UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06241
Loomis Sayles Funds II
(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: March 31, 2005
Item 1. Reports to Stockholders.
[LOGO]
Income Funds
Semiannual Report
March 31, 2005
[LOGO]
Loomis Sayles Core Plus Bond Fund
Loomis Sayles High Income Fund
Loomis Sayles Limited Term Government and Agency Fund
Loomis Sayles Massachusetts Tax Free Income Fund
Loomis Sayles Municipal Income Fund
Loomis Sayles Strategic Income Fund
TABLE OF CONTENTS
Management Discussion
and Performance........Page 1
Schedule of InvestmentsPage 17
Financial Statements...Page 39
LOOMIS SAYLES CORE PLUS BOND FUND
PORTFOLIO PROFILE
Objective:
Seeks a high level of current income consistent with what the fund considers
reasonable risk. It invests primarily in corporate and U.S. government bonds.
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Strategy:
Invests primarily in U.S. corporate and U.S. government bonds
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Fund Inception:
November 7, 1973
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Managers:
Peter W. Palfrey
Richard G. Raczkowski
Loomis, Sayles & Company, L.P.
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Symbols:
Class A NEFRX
Class B NERBX
Class C NECRX
Class Y NERYX
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What You Should Know:
Fixed-income securities are subject to credit risk and interest rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. This fund may invest in lower-rated bonds with higher yields and
increased risks; securities subject to prepayment risk; and foreign market
securities with special risks.
Management Discussion
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After delivering strong returns in the fourth quarter of 2004, bonds in many
market segments encountered rising interest rates in the January - March
period, which depressed prices. Investment-grade corporate bonds, which were
solid performers in 2004, underperformed early in 2005, while high-yield and
non-U.S.-dollar issues held on to more of their gains.
For the six months ended March 31, 2005, the total return of Loomis Sayles Core
Plus Bond Fund's Class A shares at net asset value was 0.63%, including $0.34
in dividends reinvested during the period. The fund's benchmark, the Lehman
Aggregate Bond Index, returned 0.47% for the same period, while Morningstar's
Intermediate-Term Bond category averaged a 0.40% return. At the end of March
2005, the fund's 30-day SEC yield was 3.87%.
MARKETS CAME FULL CIRCLE
Bond markets rose and then fell, leaving key segments about where they had
started six months earlier. Ongoing economic expansion favored corporate
sectors, and lower-rated, high-yield holdings made a strong contribution to
fund results. Smaller positive returns came from Canadian issues and
mortgage-backed securities. However, U.S. agency bonds were held back by
political and regulatory pressures. Talk of increased inflation in the United
States became widespread in the first quarter of 2005, driving some investors
to reduce their exposure to fixed-income securities.
WIRELINE, CABLE AND FOOD ISSUES LED RETURNS
Cable and media bonds rose as the economy expanded, favoring consumer-related
sectors. "Wirelines" (conventional, land-based telephones) saw a flurry of
activity centered on the acquisition of AT&T by SBC Communications, which led
to a sharp rise in the price of AT&T bonds. Qwest bonds also moved higher as
the company strengthened its finances and improved operating effectiveness.
Sprint bonds also moved up. Because of their low valuation and high yield, our
purchase of Dean Foods - a leading producer of dairy, soy and specialty food
products - benefited the fund as bonds appreciated. Bonds of Ambev Cia De
Bebidas Das Ame, a Brazilian beverage company, moved higher as the markets
digested news of its agreement to join forces with Interbrew of Belgium.
HEALTHCARE AND REITS LAGGED, AUTOS FACING DOWNGRADES
The portfolio's commitment to high-yielding healthcare bonds and its holdings
in bonds issued by real estate investment trusts produced a minimal decline.
But automotive holdings were the fund's worst performers by a wide margin.
Damage was triggered by General Motors' announcement that it would fall short
of key production targets and by its gloomy earnings assessment for upcoming
quarters. Ford's obligations also declined as investors focused on potential
production cuts. Major ratings agencies have downgraded GM, and the market
expects these historically high-quality issues to be downgraded eventually into
the high-yield sector.
CORPORATE AND HIGH YIELD BONDS REMAIN THE FOCUS
Between December and February we trimmed the fund's holdings of high-yield
issues as yields shrank. As spreads narrowed, we have been selectively
replacing some of that allocation as we find opportunities. At the end of the
period, about half of the fund was invested in corporate bonds, reflecting our
view that the economy will continue to expand despite continued tightening by
the Federal Reserve Board. At the end of the period, high-yield bonds accounted
for about 19% of the fund's total net assets, most of which were rated BB, just
below investment grade. We also reduced non-U.S.-dollar commitments by taking
profits in some of the fund's Canadian bonds and all its euro-denominated
positions. Canada and Singapore remain the fund's largest non-U.S.-dollar
allocations at the end of the period.
1
LOOMIS SAYLES CORE PLUS BOND FUND
Investment Results through March 31, 2005
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PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
March 31, 1995 through March 31, 2005
Net Asset Maximum Sales Lehman Aggregte Lehman U.S.
Value /1/ Charge /2/ Bond Index /3/ Credit Index /4/
---------- ------------- --------------- ----------------
3/31/1995 $10,000 $ 9,550 $10,000 $10,000
4/30/1995 10,197 9,738 10,140 10,169
5/31/1995 10,647 10,168 10,532 10,648
6/30/1995 10,741 10,258 10,609 10,744
7/31/1995 10,683 10,203 10,586 10,696
8/31/1995 10,873 10,383 10,713 10,869
9/30/1995 11,008 10,513 10,818 10,998
10/31/1995 11,155 10,653 10,958 11,141
11/30/1995 11,329 10,819 11,122 11,354
12/31/1995 11,493 10,976 11,279 11,541
1/31/1996 11,541 11,022 11,353 11,616
2/29/1996 11,291 10,783 11,156 11,340
3/31/1996 11,235 10,729 11,079 11,243
4/30/1996 11,140 10,639 11,016 11,150
5/31/1996 11,130 10,629 10,994 11,130
6/30/1996 11,293 10,784 11,142 11,294
7/31/1996 11,321 10,811 11,172 11,315
8/31/1996 11,321 10,811 11,153 11,281
9/30/1996 11,583 11,062 11,348 11,520
10/31/1996 11,878 11,343 11,599 11,834
11/30/1996 12,164 11,617 11,798 12,087
12/31/1996 12,023 11,482 11,688 11,920
1/31/1997 12,090 11,546 11,724 11,937
2/28/1997 12,166 11,619 11,753 11,987
3/31/1997 11,985 11,446 11,623 11,800
4/30/1997 12,117 11,572 11,797 11,979
5/31/1997 12,280 11,728 11,908 12,115
6/30/1997 12,497 11,934 12,050 12,286
7/31/1997 12,999 12,414 12,374 12,736
8/31/1997 12,778 12,203 12,269 12,548
9/30/1997 13,032 12,446 12,450 12,767
10/31/1997 13,156 12,564 12,630 12,929
11/30/1997 13,217 12,622 12,689 13,002
12/31/1997 13,353 12,752 12,816 13,140
1/31/1998 13,530 12,921 12,981 13,296
2/28/1998 13,574 12,963 12,971 13,292
3/31/1998 13,658 13,043 13,016 13,341
4/30/1998 13,721 13,103 13,084 13,425
5/31/1998 13,861 13,237 13,208 13,584
6/30/1998 13,912 13,286 13,320 13,685
7/31/1998 13,876 13,251 13,348 13,672
8/31/1998 13,738 13,120 13,565 13,736
9/30/1998 14,269 13,627 13,883 14,181
10/31/1998 14,119 13,483 13,810 13,962
11/30/1998 14,400 13,752 13,888 14,225
12/31/1998 14,423 13,774 13,930 14,267
1/31/1999 14,579 13,923 14,029 14,408
2/28/1999 14,284 13,641 13,784 14,066
3/31/1999 14,481 13,830 13,861 14,165
4/30/1999 14,596 13,939 13,905 14,207
5/31/1999 14,279 13,636 13,783 14,017
6/30/1999 14,187 13,549 13,739 13,943
7/31/1999 14,132 13,496 13,680 13,866
8/31/1999 14,076 13,442 13,673 13,833
9/30/1999 14,314 13,669 13,832 13,983
10/31/1999 14,346 13,701 13,883 14,047
11/30/1999 14,368 13,721 13,882 14,062
12/31/1999 14,375 13,728 13,815 13,988
1/31/2000 14,315 13,671 13,770 13,938
2/29/2000 14,477 13,825 13,937 14,068
3/31/2000 14,675 14,014 14,120 14,187
4/30/2000 14,405 13,757 14,080 14,063
5/31/2000 14,298 13,655 14,073 14,010
6/30/2000 14,731 14,069 14,366 14,362
7/31/2000 14,818 14,152 14,496 14,536
8/31/2000 15,010 14,334 14,707 14,725
9/30/2000 15,032 14,356 14,799 14,803
10/31/2000 14,946 14,274 14,897 14,817
11/30/2000 15,088 14,409 15,141 15,009
12/31/2000 15,438 14,744 15,421 15,301
1/31/2001 15,821 15,109 15,674 15,719
2/28/2001 15,978 15,259 15,810 15,857
3/31/2001 15,997 15,277 15,889 15,955
4/30/2001 15,906 15,190 15,824 15,897
5/31/2001 16,008 15,287 15,919 16,043
6/30/2001 16,012 15,292 15,979 16,124
7/31/2001 16,418 15,679 16,336 16,545
8/31/2001 16,600 15,853 16,523 16,767
9/30/2001 16,530 15,786 16,716 16,743
10/31/2001 16,856 16,097 17,066 17,158
11/30/2001 16,745 15,991 16,830 17,009
12/31/2001 16,557 15,812 16,724 16,892
1/31/2002 16,519 15,776 16,859 17,035
2/28/2002 16,454 15,714 17,022 17,164
3/31/2002 16,275 15,543 16,739 16,847
4/30/2002 16,428 15,689 17,064 17,081
5/31/2002 16,566 15,821 17,209 17,308
6/30/2002 16,167 15,439 17,358 17,336
7/31/2002 15,979 15,260 17,567 17,327
8/31/2002 16,344 15,608 17,864 17,775
9/30/2002 16,398 15,660 18,153 18,113
10/31/2002 16,306 15,572 18,070 17,903
11/30/2002 16,616 15,868 18,065 18,135
12/31/2002 17,028 16,261 18,439 18,670
1/31/2003 17,123 16,352 18,454 18,731
2/28/2003 17,370 16,588 18,710 19,105
3/31/2003 17,420 16,636 18,695 19,119
4/30/2003 17,681 16,886 18,850 19,473
5/31/2003 18,033 17,222 19,201 20,087
6/30/2003 18,062 17,249 19,163 20,038
7/31/2003 17,442 16,658 18,519 19,183
8/31/2003 17,610 16,817 18,642 19,333
9/30/2003 18,117 17,302 19,135 20,009
10/31/2003 18,072 17,259 18,957 19,796
11/30/2003 18,182 17,364 19,002 19,886
12/31/2003 18,477 17,645 19,195 20,108
1/31/2004 18,635 17,797 19,350 20,311
2/29/2004 18,779 17,934 19,559 20,567
3/31/2004 18,920 18,068 19,706 20,766
4/30/2004 18,437 17,608 19,193 20,111
5/31/2004 18,275 17,453 19,116 19,970
6/30/2004 18,387 17,559 19,224 20,054
7/31/2004 18,594 17,758 19,415 20,302
8/31/2004 18,966 18,113 19,785 20,781
9/30/2004 19,074 18,216 19,839 20,897
10/31/2004 19,282 18,415 20,005 21,100
11/30/2004 19,244 18,378 19,846 20,888
12/31/2004 19,419 18,545 20,028 21,161
1/31/2005 19,465 18,589 20,154 21,329
2/28/2005 19,446 18,571 20,035 21,203
3/31/2005 19,187 18,329 19,932 20,939
Average Annual Returns -- March 31, 2005
6 MONTHS/7/ 1 YEAR/7/ 5 YEARS/7/ 10 YEARS/7/
CLASS A (Inception 11/7/73)
Net Asset Value/1/ 0.63% 1.45% 5.51% 6.73%
With Maximum Sales Charge/2/ -3.90 -3.13 4.55 6.25
CLASS B (Inception 9/13/93)
Net Asset Value/1/ 0.22 0.71 4.75 5.94
With CDSC/5/ -4.67 -4.12 4.42 5.94
CLASS C (Inception 12/30/94)
Net Asset Value/1/ 0.23 0.71 4.75 5.95
With CDSC/5/ -0.75 -0.25 4.75 5.95
CLASS Y (Inception 12/30/94)
Net Asset Value/1/ 0.76 1.70 5.96 7.09
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COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS
Lehman Aggregate Bond Index/3/ 0.47% 1.15% 7.14% 7.14%
Lehman U.S. Credit Index/4/ 0.20 0.84 8.10 7.67
Morningstar Int.-Term Bond Fund
Avg./6/ 0.40 0.79 6.35 6.38
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of any dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com. Class Y shares are available to
certain institutional investors only.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
CREDIT QUALITY 3/31/05
- -----------------------------
Aaa 46.7
- -----------------------------
Aa 0.3
- -----------------------------
A 4.8
- -----------------------------
Baa 26.7
- -----------------------------
Ba 15.9
- -----------------------------
B 2.6
- -----------------------------
Not rated* 1.1
- -----------------------------
Short term & other 1.9
- -----------------------------
Credit quality is based on ratings from Moody's Investors Service.
* Securities that are not rated by Moody's may be rated by another rating
agency or by Loomis Sayles.
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ----------------------------------------
1 year or less 2.8
- ----------------------------------------
1-5 years 51.7
- ----------------------------------------
5-10 years 34.6
- ----------------------------------------
10+ years 10.9
- ----------------------------------------
Average Effective Maturity 6.2 years
- ----------------------------------------
NOTES TO CHARTS
/1/Does not include a sales charge. Effective 2/1/04, a 1% front end sales
charge was removed from Class C shares.
/2/Includes the maximum sales charge of 4.50%.
/3/Lehman Aggregate Bond Index is an unmanaged index of investment-grade bonds
with one- to ten-year maturities issued by the U.S. government, its agencies
and U.S. corporations.
/4/Lehman U.S. Credit Index is an unmanaged index that includes all publicly
issued, fixed-rate, nonconvertible, dollar-denominated, SEC-registered, U.S.
investment-grade corporate debt, and foreign debt that meets specific
maturity, liquidity and quality requirements.
/5/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C share performance assumes a 1.00% CDSC applied when you sell shares
within one year of purchase.
/6/Morningstar Intermediate-Term Bond Fund Average is the average performance
without sales charges of funds with similar investment objectives, as
calculated by Morningstar, Inc.
/7/Fund performance has been increased by expense waivers, without which
performance would have been lower.
2
LOOMIS SAYLES HIGH INCOME FUND
PORTFOLIO PROFILE
Objective:
Seeks high current income plus the opportunity for capital appreciation to
produce a high total return
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Strategy:
Invests primarily in lower-quality fixed-income securities
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Fund Inception:
February 22, 1984
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Managers:
Kathleen C. Gaffney
Matthew J. Eagan
Loomis, Sayles & Company, L.P.
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Symbols:
Class A NEFHX
Class B NEHBX
Class C NEHCX
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What You Should Know:
Fixed-income securities are subject to credit risk and interest-rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. This fund emphasizes lower-rated, high-yield bonds that may involve
extra risks. It also invests in foreign securities which have special risks,
including political, economic, regulatory and currency risks.
Management Discussion
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High-yield bonds added to their record of favorable returns through most of the
period, thanks to low interest rates, shrinking default rates and ongoing
economic expansion. But the market's direction turned in March when inflation
and rising interest rates began to preoccupy investors.
For the six months ended March 31, 2005, the total return on Loomis Sayles High
Income Fund's Class A shares at net asset value was 5.25%, including $0.16 in
reinvested dividends. The fund's benchmark, the Lehman High Yield Composite
Index, returned 2.89% for the same period, while Morningstar's High Yield Bond
category averaged 2.79%. As of March 31, 2005, the fund's 30-day SEC yield was
6.37%.
LOWER-RATED ISSUES, SUPRANATIONALS AND UTILITIES DROVE RESULTS
The fund's robust results compared to its benchmark reflect its emphasis on
issues rated BBB through CCC - the rating tiers where performance was
strongest. High-yield issues were especially robust in the fourth quarter of
last year, mirroring the post-election rally in the stock market. The
Inter-American Development Bank, a supranational organization that works to
foster economic and social development in its member nations, rose dramatically
thanks largely to the strength of Brazil's currency, the real. Electric and
natural gas utilities contributed as these sectors rebounded from earlier lows.
There were no material shifts in sector weightings or in the portfolio's
sensitivity to interest rates over the period.
SELECTED ENERGY, UTILITY AND TELECOM BONDS HAD SOLID RETURNS
Although energy was not a major sector for the fund, bonds of Williams
Companies rose sharply. Williams has staged a productive restructuring of its
exploration, pipeline and other energy businesses and in three years has
reduced its debt load by more than $4 billion. Calpine Corporation, an
independent power producer serving western states and parts of Canada, rose in
a strong utilities sector. And Denver-based Qwest Communications, which
provides telephone and related services, boosted revenues beyond estimates and
increased sales per customer through bundling of add-on services.
RETAIL, PHARMACEUTICAL AND MINING ISSUES FELL
Bonds of Saks, Inc., which operates luxury and traditional department store
chains, declined as investors raised questions about the company's balance
sheet. In addition, the company's high-end Saks Fifth Avenue stores are seen as
vulnerable to a possible economic slowdown. Bonds of Vertex Pharmaceuticals
also fell. This biotech company develops new treatments both independently and
in collaboration with major drug firms, and faces the need to raise additional
capital while its newer products move through various trial phases. Mining and
construction company North American Energy Partners has disappointed investors
by missing initial projections; possible accounting problems have also
pressured the bonds.
POSITIONING FOR HIGHER RATES AND A FLATTER GROWTH CURVE
We view the cooling of the high-yield market that occurred in the first quarter
as a healthy breather. There may be other dips in the course of the year, as
the Federal Reserve Board continues to raise interest rates in an effort to
combat inflation. However, we believe economic growth should continue at a
moderate pace, giving us no reason to rethink our strong emphasis on high-yield
issues. We will continue to emphasize B-rated bonds because CCC-rated issues
have risen to price levels that seem to offer little further potential.
Overseas, economic growth in Japan and the European Union is likely to remain
sluggish. We see selective opportunities among emerging markets in Asia and
Latin America. Nations rich in metals and other natural resources, including
Canada, Australia and New Zealand, should continue to prosper. However, these
nations' economies are vulnerable to a slowdown in China. Broader concerns
include extremely high oil prices, terrorism and the still-volatile situation
in Iraq.
3
LOOMIS SAYLES HIGH INCOME FUND
Investment Results through March 31, 2005
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PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
March 31, 1995 through March 31, 2005
Net Asset Maximum Sales Lehman High Yield
Value /1/ Charge /2/ Composite Index /3/
--------- ------------- -------------------
3/31/1995 $10,000 $ 9,550 $10,000
4/30/1995 10,198 9,739 10,254
5/31/1995 10,387 9,919 10,542
6/30/1995 10,374 9,907 10,609
7/31/1995 10,553 10,078 10,743
8/31/1995 10,560 10,085 10,777
9/30/1995 10,614 10,136 10,909
10/31/1995 10,656 10,177 10,976
11/30/1995 10,676 10,195 11,073
12/31/1995 10,748 10,264 11,247
1/31/1996 10,945 10,452 11,445
2/29/1996 11,020 10,524 11,454
3/31/1996 10,999 10,504 11,446
4/30/1996 11,131 10,630 11,472
5/31/1996 11,252 10,745 11,541
6/30/1996 11,324 10,814 11,636
7/31/1996 11,433 10,919 11,690
8/31/1996 11,569 11,049 11,817
9/30/1996 11,926 11,389 12,101
10/31/1996 11,900 11,364 12,194
11/30/1996 12,145 11,598 12,437
12/31/1996 12,350 11,794 12,524
1/31/1997 12,360 11,804 12,638
2/28/1997 12,792 12,217 12,849
3/31/1997 12,622 12,054 12,664
4/30/1997 12,693 12,122 12,788
5/31/1997 13,114 12,524 13,071
6/30/1997 13,200 12,606 13,253
7/31/1997 13,560 12,950 13,616
8/31/1997 13,647 13,033 13,586
9/30/1997 14,053 13,421 13,855
10/31/1997 13,931 13,304 13,867
11/30/1997 14,118 13,483 14,000
12/31/1997 14,249 13,608 14,122
1/31/1998 14,463 13,812 14,377
2/28/1998 14,443 13,793 14,461
3/31/1998 14,591 13,935 14,597
4/30/1998 14,670 14,010 14,654
5/31/1998 14,647 13,988 14,705
6/30/1998 14,697 14,035 14,758
7/31/1998 14,674 14,014 14,842
8/31/1998 13,656 13,042 14,023
9/30/1998 13,526 12,918 14,087
10/31/1998 13,242 12,646 13,798
11/30/1998 14,193 13,554 14,370
12/31/1998 14,004 13,374 14,386
1/31/1999 14,319 13,675 14,600
2/28/1999 14,410 13,761 14,514
3/31/1999 14,643 13,984 14,652
4/30/1999 14,958 14,285 14,936
5/31/1999 14,591 13,935 14,734
6/30/1999 14,551 13,896 14,702
7/31/1999 14,492 13,840 14,761
8/31/1999 14,266 13,624 14,598
9/30/1999 14,174 13,536 14,493
10/31/1999 14,301 13,658 14,397
11/30/1999 14,396 13,748 14,565
12/31/1999 14,564 13,909 14,730
1/31/2000 14,402 13,754 14,667
2/29/2000 14,467 13,816 14,695
3/31/2000 14,030 13,399 14,386
4/30/2000 14,022 13,391 14,409
5/31/2000 13,631 13,017 14,261
6/30/2000 14,044 13,412 14,552
7/31/2000 14,126 13,491 14,663
8/31/2000 14,070 13,437 14,763
9/30/2000 13,779 13,159 14,634
10/31/2000 13,091 12,502 14,165
11/30/2000 12,003 11,463 13,604
12/31/2000 12,218 11,668 13,867
1/31/2001 13,637 13,023 14,906
2/28/2001 13,568 12,958 15,104
3/31/2001 12,875 12,296 14,749
4/30/2001 12,480 11,918 14,565
5/31/2001 12,514 11,950 14,827
6/30/2001 11,795 11,264 14,412
7/31/2001 12,028 11,486 14,624
8/31/2001 11,935 11,398 14,796
9/30/2001 10,849 10,361 13,802
10/31/2001 10,730 10,247 14,143
11/30/2001 11,077 10,579 14,659
12/31/2001 10,917 10,425 14,599
1/31/2002 10,984 10,490 14,701
2/28/2002 10,650 10,171 14,496
3/31/2002 10,937 10,445 14,845
4/30/2002 10,847 10,359 15,082
5/31/2002 10,689 10,208 14,998
6/30/2002 9,925 9,478 13,892
7/31/2002 9,256 8,839 13,286
8/31/2002 9,581 9,149 13,664
9/30/2002 9,225 8,810 13,485
10/31/2002 9,220 8,806 13,367
11/30/2002 9,834 9,391 14,195
12/31/2002 9,951 9,503 14,394
1/31/2003 10,162 9,704 14,873
2/28/2003 10,304 9,840 15,056
3/31/2003 10,570 10,094 15,490
4/30/2003 11,181 10,677 16,409
5/31/2003 11,376 10,864 16,578
6/30/2003 11,622 11,099 17,055
7/31/2003 11,391 10,878 16,867
8/31/2003 11,511 10,993 17,061
9/30/2003 11,889 11,354 17,528
10/31/2003 12,142 11,596 17,882
11/30/2003 12,396 11,838 18,153
12/31/2003 12,727 12,154 18,564
1/31/2004 12,924 12,343 18,918
2/29/2004 12,867 12,288 18,871
3/31/2004 12,941 12,358 18,999
4/30/2004 12,644 12,075 18,869
5/31/2004 12,317 11,763 18,550
6/30/2004 12,583 12,017 18,816
7/31/2004 12,685 12,114 19,072
8/31/2004 13,031 12,445 19,446
9/30/2004 13,212 12,618 19,728
10/31/2004 13,504 12,897 20,084
11/30/2004 13,718 13,100 20,327
12/31/2004 14,044 13,412 20,630
1/31/2005 14,091 13,456 20,603
2/28/2005 14,417 13,769 20,906
3/31/2005 13,905 13,273 20,298
Average Annual Total Returns -- March 31, 2005
SINCE
6 MONTHS 1 YEAR 5 YEARS 10 YEARS/6/ INCEPTION/6/
CLASS A (Inception 2/22/84)
Net Asset Value/1/ 5.25% 7.47% -0.18% 3.35% --
With Maximum Sales Charge/2/ 0.46 2.64 -1.10 2.87 --
CLASS B (Inception 9/20/93)
Net Asset Value/1/ 4.64 6.67 -0.92 2.61 --
With CDSC/4/ -0.36 1.67 -1.18 2.61 --
CLASS C (Inception 3/2/98)
Net Asset Value/1/ 4.64 6.67 -0.92 -- -1.30%
With CDSC/4/ 3.64 5.67 -0.92 -- -1.30
- -----------------------------------------------------------------------------------------
SINCE
CLASS C
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS INCEPTION/7/
Lehman High Yield Composite Index/3/ 2.89% 6.84% 7.13% 7.34% 4.82%
Morningstar High Yield Bond Fund Avg./5/ 2.79 6.34 5.04 6.07 2.93
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com. Performance history includes periods
from a predecessor fund.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
CREDIT QUALITY 3/31/05
- -------------------------------
Aaa 2.8
- -------------------------------
Aa 1.0
- -------------------------------
Baa 3.0
- -------------------------------
Ba 34.2
- -------------------------------
B 26.7
- -------------------------------
Caa 15.7
- -------------------------------
Ca 1.2
- -------------------------------
Not rated* 13.8
- -------------------------------
Short term & other 1.6
- -------------------------------
Credit quality is based on ratings from Moody's Investors Service.
* Securities that are not rated by Moody's may be rated by another rating
agency or by Loomis Sayles.
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ------------------------------------------
1 year or less 1.5
- ------------------------------------------
1-5 years 22.3
- ------------------------------------------
5-10 years 34.4
- ------------------------------------------
10+ years 41.8
- ------------------------------------------
Average Effective Maturity 12.2 years
- ------------------------------------------
NOTES TO CHARTS
/1/Does not include a sales charge. Effective 2/1/04, a 1% front end sales
charge was removed from Class C shares.
/2/Includes the maximum sales charge of 4.50%.
/3/Lehman High Yield Composite Index is a market-weighted, unmanaged index of
fixed-rate, non-investment grade debt.
/4/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C share performance assumes a 1.00% CDSC applied when you sell shares
within one year of purchase.
/5/Morningstar High Yield Bond Fund Average is the average performance without
sales charge of funds with similar investment objectives, as calculated by
Morningstar, Inc.
/6/Fund performance has been increased by expense waivers, without which
performance would have been lower.
/7/The since-inception comparative performance figures shown for Class C shares
are calculated from 3/31/98.
4
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
PORTFOLIO PROFILE
Objective:
Seeks a high current return consistent with preservation of capital
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in securities issued or guaranteed by the U.S. government,
its agencies or instrumentalities
- --------------------------------------------------------------------------------
Fund Inception:
January 3, 1989
- --------------------------------------------------------------------------------
Managers:
John Hyll
Clifton V. Rowe
Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A NEFLX
Class B NELBX
Class C NECLX
Class Y NELYX
- --------------------------------------------------------------------------------
What You Should Know:
Fixed-income securities are subject to credit risk and interest rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. Securities issued by the U.S. government are guaranteed by the U.S.
government if held to maturity; mutual funds that invest in these securities
are not guaranteed. Securities issued by U.S. government agencies may not be
government guaranteed.
Management Discussion
- --------------------------------------------------------------------------------
High-quality bonds with shorter maturities, normally a defensive haven for
investors, failed to perform as well as lower-quality, longer-term bonds during
most of the six-month period ended March 31, 2005. Rising interest rates sent
bond prices down, while demand from investors seeking income supported prices
of higher-yielding bonds.
Loomis Sayles Limited Term Government and Agency Fund's total return for the
first half of its fiscal year was -0.16% based on the net asset value of Class
A shares and $0.16 in dividends reinvested. The fund had a slight edge over its
benchmark, the Lehman 1-5 Year Government Bond Index, which had a total return
of -0.49% for the period, while the average return on the funds in
Morningstar's Short Government category was -0.13%. The fund's 30-day SEC yield
was 3.12% at the end of March 2005.
MORTGAGE-BACKED SECURITIES PROVIDED YIELD ADVANTAGE
As the Federal Reserve Board's systematic rate-hike program raised short-term
rates, bond prices in that market segment declined. Mortgage-backed securities
typically offer a higher payout than Treasury securities because they are
regarded as riskier, and the yield advantage they provided helped to offset
some of the negative effects of declining bond prices. The fund's relative
performance also benefited because it had a smaller portion of assets in
lower-yielding U.S. Treasury securities than the benchmark.
PORTFOLIO MAINTAINING A "BARBELL" CONFIGURATION
Both long- and short-term interest rates generally move in the same direction
over time, but the Fed can only directly control the federal funds rate, which
has the strongest effect on other short rates. Since the Fed started raising
rates last June, long rates have remained relatively stable. When long and
short rates come together, a pattern known as a flattened yield curve is
created. In this environment, we have been maintaining the portfolio in a
"barbell" configuration, with assets clustered at both the shorter and longer
end of the yield curve. A barbelled portfolio generally outperforms in a
flattening yield-curve environment.
DURATION IS NEUTRAL, MORTGAGES ARE TRIMMED DOWN
The fund currently has a duration - a measure of a portfolio's sensitivity to
changing bond prices - that is similar to its benchmark and peer groups. We
expect interest rates to continue to rise through the end of 2005, but at a
modest pace. Usually in a rising interest-rate environment, prices on
securities with longer maturities will decline more than shorter issues, but
this is likely to be at least partially offset by the yield advantage of longer
maturity securities.
We also gradually reduced the fund's position in mortgage-backed securities.
Although we believe there are still opportunities in this sector, they may be
more limited at this stage in the market cycle given the relative price
appreciation that has already taken place.
MARKET SHIFT MAY BE UNDERWAY
As the fiscal period drew to a close, increased concerns about the inflationary
pressures of high prices for oil and other commodities began to cause interest
rates to rise. For most sectors of the bond market, we believe yield spreads
are likely to widen modestly in fits and starts throughout 2005, leading to
less generous returns than in recent years. Rising rates could mean lackluster
returns for Treasuries. However, we view the recent shift in the market as
healthy, and our forecast for economic growth, profits and credit quality
remains positive.
