 6.375%, 2/01/2009 485,000 465,600
El Paso Corp., 5.750%, 3/14/2006 300,000 370,569
El Paso Corp., 7.000%, 5/15/2011 EUR 690,000 665,850
El Paso Energy, 7.800%, 8/01/2031 USD 500,000 438,750
Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 850,000 807,500
Williams Cos., Inc., 7.500%, 1/15/2031 3,725,000 3,743,625
----------
6,491,894
----------
RAILROADS - 0.4%
Missouri Pacific Railroad Co., 4.750%,
1/01/2020 30,000 25,235
Missouri Pacific Railroad Co., 5.000%,
1/01/2045 314,000 226,865
TFM SA de CV, 12.500%, 6/15/2012 125,000 138,750
----------
390,850
----------
RESTAURANTS - 0.5%
McDonald's Corp., 3.627%, 10/10/2010 SGD 750,000 454,513
----------
RETAILERS - 3.9%
Dillard's, Inc., 6.625%, 1/15/2018 USD 500,000 477,500
Dillard's, Inc., 7.000%, 12/01/2028 350,000 329,000
Dillard's, Inc., 7.130%, 8/01/2018 500,000 493,750
Dillard's, Inc., 7.750%, 7/15/2026 1,500,000 1,485,000
Woolworth Corp., 8.500%, 1/15/2022 910,000 969,150
----------
3,754,400
----------
SOVEREIGNS - 9.3%
Petroleos Mexicanos, 8.625%, 12/01/2023, 144A 275,000 310,750
Republic of Argentina, 8.875%, 3/01/2029(e) 700,000 159,565
Republic of Brazil, 8.250%, 1/20/2034 2,525,000 2,251,037
Republic of Brazil, 10.125%, 5/15/2027 675,000 715,500
Republic of Brazil, 10.250%, 6/17/2013 USD 700,000 774,550
Republic of Brazil C Bond, 8.000%, 4/15/2014 29,315 28,987
Republic of Dominican, 9.040%, 1/23/2013,
144A 710,000 550,250
Republic of Peru, 4.500%, 3/07/2017(f) 275,000 242,000
Republic of South Africa, 12.500%, 12/21/2006 ZAR 455,000 75,856
Republic of Uruguay, 7.500%, 3/15/2015 USD 1,133,000 1,002,705
45
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SOVEREIGNS - CONTINUED
Republic of Uruguay, 7.875%, 1/15/2033 USD 1,016,334 $ 818,149
Republic of Venezuela, 9.250%, 9/15/2027 2,125,000 2,094,187
-----------
9,023,536
-----------
SOVEREIGNS NON-CALLABLE - 2.9%
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 14,695,000 2,219,114
Kingdom of Norway, 6.750%, 1/15/2007 NOK 3,955,000 640,849
-----------
2,859,963
-----------
SUPRANATIONAL - 2.0%
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 BRL 11,000,000 1,915,670
-----------
TEXTILE - 0.2%
Phillips-Van Heusen Corp., 7.750%, 11/15/2023 USD 245,000 245,000
-----------
TRANSPORTATION SERVICES - 5.3%
American President Cos. Ltd., 8.000%, 1/15/2024 2,485,000 2,559,550
Atlas Air Worldwide Holdings, Inc., 7.200%,
1/02/2019(e) 975,832 917,813
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/2015(e) 397,855 282,332
Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/2011(e) 149,828 62,874
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 226,969 213,671
Atlas Air, Inc., Series B, 7.680%, 1/02/2014(e) 1,564,590 1,119,448
-----------
5,155,688
-----------
WIRELINES - 4.7%
AT&T Corp., 6.500%, 3/15/2029 127,000 108,268
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 1,100,000 1,028,500
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 200,000 156,500
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 1,400,000 1,071,000
Qwest Capital Funding, Inc., 7.900%, 8/15/2010 800,000 738,000
Qwest Communications International, Inc., Series B,
7.250%, 11/01/2008 25,000 22,375
Qwest Corp., 7.250%, 10/15/2035 225,000 192,937
US West Capital Funding, Inc., 6.500%, 11/15/2018 894,000 652,620
US West Capital Funding, Inc., 6.875%, 7/15/2028 775,000 556,062
-----------
4,526,262
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $69,943,412) 78,631,416
-----------
CONVERTIBLE BONDS - 5.8%
ELECTRONICS - 2.0%
Corning, Inc., 3.500%, 11/01/2008 675,000 793,125
Nortel Networks Corp., 4.250%, 9/01/2008 425,000 410,125
Richardson Electronics Ltd., 7.250%, 12/15/2006 150,000 150,000
Amkor Technology, Inc., 5.000%, 3/15/2007 705,000 588,675
-----------
1,941,925
-----------
INFORMATION/DATA TECHNOLOGY - 1.7%
Kulicke & Soffa Industries, Inc., 0.500%, 11/30/2008 225,000 158,063
Maxtor Corp., 5.750%, 3/01/2012 1,655,000 1,456,400
-----------
1,614,463
-----------
46
Principal Amount Value (a)
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PHARMACEUTICALS - 2.1%
Nektar Therapeutics, 3.500%, 10/17/2007 USD 850,000 $ 793,687
Vertex Pharmaceuticals, Inc., 5.750%, 2/15/2011, 144A 1,200,000 1,261,500
-----------
2,055,187
-----------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/2012 22,000 19,635
-----------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 8.000%, 8/15/2005(e) 75,000 8
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $4,787,324) 5,631,218
-----------
TOTAL BONDS AND NOTES
(Identified Cost $74,730,736) 84,262,634
-----------
Shares
- ---------------------------------------------------------------------------------------
COMMON STOCKS - 0.9% OF TOTAL NET ASSETS
IT SERVICES - 0.0%
Covad Communications Group, Inc.(c) 1,316 2,211
-----------
OIL & GAS - 0.2%
Pogo Producing Co. 4,148 196,822
-----------
REAL ESTATE - 0.7%
Associated Estates Realty Corp. 35,200 351,648
Developers Diversified Realty Corp. 7,125 278,944
-----------
630,592
-----------
TOTAL COMMON STOCKS
(Identified Cost $680,035) 829,625
-----------
PREFERRED STOCKS - 9.2% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.8%
CONSTRUCTION MACHINERY - 0.3%
United Rentals Trust, 6.500% 7,000 266,000
-----------
ELECTRIC - 0.3%
Pacific Gas & Electric Co., 5.000% 10,600 223,660
Pacific Gas & Electric Co., 5.500% 400 9,000
Pacific Gas & Electric Co., Series G, 4.800% 400 8,088
Southern California Edison Co., 4.320% 1,100 20,460
-----------
261,208
-----------
PIPELINES - 0.2%
El Paso Tennessee Pipeline Co., 8.250% 5,000 227,813
-----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $604,890) 755,021
-----------
CONVERTIBLE PREFERRED STOCKS - 8.4%
AUTOMOTIVE - 2.5%
Cummins Capital Trust I, 7.000%(c) 29,500 2,400,562
-----------
47
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
Shares Value (a)
- ----------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS - CONTINUED
ELECTRONICS - 0.9%
Lucent Technologies Capital Trust, 7.750% 800 $ 888,200
-----------
INDEPENDENT/ENERGY - 0.5%
Chesapeake Energy Corp. 6,500 520,813
-----------
LODGING - 0.3%
Host Marriott Financial Trust, 7.750% 6,000 315,000
-----------
PACKAGING - 1.0%
Owens-Illinois, Inc., 4.750% 28,300 986,255
-----------
WIRELINES - 3.2%
Philippine Long Distance Telephone Co., 3.500% GDS 61,950 3,082,012
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $5,287,525) 8,192,842
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $5,892,415) 8,947,863
-----------
Principal Amount
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 2.7% OF TOTAL NET ASSETS
Repurchase Agreement with State Street Corp.,
dated 9/30/04 at 0.650% to be repurchased at
$2,658,048 on 10/01/04 collateralized by
$1,895,000 U.S. Treasury Bond, 8.500% due
02/15/20 with a value of $2,716,956 $ 2,658,000 2,658,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $2,658,000) 2,658,000
-----------
TOTAL INVESTMENTS - 99.6%
(Identified Cost $83,961,186)(b) 96,698,122
Other assets less liabilities--0.4% 410,713
-----------
TOTAL NET ASSETS - 100% $97,108,835
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net
unrealized appreciation on
investments based on cost of
$84,097,867 for federal income
tax purposes was as follows:
Aggregate gross unrealized
appreciation for all
investments in which there is
an excess of value over tax
cost 13,813,457
Aggregate gross unrealized
depreciation for all
investments in which there is
an excess of tax cost over
value (1,213,202)
-----------
Net unrealized appreciation $12,600,255
-----------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $11,036,989 of which $590,889 expires on September 30, 2009,
$3,709,395 expires on September 30, 2010 and $6,736,705 expires on September
30, 2011. These amounts may be available to offset future realized capital
gains, if any, to the extent provided by regulations.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$6,195,665 in undistributed ordinary income and $0 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, defaulted bond income accruals, premium
amortization accruals and corporate action cost basis adjustments.
(c)Non-income producing security.
(d)Step Bond: Coupon is zero or below market rate for an initial period
and then increases at a specified date and rate.
(e)Non-income producing security due to default or bankruptcy filing.
(f)Variable rate security. The rate as of September 30, 2004 is disclosed.
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 September
30, 2004, the total value of these securities amounted to $10,139,410
or 10.44% of total net assets.
48
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
GDSGlobal Depositary Share is a certificate issued by a custodian bank
respresenting 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.
Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; EUR: Euro;
GBP: British Pound; MXN: Mexican Peso; NOK: Norwegian Krone; SGD: Singapore
Dollar; SEK: Swedish Krona; USD: United States Dollar, ZAR: South African
Rand.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Electronics 11.5%
Sovereigns 9.3
Electric 8.0
Wirelines 7.9
Pipelines 6.9
Transportation Services 5.3
Chemicals 4.9
Information/Data Technology 4.0
Retailers 3.9
Media Cable 3.5
Paper 3.2
Sovereigns Non-Callable 2.9
Integrated/Energy 2.9
Automotive 2.9
Foreign Local Governments 2.6
Pharmaceuticals 2.4
Life Insurance 2.2
Supranational 2.0
Other, less than 2% each 10.6
See accompanying notes to financial statements.
49
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
Principal Amount Value (a)
- -------------------------------------------------------------------------------------
BONDS AND NOTES - 95.2% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 95.2%
ASSET-BACKED SECURITIES - 1.1%
Community Program Loan Trust, Series 1987-A, Class A4,
4.500%, 10/01/2018 337,576 $ 345,619
----------
AUTOMOTIVE - 5.6%
DaimlerChrysler NA Holding, 4.750%, 1/15/2008 150,000 154,482
Ford Motor Credit Co., 7.000%, 10/01/2013 200,000 211,458
General Motors Acceptance Corp., 5.625%, 5/15/2009 600,000 611,649
General Motors Acceptance Corp., 6.875%, 8/28/2012 250,000 259,778
WFS Financial Trust, 3.540%, 11/21/2011 500,000 503,743
----------
1,741,110
----------
BANKING - 4.6%
Citigroup, Inc., 3.500%, 2/01/2008 400,000 400,999
J.P. Morgan Chase & Co., 3.625%, 5/01/2008 500,000 500,900
MBNA Corp., 4.625%, 9/15/2008 500,000 511,415
----------
1,413,314
----------
BEVERAGES - 1.3%
Cia Brasileira de Bebidas, 8.750%, 9/15/2013 350,000 395,500
----------
BROKERAGE - 1.6%
Goldman Sachs Group, Inc., 4.125%, 1/15/2008 500,000 509,635
----------
CHEMICALS - 0.8%
Eastman Chemical Co., 3.250%, 6/15/2008 255,000 249,447
----------
CONSTRUCTION MACHINERY - 0.8%
Caterpillar Financial Services Corp., 3.100%, 5/15/2007 235,000 234,482
----------
CONSUMER PRODUCTS - 0.8%
Bausch & Lomb, Inc., 6.500%, 8/01/2005 250,000 255,666
----------
ELECTRIC - 11.5%
CenterPoint Energy, Inc., 5.875%, 6/01/2008 240,000 250,541
Dominion Resources, Inc., 4.125%, 2/15/2008 540,000 547,171
Duke Energy Co., 5.625%, 11/30/2012 30,000 31,447
Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/2013 600,000 669,753
Exelon Generation Co. LLC, 6.950%, 6/15/2011 100,000 112,976
FirstEnergy Corp., Series B, 6.450%, 11/15/2011 350,000 381,804
Pacific Gas & Electric Co., 3.600%, 3/01/2009 500,000 494,168
Progress Energy, Inc., 5.850%, 10/30/2008 350,000 372,461
Progress Energy, Inc., 6.750%, 3/01/2006 200,000 210,031
Public Service New Mexico, 4.400%, 9/15/2008 500,000 507,060
----------
3,577,412
----------
ELECTRONICS - 2.8%
Motorola, Inc., 5.800%, 10/15/2008 200,000 213,191
Motorola, Inc., 8.000%, 11/01/2011 550,000 661,079
----------
874,270
----------
ENTERTAINMENT - 2.2%
AOL Time Warner, Inc., 6.125%, 4/15/2006 150,000 156,824
AOL Time Warner, Inc., 6.150%, 5/01/2007 500,000 531,432
----------
688,256
----------
50
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FINANCIAL SERVICES - 1.9%
General Electric Capital Corp., 2.800%, 1/15/2007 450,000 $ 447,237
International Lease Finance Corp., 5.750%, 2/15/2007 125,000 132,338
----------
579,575
----------
FOOD & BEVERAGE - 1.7%
Kraft Food, Inc., 5.250%, 6/01/2007 500,000 523,275
----------
HEALTHCARE - 1.3%
HCA, Inc., 5.250%, 11/06/2008 400,000 409,568
----------
INDEPENDENT/ENERGY - 0.7%
Pioneer Natural Resources Co., 6.500%, 1/15/2008 200,000 216,798
----------
INDUSTRIAL OTHER - 0.9%
IDEX Corp., 6.875%, 2/15/2008 250,000 270,802
----------
INTEGRATED/ENERGY - 2.2%
Pemex Project Funding Master Trust, 6.125%, 8/15/2008 400,000 420,000
Phillips Petroleum Co., 6.375%, 3/30/2009 250,000 276,973
----------
696,973
----------
MEDIA CABLE - 1.0%
Comcast Cable Communications, 6.200%, 11/15/2008 300,000 324,186
----------
MEDIA NON-CABLE - 2.6%
Clear Channel Communications, Inc., 3.125%, 2/01/2007 150,000 147,774
Clear Channel Communications, Inc., 4.625%, 1/15/2008 125,000 127,294
News America, Inc., 6.625%, 1/09/2008 500,000 545,188
----------
820,256
----------
MORTGAGE RELATED - 10.8%
Federal Home Loan Mortgage Corp., 5.500%, 3/01/2013 35,764 37,119
Federal Home Loan Mortgage Corp., 6.000%, 11/01/2012 67,988 71,394
Federal National Mortgage Association, 5.000%,
1/01/2019 644,786 656,456
Federal National Mortgage Association, 5.000%,
2/01/2019 944,504 960,810
Federal National Mortgage Association, 5.500%,
1/01/2017 127,758 132,381
Federal National Mortgage Association, 5.500%,
1/01/2017 147,922 153,215
Federal National Mortgage Association, 5.500%,
2/01/2017 75,297 78,022
Federal National Mortgage Association, 5.500%,
9/01/2017 386,558 400,391
Federal National Mortgage Association, 5.500%,
12/01/2018 645,861 668,540
Nomura Asset Securities Corp., 6.280%, 3/15/2030 191,853 200,756
----------
3,359,084
----------
NON-CAPTIVE CONSUMER - 3.8%
American General Finance Corp., 2.750%, 6/15/2008 350,000 338,180
Capital One Bank, 4.875%, 5/15/2008 400,000 414,294
Capital One Bank, 6.875%, 2/01/2006 225,000 236,579
Countrywide Home Loans, Inc., 3.250%, 5/21/2008 200,000 196,684
----------
1,185,737
----------
NON-CAPTIVE DIVERSIFIED - 1.4%
CIT Group, Inc., 3.375%, 4/01/2009 450,000 439,173
----------
OIL FIELD SERVICES - 2.4%
Halliburton Co., 5.625%, 12/01/2008 150,000 157,772
Halliburton Co., 6.000%, 8/01/2006 550,000 574,496
----------
732,268
----------
51
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PAPER - 4.9%
Boise Cascade Corp., 7.500%, 2/01/2008 500,000 $ 555,000
International Paper Co., 4.000%, 4/01/2010 350,000 341,985
MacMillan Bloedel Ltd., 6.750%, 2/15/2006 150,000 157,518
Temple-Inland, Inc., 6.750%, 3/01/2009 100,000 109,219
Weyerhaeuser Co., 6.000%, 8/01/2006 350,000 367,870
-----------
1,531,592
-----------
PIPELINES - 0.5%
Kinder Morgan, Inc., 6.650%, 3/01/2005 165,000 167,646
-----------
RAILROADS - 1.6%
Union Pacific Corp., 3.875%, 2/15/2009 500,000 497,529
-----------
REAL ESTATE INVESTMENT TRUSTS - 4.5%
American Health Properties, Inc., 7.500%, 1/15/2007 275,000 295,986
EOP Operating LP, 6.800%, 1/15/2009 500,000 550,104
Excel Realty Trust, Inc., 6.875%, 10/15/2004 250,000 250,300
Simon Property Group LP, 3.750%, 1/30/2009 300,000 295,050
-----------
1,391,440
-----------
RETAILERS - 2.2%
J.C. Penney Co., Inc., 7.600%, 4/01/2007 350,000 381,937
The May Department Stores Co., 3.950%, 7/15/2007,
144A 300,000 302,337
-----------
684,274
-----------
SOVEREIGNS - 3.0%
Republic of South Africa, 8.375%, 10/17/2006 400,000 437,000
United Mexican States, 4.625%, 10/08/2008 500,000 505,000
-----------
942,000
-----------
TOBACCO - 1.2%
Altria Group, Inc., 5.625%, 11/04/2008 350,000 357,367
-----------
TRANSPORTATION SERVICES - 1.4%
ERAC USA Finance Co., 6.800%, 2/15/2008, 144A 200,000 218,832
ERAC USA Finance Co., 7.350%, 6/15/2008, 144A 200,000 223,813
-----------
442,645
-----------
TREASURIES - 5.7%
U.S. Treasury Notes, 1.500%, 2/28/2005 800,000 798,687
U.S. Treasury Notes, 3.375%, 1/15/2007(c) 896,625 957,953
-----------
1,756,640
-----------
WIRELESS - 0.4%
AT&T Wireless Services, Inc., 7.500%, 5/01/2007 100,000 110,171
-----------
WIRELINES - 6.0%
Qwest Corp., 5.625%, 11/15/2008 150,000 147,000
Sprint Capital Corp., 6.375%, 5/01/2009 600,000 656,362
Telecom Italia Capital, 4.000%, 11/15/2008, 144A 400,000 402,248
Telus Corp., 8.000%, 6/01/2011 550,000 644,457
-----------
1,850,067
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $28,747,152) 29,573,777
-----------
TOTAL BONDS AND NOTES
(Identified Cost $28,747,152) 29,573,777
-----------
52
Principal Amount Value (a)
- ------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 4.5% OF TOTAL
NET ASSETS
Repurchase Agreement with State Street
Corp., dated 9/30/04 at 0.650% to be
repurchased at $1,398,025 on 10/01/04
collateralized by $1,045,000 U.S.