5
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
March 31, 1995 through March 31, 2005
Lehman Int. Lehman 1-5 Year
Net Asset Maximum Sales Government Bond Government Bond
Value (1) Charge (2) Index (3) Index (4)
--------- ------------- --------------- ---------------
3/31/1995 $10,000 $ 9,700 $10,000 $10,000
4/30/1995 10,099 9,796 10,116 10,103
5/31/1995 10,382 10,070 10,401 10,334
6/30/1995 10,427 10,115 10,467 10,394
7/31/1995 10,422 10,110 10,472 10,418
8/31/1995 10,514 10,199 10,559 10,490
9/30/1995 10,579 10,262 10,630 10,549
10/31/1995 10,725 10,403 10,746 10,650
11/30/1995 10,854 10,528 10,877 10,761
12/31/1995 10,968 10,639 10,985 10,853
1/31/1996 11,028 10,697 11,077 10,950
2/29/1996 10,896 10,569 10,960 10,876
3/31/1996 10,827 10,502 10,910 10,843
4/30/1996 10,799 10,475 10,878 10,834
5/31/1996 10,762 10,439 10,873 10,842
6/30/1996 10,846 10,521 10,983 10,936
7/31/1996 10,870 10,544 11,017 10,975
8/31/1996 10,866 10,540 11,030 11,003
9/30/1996 11,004 10,674 11,172 11,122
10/31/1996 11,181 10,845 11,355 11,274
11/30/1996 11,321 10,981 11,492 11,380
12/31/1996 11,230 10,893 11,431 11,352
1/31/1997 11,277 10,939 11,475 11,403
2/28/1997 11,292 10,953 11,493 11,425
3/31/1997 11,233 10,896 11,428 11,391
4/30/1997 11,332 10,992 11,557 11,500
5/31/1997 11,401 11,059 11,647 11,583
6/30/1997 11,511 11,165 11,746 11,672
7/31/1997 11,701 11,350 11,963 11,840
8/31/1997 11,681 11,330 11,917 11,827
9/30/1997 11,802 11,448 12,047 11,934
10/31/1997 11,934 11,576 12,187 12,046
11/30/1997 11,955 11,596 12,214 12,070
12/31/1997 12,045 11,684 12,313 12,159
1/31/1998 12,220 11,854 12,474 12,299
2/28/1998 12,192 11,826 12,461 12,297
3/31/1998 12,171 11,806 12,500 12,339
4/30/1998 12,219 11,852 12,559 12,398
5/31/1998 12,298 11,929 12,646 12,472
6/30/1998 12,388 12,016 12,731 12,543
7/31/1998 12,404 12,032 12,780 12,597
8/31/1998 12,603 12,224 13,021 12,790
9/30/1998 12,963 12,574 13,325 13,023
10/31/1998 12,837 12,452 13,347 13,074
11/30/1998 12,797 12,413 13,306 13,045
12/31/1998 12,824 12,440 13,358 13,090
1/31/1999 12,894 12,507 13,418 13,146
2/28/1999 12,745 12,363 13,234 13,035
3/31/1999 12,805 12,421 13,322 13,126
4/30/1999 12,842 12,457 13,358 13,164
5/31/1999 12,746 12,364 13,276 13,121
6/30/1999 12,663 12,283 13,295 13,157
7/31/1999 12,602 12,224 13,297 13,179
8/31/1999 12,597 12,219 13,315 13,211
9/30/1999 12,741 12,359 13,430 13,311
10/31/1999 12,765 12,382 13,456 13,341
11/30/1999 12,778 12,395 13,466 13,358
12/31/1999 12,737 12,355 13,423 13,346
1/31/2000 12,682 12,302 13,378 13,320
2/29/2000 12,795 12,411 13,489 13,420
3/31/2000 12,954 12,565 13,643 13,527
4/30/2000 12,912 12,525 13,637 13,544
5/31/2000 12,919 12,531 13,674 13,589
6/30/2000 13,104 12,710 13,891 13,767
7/31/2000 13,169 12,774 13,983 13,857
8/31/2000 13,307 12,908 14,140 13,983
9/30/2000 13,410 13,007 14,264 14,104
10/31/2000 13,458 13,054 14,361 14,187
11/30/2000 13,641 13,232 14,572 14,351
12/31/2000 13,801 13,387 14,829 14,560
1/31/2001 13,976 13,557 15,026 14,759
2/28/2001 14,081 13,658 15,165 14,870
3/31/2001 14,169 13,744 15,274 14,988
4/30/2001 14,141 13,717 15,226 14,998
5/31/2001 14,212 13,785 15,289 15,072
6/30/2001 14,222 13,795 15,338 15,123
7/31/2001 14,486 14,052 15,624 15,344
8/31/2001 14,582 14,144 15,763 15,459
9/30/2001 14,811 14,367 16,099 15,760
10/31/2001 15,033 14,582 16,351 15,949
11/30/2001 14,838 14,392 16,155 15,844
12/31/2001 14,747 14,305 16,077 15,819
1/31/2002 14,825 14,380 16,147 15,869
2/28/2002 14,972 14,523 16,280 15,972
3/31/2002 14,756 14,314 16,035 15,806
4/30/2002 15,026 14,576 16,335 16,043
5/31/2002 15,129 14,675 16,449 16,133
6/30/2002 15,280 14,822 16,654 16,302
7/31/2002 15,498 15,033 16,968 16,555
8/31/2002 15,650 15,181 17,162 16,672
9/30/2002 15,791 15,317 17,457 16,874
10/31/2002 15,826 15,351 17,445 16,902
11/30/2002 15,753 15,281 17,307 16,809
12/31/2002 15,950 15,472 17,627 17,035
1/31/2003 15,942 15,464 17,588 17,019
2/28/2003 16,081 15,598 17,787 17,143
3/31/2003 16,069 15,587 17,790 17,169
4/30/2003 16,097 15,614 17,840 17,208
5/31/2003 16,195 15,709 18,120 17,360
6/30/2003 16,166 15,681 18,091 17,367
7/31/2003 15,830 15,355 17,652 17,137
8/31/2003 15,882 15,405 17,683 17,145
9/30/2003 16,145 15,661 18,067 17,405
10/31/2003 16,032 15,551 17,889 17,289
11/30/2003 16,076 15,593 17,891 17,282
12/31/2003 16,188 15,703 18,030 17,403
1/31/2004 16,258 15,770 18,128 17,465
2/29/2004 16,383 15,892 18,301 17,595
3/31/2004 16,445 15,952 18,428 17,684
4/30/2004 16,149 15,665 18,016 17,403
5/31/2004 16,096 15,613 17,958 17,366
6/30/2004 16,157 15,672 18,004 17,385
7/31/2004 16,248 15,760 18,134 17,478
8/31/2004 16,452 15,959 18,404 17,667
9/30/2004 16,447 15,954 18,411 17,659
10/31/2004 16,533 16,037 18,524 17,740
11/30/2004 16,459 15,965 18,351 17,613
12/31/2004 16,513 16,018 18,451 17,672
1/31/2005 16,536 16,040 18,475 17,666
2/28/2005 16,472 15,977 18,372 17,596
3/31/2005 16,421 15,929 18,326 17,573
Average Annual Total Returns -- March 31, 2005
6 MONTHS 1 YEAR 5 YEARS 10 YEARS
CLASS A (Inception 1/3/89)
Net Asset Value/1/ -0.16% -0.15% 4.86% 5.08%
With Maximum Sales Charge/2/ -3.15 -3.18 4.23 4.77
CLASS B (Inception 9/27/93)
Net Asset Value/1/ -0.53 -0.87 4.16 4.39
With CDSC/5/ -5.45 -5.71 3.81 4.39
CLASS C (Inception 12/30/94)
Net Asset Value/1/ -0.62 -0.96 4.17 4.40
With CDSC/5/ -1.60 -1.92 4.17 4.40
CLASS Y (Inception 3/31/94)/7/
Net Asset Value/1/ -0.13 -0.07 5.21 5.45
- ---------------------------------------------------------------------
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS
Lehman 1-5 Yr Gov't Bond Index/4/ -0.49% -0.63% 5.37% 5.80%
Lehman Int. Gov't Bond Index/3/ -0.46 -0.55 6.08 6.24
Morningstar Short Gov't Fund Avg./6/ -0.13 -0.26 4.67 5.13
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com. Performance history includes periods
from a predecessor fund. Class Y shares are available to certain institutional
investors only.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
FUND COMPOSITION 3/31/05
- ----------------------------------------
Treasuries 50.8
- ----------------------------------------
Mortgage Related 33.5
- ----------------------------------------
Government Agencies 10.3
- ----------------------------------------
Asset Backed Securities 4.1
- ----------------------------------------
Short Term Investments 1.3
- ----------------------------------------
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ----------------------------------------
1 year or less 10.6
- ----------------------------------------
1-5 years 73.7
- ----------------------------------------
5-10 years 12.1
- ----------------------------------------
10+ years 3.6
- ----------------------------------------
Average Effective Maturity 3.3 years
- ----------------------------------------
NOTES TO CHARTS
/1/Does not include a sales charge. Effective 2/1/04, a 1% front end sales
charge was removed from Class C shares.
/2/Includes the maximum sales charge of 3.00%.
/3/Lehman Intermediate Government Bond Index is an unmanaged index of bonds
issued by the U.S. government and its agencies, with maturities between one
and ten years.
/4/Lehman 1-5 Year Government Bond Index is an unmanaged, market-weighted index
of bonds issued by the U.S. government and its agencies, with maturities
between 1 and 5 years.
/5/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C share performance assumes a 1.00% CDSC applied when you sell shares
within one year of purchase.
/6/Morningstar Short Government Fund Average is the average performance without
sales charge of funds with similar investment objectives, as calculated by
Morningstar, Inc.
/7/Fund performance has been increased by expense waivers, without which
performance would have been lower.
Note: Lehman 1-5 Year Government Bond Index replaces the Lehman Intermediate
Government Bond Index because IXIS Advisors believes it is more representative
of the types of securities in which the fund can invest.
6
LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND
PORTFOLIO PROFILE
Objective:
Seeks to maintain a high level of current income exempt from federal and
Massachusetts personal income taxes
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in Massachusetts municipal bonds, including general
obligation bonds and issues secured by specific revenue streams
- --------------------------------------------------------------------------------
Inception Date:
March 23, 1984
- --------------------------------------------------------------------------------
Manager:
Martha A. Strom
Robert Payne
Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A NEFMX
Class B NEMBX
- --------------------------------------------------------------------------------
What You Should Know:
Fixed-income securities are subject to credit risk and interest rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. This fund concentrates in a single geographic region, which can
affect your fund's performance. Some income may be subject to federal and state
taxes. Capital gains are fully taxable.
Management Discussion
- --------------------------------------------------------------------------------
Loomis Sayles Massachusetts Tax Free Income Fund outperformed its benchmark
during the six months ended March 31, 2005, despite its relatively long
maturity structure and the overall increase in interest rates during the
period. However, the state as a whole was weaker than others in part because a
large number of new issues diluted demand.
The fund provided a total return of 1.30% based on the net asset value of Class
A shares and $0.30 in dividends reinvested during the six-month fiscal period.
The fund's benchmark, Lehman Municipal Bond Index, returned 1.21%, while the
average return on Morningstar's Muni Massachusetts category was 0.54% for the
period. The fund's 30-day SEC yield at the end of March 2005 was 3.05%,
equivalent to 4.96% adjusted for the combined maximum federal and Massachusetts
income tax rates of 38.45%.
HIGHER EDUCATION AND HEALTHCARE BONDS CONTINUE TO BE BEST PERFORMING SECTORS
As was true during the previous fiscal year, higher yields available in the
healthcare and higher education sectors drove performance. For example,
Massachusetts Development Finance Agency for Mount Holyoke College performed
well because its high coupon and longer maturity structure were in demand.
Massachusetts Health and Educational Facilities Authority for Nichols College
also performed well, as investors bid up the price of this lower
investment-grade issue.
ONE PRE-REFUNDED ISSUE CONTRIBUTED CAPITAL APPRECIATION
Massachusetts Bay Transportation Authority bonds were pre-refunded in March,
increasing the price of the bonds and making them the best performing
individual issue in the portfolio. When a bond is pre-refunded, the issuer
refinances the existing, higher-coupon bond by issuing new bonds at lower
interest rates. The proceeds of the older issue are invested in high-quality
paper, usually U.S. Treasury securities. The bonds then mature at the older
bond's first call date, when bondholders are paid off. While pre-refunding
interrupts the fund's income stream, the bonds' quality ratings effectively
rise, lifting their price.
HOLDINGS WITH SHORTER MATURITIES WERE WEAK
Two weaker issues both had shorter maturities. These were Massachusetts Health
and Educational Facilities for Dana Farber Cancer Project bonds, which we sold,
and Broward County Florida Resources Recovery for Wheelabrator South project.
We took advantage of the fund's ability to invest a portion of assets out of
state to capture some attractively valued, higher-yielding issues, including
these Broward County bonds.
OUTLOOK IS FOR SUPPORT IN THE LONG END OF THE MUNICIPAL YIELD CURVE
During the past nine months, the Federal Reserve Board has pursued a policy of
gradually raising the federal funds rate - the only rate over which the Fed has
direct control. However, for most of that time, short-term rates rose while
long rates remained relatively stable, narrowing the spread between the two
rates to a point that seemed unsustainable. Recently, as investors became
concerned about the inflationary implications of the rising price of oil and
other commodities, long rates began to edge upward. Yield spreads began to
widen across most bond market sectors.
We believe the Federal Reserve Board will continue to raise rates gradually
during the balance of 2005. We also expect yields on long bonds to continue to
move higher, though by a smaller amount. We view the widening of yield spreads
that affected most bond market sectors in the past few months as a healthy
correction, and our forecast for economic growth and credit quality remains
positive. However, we expect the markets to move in modest fits and starts
throughout the year. Generating the best returns will take hard work and
attention to detail.
7
LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
Net Asset Maximum Sales Lehman Municipal
Value (1) Charge (2) Bond Index (3)
--------- ------------- ----------------
3/31/1995 $10,000 $ 9,575 $10,000
4/30/1995 10,016 9,590 10,012
5/31/1995 10,333 9,893 10,331
6/30/1995 10,172 9,740 10,241
7/31/1995 10,244 9,808 10,338
8/31/1995 10,365 9,925 10,469
9/30/1995 10,437 9,993 10,535
10/31/1995 10,612 10,161 10,688
11/30/1995 10,820 10,360 10,866
12/31/1995 10,957 10,491 10,970
1/31/1996 10,992 10,525 11,053
2/29/1996 10,882 10,419 10,978
3/31/1996 10,746 10,289 10,838
4/30/1996 10,715 10,259 10,807
5/31/1996 10,730 10,274 10,803
6/30/1996 10,832 10,371 10,921
7/31/1996 10,913 10,449 11,020
8/31/1996 10,907 10,444 11,017
9/30/1996 11,077 10,607 11,171
10/31/1996 11,194 10,718 11,298
11/30/1996 11,386 10,902 11,505
12/31/1996 11,311 10,830 11,456
1/31/1997 11,332 10,850 11,478
2/28/1997 11,440 10,954 11,583
3/31/1997 11,311 10,830 11,429
4/30/1997 11,403 10,918 11,524
5/31/1997 11,565 11,073 11,698
6/30/1997 11,685 11,188 11,822
7/31/1997 12,018 11,507 12,150
8/31/1997 11,906 11,400 12,036
9/30/1997 12,064 11,552 12,179
10/31/1997 12,124 11,608 12,257
11/30/1997 12,196 11,678 12,329
12/31/1997 12,365 11,839 12,509
1/31/1998 12,465 11,935 12,638
2/28/1998 12,447 11,918 12,642
3/31/1998 12,412 11,885 12,653
4/30/1998 12,369 11,843 12,596
5/31/1998 12,560 12,026 12,795
6/30/1998 12,603 12,068 12,846
7/31/1998 12,611 12,075 12,878
8/31/1998 12,812 12,267 13,077
9/30/1998 12,954 12,403 13,240
10/31/1998 12,901 12,352 13,240
11/30/1998 12,923 12,373 13,286
12/31/1998 12,972 12,420 13,320
1/31/1999 13,121 12,563 13,478
2/28/1999 13,061 12,505 13,419
3/31/1999 13,045 12,490 13,438
4/30/1999 13,084 12,528 13,471
5/31/1999 12,999 12,446 13,393
6/30/1999 12,787 12,244 13,201
7/31/1999 12,832 12,286 13,249
8/31/1999 12,650 12,112 13,142
9/30/1999 12,612 12,076 13,148
10/31/1999 12,435 11,907 13,005
11/30/1999 12,544 12,011 13,144
12/31/1999 12,435 11,907 13,046
1/31/2000 12,333 11,809 12,989
2/29/2000 12,486 11,956 13,140
3/31/2000 12,720 12,179 13,427
4/30/2000 12,663 12,124 13,348
5/31/2000 12,613 12,077 13,278
6/30/2000 12,867 12,320 13,630
7/31/2000 13,030 12,476 13,820
8/31/2000 13,193 12,632 14,033
9/30/2000 13,140 12,582 13,960
10/31/2000 13,247 12,684 14,112
11/30/2000 13,302 12,737 14,219
12/31/2000 13,586 13,008 14,570
1/31/2001 13,633 13,054 14,714
2/28/2001 13,681 13,099 14,761
3/31/2001 13,677 13,096 14,893
4/30/2001 13,536 12,961 14,732
5/31/2001 13,667 13,086 14,891
6/30/2001 13,764 13,179 14,990
7/31/2001 13,973 13,380 15,212
8/31/2001 14,236 13,631 15,463
9/30/2001 14,156 13,555 15,411
10/31/2001 14,288 13,681 15,595
11/30/2001 14,182 13,580 15,463
12/31/2001 14,022 13,426 15,317
1/31/2002 14,101 13,501 15,583
2/28/2002 14,260 13,654 15,770
3/31/2002 13,998 13,403 15,461
4/30/2002 14,254 13,648 15,763
5/31/2002 14,365 13,754 15,859
6/30/2002 14,532 13,914 16,027
7/31/2002 14,716 14,091 16,233
8/31/2002 14,896 14,263 16,428
9/30/2002 15,231 14,584 16,788
10/31/2002 14,954 14,318 16,510
11/30/2002 14,859 14,228 16,441
12/31/2002 15,157 14,512 16,788
1/31/2003 15,125 14,482 16,745
2/28/2003 15,362 14,709 16,980
3/31/2003 15,376 14,723 16,990
4/30/2003 15,474 14,817 17,102
5/31/2003 15,871 15,196 17,502
6/30/2003 15,799 15,128 17,428
7/31/2003 15,114 14,471 16,818
8/31/2003 15,212 14,565 16,944
9/30/2003 15,624 14,960 17,442
10/31/2003 15,599 14,936 17,354
11/30/2003 15,772 15,102 17,535
12/31/2003 15,919 15,242 17,680
1/31/2004 16,027 15,346 17,781
2/29/2004 16,263 15,571 18,049
3/31/2004 16,225 15,536 17,986
4/30/2004 15,789 15,118 17,560
5/31/2004 15,719 15,051 17,496
6/30/2004 15,738 15,069 17,560
7/31/2004 15,963 15,285 17,791
8/31/2004 16,276 15,584 18,148
9/30/2004 16,385 15,689 18,244
10/31/2004 16,533 15,830 18,401
11/30/2004 16,364 15,669 18,249
12/31/2004 16,582 15,877 18,472
1/31/2005 16,781 16,067 18,645
2/28/2005 16,712 16,002 18,583
3/31/2005 16,610 15,905 18,465
Average Annual Total Returns -- March 31, 2005
6 MONTHS 1 YEAR 5 YEARS/5/ 10 YEARS/5/
CLASS A (Inception 3/23/84)
Net Asset Value/1/ 1.30% 2.30% 5.48% 5.21%
With Maximum Sales Charge/2/ -3.03 -2.04 4.57 4.75
CLASS B (Inception 9/13/93)
Net Asset Value/1/ 0.98 1.62 4.78 4.52
With CDSC/4/ -3.99 -3.32 4.45 4.52
- --------------------------------------------------------------------------
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS
Lehman Municipal Bond Index/3/ 1.21% 2.67% 6.58% 6.33%
Morningstar Muni Massachusetts Fund
Avg./6/ 0.54 1.60 5.67 5.25
Yields as of March 31, 2005
CLASS A CLASS B
SEC 30-day Yield/7/ 3.05% 2.43%
Taxable Equivalent Yield/8/ 4.96 3.95
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
CREDIT QUALITY 3/31/05
- -------------------------------
Aaa 35.2
- -------------------------------
Aa 28.9
- -------------------------------
A 19.6
- -------------------------------
Baa 9.6
- -------------------------------
Not rated* 3.7
- -------------------------------
Short term & other 3.0
- -------------------------------
Credit quality is based on ratings from Moody's Investors Service.
* Securities that are not rated by Moody's may be rated by another rating
agency or by Loomis Sayles.
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ------------------------------------------
1 year or less 2.4
- ------------------------------------------
1-5 years 7.8
- ------------------------------------------
5-10 years 77.4
- ------------------------------------------
10+ years 12.4
- ------------------------------------------
Average Effective Maturity 7.9 years
- ------------------------------------------
NOTES TO CHARTS
/1/Does not include a sales charge.
/2/Includes the maximum sales charge of 4.25%.
/3/Lehman Municipal Bond Index is an unmanaged index of municipal bonds.
/4/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
/5/Fund performance has been increased by expense waivers, without which
performance would have been lower.
/6/Morningstar Muni Massachusetts Fund Average is the average performance
without sales charge of funds with similar investment objectives, as
calculated by Morningstar, Inc.
/7/SEC yield is based on the fund's net investment income over a 30-day period
and is calculated in accordance with SEC guidelines.
/8/Taxable equivalent yield is based on the maximum combined federal and MA
income tax bracket of 38.45%. A portion of income may be subject to federal,
state and/or alternative minimum tax. Capital gains, if any, are subject to
capital gains tax.
8
LOOMIS SAYLES MUNICIPAL INCOME FUND
PORTFOLIO PROFILE
Objective:
Seeks as high a level of current income exempt from federal income taxes as is
consistent with reasonable risk and protection of shareholders' capital
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in municipal securities that pay interest exempt from federal
income tax
- --------------------------------------------------------------------------------
Fund Inception:
May 9, 1977
- --------------------------------------------------------------------------------
Managers:
Martha A. Strom
Robert Payne
Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A NEFTX
Class B NETBX
- --------------------------------------------------------------------------------
What You Should Know:
Fixed-income securities are subject to credit risk and interest rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. Some income may be subject to federal and state taxes. Capital
gains are fully taxable. Investors may be subject to the Alternative Minimum
Tax (AMT). Lower-rated bonds offer higher risks.
Management Discussion
- --------------------------------------------------------------------------------
Yields on short-term bonds continued to move higher during the six months ended
March 31, 2005, but yields are still at historical lows, and rising rates
caused bond prices to decline, cutting into total returns. Higher-yielding
bonds were the best performers.
Loomis Sayles Municipal Income Fund provided a total return of 1.15% based on
the net asset value of Class A shares and $0.14 in dividends reinvested during
the six months ended March 31, 2005. This was slightly below the 1.21% return
on the broad-based Lehman Municipal Bond Index and slightly better than the
1.01% average return on the funds in Morningstar's Muni National Long category.
The fund's 30-day SEC yield at the end of March 2005 was 3.23%, equivalent to
4.96% adjusted for the maximum federal income tax rate of 35.00%.
HIGHER-YIELDING BONDS PROVIDED PERFORMANCE ADVANTAGES
While bond prices as a whole tended to slide during the fiscal period,
investors hungry for income continued to bid on lower-rated and unrated issues,
supporting prices in these sectors. The fund's portfolio continues to feature
industrial development bonds and resource recovery bonds because they offer a
yield advantage over lower-yielding, higher-rated issues. The fund's best
performing positions included bonds issued for Adventist Health System in
Highlands County, Florida, and bonds issued for a school district in Greenville
County, South Carolina - School District Building Equity Sooner Tomorrow. Both
these issues benefited from their longer maturity structure as well as recent
rating upgrades.
INCREASED SUPPLY DIMINISHED ATTRACTIVENESS OF SOME ISSUES
The fund's emphasis on municipal bonds issued in California and New York were
positives, although not as much as we had expected. Both states came to market
with sizable deals, increasing supply and diluting demand. Examples of weaker
performing bonds included Endowment bonds issued for California Statewide
Communities Development Authority, and New York City Municipal Water Finance
Authority bonds. Environmental Improvement bonds issued for Louisiana's DeSoto
Parish also underperformed, largely because they came to market in November
when prices were at a high. Heavier issuance also diminished the attractiveness
of the fund's Massachusetts bonds, although performance in this state was also
impacted by the way in which the individual bonds were structured.
FUND MOVING GRADUALLY TO A LESS DEFENSIVE STRUCTURE
The weakest performers in the fund's portfolio were bonds with maturities in
the four- to ten-year area of the yield curve. During the past 12 months, we
had been shortening the fund's maturity structure as a defensive measure, in
anticipation of higher interest rates, and this detracted from its results as
longer-term rates remained relatively stable. However, the spread - or
difference in yields - between long- and short-term rates had narrowed to a
point where it seemed only a matter of time before long-term rates would follow
short rates up. In addition, such inflationary pressures as the rising price of
oil and other commodities recently seemed to undermine investors' comfort level
with higher-yielding bonds.
Consequently, our strategy shifted as the quarter drew to a close. We began
slowly extending the fund's maturity, seeking higher-yielding bonds to add to
current income. We believe the Federal Reserve Board will do what it said it
would do and raise rates gradually during the balance of 2005. We also expect
yields on long bonds to continue to move higher, though by a smaller amount. We
view the widening of yield spreads that affected most bond market sectors in
the past few months as a healthy correction, and our forecast for economic
growth and credit quality remains positive. However, we expect the markets to
move in modest fits and starts throughout the year. Generating the best returns
will take hard work and attention to detail.
9
LOOMIS SAYLES MUNICIPAL INCOME FUND
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
March 31, 1995 through March 31, 2005
Net Asset Maximum Sales Lehman Municipal
Value (1) Charge (2) Bond Index (3)
--------- ---------- --------------
3/31/1995 $10,000 $ 9,550 $10,000
4/30/1995 10,019 9,568 10,012
5/31/1995 10,299 9,835 10,331
6/30/1995 10,167 9,709 10,241
7/31/1995 10,255 9,794 10,338
8/31/1995 10,330 9,865 10,469
9/30/1995 10,405 9,937 10,535
10/31/1995 10,551 10,076 10,688
11/30/1995 10,726 10,244 10,866
12/31/1995 10,809 10,322 10,970
1/31/1996 10,894 10,404 11,053
2/29/1996 10,829 10,342 10,978
3/31/1996 10,705 10,224 10,838
4/30/1996 10,682 10,201 10,807
5/31/1996 10,673 10,193 10,803
6/30/1996 10,795 10,309 10,921
7/31/1996 10,874 10,384 11,020
8/31/1996 10,865 10,376 11,017
9/30/1996 11,048 10,550 11,171
10/31/1996 11,172 10,670 11,298
11/30/1996 11,342 10,832 11,505
12/31/1996 11,308 10,799 11,456
1/31/1997 11,320 10,810 11,478
2/28/1997 11,420 10,906 11,583
3/31/1997 11,275 10,768 11,429
4/30/1997 11,358 10,847 11,524
5/31/1997 11,486 10,969 11,698
6/30/1997 11,646 11,122 11,822
7/31/1997 11,960 11,422 12,150
8/31/1997 11,888 11,353 12,036
9/30/1997 11,988 11,449 12,179
10/31/1997 12,072 11,529 12,257
11/30/1997 12,109 11,565 12,329
12/31/1997 12,277 11,724 12,509
1/31/1998 12,429 11,870 12,638
2/28/1998 12,466 11,905 12,642
3/31/1998 12,485 11,923 12,653
4/30/1998 12,426 11,867 12,596
5/31/1998 12,560 11,995 12,795
6/30/1998 12,613 12,045 12,846
7/31/1998 12,635 12,066 12,878
8/31/1998 12,803 12,226 13,077
9/30/1998 12,906 12,325 13,240
10/31/1998 12,862 12,284 13,240
11/30/1998 12,916 12,335 13,286
12/31/1998 12,932 12,350 13,320
1/31/1999 13,059 12,471 13,478
2/28/1999 13,031 12,445 13,419
3/31/1999 13,036 12,450 13,438
4/30/1999 13,076 12,487 13,471
5/31/1999 13,030 12,443 13,393
6/30/1999 12,881 12,302 13,201
7/31/1999 12,920 12,338 13,249
8/31/1999 12,788 12,213 13,142
9/30/1999 12,793 12,217 13,148
10/31/1999 12,608 12,040 13,005
11/30/1999 12,726 12,154 13,144
12/31/1999 12,575 12,009 13,046
1/31/2000 12,508 11,945 12,989
2/29/2000 12,647 12,078 13,140
3/31/2000 12,842 12,264 13,427
4/30/2000 12,771 12,196 13,348
5/31/2000 12,735 12,162 13,278
6/30/2000 12,968 12,385 13,630
7/31/2000 13,112 12,522 13,820
8/31/2000 13,293 12,695 14,033
9/30/2000 13,257 12,661 13,960
10/31/2000 13,366 12,765 14,112
11/30/2000 13,457 12,851 14,219
12/31/2000 13,679 13,063 14,570
1/31/2001 13,775 13,155 14,714
2/28/2001 13,797 13,176 14,761
3/31/2001 13,910 13,284 14,893
4/30/2001 13,761 13,142 14,732
5/31/2001 13,892 13,267 14,891
6/30/2001 14,003 13,373 14,990
7/31/2001 14,248 13,607 15,212
8/31/2001 14,475 13,823 15,463
9/30/2001 14,226 13,585 15,411
10/31/2001 14,418 13,769 15,595
11/30/2001 14,262 13,620 15,463
12/31/2001 14,088 13,454 15,317
1/31/2002 14,319 13,675 15,583
2/28/2002 14,512 13,859 15,770
3/31/2002 14,274 13,632 15,461
4/30/2002 14,508 13,856 15,763
5/31/2002 14,582 13,926 15,859
6/30/2002 14,718 14,056 16,027
7/31/2002 14,812 14,146 16,233
8/31/2002 14,928 14,256 16,428
9/30/2002 15,167 14,484 16,788
10/31/2002 14,781 14,116 16,510
11/30/2002 14,758 14,094 16,441
12/31/2002 15,118 14,437 16,788
1/31/2003 14,929 14,257 16,745
2/28/2003 15,148 14,467 16,980
3/31/2003 15,141 14,459 16,990
4/30/2003 15,275 14,588 17,102
5/31/2003 15,656 14,951 17,502
6/30/2003 15,623 14,920 17,428
7/31/2003 14,945 14,272 16,818
8/31/2003 15,102 14,422 16,944
9/30/2003 15,553 14,853 17,442
10/31/2003 15,480 14,784 17,354
11/30/2003 15,680 14,974 17,535
12/31/2003 15,818 15,106 17,680
1/31/2004 15,914 15,198 17,781
2/29/2004 16,161 15,434 18,049
3/31/2004 16,150 15,423 17,986
4/30/2004 15,753 15,044 17,560
5/31/2004 15,718 15,011 17,496
6/30/2004 15,727 15,020 17,560
7/31/2004 15,930 15,213 17,791
8/31/2004 16,219 15,489 18,148
9/30/2004 16,313 15,579 18,244
10/31/2004 16,450 15,709 18,401
11/30/2004 16,303 15,570 18,249
12/31/2004 16,507 15,764 18,472
1/31/2005 16,687 15,936 18,645
2/28/2005 16,605 15,858 18,583
3/31/2005 16,496 15,745 18,465
Average Annual Total Returns -- March 31, 2005
6 MONTHS 1 YEAR 5 YEARS 10 YEARS
CLASS A (Inception 5/9/77)
Net Asset Value/1/ 1.15% 2.17% 5.14% 5.13%
With Maximum Sales Charge/2/ -3.38 -2.49 4.18 4.64
CLASS B (Inception 9/13/93)
Net Asset Value/1/ 0.77 1.54 4.38 4.37
With CDSC/4/ -4.19 -3.39 4.05 4.37
- ----------------------------------------------------------------------------
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS
Lehman Municipal Bond Index/3/ 1.21% 2.67% 6.58% 6.33%
Morningstar Muni National Long Fund Avg./5/ 1.01 2.14 5.72 5.35
Yields as of March 31, 2005
CLASS A CLASS B
SEC 30-day Yield/6/ 3.23% 2.63%
Taxable Equivalent Yield/7/ 4.96 4.04
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. Performance history includes performance from
a predecessor fund. For performance current to the most recent month-end, visit
www.ixisadvisorfunds.com.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
CREDIT QUALITY 3/31/05
- -------------------------------
Aaa 37.8
- -------------------------------
Aa 11.3
- -------------------------------
A 20.4
- -------------------------------
Baa 15.4
- -------------------------------
Not rated* 12.2
- -------------------------------
Short term & other 2.9
- -------------------------------
Credit quality is based on ratings from Moody's Investors Service.
* Securities that are not rated by Moody's may be rated by another rating
agency or by Loomis Sayles.
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ------------------------------------------
1 year or less 6.7
- ------------------------------------------
1-5 years 9.4
- ------------------------------------------
5-10 years 76.3
- ------------------------------------------
10+ years 7.6
- ------------------------------------------
Average Effective Maturity 7.7 years
- ------------------------------------------
Notes to Charts
/1/Does not include a sales charge.
/2/Includes the maximum sales charge of 4.50%.
/3/Lehman Municipal Bond Index is an unmanaged index of municipal bonds.
/4/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
/5/Morningstar Muni National Long Fund Average is the average performance
without sales charge of funds with similar investment objectives, as
calculated by Morningstar, Inc.
/6/SEC yield is based on the fund's net investment income over a 30-day period
and is calculated in accordance with SEC guidelines.
/7/Taxable equivalent yield is based on the maximum federal income tax bracket
of 35%. A portion of income may be subject to federal, state and/or
alternative minimum tax. Capital gains, if any, are subject to capital gains
tax.