Treasury Bond, 7.625% due 2/15/25 with
a value of $1,430,671 $ 1,398,000 $ 1,398,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,398,000) 1,398,000
-----------
TOTAL INVESTMENTS - 99.7%
(Identified Cost $30,145,152)(b) 30,971,777
Other assets less liabilities--0.3% 79,693
-----------
TOTAL NET ASSETS - 100% $31,051,470
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net unrealized
appreciation on investments based on cost of
$30,295,481 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess of
value over tax cost $ 836,770
Aggregate gross unrealized depreciation for
all investments in which there is an excess of
tax cost over value (160,474)
---------
Net unrealized appreciation $ 676,296
---------
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$22,478 in undistributed ordinary income and $64,438 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees and premium amortization accruals.
(c)Treasury Inflation Protected Security (TIPS).
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 September
30, 2004, the total value of these securities amounted to $1,147,230 or
3.69% of total net assets.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Electric 11.5%
Mortgage Related 10.8
Wirelines 6.0
Treasuries 5.7
Automotive 5.6
Paper 4.9
Banking 4.6
Real Estate Investment Trusts 4.5
Non-Captive Consumer 3.8
Sovereigns 3.0
Electronics 2.8
Media Non-Cable 2.6
Oil Field Services 2.4
Integrated/Energy 2.2
Entertainment 2.2
Retailers 2.2
Other, less than 2% each 20.4
See accompanying notes to financial statements.
53
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
Principal Amount Value (a)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - 89.5% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 88.8%
AEROSPACE/DEFENSE - 1.5%
Raytheon Co., 6.400%, 12/15/2018 USD 2,500,000 $ 2,722,475
-----------
AIRLINES - 1.1%
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 549,784 514,619
Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/2019 843,187 813,748
US Airways, 6.850%, 1/30/2018 645,906 590,201
-----------
1,918,568
-----------
ASSET-BACKED SECURITIES - 1.3%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/2029 2,500,000 2,355,092
-----------
AUTOMOTIVE - 5.9%
Delphi Automotive Systems Corp., 7.125%, 5/01/2029 2,500,000 2,467,010
Ford Motor Co., 6.375%, 2/01/2029 3,350,000 2,944,372
Ford Motor Credit Co., 7.250%, 2/22/2005 GBP 250,000 455,610
Ford Motor Credit Co., 7.375%, 10/28/2009 USD 150,000 164,300
General Motors Acceptance Corp., 5.625%, 5/15/2009 2,500,000 2,548,540
General Motors Acceptance Corp., 6.625%, 10/15/2005 150,000 155,209
General Motors Acceptance Corp., 7.500%, 12/01/2006 NZD 1,500,000 1,002,733
General Motors Corp., 6.750%, 5/01/2028 USD 700,000 656,938
-----------
10,394,712
-----------
BANKING - 2.5%
Bank of America Corp., 7.200%, 4/15/2006 150,000 159,740
Citigroup, Inc., 3.500%, 2/01/2008 2,000,000 2,004,996
Commercial Credit Co., 6.500%, 6/01/2005 150,000 153,900
FleetBoston Financial Corp., 7.375%, 12/01/2009 175,000 201,282
J.P. Morgan Chase & Co., 4.000%, 2/01/2008 1,000,000 1,015,177
Keycorp Capital II, 6.875%, 3/17/2029 500,000 532,932
Wachovia Corp., 3.500%, 8/15/2008 150,000 149,543
Wells Fargo & Co., 6.375%, 8/01/2011 175,000 195,110
-----------
4,412,680
-----------
BEVERAGES - 0.6%
Cia Brasileira de Bebidas, 8.750%, 9/15/2013 1,025,000 1,158,250
-----------
BROKERAGE - 0.6%
Morgan Stanley, 3.625%, 4/01/2008 1,000,000 1,002,106
-----------
CONSUMER PRODUCTS - 0.7%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 1,250,000 1,321,720
-----------
ELECTRIC - 2.6%
Commonwealth Edison Co., 4.750%, 12/01/2011 81,000 81,048
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 1,000,000 1,019,316
Enersis SA, 7.400%, 12/01/2016 3,300,000 3,456,281
-----------
4,556,645
-----------
ELECTRONICS - 0.9%
Motorola, Inc., 5.800%, 10/15/2008 200,000 213,191
Motorola, Inc., 6.500%, 11/15/2028 500,000 519,175
Motorola, Inc., 7.625%, 11/15/2010 250,000 292,557
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 500,000 560,692
-----------
1,585,615
-----------
54
Principal Amount Value (a)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOREIGN LOCAL GOVERNMENTS - 13.2%
Milit-Air, Inc., 5.750%, 6/30/2019 CAD 1,559,007 $ 1,294,055
Province of Alberta, 5.000%, 12/16/2008 2,000,000 1,648,618
Province of Alberta, 5.930%, 9/16/2016 555,594 470,394
Province of British Columbia, 5.250%, 12/01/2006 600,000 494,490
Province of British Columbia, 6.000%, 6/09/2008 3,175,000 2,702,219
Province of British Columbia, 6.250%, 12/01/2009 290,000 251,118
Province of Manitoba, 5.750%, 6/02/2008 5,575,000 4,705,975
Province of Ontario, 5.900%, 3/08/2006 3,530,000 2,907,207
Province of Saskatchewan,
Zero Coupon Bond, 4/10/2014 2,500,000 1,221,319
Province of Saskatchewan, 6.000%, 6/01/2006 5,215,000 4,324,829
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 39,500,000 3,279,062
-----------
23,299,286
-----------
GOVERNMENT AGENCIES - 6.0%
Federal Home Loan Mortgage Corp.,
4.625%, 2/15/2007 EUR 1,600,000 2,068,768
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/2007 NZD 6,850,000 3,794,386
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 8,000,000 4,691,781
-----------
10,554,935
-----------
HEALTHCARE - 2.3%
Columbia/HCA Healthcare Corp., 7.050%,
12/01/2027 USD 100,000 97,213
Columbia/HCA Healthcare Corp., 7.750%, 7/15/2036 250,000 261,238
HCA, Inc., 5.750%, 3/15/2014 1,000,000 991,353
HCA, Inc., 6.250%, 2/15/2013 150,000 154,609
HCA, Inc., 6.300%, 10/01/2012 2,450,000 2,540,084
-----------
4,044,497
-----------
HOME CONSTRUCTION - 1.7%
Pulte Corp., 7.300%, 10/24/2005 200,000 208,947
Pulte Corp., 7.625%, 10/15/2017 1,000,000 1,163,389
Pulte Homes, Inc., 6.375%, 5/15/2033 1,000,000 983,146
Pulte Homes, Inc., 7.875%, 6/15/2032 500,000 588,556
-----------
2,944,038
-----------
INDEPENDENT/ENERGY - 0.0%
Union Oil Co., 7.500%, 2/15/2029 45,000 53,645
-----------
INFORMATION/DATA TECHNOLOGY - 0.4%
Dell Corp., 7.100%, 4/15/2028 450,000 531,712
Hewlett-Packard Co., 3.625%, 3/15/2008 150,000 150,490
-----------
682,202
-----------
INTEGRATED/ENERGY - 1.1%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 500,000 487,500
Conoco, Inc., 6.350%, 4/15/2009 175,000 193,783
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 500,000 568,500
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 700,000 689,500
-----------
1,939,283
-----------
LIFE INSURANCE - 1.4%
ASIF Global Financing XXVII, 2.380%,
2/26/2009, 144A SGD 4,200,000 2,470,749
-----------
55
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MEDIA NON-CABLE - 0.1%
Clear Channel Communications, Inc.,
5.750%, 1/15/2013 USD 250,000 $ 256,780
----------
METALS & MINING - 0.1%
Teck Cominco Ltd., 7.000%, 9/15/2012, 144A 100,000 110,093
----------
MORTGAGE RELATED - 0.3%
Federal National Mortgage Association,
5.000%, 2/01/2018 219,804 223,936
Federal National Mortgage Association,
5.500%, 9/01/2016 183,799 190,451
Federal National Mortgage Association,
6.000%, 10/01/2028 46,673 48,439
Federal National Mortgage Association,
6.500%, 2/01/2011 23,599 25,012
----------
487,838
----------
NON-CAPTIVE DIVERSIFIED - 0.1%
General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008 SGD 250,000 144,423
----------
OIL FIELD SERVICES - 0.3%
Global Marine, Inc., 7.000%, 6/01/2028 USD 250,000 281,691
Pecom Energia SA, 8.125%, 7/15/2010, 144A 332,000 331,170
----------
612,861
----------
PAPER - 2.2%
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/2028 1,500,000 1,552,500
International Paper Co., 4.000%, 4/01/2010 500,000 488,550
International Paper Co., 4.250%, 1/15/2009 1,000,000 1,003,440
MacMillan Bloedel Ltd., 7.700%, 2/15/2026 305,000 349,189
Weyerhaeuser Co., 6.950%, 10/01/2027 500,000 545,617
----------
3,939,296
----------
PIPELINES - 2.8%
Coastal Corp., 6.375%, 2/01/2009 125,000 120,000
Coastal Corp., 6.950%, 6/01/2028 350,000 281,750
El Paso Corp., 7.000%, 5/15/2011 1,125,000 1,085,625
El Paso Energy Corp., 6.750%, 5/15/2009 250,000 248,750
KN Capital Trust, 7.630%, 4/15/2028 2,000,000 2,195,682
KN Energy, Inc., 7.250%, 3/01/2028 1,000,000 1,112,635
----------
5,044,442
----------
PROPERTY & CASUALTY INSURANCE - 0.5%
Aon Corp., 7.375%, 12/14/2012 575,000 661,288
Progressive Corp., 6.625%, 3/01/2029 35,000 38,919
Progressive Corp., 7.000%, 10/01/2013 150,000 173,152
----------
873,359
----------
RAILROADS - 0.5%
Canadian Pacific Railway Ltd., 4.900%, 6/15/2010,
144A CAD 1,000,000 796,375
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 USD 175,000 126,438
----------
922,813
----------
56
Principal Amount Value (a)
- -------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - 1.7%
EOP Operating LP, 6.750%, 2/15/2012 USD 250,000 $ 277,033
First Industrial LP, 7.600%, 7/15/2028 1,250,000 1,385,285
Highwoods Realty LP, 7.500%, 4/15/2018 1,000,000 1,055,590
Spieker Properties, Inc., 7.500%, 10/01/2027 234,000 262,630
-----------
2,980,538
-----------
REFINING - 0.3%
Merey Sweeny LP, 8.850%, 12/18/2019, 144A 493,749 590,673
-----------
RESTAURANTS - 0.2%
McDonald's Corp., 3.627%, 10/10/2010 SGD 500,000 303,009
-----------
RETAILERS - 0.2%
Target Corp., 5.875%, 3/01/2012 USD 150,000 163,278
Wal-Mart Stores, Inc., 6.875%, 8/10/2009 200,000 226,822
-----------
390,100
-----------
SOVEREIGNS - 11.9%
Canadian Government, 4.250%, 9/01/2008 CAD 3,600,000 2,901,985
Canadian Government, 4.500%, 9/01/2007 4,070,000 3,313,813
Canadian Government, 6.000%, 9/01/2005 6,870,000 5,603,067
Canadian Government, Series WH31,
6.000%, 6/01/2008 500,000 427,013
Republic of Brazil C Bond, 8.000%, 4/15/2014 USD 586,384 579,816
Republic of South Africa, 8.500%, 6/23/2017 1,125,000 1,366,875
Republic of South Africa, 12.500%, 12/21/2006 ZAR 5,840,000 973,620
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 500,000 308,231
Tenaga Nasional Berhad, 7.500%, 11/01/2025, 144A USD 3,390,000 3,809,021
United Mexican States, 7.500%, 1/14/2012 905,000 1,019,935
United Mexican States, 8.300%, 8/15/2031 750,000 853,125
-----------
21,156,501
-----------
SOVEREIGNS NON-CALLABLE - 5.5%
Government of Sweden, 5.250%, 3/15/2011 SEK 12,225,000 1,793,600
Government of Sweden, 6.500%, 5/05/2008 35,315,000 5,332,971
Kingdom of Norway, 5.500%, 5/15/2009 NOK 10,000,000 1,611,323
Kingdom of Norway, 6.750%, 1/15/2007 5,710,000 925,221
-----------
9,663,115
-----------
SUPRANATIONAL - 4.9%
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 BRL 9,000,000 1,567,366
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/2007 NZD 9,650,000 5,443,463
International Bank for Reconstruction & Development,
5.000%, 11/03/2008 1,000,000 659,744
International Bank for Reconstruction & Development,
8.000%, 5/23/2007 1,505,000 1,052,643
-----------
8,723,216
-----------
TAXABLE MUNICIPAL - 0.7%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/2016 USD 2,500,000 1,324,125
-----------
TEXTILE - 0.6%
Kellwood Co., 7.625%, 10/15/2017 1,000,000 1,099,586
-----------
57
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
Principal Amount Value (a)
- -------------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TRANSPORTATION SERVICES - 1.6%
American President Cos. Ltd., 8.000%, 1/15/2024 USD 100,000 $ 103,000
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/2019(c) 216,457 203,587
Atlas Air, Inc., Series B, 7.680%, 1/02/2014(c) 3,429,237 2,453,585
------------
2,760,172
------------
TREASURIES - 7.6%
U.S. Treasury Notes, 1.875%, 12/31/2005 13,500,000 13,430,920
------------
WIRELESS - 0.3%
America Movil SA de CV, 4.125%, 3/01/2009, 144A 500,000 487,496
------------
WIRELINES - 2.6%
Sprint Capital Corp., 6.875%, 11/15/2028 3,750,000 3,933,349
Sprint Capital Corp., 6.900%, 5/01/2019 250,000 273,708
US West Capital Funding, Inc., 6.500%, 11/15/2018 500,000 365,000
------------
4,572,057
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $142,660,634) 157,289,911
------------
CONVERTIBLE BONDS - 0.7%
ELECTRONICS - 0.0%
Richardson Electronics Ltd., 7.250%, 12/15/2006 50,000 50,000
------------
INDEPENDENT/ENERGY - 0.4%
Devon Energy Corp., 4.900%, 8/15/2008 200,000 216,750
Devon Energy Corp., 4.950%, 8/15/2008 500,000 541,875
------------
758,625
------------
INFORMATION/DATA TECHNOLOGY - 0.1%
Maxtor Corp., 5.750%, 3/01/2012 70,000 61,600
------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc., 6.500%, 5/01/2011(c) 129,000 13
------------
WIRELINES - 0.2%
Telus Corp., 6.750%, 6/15/2010, 144A CAD 350,000 290,082
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $1,143,655) 1,160,320
------------
TOTAL BONDS AND NOTES
(Identified Cost $143,804,289) 158,450,231
------------
Shares
- -------------------------------------------------------------------------------------------
PREFERRED STOCKS - 1.2% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.7%
ELECTRIC - 0.7%
Central Illinois Light Co., 4.500% 100 8,000
Connecticut Light & Power Co., 2.200% 263 10,093
Dayton Power & Light Co., 3.750% 701 39,607
Del Marva Power & Light Co., 4.000% 350 22,050
Duquesne Light Co., 4.000% 300 9,840
MDU Resources Group, Inc., 5.100% 720 72,045
58
Shares Value (a)
- -------------------------------------------------------------------------
PREFERRED STOCKS - CONTINUED
ELECTRIC - CONTINUED
Northern Indiana Public Service Co.,
4.250% 2,410 $ 178,340
Pacific Gas & Electric Co., 5.500% 100 2,250
Pacific Gas & Electric Co., Series D,
5.000% 25,100 533,375
PSI Energy, Inc., 4.320% 200 4,302
Public Service Electric & Gas Co.,
4.080% 400 29,800
San Diego Gas & Electric Co., 4.500% 100 1,575
Southern California Edison Co., 4.320% 1,292 24,031
Union Electric Co., 4.500% 4,410 345,082
------------
1,280,390
------------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $957,309) 1,280,390
------------
CONVERTIBLE PREFERRED STOCKS - 0.5%
CONSUMER PRODUCTS - 0.5%
Newell Financial Trust I, 5.250% 22,000 965,250
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $827,153) 965,250
------------
TOTAL PREFERRED STOCKS
(Identified Cost $1,784,462) 2,245,640
------------
Principal Amount
- -------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 8.0% OF TOTAL NET
ASSETS
Repurchase Agreement with State Street
Corp., dated 9/30/04 at 0.650% to be
repurchased at $14,131,255 on 10/01/04
collateralized by $10,055,000 U.S.
Treasury Bond, 8.500% due 2/15/20 with
a value of $14,416,356 $ 14,131,000 14,131,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $14,131,000) 14,131,000
------------
TOTAL INVESTMENTS - 98.7%
(Identified Cost $159,719,751)(b) 174,826,871
Other assets less liabilities--1.3% 2,267,289
------------
TOTAL NET ASSETS - 100% $177,094,160
------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information: At September 30, 2004, the net unrealized
appreciation on investments based on cost of $160,337,351 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess
of value over tax cost $16,198,469
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over value (1,708,949)
-----------
Net unrealized appreciation $14,489,520
-----------
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$2,982,373 in undistributed ordinary income and $3,332,328 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees, premium amortization accruals and defaulted
bond income accruals.
(c)Non-income producing security due to default or bankruptcy filing.
144ASecuritiesexempt 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
September 30, 2004, the total value of these securities amounted
to $10,623,351 or 6.00% of total net assets.
Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; EUR: Euro;
GBP: Great British Pound; MXN: Mexican Peso; NZD: New Zealand Dollar; NOK:
Norwegian Krone; SGD: Singapore Dollar; SEK: Swedish Krona; USD: United
States Dollar; ZAR: South Africa Rand.
See accompanying notes to financial statements.
59
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Foreign Local Governments 13.2%
Sovereigns 11.9
Treasuries 7.6
Government Agencies 6.0
Automotive 5.9
Sovereigns Non-Callable 5.5
Supranational 4.9
Electric 3.3
Pipelines 2.8
Wirelines 2.8
Banking 2.5
Healthcare 2.3
Paper 2.2
Other, less than 2% each 19.8
See accompany notes to financial statements.
60
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
Principal Amount Value (a)
- -----------------------------------------------------------------------------
BONDS AND NOTES - 99.4% OF TOTAL NET ASSETS
MORTGAGE RELATED - 14.2%
Federal National Mortgage Association, 4.500%,
9/01/2033 439,961 $ 424,785
Federal National Mortgage Association, 5.500%,
2/01/2034 399,106 405,265
Federal National Mortgage Association, 6.500%,
11/01/2031 210,081 220,511
----------
1,050,561
----------
TREASURIES - 85.2%
U.S. Treasury Bonds, 7.250%, 5/15/2016 1,055,000 1,328,064
U.S. Treasury Notes, 1.625%, 9/30/2005 1,635,000 1,625,995
U.S. Treasury Notes, 2.375%, 1/15/2025(c) 1,527,357 1,591,136
U.S. Treasury Notes, 3.250%, 8/15/2008 310,000 311,465
U.S. Treasury Notes, 5.000%, 2/15/2011 1,335,000 1,435,281
----------
6,291,941
----------
TOTAL BONDS AND NOTES
(Identified Cost $7,189,151) 7,342,502
----------
TOTAL INVESTMENTS - 99.4%
(Identified Cost $7,189,151)(b) 7,342,502
Other assets less liabilities--0.6% 47,509
----------
TOTAL NET ASSETS - 100% $7,390,011
----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net
unrealized appreciation on
investments based on cost of
$7,239,720 for federal income
tax purposes was as follows:
Aggregate gross unrealized
appreciation for all investments
which there is an excess of value
over tax cost $115,651
Aggregate gross unrealized
depreciation for all investments in
which there is an excess of tax cost
over value (12,869)
--------
Net unrealized appreciation $102,782
--------
(c)Treasury Inflation Protected Security (TIPS).
For the year ended September 30, 2004, the Fund elected to defer $34,303 of
capital losses attributable to Post-October losses.
At September 30, 2004, the components of distributable earnings, excluding
unrealized appreciation/depreciation, disclosed on a tax basis consisted of
$2,314 in undistributed ordinary income and $0 in undistributed long-term
gains.
The differences between book and tax distributable earnings are primarily
due to deferred trustees' fees and premium amortization accruals.
INDUSTRY HOLDINGS AT SEPTEMBER 30, 2004 AS A PERCENTAGE OF NET ASSETS
Treasuries 85.2%
Mortgage Related 14.2
61
See accompanying notes to financial statements.
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2004
BENCHMARK CORE FIXED
BOND FUND BOND FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------
ASSETS
Investments at cost $ 12,012,733 $2,453,464,236 $ 320,573,976
Net unrealized appreciation 91,312 203,665,110 36,351,443
-------------- -------------- --------------
Investments at value 12,104,045 2,657,129,346 356,925,419
Cash 516,229 717,824 97
Foreign cash at value (identified cost $0, $0, $0, $311,081,
$0, $0, $25, $0) -- -- --
Receivable for Fund shares sold -- 8,972,954 --
Receivable for securities sold -- 7,139,875 474,248
Dividends and interest receivable 98,246 33,413,641 4,958,091
Receivable from investment adviser 8,709 218,404 --
-------------- -------------- --------------
TOTAL ASSETS 12,727,229 2,707,592,044 362,357,855
-------------- -------------- --------------
LIABILITIES
Payable for securities purchased 248,504 27,722,397 2,219,176
Payable for forward commitments 128,651 -- --
Payable for Fund shares redeemed -- 9,688,704 1,168,041
Payable for forward foreign currency exchange contracts -- -- --
Foreign taxes payable -- 69,288 7,373
Management fees payable 3,015 1,280,919 174,997
Deferred Trustees' fees 4,461 63,088 12,807
Trustees' fees payable 1,645 5,748 1,937
Service and distribution fees payable 1 2,239 --
Transfer agent fees payable 2,507 84,371 3,238
Accounting and administrative fees payable 3,404 445,754 76,728
Other accounts payable and accrued expenses 28,409 383,299 41,860
-------------- -------------- --------------
TOTAL LIABILITIES 420,597 39,745,807 3,706,157
-------------- -------------- --------------
NET ASSETS $ 12,306,632 $2,667,846,237 $ 358,651,698
============== ============== ==============
Net assets consist of:
Paid in capital $ 12,342,356 $2,555,584,627 $ 314,284,935
Undistributed (overdistributed) net investment income
(loss) 646,839 44,808,883 28,410,055
Accumulated net realized gain (loss) on investments (773,875) (136,507,668) (20,431,897)
Net unrealized appreciation of investments 91,312 203,960,395 36,388,605
-------------- -------------- --------------
NET ASSETS $ 12,306,632 $2,667,846,237 $ 358,651,698
============== ============== ==============
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS:
Net assets $ 12,115,210 $2,365,199,030 $ 358,651,698
============== ============== ==============
Shares of beneficial interest 1,150,326 175,760,005 25,745,975
============== ============== ==============
Net asset value and redemption price per share $ 10.53 $ 13.46 $ 13.93
============== ============== ==============
RETAIL CLASS:
Net assets $ 191,422 $ 275,348,662 $ --
============== ============== ==============
Shares of beneficial interest 18,245 20,488,832 --
============== ============== ==============
Net asset value and redemption price per share $ 10.49 $ 13.44 $ --
============== ============== ==============
ADMIN CLASS:
Net assets $ -- $ 27,298,545 $ --
============== ============== ==============
Shares of beneficial interest -- 2,034,631 --
============== ============== ==============
Net asset value and redemption price per share $ -- $ 13.42 $ --
============== ============== ==============
See accompanying notes to financial statements.
62
GLOBAL INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE U.S. GOVERNMENT
BOND FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND SECURITIES FUND
- ---------------------------------------------------------------------------------------------
$ 670,351,791 $ 83,961,186 $ 30,145,152 $ 159,719,751 $ 7,189,151
18,597,748 12,736,936 826,625 15,107,120 153,351
- ---------------------------------------------------------------------------------------------
688,949,539 96,698,122 30,971,777 174,826,871 7,342,502
75 358,683 503 2 22,704
314,387 -- -- 27 --
2,796,982 7,078 -- -- 48
7,805,434 243,680 -- -- --
11,245,966 1,494,887 376,006 2,405,888 51,081
87,243 13,454 3,894 197 8,786
- ---------------------------------------------------------------------------------------------
711,199,626 98,815,904 31,352,180 177,232,985 7,425,121
- ---------------------------------------------------------------------------------------------
8,035,066 1,584,357 252,267 -- --
-- -- -- -- --
701,739 3,700 -- -- 19
376,307 -- -- -- --
-- 9,566 -- -- --
332,143 47,246 7,652 57,340 1,868
14,398 6,070 4,750 7,741 4,187
82 1,711 1,659 1,772 1,640
2,797 -- -- -- --
22,162 1,500 1,345 1,778 1,463
82,646 17,722 7,091 32,662 2,017
150,178 35,197 25,946 37,532 23,916
- ---------------------------------------------------------------------------------------------
9,717,518 1,707,069 300,710 138,825 35,110
- ---------------------------------------------------------------------------------------------
$ 701,482,108 $ 97,108,835 $ 31,051,470 $ 177,094,160 $ 7,390,011
- ---------------------------------------------------------------------------------------------
$ 666,070,746 $ 89,548,944 $ 30,293,008 $ 156,350,656 $ 7,323,405
18,230,620 5,992,899 17,728 2,774,424 (1,873)
(1,176,822) (11,173,670) (85,891) 2,835,407 (84,872)
18,357,564 12,740,662 826,625 15,133,673 153,351
- ---------------------------------------------------------------------------------------------
$ 701,482,108 $ 97,108,835 $ 31,051,470 $ 177,094,160 $ 7,390,011
- ---------------------------------------------------------------------------------------------
$ 287,830,370 $ 97,108,835 $ 31,051,470 $ 177,094,160 $ 7,390,011
- ---------------------------------------------------------------------------------------------
18,462,969 12,940,898 3,129,824 13,078,359 670,768
- ---------------------------------------------------------------------------------------------
$ 15.59 $ 7.50 $ 9.92 $ 13.54 $ 11.02
- ---------------------------------------------------------------------------------------------
$ 413,651,738 $ -- $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------
26,753,359 -- -- -- --
- ---------------------------------------------------------------------------------------------
$ 15.46 $ -- $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------
-- -- -- -- --
- ---------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
63
STATEMENTS OF OPERATIONS
For the Year Ended September 30, 2004
BENCHMARK CORE FIXED
BOND FUND BOND FUND INCOME FUND
- --------------------------------------------------------------------------------------------------------------
Investment Income
Dividends......................................................... $ -- $ 5,914,885 $ 1,034,948
Interest.......................................................... 800,897 140,715,823 25,846,756
Less foreign taxes withheld....................................... -- (274,331) (29,493)
------------ ------------ ------------
800,897 146,356,377 26,852,211
------------ ------------ ------------
EXPENSES
Management fees................................................... 58,532 14,085,400 1,967,326
Service and distribution fees--Retail Class....................... 268 529,511 --
Service and distribution fees--Admin Class........................ -- 92,222 --
Trustees' fees and expenses....................................... 9,771 130,833 28,693
Accounting and administrative..................................... 12,802 1,540,403 258,180
Custodian......................................................... 55,768 808,547 168,683
Transfer agent fees--Institutional Class, Retail Class, Admin
Class........................................................... 26,776 849,938 43,163
Audit and tax services............................................ 30,443 70,274 33,719
Registration--Institutional Class, Retail Class, Admin Class...... 30,090 149,079 15,974
Shareholder reporting............................................. 1,461 492,570 7,095
Legal............................................................. 1,128 149,274 24,238
Miscellaneous..................................................... 8,098 287,762 63,004
------------ ------------ ------------
Total expenses.................................................... 235,137 19,185,813 2,610,075
Less reimbursement/waiver......................................... (147,072) (957,447) (52,551)
------------ ------------ ------------
Net expenses...................................................... 88,065 18,228,366 2,557,524
------------ ------------ ------------
Net investment income............................................. 712,832 128,128,011 24,294,687
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
REALIZED GAIN (LOSS) ON:
Investments--net.................................................. (228,122) 123,510,764 21,412,567
Foreign currency transactions--net................................ -- 681,147 119,156
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments--net.................................................. (131,902) 2,561,577 (1,796,703)
Foreign currency translations--net................................ -- 94,652 (14,610)
------------ ------------ ------------
Net realized and unrealized gain (loss) on investments and foreign
currency transactions........................................... (360,024) 126,848,140 19,720,410
------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 352,808 $254,976,151 $ 44,015,097
============ ============ ============
See accompanying notes to financial statements.
64
GLOBAL INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE U.S. GOVERNMENT
BOND FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND SECURITIES FUND
- ----------------------------------------------------------------------------------------------
$ -- $ 423,814 $ -- $ 266,603 $ --
16,902,969 7,335,959 1,623,418 8,828,245 314,642
(1,224) (35,638) -- (255) --
- ----------------------------------------------------------------------------------------------
16,901,745 7,724,135 1,623,418 9,094,593 314,642
- ----------------------------------------------------------------------------------------------
2,575,612 551,345 98,780 652,322 24,619
610,714 -- -- -- --
-- -- -- -- --
28,021 13,408 10,424 16,995 9,162
281,673 60,296 21,605 107,008 5,385
266,062 61,158 42,590 94,643 32,157
155,410 15,307 14,532 18,879 17,382
42,083 37,488 27,911 32,176 24,504
127,964 20,944 18,868 23,161 20,246
103,437 7,578 4,014 4,233 8,386
28,065 22,484 1,987 10,003 495
28,985 16,990 9,320 25,622 --
- ----------------------------------------------------------------------------------------------
4,248,026 806,998 250,031 985,042 142,336
(220,813) (117,817) (101,861) (88,099) (101,305)
- ----------------------------------------------------------------------------------------------
4,027,213 689,181 148,170 896,943 41,031
- ----------------------------------------------------------------------------------------------
12,874,532 7,034,954 1,475,248 8,197,650 273,611
- ----------------------------------------------------------------------------------------------
6,043,468 8,338,953 663,256 6,262,798 31,119
684,658 9,591 -- 71,129 --
8,172,078 290,665 (1,053,312) 2,696,126 (138,586)
(296,703) (111) -- 4,648 --
- ----------------------------------------------------------------------------------------------
14,603,501 8,639,098 (390,056) 9,034,701 (107,467)
- ----------------------------------------------------------------------------------------------
$ 27,478,033 $ 15,674,052 $ 1,085,192 $ 17,232,351 $ 166,144
- ----------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
65
STATEMENTS OF CHANGES IN NET ASSETS
Benchmark Core Bond Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 712,832 $ 789,884
Net realized gain (loss) on investments and foreign currency transactions (228,122) 979,907
Change in unrealized appreciation (depreciation) of investments (131,902) (655,947)
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 352,808 1,113,844
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (1,018,266) (657,294)
Retail Class (3,038) (619)
Admin Class -- (377)
- ----------------------------------------------------------------------------------------------------------------
Total distributions (1,021,304) (658,290)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (5,814,825) 716,130
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (6,483,321) 1,171,684
NET ASSETS
Beginning of period 18,789,953 17,618,269
- ----------------------------------------------------------------------------------------------------------------
End of period $12,306,632 $18,789,953
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 646,839 $ 791,646
------------------ ------------------
Bond Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 128,128,011 $ 106,476,716
Net realized gain (loss) on investments and foreign currency transactions 124,191,911 (8,850,576)
Change in unrealized appreciation (depreciation) of investments 2,656,229 323,663,649
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 254,976,151 421,289,789
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (122,491,180) (102,850,567)
Retail Class (12,266,630) (6,701,077)
Admin Class (1,087,236) (613,900)
- ----------------------------------------------------------------------------------------------------------------
Total distributions (135,845,046) (110,165,544)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 662,426,985 334,519,643
- ----------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class 116,091 --
Retail Class 12,649 --
Admin Class 1,085 --
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 781,687,915 645,643,888
NET ASSETS
Beginning of period 1,886,158,322 1,240,514,434
- ----------------------------------------------------------------------------------------------------------------
End of period $2,667,846,237 $1,886,158,322
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 44,808,883 $ 1,801,699
------------------ ------------------
See accompanying notes to financial statements.