10
LOOMIS SAYLES STRATEGIC INCOME FUND
PORTFOLIO PROFILE
Objective:
Seeks high current income, with a secondary objective of capital growth
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in income-producing securities in the U.S. and around the
world
- --------------------------------------------------------------------------------
Fund Inception:
May 1, 1995
- --------------------------------------------------------------------------------
Managers:
Daniel J. Fuss
Kathleen C. Gaffney
Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A NEFZX
Class B NEZBX
Class C NECZX
Class Y NEZYX
- --------------------------------------------------------------------------------
What You Should Know:
Fixed-income securities are subject to credit risk and interest rate risk;
their value generally rises when prevailing interest rates fall and falls when
rates rise. Foreign and emerging market securities have special risks, such as
currency fluctuations, differing political and economic conditions, and
different accounting standards. The fund may also invest in lower-rated bonds
that may offer higher yields in return for more risk.
Management Discussion
- --------------------------------------------------------------------------------
Bolstered by high-yield issues and non-U.S.-dollar investments, Loomis Sayles
Strategic Income Fund delivered healthy results over the first half of its
fiscal year. The fund's total return was 5.70% for the six months ended March
31, 2005, based on the net asset value of Class A shares and $0.41 in
reinvested dividends. These results were substantially better than the fund's
benchmark, the Lehman Aggregate Bond Index, which returned 0.47% for the
period, and Morningstar's Multisector Bond category, which had an average
return of 2.97%. The fund has more flexibility than the benchmark in pursuit of
returns. The fund's 30-day SEC yield at the end of March was 4.79%.
PERFORMANCE FUELED BY HIGH-YIELD BONDS, OVERSEAS HOLDINGS AND PREFERREDS
The continued expansion of the U.S. economy helped increase earnings and
strengthen balance sheets among high-yield issuers. Shrinking default rates
also encouraged investors to bulk up on lower-rated issues. Performance for the
sector was especially strong during the closing quarter of 2004, but higher
interest rates led to some slippage early in 2005.
Holdings denominated in other currencies benefited from weakness in the U.S.
dollar, despite the dollar's first-quarter rally. As global demand increased,
export strength in oil and other raw materials boosted the fund's Canadian
holdings. Canadian securities accounted for about 17% of the fund's total net
assets at the end of the period, much of it in bonds of the provinces. World
appetite for natural resources also helped performance of Latin American bonds,
with Brazil-based issues the primary contributors. And although exposure was
small, the portfolio's allocation to preferred issues made a solid contribution.
CAPITAL SPENDING AND RESOURCE-RICH ISSUES WERE STRONG
After several quarters of hesitation, the ongoing economic recovery spurred
capital spending by U.S. corporations. Portfolio sectors that performed well
included packaging, construction machinery and aerospace. Bonds denominated in
the currency of resource-rich New Zealand also contributed to performance.
Cia Vale Do Rio, a Brazilian mining company, rode waves of demand and higher
prices for industrial raw materials. The company added copper to the list of
metals it mines; copper has been in short supply, while rapid expansion in
China and India has been pushing prices upward. In energy, our equity stake in
Chesapeake Energy moved higher, as the company took steps to expand their
natural gas producing properties.
TREASURY ISSUES, COMMUNICATIONS AND PHARMACEUTICALS DISAPPOINTED
The weakest markets during this period were U.S. Treasury and agency bonds,
particularly those with shorter maturities. Although the shorter-term
government securities in the portfolio held the fund back, it was underweight
in these securities relative to the benchmark, which minimized their effect.
However, after Federal Reserve Board Chairman Alan Greenspan described
persistently low long-term rates as a "conundrum," rates on longer-term issues
also rose and prices fell. Regulatory and political scrutiny pressured agency
bonds, including those of mortgage giant Fannie Mae. Among corporate sectors,
we sold the stock of Covad Communications, a California-based provider of data
and voice services, in anticipation of a possible downward earnings revision.
Bonds of drug manufacturer Elan Plc also fell. Elan was forced to recall one of
its more profitable drugs when a link was suggested between the medication and
respiratory disease.
FUND BECOMING MORE DEFENSIVE AS RATES MOVE HIGHER
We have reduced the portfolio's sensitivity to domestic rates because we
believe the Fed will raise rates further in 2005. Higher rates may also make
the dollar more attractive, although we think meaningful dollar strengthening
is unlikely while the current huge federal budget and trade deficits persist.
We are retaining the fund's significant exposure to high-yield issues, based on
our belief that the domestic economy will continue to grow. And with little
chance that demand for their natural resources will diminish, we think selected
issues in both Canada and New Zealand will continue to perform well.
11
LOOMIS SAYLES STRATEGIC INCOME FUND
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the
results. It is not possible to invest directly in an index. Investors would
incur transaction costs and other expenses if they purchased the securities
necessary to match the index.
Growth of a $10,000 Investment in Class A Shares
[CHART]
May 1, 1995 (inception) through March 31, 2005
Lehman
Net Asset Maximum Sales Lehman Aggregate Universal Bond
Value (1) Charge (2) Bond Index (3) Index (4)
--------- ------------- ---------------- ---------------
5/01/1995 $10,000 $ 9,550 $10,000 $10,000
5/31/1995 10,014 9,563 10,000 10,000
6/30/1995 10,017 9,566 10,073 10,073
7/31/1995 10,096 9,642 10,051 10,058
8/31/1995 10,192 9,733 10,172 10,176
9/30/1995 10,410 9,942 10,271 10,280
10/31/1995 10,354 9,888 10,405 10,407
11/30/1995 10,647 10,168 10,561 10,564
12/31/1995 11,038 10,541 10,709 10,724
1/31/1996 11,302 10,793 10,780 10,817
2/29/1996 10,994 10,499 10,593 10,630
3/31/1996 11,072 10,574 10,519 10,564
4/30/1996 11,056 10,558 10,460 10,521
5/31/1996 11,231 10,726 10,438 10,506
6/30/1996 11,382 10,870 10,579 10,647
7/31/1996 11,359 10,848 10,608 10,677
8/31/1996 11,568 11,048 10,590 10,674
9/30/1996 11,973 11,434 10,774 10,869
10/31/1996 12,315 11,761 11,013 11,095
11/30/1996 12,815 12,239 11,202 11,292
12/31/1996 12,637 12,069 11,098 11,201
1/31/1997 12,674 12,104 11,132 11,249
2/28/1997 12,874 12,295 11,159 11,289
3/31/1997 12,734 12,161 11,036 11,157
4/30/1997 12,815 12,239 11,201 11,326
5/31/1997 13,091 12,502 11,307 11,446
6/30/1997 13,388 12,786 11,441 11,585
7/31/1997 13,990 13,361 11,749 11,902
8/31/1997 13,630 13,016 11,649 11,804
9/30/1997 14,111 13,476 11,821 11,986
10/31/1997 13,814 13,193 11,992 12,100
11/30/1997 13,889 13,264 12,048 12,166
12/31/1997 13,818 13,196 12,169 12,296
1/31/1998 14,043 13,411 12,325 12,450
2/28/1998 14,300 13,657 12,316 12,460
3/31/1998 14,606 13,949 12,358 12,517
4/30/1998 14,611 13,953 12,423 12,581
5/31/1998 14,373 13,726 12,541 12,672
6/30/1998 14,144 13,508 12,647 12,755
7/31/1998 13,967 13,339 12,674 12,786
8/31/1998 12,252 11,701 12,880 12,785
9/30/1998 12,649 12,080 13,182 13,088
10/31/1998 12,786 12,210 13,112 13,034
11/30/1998 13,644 13,030 13,186 13,164
12/31/1998 13,581 12,970 13,226 13,194
1/31/1999 13,816 13,194 13,320 13,282
2/28/1999 13,618 13,005 13,088 13,071
3/31/1999 14,337 13,692 13,160 13,171
4/30/1999 15,256 14,570 13,202 13,249
5/31/1999 14,783 14,118 13,086 13,115
6/30/1999 14,826 14,159 13,045 13,092
7/31/1999 14,534 13,880 12,989 13,039
8/31/1999 14,352 13,707 12,983 13,024
9/30/1999 14,444 13,794 13,133 13,165
10/31/1999 14,566 13,910 13,182 13,220
11/30/1999 14,829 14,162 13,181 13,242
12/31/1999 15,233 14,547 13,117 13,216
1/31/2000 15,091 14,412 13,074 13,172
2/29/2000 15,686 14,980 13,232 13,339
3/31/2000 15,844 15,131 13,407 13,495
4/30/2000 15,391 14,698 13,368 13,452
5/31/2000 14,894 14,223 13,362 13,428
6/30/2000 15,461 14,765 13,640 13,717
7/31/2000 15,597 14,895 13,764 13,850
8/31/2000 15,940 15,223 13,964 14,052
9/30/2000 15,520 14,821 14,051 14,123
10/31/2000 14,888 14,218 14,144 14,180
11/30/2000 14,810 14,144 14,376 14,371
12/31/2000 15,336 14,646 14,642 14,646
1/31/2001 15,824 15,112 14,882 14,933
2/28/2001 15,800 15,089 15,011 15,058
3/31/2001 15,203 14,519 15,087 15,109
4/30/2001 14,955 14,282 15,024 15,042
5/31/2001 15,289 14,601 15,115 15,150
6/30/2001 15,247 14,561 15,172 15,193
7/31/2001 15,258 14,571 15,511 15,492
8/31/2001 15,595 14,893 15,689 15,685
9/30/2001 14,822 14,155 15,872 15,798
10/31/2001 15,171 14,489 16,204 16,116
11/30/2001 15,387 14,695 15,980 15,927
12/31/2001 15,316 14,627 15,879 15,832
1/31/2002 15,491 14,794 16,007 15,965
2/28/2002 15,677 14,971 16,162 16,114
3/31/2002 15,857 15,143 15,894 15,881
4/30/2002 16,241 15,510 16,202 16,184
5/31/2002 16,585 15,839 16,339 16,306
6/30/2002 16,321 15,587 16,481 16,365
7/31/2002 15,934 15,217 16,680 16,504
8/31/2002 16,381 15,643 16,961 16,808
9/30/2002 16,159 15,432 17,236 17,049
10/31/2002 16,481 15,739 17,157 16,990
11/30/2002 17,097 16,328 17,153 17,036
12/31/2002 17,689 16,893 17,507 17,389
1/31/2003 18,186 17,368 17,522 17,436
2/28/2003 18,677 17,837 17,765 17,684
3/31/2003 18,858 18,010 17,751 17,701
4/30/2003 19,941 19,043 17,897 17,910
5/31/2003 20,938 19,996 18,231 18,252
6/30/2003 21,202 20,247 18,195 18,248
7/31/2003 20,625 19,697 17,583 17,661
8/31/2003 20,862 19,923 17,700 17,787
9/30/2003 21,882 20,898 18,168 18,262
10/31/2003 22,377 21,370 17,999 18,131
11/30/2003 22,999 21,964 18,042 18,194
12/31/2003 23,852 22,779 18,226 18,401
1/31/2004 24,277 23,184 18,372 18,560
2/29/2004 24,260 23,168 18,571 18,743
3/31/2004 24,577 23,471 18,710 18,892
4/30/2004 23,557 22,497 18,223 18,409
5/31/2004 23,164 22,122 18,150 18,316
6/30/2004 23,604 22,542 18,253 18,432
7/31/2004 23,833 22,761 18,434 18,628
8/31/2004 24,567 23,462 18,786 18,997
9/30/2004 25,211 24,076 18,837 19,071
10/31/2004 25,808 24,647 18,995 19,245
11/30/2004 26,428 25,239 18,843 19,126
12/31/2004 26,938 25,726 19,016 19,316
1/31/2005 26,741 25,538 19,136 19,427
2/28/2005 27,092 25,872 19,023 19,347
3/31/2005 26,632 25,432 18,925 19,206
Average Annual Total Returns -- March 31, 2005
SINCE
6 MONTHS 1 YEAR/7/ 5 YEARS/7/ INCEPTION/7/
CLASS A (Inception 5/1/95)
Net Asset Value/1/ 5.70% 8.41% 10.95% 10.38%
With Maximum Sales Charge/2/ 0.94 3.55 9.93 9.87
CLASS B (Inception 5/1/95)
Net Asset Value/1/ 5.31 7.53 10.10 9.53
With CDSC/5/ 0.31 2.53 9.82 9.53
CLASS C (Inception 5/1/95)
Net Asset Value/1/ 5.30 7.61 10.12 9.52
With CDSC/5/ 4.30 6.61 10.12 9.52
CLASS Y (Inception 12/1/99)
Net Asset Value/1/ 5.76 8.64 11.31 11.95
- -------------------------------------------------------------------------------------------
SINCE SINCE
CLASS A,B,C CLASS Y
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS INCEPTION/8/ INCEPTION/8/
Lehman Aggregate Bond Index/3/ 0.47% 1.15% 7.14% 6.70% 7.23%
Lehman U.S. Universal Bond Index/4/ 0.71 1.66 7.31 6.86 7.38
Morningstar Multisector Bond Fund
Avg./6/ 2.97 4.69 6.94 6.60 6.61
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. Performance history includes periods from a
predecessor fund. For performance current to the most recent month-end, visit
www.ixisadvisorfunds.com. Class Y shares are available to certain institutional
investors only.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of
Net Assets
as of
CREDIT QUALITY 3/31/05
- -------------------------------
Aaa 36.4
- -------------------------------
Aa 12.1
- -------------------------------
A 0.6
- -------------------------------
Baa 3.0
- -------------------------------
Ba 8.9
- -------------------------------
B 15.1
- -------------------------------
Caa 7.9
- -------------------------------
Ca 0.9
- -------------------------------
Not rated* 11.3
- -------------------------------
Short term & other 3.8
- -------------------------------
Credit quality is based on ratings from Moody's Investor Service.
* Securities that are not rated by Moody's may be rated by another rating
agency or by Loomis Sayles.
% of
Net Assets
as of
EFFECTIVE MATURITY 3/31/05
- ------------------------------------------
1 year or less 4.1
- ------------------------------------------
1-5 years 50.2
- ------------------------------------------
5-10 years 21.9
- ------------------------------------------
10+ years 23.8
- ------------------------------------------
Average Effective Maturity 8.4 years
- ------------------------------------------
NOTES TO CHARTS
/1/Does not include a sales charge. Effective 2/1/04, a 1% front end sales
charge was removed from Class C shares.
/2/Includes the maximum sales charge of 4.50%.
/3/Lehman Aggregate Bond Index is an unmanaged index of investment-grade bonds
with one- to ten-year maturities issued by the U.S. government, its agencies
and U.S. corporations.
/4/Lehman U.S. Universal Bond Index is an unmanaged index representing a blend
of the Lehman Aggregate Bond Index, the High Yield Index, and the Emerging
Market Indexes, among other indexes.
/5/Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C share performance assumes a 1.00% CDSC applied when you sell shares
within one year of purchase.
/6/Morningstar Multisector Bond Fund Average is the average performance without
sales charge of funds with similar investment objectives, as calculated by
Morningstar, Inc.
/7/Fund performance has been increased by expense waivers, without which
performance would have been lower.
/8/The since-inception comparative performance figures shown for each Class of
fund shares are calculated as follows: Class A, B and C from 5/31/95; Class
Y from 12/31/99.
12
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as
of the dates indicated. The managers' views are subject to change at any time
without notice based on changes in market or other conditions. References to
specific securities or industries should not be regarded as investment advice.
Because the funds are actively managed, there is no assurance that they will
continue to invest in the securities or industries mentioned.
For more complete information on any IXIS Advisor Fund, contact your financial
professional or call IXIS Advisor Funds and ask for a free prospectus, which
contains more complete information including charges and other ongoing
expenses. Investors should consider a fund's objective, risks and expenses
carefully before investing. This and other fund information can be found in the
prospectus. Please read the prospectus carefully before investing.
PROXY VOTING INFORMATION
A description of the funds' proxy voting policies and procedures is available
without charge, upon request, by calling IXIS Advisor Funds at 800-225-5478; on
the funds' website at www.ixisadvisorfunds.com; and 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
The funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
13
UNDERSTANDING YOUR FUNDS' EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs,
including sales charges (loads) on purchases, redemption fees and certain
exchange fees and ongoing costs, including management fees, distribution and/or
service fees (12b-1 fees), and other fund expenses. In addition, each fund
assesses a minimum balance fee of $20 on an annual basis for accounts that fall
below the required minimum to establish an account. Certain exemptions may
apply. These costs are described in more detail in the funds' 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 Class of fund shares shows the actual
account values and actual fund expenses you would have paid on a $1,000
investment in the fund from October 1, 2004 through March 31, 2005. 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 = $8.60) 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 of each Class of fund shares provides information
about hypothetical account values and hypothetical expenses based on the fund's
actual expense ratios and an assumed rate of return of 5% per year before
expenses, which is not the fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expenses you paid on your investment for the period. You may use
this information to compare the ongoing costs of investing in the fund and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs such as sales charges, redemption fees, or
exchange fees. Therefore, the second line in the table of each fund is useful
in comparing ongoing costs only, and will not help you determine the relative
costs of owning different funds. If transaction costs were included, total
costs would be higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES CORE PLUS BOND FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------------------------------------------------------------------------------------------------------
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,006.30 $5.75
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,019.20 $5.79
- ------------------------------------------------------------------------------------------------------------------
CLASS B
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,002.20 $9.48
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,015.46 $9.55
- ------------------------------------------------------------------------------------------------------------------
CLASS C
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,002.30 $9.49
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,015.46 $9.55
- ------------------------------------------------------------------------------------------------------------------
CLASS Y
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,007.60 $4.50
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,020.44 $4.53
*Expenses are equal to the fund's annualized expense ratio (after advisory fee
waiver): 1.15%, 1.90%, 1.90% and 0.90% for Class A, B, C and Y, respectively,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent fiscal half-year divided by 365 (to reflect
the half-year period).
14
UNDERSTANDING YOUR FUNDS' EXPENSES
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES HIGH INCOME FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------------------------------------------------------------------------------------------------------
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,052.50 $7.98
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,017.15 $7.85
- ------------------------------------------------------------------------------------------------------------------
CLASS B
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,046.40 $11.79
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,013.41 $11.60
- ------------------------------------------------------------------------------------------------------------------
CLASS C
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,046.40 $11.79
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,013.41 $11.60
*Expenses are equal to the fund's annualized expense ratio: 1.56%, 2.31%, and
2.31% for Class A, B, and C, respectively, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year divided by 365 (to reflect the half-year period).
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
AGENCY FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- -------------------------------------------------------------------------------------------------------------------
CLASS A
- -------------------------------------------------------------------------------------------------------------------
Actual $1,000 $998.40 $6.21
- -------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,018.72 $6.27
- -------------------------------------------------------------------------------------------------------------------
CLASS B
- -------------------------------------------------------------------------------------------------------------------
Actual $1,000 $994.70 $9.93
- -------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,014.98 $10.03
- -------------------------------------------------------------------------------------------------------------------
CLASS C
- -------------------------------------------------------------------------------------------------------------------
Actual $1,000 $993.80 $9.92
- -------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,014.98 $10.03
- -------------------------------------------------------------------------------------------------------------------
CLASS Y
- -------------------------------------------------------------------------------------------------------------------
Actual $1,000 $998.70 $6.01
- -------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,018.92 $6.07
*Expenses are equal to the fund's annualized expense ratio: 1.25%, 2.00%, 2.00%
and 1.21% for Class A, B, C and Y (after transfer agent fee waiver),
respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half-year divided
by 365 (to reflect the half-year period).
15
UNDERSTANDING YOUR FUNDS' EXPENSES
LOOMIS SAYLES MASSACHUSETTS TAX FREE BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
INCOME FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------------------------------------------------------------------------------------------------------
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,013.00 $6.28
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,018.69 $6.30
- ------------------------------------------------------------------------------------------------------------------
CLASS B
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,009.80 $10.03
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,014.96 $10.05
*Expenses are equal to the fund's annualized expense ratio: 1.25% and 2.00% for
Class A and B, respectively, multiplied by the average account value over the
period, multiplied by the number of days in the most recent fiscal half-year
divided by 365 (to reflect the half-year period).
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES MUNICIPAL INCOME FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------------------------------------------------------------------------------------------------------
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,011.50 $5.58
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,019.38 $5.60
- ------------------------------------------------------------------------------------------------------------------
CLASS B
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,007.70 $9.32
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,015.64 $9.36
*Expenses are equal to the fund's annualized expense ratio: 1.11% and 1.86% for
Class A and B, respectively, multiplied by the average account value over the
period, multiplied by the number of days in the most recent fiscal half-year
divided by 365 (to reflect the half-year period).
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES STRATEGIC INCOME FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------------------------------------------------------------------------------------------------------
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,057.00 $5.62
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,019.47 $5.52
- ------------------------------------------------------------------------------------------------------------------
CLASS B
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,053.10 $9.45
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,015.73 $9.28
- ------------------------------------------------------------------------------------------------------------------
CLASS C
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,053.00 $9.45
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,015.73 $9.28
- ------------------------------------------------------------------------------------------------------------------
CLASS Y
- ------------------------------------------------------------------------------------------------------------------
Actual $1,000 $1,057.60 $4.50
- ------------------------------------------------------------------------------------------------------------------
Hypothetical (5% return before expenses) $1,000 $1,020.56 $4.41
*Expenses are equal to the fund's annualized expense ratio: 1.10%, 1.85%, 1.85%
and 0.88% for Class A, B, C and Y, respectively, multiplied by the average
account value over the period, multiplied by the number of days in the most
recent fiscal half-year divided by 365 (to reflect the half-year period).
16
LOOMIS SAYLES CORE PLUS BOND FUND -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------------------
Bonds and Notes -- 98.1% of Total Net Assets
Aerospace & Defense -- 0.6%
$ 1,400,000 Northrop Grumman Corp., Note
7.125%, 2/15/2011 $ 1,561,260
---------------
Asset Backed Securities -- 7.8%
2,000,000 American Express Credit Account Master Trust, Series 2003-4,
Class A
1.690%, 1/15/2009 1,948,404
690,000 AmeriCredit Automobile Receivables Trust, Series 2003-D-M,
Class A-4
2.840%, 8/06/2010 676,941
3,755,000 BMW Vehicle Owner Trust, Series 2004-A, Class A4
3.320%, 2/25/2009 3,691,535
3,675,000 Citibank Credit Card Issuance Trust, Series 2003-A2, Class A2
2.700%, 1/15/2008 3,648,176
273,746 Connecticut RRB Special Purpose Trust Connecticut Light & Power,
Series 2001-1, Class A2
5.360%, 3/30/2007 273,746
3,430,000 Countrywide Asset-Backed Certificates, Series 2003-5, Class AF 4
4.905%, 8/25/2032 3,440,452
790,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A2
3.872%, 3/25/2020 779,816
1,095,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3
4.615%, 2/25/2035 1,074,483
1,730,000 Ford Credit Auto Owner Trust, Series 2004-A, Class A4
3.540%, 11/15/2008 1,703,225
1,850,000 Residential Asset Securities Corp., Series 2003-KS10, Class AI4
4.470%, 3/25/2032 1,853,398
1,000,000 WFS Financial Owner Trust, Series 2004-4, Class A3
2.980%, 9/17/2009 984,176
515,000 WFS Financial Owner Trust, Series 2004-4, Class A4
3.440%, 5/17/2012 503,284
---------------
20,577,636
---------------
Automotive -- 2.8%
1,510,000 Ford Motor Credit Co., Global Note
5.625%, 10/01/2008(c) 1,447,039
715,000 General Motors Acceptance Corp., Note
8.000%, 11/01/2031 622,653
2,630,000 General Motors Corp., Senior Note
8.375%, 7/15/2033(c) 2,250,575
2,880,000 Navistar International Corp., Senior Subordinated Note
9.375%, 6/01/2006 3,002,400
---------------
7,322,667
---------------
Banking -- 1.3%
1,400,000 Chevy Chase Bank FSB, Subordinated Note
6.875%, 12/01/2013 1,449,000
715,000 JPMorgan Chase & Co., Global Subordinated Note
5.750%, 1/02/2013 743,011
1,200,000 State Street Institutional Capital A, Series A, Guaranteed
Note, 144A
7.940%, 12/30/2026 1,287,506
---------------
3,479,517
---------------
Beverage -- 1.4%
3,125,000 Cia Brasileira de Bebidas, Guaranteed Note
8.750%, 9/15/2013 3,578,125
---------------
Brokerage -- 1.8%
675,000 Goldman Sachs Group, Inc., Senior Note
6.600%, 1/15/2012 730,446
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------
Brokerage -- continued
$ 3,815,000 Lehman Brothers Holdings, Inc., Note
7.000%, 2/01/2008 $ 4,070,697
---------------
4,801,143
---------------
Chemicals -- 2.6%
475,000 Eastman Chemical Co., Note
3.250%, 6/15/2008 455,118
2,930,000 Eastman Chemical Co., Note
6.300%, 11/15/2018 3,129,099
1,470,000 ICI Wilmington, Inc., Guaranteed Note
5.625%, 12/01/2013 1,489,470
1,665,000 Lubrizol Corp.
6.500%, 10/01/2034 1,739,196
---------------
6,812,883
---------------
Construction Machinery -- 0.6%
1,600,000 Case New Holland, Inc., Senior Note, 144A
9.250%, 8/01/2011 1,704,000
---------------
Consumer Products -- 0.8%
865,000 Church & Dwight Co Inc., 144A
6.000%, 12/15/2012 843,375
1,375,000 Jostens IH Corp., Senior Subordinated Note
7.625%, 10/01/2012 1,361,250
---------------
2,204,625
---------------
Electric -- 3.9%
1,455,000 Duke Energy Corp., Senior Note
4.200%, 10/01/2008 1,437,304
2,030,000 Empresa Nacional de Electricidad SA, Chile, Note
8.350%, 8/01/2013 2,275,660
1,325,000 Enersis SA, Chile, Note
7.375%, 1/15/2014 1,379,337
2,150,000 FirstEnergy Corp., Note, Series B
6.450%, 11/15/2011 2,268,347
1,325,000 Ipalco Enterprises, Inc., Senior Secured Note
8.375%, 11/14/2008 1,444,250
1,450,000 Southern California Edison Co., Note
7.625%, 1/15/2010 1,622,166
---------------
10,427,064
---------------
Food and Beverage -- 0.4%
788,000 Dean Foods Co., Senior Note
6.900%, 10/15/2017 791,940
150,000 Del Monte Corp., Senior Subordinated Note, 144A
6.750%, 2/15/2015 146,250
---------------
938,190
---------------
Foreign Local Governments -- 2.7%
3,000,000 Pemex Finance, Ltd., Series 1998, Class 18NT
9.150%, 11/15/2018 3,559,710
3,265,000 Pemex Project Funding Master Trust, Note
7.875%, 2/01/2009 3,529,465
---------------
7,089,175
---------------
Gaming -- 0.3%
450,000 Harrah's Operating Co., Inc., Guaranteed Senior Note
7.500%, 1/15/2009 489,464
185,000 Harrah's Operating Co., Inc., Senior Note
7.125%, 6/01/2007 194,388
---------------
683,852
---------------
See accompanying notes to financial statements.
17
LOOMIS SAYLES CORE PLUS BOND FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------
Government Agencies -- 7.9%
$ 10,400,000 FHLMC
2.875%, 12/15/2006(d) $ 10,222,722
2,750,000 FHLMC
3.220%, 6/20/2007 (SGD) 1,694,241
140,000,000 FNMA
1.750%, 3/26/2008 1,362,824
6,600,000 FNMA
2.290%, 2/19/2009 (SGD) 3,929,927
3,710,000 FNMA
5.250%, 1/15/2009 3,823,760
---------------
21,033,474
---------------
Healthcare -- 1.1%
1,925,000 HCA, Inc., Note
6.950%, 5/01/2012 1,998,065
860,000 Wellpoint Inc., 144A
3.750%, 12/14/2007 844,025
---------------
2,842,090
---------------
Home Construction -- 0.8%
595,000 D.R. Horton Inc.
5.625%, 9/15/2014 564,845
300,000 D.R. Horton Inc.
6.125%, 1/15/2014 297,441
1,315,000 Pulte Homes, Inc., Senior Note
4.875%, 7/15/2009 1,297,338
---------------
2,159,624
---------------
Independent Energy -- 0.7%
480,000 Chesapeake Energy Corp., Senior Note, 144A
6.375%, 6/15/2015 474,000
1,295,000 Pioneer Natural Resources Co., Senior Note
6.500%, 1/15/2008 1,356,238
---------------
1,830,238
---------------
Industrial Other -- 1.1%
2,865,000 Aramark Services, Inc., Guaranteed Note
7.000%, 7/15/2006 2,950,300
---------------
Insurance -- 0.7%
1,725,000 Axis Capital Holdings
5.750%, 12/01/2014 1,747,032
---------------
Media -- Broadcasting & Publishing -- 0.6%
1,290,000 Time Warner, Inc., Note
7.700%, 5/01/2032 1,531,479
---------------
Media Cable -- 4.4%
620,000 Cox Communications Inc., 144A
5.450%, 12/15/2014 603,575
2,000,000 CSC Holdings, Inc., Senior Note
7.625%, 7/15/2018 2,080,000
515,000 CSC Holdings, Inc., Senior Note
7.875%, 2/15/2018 545,900
1,540,000 Rogers Cable, Inc., Series
6.750%, 3/15/2015 1,516,900
4,000,000 Shaw Communications, Inc., Senior Note
7.400%, 10/17/2007 (CAD) 3,545,988
2,785,000 TeleCommunications, Inc., Note
9.800%, 2/01/2012 3,490,833
---------------
11,783,196
---------------
Principal
Amount Description Value (a)
- --------------------------------------------------------------------------------
Media Non Cable -- 0.5%
$ 1,435,000 Clear Channel Communications, Inc., Global Note
4.250%, 5/15/2009 $ 1,381,150
---------------
Metals and Mining -- 0.6%
1,500,000 International Steel Group, Inc., Note
6.500%, 4/15/2014 1,530,000
---------------
Mortgage Related -- 23.2%
2,839,419 FHLMC
4.000%, 7/01/2019 2,718,873
8,196,334 FHLMC
4.500%, with various maturities to 2034(e) 7,950,512
9,863,373 FHLMC
5.000%, with various maturities to 2034(e) 9,738,261
2,423,059 FHLMC
5.500%, with various maturities to 2018(e) 2,475,603
9,001,030 FNMA
5.000%, with various maturities to 2034(e) 8,852,471
8,160,436 FNMA
5.500%, with various maturities to 2034(e) 8,224,367
3,110,314 FNMA
6.000%, with various maturities to 2034(e) 3,196,879
5,368,893 FNMA
6.500%, with various maturities to 2034(e) 5,577,016
563,501 FNMA
7.000%, with various maturities to 2030(e) 594,652
597,813 FNMA
7.500%, with various maturities to 2032(e) 639,824
5,455,000 FNMA (TBA)
4.000%, 4/01/2020 5,221,461
1,752,376 GNMA
5.500%, 2/20/2034 1,767,701
698,947 GNMA
6.000%, 1/15/2029 720,157
2,026,613 GNMA
6.500%, with various maturities to 2032(e) 2,119,760
907,952 GNMA
7.000%, with various maturities to 2029(e) 962,528
245,609 GNMA
7.500%, with various maturities to 2030(e) 264,138
120,065 GNMA
8.000%, 11/15/2029 129,463
280,751 GNMA
8.500%, with various maturities to 2023(e) 307,879
29,539 GNMA
9.000%, with various maturities to 2016(e) 32,197
81,081 GNMA
11.500%, with various maturities to 2015(e) 90,485
---------------
61,584,227
---------------
Non - Captive Consumer Financial -- 1.4%
1,305,000 Capital One Bank
6.500%, 6/13/2013 1,401,329
1,380,000 Countrywide Home Loans, Inc., Note, (MTN)
5.500%, 8/01/2006 1,403,043
982,000 Household Finance Corp., Note
5.750%, 1/30/2007 1,007,916
---------------
3,812,288
---------------
See accompanying notes to financial statements.
18
LOOMIS SAYLES CORE PLUS BOND FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- --------------------------------------------------------------------------------------
Non - Captive Diversified Financial -- 0.5%
$ 500,000 General Electric Capital Corp., Series E, Note, (MTN)
1.725%, 6/27/2008 (SGD) $ 294,062
1,080,000 International Lease Finance Corp., Global Note
5.625%, 6/01/2007 1,108,246
---------------
1,402,308
---------------
Oil & Gas -- 0.7%
1,750,000 Transocean Sedco Forex, Inc., Note
6.625%, 4/15/2011 1,911,068
---------------
Paper -- 3.7%
3,165,000 Abitibi-Consolidated Finance, LP, Note
7.875%, 8/01/2009 3,157,087
1,495,000 Abitibi-Consolidated, Inc., Note
8.550%, 8/01/2010 1,517,425
1,200,000 Georgia-Pacific Corp., Note
7.375%, 12/01/2025 1,254,000
755,000 Georgia-Pacific Corp., Note
7.750%, 11/15/2029 822,950
480,000 Georgia-Pacific Corp., Note
8.875%, 5/15/2031 578,400
2,705,000 International Paper Co., Note
4.000%, 4/01/2010 2,601,842
---------------
9,931,704
---------------
Pharmaceuticals -- 2.1%
1,470,000 Caremark Rx, Inc., Senior Note
7.375%, 10/01/2006 1,529,314
1,250,000 Medco Health Solutions
7.250%, 8/15/2013 1,381,696
2,750,000 Valeant Pharmaceuticals International, Senior Note
7.000%, 12/15/2011 2,777,500
---------------
5,688,510
---------------
Pipelines -- 1.2%
520,000 Enterprise Products Operating, LP, Series B, Senior Note
4.625%, 10/15/2009 507,452
2,464,000 Kinder Morgan Energy Partners, LP, Note
7.125%, 3/15/2012 2,733,404
---------------
3,240,856
---------------
Railroads -- 1.3%
1,155,000 CSX Corp., Note
4.875%, 11/01/2009 1,153,319
2,350,000 Union Pacific Corp., Senior Note
5.375%, 5/01/2014 2,375,958
---------------
3,529,277
---------------
Real Estate Investment Trusts -- 2.4%
195,000 Colonial Realty, LP, Senior Note
4.750%, 2/01/2010 191,728
3,540,000 EOP Operating, LP, Guaranteed Note
4.650%, 10/01/2010 3,460,350
1,250,000 iStar Financial, Inc., Senior Note
6.000%, 12/15/2010 1,288,543
1,340,000 Simon Property Group, LP, Note
6.375%, 11/15/2007 1,396,056
---------------
6,336,677
---------------
Refining -- 0.2%
515,000 Premcor Refining Group (The), Inc., Senior Note
7.500%, 6/15/2015 529,163
---------------
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------
Sovereigns -- 1.6%
$ 3,180,000 Canadian Government
5.500%, 6/01/2010 (CAD) $ 2,824,185
9,195,000 Kingdom of Sweden
4.000%, 12/01/2009 (SEK) 1,350,540
---------------
4,174,725
---------------
Supermarkets -- 2.8%
1,365,000 Couche-Tard US, LP/Couche-Tard Finance Corp.,
Senior Subordinated Note
7.500%, 12/15/2013 1,433,250
2,155,000 Delhaize America, Inc., Note
8.125%, 4/15/2011 2,395,328
560,000 Delhaize America, Inc., Note
9.000%, 4/15/2031 680,365
2,720,000 Fred Meyer, Inc., Note
7.450%, 3/01/2008 2,914,918
---------------
7,423,861
---------------
Supranationals -- 0.7%
1,210,000 Inter-American Development Bank, Note
5.500%, 3/30/2010 (EUR) 1,743,364
---------------
Telecommunications -- 0.3%
730,000 Sprint Capital Corp., Note
6.125%, 11/15/2008 763,004
---------------
Transportation Services -- 0.4%
1,015,000 Overseas Shipholding Group, Senior Note
7.500%, 2/15/2024 1,020,075
---------------
Treasuries -- 5.4%
750,000 U.S. Treasury Bond
5.375%, 2/15/2031 817,412
1,015,000 U.S. Treasury Note
2.625%, 5/15/2008 975,034
935,000 U.S. Treasury Note
2.750%, 7/31/2006 924,518
3,105,000 U.S. Treasury Note
3.250%, 8/15/2007 3,063,154
7,510,000 U.S. Treasury Note
3.500%, 11/15/2006 7,486,531
1,140,000 U.S. Treasury Note
4.875%, 2/15/2012(c) 1,177,183
---------------
14,443,832
---------------
Wireless -- 0.0%
100,000 Rogers Wireless, Inc., Series
7.250%, 12/15/2012 102,000
---------------
Wirelines -- 4.8%
1,095,000 AT&T Corp., Senior Note
9.750%, 11/15/2031 1,335,900
1,650,000 GTE Corp., Note
7.900%, 2/01/2027 1,776,065
3,200,000 LCI International, Inc., Senior Note
7.250%, 6/15/2007 3,016,000
1,240,000 Qwest Corp., Note
7.200%, 11/10/2026 1,122,200
670,000 Qwest Corp., Note
7.250%, 9/15/2025 626,450
2,080,000 Sprint Capital Corp., Note
6.875%, 11/15/2028 2,226,829
See accompanying notes to financial statements.
19
LOOMIS SAYLES CORE PLUS BOND FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------
Wirelines -- continued
$ 1,045,000 TELUS Corp., Note
8.000%, 6/01/2011 $ 1,210,147
1,675,000 U.S. West Communications, Inc., Note
7.500%, 6/15/2023 1,549,375
---------------
12,862,966
---------------
Total Bonds and Notes (Identified Cost $257,220,197) 260,468,625
---------------
Principal
Amount
- -----------------------------------------------------------------------------------------
Short Term Investments -- 5.5%
4,350,424 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at $4,350,668 on
4/01/2005, collateralized by $4,515,375 Federal National
Mortgage Association Bond, 3.35%, due 3/25/2033 valued at
$4,569,477 4,350,424
223,430 Bank of America, 2.77%, due 4/18/2005(g) 223,430
223,430 Bank of America, 2.82%, due 5/16/2005(g) 223,430
68,040 Bank of Montreal, 2.60%, due 4/04/2005(g) 68,040
245,522 Bank of Montreal, 2.75%, due 4/08/2005(g) 245,522
397,706 Bank of Nova Scotia, 2.70%, due 4/11/2005(g) 397,706
89,372 Bank of Nova Scotia, 2.73%, due 4/14/2005(g) 89,372
223,430 Bank of Nova Scotia, 2.78%, due 4/28/2005(g) 223,430
134,057 Barclays, 2.785%, due 4/25/2005(g) 134,057
243,318 BGI Institutional Money Market Fund(g) 243,318
670,291 BNP Paribas, 2.73%, due 4/07/2005(g) 670,291
223,430 BNP Paribas, 2.91%, due 6/15/2005(g) 223,430
91,238 Calyon, 2.77%, due 4/21/2005(g) 91,238
41,184 Den Danske Bank, 2.77%, due 4/26/2005(g) 41,184
89,372 Falcon Asset Securitization Corp, 2.727%, due 4/13/2005(g) 89,372
218,068 Fortis Bank, 2.44%, due 4/14/2005(g) 218,068
223,430 Fortis Bank, 2.80%, due 4/06/2005(g) 223,430
96,812 Goldman Sachs Financial Square Prime Obligations Fund(g) 96,812
223,430 Govco Incorporated, 2.60%, due 4/05/2005(g) 223,430
107,372 Keybank, 2.844%, due 4/01/2005(g) 107,372
110,489 Merrill Lynch Premier Institutional Fund(g) 110,489
63,782 Merrimac Cash Fund-Premium Class(g) 63,782
223,430 Rabobank Nederland, 2.78%, due 4/29/2005(g) 223,430
241,754 Royal Bank of Scotland, 2.75%, due 4/05/2005(g) 241,754
223,430 Svenska Handlesbanken, 2.70%, due 4/11/2005(g) 223,430
44,686 The Bank of the West, 2.79%, due 4/22/2005(g) 44,686
44,686 Toronto Dominion Bank, 3.01%, due 6/24/2005(g) 44,686
5,300,000 U.S. Treasury Bills, 2.648%, due 5/19/2005(f) 5,281,291
89,372 UBS AG, 2.805%, due 5/03/2005(g) 89,372
89,372 Wells Fargo, 2.78%, due 4/20/2005(g) 89,372
31,502 Wells Fargo, 2.79%, due 4/08/2005(g) 31,502
44,686 Yorktown Capital LLC, 2.636%, due 4/01/2005(g) 44,686
---------------
Total Short Term Investments (Identified Cost $14,671,836) 14,671,836
---------------
Total Investments -- 103.6%
(Identified Cost $271,892,033)(b) 275,140,461
Other assets less liabilities (9,645,198)
---------------
Total Net Assets -- 100% $ 265,495,263
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on
cost of $273,146,299 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 $ 6,510,496
Aggregate gross unrealized depreciation for all investments in which there is an
excess of tax cost over value (4,516,334)
-----------
Net unrealized appreciation $ 1,994,162
===========
At September 30, 2004, the Fund had a capital loss carryover of approximately $23,293,740 of
which $1,530,375 expires on September 30, 2008 and $21,763,365 expires on September 30,
2010. These amounts may be available to offset future realized capital gains, if any, to the
extent provided by regulations.
(c) All or a portion of this security was on loan to brokers at March 31, 2005.
(d) All or a portion of this security has been segregated to cover collateral requirements on TBA
obligations.
(e) The Fund's investment in mortgage related securities of the Federal Home Loan Mortgage
Corporation, Federal National Mortgage Association and Government National Mortgage
Association are interests in separate pools of mortgages. All separate investments in securities of
each issuer which have the same coupon rate have been aggregated for the purpose of
presentation in the schedule of investments.
(f) Rate is yield to maturity.
(g) Represents investments of securities lending collateral.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
MTN Medium Term Note
TBA To Be Announced (see Note 2g of Notes to Financial Statements)
144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registrations, normally to qualified
institutional buyers. At the period end, the value of these amounted to $5,902,731 or 2.2% of
net assets.
CAD Canadian Dollar
EUR Euro
SEK Swedish Krona
SGD Singapore Dollar
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Mortgage Related 23.2%
Government Agencies 7.9
Asset Backed Securities 7.8
Treasuries 5.4
Wirelines 4.8
Media Cable 4.4
Electric 3.9
Paper 3.7
Supermarkets 2.8
Automotive 2.8
Foreign Local Governments 2.7
Chemicals 2.6
Real Estate Investment Trusts 2.4
Pharmaceuticals 2.1
Other, less than 2% each 21.6
See accompanying notes to financial statements.
20
LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------
Bonds and Notes -- 93.9% of Total Net Assets
Aerospace/Defense -- 0.6%
$ 250,000 TD Funding Corp., Senior Subordinated Note
8.375%, 7/15/2011 $ 256,562
---------------
Airlines -- 3.0%
86,366 Continental Airlines, Inc., Series 1997-4, Class 4B
6.900%, 1/02/2017 69,988
165,762 Continental Airlines, Inc., Series 1998-1, Class 1A
6.648%, 9/15/2017 157,322
169,920 Continental Airlines, Inc., Series 1998-1, Class 1B
6.748%, 3/15/2017 138,681
54,100 Continental Airlines, Inc., Series 1999-1, Class C
6.954%, 8/02/2009 44,440
109,326 Continental Airlines, Inc., Series 1999-2, Class B
7.566%, 3/15/2020 91,926
40,606 Continental Airlines, Inc., Series 2002-2, Class B
8.307%, 4/02/2018 34,882
870,000 Northwest Airlines Corp., Senior Note
8.875%, 6/01/2006(c) 735,150
---------------
1,272,389
---------------
Automotive -- 3.9%
600,000 Cummins, Inc., Note
7.125%, 3/01/2028 606,000
70,000 Dana Corp., Note
7.000%, 3/01/2029 61,473
20,000 Dana Corp., Senior Note, 144A
5.850%, 1/15/2015 17,618
195,000 Delphi Corp., Note
7.125%, 5/01/2029(c) 154,953
125,000 General Motors Acceptance Corp. of Canada, Ltd., Series E.,
Note, (MTN)
6.625%, 12/17/2010 (GBP) 208,985
505,000 General Motors Acceptance Corp., Note
3.700%, 3/20/2007 480,394
110,000 Tenneco Automotive Inc., Senior Subordinated Note, 144A
8.625%, 11/15/2014 106,975
---------------
1,636,398
---------------
Banking -- 0.9%
7,000,000 Barclays Bank PLC, Note, 144A
4.160%, 2/22/2010 (THB)(d) 175,752
9,000,000 Barclays Financial, LLC, Note, 144A
4.100%, 3/22/2010 (THB)(d) 225,092
---------------
400,844
---------------
Chemicals -- 3.2%
450,000 Borden Chemical, Inc., Note
7.875%, 2/15/2023 409,500
550,000 Borden Chemical, Inc., Note
9.200%, 3/15/2021 555,500
195,000 Hercules, Inc., Subordinated Note
6.500%, 6/30/2029 156,000
200,000 Nalco Co., Senior Subordinated Note
8.875%, 11/15/2013 214,000
---------------
1,335,000
---------------
Construction Machinery -- 2.5%
350,000 Case Credit Corp., Note
6.750%, 10/21/2007 346,500
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------------------
Construction Machinery -- continued
$ 100,000 Case New Holland, Inc., Senior Note, 144A
9.250%, 8/01/2011 $ 106,500
120,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note
7.750%, 12/15/2013 99,600
550,000 United Rentals North America, Inc., Senior Subordinated Note
7.000%, 2/15/2014(c) 503,250
---------------
1,055,850
---------------
Electric -- 8.4%
340,000 AES Corp. (The), Senior Note
7.750%, 3/01/2014 351,048
100,000 Allegheny Energy Supply Co. LLC, Note
7.800%, 3/15/2011 103,750
100,000 Calpine Corp., Senior Note
7.750%, 4/15/2009(c) 69,000
200,000 Calpine Corp., Senior Note
7.875%, 4/01/2008(c) 145,000
705,000 Calpine Corp., Senior Note
8.500%, 2/15/2011(c) 497,025
170,000 Calpine Corp., Senior Secured Note, 144A
8.750%, 7/15/2013 128,350
350,000 Edison Mission Energy Corp., Senior Note
7.730%, 6/15/2009 364,875
200,000 Empresa Nacional de Electricidad SA, Chile, Note
7.875%, 2/01/2027 216,662
250,000 Empresa Nacional de Electricidad SA, Chile, Note
8.350%, 8/01/2013 280,254
525,000 Enersis SA, Cayman Island, Note
7.400%, 12/01/2016 (yankee) 545,889
140,000 Enersis SA, Chile, Note
7.375%, 1/15/2014 145,741
270,195 Salton SEA Funding Corp., Series C, Senior Secured Note
7.840%, 5/30/2010 288,593
46,237 Salton SEA Funding Corp., Series E, Senior Note
8.300%, 5/30/2011 50,430
125,000 TECO Energy, Inc., Note
7.000%, 5/01/2012 130,469
225,000 Texas Genco LLC/Texas Genaco Financing Corp., Senior
Subordinated Note, 144A
6.875%, 12/15/2014 225,562
---------------
3,542,648
---------------
Electronics -- 0.5%
125,000 Amkor Technology, Inc., Note
5.000%, 3/15/2007(c) 109,531
125,000 Amkor Technology, Inc., Senior Note
7.750%, 5/15/2013(c) 105,000
---------------
214,531
---------------
Food and Beverage -- 1.8%
600,000 Bavaria SA, Senior Note, 144A
8.875%, 11/01/2010 654,000
115,000 Friendly Ice Cream Corp., Guaranteed Senior Note
8.375%, 6/15/2012(c) 109,250
---------------
763,250
---------------
Healthcare -- 2.2%
150,000 Columbia/HCA, Inc., Note
7.500%, 12/15/2023 151,999
75,000 Columbia/HCA, Inc., Note
7.690%, 6/15/2025 77,122
See accompanying notes to financial statements.
21
LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------
Healthcare -- continued
$ 500,000 Columbia/HCA, Inc., Note
7.750%, 7/15/2036 $ 513,930
200,000 Columbia/HCA, Inc., Note (MTN)
7.580%, 9/15/2025 203,411
---------------
946,462
---------------
Home Construction -- 0.7%
300,000 K Hovnanian Enterprises, Inc., Guaranteed Senior Note, 144A
6.250%, 1/15/2015 287,120
---------------
Independent Energy -- 0.9%
270,000 Chesapeake Energy Corp., Senior Note
6.875%, 1/15/2016 272,700
100,000 Chesapeake Energy Corp., Senior Note, 144A
6.375%, 6/15/2015 98,750
---------------
371,450
---------------
Integrated Energy -- 1.2%
265,000 Cerro Negro Finance, Ltd., Note, 144A
7.900%, 12/01/2020 246,450
300,000 Petrozuata Finance, Inc., Note, Series B, 144A
8.220%, 4/01/2017 282,000
---------------
528,450
---------------
Lodging -- 1.5%
300,000 FelCor Lodging, LP, Senior Note
9.000%, 6/01/2011 322,500
300,000 La Quinta Inns, Inc., (MTN), (FRN)
7.330%, 4/01/2008 312,000
---------------
634,500
---------------
Media Cable -- 6.3%
500,000 Charter Communications Holdings, Inc., Senior Note
9.625%, 11/15/2009(c) 391,250
150,000 Charter Communications Holdings, Inc., Senior Note
10.000%, 5/15/2011(c) 115,125
550,000 CSC Holdings, Inc., Senior Note
7.625%, 7/15/2018 572,000
200,000 Innova S De RL
9.375%, 9/19/2013 221,500
250,000 NTL Cable PLC, Note, 144A
9.750%, 4/15/2014 (GBP) 486,340
175,000 PanAmSat Corp., Note
6.875%, 1/15/2028 159,250
650,000 Rogers Cable Inc., Senior Note
5.500%, 3/15/2014 596,375
150,000 Rogers Communications, Inc., Note
2.000%, 11/26/2005 147,000
---------------
2,688,840
---------------
Media Non Cable -- 0.3%
125,000 Dex Media, Inc., Note
8.000%, 11/15/2013 129,375
---------------
Metals and Mining -- 1.9%
520,000 AK Steel Corp., Guaranteed Senior Note
7.750%, 6/15/2012(c) 500,500
150,000 Glencore Funding LLC, Guaranteed Note, 144A
6.000%, 4/15/2014 142,649
175,000 Vale Overseas, Ltd., Note
8.250%, 1/17/2034 182,000
---------------
825,149
---------------
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------------------
Oil Field Services -- 0.1%
$ 35,000 North American Energy Partners, Inc., Senior Note
8.750%, 12/01/2011 $ 31,500
---------------
Packaging -- 1.5%
350,000 Owens-Illinois, Inc., Senior Note
7.500%, 5/15/2010(c) 360,500
135,000 Owens-Illinois, Inc., Senior Note
7.800%, 5/15/2018 137,362
125,000 Solo Cup Co., Senior Subordinated Note
8.500%, 2/15/2014 125,000
---------------
622,862
---------------
Paper -- 5.0%
220,000 Abitibi-Consolidated, Inc., Note
7.500%, 4/01/2028 186,450
250,000 Abitibi-Consolidated, Inc., Note
8.500%, 8/01/2029 226,875
100,000 Arcel Finance, Ltd., Note, 144A
6.361%, 5/01/2012 98,942
200,000 Arcel Finance, Ltd., Note, 144A
7.048%, 9/01/2011 203,186
685,000 Bowater, Inc., Note
6.500%, 6/15/2013(c) 652,462
165,000 Georgia-Pacific Corp., Note
7.250%, 6/01/2028 169,950
200,000 Georgia-Pacific Corp., Note
7.375%, 12/01/2025 209,000
350,000 Pope & Talbot, Inc., Senior Note
8.375%, 6/01/2013 367,500
---------------
2,114,365
---------------
Pharmaceuticals -- 5.0%
85,000 Elan Capital Corp., Ltd., Convertible
6.500%, 11/10/2008 60,350
127,000 EPIX Pharmaceuticals, Inc., Senior Note
3.000%, 6/15/2024 95,250
300,000 Inhale Therapeutic Systems, Inc., Subordinated Note
3.500%, 10/17/2007 285,000
375,000 IVAX Corp., Senior Note, Convertible
1.500%, 3/01/2024(c) 382,969
187,000 IVAX Corp., Senior Subordinated Note, Convertible
4.500%, 5/15/2008 187,234
250,000 Pharma Services Intermediate Holding Corp., Senior Note, 144A
0/11.500%, 4/01/2014(e) 176,250
200,000 Quintiles Transnational Corp., Senior Subordinated Note
10.000%, 10/01/2013 225,000
150,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, Convertible
5.500%, 10/17/2008 137,625
50,000 Valeant Pharmaceuticals International, Subordinated Note,
Convertible
3.000%, 8/16/2010 47,937
235,000 Valeant Pharmaceuticals International, Subordinated Note,
Convertible
4.000%, 11/15/2013(c) 225,894
310,000 Vertex Pharmaceuticals, Inc., Note, 144A
5.750%, 2/15/2011 287,912
---------------
2,111,421
---------------
See accompanying notes to financial statements.
22
LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------------------
Pipelines -- 5.6%
$ 300,000 El Paso CGP, Co., Note
6.375%, 2/01/2009 $ 288,000
825,000 El Paso CGP, Co., Note
6.950%, 6/01/2028 717,750
175,000 Tennessee Gas Pipeline Co., Note
7.000%, 10/15/2028 171,714
165,000 Williams Cos., Inc., Note
7.875%, 9/01/2021 179,850
982,000 Williams Cos., Inc., Series A, Note
7.500%, 1/15/2031 1,031,100
---------------
2,388,414
---------------
Railroads -- 0.6%
245,000 Grupo Transportacion Ferroviaria Mexicana SA de CV, Senior Note
0/11.750%, 6/15/2009 (yankee)(e) 245,000
---------------
Real Estate Investment Trusts -- 1.3%
500,000 Crescent Real Estate Equities, LP, Senior Subordinated Note
9.250%, 4/15/2009 542,500
---------------
Refining -- 1.0%
225,000 Premcor Refining Group (The), Inc., Senior Note
6.750%, 2/01/2011 230,063
205,000 Premcor Refining Group (The), Inc., Senior Note
7.500%, 6/15/2015 210,638
---------------
440,701
---------------
Retailers -- 4.2%
250,000 Dillard's Department Stores, Inc., Note
6.625%, 1/15/2018 247,500
600,000 Dillard's, Inc., Note
7.750%, 7/15/2026 633,000
200,000 Saks, Inc.
7.375%, 2/15/2019 179,000
335,000 Toys R US, Inc., Note
7.375%, 10/15/2018(c) 279,725
400,000 Woolworth Corp., Note
8.500%, 1/15/2022 434,000
---------------
1,773,225
---------------
Sovereigns -- 4.7%
95,000 Republic of Brazil
8.250%, 1/20/2034 84,360
175,000 Republic of Colombia
8.125%, 5/21/2024 159,250
100,000,000 Republic of Colombia
11.750%, 3/01/2010 (COP) 41,797
123,750 Republic of Peru (FRN)
5.000%, 3/07/2017 113,231
19,250,000 United Mexican States
9.000%, 12/20/2012 (MXN) 1,590,489
---------------
1,989,127
---------------
Supranational -- 2.8%
6,000,000 Inter-American Development Bank, Series E, Note, (MTN),
Zero Coupon
5/11/2009 (BRL)(d) 1,203,149
---------------
Technology -- 10.6%
225,000 Corning, Inc., Note
5.900%, 3/15/2014 224,280
270,000 Corning, Inc., Note
6.200%, 3/15/2016 271,137
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------------
Technology -- continued
$ 225,000 Corning, Inc., Note
6.750%, 9/15/2013 $ 238,317
155,000 Corning, Inc., Note
6.850%, 3/01/2029 153,798
465,000 Fairchild Semiconductor Interanational, Inc., Senior Subordinated
Note, Convertible
5.000%, 11/01/2008 469,650
100,000 Kulicke & Soffa Industries, Inc., Subordinated Note, Convertible
0.500%, 11/30/2008(c) 74,875
910,000 Lucent Technologies, Inc., Note
6.450%, 3/15/2029 784,875
315,000 Maxtor Corp., Subordinated Note
5.750%, 3/01/2012(d) 274,050
300,000 Nortel Networks Corp., Guaranteed Senior Note
4.250%, 9/01/2008 277,500
425,000 Nortel Networks Corp., Note
6.875%, 9/01/2023 392,063
100,000 Northern Telecom Capital Corp., Note
7.875%, 6/15/2026 100,500
100,000 SCI Systems, Inc., Subordinated Note, Convertible
3.000%, 3/15/2007 96,375
325,000 Xerox Capital Trust I, Guaranteed Note
8.000%, 2/01/2027 325,000
300,000 Xerox Corp., Note, (MTN)
7.200%, 4/01/2016 309,000
500,000 Xerox Corp., Senior Note
6.875%, 8/15/2011 509,375
---------------
4,500,795
---------------
Transportation Services -- 4.8%
275,000 American President Cos., Ltd., Senior Note
8.000%, 1/15/2024 288,750
127,723 Atlas Air, Inc., Series 1998-1, Class 1A
7.380%, 1/02/2018 126,341
124,877 Atlas Air, Inc., Series 1999-1, Class A1
7.200%, 1/02/2019 123,978
123,615 Atlas Air, Inc., Series 2000-1, Class A
8.707%, 1/02/2019 126,846
250,000 Bombardier Capital Funding, LP, Note
6.750%, 5/14/2009 (GBP) 451,777
300,000 Overseas Shipholding Group, Senior Note
7.500%, 2/15/2024 301,500
295,000 Stena AB, Senior Note
7.000%, 12/01/2016 272,875
350,000 Stena AB, Senior Note
7.500%, 11/01/2013 346,500
---------------
2,038,567
---------------
Wireless -- 0.3%
150,000 Rogers Wireless Communications, Inc., Senior Secured Note
6.375%, 3/01/2014 145,500
---------------
Wirelines -- 6.6%
200,000 AT&T Corp., Senior Note
9.750%, 11/15/2031 244,000
50,000 Cincinnati Bell, Inc.
8.375%, 1/15/2014 49,250
95,000 Citizens Communications Co., Note
7.000%, 11/01/2025 83,126
See accompanying notes to financial statements.
23
LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------
Wirelines -- continued
$ 155,000 Citizens Communications Co., Senior Note
9.000%, 8/15/2031 $ 161,200
80,000 MCI, Inc., Senior Note
8.735%, 5/01/2014 88,000
200,000 Philippine Long Distance Telephone Co., Note, (MTN)
10.500%, 4/15/2009 225,000
75,000 Qwest Capital Funding, Inc., Guaranteed Note
7.000%, 8/03/2009(c) 70,313
375,000 Qwest Capital Funding, Inc., Note
6.875%, 7/15/2028 290,625
1,890,000 Qwest Capital Funding, Inc., Note
7.750%, 2/15/2031(c) 1,597,050
---------------
2,808,564
---------------
Total Bonds and Notes (Identified Cost $37,769,167) 39,844,508
---------------
Shares
- -----------------------------------------------------------------------------------------
Preferred Stocks -- 4.3%
Electric -- 1.4%
4,100 AES Trust III, Preferred, 6.75%, 10/15/2029(c) 191,675
8,000 CMS Energy Trust I Preferred, Convertible, 7.75%, 7/15/2027 406,000
---------------
597,675
---------------
Packaging -- 0.6%
5,500 Owens-Illinois, Inc., Convertible,
4.75%, 12/31/2049(c) 232,375
---------------
Pipelines -- 1.7%
8,000 Williams Holdings of Delaware Preferred, Convertible,
5.50%, 6/01/2033 726,000
---------------
Technology -- 0.4%
175 Lucent Technologies Capital Trust I, Convertible,
7.75%, 3/15/2017(c) 181,825
---------------
Wirelines -- 0.2%
2,000 Philippine Long Distance Telephone Co., Sponsored GDR,
Convertible, $24.80, 12/31/2049 98,000
---------------
Total Preferred Stocks (Identified Cost $1,465,602) 1,835,875
---------------
Shares
- -----------------------------------------------------------------------------------------
Common Stocks -- 0.2%
Investment Companies -- 0.1%
2,220 CIM High Yield Securities Fund 8,902
2,175 High Income Opportunity Fund, Inc.(c) 13,724
3,835 Morgan Stanley Emerging Markets Debt Fund, Inc.(c) 35,321
525 Senior High Income Portfolio, Inc. 3,057
---------------
61,004
---------------
Metals and Mining -- 0.1%
900 Cia Vale do Rio Doce, ADR 28,449
---------------
Total Common Stocks (Identified Cost $77,369) 89,453
---------------
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------------------------
Short Term Investments -- 15.2%
$ 75,540 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at $75,545 on
4/01/2005, collareralized by $73,433 Small Business
Administration Bond, 5.875%, due 10/25/2017 valued at
$79,317 $ 75,540
283,119 Bank of America, 2.77%, due 4/18/2005(f) 283,119
283,119 Bank of America, 2.82%, due 5/16/2005(f) 283,119
86,216 Bank of Montreal, 2.60%, due 4/04/2005(f) 86,216
311,113 Bank of Montreal, 2.75%, due 4/08/2005(f) 311,113
503,952 Bank of Nova Scotia, 2.70%, due 4/11/2005(f) 503,952
113,248 Bank of Nova Scotia, 2.73%, due 4/14/2005(f) 113,248
283,119 Bank of Nova Scotia, 2.78%, due 4/28/2005(f) 283,119
169,870 Barclays, 2.785%, due 4/25/2005(f) 169,870
308,320 BGI Institutional Money Market Fund(f) 308,320
849,357 BNP Paribas, 2.73%, due 4/07/2005(f) 849,357
283,119 BNP Paribas, 2.91%, due 6/15/2005(f) 283,119
115,612 Calyon, 2.77%, due 4/21/2005(f) 115,612
52,186 Den Danske Bank, 2.77%, due 4/26/2005(f) 52,186
113,248 Falcon Asset Securitization Corp,
2.727%, due 4/13/2005(f) 113,248
276,324 Fortis Bank, 2.44%, due 4/14/2005(f) 276,324
283,119 Fortis Bank, 2.80%, due 4/06/2005(f) 283,119
122,675 Goldman Sachs Financial Square Prime Obligations Fund(f) 122,675
283,119 Govco Incorporated, 2.60%, due 4/05/2005(f) 283,119
136,055 Keybank, 2.844%, due 4/01/2005(f) 136,055
140,003 Merrill Lynch Premier Institutional Fund(f) 140,003
80,821 Merrimac Cash Fund-Premium Class(f) 80,821
283,119 Rabobank Nederland, 2.78%, due 4/29/2005(f) 283,119
306,337 Royal Bank of Scotland, 2.75%, due 4/05/2005(f) 306,337
283,119 Svenska Handlesbanken, 2.70%, due 4/11/2005(f) 283,119
56,624 The Bank of the West, 2.79%, due 4/22/2005(f) 56,624
56,624 Toronto Dominion Bank, 3.01%, due 6/24/2005(f) 56,624
113,248 UBS AG, 2.805%, due 5/03/2005(f) 113,248
113,248 Wells Fargo, 2.78%, due 4/20/2005(f) 113,248
39,916 Wells Fargo, 2.79%, due 4/08/2005(f) 39,916
56,624 Yorktown Capital LLC, 2.636%, due 4/01/2005(f) 56,624
---------------
Total Short Term Investments (Identified Cost $6,462,113) 6,462,113
---------------
Total Investments --113.6%
(Identified Cost $45,774,251)(b) 48,231,949
Other assets less liabilities (5,791,128)
---------------
Total Net Assets -- 100% $ 42,440,821
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments
based on cost of $45,778,348 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 $ 2,968,712
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (515,111)
---------------
Net unrealized appreciation $ 2,453,601
===============
See accompanying notes to financial statements.
24
LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
At September 30, 2004, the Fund had a capital loss carryover of approximately
$85,140,904 of which $14,939,549 expires on September 30, 2008, $43,374,721
expires on September 30, 2009 and $26,826,634 expires on September 30, 2010.
These amounts may be available to offset future realized capital gains, if any, to the
extent provided by regulations.
(c) All or a portion of this security was on loan to brokers at March 31, 2005.
(d) Illiquid security. At March 31, 2005, the value of these securities was $1,878,043 or
4.4% of net assets.
(e) Step Bond: Coupon rate is zero or below market for an initial period and then increases
to a higher coupon rate at a specified date.
(f) Represents investments of securities lending collateral.
ADR/GDR An American Depositary (ADR) or Global Depositary Receipt (GDR) is a certificate issued
by a Custodian Bank representing the right to receive securities of the foreign issuer
described. The values of ADRs and GDRs are significantly influenced by trading on
exchanges not located in the United States.
FRN Floating Rate Note
MTN Medium Term Note
yankee U.S. dollar denominated security issued by a non-U.S. company.