66
Fixed Income Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 24,294,687 $ 26,848,591
Net realized gain (loss) on investments and foreign currency transactions 21,531,723 3,436,448
Change in unrealized appreciation (depreciation) of investments (1,811,313) 73,616,355
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 44,015,097 103,901,394
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (28,854,737) (29,163,220)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (69,029,922) (34,358,387)
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (53,869,562) 40,379,787
NET ASSETS
Beginning of period 412,521,260 372,141,473
- ----------------------------------------------------------------------------------------------------------------
End of period $358,651,698 $412,521,260
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 28,410,055 $ 21,823,582
------------------ ------------------
Global Bond Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 12,874,532 $ 3,973,757
Net realized gain (loss) on investments and foreign currency transactions 6,728,126 4,325,616
Change in unrealized appreciation (depreciation) of investments 7,875,375 8,309,927
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 27,478,033 16,609,300
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (4,387,120) (2,178,435)
Retail Class (4,027,328) (558,936)
- ----------------------------------------------------------------------------------------------------------------
Total distributions (8,414,448) (2,737,371)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 543,523,250 68,027,580
- ----------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class 34,242 --
Retail Class 48,665 --
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 562,669,742 81,899,509
NET ASSETS
Beginning of period 138,812,366 56,912,857
- ----------------------------------------------------------------------------------------------------------------
End of period $701,482,108 $138,812,366
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 18,230,620 $ 6,260,268
------------------ ------------------
See accompanying notes to financial statements.
67
STATEMENTS OF CHANGES IN NET ASSETS
Institutional High Income Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 7,034,954 $ 7,131,139
Net realized gain (loss) on investments and foreign currency transactions 8,348,544 (519,005)
Change in unrealized appreciation (depreciation) of investments 290,554 20,673,751
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 15,674,052 27,285,885
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (7,853,152) (2,101,149)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 3,146,903 3,901,310
- ----------------------------------------------------------------------------------------------------------------
REDEMPTION FEES
Institutional Class -- 19
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 10,967,803 29,086,065
NET ASSETS
Beginning of period 86,141,032 57,054,967
- ----------------------------------------------------------------------------------------------------------------
End of period $97,108,835 $86,141,032
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 5,992,899 $ 5,760,057
------------------ ------------------
Intermediate Duration Fixed Income Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 1,475,248 $ 1,952,851
Net realized gain (loss) on investments and foreign currency transactions 663,256 22,348
Change in unrealized appreciation (depreciation) of investments (1,053,312) 1,935,960
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 1,085,192 3,911,159
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (1,737,677) (2,022,513)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (5,398,608) (5,520,543)
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (6,051,093) (3,631,897)
NET ASSETS
Beginning of period 37,102,563 40,734,460
- ----------------------------------------------------------------------------------------------------------------
End of period $31,051,470 $37,102,563
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 17,728 $ 127,749
------------------ ------------------
See accompanying notes to financial statements.
68
Investment Grade Fixed Income Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 8,197,650 $ 8,460,061
Net realized gain (loss) on investments and foreign currency transactions 6,333,927 5,426,945
Change in unrealized appreciation (depreciation) of investments 2,700,774 14,862,446
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 17,232,351 28,749,452
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (10,687,184) (8,566,563)
CAPITAL GAINS:
Institutional Class (4,492,034) (510,543)
- ----------------------------------------------------------------------------------------------------------------
Total distributions (15,179,218) (9,077,106)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 32,770,001 (13,442,996)
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 34,823,134 6,229,350
NET ASSETS
Beginning of period 142,271,026 136,041,676
- ----------------------------------------------------------------------------------------------------------------
End of period $177,094,160 $142,271,026
------------------ ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 2,774,424 $ 2,002,745
------------------ ------------------
U.S. Government Securities Fund
Year Ended Year Ended
September 30, 2004 September 30, 2003
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 273,611 $ 444,050
Net realized gain (loss) on investments and foreign currency transactions 31,119 328,629
Change in unrealized appreciation (depreciation) of investments (138,586) (351,722)
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets resulting from operations 166,144 420,957
- ----------------------------------------------------------------------------------------------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (391,926) (526,000)
CAPITAL GAINS:
Institutional Class (224,515) (326,368)
- ----------------------------------------------------------------------------------------------------------------
Total distributions (616,441) (852,368)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (1,708,646) (3,511,709)
- ----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (2,158,943) (3,943,120)
NET ASSETS
Beginning of period 9,548,954 13,492,074
- ----------------------------------------------------------------------------------------------------------------
End of period $ 7,390,011 $ 9,548,954
------------------ ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (1,873) $ 62,449
------------------ ------------------
See accompanying notes to financial statements.
69
FINANCIAL HIGHLIGHTS
Income (Loss) from Investment
Operations: Less Distributions:
------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income investments operations income capital gains
- --------------------------------------------------------------------------------------------
BENCHMARK CORE BOND FUND
INSTITUTIONAL CLASS
9/30/2004.... $10.68 $0.38(d) $(0.02) $ 0.36 $(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) --
RETAIL CLASS
9/30/2004.... $10.65 $0.36(d) $(0.01) $ 0.35 $(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
9/30/2004.... $12.66 $0.72(d) $ 0.82 $ 1.54 $(0.74) $--
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) --
RETAIL CLASS
9/30/2004.... $12.65 $0.69(d) $ 0.82 $ 1.51 $(0.72) $--
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) --
ADMIN CLASS
9/30/2004.... $12.64 $0.65(d) $ 0.82 $ 1.47 $(0.69) $--
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) --
* 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) Computed on an annualized
basis 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) Amount rounds to less than $0.01 per
share. + 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 for 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 per share 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.
70
Ratios to Average Net Assets:
- -------------- ----------------------------------
Net asset Net assets,
value, Total end of Net Gross Net investment Portfolio
Total Redemption end of the return the period Expenses Expenses income (loss) turnover
distributions fees period (%)(a) (000) (%)(b)(c) (%)(c) (%)(c) rate(%)
- ----------------------------------------------------------------------------------------------------
$(0.51) $ -- $10.53 3.6 $ 12,115 0.45 1.20 3.65 116
(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
$(0.51) $ -- $10.49 3.4 $ 191 0.70 1.45 3.47 116
(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
$(0.74) $0.00(e) $13.46 12.5 $2,365,199 0.75 0.79 5.48 42
(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
$(0.72) $0.00/(e)/ $13.44 12.2 $ 275,349 1.00 1.04 5.24 42
(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
$(0.69) $0.00(e) $13.42 11.9 $ 27,299 1.25 1.29 4.99 42
(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
See accompanying notes to financial statements.
71
FINANCIAL HIGHLIGHTS - continued
Income (loss) from Investment Operations: Less Distributions:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income(a) investments operations income capital gains
- -------------------------------------------------------------------------------------------------------
FIXED INCOME FUND
INSTITUTIONAL CLASS
9/30/2004.......... $13.24 $0.82 $ 0.79 $ 1.61 $(0.92) $ --
9/30/2003.......... 10.95 0.84 2.40 3.24 (0.95) --
9/30/2002+......... 11.23 0.87 (0.15) 0.72 (1.00) --
9/30/2001.......... 11.95 0.96 (0.78) 0.18 (0.90) --
9/30/2000.......... 12.09 0.99 (0.30) 0.69 (0.83) --
GLOBAL BOND FUND
INSTITUTIONAL CLASS
9/30/2004.......... $14.93 $0.48 $ 0.78 $ 1.26 $(0.60) $ --
9/30/2003.......... 12.68 0.62 2.25 2.87 (0.62) --
9/30/2002+/+/...... 11.08 0.68 0.92 1.60 -- --
9/30/2001.......... 10.93 0.72 0.07 0.79 (0.60) (0.04)
9/30/2000.......... 12.60 0.76 (1.33) (0.57) (0.67) (0.43)
RETAIL CLASS
9/30/2004.......... $14.83 $0.43 $ 0.79 $ 1.22 $(0.59) $ --
9/30/2003.......... 12.62 0.58 2.24 2.82 (0.61) --
9/30/2002+/+/...... 11.06 0.65 0.91 1.56 -- --
9/30/2001.......... 10.91 0.69 0.07 0.76 (0.57) (0.04)
9/30/2000.......... 12.57 0.73 (1.32) (0.59) (0.64) (0.43)
(a) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period. (b) 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. (c) 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. (d) Amount rounds to less than $0.01
per share. + As required effective October 1, 2001, the Fund has adopted the
provisions of the AICPA Audit and Accounting Guide for 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 per
share to the Funds's 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 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 gain 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.
72
Ratios to Average Net Assets:
- -------------- ---------------------------------
Net asset Net assets,
value, Total end of Net Gross Net investment Portfolio
Total Redemption end of the return the period Expenses Expenses income (loss) turnover
distributions fees period (%)(b) (000) (%)(c) (%) (%) rate(%)
- -------------------------------------------------------------------------------------------------
$(0.92) $ -- $13.93 12.6 $358,652 0.65 0.66 6.17 35
(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
$(0.60) $0.00(d) $15.59 8.6 $287,830 0.80 0.85 3.15 61
(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
$(0.59) $0.00(d) $15.46 8.4 $413,652 1.04 1.10 2.88 61
(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
See accompanying notes to financial statements.
73
FINANCIAL HIGHLIGHTS - continued
Income (loss) from Investment Operations: Less Distributions:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income investments operations income capital gains
- -------------------------------------------------------------------------------------------------------
INSTITUTIONAL HIGH INCOME FUND
INSTITUTIONAL CLASS
9/30/2004.......... $ 6.91 $0.55(d) $ 0.66 $ 1.21 $(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) --
INTERMEDIATE DURATION FIXED INCOME FUND
INSTITUTIONAL CLASS
9/30/2004.......... $10.10 $0.45(d) $(0.10) $ 0.35 $(0.53) $ --
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) --
INVESTMENT GRADE FIXED INCOME FUND
INSTITUTIONAL CLASS
9/30/2004.......... $13.38 $0.67(d) $ 0.75 $ 1.42 $(0.88) $(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)
U.S. GOVERNMENT SECURITIES FUND
INSTITUTIONAL CLASS
9/30/2004.......... $11.60 $0.37(d) $(0.12) $ 0.25 $(0.54) $(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) --
(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) Computed on an annualized
basis 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) Amount rounds to less than $0.01 per
share. + 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 for 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 per share 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 ratio
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. +++ 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 gain 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 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 gain 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 investments 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 been restated to reflect this change
in presentation.
See accompanying notes to financial statements.
74
Ratios to Average Net Assets:
- -------------- ----------------------------------
Net asset Net assets,
value, Total end of Net Gross Net investment Portfolio
Total Redemption end of return the period Expenses Expenses income (loss) turnover
distributions fees the period (%)(a) (000) (%)(b)(c) (%)(c) (%)(c) rate(%)
- --------------------------------------------------------------------------------------------------
$(0.62) $ -- $ 7.50 18.1 $ 97,109 0.75 0.88 7.66 59
(0.18) 0.00(e) 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
$(0.53) $ -- $ 9.92 3.6 $ 31,051 0.45 0.76 4.48 48
(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
$(1.26) $ -- $13.54 11.1 $177,094 0.55 0.60 5.03 34
(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
$(0.83) $ -- $11.02 2.3 $ 7,390 0.50 1.73 3.33 99
(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
See accompanying notes to financial statements.
75
NOTES TO FINANCIAL STATEMENTS
FOR THE YEAR ENDED, SEPTEMBER 30, 2004
1. ORGANIZATION. Loomis Sayles Funds I (the "Trust") is organized as a
Massachusetts business trust. 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 separate reports. 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 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 (other than short-term obligations with a remaining maturity
of less than sixty days) are generally valued at market price, 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. 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 equity
securities, a 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.
76
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, and interest income is recorded on an accrual basis. Interest
income is increased by the accretion of discount and decreased by the
amortization of premium. Investment income is recorded net of foreign taxes
withheld when applicable. In determining net gain or loss on securities sold,
the cost of securities has been determined on an identified cost basis.
Investment income and realized and unrealized gains and losses are allocated on
a pro rata basis to each class based on the relative net assets of each class
to the total net assets of the Fund.
C. FOREIGN CURRENCY TRANSLATION. The books and records of the Funds are
maintained in U.S. dollars. The 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. 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 September 30, 2004, the Global Bond
Fund had the following open forward foreign currency exchange contract:
Local Aggregate Unrealized
Delivery Currency Face Total Appreciation
Date Amount Amount Value (Depreciation)
-------------------------------------------------------------------------
Euro (sell) 12/21/2004 21,840,000 $26,761,644 $27,137,951 $(376,307)
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 and excise taxes have 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.
77
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED, SEPTEMBER 30, 2004
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. Permanent differences are primarily due to
differing treatments for book and tax purposes of items such as redemptions in
kind, foreign currency transactions, defaulted bond interest, premium
amortization accruals, distributions from real estate investment trusts and
reclassification of paydown gains and losses. Temporary differences between
book and tax distributable earnings are primarily due to deferred trustees'
fees, premium amortization accruals, defaulted bond income accruals, corporate
action basis adjustments, mark-to-market on forward currency contracts and wash
sales. 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.
H. DELAYED DELIVERY COMMITMENTS. Each Fund may purchase or sell securities on a
when issued or forward commitment basis. Payment and delivery may take place a
month or more after the date of the transaction. The price of the underlying
securities and the date when the securities will be delivered and paid for are
fixed at the time the transaction is negotiated. Losses may arise due to
changes in the market value of the underlying securities or if the counterparty
does not perform under the contract. Collateral consisting of liquid securities
or cash and cash equivalents is maintained in an amount at least equal to these
commitments with the custodian.
3. PURCHASES AND SALES OF SECURITIES. For the year ended September 30, 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 $ 14,101,552 $ 16,518,438 $ 7,287,532 $ 8,607,325
Bond Fund 427,521,992 194,776,124 993,864,306 739,832,432
Fixed Income Fund 36,013,420 48,953,104 97,684,855 157,067,181
Global Bond Fund 132,074,999 45,150,522 638,974,398 204,547,746
Institutional High Income Fund -- -- 53,159,066 52,433,436
Intermediate Duration Fixed Income Fund 5,348,091 3,156,155 9,833,380 17,503,485
Investment Grade Fixed Income Fund 22,987,595 12,384,996 41,114,267 39,496,759
U.S. Government Securities Fund 7,901,196 8,995,868 -- --
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 year ended September 30, 2004, provided 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 Institutional Retail Admin
Fund Fees Class Class Class
- ---- ---------- ------------- ------ -----
Benchmark Core Bond Fund 0.30% 0.45% 0.70% --
Bond Fund 0.60% 0.75% 1.00% 1.25%
Fixed Income Fund 0.50% 0.65% -- --
Global Bond Fund 0.60% 0.75% 1.00% --
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% -- --
Prior to July 1, 2004, the expense limits as a percentage of average net
assets for Global Bond Fund Institutional Class and Retail Class were 0.90% and
1.15%, respectively.