144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registrations, normally to qualified
institutional buyers. At the period end, the value of these amounted to $3,949,448 or
9.3% of net assets.
BRL Brazilian Real
COP Colombian Peso
GBP British Pound
MXN Mexican Peso
THB Thai Baht
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Technology 11.0%
Electric 9.8
Pipelines 7.3
Wirelines 6.8
Media Cable 6.3
Paper 5.0
Pharmaceuticals 5.0
Transportation Services 4.8
Sovereigns 4.7
Retailers 4.2
Automotive 3.9
Chemicals 3.2
Airlines 3.0
Supranational 2.8
Construction Machinery 2.5
Healthcare 2.2
Packaging 2.1
Metals and Mining 2.0
Other, less than 2% each 11.8
See accompanying notes to financial statements.
25
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------------------
Bonds and Notes -- 98.7% of Total Net Assets
Asset Backed Securities -- 4.1%
$ 1,035,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3
4.615%, 2/25/2035 $ 1,015,607
2,240,000 Residential Asset Mortgage Products, Inc., Series 2003-RZ5,
Class A3
3.800%, 7/25/2030 2,234,825
1,376,000 Residential Funding Mortgage Securities II, Series 2003-HI4,
Class AI4
4.590%, 4/25/2018 1,367,706
1,900,000 Residential Funding Mortgage Securities II, Series 2004-HI3,
Class A3
3.810%, 12/25/2016 1,862,951
670,000 Residential Funding Mortgage Securities II, Series 2004-HI3,
Class A4
4.630%, 3/25/2019 657,036
---------------
7,138,125
---------------
Government Agencies -- 10.3%
2,935,000 Federal Farm Credit Bank
2.375%, 10/02/2006 2,870,216
6,200,000 Federal Home Loan Bank(d)
3.625%, 11/14/2008 6,061,393
5,000,000 FHLMC
5,750%, 4/15/2008 5,219,085
3,000,000 FNMA
5.500%, 5/02/2006 3,051,912
600,000 FNMA
6.625%, 9/15/2009 651,860
---------------
17,854,466
---------------
Mortgage Related -- 33.5%
7,793,442 FHLMC
4.000%, with various maturities to 2019(c) 7,462,575
986,775 FHLMC
4.500%, 5/01/2034 937,527
526,956 FHLMC
7.000%, 2/01/2016 553,721
98,731 FHLMC
7.500%, with various maturities to 2026(c) 104,130
82,708 FHLMC
8.000%, with various maturities to 2015(c) 86,461
7,458 FHLMC
10.000%, 7/01/2019 8,359
597,477 FHLMC
11.500%, with various maturities to 2020(c) 658,627
8,387,587 FNMA
4.000%, with various maturities to 2019(c) 8,049,047
6,122,829 FNMA
5.500%, with various maturities to 2034(c)(d) 6,162,393
7,903,669 FNMA
6.000%, with various maturities to 2034(c) 8,143,357
8,803,433 FNMA
6.500%, with various maturities to 2034(c) 9,148,086
433,736 FNMA
7.000%, 12/01/2022 463,882
1,657,461 FNMA
7.500%, with various maturities to 2032(c) 1,765,929
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------
Mortgage Related -- continued
$ 228,815 FNMA
8.000%, with various maturities to 2016(c) $ 242,044
12,150,000 FNMA (TBA)
4.000%, 4/01/2020 11,629,834
247,939 GNMA
6.000%, 12/15/2031 255,325
1,092,150 GNMA
6.500%, 5/15/2031 1,142,132
1,066,445 GNMA
7.000%, with various maturities to 2031(c) 1,129,084
6,798 GNMA
8.500%, 2/15/2006 6,967
66,461 GNMA
9.000%, with various maturities to 2009(c) 69,975
22,030 GNMA
9.500%, 8/15/2009 23,564
1,772 GNMA
10.000%, 9/15/2016 1,981
28,083 GNMA
12.500%, with various maturities to 2015(c) 31,684
227,448 GNMA
16.000%, with various maturities to 2012(c) 263,699
88,262 GNMA
17.000%, with various maturities to 2011(c) 103,676
---------------
58,444,059
---------------
Treasuries -- 50.8%
5,155,000 U.S. Treasury Bond
7.250%, 5/15/2016 6,321,520
6,240,000 U.S. Treasury Note
1.500%, 3/31/2006 6,121,783
7,390,000 U.S. Treasury Note
1.625%, with various maturities to 2006(c)(d) 7,283,405
3,200,000 U.S. Treasury Note
1.875%, 12/31/2005(e) 3,166,749
1,290,000 U.S. Treasury Note
2.250%, 2/15/2007(e) 1,254,827
5,330,000 U.S. Treasury Note
2.375%, 8/15/2006 5,240,680
2,645,000 U.S. Treasury Note
2.750%, 6/30/2006 2,618,344
8,095,000 U.S. Treasury Note
3.000%, 12/31/2006 7,992,234
2,500,000 U.S. Treasury Note
3.125%, 10/15/2008 2,425,098
40,375,000 U.S. Treasury Note
3.375%, with various maturities to 2008(c)(e) 40,029,343
1,930,000 U.S. Treasury Note
6.125%, 8/15/2007(e) 2,028,988
750,000 U.S. Treasury Note
6.625%, 5/15/2007 792,510
4,000,000 U.S. Treasury STRIPS,
Zero Coupon 11/15/2009(d) 3,295,968
---------------
88,571,449
---------------
Total Bonds and Notes (Identified Cost $172,967,148) 172,008,099
---------------
See accompanying notes to financial statements.
26
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------------------------
Short Term Investments -- 32.9%
$ 5,822,334 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at at $5,822,660 on
4/01/2005, collateralized by $5,744,461 Small Business
Administration Bond, 5.625%, due 1/25/2017 valued at
$6,083,677 and $27,810 Small Business Administration Bond,
5.625%, due 1/25/2017 valued at $29,773 $ 5,822,334
1,939,815 Bank of America, 2.77%, due 4/18/2005(g) 1,939,815
1,939,815 Bank of America, 2.82%, due 5/16/2005(g) 1,939,815
590,718 Bank of Montreal, 2.60%, due 4/04/2005(g) 590,718
2,131,617 Bank of Montreal, 2.75%, due 4/08/2005(g) 2,131,617
3,452,872 Bank of Nova Scotia, 2.70%, due 4/11/2005(g) 3,452,872
775,926 Bank of Nova Scotia, 2.73%, due 4/14/2005(g) 775,926
1,939,815 Bank of Nova Scotia, 2.78%, due 4/28/2005(g) 1,939,815
1,163,889 Barclays, 2.785%, due 4/25/2005(g) 1,163,889
2,112,479 BGI Institutional Money Market Fund(g) 2,112,479
5,819,446 BNP Paribas, 2.73%, due 4/07/2005(g) 5,819,446
1,939,815 BNP Paribas, 2.91%, due 6/15/2005(g) 1,939,815
792,127 Calyon, 2.77%, due 4/21/2005(g) 792,127
357,559 Den Danske Bank, 2.77%, due 4/26/2005(g) 357,559
775,926 Falcon Asset Securitization Corp, 2.727%, due 4/13/2005(g) 775,926
1,893,260 Fortis Bank, 2.44%, due 4/14/2005(g) 1,893,260
1,939,816 Fortis Bank, 2.80%, due 4/06/2005(g) 1,939,816
840,515 Goldman Sachs Financial Square Prime Obligations Fund(g) 840,515
1,939,816 Govco Incorporated, 2.60%, due 4/05/2005(g) 1,939,816
932,191 Keybank, 2.844%, due 4/01/2005(g) 932,191
959,252 Merrill Lynch Premier Institutional Fund(g) 959,252
553,752 Merrimac Cash Fund-Premium Class(g) 553,752
1,939,816 Rabobank Nederland, 2.78%, due 4/29/2005(g) 1,939,816
2,098,895 Royal Bank of Scotland, 2.75%, due 4/05/2005(g) 2,098,895
1,939,815 Svenska Handlesbanken, 2.70%, due 4/11/2005(g) 1,939,815
387,963 The Bank of the West, 2.79%, due 4/22/2005(g) 387,963
387,963 Toronto Dominion Bank, 3.01%, due 6/24/2005(g) 387,963
7,705,000 U.S. Treasury Bills, 2.648%, due 5/19/2005(f) 7,677,801
775,926 UBS AG, 2.805%, due 5/03/2005(g) 775,926
775,927 Wells Fargo, 2.78%, due 4/20/2005(g) 775,927
273,490 Wells Fargo, 2.79%, due 4/08/2005(g) 273,490
387,964 Yorktown Capital LLC, 2.636%, due 4/01/2005(g) 387,964
---------------
Total Short Term Investments (Identified Cost $57,258,315) 57,258,315
---------------
Total Investments --131.6%
(Identified Cost $230,225,463)(b) $ 229,266,414
Other assets less liabilities (55,042,936)
---------------
Total Net Assets -- 100% $ 174,223,478
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized depreciation on investments
based on cost of $230,678,711 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 $ 628,076
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (2,040,373)
---------------
Net unrealized depreciation $ (1,412,297)
===============
At September 30, 2004, the Fund had a capital loss carryover of approximately $18,142,649 of
which $2,731,339 expires on September 30, 2005, $10,626,315 expires on September 30,
2007, $4,165,768 expires on September 30, 2008, $425,323 expires on September 30, 2011
and $193,904 expires on September 30, 2012. These amounts may be available to offset
future realized capital gains, if any, to the extent provided by regulations.
(c) The Fund's investment in mortgage related securities of the Federal Home Loan Mortgage
Corporation, Federal National Mortgage Association and the Government National Mortgage
Association are interests in separate pools of mortgages. All separate investments in securities of
each issuer and for United States Treasury Notes which have the same coupon rate have been
aggregated for the purpose of presentation in the schedule of investments.
(d) All or a portion of this security has been segregated to cover collateral requirements on TBA
obligations.
(e) All or a portion of this security was on loan to brokers at March 31, 2005.
(f) Rate is yield to maturity.
(g) Represents investments of securities lending collateral.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
TBA To Be Announced (see Note 2g of Notes to Financial Statements)
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Treasuries 50.8%
Mortgage Related 33.5
Government Agencies 10.3
Asset Backed Securities 4.1
See accompanying notes to financial statements.
27
LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- --------------------------------------------------------------------------------
Tax Exempt Obligations -- 97.0% of Total Net Assets
Broward County, FL, Resource Recovery -- 1.3%
$ 1,000,000 Wheelabrator South Broward,
5.000%, 12/01/2007 $ 1,042,060
---------------
Highlands County, FL, Health Facilities Authority -- 1.3%
1,000,000 Adventis Health System,
5.875%, 11/15/2029 1,077,960
---------------
Martha's Vineyard, MA -- 1.3%
1,000,000 Land Bank Revenue,
5.000%, 5/01/2032, (AMBAC insured) 1,028,040
---------------
Massachusetts -- 5.9%
4,000,000 State Refunding Series A,
6.500%, 11/01/2014, (AMBAC insured) 4,820,480
---------------
Massachusetts Bay Transportation Authority -- 7.1%
3,000,000 Assessment Series A,
5.250%, 7/01/2030 3,245,550
2,500,000 Series A,
5.000%, 7/01/2032 2,560,800
---------------
5,806,350
---------------
Massachusetts Development Finance Agency -- 16.1%
2,000,000 Cambridge Street Development Series A,
5.125%, 2/01/2034, (MBIA insured) 2,068,920
1,000,000 Hampshire College,
5.625%, 10/01/2024 1,053,710
4,000,000 Mount Holyoke College,
5.250%, 7/01/2031 4,207,960
2,800,000 Refunding Springfield Resource Recovery-A,
5.625%, 6/01/2019 2,933,812
1,100,000 Visual and Performing Arts,
6.000%, 8/01/2021 1,300,497
1,500,000 WGBH Educational Foundation Series A,
5.375%, 1/01/2042, (AMBAC insured) 1,580,955
---------------
13,145,854
---------------
Massachusetts Health & Educational Facilities Authority -- 32.2%
1,160,000 Baystate Medical Center Series F,
5.700%, 7/01/2027 1,212,293
2,000,000 Boston University,
5.000%, 10/01/2039 2,053,200
2,200,000 Catholic Health East,
5.500%, 11/15/2032 2,271,610
3,000,000 Harvard University Series N,
6.250%, 4/01/2020 3,697,860
2,925,000 Nichols College Series C,
6.000%, 10/01/2017 3,071,455
2,000,000 Partners Healthcare Systems Series B,
5.250%, 7/01/2029 2,055,480
2,500,000 Partners Healthcare Systems Series C,
5.750%, 7/01/2021 2,725,550
1,500,000 Tufts University Series I,
5.250%, 2/15/2030 1,573,845
1,000,000 University of Massachusetts Project Series C,
5.250%, 10/01/2031, (MBIA insured) 1,058,300
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------------
Massachusetts Health & Educational Facilities Authority -- continued
$ 2,000,000 University of Massachusetts Series C,
5.125%, 10/01/2034, (FGIC insured) $ 2,069,780
2,000,000 Wellesley College Series F,
5.125%, 7/01/2039 2,061,040
1,315,000 Wheaton College Series E,
5.000%, 7/01/2017 1,383,459
1,030,000 Williams College Series H,
5.000%, 7/01/2017 1,095,673
---------------
26,329,545
---------------
Massachusetts Housing Finance Agency -- 3.1%
495,000 Single Family Mortgage Series 21,
7.125%, 6/01/2025 495,039
2,000,000 Single Family Mortgage Series A,
4.600%, 12/01/2015 2,041,040
---------------
2,536,079
---------------
Massachusetts Port Authority -- 3.7%
1,750,000 Delta Air Lines, Inc. Project Series A,
5.500%, 1/01/2019, (AMBAC insured) 1,826,842
1,200,000 Series A,
5.000%, 7/01/2033, (MBIA insured) 1,223,448
---------------
3,050,290
---------------
Massachusetts Water Resources Authority -- 6.1%
1,000,000 General Series A,
5.250%, 8/01/2020, (MBIA insured) 1,093,080
3,240,000 Series A,
6.500%, 7/15/2019, (FGIC insured) 3,908,088
---------------
5,001,168
---------------
Michigan Hospital Finance Authority -- 2.0%
1,500,000 Oakwood Obligated Group,
5.500%, 11/01/2017 1,611,180
---------------
New England Education Loan Marketing -- 3.9%
3,000,000 Student Loan Revenue Bond Sub-Issue H,
6.900%, 11/01/2009 3,218,880
---------------
Puerto Rico Commonwealth Aqueduct & Sewer Authority -- 4.3%
3,000,000 Aqueduct & Sewer Authority,
6.250%, 7/01/2013 3,483,300
---------------
Puerto Rico Public Finance Corporation -- 4.0%
3,000,000 Commonwealth Appropriation Series A,
5.750%, 8/01/2027 3,289,920
---------------
Tennessee Housing Development Agency --1.9%
1,500,000 Series A,
5.200%, 7/01/2023 1,555,305
---------------
University of Massachusetts Building Authority -- 2.8%
2,200,000 SR - Series 1,
5.250%, 11/01/2028, (AMBAC insured) 2,335,498
---------------
Total Tax Exempt Obligations (Cost $75,451,677) 79,331,909
---------------
See accompanying notes to financial statements.
28
LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME -- SCHEDULE OF INVESTMENTS
(continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------------------------
Short Term Investment -- 3.1%
$ 2,544,814 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at $2,544,957 on
4/01/2005, collateralized by $2,481,530 Small Business
Administration Bond, 5.875%, due 5/25/2023 valued at
$2,672,055 $ 2,544,814
---------------
Total Short Term Investment (Cost $2,544,814) 2,544,814
---------------
Total Investments -- 100.1%
(Identified Cost $77,996,491)(b) 81,876,723
Other assets less liabilities (56,395)
---------------
Total Net Assets -- 100.0% $ 81,820,328
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments
based on cost of $77,995,003 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 $ 4,062,671
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (180,951)
---------------
Net Unrealized Appreciation $ 3,881,720
===============
At September 30, 2004, the Fund had a capital loss carryover of approximately
$2,269,828 of which $1,149,888 expires on September 30, 2007, $116,500 expires
on September 30, 2008 and $1,003,440 expires on September 30, 2010. These
amounts may be available to offset future realized capital gains, if any, to the extent
provided by regulations.
AMBAC American Municipal Bond Assurance Corp.
FGIC Financial Guarantee Insurance Company
MBIA Municipal Bond Investors Assurance Corp.
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Colleges & Universities 31.4%
Water & Sewer 10.4
Hospital 10.1
State General Obligation 9.9
Transit 7.1
Resource Recovery 4.9
Student Loan 3.9
Airport 3.7
Hospital -- Obligated Group 3.3
Housing -- Multifamily 2.5
Housing -- Single Family 2.5
Redevelopment Agency/Urban Renewal 2.5
Other, less than 2% each 4.8
See accompanying notes to financial statements.
29
LOOMIS SAYLES MUNICIPAL INCOME FUND -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------------------------
Tax Exempt Obligations -- 97.1% of Total Net Assets
California -- 8.8%
$ 1,000,000 California Health Facilities Financing Authority, Multiple Obligors,
4.950%, 7/01/2026 $ 1,035,940
2,000,000 California State,
5.125%, 6/01/2027 2,065,360
1,000,000 California State Public Works Board, Coalinga State Hospital,
5.000%, 6/01/2010 1,063,840
2,655,000 California Statewide Communities Development Authority,
5.250%, 7/01/2023 2,835,859
3,000,000 Sacramento, CA, Power Authority,
6.000%, 7/01/2022 3,137,700
---------------
10,138,699
---------------
Colorado -- 1.9%
2,000,000 Denver, CO, City & County Airport,
5.250%, 11/15/2023, (MBIA insured) 2,116,640
---------------
District of Columbia -- 4.3%
1,700,000 District of Columbia,
5.500%, 6/01/2014 1,847,815
3,000,000 Metropolitan Washington D.C. Airports Authority,
5.125%, 10/01/2029, (FGIC insured) 3,063,120
---------------
4,910,935
---------------
Florida -- 4.3%
1,750,000 Coral Gables, FL, Health Facilities Authority, Multiple Obligors,
5.000%, 8/15/2034 1,854,562
3,000,000 Highlands County, FL, Health Facilities Authority, Multiple Obligors,
5.375%, 11/15/2035 3,079,890
---------------
4,934,452
---------------
Illinois -- 5.9%
90,000 Illinois Educational Facility Authority Revenue,
5.000%, 7/01/2033 97,906
1,910,000 Illinois Educational Facility Authority Revenue,
5.000%, 7/01/2033 1,948,639
1,500,000 Illinois State,
5.400%, 12/01/2020, (MBIA insured) 1,632,975
3,000,000 Metropolitan Pier & Exposition Authority, IL,
5.250%, 6/15/2042, (MBIA insured) 3,123,360
---------------
6,802,880
---------------
Indiana -- 1.8%
2,000,000 Indianapolis, IN, Local Public Improvement Bond Bank,
5.250%, 7/01/2033, (MBIA insured) 2,085,380
---------------
Louisiana -- 4.4%
4,000,000 Desoto Parish, LA, Environmental Improvement,
5.000%, 11/01/2018 4,011,920
1,000,000 Ernest N. Morial, New Orleans, LA, Exhibit Hall Authority,
5.000%, 7/15/2033 1,020,310
---------------
5,032,230
---------------
Massachusetts -- 3.7%
4,000,000 Massachusetts State,
5.000%, 3/01/2019 4,210,560
---------------
Michigan -- 6.5%
1,000,000 Michigan State Comprehensive Transportation,
5.250%, 5/15/2022 1,067,730
2,850,000 Michigan State Hospital Finance Authority, Henry Ford Health
System,
5.500%, 3/01/2014 3,057,309
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------------------
Michigan -- continued
$ 1,100,000 Michigan State Hospital Finance Authority, Oakwood Obligated
Group,
5.500%, 11/01/2014 $ 1,188,858
2,000,000 University of Michigan,
5.250%, 12/01/2020 2,100,080
---------------
7,413,977
---------------
Minnesota -- 1.9%
2,000,000 Minnesota State Municipal Power Agency,
5.250%, 10/01/2024 2,121,140
---------------
Mississippi -- 4.7%
2,000,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control,
6.700%, 4/01/2022 2,375,920
2,500,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control,
6.800%, 4/01/2022 2,998,225
---------------
5,374,145
---------------
New Jersey -- 1.8%
1,000,000 New Jersey Economic Development Authority,
5.500%, 6/15/2024 1,028,570
1,000,000 New Jersey Health Care Facilities Financing Authority, Catholic
Health East,
5.375%, 11/15/2033 1,029,180
---------------
2,057,750
---------------
New York -- 16.0%
3,000,000 New York State Dormitory Authority,
5.500%, 5/15/2013 3,309,450
2,740,000 New York State Dormitory Authority,
5.750%, 7/01/2013 3,033,016
1,000,000 New York State Dormitory Authority, Rockefeller University,
5.000%, 7/01/2032 1,032,400
3,000,000 New York State Municipal Bond Bank Agency,
5.250%, 6/01/2020 3,189,900
1,000,000 New York, NY,
4.250%, 5/15/2019 990,540
2,000,000 New York, NY,
6.000%, 1/15/2020 2,246,500
1,400,000 New York, NY, City Health & Hospital Corp.,
5.000%, 2/15/2020 1,461,852
2,000,000 New York, NY, City Municipal Water Finance Authority,
5.000%, 6/15/2025 2,089,240
1,000,000 New York, NY, City Municipal Water Finance Authority,
5.125%, 6/15/2034 1,037,360
---------------
18,390,258
---------------
North Carolina -- 1.2%
1,300,000 North Carolina Eastern Municipal Power Agency,
5.500%, 1/01/2012 1,391,117
---------------
Oregon -- 5.2%
1,750,000 Multnomah County, OR, Hospital Facilities Authority, Providence
Health System,
5.250%, 10/01/2012 1,912,837
4,000,000 Western Generation Agency,
7.400%, 1/01/2016(c) 4,083,720
---------------
5,996,557
---------------
Pennsylvania -- 6.1%
1,500,000 Pennsylvania Economic Development Financing Authority,
6.600%, 1/01/2019 1,507,515
See accompanying notes to financial statements.
30
LOOMIS SAYLES MUNICIPAL INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -------------------------------------------------------------------------------------------
Pennsylvania -- continued
$ 5,000,000 Pennsylvania State Industrial Development Authority,
5.500%, 7/01/2019, (AMBAC insured) $ 5,524,500
---------------
7,032,015
---------------
Puerto Rico -- 2.9%
1,000,000 Puerto Rico Commonwealth Infrastructure Financing Authority,
5.500%, 10/01/2040 1,076,980
2,000,000 Puerto Rico Public Finance Corp.,
5.750%, 8/01/2027 2,193,280
---------------
3,270,260
---------------
South Carolina -- 2.8%
3,000,000 Greenville County, SC, School District,
5.500%, 12/01/2028 3,195,540
---------------
South Dakota -- 1.1%
1,250,000 South Dakota Health & Educational Facilities Authority, Sioux
Valley Hospital,
5.250%, 11/01/2027 1,268,738
---------------
Tennessee -- 3.5%
1,500,000 Maury County, TN, Industrial Development Board, Saturn Corp./
General Motors Corp.,
6.500%, 9/01/2024 1,515,405
1,500,000 Tennessee Housing Development Agency,
5.200%, 7/01/2023 1,555,305
860,000 Tennessee Housing Development Agency, Homeownership
Program,
5.150%, 7/01/2022 884,209
---------------
3,954,919
---------------
Texas -- 6.4%
2,000,000 Dallas-Fort Worth, TX, International Airport,
5.500%, 11/01/2033 2,103,100
1,000,000 El Paso, TX,
5.875%, 8/15/2017 1,063,370
1,000,000 Katy, TX, Independent School District,
5.125%, 2/15/2020 1,053,370
3,000,000 Lewisville, TX, Independent School District,
5.250%, 8/15/2027 3,118,980
---------------
7,338,820
---------------
Washington -- 1.9%
2,000,000 Energy Northwest, WA, Electric, Project No. 1,
5.500%, 7/01/2014 2,228,060
---------------
Total Tax Exempt Obligations (Identified Cost $107,523,738) 111,265,072
---------------
Principal
Amount
- -------------------------------------------------------------------------------------------
Short Term Investment -- 0.4%
487,351 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at $487,379 on
4/01/2005, collateralized by $473,635 Small Business
Administration Bond, 5.875%, due 5/25/2027 valued at
$511,719 487,351
---------------
Total Short Term Investment (Cost $487,351) 487,351
---------------
Total Investments -- 97.5%
(Identified Cost $108,011,089)(b) 111,752,423
Other assets less liabilities 2,858,170
---------------
Total Net Assets -- 100.0% $ 114,610,593
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on
cost of $107,669,451 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 $4,403,298
Aggregate gross unrealized depreciation for all investments in which there is an
excess of tax cost over value (320,326)
----------
Net unrealized appreciation $4,082,972
==========
At September 30, 2004, the Fund had a capital loss carryover of approximately $1,839,271 of
which $1,700,392 expires on September 30, 2007 and $138,879 expires on September 30,
2012. These amounts may be available to offset future realized capital gains, if any, to the
extent provided by regulations.
(c) Illiquid security. At March 31, 2005, the value of this security was $4,083,720 or 3.6% of net
assets.
AMBAC American Municipal Bond Assurance Corp.
FGIC Financial Guarantee Insurance Company
MBIA Municipal Bond Investors Assurance Corp.
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Corporate Backed/Industrial Revenue/Pollution Control 14.3%
Hospital 9.2
Colleges & Universities 8.1
Resource Recovery 7.6
State General Obligation 7.4
City and Town 6.6
Hospital -- Obligated Group 6.5
Airport 6.4
Special Tax 4.5
Electric 3.8
Lease 2.8
Bond Bank/Pooled Loan Program 2.8
School District 2.7
Non-Profit 2.5
Other, less than 2% each 11.9
See accompanying notes to financial statements.
31
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------------------
Bonds and Notes -- 90.9% of Total Net Assets
Convertible Bonds -- 3.7%
Canada -- 0.6%
$ 5,750,000 Nortel Networks Corp., Guaranteed Senior Note
4.250%, 9/01/2008 $ 5,318,750
1,500,000 Rogers Communications, Inc., Note
2.000%, 11/26/2005 1,470,000
433,000 TELUS Corp., Note
6.750%, 6/15/2010, (CAD) 365,765
---------------
7,154,515
---------------
Ireland -- 0.1%
1,545,000 Elan Capital Corp., Ltd., Convertible
6.500%, 11/10/2008 1,096,950
---------------
United Kingdom -- 0.4%
3,270,000 Colt Telecom Group PLC, Note
2.000%, 4/03/2007, (EUR) 5,090,017
---------------
United States -- 2.6%
3,069,000 Amkor Technology, Inc., Note
5.000%, 3/15/2007(c) 2,689,211
200,000 Builders Transport, Inc., Subordinated Note
6.500%, 5/01/2011(d)(e)(f)(g)(h) 20
1,000,000 Builders Transport, Inc., Subordinated Note
8.000%, 8/15/2005(d)(e)(f)(g)(h) 100
3,750,000 Chiron Corp.
1.625%, 8/01/2033 3,473,437
299,000 Corning, Inc., Senior Note
3.500%, 11/01/2008 341,234
194,000 Dixie Group, Inc., Subordinated Note
7.000%, 5/15/2012 188,180
3,901,000 EPIX Pharmaceuticals, Inc., Senior Note
3.000%, 6/15/2024 2,925,750
2,400,000 Inhale Therapeutic Systems, Inc., Subordinated Note
3.500%, 10/17/2007 2,280,000
500,000 IVAX Corp., Senior Note, Convertible
1.500%, 3/01/2024 510,625
1,995,000 Kulicke & Soffa Industries, Inc., Subordinated Note, Convertible
0.500%, 11/30/2008(c) 1,493,756
2,822,000 Maxtor Corp., Subordinated Note
5.750%, 3/01/2012(h) 2,455,140
625,000 Nextel Communications, Inc., Senior Note
5.250%, 1/15/2010 640,625
500,000 Preston Corp., Subordinated Note
7.000%, 5/01/2011(c) 466,250
4,990,000 Regeneron Pharmaceuticals, Inc., Subordinated Note
5.500%, 10/17/2008 4,578,325
311,000 Richardson Electronics, Ltd., 144A
7.750%, 12/15/2011 305,557
600,000 SCI Systems, Inc., Subordinated Note, Convertible
3.000%, 3/15/2007 578,250
1,200,000 Valeant Pharmaceuticals International, Subordinated Note,
Convertible
3.000%, 8/16/2010 1,150,500
4,375,000 Valeant Pharmaceuticals International, Subordinated Note,
Convertible
4.000%, 11/15/2013(c) 4,205,469
5,225,000 Vertex Pharmaceuticals, Inc., Note, 144A
5.750%, 2/15/2011 4,852,719
---------------
33,135,148
---------------
Total Convertible Bonds (Identified Cost $45,664,923) 46,476,630
---------------
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------
Non-Convertible Bonds -- 87.2%
Argentina -- 0.3%
$ 2,405,000 Pecom Energia SA, Note, 144A
8.125%, 7/15/2010 $ 2,405,000
3,500,000 Republic of Argentina
8.875%, 3/01/2029(g) 896,280
---------------
3,301,280
---------------
Brazil -- 1.7%
128,124 Republic of Brazil
8.000%, 4/15/2014 126,842
10,350,000 Republic of Brazil
8.250%, 1/20/2034 9,190,800
6,000,000 Republic of Brazil
8.875%, 4/15/2024 5,691,000
5,808,000 Republic of Brazil
10.125%, 5/15/2027 6,098,400
---------------
21,107,042
---------------
Canada -- 16.0%
1,790,000 Abitibi-Consolidated, Inc., Note
7.500%, 4/01/2028 1,517,025
1,295,000 Bombardier Inc.
7.350%, 12/22/2026, (CAD) 864,154
2,800,000 Calpine Canada Energy Finance ULC, Note
8.750%, 10/15/2007, (CAD) 1,804,810
14,000,000 Canadian Government
4.250%, 9/01/2008, (CAD) 11,823,816
42,600,000 Canadian Government
4.500%, 9/01/2007, (CAD) 36,143,641
7,210,000 Canadian Government
4.500%, 9/01/2007, (CAD) 6,117,865
13,540,000 Canadian Government
6.000%, 9/01/2005, (CAD) 11,339,428
18,000,000 Canadian Government
6.000%, 6/01/2008, (CAD) 15,975,837
335,000 General Motors Acceptance Corp. of Canada, Ltd.,
Series E., Note, (MTN)
6.625%, 12/17/2010, (GBP) 560,079
400,000 General Motors Nova Scotia Finance Co., Note
8.875%, 7/10/2023, (GBP) 634,603
3,550,000 Nortel Networks Corp., Note
6.875%, 9/01/2023 3,274,875
5,990,000 Province of British Columbia
5.250%, 12/01/2006, (CAD) 5,112,513
28,490,000 Province of British Columbia
6.000%, 6/09/2008, (CAD) 25,246,646
13,000,000 Province of Manitoba
4.450%, 12/01/2008, (CAD) 11,013,098
6,685,000 Province of Manitoba
5.750%, 6/02/2008, (CAD) 5,876,348
1,525,000 Province of Ontario
3.500%, 9/08/2006, (CAD) 1,266,074
32,000,000 Province of Ontario
5.700%, 12/01/2008, (CAD) 28,212,148
6,240,000 Province of Ontario
5.900%, 3/08/2006, (CAD) 5,290,825
18,470,000 Province of Saskatchewan
5.500%, 6/02/2008, (CAD) 16,120,230
5,300,000 Province of Saskatchewan
6.000%, 6/01/2006, (CAD) 4,525,782
See accompanying notes to financial statements.