78
For the year ended September 30, 2004, the management fees and waivers of
management fees 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
- ---- ----------- ---------- ----------- ----- -----
Benchmark Core Bond Fund.......... $ 58,532 $ 58,532 $ -- 0.30% 0.00%
Bond Fund......................... 14,085,400 950,102 13,135,298 0.60% 0.56%
Fixed Income Fund................. 1,967,326 52,551 1,914,775 0.50% 0.49%
Global Bond Fund.................. 2,575,612 211,372 2,364,240 0.60% 0.55%
Institutional High Income Fund.... 551,345 117,817 433,528 0.60% 0.47%
Intermediate Duration Fixed Income
Fund............................ 98,780 98,780 -- 0.30% --
Investment Grade Fixed Income
Fund............................ 652,322 88,099 564,223 0.40% 0.35%
U.S. Government Securities Fund... 24,619 24,619 -- 0.30% --
For the year ended September 30, 2004, in addition to the waiver of
management fees, Class level expenses have been reimbursed as follows:
Fund Amount
- ---- ------
Bond Fund....... $7,345
Global Bond Fund 9,441
For the year ended September 30, 2004, the investment advisor reimbursed
$88,540 of other expenses to the Benchmark Core Bond Fund, $3,081 of other
expenses to the Intermediate Duration Fixed Income Fund and $76,686 of other
expenses to the U.S. Government Securities 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 North America is ultimately owned by three large affiliated French
financial services entities: Caisse des Depots et Consignations ("CDC"), a
public sector financial institution created by the French government in 1816;
Caisse Nationales des Caisses d'Epargne, a financial institution owned by CDC
and by affiliated French savings banks known as Caisses d' Epargne; and CNP
Assurances, a large 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.
79
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED, SEPTEMBER 30, 2004
For the year ended September 30, 2004, fees paid to CIS for accounting and
administrative expense were as follows:
Accounting and
Fund Administrative
- ---- --------------
Benchmark Core Bond Fund............... $ 12,802
Bond Fund.............................. 1,540,403
Fixed Income Fund...................... 258,180
Global Bond Fund....................... 281,673
Institutional High Income Fund......... 60,296
Intermediate Duration Fixed Income Fund 21,605
Investment Grade Fixed Income Fund..... 107,008
U.S. Government Securities Fund........ 5,385
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, 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 and Retail
Class as applicable.
or
(2)An allocated portion, based on eligible assets, of an annual aggregate
minimum fee 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, 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 Class Y,
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.
80
For the year ended September 30, 2004, amounts paid to CIS as compensation
for its services as transfer agent were as follows:
Transfer
Fund Agent Fee
- ---- ---------
Benchmark Core Bond Fund............... $ 24,000
Bond Fund.............................. 620,929
Fixed Income Fund...................... 39,376
Global Bond Fund....................... 111,641
Institutional High Income Fund......... 12,000
Intermediate Duration Fixed Income Fund 12,000
Investment Grade Fixed Income Fund..... 16,318
U.S. Government Securities Fund........ 12,000
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 the Loomis Sayles Funds Trusts and the CDC Nvest
Funds Trusts receives, in the aggregate, a retainer fee at the annual rate of
$50,000 and meeting attendance fees of $5,000 for each meeting of the Board of
Trustees attended. Each committee chairman receives an additional retainer fee
at the annual rate of $7,000. Each committee member receives a meeting
attendance fee of $3,750 per committee meeting attended. In addition, the
independent co-chairmen of the Board split an additional $50,000 annual
retainer fee. These fees are allocated to the various series of the Loomis
Sayles Funds Trusts and the 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.
Prior to July 1, 2004, the Trust paid each independent trustee a $45,000
annual retainer and a $4,500 fee per meeting attended. In addition, each
committee member received a retainer fee at the annual rate of $7,000 while
each committee chairman received a $5,000 annual retainer (beyond the $7,000).
Each committee member received a $1,750 fee per meeting attended. The retainer
fees assumed four Board or Committee meetings per year.
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.
81
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED, SEPTEMBER 30, 2004
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 year ended September 30, 2004,
amounts paid to CIS as compensation for these services were as follows:
Publishing
Fund Services Fee
- ---- ------------
Benchmark Core Bond Fund............... $109
Bond Fund.............................. 109
Fixed Income Fund...................... 53
Global Bond Fund....................... 109
Institutional High Income Fund......... 53
Intermediate Duration Fixed Income Fund 53
Investment Grade Fixed Income Fund..... 53
U.S. Government Securities Fund........ 53
G. REDEMPTION FEES. Shareholders of the Bond Fund and Global Bond Fund will
be charged a 2% redemption fee if they redeem, including redeeming by exchange,
any class of shares of these Funds within 60 days of their acquisition
(including acquisition by exchange). The redemption fee is intended to offset
the costs to the Funds of short-term trading, such as portfolio transaction and
market impact costs associated with redemption activity and administrative
costs associated with processing redemptions. The redemption fee is deducted
from the shareholder's redemption or exchange proceeds and is paid to the Fund.
The "first-in, first-out" (FIFO) method is used to determine the holding period
of redeemed or exchanged shares, which means that if shares were acquired on
different days, the shares acquired first will be redeemed or exchanged first
for purposes of determining whether the redemption fee applies. A new holding
period begins with each purchase or exchange. These fees are presented on the
Statements of Changes in Net Assets.
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 year
ended September 30, 2004, the Funds had no borrowings under the agreement.
6. SHAREHOLDERS. At September 30, 2004, the Loomis-Sayles Funded Pension
Plan ("Pension Plan") and the Loomis, Sayles & Company, L.P. 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 46,046
Bond Fund.............................. 889,285 1,086,578
Global Bond Fund....................... 696,518 281,016
Institutional High Income Fund......... 673,017 672,558
Intermediate Duration Fixed Income Fund -- 106,023
U.S. Government Securities Fund........ -- 93,737
At September 30, 2004, Loomis Sayles owned 26,099 shares, equating to 3.89%
of U.S. Government Securities Fund shares outstanding and 1,086 shares,
equating to .09% of Benchmark Core Bond Fund. In addition, two individuals
affiliated with Institutional High Income Fund held approximately 15.07% of the
Fund's total outstanding shares.
82
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
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 729,715 $ 7,615,968 2,422,176 $ 25,428,179
Issued in connection with
the reinvestment of distributions 100,025 1,018,261 63,568 657,289
Redeemed (296,867) (3,017,082) (2,390,148) (25,372,394)
Redeemed in kind* (1,140,103) (11,594,851) -- --
- --------------------------------------------------------------------------------------------
Net change (607,230) $ (5,977,704) 95,596 $ 713,074
---------- -------------- ---------- ------------
Shares Amount Shares+ Amount+
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 18,886 $ 195,629 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 15,669 $ 162,879 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.
*Redeemed in kind to a shareholder on June 25, 2004 for $11,224,485 in securities,
$104,145 in accrued interest, and $266,221 in cash.
BOND FUND
Year Ended September 30, 2004 Year Ended September 30, 2003
--------------------------- ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- -------------- ----------- -------------
Issued from the sale of shares 83,292,406 $1,104,544,259 73,324,254 $ 865,368,126
Issued in connection with the
reinvestment of distributions 8,109,317 106,866,203 8,047,516 95,729,467
Redeemed (52,330,944) (684,571,795) (58,178,892) (694,716,068)
- ------------------------------------------------------------------------------------------------
Net change 39,070,779 $ 526,838,667 23,192,878 $ 266,381,525
----------- -------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ----------- -------------- ----------- -------------
Issued from the sale of shares 14,981,168 $ 197,751,341 10,698,127 $ 126,724,696
Issued in connection with the
reinvestment of distributions 818,810 10,777,230 501,537 6,020,082
Redeemed (6,689,612) (87,290,333) (5,810,220) (68,583,285)
- ------------------------------------------------------------------------------------------------
Net change 9,110,366 $ 121,238,238 5,389,444 $ 64,161,493
----------- -------------- ------------ --------------
Shares Amount Shares Amount
ADMIN CLASS ----------- -------------- ----------- -------------
Issued from the sale of shares 1,732,050 $ 22,859,859 734,063 $ 8,650,325
Issued in connection with the
reinvestment of distributions 55,426 730,228 28,653 343,812
Redeemed (707,119) (9,240,007) (426,792) (5,017,512)
- ------------------------------------------------------------------------------------------------
Net change 1,080,357 $ 14,350,080 335,924 $ 3,976,625
----------- -------------- ------------ --------------
83
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE YEAR ENDED, SEPTEMBER 30, 2004
FIXED INCOME FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------- ---------- ------------
Issued from the sale of shares...... 1,007,726 $ 13,816,868 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............................ (8,613,412) (111,701,518) (5,584,613) (64,191,297)
- --------------------------------------------------------------------------------------------
Net change.......................... (5,409,740) $ (69,029,922) (2,845,082) $(34,358,387)
---------- -------------- ---------- ------------
GLOBAL BOND FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------- ---------- ------------
Issued from the sale of shares...... 14,284,726 $ 216,397,662 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............................ (1,624,910) (24,571,286) (4,945,203) (69,473,498)
- --------------------------------------------------------------------------------------------
Net change.......................... 12,880,831 $ 195,141,604 2,049,173 $ 28,745,886
---------- -------------- ---------- ------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------- ---------- ------------
Issued from the sale of shares...... 27,817,273 $ 420,172,110 5,094,560 $ 71,990,932
Issued in connection with the.......
reinvestment of distributions..... 253,905 3,783,184 42,406 541,523
Redeemed............................ (5,059,529) (75,573,648) (2,353,971) (33,250,761)
- --------------------------------------------------------------------------------------------
Net change.......................... 23,011,649 $ 348,381,646 2,782,995 $ 39,281,694
---------- -------------- ---------- ------------
INSTITUTIONAL HIGH INCOME FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------- ---------- ------------
Issued from the sale of shares...... 2,969,710 $ 21,254,761 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............................ (3,305,132) (23,870,871) (3,165,620) (19,663,301)
- --------------------------------------------------------------------------------------------
Net change.......................... 483,188 $ 3,146,903 591,512 $ 3,901,310
---------- -------------- ---------- ------------
INTERMEDIATE DURATION FIXED INCOME FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------- ---------- ------------
Issued from the sale of shares...... 311,432 $ 3,115,510 431,215 $ 4,298,793
Issued in connection with the.......
reinvestment of distributions..... 106,401 1,059,666 150,813 1,478,480
Redeemed............................ (961,946) (9,573,784) (1,141,662) (11,297,816)
- --------------------------------------------------------------------------------------------
Net change.......................... (544,113) $ (5,398,608) (559,634) $ (5,520,543)
---------- -------------- ---------- ------------
84
INVESTMENT GRADE FIXED INCOME FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ ---------- ------------
Issued from the sale of shares...... 1,938,481 $ 26,097,555 366,484 $ 4,309,417
Issued in connection with the.......
reinvestment of distributions..... 1,002,824 13,326,409 661,621 8,042,325
Issued from Subscriptions-in-kind*.. 372,856 5,000,000 -- --
Redeemed............................ (868,554) (11,653,963) (2,162,360) (25,794,738)
- --------------------------------------------------------------------------------------------
Net change.......................... 2,445,607 $ 32,770,001 (1,134,255) $(13,442,996)
--------- -------------- ---------- ------------
*Issued in exchange for portfolio securities distributed in-kind by the Loomis Sayles
Investment Grade Fixed Income Fund to shareholders thereof and contributed to the
Fund in-kind by such shareholders on January 5, 2004. Contribution includes
$4,039,173 of securities, $958,148 in cash and $2,679 in receivables.
U.S. GOVERNMENT SECURITIES FUND
Year Ended September 30,
Year Ended September 30, 2004 2003
---------------------------- ------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ ---------- ------------
Issued from the sale of shares...... 84,353 $ 933,352 773,246 $ 8,923,630
Issued in connection with the.......
reinvestment of distributions..... 46,319 512,598 62,260 715,212
Redeemed............................ (283,167) (3,154,596) (1,142,525) (13,150,551)
- --------------------------------------------------------------------------------------------
Net change.......................... (152,495) $ (1,708,646) (307,019) $ (3,511,709)
--------- -------------- ---------- ------------
8. ADDITIONAL TAX INFORMATION. The tax character of distributions paid to
shareholders during the years ended September 30, 2004 and 2003 were as follows:
2004 Distributions Paid From: 2003 Distributions Paid From:
----------------------------------------- ---------------------------------------
Ordinary Long-Term Ordinary Long-Term
Income Capital Gains Total Income Capital Gains Total
------------- ------------- ------------- ------------ ------------- ------------
Benchmark Core Bond
Fund..................... $ 1,021,304 $ -- $ 1,021,304 $ 658,290 $ -- $ 658,290
Bond Fund.................. 135,845,046 -- 135,845,046 110,165,544 -- 110,165,544
Fixed Income Fund.......... 28,854,737 -- 28,854,737 29,163,220 -- 29,163,220
Global Bond Fund........... 8,414,448 -- 8,414,448 2,737,371 -- 2,737,371
Institutional High Income
Fund..................... 7,853,152 -- 7,853,152 2,101,149 -- 2,101,149
Intermediate Duration Fixed
Income Fund.............. 1,737,677 -- 1,737,677 2,022,513 -- 2,022,513
Investment Grade Fixed
Income Fund.............. 10,849,010 4,330,208 15,179,218 8,646,109 430,997 9,077,106
U.S. Government Securities
Fund..................... 392,445 223,996 616,441 603,386 248,982 852,368
9. SUBSEQUENT EVENTS.
A. CORPORATE NAME CHANGE.
Old Name New Name
-------- --------
CDC IXIS Asset Management
Distributors, L.P........... IXIS Asset Management Distributors, L.P.
CDC IXIS Asset Management
Services, Inc............... IXIS Asset Management Services Company
B. EFFECTIVE DECEMBER 15, 2004, THE U.S. GOVERNMENT SECURITIES FUND'S NAME
AND INVESTMENT STRATEGY WILL CHANGE. THE FUND WILL BE NAMED THE LOOMIS SAYLES
INFLATION PROTECTED SECURITIES FUND, AND ITS STRATEGY WILL EMPHASIZE
INFLATION-PROTECTED DEBT SECURITIES ISSUED BY THE U.S. TREASURY (TIPS). THE
PRINCIPAL VALUE OF THESE TYPES OF SECURITIES ARE PERIODICALLY ADJUSTED
ACCORDING TO THE RATE OF INFLATION AND REPAYMENT OF THE ORIGINAL BONDS IS
GUARANTEED BY THE U.S. GOVERNMENT.
85
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
Loomis Sayles Funds I
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Loomis Sayles
Benchmark Core Bond Fund, Loomis Sayles Bond 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 and Loomis Sayles U.S. Government Securities
Fund, each a series of Loomis Sayles Funds I (collectively, the "Funds"), at
September 30, 2004, the results of each of their operations, the changes in
each of their net assets and the financial highlights for each of the periods
indicated therein, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 2004 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 16, 2004
86
2004 U.S. TAX DISTRIBUTION INFORMATION TO SHAREHOLDERS (Unaudited)
CORPORATE DIVIDENDS RECEIVED DEDUCTION. For the fiscal year ended September
30, 2004, a percentage of dividends distributed by the Funds listed below
qualify for the dividends received deduction for corporate shareholders. These
percentages are as follows:
Fund Qualifying Percentage
---- ---------------------
Bond Fund......................... 2.18%
Fixed Income Fund................. 2.61
Institutional High Income Fund.... 2.61
Investment Grade Fixed Income Fund 2.28
CAPITAL GAINS DISTRIBUTIONS. Pursuant to Internal Revenue Section 852(b),
the following Funds paid distributions, which have been designated as capital
gains distributions for the fiscal year ended September 30, 2004.
Fund Amount
- ---- ------------
Investment Grade Fixed Income Fund $ 4,330,208
U.S. Government Securities Fund... 223,996
QUALIFIED DIVIDEND INCOME. For the fiscal year ended September 30, 2004, the
Funds below will designate up to the maximum amount allowable pursuant to the
Internal Revenue Code, as qualified dividend income eligible for reduced tax
rates. These lower rates range from 5% to 15% depending on an individual's tax
bracket. If the funds pay a distribution during calendar year 2004, complete
information will be reported in conjunction with Form 1099-DIV.
87
TRUSTEE AND OFFICER INFORMATION
The table below provides certain information regarding the Trustees and
officers of Loomis Sayles Funds I (the "Trust"). Unless otherwise indicated,
the address of all persons below is 399 Boylston Street, Boston, MA 02116
Position(s)
Held with Number of Portfolios in Fund
the Trust, Length of Principal Occupation(s) Complex Overseen and
Name and Age Time Served* During Past 5 Years** Other Directorships Held
- ---------------------------------------------------------------------------------------------------------------------------
Independent Trustees
Graham T. Allison, Jr. (64) Trustee, Douglas Dillon Professor and Director of 41; Director, Taubman Centers,
Contract Review the Belfer Center of Science for Inc.; Advisory Board Member,
and Governance International Affairs, John F. Kennedy USEC Inc.
Committee School of Government,
Member, Harvard University
Since 2003
Edward A. Benjamin (66) Trustee, Retired 41; Director, Coal, Energy
Audit Committee Investments & Management,
Member, LLC; Director, Precision Optics
Since 2002 Corporation
Daniel M. Cain (59) Trustee, President and CEO, Cain Brothers & 41; Trustee, Universal Health
Chairman of the Company, Incorporated Realty Income Trust;
Audit Committee, Director, Sheridan Healthcorp
Since 2003
Co-Chairman of
the Board
Since 2004
Paul G. Chenault (70) Trustee, Retired; Trustee, First Variable Life 41; Director, Mailco Office
Contract Review Products, Inc.
and Governance
Committee
Member,
Since 2002
Kenneth J. Cowan (72) Trustee, Retired 41; None
Chairman of the
Contract Review
and Governance
Committee,
Since 2003,
Co-Chairman of
the Board
Since 2004
Richard Darman (61) Trustee, Partner, The Carlyle Group; Chairman of 41; Director and Chairman,
Contract Review the Board of Directors of AES AES Corporation
and Governance Corporation; formerly, Professor, John
Committee F. Kennedy School of Government,
Member, Harvard University
Since 2003
Sandra O. Moose (62) Trustee, President, Strategic Advisory Services; 41; Director, Verizon
Audit Committee formerly, Senior Vice President and Communications; Director,
Member, Director, The Boston Consulting Rohm and Haas Company;
Since 2003 Group, Inc. Director, AES Corporation
John A. Shane (71) Trustee President, Palmer Service Corporation 41
Contract Review Director, Gensym Corporation;
and Governance Director, Overland Storage, Inc.;
Committee Director, Abt Associates Inc.
Member
Since 2003
88
TRUSTEE AND OFFICER INFORMATION
Position(s)
Held with Number of Portfolios in Fund
the Trust, Length of Principal Occupation(s) Complex Overseen and
Name and Age Time Served* During Past 5 Years** Other Directorships Held
- ----------------------------------------------------------------------------------------------------------------------
Interested Trustees
Robert J. Blanding/1/ (57) Trustee, CEO and President, Chairman, Director, and Chief 41
555 California Street President; Since Executive Officer, Loomis Sayles; Chief None
San Francisco, CA 94104 2002 Executive Officer Loomis Sayles Funds
II
John T. Hailer/2/ (43) Trustee and President and Chief Executive Officer, 41
Executive Vice CDC IXIS Asset Management None
President, Distributors, L.P.; Executive Vice
Since 2003 President, Loomis Sayles Funds II;
President and Chief Executive Officer--
CDC Nvest Funds
Officers
John E. Pelletier (40) Chief Operating President, Director and Chief Executive Not Applicable
Officer Officer, CDC IXIS Asset Management
Since 2004 Services, Inc.; Executive Vice President,
CDC IXIS Distribution Corporation;
Executive Vice President and Chief
Operating Officer, CDC IXIS Asset
Management Distributors, L.P. and CDC
IXIS Asset Management Advisers, L.P.;
formerly, Senior Vice President, General
Counsel, Secretary and Clerk, CDC IXIS
Distribution Corporation; Executive
Vice President, General Counsel,
Secretary and Clerk, CDC IXIS Asset
Management Distributors, L.P., CDC
IXIS Asset Management Advisers, L.P.;
Executive Vice President, General
Counsel, Secretary and Clerk, CDC IXIS
Asset Management Services, Inc.
Coleen Downs Dinneen (43) Secretary, Clerk and Senior Vice President, General Counsel, Not Applicable
Chief Legal Officer Secretary and Clerk, CDC IXIS
Since 2004 Distribution Corporation, CDC IXIS
Asset Management Distributors, L.P.,
CDC IXIS Asset Management Advisers,
L.P. and CDC IXIS Asset Management
Services, Inc.; formerly, Senior Vice
President, Deputy General Counsel,
Assistant Secretary and Assistant Clerk,
CDC IXIS Asset Management Advisers,
L.P., CDC IXIS Asset Management
Services, Inc. and Vice President Deputy
General Counsel, Assistant Secretary
and Assistant Clerk, CDC IXIS
Distribution Corporation
Michael Kardok (45) Treasurer, Principal Senior Vice President, CDC IXIS Asset Not Applicable
Financial and Management Services, Inc.; Senior Vice
Accounting Officer President, CDC IXIS Asset Management
Since 2004 Advisers, L.P.; formerly, Senior
Director, PFPC Inc., Vice President-
Division Manager, First Data Investor
Services Group, Inc.
Kristin Vigneaux (35) Chief Compliance Chief Compliance Officer for Mutual Not Applicable
Officer, Funds, CDC IXIS Asset Management
Since 2004 Distributors, L.P., CDC IXIS Asset
Management Advisers, L.P. and CDC
IXIS Asset Management Services, Inc.;
formerly, Vice President CDC IXIS
Asset Management Services, Inc.
89
TRUSTEE AND OFFICER INFORMATION
Position(s)
Held with Number of Portfolios in Fund
the Trust, Length of Principal Occupation(s) Complex Overseen and
Name and Age Time Served* During Past 5 Years** Other Directorships Held
- ---------------------------------------------------------------------------------------------------------
Daniel J. Fuss (70) Executive Vice Chairman and Director, Loomis Not Applicable
One Financial Center Vice President, Sayles & Company, L.P.
Boston, MA 02111 Since 2004
Frank LoPiccolo (50) Anti-Money President and CEO, CDC IXIS Asset Not Applicable
Laundering Officer, Management Services, Inc.
Since 2004
* Each Trustee serves for an indefinite term in accordance with its current
By-Laws until the date his or her successor is elected and qualified, or
until he or she sooner dies, retires, is removed or becomes disqualified. At
a meeting held on February 27, 2004, the Trustees voted to suspend the
retirement policy until 2005.
**Previous positions during the past five years with the Distributor or Loomis
Sayles are omitted if not materially different from a trustee's or officer's
current position with such entity. As indicated, each Trustee is also a
trustee of certain other investment companies for which the Distributor acts
as principal underwriter.
1 Mr. Blanding is deemed an "interested person" of the Trust because he holds
the following positions with affiliated persons of the Trust: President,
Chairman, Director and Chief Executive Officer of Loomis Sayles.
2 Mr. Hailer is an "interested person" of the Trust because he holds the
following positions with affiliated persons of the Trust: Director and
Executive Vice President of CDC IXIS Asset Management Distribution
Corporation and President and Chief Executive Officer of CDC IXIS Asset
Management Advisers, L.P.
The Statement of Additional Information includes additional information
about the Trustees of the Trusts and is available, without charge, by
calling Loomis Sayles Funds at 800-633-3330.
90
FUND AND MANAGER REVIEW
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND
PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman High Yield
Composite Index, for the period from April 13, 2004, the Fund's commencement
date, through September 30, 2004. The Fund's strong performance was due to
positive results from the portfolio's emerging market and high yield sectors.
Although the emerging markets sector struggled from a sell off in April and
May, the subsequent price declines on these securities presented a good
opportunity to reallocate. Through the first nine months of 2004, emerging
markets offered the strongest fixed-income performance. In particular, the
Fund's Federal Republic of Brazil bonds benefited from the country's strong
economic data, which resulted in a ratings upgrade for the bonds.
The Fund's high-yield bonds benefited from continued improvement in credit
fundamentals and solid market technical factors. Investors continued to chase
yield from lower-rated bonds, which created enough demand to absorb the high
level of new issuance in the market. Our positions in the basic materials
sector advanced strongly, as the recovery in global growth boosted demand for
paper and steel. On the other hand, the transportation and chemical industries
detracted from performance. Transportation suffered due to poor performance in
the airline industry, specifically Delta Airlines, while a downgrade for Borden
Chemical dragged down the chemicals sector.
OUTLOOK | We believe the bond market faces a period of transition from an
environment of declining yields to one with secular upward pressure on yields.
We believe the Federal Reserve may pause its cycle of rate hikes in the coming
months and evaluate mixed economic data and geopolitical developments. In the
short term, this should support the bond market's current levels. Longer term,
we believe inflation may rise, placing pressure on Treasuries. We remain
comfortable investing in the lower-quality areas of the market, given the solid
backdrop of positive credit trends. We expect to continue looking for
opportunities in the BB-rated segment and will add to our allocation when we
find value.
KEY FUND FACTS
OBJECTIVE | High current income. Capital appreciation is the Fund's secondary
objective.
STRATEGY | Invests substantially all of its assets, and may invest up to 100%
of its assets, in high income securities. High income securities are
fixed-income securities that Loomis Sayles believes have the potential to
generate relatively high levels of current income.
FUND INCEPTION DATE | 4/01/04
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 4/13/04
EXPENSE RATIO | 0.00%*
TOTAL NET ASSETS | $9.1 million
[PHOTO] [PHOTO]
Matthew Eagan Daniel Fuss
MATTHEW EAGAN DAN FUSS
[PHOTO] [PHOTO]
Kathleen Gaffney
KATHLEEN GAFFNEY ELAINE STOKES
TOTAL RETURNS PERIODS ENDED SEPTEMBER 30, 2004
SINCE
INCEPTION
------------------------------------------------------
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND 5.90%
LEHMAN HIGH YIELD COMPOSITE INDEX 3.84
LIPPER HIGH YIELD BOND FUNDS INDEX 3.45
Comparative performance is presented from the month end closest to the Fund's
inception date (03/31/04).
Data quoted reflects past performance and cannot guarantee future results.
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. Periods of less than one year
are not annualized. Index performance data is not available coincident with the
Fund's inception and registration dates.
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
agencies are not issued by, and may not be guaranteed by the U.S. government.
* All fees are paid by investors indirectly through separately negotiated
advisory relationships with the Fund's Advisor or through "wrap fee" programs
sponsored by broker dealers and investment advisers that may be affiliated or
unaffiliated with the Fund, Loomis Sayles or IXIS Advisors, L.P.
1
ADDITIONAL INFORMATION
Index Definitions
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.
Source: Lipper, Inc.
Lehman High Yield Composite Index is a market-weighted, unmanaged index of
fixed-rate, non-investment grade debt.
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 SEC's
website at www.sec.gov. Information about how the Fund voted proxies relating
to portfolio securities during the 12- months ended June 30, 2004 is available
(i) on the Fund's website and (ii) the SEC's website.
Quarterly Portfolio Schedules
Beginning next quarter, the Fund will file a complete schedule of portfolio
holdings with the SEC for the first and third quarters of each fiscal year on
Form N-Q. The Fund's Form N-Q will be available on the SEC's website at
www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room
in Washington, DC. Information on the operation of the Public Reference Room
may be obtained by calling 1-800-SEC-0330.
UNDERSTANDING YOUR FUND'S EXPENSES
Typically, mutual fund shareholders incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases, redemption
fees and certain exchange fees; and (2) ongoing costs, including management
fees, distribution fees (12b-1 fees), and other fund expenses. However, the
Fund is unlike other mutual funds; it does not charge any fees or expenses.
You should be aware that shares in the Fund are available only to
institutional investment advisory clients of Loomis Sayles and IXIS Asset
Management Advisors, L.P. ("IXIS Advisors") and to participants in "wrap-fee"
programs sponsored by broker dealers and investment advisers that may be
affiliated or unaffiliated with the Fund, Loomis Sayles or IXIS Advisors. The
institutional investment advisory clients of Loomis Sayles and IXIS Advisors
pay Loomis Sayles or IXIS Advisors a fee for their investment advisory
services, while participants in "wrap fee" programs pay a "wrap" fee to the
program's sponsor. The "wrap fee" program sponsors, in turn, pay a fee to IXIS
Advisors. "Wrap fee" program participants should read carefully the wrap fee
brochure provided to them by their program's sponsor and the fees paid by such
sponsor to IXIS Advisors. Shareholders pay no additional fees or expenses to
purchase shares of the Fund. However, shareholders will indirectly pay a
proportionate share of those costs, such as brokerage commissions, taxes and
extraordinary expenses, that are borne by the Fund through a reduction in its
net asset value.
The first line in the table below shows the actual account values and actual
Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from
April 13, 2004 through September 30, 2004. It also shows how much a $1,000
investment would be worth at the close of the period, assuming actual Fund
returns and expenses.
The second line in the table provides information about hypothetical account
values and hypothetical expenses based on the Fund's actual expense ratio (0%)
and an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid on your
investment for the period. You may use this information to compare the ongoing
costs of investing in the Fund and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Loomis Sayles High Income Opportunities Fund
Beginning Ending Expenses Paid
Account Value Account Value During Period
Institutional Class 4/13/04 9/30/04 4/13/04 - 9/30/04
- ------------------- ------------- ------------- -----------------
Actual........................ $1,000.00 $1,059.00 $0.00
Hypothetical (5% return before
expenses)................... $1,000.00 $1,023.36 $0.00
2
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND
Principal Amount Value(a)
- -------------------------------------------------------------------------------------------
BONDS AND NOTES - 93.1% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 91.9%
AIRLINES - 1.5%
Continental Airlines, Inc., Series 1997-4B, 6.900%, 1/02/2017 33,223 $ 26,473
Continental Airlines, Inc., Series 1999-1A, 6.545%, 2/02/2019 54,807 52,893
Continental Airlines, Inc., Series 2001-1B, 7.373%, 6/15/2017 42,712 33,501
Northwest Airlines Corp., Series 992 B, 7.950%, 3/01/2015 26,682 20,788
----------
133,655
----------
AUTOMOTIVE - 2.1%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 150,000 150,000
Navistar International Corp., 7.500%, 6/15/2011 40,000 42,700
----------
192,700
----------
CHEMICALS - 2.3%
Borden Chemical, Inc., 7.875%, 2/15/2023 65,000 52,650
Borden Chemical, Inc., 8.375%, 4/15/2016 175,000 154,875
----------
207,525
----------
CONSTRUCTION MACHINERY - 1.9%
Case Credit Corp., 6.750%, 10/21/2007 100,000 102,500
Great Lakes Dredge & Dock Corp., 7.750%, 12/15/2013 25,000 21,625
United Rentals North America, Inc., 6.500%, 2/15/2012 30,000 28,875
United Rentals North America, Inc., 7.000%, 2/15/2014 25,000 22,187
----------
175,187
----------
CONSUMER CYCLICAL SERVICES - 1.4%
Alderwoods Group, Inc., 7.750%, 9/15/2012, 144A 25,000 26,438
Service Corp. International, 6.750%, 4/01/2016, 144A 100,000 100,000
----------
126,438
----------
CONSUMER PRODUCTS - 0.3%
Jostens IH Corp., 7.625%, 10/01/2012, 144A 25,000 25,125
----------
ELECTRIC - 11.1%
AES Corp., 7.750%, 3/01/2014 100,000 103,250
AES Corp., 8.875%, 11/01/2027 120,000 115,350
Allegheny Energy Supply Co. LLC, 7.800%, 3/15/2011 40,000 43,300
Calpine Corp., 8.500%, 2/15/2011 60,000 38,400
Calpine Corp., 8.750%, 7/15/2013, 144A 100,000 75,500
Edison Mission Energy, 7.730%, 6/15/2009 210,000 220,500
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 45,000 45,869
Enersis SA, 7.375%, 1/15/2014 50,000 52,406
Enersis SA, 7.400%, 12/01/2016 175,000 183,288
TECO Energy, Inc., 7.200%, 5/01/2011 125,000 133,125
----------
1,010,988
----------
ELECTRONICS - 10.5%
Amkor Technology, Inc., 7.750%, 5/15/2013 40,000 32,800
Amkor Technology, Inc., 10.500%, 5/01/2009 25,000 21,250
Celestica, Inc., 7.875%, 7/01/2011 40,000 41,500
Corning, Inc., 5.900%, 3/15/2014 305,000 298,115
3
See accompanying notes to financial statements.
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND - CONTINUED
Principal Amount Value(a)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRONICS - CONTINUED
Lucent Technologies, Inc., 6.450%, 3/15/2029 385,000 $311,850
Nortel Networks Corp., 6.875%, 9/01/2023 100,000 91,500
Northern Telecom Capital Corp., 7.875%, 6/15/2026 160,000 154,400
--------
951,415
--------
ENVIRONMENTAL - 1.4%
Allied Waste North America, Inc., 6.500%, 11/15/2010 125,000 123,750
--------
FINANCIAL OTHER - 0.5%
Nalco Financial Holdings, Inc.