32
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------------------
Canada -- continued
$ 8,500,000 Rogers Wireless Communications, Inc., Senior Note
7.625%, 12/15/2011, (CAD) $ 7,305,181
2,525,000 Rogers Wireless Communications, Inc., Senior Secured Note
6.375%, 3/01/2014 2,449,250
---------------
202,474,228
---------------
Cayman Islands -- 0.4%
1,000,000 Enersis SA, Cayman Island, Note, (yankee)
7.400%, 12/01/2016 1,039,789
3,905,000 Vale Overseas, Ltd., Note
8.250%, 1/17/2034 4,061,200
---------------
5,100,989
---------------
Chile -- 1.0%
4,875,000 Empresa Nacional de Electricidad SA, Chile, Note
7.875%, 2/01/2027 5,281,146
250,000 Empresa Nacional de Electricidad SA, Chile, Note
8.350%, 8/01/2013 280,254
1,700,000 Empresa Nacional de Electricidad SA, Chile, Note
8.625%, 8/01/2015 1,961,946
4,525,000 Enersis SA, Chile, Note
7.375%, 1/15/2014 4,710,566
---------------
12,233,912
---------------
Dominican Republic -- 0.2%
3,390,000 Dominican Republic, 144A
9.040%, 1/23/2013 3,093,375
---------------
Ireland -- 0.0%
750,000 Elan Finance Corp., Senior Note, 144A
7.750%, 11/15/2011(c) 560,625
---------------
Mexico -- 3.6%
3,905,000 Grupo Transportacion Ferroviaria Mexicana SA de CV, Senior Note,
(yankee)
0/11.750%, 6/15/2009(i) 3,905,000
502,200,000 United Mexican States
9.000%, 12/20/2012, (MXN) 41,493,178
---------------
45,398,178
---------------
Norway -- 0.4%
10,000,000 Kingdom of Norway
5.500%, 5/15/2009, (NOK) 1,705,704
22,740,000 Kingdom of Norway
6.750%, 1/15/2007, (NOK) 3,839,181
---------------
5,544,885
---------------
Philippines -- 0.4%
3,700,000 Philippine Long Distance Telephone Co., Note, (MTN)
8.350%, 3/06/2017 3,589,000
1,883,063 Quezon Power (Philippines) Ltd., Senior Secured Note, (yankee)
8.860%, 6/15/2017 1,751,248
---------------
5,340,248
---------------
Republic of Korea -- 0.5%
5,470,000 Hanarotelecom, Inc., Note, 144A
7.000%, 2/01/2012(c) 5,295,261
300,000 Samsung Electronics Co., Ltd., 144A
7.700%, 10/01/2027 338,273
---------------
5,633,534
---------------
Singapore -- 0.1%
1,050,000 SP PowerAssets, Ltd., Series E, Note, (MTN)
3.730%, 10/22/2010, (SGD) 656,601
---------------
Principal
Amount Description Value (a)
- ----------------------------------------------------------------------------------------
South Africa -- 0.2%
$ 11,405,000 Republic of South Africa
12.500%, 12/21/2006, (ZAR) $ 1,952,848
---------------
Supranational -- 2.3%
80,000,000 Inter-American Development Bank, Series E, Note, (MTN),
Zero Coupon 5/11/2009, (BRL)(h) 16,041,987
22,300,000 International Bank for Reconstruction & Development, Note,
(MTN),
Zero Coupon 8/20/2007, (NZD) 13,541,357
---------------
29,583,344
---------------
Sweden -- 2.6%
207,265,000 Kingdom of Sweden
6.500%, 5/05/2008, (SEK) 32,546,447
---------------
Thailand -- 3.0%
975,000,000 Barclays Bank PLC, Note, 144A
4.160%, 2/22/2010, (THB)(h) 24,479,677
529,000,000 Barclays Financial, LLC, Note, 144A
4.100%, 3/22/2010, (THB)(h) 13,230,408
---------------
37,710,085
---------------
United Kingdom -- 0.6%
4,005,000 NTL Cable PLC, Note, 144A
9.750%, 4/15/2014, (GBP) 7,791,171
---------------
United States -- 51.4%
5,565,000 AES Corp. (The), Note
8.375%, 3/01/2011, (GBP) 10,563,169
4,020,000 AES Corp. (The), Senior Note
7.750%, 3/01/2014 4,150,650
1,975,000 AES Corp. (The), Senior Subordinated Note
8.875%, 11/01/2027 2,093,500
7,390,000 AK Steel Corp., Guaranteed Senior Note
7.750%, 6/15/2012(c) 7,112,875
1,750,000 Altria Group, Inc., Note
7.000%, 11/04/2013 1,877,809
750,000 American Airlines, Inc., Series 1999-1, Class A2
7.024%, 10/15/2009 760,734
9,853,000 American President Cos., Ltd., Senior Note
8.000%, 1/15/2024 10,345,650
6,450,000 Amkor Technology, Inc., Senior Note
7.125%, 3/15/2011(c) 5,434,125
475,000 Amkor Technology, Inc., Senior Note
7.750%, 5/15/2013(c) 399,000
925,000 Amkor Technology, Inc., Senior Subordinated Note
10.500%, 5/01/2009(c) 827,875
8,000,000 ASIF Global Financing, Note, 144A
2.380%, 2/26/2009, (SGD) 4,741,861
3,154,807 Atlas Air Inc.
9.057%, 1/02/2014(c) 2,891,728
8,284,941 Atlas Air, Inc., Series 1998-1, Class 1A
7.380%, 1/02/2018 8,195,298
13,716,949 Atlas Air, Inc., Series 1998-1, Class 1B
7.680%, 1/02/2014 11,277,801
3,937,773 Atlas Air, Inc., Series 1999-1, Class A1
7.200%, 1/02/2019 3,909,424
468,125 Atlas Air, Inc., Series 1999-1, Class A2
6.880%, 7/02/2009 449,759
8,319,594 Atlas Air, Inc., Series 1999-1, Class B
7.630%, 1/02/2015 6,742,134
824,098 Atlas Air, Inc., Series 2000-1, Class A
8.707%, 1/02/2019 845,640
See accompanying notes to financial statements.
33
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ---------------------------------------------------------------------------------
United States -- continued
$ 800,000 Bausch & Lomb, Inc., Note
7.125%, 8/01/2028 $ 857,906
12,641,000 Borden Chemical, Inc., Note
7.875%, 2/15/2023 11,503,310
1,850,000 Borden Chemical, Inc., Note
9.200%, 3/15/2021 1,868,500
3,014,000 Borden, Inc., Note
8.375%, 4/15/2016 2,893,440
500,000 Bowater, Inc., Note
6.500%, 6/15/2013(c) 476,250
6,745,000 Calpine Corp., Senior Note
7.750%, 4/15/2009(c) 4,654,050
900,000 Calpine Corp., Senior Note
7.875%, 4/01/2008(c) 652,500
7,905,000 Calpine Corp., Senior Note
8.500%, 2/15/2011(c) 5,573,025
3,560,000 Calpine Corp., Senior Note
8.625%, 8/15/2010(c) 2,483,100
12,060,000 Charter Communications Holdings, Inc., Senior Note
9.625%, 11/15/2009(c) 9,436,950
400,000 Charter Communications Holdings, Inc., Senior Note
10.000%, 4/01/2009 324,000
1,725,000 Charter Communications Holdings, Inc., Senior Note
10.000%, 5/15/2011(c) 1,323,937
350,000 Chesapeake Energy Corp., Senior Note, 144A
6.375%, 6/15/2015 345,625
2,500,000 CIT Group, Inc., Series E, Senior Note, (MTN)
5.500%, 12/01/2014, (GBP) 4,674,211
3,320,000 Columbia/HCA Healthcare Corp., Note
7.050%, 12/01/2027 3,169,700
500,000 Columbia/HCA, Inc., Note
7.500%, 12/15/2023 506,663
500,000 Columbia/HCA, Inc., Note (MTN)
7.580%, 9/15/2025 508,528
250,000 Continental Airlines, Inc., Senior Note
8.000%, 12/15/2005(c) 246,250
1,216,590 Continental Airlines, Inc., Series 1997-4, Class 4A
6.900%, 1/02/2018 1,193,756
2,136,699 Continental Airlines, Inc., Series 1997-4, Class 4B
6.900%, 1/02/2017 1,731,501
1,544,726 Continental Airlines, Inc., Series 1998-1, Class 1B
6.748%, 3/15/2017 1,260,735
1,647,514 Continental Airlines, Inc., Series 1999-1, Class A
6.545%, 2/02/2019 1,606,347
2,727,931 Continental Airlines, Inc., Series 1999-1, Class B
6.795%, 8/02/2018 2,321,880
401,887 Continental Airlines, Inc., Series 1999-1, Class C
6.954%, 8/02/2009 330,128
2,011,592 Continental Airlines, Inc., Series 1999-2, Class B
7.566%, 3/15/2020 1,691,436
556,537 Continental Airlines, Inc., Series 2001-1, Class A1
6.703%, 6/15/2021 532,316
311,858 Continental Airlines, Inc., Series 2001-1, Class B
7.373%, 12/15/2015 260,827
4,145,899 Continental Airlines, Inc., Series 2002-2, Class B
8.307%, 4/02/2018 3,561,476
6,225,000 Corning, Inc., Note
5.900%, 3/15/2014 6,205,092
6,220,000 Corning, Inc., Note
6.200%, 3/15/2016 6,246,186
Principal
Amount Description Value (a)
- -----------------------------------------------------------------------------------
United States -- continued
$ 650,000 Corning, Inc., Note
6.750%, 9/15/2013 $ 688,472
1,000,000 Corning, Inc., Note
6.850%, 3/01/2029 992,246
350,000 Corning, Inc., Note, (MTN)
8.300%, 4/04/2025 365,687
400,000 CSC Holdings, Inc., Senior Note
7.875%, 2/15/2018 424,000
250,000 CSC Holdings, Inc., Series B, Senior Note
8.125%, 7/15/2009 263,750
250,000 CSC Holdings, Inc., Series B, Senior Note
8.125%, 8/15/2009 263,750
2,145,000 Cummins, Inc., Note
7.125%, 3/01/2028 2,166,450
835,000 Dana Corp., Note
7.000%, 3/01/2029 733,280
310,000 Dana Corp., Senior Note, 144A
5.850%, 1/15/2015 273,077
8,135,000 Delphi Corp., Note
7.125%, 5/01/2029(c) 6,464,315
7,285,000 Dillard's Department Stores, Inc., Note
6.625%, 1/15/2018 7,212,150
425,000 Dillard's Department Stores, Inc., Note
7.875%, 1/01/2023 447,313
1,350,000 Dillard's, Inc., Note
7.000%, 12/01/2028 1,309,500
1,600,000 Dillard's, Inc., Note
7.130%, 8/01/2018 1,616,000
1,500,000 Dillard's, Inc., Note
7.750%, 7/15/2026 1,582,500
3,705,000 Edison Mission Energy Corp., Senior Note
7.730%, 6/15/2009 3,862,463
5,350,000 El Paso CGP, Co., Note
6.950%, 6/01/2028 4,654,500
900,000 EL Paso Corp., Note
7.000%, 5/15/2011 864,000
750,000 EL Paso Corp., Senior Note, (MTN)
7.800%, 8/01/2031 705,000
1,000,000 EL Paso Energy Corp., Note, (MTN), (FRN)
7.750%, 1/15/2032(c) 942,500
4,000,000 FHLMC
3.220%, 6/20/2007, (SGD) 2,464,350
7,000,000 FHLMC
4.625%, 2/15/2007, (EUR) 9,417,537
28,200,000 FNMA
2.290%, 2/19/2009, (SGD) 16,791,509
6,500,000 FNMA
2.375%, 2/15/2007 6,314,750
34,000,000 FNMA,
Zero Coupon 10/29/2007, (NZD) 20,365,060
150,000 Ford Motor Co., Note
6.625%, 10/01/2028 125,821
2,110,000 Friendly Ice Cream Corp., Guaranteed Senior Note
8.375%, 6/15/2012(c) 2,004,500
12,100,000 General Electric Capital Corp., Note
6.625%, 2/04/2010, (NZD) 8,490,030
500,000 General Electric Capital Corp., Series E, Note, (MTN)
1.725%, 6/27/2008, (SGD) 294,062
3,100,000 General Electric Capital Corp., Series E, Note, (MTN)
6.125%, 5/17/2012, (GBP) 6,176,010
See accompanying notes to financial statements.
34
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- -------------------------------------------------------------------------------------------
United States -- continued
$ 6,625,000 General Motors Acceptance Corp., Note
3.610%, 7/16/2007 $ 6,241,512
8,000,000 General Motors Acceptance Corp., Note
3.700%, 3/20/2007 7,610,200
1,250,000 General Motors Acceptance Corp., Series E, Note, (MTN)
7.500%, 12/01/2006, (NZD) 869,807
950,000 Georgia-Pacific Corp., Note
7.250%, 6/01/2028 978,500
3,200,000 Georgia-Pacific Corp., Note
7.375%, 12/01/2025 3,344,000
3,775,000 Georgia-Pacific Corp., Note
7.750%, 11/15/2029 4,114,750
1,730,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note
7.750%, 12/15/2013 1,435,900
1,000,000 HCA, Inc., Senior Note
5.750%, 3/15/2014 954,504
2,515,000 IMC Global, Inc., Note
7.300%, 1/15/2028 2,552,725
1,880,000 IMC Global, Inc., Note
7.375%, 8/01/2018 1,936,400
640,000 JC Penney Co., Inc., Note
7.125%, 11/15/2023 633,600
11,285,000 Lucent Technologies, Inc., Note
6.450%, 3/15/2029 9,733,313
1,250,000 McDonald's Corp., Series E, Note, (MTN)
3.6275%, 10/10/2010, (SGD) 772,422
881,000 Missouri Pacific Railroad Co., Note
5.000%, 1/01/2045 714,711
1,000,000 Morgan Stanley, Note
5.375%, 11/14/2013, (GBP) 1,898,929
3,175,000 Northern Telecom Capital Corp., Note
7.875%, 6/15/2026 3,190,875
5,840,000 Owens-Illinois, Inc., Senior Note
7.800%, 5/15/2018(c) 5,942,200
3,000,000 Pemex Project Funding Master Trust, Note, 144A
8.625%, 12/01/2023 3,397,500
4,350,000 Pemex Project Funding Master Trust, Note, 144A
9.500%, 9/15/2027(c) 5,328,750
2,000,000 Pharma Services Intermediate Holding Corp., Senior Note, 144A
0/11.500%, 4/01/2014(i) 1,410,000
1,900,000 Qwest Capital Funding, Inc., Guaranteed Note
7.000%, 8/03/2009(c) 1,781,250
2,420,000 Qwest Capital Funding, Inc., Guaranteed Note
7.625%, 8/03/2021(c) 2,044,900
600,000 Qwest Capital Funding, Inc., Note
6.500%, 11/15/2018 477,000
33,250,000 Qwest Capital Funding, Inc., Note
6.875%, 7/15/2028(c) 25,768,750
825,000 Qwest Capital Funding, Inc., Note
7.250%, 2/15/2011(c) 769,313
1,700,000 Qwest Capital Funding, Inc., Note
7.750%, 2/15/2031(c) 1,436,500
250,000 Qwest Capital Funding, Inc., Note
7.900%, 8/15/2010(c) 239,375
350,000 Qwest Corp., Note
7.250%, 9/15/2025 327,250
225,162 Salton SEA Funding Corp., Series C, Senior Secured Note
7.840%, 5/30/2010 240,494
750,000 Southern Natural Gas Co., Note
7.350%, 2/15/2031 766,043
Principal
Amount Description Value (a)
- ------------------------------------------------------------------------------------------
United States -- continued
$ 2,600,000 Tennessee Gas Pipeline Co., Note
7.000%, 10/15/2028 $ 2,551,180
496,687 Tiverton Power Associates, LP, Note, 144A
9.000%, 7/15/2018 372,515
6,405,000 TTI Holding Corp., Senior Subordinated Note, 144A
10.000%, 3/15/2013 6,356,963
5,000,000 U.S. Treasury Note
1.625%, 2/28/2006 4,920,310
110,775,000 U.S. Treasury Note
2.500%, 5/31/2006 109,450,906
49,730,000 U.S. Treasury Note
2.625%, 5/15/2008(c) 47,771,882
29,225,000 U.S. Treasury Note
2.750%, 6/30/2006(c) 28,930,470
50,270,000 U.S. Treasury Note
3.000%, 2/15/2008(c) 48,995,555
1,020,000 United Rentals North America, Inc., Senior Subordinated Note
7.000%, 2/15/2014(c) 933,300
2,500,000 Wal-Mart Stores, Inc., Note
4.750%, 1/29/2013, (GBP) 4,606,563
600,000 Williams Cos., Inc., Note
7.875%, 9/01/2021 654,000
965,000 Williams Cos., Inc., Senior Note
7.750%, 6/15/2031 1,042,200
8,600,000 Williams Cos., Inc., Series A, Note
7.500%, 1/15/2031 9,030,000
1,000,000 Woolworth Corp., Note
8.500%, 1/15/2022 1,085,000
15,550,000 Xerox Capital Trust I, Guaranteed Note
8.000%, 2/01/2027 15,550,000
1,730,000 Xerox Corp., Note, (MTN)
7.200%, 4/01/2016 1,781,900
---------------
650,227,456
---------------
Uruguay -- 0.3%
1,600,000 Republic of Uruguay
7.500%, 3/15/2015 1,464,000
2,834,959 Republic of Uruguay
7.875%, 1/15/2033 2,445,152
---------------
3,909,152
---------------
Venezuela -- 2.2%
16,535,000 Cerro Negro Finance, Ltd., Note, 144A
7.900%, 12/01/2020 15,377,550
8,905,000 Petrozuata Finance, Inc., Note, Series B, 144A
8.220%, 4/01/2017 8,370,700
3,640,000 Republic of Venezuela
9.250%, 9/15/2027 3,609,060
---------------
27,357,310
---------------
Total Non-Convertible Bonds (Identified Cost $1,055,352,098) 1,101,572,710
---------------
Total Bonds and Notes (Identified Cost $1,101,017,021) 1,148,049,340
---------------
Shares
- ------------------------------------------------------------------------------------------
Preferred Stocks -- 2.9%
Philippines -- 0.6%
156,314 Philippine Long Distance Telephone Co., Sponsored GDR,
Convertible, $24.80, 12/31/2049 7,659,386
---------------
See accompanying notes to financial statements.
35
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
Shares Description Value (a)
- ------------------------------------------------------------------------------------------------
United States -- 2.3%
27,950 AES Trust III, Convertible, Preferred,
6.75%, 10/15/2029(c) $ 1,306,662
20,725 CMS Energy Trust I, Convertible, 7.75%, 7/15/2027 1,051,794
51,500 Cummins Capital Trust I, Convertible 4,084,671
10,000 El Paso Tennessee Pipeline Co. Class A 505,313
32,900 Felcor Lodging Trust Inc. (REIT) Convertible,
8.08%, 12/31/2049 814,275
24,550 Host Marriott Finance Trust (REIT), Convertible 1,356,387
7,400 Lucent Technologies Capital Trust I, Convertible,
7.75%, 3/15/2017(c) 7,688,600
15,000 Newell Financial Trust I, Convertible 695,625
217,475 Owens-Illinois, Inc., Convertible, 4.75%, 12/31/2049 9,188,319
31,875 Pacific Gas & Electric Co. 811,219
800 Pacific Gas & Electric Co., Series G 17,480
9,500 Southern California Edison Co. 964,844
10,000 United Rentals Trust I, Convertible 442,500
---------------
28,927,689
---------------
Total Preferred Stocks (Identified Cost $30,204,925) 36,587,075
---------------
Common Stocks -- 2.4%
Brazil -- 0.3%
117,000 Cia Vale do Rio Doce, ADR(c) 3,698,370
---------------
United States -- 2.1%
224,500 Associated Estates Realty Corp. (REIT) 2,238,266
53,260 Chesapeake Energy Corp. 1,168,524
27,045 CIM High Yield Securities Fund 108,451
10,439 Corning, Inc. 116,186
182,500 Developers Diversified Realty Corp. (REIT) 7,254,375
282,500 Duke Energy Corp.(c) 7,912,825
51,300 High Income Opportunity Fund, Inc.(c) 323,703
47,136 Morgan Stanley Emerging Markets Debt Fund, Inc.(c) 434,123
6,300 Senior High Income Portfolio, Inc. 36,666
117,700 Simon Property Group, Inc. 7,130,266
---------------
26,723,385
---------------
Total Common Stocks (Identified Cost $20,117,925) 30,421,755
---------------
Principal
Amount
- ------------------------------------------------------------------------------------------------
Short Term Investments -- 18.5%
$ 27,595,571 Repurchase Agreement with Investors Bank & Trust Co. dated
3/31/2005 at 2.02% to be repurchased at $27,597,119 on
4/1/2005, collateralized by $21,060,000 Federal Home Loan
Mortgage Corporation Bond, 3.310%, due 1/15/2033 valued at
$21,002,991 and $7,918,380 Federal National Mortgage
Association Bond, 3.350%, due 9/25/2032 valued at $7,977,662 27,595,571
9,156,322 Bank of America, 2.77%, due 4/18/2005(j) 9,156,322
9,156,322 Bank of America, 2.82%, due 5/16/2005(j) 9,156,322
2,788,315 Bank of Montreal, 2.60%, due 4/04/2005(j) 2,788,315
10,061,659 Bank of Montreal, 2.75%, due 4/08/2005(j) 10,061,659
16,298,253 Bank of Nova Scotia, 2.70%, due 4/11/2005(j) 16,298,252
3,662,529 Bank of Nova Scotia, 2.73%, due 4/14/2005(j) 3,662,529
9,156,322 Bank of Nova Scotia, 2.78%, due 4/28/2005(j) 9,156,322
5,493,794 Barclays, 2.785%, due 4/25/2005(j) 5,493,793
9,971,327 BGI Institutional Money Market Fund(j) 9,971,327
27,468,965 BNP Paribas, 2.73%, due 4/07/2005(j) 27,468,965
9,156,322 BNP Paribas, 2.91%, due 6/15/2005(j) 9,156,322
3,739,001 Calyon, 2.77%, due 4/21/2005(j) 3,739,001
1,687,750 Den Danske Bank, 2.77%, due 4/26/2005(j) 1,687,750
Principal
Amount Description Value (a)
- -------------------------------------------------------------------------------------------------------
Short Term Investments -- continued
$ 3,662,529 Falcon Asset Securitization Corp, 2.727%, due 4/13/2005(j) $ 3,662,529
8,936,570 Fortis Bank, 2.44%, due 4/14/2005(j) 8,936,570
9,156,322 Fortis Bank, 2.80%, due 4/06/2005(j) 9,156,322
3,967,404 Goldman Sachs Financial Square Prime Obligations Fund(j) 3,967,404
9,156,322 Govco Incorporated, 2.60%, due 4/05/2005(j) 9,156,322
4,400,129 Keybank, 2.844%, due 4/01/2005(j) 4,400,129
4,527,862 Merrill Lynch Premier Institutional Fund(j) 4,527,861
2,613,819 Merrimac Cash Fund-Premium Class(j) 2,613,819
9,156,322 Rabobank Nederland, 2.78%, due 4/29/2005(j) 9,156,322
9,907,208 Royal Bank of Scotland, 2.75%, due 4/05/2005(j) 9,907,208
9,156,322 Svenska Handlesbanken, 2.70%, due 4/11/2005(j) 9,156,322
1,831,264 The Bank of the West, 2.79%, due 4/22/2005(j) 1,831,264
1,831,264 Toronto Dominion Bank, 3.01%, due 6/24/2005(j) 1,831,264
3,662,529 UBS AG, 2.805%, due 5/03/2005(j) 3,662,529
3,662,529 Wells Fargo, 2.78%, due 4/20/2005(j) 3,662,529
1,290,927 Wells Fargo, 2.79%, due 4/08/2005(j) 1,290,927
1,831,264 Yorktown Capital LLC, 2.636%, due 4/01/2005(j) 1,831,264
---------------
Total Short Term Investments (Identified Cost $234,143,036) 234,143,035
---------------
Total Investments -- 114.7%
(Identified Cost $1,385,482,907)(b) 1,449,201,205
Other assets less liabilities (186,158,775)
---------------
Total Net Assets -- 100% $ 1,263,042,430
===============
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments
based on cost of $1,387,882,786 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 $ 75,837,320
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (14,518,901)
---------------
Net unrealized appreciation $ 61,318,419
===============
At September 30, 2004, the Fund had a capital loss carryover of approximately
$49,383,086 of which $3,167,856 expires on September 30, 2007, $6,500,127
expires on September 30, 2008, $10,848,517 expires on September 30, 2009,
$21,770,312 expires on September 30, 2010 and $7,096,274 expires on September
30, 2011. These amounts may be available to offset future realized capital gains, if
any, to the extent provided by regulations.
(c) All or a portion of this security was on loan to brokers at March 31, 2005.
(d) Non-income producing security.
(e) Issuer filed petition under Chapter 11 of the Federal Bankruptcy Code.
(f) Security valued at fair value as determined in good faith by or under the direction of
the Board of Trustees.
(g) Security is in default of principal and interest payment.
(h) Illiquid security. At March 31, 2005, the value of these securities amounted to
$56,207,332 or 4.45% of net assets.
(i) Step Bond: Coupon rate is zero or below market for an initial period and then increases
to a higher coupon rate at a specified date.
(j) Represents investments of securities lending collateral.
See accompanying notes to financial statements.
36
LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS (continued)
Investments as of March 31, 2005 (unaudited)
ADR/GDR An American Depositary (ADR) or Global Depositary Receipt (GDR) is a certificate issued by a
Custodian Bank representing the right to receive securities of the foreign issuer described.
The values of ADRs and GDRs are significantly influenced by trading on exchanges not
located in the United States.
FRN Floating Rate Note
MTN Medium Term Note
REIT Real Estate Investment Trust
yankee U.S. dollar denominated security issued by a non-U.S. company.
144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registrations, normally to qualified
institutional buyers. At the period end, the value of these amounted to $108,326,607 or
8.6% of net assets.
BRL Brazilian Real
CAD Canadian Dollar
EUR Euro
GBP British Pound
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
THB Thai Baht
ZAR South African Rand
Holdings at March 31, 2005 as a Percentage of Net Assets (unaudited)
Treasuries 19.1%
Sovereigns 15.9
Foreign Local Governments 7.8
Technology 6.2
Government Agencies 4.3
Wirelines 4.3
Electric 3.9
Banking 3.8
Transportation Services 3.2
Automotive 2.3
Pharmaceuticals 2.1
Other, less than 2% each 23.3
See accompanying notes to financial statements.
37
This Page Intentionally Left Blank
38
STATEMENTS OF ASSETS & LIABILITIES
March 31, 2005 (unaudited)
Limited Term
Government
Core Plus Bond Fund High Income Fund and Agency Fund
--------------------- --------------------- ---------------------
--------------------- --------------------- ---------------------
ASSETS
Investments at cost $ 271,892,033 $ 45,774,251 $ 230,225,463
Net unrealized appreciation
(depreciation) 3,248,428 2,457,698 (959,049)
--------------------- --------------------- ---------------------
Investments at value(a) 275,140,461 48,231,949 229,266,414
Receivable for Fund shares sold 495,007 15,703 30,472
Receivable for securities sold -- 347,065 13,236
Dividends and interest receivable 3,200,570 745,687 1,082,038
Tax reclaims receivable -- 144 --
Receivable from investment adviser 22,626 -- 9,225
Securities lending income receivable 1,972 3,888 5,318
Prepaid insurance expense 749 116 1,227
--------------------- --------------------- ---------------------
TOTAL ASSETS 278,861,385 49,344,552 230,407,930
--------------------- --------------------- ---------------------
LIABILITIES
Collateral on securities loaned, at
value 5,040,121 6,386,573 43,758,180
Payable for securities purchased 6,255,140 170,207 --
Payable for Fund shares redeemed 947,653 130,900 168,135
Dividends payable 372,140 108,366 106,946
Management fees payable 96,522 22,509 80,776
Deferred Trustees' fees 176,614 41,827 154,953
Transfer agent fees payable 373,022 9,170 49,940
Accounting and administrative fees
payable 19,790 2,434 12,077
Payable for when-issued securities -- -- 11,789,466
Deferred expense payable -- -- --
Other accounts payable and accrued
expenses 85,120 31,745 63,979
--------------------- --------------------- ---------------------
TOTAL LIABILITIES 13,366,122 6,903,731 56,184,452
--------------------- --------------------- ---------------------
NET ASSETS $ 265,495,263 $ 42,440,821 $ 174,223,478
===================== ===================== =====================
NET ASSETS CONSIST OF:
Paid in capital $ 284,483,693 $ 124,130,868 $ 195,120,845
Undistributed (overdistributed) net
investment income (41,105) (107,098) (398,504)
Accumulated net realized gain (loss)
on investments (22,211,973) (84,043,007) (19,539,814)
Net unrealized appreciation
(depreciation) of investments and
foreign currency translations 3,264,648 2,460,058 (959,049)
--------------------- --------------------- ---------------------
NET ASSETS $ 265,495,263 $ 42,440,821 $ 174,223,478
===================== ===================== =====================
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE:
Class A shares:
Net assets $ 109,329,031 $ 23,928,642 $ 150,251,581
===================== ===================== =====================
Shares of beneficial interest 9,565,368 4,873,758 13,508,935
===================== ===================== =====================
Net asset value and redemption price
per share $ 11.43 $ 4.91 $ 11.12
===================== ===================== =====================
Offering price per share
(100/[100-maximum sales charge] of
net asset value) $ 11.97 $ 5.14 $ 11.46
===================== ===================== =====================
Class B shares: (redemption price is
equal to net asset value less any
applicable contingent deferred sales
charges)
Net assets $ 139,669,624 $ 15,644,781 $ 17,421,335
===================== ===================== =====================
Shares of beneficial interest 12,210,695 3,184,714 1,569,903
===================== ===================== =====================
Net asset value and offering price
per share $ 11.44 $ 4.91 $ 11.10
===================== ===================== =====================
Class C shares: (redemption price is
equal to net asset value less any
applicable contingent deferred sales
charges)
Net assets $ 6,043,707 $ 2,867,398 $ 6,049,392
===================== ===================== =====================
Shares of beneficial interest 528,013 583,910 544,267
===================== ===================== =====================
Net asset value and offering price
per share $ 11.45 $ 4.91 $ 11.11
===================== ===================== =====================
Class Y shares:
Net assets $ 10,452,901 $ -- $ 501,170
===================== ===================== =====================
Shares of beneficial interest 910,809 -- 44,906
===================== ===================== =====================
Net asset value, offering and
redemption price per share $ 11.48 $ -- $ 11.16
===================== ===================== =====================
(a) Including securities on loan with
market values of: $ 4,919,602 $ 6,210,266 $ 43,001,407
===================== ===================== =====================
See accompanying notes to financial statements.
39
Massachusetts Tax Municipal Strategic
Free Income Fund Income Fund Income Fund
--------------------- --------------------- ---------------------
--------------------- ---------------------
$ 77,996,491 $ 108,011,089 $ 1,385,482,907
3,880,232 3,741,334 63,718,298
--------------------- --------------------- ---------------------
81,876,723 111,752,423 1,449,201,205
1,853 1,957 16,172,970
-- 1,563,736 --
1,308,197 1,679,527 16,839,939
-- -- 11,264
-- -- --
-- -- 39,430
220 315 1,576
--------------------- --------------------- ---------------------
83,186,993 114,997,958 1,482,266,384
--------------------- --------------------- ---------------------
-- -- 206,547,464
1,098,970 -- 8,252,702
57,104 41,141 1,155,036
62,243 110,342 2,276,944
41,842 47,323 632,566
48,372 103,787 101,665
17,627 27,951 32,457
5,411 8,110 67,024
-- -- --
-- -- 69,643
35,096 48,711 88,453
--------------------- --------------------- ---------------------
1,366,665 387,365 219,223,954
--------------------- --------------------- ---------------------
$ 81,820,328 $ 114,610,593 $ 1,263,042,430
===================== ===================== =====================
$ 80,577,978 $ 112,017,332 $ 1,239,730,227
17,992 150,514 749,097
(2,655,874) (1,298,587) (41,158,670)
3,880,232 3,741,334 63,721,776
--------------------- --------------------- ---------------------
$ 81,820,328 $ 114,610,593 $ 1,263,042,430
===================== ===================== =====================
$ 77,767,103 $ 106,473,498 $ 608,326,284
===================== ===================== =====================
4,712,337 14,349,205 43,685,186
===================== ===================== =====================
$ 16.50 $ 7.42 $ 13.93
===================== ===================== =====================
$ 17.23 $ 7.77 $ 14.59
===================== ===================== =====================
$ 4,053,225 $ 8,137,095 $ 136,829,040
===================== ===================== =====================
246,155 1,095,371 9,791,727
===================== ===================== =====================
$ 16.47 $ 7.43 $ 13.97
===================== ===================== =====================
$ -- $ -- $ 489,501,491
===================== ===================== =====================
-- -- 35,045,611
===================== ===================== =====================
$ -- $ -- $ 13.97
===================== ===================== =====================
$ -- $ -- $ 28,385,615
===================== ===================== =====================
-- -- 2,038,523
===================== ===================== =====================
$ -- $ -- $ 13.92
===================== ===================== =====================
$ -- $ -- $ 201,196,066
===================== ===================== =====================
40
STATEMENTS OF OPERATIONS
For the Six Months Ended March 31, 2005 (unaudited)
Limited Term
Government
Core Plus Bond Fund High Income Fund and Agency Fund
--------------------- --------------------- ---------------------
--------------------- --------------------- ---------------------
INVESTMENT INCOME
Dividends $ -- $ 47,916 $ --
Interest 7,114,625 1,793,928 2,328,896
Securities lending income 12,438 18,351 8,250
Less net foreign taxes withheld -- (618) --
--------------------- --------------------- ---------------------
7,127,063 1,859,577 2,337,146
--------------------- --------------------- ---------------------
Expenses
Management fees 587,536 137,110 356,566
Service fees - Class A 145,986 31,755 135,203
Service and distribution fees -
Class B 731,035 86,755 48,995
Service and distribution fees -
Class C 31,011 14,743 32,593
Trustees' fees and expenses 26,922 10,272 13,238
Accounting and administrative 94,223 14,609 42,311
Custodian 44,878 28,721 31,413
Transfer agent fees - Class A, Class
B, Class C 494,565 54,189 117,839
Transfer agent fees - Class Y 29,869 -- 8,250
Audit and tax services 15,616 16,613 12,249
Legal 9,972 1,696 5,185
Shareholder reporting 35,322 13,193 15,381
Registration 29,335 16,631 20,209
Miscellaneous 16,922 6,384 13,576
--------------------- --------------------- ---------------------
Total expenses 2,293,192 432,671 853,008
Less waiver (124,578) -- (4,425)
--------------------- --------------------- ---------------------
Net expenses 2,168,614 432,671 848,583
--------------------- --------------------- ---------------------
Net investment income 4,958,449 1,426,906 1,488,563
--------------------- --------------------- ---------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS
Realized gain (loss) on:
Investments - net 2,037,425 1,105,823 (39,594)
Foreign currency transactions - net 41,818 (986) --
Change in unrealized appreciation
(depreciation) of:
Investments - net (5,655,298) (221,597) (1,694,078)
Foreign currency transactions - net (4,532) 1,718 --
--------------------- --------------------- ---------------------
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions (3,580,587) 884,958 (1,733,672)
--------------------- --------------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 1,377,862 $ 2,311,864 $ (245,109)
===================== ===================== =====================
See accompanying notes to financial statements.