Zero Coupon Bond, 2/01/2014
(step to 9.000% on 2/01/09), 144A(d) 65,000 46,150
--------
HEALTHCARE - 0.7%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/2027 65,000 63,188
--------
HOME CONSTRUCTION - 2.3%
Hovnanian K Enterprises, Inc., 6.375%, 12/15/2014 90,000 91,125
Hovnanian K Enterprises, Inc., 6.500%, 1/15/2014 115,000 117,587
--------
208,712
--------
INDEPENDENT/ENERGY - 2.0%
Chesapeake Energy Corp., 6.875%, 1/15/2016 150,000 156,750
Swift Energy Co., 7.625%, 7/15/2011 20,000 21,400
--------
178,150
--------
INFORMATION/DATA TECHNOLOGY - 3.0%
Xerox Capital Trust I, 8.000%, 2/01/2027 280,000 275,800
--------
INTEGRATED/ENERGY - 1.8%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 70,000 68,250
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 95,000 93,575
--------
161,825
--------
LODGING - 2.4%
Host Marriott LP, 7.125%, 11/01/2013 175,000 183,750
Louisiana Quinta Properties, Inc., 7.000%, 8/15/2012, 144A 35,000 36,881
--------
220,631
--------
MEDIA CABLE - 4.2%
Charter Communications Holdings LLC, 9.625%, 11/15/2009 145,000 114,188
CSC Holdings, Inc., 6.750%, 4/15/2012, 144A 215,000 215,537
Rogers Cable, Inc., 6.250%, 6/15/2013 50,000 49,000
--------
378,725
--------
MEDIA NONCABLE - 0.3%
Dex Media, Inc., 8.000%, 11/15/2013 30,000 31,500
--------
METALS & MINING - 6.0%
AK Steel Corp., 7.750%, 6/15/2012 150,000 146,625
Glencore Funding LLC, 6.000%, 4/15/2014, 144A 155,000 150,326
International Steel Group, 6.500%, 4/15/2014, 144A 75,000 75,000
Vale Overseas Ltd., 8.250%, 1/17/2034 175,000 170,188
--------
542,139
--------
OIL FIELD SERVICES - 1.5%
Pecom Energia SA, 8.125%, 7/15/2010, 144A 40,000 39,900
Pride International, Inc., 7.375%, 7/15/2014, 144A 85,000 94,350
--------
134,250
--------
4
See accompanying notes to financial statements.
Principal Amount Value(a)
- -------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PACKAGING - 1.7%
Owens-Brockway Glass Container, Inc.,
8.250%, 5/15/2013 80,000 $ 85,200
Owens-Illinois, Inc., 7.800%, 5/15/2018 55,000 53,350
Solo Cup Co., 8.500%, 2/15/2014 20,000 19,700
--------
158,250
--------
PAPER - 7.7%
Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 75,000 69,000
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 145,000 126,513
Bowater, Inc., 6.500%, 6/15/2013 155,000 150,396
Georgia-Pacific Group, 7.375%, 12/01/2025 210,000 223,650
Tembec Industries, Inc., 7.750%, 3/15/2012 125,000 125,625
--------
695,184
--------
PHARMACEUTICALS - 0.9%
Pharma Services Intermediate Holding Corp., Zero Coupon
Bond, 4/01/2014 (step to 11.500% on 4/01/09), 144A (d) 125,000 78,750
--------
PIPELINES - 5.8%
Coastal Corp., 6.950%, 6/01/2028 95,000 76,475
Southern Natural Gas Co., 7.350%, 2/15/2031 100,000 98,750
Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 35,000 33,250
Williams Cos., Inc., 7.500%, 1/15/2031 235,000 236,175
Williams Cos., Inc., 7.750%, 6/15/2031 85,000 86,275
--------
530,925
--------
REAL ESTATE INVESTMENT TRUSTS - 1.4%
iStar Financial, Inc., 6.000%, 12/15/2010 125,000 130,059
--------
RETAILERS - 2.3%
Dillard's, Inc., 6.625%, 1/15/2018 155,000 148,025
Dillard's, Inc., 7.130%, 8/01/2018 25,000 24,687
Rite Aid Corp, 6.875%, 8/15/2013 45,000 39,375
--------
212,087
--------
SOVEREIGNS - 4.0%
Republic of Brazil, 8.250%, 1/20/2034 270,000 240,705
Republic of Brazil C Bond, 8.000%, 4/15/2014 29,319 28,991
Republic of Colombia, 8.125%, 5/21/2024 100,000 90,250
--------
359,946
--------
SUPERMARKETS - 0.5%
Couche-Tard US/Finance, 7.500%, 12/15/2013 40,000 42,600
--------
TEXTILE - 0.5%
INVISTA, 9.250%, 5/01/2012, 144A 45,000 48,038
--------
TRANSPORTATION SERVICES - 1.5%
American President Cos. Ltd., 8.000%, 1/15/2024 25,000 25,750
Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/2019 (c) 22,178 20,860
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 (c) 45,394 42,734
Stena AB, 7.500%, 11/01/2013 45,000 45,056
--------
134,400
--------
WIRELESS - 2.6%
American Tower Corp., 7.125%, 10/15/2012, 144A 45,000 44,550
Rogers Wireless, Inc., 6.375%, 3/01/2014 205,000 188,600
--------
233,150
--------
5
See accompanying notes to financial statements.
PORTFOLIO OF INVESTMENTS - as of September 30, 2004
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND - CONTINUED
Principal Amount Value(a)
- ----------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 5.8%
AT&T Corp., 8.750%, 11/15/2031 45,000 $ 49,050
Philippine Long Distance Telephone
Co., 8.350%, 3/06/2017 150,000 140,250
Qwest Capital Funding, Inc., 6.375%,
7/15/2008 25,000 23,062
Qwest Capital Funding, Inc., 7.000%,
8/03/2009 135,000 123,525
Qwest Capital Funding, Inc., 7.625%,
8/03/2021 140,000 109,550
US West Capital Funding, Inc., 6.875%,
7/15/2028 115,000 82,513
----------
527,950
----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $8,083,564) 8,339,192
----------
CONVERTIBLE BONDS - 1.2%
ELECTRONICS - 0.6%
Amkor Technology, Inc., 5.000%, 3/15/2007 65,000 54,275
----------
INFORMATION/DATA TECHNOLOGY - 0.2%
Maxtor Corp., 5.750%, 3/01/2012 25,000 22,000
----------
INFORMATION TECHNOLOGY--CONSULTING &
SERVICES - 0.4%
Kulicke & Soffa Industries, Inc., 0.500%,
11/30/2008 50,000 35,125
----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $114,447) 111,400
----------
TOTAL BONDS AND NOTES
(Identified Cost $8,198,011) 8,450,592
----------
Shares
- ----------------------------------------------------------------------------
PREFERRED STOCKS - 0.8% OF TOTAL NET ASSETS
CONVERTIBLE PREFERRED STOCKS - 0.8%
WIRELINES - 0.8%
Philippine Long Distance Telephone Co.,
$3.50 GDS 1,500 74,625
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $70,312) 74,625
----------
TOTAL INVESTMENTS - 93.9%
(Identified Cost $8,268,323)(b) 8,525,217
Other assets less liabilities--6.1% 553,652
----------
TOTAL NET ASSETS - 100% $9,078,869
----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At September 30, 2004, the net unrealized
appreciation on investments based on cost of
$8,268,442 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $344,670
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (87,895)
--------
Net unrealized appreciation $256,775
--------
For the year ended September 30, 2004, the Fund
has elected to defer $5,397 of capital losses
attributable to Post-October losses.
At September 30, 2004, the components of
distributable earnings, excluding unrealized
appreciation/depreciation, disclosed on a tax
basis consisted of $56,686 in undistributed
ordinary income and $0 in undistributed
long-term gains.
The differences between book and tax distributable earnings are primarily
due to premium amortization accruals.
(c)Non-income producing security due to default or bankruptcy filing.
(d)Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
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 September 30,
2004, the total value of these securities amounted to $1,218,370 or 13.4%
of total net assets.
GDSGlobal Depository 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.
See accompanying notes to financial statements.
6
Industry Holdings at September 30, 2004 as a Percentage of Net Assets
Electric................................ 11.1%
Electronics............................. 11.1
Paper................................... 7.7
Wirelines............................... 6.6
Metals & Mining......................... 6.0
Pipelines............................... 5.8
Media Cable............................. 4.2
Sovereigns.............................. 4.0
Information/Data Technology............. 3.2
Wireless................................ 2.6
Lodging................................. 2.4
Retailers............................... 2.3
Home Construction....................... 2.3
Chemicals............................... 2.3
Automotive.............................. 2.1
Independent/Energy...................... 2.0
Other, less than 2% each................ 18.2
See accompanying notes to financial statements.
7
STATEMENT OF ASSETS & LIABILITIES
SEPTEMBER 30, 2004
Assets
Investments at cost........................................ $ 8,268,323
Net unrealized appreciation................................ 256,894
------------
Investments at value..................................... 8,525,217
Cash....................................................... 511,184
Dividends and interest receivable.......................... 165,123
------------
TOTAL ASSETS 9,201,524
------------
LIABILITIES
Payable for securities purchased........................... 122,424
Payable for foreign taxes.................................. 231
------------
TOTAL LIABILITIES 122,655
------------
Net Assets $ 9,078,869
============
Net Assets consist of:......................................
Paid in capital............................................ $ 8,770,805
Undistributed net investment income........................ 56,686
Accumulated net realized loss on investments............... (5,516)
Net unrealized appreciation on investments................. 256,894
------------
Net Assets $ 9,078,869
============
NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL SHARES:
Net assets............................................... $ 9,078,869
============
Shares of beneficial interest............................ 879,653
============
Net asset value, offering and redemption price per share. $ 10.32
============
See accompanying notes to financial statements.
8
STATEMENT OF OPERATIONS
FOR THE PERIOD FROM APRIL 13, 2004* THROUGH SEPTEMBER 30, 2004
Investment Income
Dividends............................................ $ 3,088
Interest............................................. 274,742
Less foreign taxes withheld.......................... (464)
----------
Net investment income................................ 277,366
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized loss on investments--net.................... (5,391)
Change in unrealized appreciation on investments--net 256,894
----------
Net realized and unrealized gain on investments...... 251,503
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 528,869
==========
* Commencement of operations.
See accompanying notes to financial statements.
9
STATEMENT OF CHANGES IN NET ASSETS
For the Period from
April 13, 2004*
through
September 30, 2004
FROM OPERATIONS:
Net investment income......................................... $ 277,366
Net realized loss on investments.............................. (5,391)
Change in unrealized appreciation on investments.............. 256,894
- ------------------------------------------------------------------------------------
Increase in net assets resulting from operations.............. 528,869
- ------------------------------------------------------------------------------------
From Distributions to Shareholders:
NET INVESTMENT INCOME:
Institutional Class......................................... (220,805)
- ------------------------------------------------------------------------------------
Total distributions........................................... (220,805)
- ------------------------------------------------------------------------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 8,770,805
- ------------------------------------------------------------------------------------
Total increase in net assets.................................. 9,078,869
NET ASSETS
Beginning of period........................................... --
- ------------------------------------------------------------------------------------
End of period................................................. $ 9,078,869
-------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 56,686
-------------------
* Commencement of operations.
See accompanying notes to financial statements.
10
THIS PAGE INTENTIONALLY LEFT BLANK
11
FINANCIAL HIGHLIGHTS
Income from Investment Operations: Less Distributions:
-------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain on investment net investment realized
the period income/(e)/ investments operations income capital gains
- ---------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS
9/30/2004(a)....... $10.00 $0.33 $0.25 $0.58 $(0.26) $--
(a) For the period April 13, 2004 (commencement of operations) through
September 30, 2004. (b) Periods less than one year are not
annualized. (c) Loomis Sayles has agreed to pay, without reimbursement from the
Fund, all expenses associated with the operation of the Fund. (d) Annualized
for periods less than one year. (e) Per share net investment income (loss) has
been calculated using the average shares outstanding during the period.
See accompanying notes to financial statements.
12
Ratios to Average Net Assets:
- -------------- ------------------------------
Net asset Net assets, Net
value, Total end of Net Gross investment Portfolio
Total end of return the period expenses expenses income turnover
distributions the period (%)/(b)/ (000) (%)(c) (%)(c) (%)(d) rate (%)
- -------------------------------------------------------------------------------------
$(0.26) $10.32 5.9 $9,079 -- -- 7.03 45
See accompanying notes to financial statements.
13
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED SEPTEMBER 30, 2004
1. ORGANIZATION. Loomis Sayles Funds I (the "Trust") is organized as a
Massachusetts business trust. 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 Board of Trustees to
authorize the issuance of an unlimited number of shares of the Trust in
multiple series (each such series is a "Fund"). Information presented in these
financial statements pertains to Loomis Sayles High Income Opportunities Fund.
The Fund offers Institutional Class Shares. The Fund's shares are offered
exclusively to investors in "wrap fee" programs approved by CDC IXIS Asset
Management Advisers, L.P. ("CDC IXIS Advisers") and/or Loomis, Sayles &
Company, L.P. ("Loomis Sayles") and to institutional advisory clients of CDC
IXIS Advisers or Loomis Sayles that, in each case, meet the Fund's policies as
established by Loomis Sayles. The financial statements of the other Funds of
the Trust are presented in separate reports.
2. SIGNIFICANT ACCOUNTING POLICIES. The following is a summary of
significant accounting policies consistently followed by the Fund in
preparation of its financial statements. The Fund's 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 (other than short-term obligations with a remaining maturity
of less than sixty days) are generally valued at market price, 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. 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 pursuant to the procedures approved by the
Board of Trustees.
The Fund 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.
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, and interest income is recorded on an accrual basis. Interest
income is increased by the accretion of discount and decreased by the
amortization of premium. 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 Fund 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 Fund's 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.
14
The 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. At September 30, 2004, there were no open foreign
currency exchange contracts.
The 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. Contracts to buy generally are used
to acquire exposure to foreign currencies, while contracts to sell generally
are used to hedge the 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 September 30, 2004, there were no open
forward currency contracts.
E. FEDERAL AND FOREIGN INCOME TAXES. The Trust treats the Fund as a separate
entity for federal income tax purposes. The 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 and excise taxes have been
made. The 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. Permanent differences are primarily
due to differing treatments for book and tax purposes of items such as premium
amortization accruals. Temporary differences between book and tax distributable
earnings are primarily due to premium amortization accruals. 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. The Fund, through its custodian, receives delivery of
the underlying securities collateralizing repurchase agreements. It is the
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 the Fund's ability
to dispose of the underlying securities.
3. PURCHASES AND SALES OF SECURITIES. For the period ended September 30,
2004, purchases and sales of securities (excluding short-term investments and
U.S. Government/Agency securities) were $9,275,731 and $1,033,141,
respectively. Purchases and sales of U.S. Government/Agency securities
(excluding short-term investments) were $2,027,106 and $2,010,471, respectively.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES. Loomis Sayles has agreed to pay, without reimbursement
from the Fund or the Trust, the following expenses associated with the
operation of the Fund: compensation to trustees of the Trust who are not
"interested persons" (as defined in the 1940 Act) of the Trust; registration,
filing and other fees in connection with requirements of regulatory
authorities; the charges and expenses of any entity appointed by the Fund for
custodial, paying agent, shareholder servicing and plan agent services; charges
and expenses of the independent registered public accounting firm retained by
the Fund; charges and expenses of any transfer agents and registrars appointed
by the Fund; any cost of certificates representing shares of the Fund; legal
fees and expenses in connection with the day-to-day affairs of the Fund,
including registering and qualifying its shares with Federal and State
regulatory authorities; expenses of meetings of shareholders and trustees of
the Trust; the costs of services, including services
15
NOTES TO FINANCIAL STATEMENTS - continued
FOR THE PERIOD ENDED SEPTEMBER 30, 2004
of counsel, required in connection with the preparation of the Fund's
registration statements and prospectuses, including amendments and revisions
thereto, annual, semiannual and other periodic reports of the Fund, and notices
and proxy solicitation material furnished to shareholders of the Fund or
regulatory authorities, and any costs of printing or mailing these items; and
the Fund's expenses of bookkeeping, accounting, auditing and financial
reporting, including related clerical expenses.
Loomis Sayles serves as investment adviser to the Fund. Under the terms of
the management agreement, Loomis Sayles does not charge the Fund an investment
advisory fee, also known as a management fee, or any other fee for those
services or for bearing those expenses. Although the Fund does not compensate
Loomis Sayles directly for services under the advisory agreement, Loomis Sayles
will typically receive an advisory fee from the sponsors of "wrap programs,"
who in turn charge the programs participants.
Certain officers and employees of Loomis Sayles are also officers or
Trustees of the Trust. Loomis Sayles' general partner is indirectly owned by
CDC IXIS Asset Management North America, L.P. ("CDC IXIS North America"). CDC
IXIS North America is ultimately owned by three large affiliated French
financial services entities: Caisse des Depots et Consignations ("CDC"), a
public sector financial institution created by the French government in 1816;
Caisse des Nationales des Caisses d'Epargne, a financial institution owned by
CDC and by affiliated French savings banks known as Caisse d'Epargne; and CNP
Assurances, a large French life insurance company.
B. ACCOUNTING AND ADMINISTRATIVE FEES. CDC IXIS Asset Management Services,
Inc. ("CIS"), a wholly owned subsidiary of CDC IXIS North America, performs
certain accounting and administrative services for the Fund and has
subcontracted with State Street Bank and Trust Company ("State Street Bank"),
to serve as sub-administrator. For these services, Loomis Sayles has agreed to
pay, without reimbursement from the Trust or Fund, fees to CIS for services to
the Fund under this agreement.
C. TRANSFER AGENT FEES. CIS serves as transfer and shareholder servicing
agent for the Fund and has subcontracted with Boston Financial Data Services
("BFDS") to serve as sub-transfer agent. For these services, Loomis Sayles has
agreed to pay, without reimbursement from the Trust or Fund, fees to CIS for
services to the Fund under this agreement.
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
Fund. The Distributor currently is not paid a fee for serving as Distributor
for the Fund. Loomis Sayles has agreed to reimburse the Distributor to the
extent the Distributor incurs expenses in connection with any redemptions of
Fund shares.
E. TRUSTEES FEES AND EXPENSES. The Trust does not pay any compensation directly
to its officers or Trustees who are directors, officers or employees of Loomis
Sayles, CDC IXIS Distributors, CDC IXIS North America, CIS or their affiliates.
Each other Trustee who is an independent Trustee of the Loomis Sayles Funds
Trusts (Loomis Sayles Funds I and Loomis Sayles Funds II) and the CDC Nvest
Funds Trusts (CDC Nvest Funds Trust I and CDC Nvest Funds Trust II), receives,
in the aggregate, a retainer fee at the annual rate of $50,000 and meeting
attendance fees of $5,000 for each meeting of the Board of Trustees attended.
Each committee chairman receives an additional retainer fee at the annual rate
of $7,000. Each committee member receives a meeting attendance fee of $3,750
per committee meeting attended. In addition, the independent co-chairmen of the
Board split an additional $50,000 annual retainer fee. These fees are allocated
to the various series of the Loomis Sayles Funds Trusts and the 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. Loomis Sayles has agreed to pay
without reimbursement from the Trust or Fund, the Trustees for the Fund's pro
rata portion of its Trustees fees.
Prior to July 1, 2004, the Trust paid each independent Trustee a $45,000
annual retainer and a $4,500 fee per meeting attended. In addition, each
committee member received a retainer fee at the annual rate of $7,000 while
each committee chairman received a $5,000 annual retainer (beyond the $7,000).
Each committee member received a $1,750 fee per meeting attended. The retainer
fees assumed four Board or Committee meetings per year.
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
the Fund or certain other series of the Loomis Sayles Funds Trusts or CDC Nvest
Funds Trusts on the normal payment date.
F. PUBLISHING SERVICES. CIS performs certain desktop publishing services for
the Fund. Loomis Sayles has agreed to reimburse CIS to the extent that CIS
incurs expenses in connection with such services.
5. LINE OF CREDIT. The Fund, together with certain other funds of the Loomis
Sayles Funds Trusts, participates 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,
16
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 period ended September 30, 2004, the Fund had no borrowings
under the agreement. Loomis Sayles has agreed to pay, without reimbursement
from the Trust or Fund, such fees to State Street Bank.
6. CAPITAL SHARES. The Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
Period Ended September 30, 2004(a)
----------------------------------
Shares Amount
--------- ----------
Issued from the sale of shares..................... 857,271 $8,550,000
Issued in connection with the
reinvestment of distributions.................... 22,382 220,805
Redeemed........................................... -- --
---------------- -----------------
Net change......................................... 879,653 $8,770,805
---------------- -----------------
(a)From April 13, 2004, commencement of operations.
7. ADDITIONAL TAX INFORMATION. The tax character of distributions paid to
shareholders during the period ended September 30, 2004 were as follows:
2004
--------
Distributions paid from:
Ordinary Income......... $220,805
8. SUBSEQUENT EVENT. Effective November 1, 2004, the names of the
Distributor and the Administrator and Transfer Agent will change as follows:
Old Name New Name
CDC IXIS Asset Management Distributors, L.P. IXIS Asset Management Distributors, L.P.
CDC IXIS Asset Management Services, Inc..... IXIS Asset Management Services Company
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
Loomis Sayles High Income Opportunities Fund
In our opinion, the accompanying statement of assets and liabilities,
including the portfolio of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Loomis Sayles
High Income Opportunities Fund, a series of Loomis Sayles Funds I (hereinafter
referred to as the "Fund"), at September 30, 2004, and the results of its
operations, the changes in its net assets and the financial highlights for the
period April 13, 2004 (commencement of operations) through September 30, 2004,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management; our responsibility is to express an opinion on these
financial statements based on our audit. We conducted our audit of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit, which included confirmation
of securities at September 30, 2004 by correspondence with the custodian and
brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 16, 2004
18
The table below provides certain information regarding the Trustees and
officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts").
Unless otherwise indicated, the address of all persons below is 399 Boylston
Street, Boston, MA 02116
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- ----------------------------------------------------------------------------------------------------------------------
Independent Trustees
Graham T. Allison, Jr. (64) Trustee, Douglas Dillon Professor and Director of 41; Director, Taubman Centers,
Contract the Belfer Center of Science for Inc.; Advisory Board Member,
Review and International Affairs, John F. Kennedy USEC Inc.
Governance School of Government, Harvard
Committee University
Member,
Since 2003
Edward A. Benjamin (66) Trustee, Audit Retired 41; Director, Coal, Energy
Committee Investments & Management,
Member, LLC; Director, Precision Optics
Since 2002 Corporation
Daniel M. Cain (59) Trustee, President and CEO, Cain Brothers & 41; Trustee, Universal Health
Chairman of Company, Incorporated Realty Income Trust; Director,
the Audit Sheridan Healthcorp
Committee,
Since 2003
Co-Chairman
of the Board
Since 2004
Paul G. Chenault (70) Trustee, Retired; Trustee, First Variable Life 41; Director, Mailco Office
Contract Products, Inc.
Review and
Governance
Committee
Member,
Since 2000 for
Loomis Sayles
Funds II and
2002 for
Loomis Sayles
Funds I
Kenneth J. Cowan (72) Trustee, Retired 41; None
Chairman of
the Contract
Review and
Governance
Committee,
Since 2003, Co-
Chairman of the
Board Since
2004
19
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- ---------------------------------------------------------------------------------------------------------------------
Independent Trustees
continued
Richard Darman (61) Trustee, Partner, The Carlyle Group; Chairman of 41; Director and Chairman, AES
Contract the Board of Directors of AES Corporation
Review and Corporation; formerly, Professor, John
Governance F. Kennedy School of Government,
Committee Harvard University
Member,
Since 2003
Sandra O. Moose (62) Trustee, Audit President, Strategic Advisory Services; 41; Director, Verizon
Committee formerly, Senior Vice President and Communications;
Member, Director, The Boston Consulting Group, Director, Rohm and Haas
Since 2003 Inc. Company;
Director, AES Corporation
John A. Shane (71) Trustee, President, Palmer Service Corporation 41; Director, Gensym
Contract Corporation; Director, Overland
Review and Storage, Inc.; Director, Abt
Governance Associates Inc.
Committee
Member,
Since 2003
Interested Trustees
Robert J. Blanding/1/ (57) Trustee, President, Chairman, Director, and Chief 41; None
555 California Street Since 2002 Executive Officer, Loomis Sayles;
San Francisco, CA 94104 President and
CEO of Loomis
Sayles Funds I
and Chief
Executive
Officer of
Loomis Sayles
Funds II,
Since 2003
John T. Hailer/2/ (43) Trustee, President and Chief Executive Officer, 41; None
Since 2003; CDC IXIS Asset Management
President of Distributors, L.P.; President and Chief
Loomis Sayles Executive Officer - CDC Nvest Funds
Funds II
Since 2003
Executive Vice
President,
Loomis Sayles
Funds I;
Since 2003
20
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- -----------------------------------------------------------------------------------------------------------------
Officers
John E. Pelletier (40) Chief Operating President and Chief Executive Officer, Not Applicable
Officer, CDC IXIS Asset Management Services,
Since 2004 Inc.; Executive Vice President, CDC
IXIS Distribution Corporation;
Executive Vice President and Chief
Operating Officer, CDC IXIS Asset
Management Distributors, L.P. and CDC
IXIS Asset Management Advisers, L.P.;
formerly, Senior Vice President, General
Counsel, Secretary and Clerk, CDC IXIS
Distribution Corporation; Executive
Vice President, General Counsel,
Secretary and Clerk, CDC IXIS Asset
Management Distributors, L.P., CDC
IXIS Asset Management Advisers, L.P.;
Executive Vice President, General
Counsel, Secretary and Clerk, CDC IXIS
Asset Management Services, Inc.
Coleen Downs Dinneen (43) Secretary, Clerk Senior Vice President, General Counsel, Not Applicable
and Chief Legal Secretary and Clerk, CDC IXIS
Officer, Distribution Corporation, CDC IXIS
Since 2004 Asset Management Distributors, L.P.,
CDC IXIS Asset Management Advisers,
L.P. and CDC IXIS Asset Management
Services, Inc.; formerly, Senior Vice
President, Deputy General Counsel,
Assistant Secretary and Assistant Clerk,
CDC IXIS Asset Management Advisers,
L.P., CDC IXIS Asset Management
Services, Inc. and Vice President Deputy
General Counsel, Assistant Secretary
and Assistant Clerk, CDC IXIS
Distribution Corporation
Michael Kardok (45) Treasurer, Senior Vice President, CDC IXIS Asset Not Applicable
Principal Management Services, Inc.; Senior Vice
Financial and President, CDC IXIS Asset Management
Accounting Advisers, L.P.; formerly, Senior
Officer, Director, PFPC, Inc., Vice President-
Since 2004 Division Manager, First Data Investor
Services Group, Inc.
Kristin Vigneaux (35) Chief Chief Compliance Officer for Mutual Not Applicable
Compliance Funds, CDC IXIS Asset Management
Officer, Distributors, L.P., CDC IXIS Asset
Since 2004 Management Advisers, L.P. and CDC
IXIS Asset Management Services, Inc.;
formerly, Vice President CDC IXIS
Asset Management Services, Inc.
Daniel J. Fuss (70) Executive Vice Vice Chairman and Director, Loomis Not Applicable
One Financial Center President for Sayles & Company, L.P.; Prior to 2002,
Boston, MA 02111 Loomis Sayles President and Trustee of Loomis Sayles
Funds I, Funds II
Since 2004
21
Position(s)
Held with the
Trusts, Length of Number of Portfolios in Fund
Time Served and Principal Occupation(s) Complex Overseen and
Name and Age Term of Office/*/ During Past 5 Years/**/ Other Directorships Held
- -----------------------------------------------------------------------------------------------------
Officers
continued
Frank LoPiccolo (50) Anti-Money President and CEO, CDC IXIS Asset Not Applicable
Laundering Management Services, Inc.
Officer,
Since 2003
*Each Trustee serves for an indefinite term in accordance with its current
By-Laws until the date his or her successor is elected and qualified, or
until he or she sooner dies, retires, is removed or becomes disqualified. At
a meeting held on February 27, 2004, the Trustees voted to suspend the
retirement policy until 2005.
**Previous positions during the past five years with the Distributor or Loomis
Sayles are omitted if not materially different from a trustee's or officer's
current position with such entity. As indicated, each Trustee is also a
trustee of certain other investment companies for which the Distributor acts
as principal underwriter.
1 Mr. Blanding is deemed an "interested person" of the Trusts because he holds
the following positions with affiliated persons of the Trusts: President,
Chairman, Director and Chief Executive Officer of Loomis Sayles.
2 Mr. Hailer is an "interested person" of the Trusts because he holds the
following positions with affiliated persons of the Trusts: Director and
Executive Vice President of CDC IXIS Asset Management Distribution
Corporation and President and Chief Executive Officer of CDC IXIS Asset
Management Advisers, L.P.
The Statement of Additional Information includes additional information
about the Trustees of the Trust and is available, without charge, by calling
Loomis Sayles at 800-633-3330.
22
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. Ms.
Sandra O. Moose, and Messrs. Edward A. Benjamin and Daniel M. Cain, all members
of the audit committee, have been designated as financial experts. Each of these
individuals is also an Independent Trustee of the Trust.
Item 4. Principal Accountant Fees and Services.
Fees paid to Principal Accountant by the Fund. The table below sets forth fees
billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two
fiscal years for professional services rendered in connection with a) the audit
of the Trust's annual financial statements and services provided in connection
with regulatory filings; b) audit-related services (including services that are
reasonably related to the performance of the audit of the registrant's financial
statements and but not reported under "Audit Fees"); c) tax compliance, tax
advice and tax planning and d) all other fees billed for professional services
rendered by the principal accountant to the Trust, other than the services
provided reported as a part of (a) through (c) of this Item.
Audit fees Audit-related fees/1/ Tax fees/2/ All other fees
- --------------------------------------------------------------------------------------------------------
2003 2004 2003 2004 2003 2004 2003 2004
- --------------------------------------------------------------------------------------------------------
Loomis Sayles Funds I $353,700 $284,000 $48,000 $15,000 $69,230 $60,200 -- --
- --------------------------------------------------------------------------------------------------------
Aggregate fees billed to the Trust for non-audit services for 2004 and 2003 were
$75,200 and $117,230, respectively.
Fees paid to Principal Accountant By Adviser and Control Affiliates. The
following table sets forth the non-audit services provided by the Trust's
principal accountant to CDC IXIS Asset Management Advisers, L.P. and entities
controlling, controlled by or under common control with CDC IXIS Asset
Management Advisers, L.P. that provide ongoing services to the Trust ("Control
Affiliates") for the last two fiscal years.
Audit-related fees/1/ Tax fees All other fees
- ----------------------------------------------------------------------------
2003 2004 2003 2004 2003 2004
- ----------------------------------------------------------------------------
Control Affiliates 65,000 63,600 -- -- $45,000 $54,400
- ----------------------------------------------------------------------------
[1. The audit related fees consist of performing a SAS 70 internal examination
of the Trust's transfer agent and a review of 12b-1 payments made to a Trust
affiliate]
Aggregate fees billed to Control Affiliates for non-audit services during 2003
and 2004 were $110,000 and $118,000, respectively
None of the services described above were approved pursuant to (c)(7)(i)(C) of
Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Trust's Audit Committee reviews the audit,
audit-related, tax and other non-audit services together with the projected
fees, for services proposed to be rendered to the Trust and/or other entities
for which pre-approval is required during the upcoming year. Any subsequent
revisions to already pre-approved services or fees (including fee increases) and
requests for pre-approval of new services would be presented for consideration
quarterly as needed.
If, in the opinion of management, a proposed engagement by the Trust's
independent accountants
needs to commence before the next regularly scheduled Audit Committee meeting,
any member of the Audit Committee who is an independent Board member is
authorized to pre-approve the engagement, but only for engagements to provide
audit, audit related and tax services. This approval is subject to review of the
full Audit committee at its next quarterly meeting. All other engagements
require the approval of all the members of the audit committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures 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.
The following represents new procedures by which shareholders may
recommend nominees to the registrant's board of trustees:
Shareholders that wish to nominate a candidate to the Board (the
"Nominating Shareholder") must submit any such recommendation in writing to the
following address: Attention of the Board of Trustees, c/o Secretary of the
Funds, IXIS Asset Management Services Advisors Group, 399 Boylston Street,
Boston, MA 02116; or by email to secretaryofthefunds@ixisag.com (the
"Shareholder Recommendation"). The Shareholder Recommendation must contain
sufficient background information concerning the candidate to enable a proper
judgment to be made as to the candidate's qualifications, which may include (i)
the nominee's knowledge of the mutual fund industry; (ii) any experience
possessed by the nominee as a director or senior officer of other public
companies; (iii) the nominee's educational background; (iv) the nominee's
reputation for high ethical standards and personal and professional integrity;
(v) any specific financial, technical or other expertise possessed by the
nominee, and the extent to which such expertise would complement the Board's
existing mix of skills and qualifications; (vi) the nominee's perceived ability
to contribute to the ongoing functions of the Board, including the nominee's
ability and commitment to attend meetings regularly and work collaboratively
with other members of the Board; (vii) the nominee's ability to qualify as an
Independent Trustee for purposes of applicable regulations; and (viii) such
other factors as the appropriate Board Committee may request in light of the
existing composition of the Board and any anticipated vacancies or other
transitions. The Shareholder Recommendation must be received in a timely manner
(and in any event no later than the date specified for receipt of shareholder
proposals in any applicable proxy statement with respect to a Fund). A
Shareholder Recommendation shall be kept on file and considered by the Board for
six (6) months from the date of receipt, after which the Shareholder
Recommendation shall be considered stale and discarded.
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)(1) Code of Ethics required by Item 2 hereof, filed herewith as exhibit
(a)(1)
(a)(2) Certifications of Principal Executive Officer and Principal
Financial Officer pursuant to 30a-2 under the Investment Company Act
of 1940 (17 CFR 270.30a-2), filed herewith as exhibit (a)(2)(1) and
(a)(2)(2)
(a)(3) Not applicable.
(b) Certification of Principal Executive Officer and Principal Financial
Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are
filed herewith as Exhibit (b)
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds I
By: /s/ ROBERT J. BLANDING
--------------------------------------
Name: Robert J. Blanding
Title: President & Chief Executive Officer
Date: December 21, 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: December 21, 2004
By: /s/ MICHAEL KARDOK
--------------------------------------
Name: Michael Kardok
Title: Treasurer, Principal Financial and
Accounting Officer
Date: December 21, 2004