41
Massachusetts Tax Municipal Strategic
Free Income Fund Income Fund Income Fund
--------------------- --------------------- ---------------------
--------------------- --------------------- ---------------------
$ -- $ -- $ 1,720,351
2,001,591 2,793,942 26,955,070
-- -- 130,578
-- -- (48,273)
--------------------- --------------------- ---------------------
2,001,591 2,793,942 28,757,726
--------------------- --------------------- ---------------------
249,213 282,624 2,981,664
98,571 136,170 574,008
21,072 42,773 674,200
-- -- 1,819,431
11,677 17,141 32,375
27,560 39,405 318,487
19,447 20,344 99,925
64,645 89,045 539,635
-- -- 13,793
12,323 12,973 17,610
3,190 5,185 12,964
12,660 10,727 49,415
9,089 16,800 36,600
6,035 12,434 35,750
--------------------- --------------------- ---------------------
535,482 685,621 7,205,857
-- -- --
--------------------- --------------------- ---------------------
535,482 685,621 7,205,857
--------------------- --------------------- ---------------------
1,466,109 2,108,321 21,551,869
--------------------- --------------------- ---------------------
352,280 959,167 8,992,878
-- -- 538,550
(738,211) (1,789,956) 9,571,296
-- -- (296,098)
--------------------- --------------------- ---------------------
(385,931) (830,789) 18,806,626
--------------------- --------------------- ---------------------
$ 1,080,178 $ 1,277,532 $ 40,358,495
===================== ===================== =====================
42
STATEMENTS OF CHANGES IN NET ASSETS
Core Plus Bond Fund
--------------------------------------------
Six Months Ended
March 31, Year Ended
2005 September 30,
(unaudited) 2004
--------------------- ---------------------
--------------------- ---------------------
FROM OPERATIONS:
Net investment income $ 4,958,449 $ 11,076,363
Net realized gain (loss) on investments and
foreign currency transactions 2,079,243 9,525,887
Net change in unrealized appreciation
(depreciation) of investments (5,659,830) (6,354,947)
--------------------- ---------------------
Increase (decrease) in net assets resulting
from operations 1,377,862 14,247,303
--------------------- ---------------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income
Class A (3,372,215) (5,832,828)
Class B (3,628,955) (5,866,726)
Class C (154,352) (259,130)
Class Y (329,690) (806,864)
--------------------- ---------------------
(7,485,212) (12,765,548)
--------------------- ---------------------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE
TRANSACTIONS (14,065,774) (36,519,835)
--------------------- ---------------------
Redemption Fees
Class A 465 164
Class B 582 204
Class C 25 7
Class Y 43 17
--------------------- ---------------------
1,115 392
--------------------- ---------------------
Total increase (decrease) in net assets (20,172,009) (35,037,688)
--------------------- ---------------------
NET ASSETS
Beginning of period 285,667,272 320,704,960
--------------------- ---------------------
End of period $ 265,495,263 $ 285,667,272
===================== =====================
UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME (LOSS) $ (41,105) $ 2,485,658
===================== =====================
High Income Fund
--------------------------------------------
Six Months Ended
March 31, Year Ended
2005 September 30,
(unaudited) 2004
--------------------- ---------------------
--------------------- ---------------------
FROM OPERATIONS:
Net investment income $ 1,426,906 $ 3,223,716
Net realized gain (loss) on investments and
foreign currency transactions 1,104,837 2,160,377
Net change in unrealized appreciation
(depreciation) of investments (219,879) (389,892)
--------------------- ---------------------
Increase (decrease) in net assets resulting
from operations 2,311,864 4,994,201
--------------------- ---------------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income
Class A (833,413) (1,756,090)
Class B (505,123) (1,304,202)
Class C (85,448) (172,398)
Class Y -- --
--------------------- ---------------------
(1,423,984) (3,232,690)
--------------------- ---------------------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE
TRANSACTIONS (3,667,388) (6,616,858)
--------------------- ---------------------
Redemption Fees
Class A 2,033 146
Class B 1,362 110
Class C 236 16
Class Y -- --
--------------------- ---------------------
3,631 272
--------------------- ---------------------
Total increase (decrease) in net assets (2,775,877) (4,855,075)
--------------------- ---------------------
NET ASSETS
Beginning of period 45,216,698 50,071,773
--------------------- ---------------------
End of period $ 42,440,821 $ 45,216,698
===================== =====================
UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME (LOSS) $ (107,098) $ (110,020)
===================== =====================
Limited Term Government and Agency Fund
--------------------------------------------
Six Months Ended
March 31, Year Ended
2005 September 30,
(unaudited) 2004
--------------------- ---------------------
--------------------- ---------------------
FROM OPERATIONS:
Net investment income $ 1,488,563 $ 3,418,590
Net realized gain (loss) on investments and
foreign currency transactions (39,594) 1,021,149
Net change in unrealized appreciation
(depreciation) of investments (1,694,078) (2,043,680)
--------------------- ---------------------
Increase (decrease) in net assets resulting
from operations (245,109) 2,396,059
--------------------- ---------------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS:
Net investment income
Class A (1,572,384) (4,112,174)
Class B (105,816) (358,642)
Class C (70,326) (232,332)
Class Y (28,424) (214,192)
--------------------- ---------------------
(1,776,950) (4,917,340)
--------------------- ---------------------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE
TRANSACTIONS 48,256,293 (16,942,090)
--------------------- ---------------------
Redemption Fees
Class A -- --
Class B -- --
Class C -- --
Class Y -- --
--------------------- ---------------------
-- --
--------------------- ---------------------
Total increase (decrease) in net assets 46,234,234 (19,463,371)
--------------------- ---------------------
NET ASSETS
Beginning of period 127,989,244 147,452,615
--------------------- ---------------------
End of period $ 174,223,478 $ 127,989,244
===================== =====================
UNDISTRIBUTED (OVERDISTRIBUTED)
NET INVESTMENT INCOME (LOSS) $ (398,504) $ (110,117)
===================== =====================
See accompanying notes to financial statements.
43
Massachusetts Tax Free Income Fund Municipal Income Fund
- -------------------------------------------- --------------------------------------------
Six Months Ended Six Months Ended
March 31, Year Ended March 31, Year Ended
2005 September 30, 2005 September 30,
(unaudited) 2004 (unaudited) 2004
- --------------------- --------------------- --------------------- ---------------------
--------------------- --------------------- ---------------------
$ 1,466,109 $ 3,273,976 $ 2,108,321 $ 5,063,313
352,280 (325,070) 959,167 (199,243)
(738,211) 1,181,062 (1,789,956) 1,189,663
- --------------------- --------------------- --------------------- ---------------------
1,080,178 4,129,968 1,277,532 6,053,733
- --------------------- --------------------- --------------------- ---------------------
(1,407,423) (3,115,670) (1,981,283) (4,693,919)
(59,317) (157,408) (123,364) (324,812)
-- -- -- --
-- -- -- --
- --------------------- --------------------- --------------------- ---------------------
(1,466,740) (3,273,078) (2,104,647) (5,018,731)
- --------------------- --------------------- --------------------- ---------------------
(3,654,202) (7,548,538) (5,450,785) (17,936,186)
- --------------------- --------------------- --------------------- ---------------------
-- -- -- --
-- -- -- --
-- -- -- --
-- -- -- --
- --------------------- --------------------- --------------------- ---------------------
-- -- -- --
- --------------------- --------------------- --------------------- ---------------------
(4,040,764) (6,691,648) (6,277,900) (16,901,184)
- --------------------- --------------------- --------------------- ---------------------
85,861,092 92,552,740 120,888,493 137,789,677
- --------------------- --------------------- --------------------- ---------------------
$ 81,820,328 $ 85,861,092 $ 114,610,593 $ 120,888,493
===================== ===================== ===================== =====================
$ 17,992 $ 18,623 $ 150,514 $ 146,840
===================== ===================== ===================== =====================
Strategic Income Fund
- --------------------------------------------
Six Months Ended
March 31, Year Ended
2005 September 30,
(unaudited) 2004
- --------------------- ---------------------
- --------------------- ---------------------
$ 21,551,869 $ 27,670,276
9,531,428 15,404,828
9,275,198 21,984,923
- --------------------- ---------------------
40,358,495 65,060,027
- --------------------- ---------------------
(13,266,322) (14,995,915)
(3,372,782) (6,962,890)
(8,898,283) (8,540,977)
(583,273) (428,194)
- --------------------- ---------------------
(26,120,660) (30,927,976)
- --------------------- ---------------------
509,940,542 377,319,844
- --------------------- ---------------------
12,802 1,885
3,599 817
10,191 1,391
563 65
- --------------------- ---------------------
27,155 4,158
- --------------------- ---------------------
524,205,532 411,456,053
- --------------------- ---------------------
738,836,898 327,380,845
- --------------------- ---------------------
$ 1,263,042,430 $ 738,836,898
===================== =====================
$ 749,097 $ 5,317,888
===================== =====================
44
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
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 Total Redemption
period income investments operations income capital gains distributions fee
---------- ---------- -------------- ---------- -------------- ------------- ------------- ----------
CORE PLUS BOND FUND
Class A
03/31/2005(k) $ 11.69 $ 0.23(c) $ (0.15) $ 0.08 $ (0.34) $ -- $ (0.34) 0.00(g)
09/30/2004 11.63 0.47(c) 0.13 0.60 (0.54) -- (0.54) 0.00(g)
09/30/2003(f) 11.28 0.37(c) 0.34 0.71 (0.36) -- (0.36) --
12/31/2002 11.59 0.63(c) (0.32) 0.31 (0.62) -- (0.62) --
12/31/2001(d) 11.52 0.73 0.10 0.83 (0.76) -- (0.76) --
12/31/2000 11.51 0.78 0.03 0.81 (0.80) -- (0.80) --
12/31/1999 12.36 0.81 (0.86) (0.05) (0.79) (0.01) (0.80) --
Class B
03/31/2005(k) 11.70 0.19(c) (0.16) 0.03 (0.29) -- (0.29) 0.00(g)
09/30/2004 11.62 0.38(c) 0.14 0.52 (0.44) -- (0.44) 0.00(g)
09/30/2003(f) 11.28 0.30(c) 0.34 0.64 (0.30) -- (0.30) --
12/31/2002 11.59 0.55(c) (0.32) 0.23 (0.54) -- (0.54) --
12/31/2001(d) 11.51 0.64 0.10 0.74 (0.66) -- (0.66) --
12/31/2000 11.51 0.70 0.02 0.72 (0.72) -- (0.72) --
12/31/1999 12.36 0.72 (0.86) (0.14) (0.70) (0.01) (0.71) --
Class C
03/31/2005(k) 11.71 0.19(c) (0.16) 0.03 (0.29) -- (0.29) 0.00(g)
09/30/2004 11.63 0.38(c) 0.14 0.52 (0.44) -- (0.44) 0.00(g)
09/30/2003(f) 11.29 0.30(c) 0.34 0.64 (0.30) -- (0.30) --
12/31/2002 11.60 0.55(c) (0.32) 0.23 (0.54) -- (0.54) --
12/31/2001(d) 11.52 0.65 0.09 0.74 (0.66) -- (0.66) --
12/31/2000 11.52 0.70 0.02 0.72 (0.72) -- (0.72) --
12/31/1999 12.37 0.72 (0.86) (0.14) (0.70) (0.01) (0.71) --
Class Y
03/31/2005(k) 11.74 0.25(c) (0.15) 0.09 (0.35) -- (0.35) 0.00(g)
09/30/2004 11.69 0.50(c) 0.13 0.63 (0.58) -- (0.58) 0.00(g)
09/30/2003(f) 11.33 0.41(c) 0.35 0.76 (0.40) -- (0.40) --
12/31/2002 11.63 0.69(c) (0.32) 0.37 (0.67) -- (0.67) --
12/31/2001(d) 11.54 0.79 0.10 0.89 (0.80) -- (0.80) --
12/31/2000 11.54 0.83 0.01 0.84 (0.84) -- (0.84) --
12/31/1999 12.38 0.85 (0.86) (0.01) (0.82) (0.01) (0.83) --
HIGH INCOME FUND*
Class A
03/31/2005(k) $ 4.82 $ 0.16(c) $ 0.09 $ 0.25 $ (0.16) $ -- $ (0.16) 0.00(g)
09/30/2004 4.65 0.33(c) 0.17 0.50 (0.33) -- (0.33) 0.00(g)
09/30/2003(f) 4.12 0.25(c) 0.53 0.78 (0.25) -- (0.25) --
12/31/2002 4.94 0.39(c) (0.82) (0.43) (0.39) -- (0.39) --
12/31/2001(d) 6.21 0.66 (1.25) (0.59) (0.68) -- (0.68) --
12/31/2000 8.30 0.86 (2.11) (1.25) (0.84) -- (0.84) --
12/31/1999 8.86 0.89 (0.54) 0.35 (0.91) -- (0.91) --
Class B
03/31/2005(k) 4.83 0.15(c) 0.08 0.23 (0.15) -- (0.15) 0.00(g)
09/30/2004 4.65 0.30(c) 0.18 0.48 (0.30) -- (0.30) 0.00(g)
09/30/2003(f) 4.12 0.23(c) 0.53 0.76 (0.23) -- (0.23) --
12/31/2002 4.95 0.36(c) (0.83) (0.47) (0.36) -- (0.36) --
12/31/2001(d) 6.22 0.62 (1.26) (0.64) (0.63) -- (0.63) --
12/31/2000 8.30 0.81 (2.11) (1.30) (0.78) -- (0.78) --
12/31/1999 8.85 0.82 (0.53) 0.29 (0.84) -- (0.84) --
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares
and a contingent deferred sales charge for Class B and Class C shares are
not reflected in total return calculations. Periods less than one year are
not annualized.
(b)Computed on an annualized basis for periods less than one year.
(c)Per share net investment income (loss) has been calculated using the average
shares outstanding during the period.
(d)As required, effective January 1, 2001, the Funds have adopted the
provisions of the AICPA Audit and Accounting Guide for Investment Companies
and began amortizing premium on debt securities. The effect of this change
for the year ended December 31, 2001 for Core Plus Bond Fund was to decrease
net investment income per share by $.01 for Class A, $.02 for Class B, and
$.01 for Class C and to decrease the ratio of net investment income to
average net assets from 6.34% to 6.26% for Class A, 5.57% to 5.49% for Class
B, 5.59% to 5.52% for Class C and 6.75% to 6.68% for Class Y shares. For
High Income Fund, the effect of this change was to decrease net investment
income per share by $.01 for Class A and Class B and to decrease the ratio
of net investment income to average net assets from 11.39% to 11.31% for
Class A and 10.64% to 10.56% for Class B. Per share, ratios and supplemental
data for the periods prior to January 1, 2001 have not been restated to
reflect this change in presentation.
(e)Amount is less than one tenth of one percent.
See accompanying notes to financial statements.
45
Ratios to average net assets:
----------------------------------------
Net asset Net assets, Expenses after
value, end Total end of reimbursement/ Net investment Portfolio
of return the period Expenses waiver income turnover
the period (%) (a) (000's) (%) (b)(i) (%) (b) (%) (b) rate (%)
- ---------- --------- ----------- ---------- -------------- -------------- ---------
$ 11.43 0.6(h) $ 109,329 1.23 1.15(j) 3.94 23
11.69 5.3(h) 120,009 1.22 1.19(j) 4.05 69
11.63 6.4 133,887 1.28 N/A 4.31 61
11.28 2.8 147,647 1.18 N/A 5.65 65
11.59 7.2 173,836 1.09 N/A 6.26 84
11.52 7.4 174,969 1.04 N/A 7.03 83
11.51 (0.3) 213,769 0.97 N/A 6.87 63
11.44 0.2(h) 139,670 1.98 1.90(j) 3.19 23
11.70 4.6(h) 148,556 1.97 1.94(j) 3.29 69
11.62 5.8 161,317 2.03 N/A 3.55 61
11.28 2.1 141,188 1.93 N/A 4.90 65
11.59 6.5 127,520 1.84 N/A 5.49 84
11.51 6.5 100,353 1.79 N/A 6.28 83
11.51 (1.1) 89,213 1.72 N/A 6.12 63
11.45 0.2(h) 6,044 1.98 1.90(j) 3.18 23
11.71 4.6(h) 6,162 1.98 1.94(j) 3.30 69
11.63 5.8 7,612 2.03 N/A 3.55 61
11.29 2.1 9,024 1.93 N/A 4.90 65
11.60 6.5 11,470 1.84 N/A 5.52 84
11.52 6.5 12,541 1.79 N/A 6.28 83
11.52 (1.1) 14,872 1.72 N/A 6.12 63
11.48 0.8(h) 10,453 1.16 0.90(j) 4.19 23
11.74 5.5(h) 10,941 0.98 0.94(j) 4.30 69
11.69 6.9 17,889 0.73 N/A 4.85 61
11.33 3.5 18,346 0.67 N/A 6.15 65
11.63 7.8 17,351 0.67 N/A 6.68 84
11.54 7.6 14,013 0.67 N/A 7.40 83
11.54 (0.0)(e) 10,320 0.72 N/A 7.12 63
$ 4.91 5.3 $ 23,929 1.56 N/A 6.57 21
4.82 11.1 24,641 1.65 N/A 6.97 51
4.65 19.5 23,809 1.71 N/A 7.62 41
4.12 (8.9) 22,454 1.58 N/A 8.85 114
4.94 (10.7) 33,471 1.47 N/A 11.31 65
6.21 (16.1) 46,960 1.36 N/A 11.47 60
8.30 4.0 74,589 1.28 N/A 10.22 89
4.91 4.6 15,645 2.31 N/A 5.84 21
4.83 10.5 17,967 2.40 N/A 6.22 51
4.65 18.8 23,405 2.46 N/A 6.89 41
4.12 (9.7) 23,031 2.33 N/A 8.10 114
4.95 (11.3) 34,713 2.22 N/A 10.56 65
6.22 (16.6) 47,793 2.11 N/A 10.72 60
8.30 3.3 70,218 2.03 N/A 9.47 89
(f)For the nine months ended September 30, 2003.
(g)Amount rounds to less than $0.01.
(h)Had certain expenses not been reduced during the period, total returns would
have been lower.
(i)Represents the total expenses prior to advisory fee waiver and/or
reimbursement of a portion of the Fund's expenses. Prior to 2005, expenses
in this table were presented net of such waivers and/or reimbursements.
(j)The investment adviser waived a portion of its advisory fee during the
period. Without this waiver, expenses would have been higher.
(k)For the six months ended March 31, 2005 (unaudited).
* The financial information for periods prior to September 30, 2004 reflects
the financial information for the CDC Nvest High Income Fund's Class A and
Class B shares which were reorganized into Class A and Class B shares,
respectively, of the Loomis Sayles High Income Fund, effective September 12,
2003. Prior to September 1, 2003, the predecessor Fund was advised by CDC
IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles &
Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003,
had a December 31 fiscal year end. The Fund's current fiscal year end is
September 30.
46
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
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 Total
period income investments operations income capital gains distributions
---------- ---------- -------------- ---------- -------------- ------------- -------------
HIGH INCOME FUND* (continued)
Class C
03/31/2005(h) $ 4.83 $ 0.14(c) $ 0.08 $ 0.22 $ (0.14) $ -- $ (0.14)
09/30/2004 4.65 0.30(c) 0.18 0.48 (0.30) -- (0.30)
09/30/2003(e) 4.12 0.23(c) 0.53 0.76 (0.23) -- (0.23)
12/31/2002 4.94 0.36(c) (0.82) (0.46) (0.36) -- (0.36)
12/31/2001(d) 6.22 0.61 (1.26) (0.65) (0.63) -- (0.63)
12/31/2000 8.30 0.81 (2.11) (1.30) (0.78) -- (0.78)
12/31/1999 8.85 0.82 (0.53) 0.29 (0.84) -- (0.84)
LIMITED TERM GOVERNMENT AND AGENCY FUND**
Class A
03/31/2005(h) $ 11.30 $ 0.14(c) $ (0.16) $ (0.02) $ (0.16) $ -- $ (0.16)
09/30/2004 11.51 0.30(c) (0.09) 0.21 (0.42) -- (0.42)
09/30/2003(e) 11.73 0.21(c) (0.07) 0.14 (0.36) -- (0.36)
12/31/2002 11.36 0.42(c) 0.49 0.91 (0.54) -- (0.54)
12/31/2001(d) 11.16 0.51 0.25 0.76 (0.56) -- (0.56)
12/31/2000 10.97 0.69 0.20 0.89 (0.70) -- (0.70)
12/31/1999 11.70 0.66 (0.74) (0.08) (0.65) -- (0.65)
Class B
03/31/2005(h) 11.28 0.10(c) (0.16) (0.06) (0.12) -- (0.12)
09/30/2004 11.49 0.22(c) (0.09) 0.13 (0.34) -- (0.34)
09/30/2003(e) 11.71 0.15(c) (0.06) 0.09 (0.31) -- (0.31)
12/31/2002 11.34 0.35(c) 0.48 0.83 (0.46) -- (0.46)
12/31/2001(d) 11.14 0.44 0.24 0.68 (0.48) -- (0.48)
12/31/2000 10.95 0.62 0.20 0.82 (0.63) -- (0.63)
12/31/1999 11.69 0.59 (0.75) (0.16) (0.58) -- (0.58)
Class C
03/31/2005(h) 11.30 0.10(c) (0.17) (0.07) (0.12) -- (0.12)
09/30/2004 11.50 0.22(c) (0.08) 0.14 (0.34) -- (0.34)
09/30/2003(e) 11.72 0.15(c) (0.06) 0.09 (0.31) -- (0.31)
12/31/2002 11.35 0.35(c) 0.48 0.83 (0.46) -- (0.46)
12/31/2001(d) 11.15 0.44 0.24 0.68 (0.48) -- (0.48)
12/31/2000 10.96 0.62 0.20 0.82 (0.63) -- (0.63)
12/31/1999 11.70 0.59 (0.75) (0.16) (0.58) -- (0.58)
Class Y
03/31/2005(h) 11.34 0.14(c) (0.15) (0.01) (0.17) -- (0.17)
09/30/2004 11.55 0.32(c) (0.09) 0.23 (0.44) -- (0.44)
09/30/2003(e) 11.78 0.25(c) (0.08) 0.17 (0.40) -- (0.40)
12/31/2002 11.41 0.48(c) 0.48 0.96 (0.59) -- (0.59)
12/31/2001(d) 11.20 0.56 0.26 0.82 (0.61) -- (0.61)
12/31/2000 11.00 0.75 0.19 0.94 (0.74) -- (0.74)
12/31/1999 11.73 0.70 (0.74) (0.04) (0.69) -- (0.69)
Redemption
fee
----------
HIGH INCOME FUND* (continued)
Class C
03/31/2005(h) $ 0.00(f)
09/30/2004 0.00(f)
09/30/2003(e) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
LIMITED TERM GOVERNMENT AND AGENCY FUND**
Class A
03/31/2005(h) $ --
09/30/2004 --
09/30/2003(e) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class B
03/31/2005(h) --
09/30/2004 --
09/30/2003(e) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class C
03/31/2005(h) --
09/30/2004 --
09/30/2003(e) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class Y
03/31/2005(h) --
09/30/2004 --
09/30/2003(e) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares
and a contingent deferred sales charge for Class B and Class C shares are
not reflected in total return calculations. Periods less than one year are
not annualized.
(b)Computed on an annualized basis for periods less than one year.
(c)Per share net investment income (loss) has been calculated using the average
shares outstanding during the period.
(d)As required, effective January 1, 2001, the Funds have adopted the
provisions of the AICPA Audit and Accounting Guide for Investment Companies
and began amortizing premium on debt securities. The effect of this change
for the year ended December 31, 2001, for High Income Fund was to decrease
net investment income per share by $.01 for Class C and to decrease the
ratio of net investment income to average net assets from 10.63% to 10.54%
for Class C. For Limited Term Government and Agency Fund, the effect of this
change was to decrease net investment income per share by $.04 for Class A,
B, C, and Y and to decrease the ratio of net investment income to average
net assets from 4.88% to 4.52% for Class A, 4.22% to 3.85% for Class B,
4.25% to 3.89% for Class C, and 5.34% to 4.98% for Class Y. Per share,
ratios and supplemental data for periods prior to January 1, 2001, have not
been restated to reflect this change in presentation.
(e)For the nine months ended September 30, 2003.
(f)Amount rounds to less than $0.01.
See accompanying notes to financial statements.
47
Ratios to average net assets:
----------------------------------------
Net asset Net assets, Expenses after
value, end Total end of reimbursement/ Net investment Portfolio
of return the period Expenses waiver income turnover
the period (%) (a) (000's) (%) (b)(g) (%) (b) (%) (b) rate (%)
- ---------- --------- ----------- ---------- -------------- -------------- ---------
$ 4.91 4.6 $ 2,867 2.31 N/A 5.81 21
4.83 10.5 2,608 2.40 N/A 6.22 51
4.65 18.8 2,858 2.46 N/A 6.89 41
4.12 (9.5) 2,605 2.33 N/A 8.10 114
4.94 (11.5) 4,153 2.22 N/A 10.54 65
6.22 (16.6) 5,369 2.11 N/A 10.72 60
8.30 3.3 9,138 2.03 N/A 9.47 89
$ 11.12 (0.2) $ 150,252 1.25 N/A 2.45 56
11.30 1.9 106,701 1.32 N/A 2.60 80
11.51 1.2 117,225 1.37 N/A 2.41 53
11.73 8.2 106,013 1.35 N/A 3.66 88
11.36 6.9 109,189 1.42 N/A 4.52 275
11.16 8.3 118,833 1.40 N/A 6.18 384
10.97 (0.7) 149,756 1.33 N/A 5.91 400
11.10 (0.5) 17,421 2.00 N/A 1.70 56
11.28 1.2 10,107 2.00 N/A 1.95 80
11.49 0.7 14,637 2.02 N/A 1.77 53
11.71 7.5 16,263 2.00 N/A 3.01 88
11.34 6.2 14,317 2.07 N/A 3.85 275
11.14 7.7 11,884 2.05 N/A 5.53 384
10.95 (1.4) 14,601 1.98 N/A 5.26 400
11.11 (0.6) 6,049 2.00 N/A 1.71 56
11.30 1.3 6,949 2.00 N/A 1.94 80
11.50 0.7 8,704 2.02 N/A 1.77 53
11.72 7.5 8,079 2.00 N/A 3.01 88
11.35 6.2 5,851 2.07 N/A 3.89 275
11.15 7.7 6,617 2.05 N/A 5.53 384
10.96 (1.4) 9,054 1.98 N/A 5.26 400
11.16 (0.1) 501 1.67 1.21(i) 2.49 56
11.34 2.1 4,233 1.13 N/A 2.82 80
11.55 1.5 6,886 0.93 N/A 2.87 53
11.78 8.6 8,529 0.88 N/A 4.14 88
11.41 7.4 3,441 0.95 N/A 4.98 275
11.20 8.8 3,254 0.95 N/A 6.63 384
11.00 (0.3) 7,086 0.98 N/A 6.26 400
(g)Represents total expenses prior to waiver of a portion of the Fund's
transfer agent expenses.
(h)For the six months ended March 31, 2005 (unaudited).
(i)IXIS Services waived a portion of its transfer agent fee during the period.
Without this waiver, expenses would have been higher.
* The financial information for periods prior to September 30, 2004 reflects
the financial information for the CDC Nvest High Income Fund's Class C
shares which were reorganized into Class C shares of the Loomis Sayles High
Income Fund, effective September 12, 2003. Prior to September 1, 2003, the
predecessor Fund was advised by CDC IXIS Asset Management Advisers, L.P. and
subadvised by Loomis, Sayles & Company, L.P. (the Fund's current adviser)
and, prior to September 12, 2003, had a December 31 fiscal year end. The
Fund's current fiscal year end is September 30.
** The financial information for periods prior to September 30, 2004 reflects
the financial information for the CDC Nvest Limited Term U.S. Government
Fund's Class A, Class B, Class C and Class Y shares which were reorganized
into Class A, Class B, Class C and Class Y shares, respectively, of the
Loomis Sayles Limited Term Government and Agency Fund, effective September
12, 2003. Prior to September 1, 2003, the predecessor Fund was advised by
CDC IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles &
Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003,
had a December 31 fiscal year end. The Fund's current fiscal year end is
September 30.
48
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
Income (loss) from investment operations:
---------------------------------------
Net asset
value, Net realized
beginning Net and unrealized Total from
of investment gain (loss) on investment
period income investments operations
---------- ---------- -------------- ----------
MASSACHUSETTS TAX FREE INCOME FUND
Class A
03/31/2005(i) $ 16.58 $ 0.30(c) $ (0.08) $ 0.22
09/30/2004 16.41 0.61 0.17 0.78
09/30/2003(g) 16.40 0.49 0.01 0.50
12/31/2002 15.82 0.67 0.59 1.26
12/31/2001(d) 16.06 0.75 (0.24) 0.51
12/31/2000 15.48 0.82 0.57 1.39
12/31/1999 17.02 0.82 (1.50) (0.68)
Class B
03/31/2005(i) 16.54 0.23(c) (0.07) 0.16
09/30/2004 16.37 0.49 0.18 0.67
09/30/2003(g) 16.36 0.41 0.01 0.42
12/31/2002 15.78 0.57 0.58 1.15
12/31/2001(d) 16.03 0.64 (0.24) 0.40
12/31/2000 15.45 0.71 0.58 1.29
12/31/1999 16.98 0.71 (1.49) (0.78)
MUNICIPAL INCOME FUND
Class A
03/31/2005(i) $ 7.47 $ 0.14(c) $ (0.05) $ 0.09
09/30/2004 7.41 0.29 0.06 0.35
09/30/2003(g) 7.43 0.23 (0.02) 0.21
12/31/2002 7.25 0.34 0.18 0.52
12/31/2001(d) 7.39 0.36 (0.14) 0.22
12/31/2000 7.17 0.40 0.21 0.61
12/31/1999 7.76 0.39 (0.59) (0.20)
Class B
03/31/2005(i) 7.48 0.11(c) (0.05) 0.06
09/30/2004 7.41 0.24 0.07 0.31
09/30/2003(g) 7.44 0.19 (0.03) 0.16
12/31/2002 7.25 0.29 0.19 0.48
12/31/2001(d) 7.39 0.31 (0.14) 0.17
12/31/2000 7.17 0.35 0.21 0.56
12/31/1999 7.76 0.33 (0.59) (0.26)
Less distributions:
-----------------------------------------
Dividends Distributions
from from net
net investment realized Total
income capital gains distributions
-------------- ------------- -------------
MASSACHUSETTS TAX FREE INCOME FUND
Class A
03/31/2005(i) $ (0.30) $ -- $ (0.30)
09/30/2004 (0.61) -- (0.61)
09/30/2003(g) (0.49) -- (0.49)
12/31/2002 (0.68) -- (0.68)
12/31/2001(d) (0.75) -- (0.75)
12/31/2000 (0.81) -- (0.81)
12/31/1999 (0.83) (0.03) (0.86)
Class B
03/31/2005(i) (0.23) -- (0.23)
09/30/2004 (0.50) -- (0.50)
09/30/2003(g) (0.41) -- (0.41)
12/31/2002 (0.57) -- (0.57)
12/31/2001(d) (0.65) -- (0.65)
12/31/2000 (0.71) -- (0.71)
12/31/1999 (0.72) (0.03) (0.75)
MUNICIPAL INCOME FUND
Class A
03/31/2005(i) $ (0.14) $ -- $ (0.14)
09/30/2004 (0.29) -- (0.29)
09/30/2003(g) (0.23) -- (0.23)
12/31/2002 (0.34) -- (0.34)
12/31/2001(d) (0.36) -- (0.36)
12/31/2000 (0.39) -- (0.39)
12/31/1999 (0.39) -- (0.39)
Class B
03/31/2005(i) (0.11) -- (0.11)
09/30/2004 (0.24) -- (0.24)
09/30/2003(g) (0.19) -- (0.19)
12/31/2002 (0.29) -- (0.29)
12/31/2001(d) (0.31) -- (0.31)
12/31/2000 (0.34) -- (0.34)
12/31/1999 (0.33) -- (0.33)
(a)A sales charge for Class A shares and a contingent deferred sales charge for
Class B shares are not reflected in total return calculations. Periods less
than one year are not annualized.
(b)Computed on an annualized basis for periods less than one year.
(c)Per share net investment income (loss) has been calculated using the average
shares outstanding during the period.
(d)As required, effective January 1, 2001, the Funds have adopted the
provisions of the AICPA Audit and Accounting Guide for Investment Companies
and began amortizing premium and accreting discount on debt securities. The
effect of this change for the year ended December 31, 2001, for
Massachusetts Tax Free Income Fund was to increase the ratio of net
investment income to average net assets from 4.66% to 4.67% for Class A and
from 4.02% to 4.03% for Class B shares. For Municipal Income Fund, the
effect of this change was to increase net investment income per share by
$0.01 and to decrease net realized and unrealized gains and losses per share
by $0.01 for Class A shares and Class B shares, and increase the ratio of
net investment income to average net assets from 4.84% to 4.89% for Class A
shares and from 4.09% to 4.14% for Class B shares. Per share, ratios and
supplemental data for periods prior to January 1, 2001 have not been
restated to reflect this change in presentation.
See accompanying notes to financial statements.
49
Ratios to average net assets:
----------------------------------------
Net asset Net assets, Expenses after
value, end Total end of reimbursement/ Net investment Portfolio
of return the period Expenses waiver income turnover
the period (%) (a) (000's) (%) (b)(h) (%) (b) (%) (b) rate (%)
- ---------- --------- ----------- ---------- -------------- -------------- ---------
$ 16.50 1.3 $ 77,767 1.25 N/A 3.57 3
16.58 4.9 81,427 1.33 N/A 3.74 21
16.41 3.1 86,368 1.38 N/A 3.99 9
16.40 8.1 92,053 1.34 N/A 4.19 33
15.82 3.2(e) 89,376 1.35 1.33(f) 4.67 60
16.06 9.3(e) 91,785 1.39 1.13(f) 5.24 68
15.48 (4.1)(e) 97,270 1.31 1.00(f) 5.02 73
16.47 1.0 4,053 2.00 N/A 2.82 3
16.54 4.2 4,435 2.00 N/A 3.08 21
16.37 2.6 6,185 2.03 N/A 3.34 9
16.36 7.4 6,742 1.99 N/A 3.54 33
15.78 2.5(e) 8,313 2.00 1.98(f) 4.03 60
16.03 8.6(e) 8,715 2.04 1.78(f) 4.59 68
15.45 (4.7)(e) 8,874 1.96 1.65(f) 4.37 73
$ 7.42 1.2 $ 106,473 1.11 N/A 3.64 19
7.47 4.9 111,801 1.11 N/A 4.00 35
7.41 2.9 126,906 1.10 N/A 4.14 42
7.43 7.3 133,005 1.06 N/A 4.67 35
7.25 3.0 137,852 1.07 N/A 4.89 80
7.39 8.8 142,539 0.95 N/A 5.39 156
7.17 (2.8) 152,829 0.93 N/A 5.13 137
7.43 0.8 8,137 1.86 N/A 2.89 19
7.48 4.2 9,087 1.86 N/A 3.25 35
7.41 2.2 10,884 1.85 N/A 3.39 42
7.44 6.7 12,326 1.81 N/A 3.92 33
7.25 2.2 14,549 1.82 N/A 4.14 80
7.39 8.0 14,520 1.70 N/A 4.64 156
7.17 (3.5) 15,644 1.68 N/A 4.38 137
(e)Had certain expenses not been reduced during the period, total returns would
have been lower.
(f)The investment adviser waived a portion of its advisory fee during the
period. Without this waiver, expenses would have been higher.
(g)For the nine months ended September 30, 2003.
(h)Represents total expenses prior to advisory fee waiver and/or reimbursement
or a portion of the Fund's expenses. Prior to 2005, expenses in this table
were presented net of such waivers and/or reimbursements.
(i)For the six months ended March 31, 2005 (unaudited).
50
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding throughout each period.
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 Total
period income investments operations income capital gains distributions
---------- ---------- -------------- ---------- -------------- ------------- -------------
STRATEGIC INCOME FUND*
Class A
03/31/2005(l) $ 13.57 $ 0.34(c) $ 0.44 $ 0.77 $ (0.41) $ -- $ (0.41)
09/30/2004 12.57 0.75(c) 1.11 1.86 (0.86) -- (0.86)
09/30/2003(i) 10.72 0.57(c) 1.93 2.50 (0.65) -- (0.65)
12/31/2002 9.88 0.75(c) 0.72 1.47 (0.63) -- (0.63)
12/31/2001(d) 10.80 0.91(c) (0.92) (0.01) (0.91) -- (0.91)
12/31/2000 11.65 0.99(c) (0.91) 0.08 (0.93) -- (0.93)
12/31/1999 11.37 1.03 0.31 1.34 (1.02) (0.04) (1.06)
Class B
03/31/2005(l) 13.60 0.29(c) 0.43 0.72 (0.35) -- (0.35)
09/30/2004 12.59 0.65(c) 1.10 1.75 (0.74) -- (0.74)
09/30/2003(i) 10.71 0.51(c) 1.92 2.43 (0.55) -- (0.55)
12/31/2002 9.88 0.67(c) 0.73 1.40 (0.57) -- (0.57)
12/31/2001(d) 10.79 0.83(c) (0.90) (0.07) (0.84) -- (0.84)
12/31/2000 11.65 0.90(c) (0.91) (0.01) (0.85) -- (0.85)
12/31/1999 11.37 0.94 0.31 1.25 (0.93) (0.04) (0.97)
Class C
03/31/2005(l) 13.60 0.28(c) 0.44 0.72 (0.35) -- (0.35)
09/30/2004 12.58 0.64(c) 1.11 1.75 (0.73) -- (0.73)
09/30/2003(i) 10.70 0.50(c) 1.93 2.43 (0.55) -- (0.55)
12/31/2002 9.87 0.67(c) 0.73 1.40 (0.57) -- (0.57)
12/31/2001(d) 10.78 0.83(c) (0.91) (0.08) (0.83) -- (0.83)
12/31/2000 11.64 0.90(c) (0.91) (0.01) (0.85) -- (0.85)
12/31/1999 11.36 0.94 0.31 1.25 (0.93) (0.04) (0.97)
Class Y
03/31/2005(l) 13.57 0.35(c) 0.43 0.78 (0.43) -- (0.43)
09/30/2004 12.58 0.78(c) 1.11 1.89 (0.90) -- (0.90)
09/30/2003(i) 10.74 0.60(c) 1.93 2.53 (0.69) -- (0.69)
12/31/2002 9.90 0.80(c) 0.71 1.51 (0.67) -- (0.67)
12/31/2001(d) 10.81 0.94(c) (0.92) 0.02 (0.93) -- (0.93)
12/31/2000 11.65 0.96(c) (0.84) 0.12 (0.96) -- (0.96)
12/31/1999(h) 11.45 0.86 (0.56) 0.30 (0.10) -- (0.10)
Redemption
fee
----------
STRATEGIC INCOME FUND*
Class A
03/31/2005(l) $ 0.00(j)
09/30/2004 0.00(j)
09/30/2003(i) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class B
03/31/2005(l) 0.00(j)
09/30/2004 0.00(j)
09/30/2003(i) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class C
03/31/2005(l) 0.00(j)
09/30/2004 0.00(j)
09/30/2003(i) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999 --
Class Y
03/31/2005(l) 0.00(j)
09/30/2004 0.00(j)
09/30/2003(i) --
12/31/2002 --
12/31/2001(d) --
12/31/2000 --
12/31/1999(h) --
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares
and a contingent deferred sales charge for Class B and Class C shares are
not reflected in total return calculations. Periods of less than one year
are not annualized.
(b)Computed on an annualized basis for periods less than one year.
(c)Per share net investment income has been calculated using the average shares
outstanding during the period.
(d)As required, effective January 1, 2001, the Funds have adopted the
provisions of the AICPA Audit and Accounting Guide for Investment Companies
and began accreting discount and amortizing premium on debt securities.
There was no effect on net investment income per share, however, the effect
of this change was to decrease the ratio of net investment income to average
net assets from 8.78% to 8.77% for Class A, 8.03% to 8.02% for Class B, and
8.04% to 8.02% for Class C. Per share, ratios and supplemental data for
periods prior to January 1, 2001, have not been restated to reflect this
change in presentation.
(e)Had certain expenses not been reduced during the period, total returns would
have been lower.
(f)The investment adviser waived a portion of its advisory fee during the
period. Without this waiver, expenses would have been higher.
(g)Amount is less than $500.
See accompanying notes to financial statements.
51
Ratios to average net assets:
----------------------------------------
Net asset Net assets, Expenses after
value, end Total end of reimbursement/ Net investment Portfolio
of return the period Expenses waiver income turnover
the period (%) (a) (000's) (%) (b)(k) (%) (b) (%) (b) rate (%)
- ---------- --------- ----------- ---------- -------------- -------------- ---------
$ 13.93 5.7 $ 608,326 1.10 N/A 4.80 4
13.57 15.2 343,586 1.23 N/A 5.66 28
12.57 23.7(e) 140,576 1.31 1.28(f) 6.49 27
10.72 15.5 92,303 1.33 N/A 7.38 30
9.88 (0.1) 94,156 1.31 N/A 8.77 10
10.80 0.7 116,986 1.24 N/A 8.73 13
11.65 12.2 124,869 1.21 N/A 9.09 19
13.97 5.3 136,829 1.85 N/A 4.09 4
13.60 14.3 128,714 1.98 N/A 4.91 28
12.59 23.0(e) 118,217 2.06 2.03(f) 5.73 27
10.71 14.6 98,501 2.08 N/A 6.63 30
9.88 (0.8) 102,159 2.06 N/A 8.02 10
10.79 (0.2) 120,200 1.99 N/A 7.98 13
11.65 11.3 127,723 1.96 N/A 8.34 19
13.97 5.3 489,501 1.85 N/A 4.00 4
13.60 14.3 255,705 1.98 N/A 4.87 28
12.58 23.0(e) 66,394 2.06 2.03(f) 5.73 27
10.70 14.7 27,727 2.08 N/A 6.63 30
9.87 (0.8) 28,925 2.06 N/A 8.02 10
10.78 (0.2) 37,208 1.99 N/A 7.98 13
11.64 11.3 40,265 1.96 N/A 8.34 19
13.92 5.8 28,386 0.88 N/A 5.01 4
13.57 15.5(e) 10,833 1.08 1.00(f) 5.93 28
12.58 24.0 2,193 0.97 N/A 6.83 27
10.74 15.9 1,039 0.94 N/A 7.77 30
9.90 0.3 445 0.93 N/A 9.10 10
10.81 1.0 335 0.90 N/A 9.07 13
11.65 2.7 --(g) 0.96 N/A 9.34 19
(h)For the period December 1, 1999 (inception) through December 31, 1999.
(i)For the nine months ended September 30, 2003.
(j)Amount rounds to less than $0.01.
(k)Represents total expenses prior to advisory fee waiver and/or reimbursement
of a portion of the Fund's expenses. Prior to 2005, expenses in this table
were presented net of such waivers and/or reimbursements.
(l)For the six months ended March 31, 2005 (unaudited).
* The financial information for periods prior to September 30, 2004 reflects
the financial information for CDC Nvest Strategic Income Fund's Class A,
Class B, Class C and Class Y shares, which were reorganized into Class A,
Class B, Class C and Class Y shares, respectively, of Loomis Sayles
Strategic Income Fund, effective September 12, 2003. Prior to September 1,
2003, the predecessor Fund was advised by CDC IXIS Asset Management
Advisers, L.P. and subadvised by Loomis, Sayles & Company, L.P. (the Fund's
current adviser) and, prior to September 12, 2003, had a December 31 fiscal
year end. The Fund's current fiscal year end is September 30.
52
NOTES TO FINANCIAL STATEMENTS
For the Six Months Ended March 31, 2005 (unaudited)
1. Organization. CDC Nvest Funds Trust I, CDC Nvest Funds Trust II 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, as amended, as an open-end management investment company.
Each Declaration of Trust permits the Board of Trustees to authorize the
issuance of an unlimited number of shares of the Trust in multiple series
(individually, a "Fund" and, collectively, the "Funds"). Information presented
in these financial statements pertains to certain fixed income funds of the
Trusts; the financial statements of the other Funds of the Trusts are presented
in separate reports. The following Funds are included in this report.
CDC Nvest Funds Trust I:
Loomis Sayles Core Plus Bond Fund (the "Core Plus Bond Fund")
CDC Nvest Funds Trust II:
Loomis Sayles Massachusetts Tax Free Income Fund (the "Massachusetts Tax Free
Income Fund")
Loomis Sayles Funds II:
Loomis Sayles High Income Fund (the "High Income Fund")
Loomis Sayles Limited Term Government and Agency Fund (the "Limited Term
Government and Agency Fund")
Loomis Sayles Municipal Income Fund (the "Municipal Income Fund")
Loomis Sayles Strategic Income Fund (the "Strategic Income Fund")
Core Plus Bond Fund, Limited Term Government and Agency Fund and Strategic
Income Fund each offer Class A, Class B, Class C and Class Y shares. High
Income Fund offers Class A, Class B, and Class C shares. Massachusetts Tax Free
Income Fund and Municipal Income Fund each offer Class A and Class B shares.
Class A shares of all Funds except Limited Term Government and Agency Fund and
Massachusetts Tax Free Income Fund are sold with a maximum front end sales
charge of 4.50%. Class A shares of Limited Term Government and Agency Fund are
sold with a maximum front end sales charge of 3.00% and Class A shares of
Massachusetts Tax Free Income Fund are sold with a maximum front end sales
charge of 4.25%. Class B shares do not pay a front end sales charge, but pay
higher ongoing Rule 12b-1 fees than Class A shares for eight years (at which
point they automatically convert to Class A shares), and are subject to a
contingent deferred sales charge ("CDSC") if those shares are redeemed within
six years of purchase. Class C shares do not pay a front end sales charge, do
not convert to any other class of shares and pay higher ongoing Rule 12b-1
fees, than Class A shares and may be subject to a CDSC of 1.00% if those shares
are redeemed within one year. Class Y shares do not pay a front end sales
charge, a CDSC or Rule 12b-1 fees. They are intended for institutional
investors with a minimum initial investment of $1,000,000, though some
categories of investors are excepted from the minimum investment amounts.
Most expenses of the Trusts can be directly attributed to a Fund. Expenses
which can not be directly attributed to a Fund 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), and 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 on the basis of
valuations furnished to the Fund by a pricing service authorized by the Board
of Trustees, which service determines valuations for normal, institutional-size
trading units of such securities using market information, transactions for
comparable securities and various relationships between securities which are
generally recognized by institutional traders. Short-term obligations with a
remaining maturity of less than sixty days are stated at amortized cost, which
approximates market value. Equity securities for which market quotations are
readily available are valued at market price on the basis of valuations
furnished to the Fund by a pricing service which has been authorized by the
Board of Trustees. The pricing service provides the last reported sale price
for securities listed on an applicable securities exchange or, if no sale was
reported and in the case of over-the-counter securities not so listed, the last
reported bid price. Securities traded on the NASDAQ National Market are valued
at the NASDAQ Official Closing Price ("NOCP"), or if lacking NOCP, at the most
recent bid quotation on the NASDAQ National Market. All other securities and
assets are valued at their fair value as determined in good faith by the Funds'
investment adviser and subadviser, pursuant to the procedures approved by the
Board of Trustees.
Certain securities held by High Income and Strategic Income Fund were valued on
the basis of a price provided by a principal market maker. The prices provided
by the principal market makers may differ from the value that would be realized
if the securities were sold.
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.
53
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
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 thereafter 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. 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 at the end of the fiscal period, resulting from changes
in exchange rates.
d. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate
entity for federal income tax purposes. Each Fund intends to meet the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders substantially all of its net
investment income and any net realized capital gains, at least annually.
Accordingly, no provision for federal income tax has been made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities. Such
taxes are accrued as applicable.
e. 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 market discounts, premium
amortization, wash sales, capital loss carryforwards, paydowns on
mortgage-backed securities and foreign currency transactions. 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.
f. 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. Each Funds' investment 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 Funds'
ability to dispose of the underlying securities.
g. 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. For Core Plus Bond Fund and Limited Term
Government and Agency Fund, see the Schedule of Investments for open forward
commitments as of March 31, 2005.
3. Purchases and Sales of Securities. For the six months ended March 31, 2005,
purchases and sales of securities (excluding short-term investments) were as
follows:
U.S. Government/Agency Other Securities
- ---------------------- ----------------
Fund Purchases Sales Purchases Sales
---- --------- ----- --------- -----
Core Plus Bond Fund $ 36,345,603 $45,944,891 $ 25,623,786 $25,426,583
High Income Fund -- -- 9,358,052 12,365,732
Limited Term Government
and Agency Fund 118,851,089 71,986,622 -- --
Massachusetts Tax Free
Income Fund -- -- 2,684,605 6,264,826
Municipal Income Fund -- -- 21,376,802 27,383,858
Strategic Income Fund 237,316,075 -- 320,359,672 38,617,344
54
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
4. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as
the investment adviser to each of the Funds. Under the terms of the management
agreements, each Fund pays a management fee at the following annual rates,
calculated daily and payable monthly, based on each Fund's average daily net
assets:
Percentage of Average Daily Net Assets
- - ---------------------------------------------------
First Next Next Over
Fund $100 million $100 million $300 million $500 million
- ---- ------------ ------------ ------------ ------------
Core Plus Bond Fund 0.2500% 0.1875% 0.1875% 0.1875%
High Income Fund 0.6000% 0.6000% 0.6000% 0.6000%
Limited Term Government and
Agency Fund 0.5000% 0.5000% 0.5000% 0.5000%
Massachusetts Tax Free
Income Fund 0.3000% 0.2500% 0.2500% 0.2500%
Municipal Income Fund 0.5000% 0.3750% 0.3750% 0.3750%
Strategic Income Fund 0.6500% 0.6500% 0.6000% 0.6000%
Prior to March 21, 2005, the management fee for Limited Term Government and
Agency Fund was 0.57% on the first $200 million of the Fund's average daily net
assets, 0.545% on the next $300 million and 0.52% on such assets in excess of
$500 million.
For the six months ended March 31, 2005, the management fees for each Fund were
as follows:
Gross Percentage of
Management Average
Fund Fee Daily Net Assets*
---- ---------- -----------------
Core Plus Bond Fund $ 293,768 0.210%
High Income Fund 137,110 0.600%
Limited Term Government and
Agency Fund 356,566 0.564%
Massachusetts Tax Free Income
Fund 124,606 0.300%
Municipal Income Fund 282,625 0.481%
Strategic Income Fund 2,981,664 0.610%
* Annualized
IXIS Asset Management Advisors, L.P. ("IXIS Advisors") formerly CDC IXIS Asset
Management Advisers, L.P., serves as the advisory administrator to Core Plus
Bond Fund and Massachusetts Tax Free Income Fund. Under the terms of the
advisory administration agreements, each Fund pays an advisory administration
fee at the following annual rates, calculated daily and payable monthly, based
on each Fund's average daily net assets:
Percentage of Average Daily Net Assets
- ---------------------------------------------------
First Next Next Over
Fund $100 million $100 million $300 million $500 million
---- ------------ ------------ ------------ ------------
Core Plus Bond Fund 0.2500% 0.1875% 0.1875% 0.1875%
Massachusetts Tax Free
Income Fund 0.3000% 0.2500% 0.2500% 0.2500%
55
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
For the six months ended March 31, 2005, the advisory administration fees for
each Fund were as follows:
Gross Advisory Percentage of
Administration Average
Fund Fee Daily Net Assets*
---- -------------- -----------------
Core Plus Bond Fund $293,768 0.210%
Massachusetts Tax Free
Income Fund 124,607 0.300%
* Annualized
Loomis Sayles and IXIS Advisors are wholly-owned subsidiaries of IXIS Asset
Management North America, L.P. ("IXIS North America"), formerly CDC IXIS Asset
Management North America, L.P., which is part of IXIS Asset Management Group,
an international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly, or indirectly 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 French regional savings banks known as Caisse
d'Epargne; and CNP Assurances, a large French life insurance company. Certain
officers and directors of Loomis Sayles and IXIS Advisors are also Trustees of
the Funds.
Management and advisory administration fees are presented in the Statement of
Operations as management fees.
b. Accounting and Administrative Expense. During the period October 1, 2004
through December 31, 2004, IXIS Asset Management Services Company ("IXIS
Services"), formerly CDC IXIS Asset Management Services, Inc., a wholly-owned
subsidiary of IXIS North America, performed certain accounting and
administrative services for the Funds and subcontracted with Investors Bank &
Trust Company ("IBT") to serve as subadministrator. Pursuant to an agreement
among the 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 (the
"CDC Nvest Funds Trusts"), Loomis Sayles Funds I and Loomis Sayles Funds II
(the "Loomis Sayles Funds Trusts") (collectively the "Trusts") and IXIS
Services, each Fund paid IXIS Services its pro rata portion of a group fee for
these services representing the higher amount based on the following
calculations:
(1)Percentage of Eligible Average Daily Net Assets
First Next Over
$5 billion $5 billion $10 billion
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Funds' pro rata portion, allocated based on the combined
assets of the Trusts, of the annual aggregate minimum fee of $5
million.
Effective January 1, 2005, IXIS Asset Management Advisors, L.P. ("IXIS
Advisors") assumed responsibility for providing accounting and administrative
services to the Funds pursuant to the same fee structure. IBT continues to
serve as subadministrator.
For the six months ended March 31, 2005, amounts paid to IXIS Services and IXIS
Advisors for accounting and administrative expense were as follows:
Accounting
And
Fund Administrative
---- --------------
Core Plus Bond Fund $ 94,223
High Income Fund 14,609
Limited Term Government
and Agency Fund 42,311
Massachusetts Tax Free
Income Fund 27,560
Municipal Income Fund 39,405
Strategic Income Fund 318,487
56
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
c. Transfer Agent Fees. IXIS Services 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. During the period October 1, 2004
through December 31, 2004, Classes A, B and C paid service fees 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 (see schedule below)
to the eligible average daily net assets. Eligible assets are
the average daily net assets of Class A, Class B and Class C
accounts in Load Bond Funds. Load Bond Funds consist of all
bond funds in the CDC Nvest Funds Trusts, High Income Fund,
Limited Term Government and Agency Fund, Municipal Income Fund,
Strategic Income Fund and Loomis Sayles Investment Grade Bond
Fund.
First Next Over
$1.2 billion $5 billion $6.2 billion
------------ ---------- ------------
0.142% 0.135% 0.130%
Each class of shares is subject to a monthly class minimum of
$1,500, allocated based on the combined assets of Class A,
Class B, and Class C
or
(2)An allocated portion, based on eligible assets, of an annual
aggregate minimum fee of $1,502,993.
Class Y paid service fees 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 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**.
Class Y shares are subject to a monthly class minimum of $1,250.
or
(2)An allocated portion, based on eligible assets of an annual
aggregate minimum fee of $650,000.
* No Load Retail Funds consist of Loomis Sayles Aggressive Growth Fund, Loomis
Sayles Bond Fund, Loomis Sayles Global Bond 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 offered within the
CDC Nvest Funds Trusts and Loomis Sayles Funds Trusts.
Effective January 1, 2005, each Load Fixed Income Fund, for its Class A, B and
C shares, pays fees to IXIS Services representing a pro rata portion of the
greater of:
(1)An aggregate annual minimum fee of approximately $1.7 million
for all Load Fixed Income Funds;
or
(2)An annual account based fee of $25.25 for each open account and
$2.00 for each closed account, aggregated for all Load Fixed
Income Funds.
Each Load Fixed Income Fund, for its Class Y shares, pays fees to IXIS Services
representing a pro rata portion of the greater of:
(1)An aggregate annual minimum fee of approximately $1 million for
all No Load Retail Funds and Load Funds Class Y;
or
(2)An annual account based fee of $25.44 for each open account in
an Equity Fund, $25.25 for each open account in a Fixed Income
Fund and $2.00 for each closed account, aggregated for all No
Load Retail Funds and Load Funds Class Y.
Each class of shares is subject to a monthly class minimum of $1,500.
In addition, pursuant to other servicing agreements, each class pays service
fees to other firms that provide similar services for their own shareholder
accounts.
57
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
IXIS Services and BFDS and other firms are also reimbursed by the Funds for
out-of-pocket expenses. For the six months ended March 31, 2005, amounts paid
to IXIS Services as compensation for its services as transfer agent were as
follows:
Transfer Agent
Fund Fee
---- --------------
Core Plus Bond Fund $151,494
High Income Fund 45,441
Limited Term Government
and Agency Fund 103,292
Massachusetts Tax Free Income Fund 50,909
Municipal Income Fund 64,243
Strategic Income Fund 437,076
IXIS Services waived a portion of its fees for Limited Term Government and
Agency Fund Class Y in the amount of $4,425.
d. Service and Distribution Fees. Pursuant to Rule 12b-1 under the 1940 Act,
the Trusts have adopted a Service Plan relating to each Fund's Class A shares
(the "Class A Plan") and Service and Distribution Plans relating to each Fund's
Class B and Class C shares (the "Class B and Class C Plans").
Under the Class A Plan, each Fund pays IXIS Asset Management Distributors, L.P.
("IXIS Distributors"), formerly CDC IXIS Asset Management Distributors, L.P.,
the Fund's distributor (a wholly-owned subsidiary of IXIS North America), a
monthly service fee at an annual rate not to exceed 0.25% of the average daily
net assets attributable to the Fund's Class A shares, as reimbursement for
expenses incurred by IXIS Distributors in providing personal services to
investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B and Class C Plans, each Fund pays IXIS Distributors a monthly
service fee at an annual rate not to exceed 0.25% of the average daily net
assets attributable to the Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in providing
personal services to investors in Class B and Class C shares and/or the
maintenance of shareholder accounts.
Also under the Class B and Class C Plans, each Fund pays IXIS Distributors a
monthly distribution fee at the annual rate of 0.75% of the average daily net
assets attributable to the Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in connection
with the marketing or sale of Class B and Class C shares.
For the six months ended March 31, 2005, the Funds paid the following service
and distribution fees:
Service Fee Distribution Fee
- - ----------------------------------------- --------------------------
Fund Class A Class B Class C Class B Class C
- ---- ------------- ------------- ------------- ------------ -------------
Core Plus Bond Fund $ 145,986 $ 182,759 $ 7,753 $ 548,276 $ 23,258
High Income Fund 31,755 21,689 3,686 65,066 11,057
Limited Term Government and
Agency Fund 135,203 12,249 8,148 36,746 24,445
Mass Tax Free Income Fund 98,571 5,268 -- 15,804 --
Municipal Income Fund 136,170 10,693 -- 32,080 --
Strategic Income Fund 574,008 168,550 454,858 505,650 1,364,573
Commissions (including CDSC) on Fund shares paid to IXIS Distributors by
investors in shares of the Funds during the six months ended March 31, 2005
were as follows:
Fund
----
Core Plus Bond Fund $ 88,181
High Income Fund 34,503
Limited Term Government and
Agency Fund 39,028
Massachusetts Tax Free
Income Fund 14,591
Municipal Income Fund 24,854
Strategic Income Fund 1,481,597
58
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
e. Trustees Fees and Expenses. The CDC Nvest Funds Trusts and the Loomis Sayles
Funds Trusts do not pay any compensation directly to their officers or Trustees
who are directors, officers or employees of Loomis Sayles, IXIS Advisors, IXIS
Distributors, IXIS North America, IXIS Services or their affiliates. Each
Trustee who is an independent Trustee of the CDC Nvest Funds Trusts and the
Loomis Sayles 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. The
co-chairmen of the Board each receive an additional annual retainer of $25,000.
These fees are allocated to the various series of the CDC Nvest Funds Trusts
and the Loomis Sayles Funds Trusts based on a formula that takes into account,
among other factors, the relative net assets of each Fund. Trustees are
reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the "Plan") is available to the Trustees on a
voluntary basis. 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 funds of the CDC Nvest Funds Trusts and the
Loomis Sayles Funds Trusts on the normal payment date. Deferred amounts remain
in the Funds until distributed in accordance with the Plan.
f. Redemption fees. Shareholders of Class A shares of Core Plus Bond Fund, High
Income Fund and Strategic Income Fund and shareholders of Class Y shares of
Core Plus Bond Fund and Strategic Income Fund will be charged a 2% redemption
fee if they redeem, including redeeming by exchange, Class A shares and Class Y
shares within 60 days of their acquisition (including acquisition by exchange).
The redemption fee is intended to offset the costs of 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 you acquired shares 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 beings with each purchase or
exchange. These fees are broken out on the Statements of Changes in Net Assets.
g. Publishing Services. IXIS Services performs certain desktop publishing
services for the Funds. Fees for these services are presented in the Statements
of Operations as part of shareholder reporting. For the six months ended March
31, 2005, amounts paid to IXIS Services as compensation for these services were
as follows:
Publishing Services
Fund Fees
---- -------------------
Core Plus Bond Fund $412
High Income Fund 64
Limited Term Government and Agency Fund 64
Massachusetts Tax Free Income Fund 151
Municipal Income Fund 70
Strategic Income Fund 70
5. Line of Credit. High Income Fund and Strategic Income Fund, along with
certain other portfolios, participate in a $50,000,000 committed line of credit
provided by IBT under a credit agreement (the "Agreement") dated April 30,
2002. Advances under the Agreement are taken primarily for temporary or
emergency purposes. Interest is charged to each participating Fund based on its
borrowing at a rate per annum equal to the Federal Funds rate plus 0.45%. In
addition, the Funds are charged a facility fee equal to 0.10% per annum on the
unused portion of the line of credit. The annual cost of maintaining the line
of credit and the facility fee is apportioned pro rata among the participating
Funds. There were no borrowings as of or during the six months ended March 31,
2005.
6. Security Lending. Each Fund has entered into an agreement with IBT, as an
agent of the Funds, to lend securities to certain designated borrowers. The
loans are collateralized at all times with cash or securities with a market
value at least equal to the market value of the securities on loan. The Funds
receive fees for lending their securities. The market value of securities on
loan to borrowers and the value of collateral held by the Funds with respect to
such loans at March 31, 2005, were as follows:
Market Value of Value of Collateral
Fund Securities on Loan Received
---- ------------------ -------------------
Core Plus Bond Fund $ 4,919,602 $ 5,040,121
High Income Fund 6,210,266 6,386,573
Limited Term Government and Agency Fund 43,001,407 43,758,180
Strategic Income Fund 201,196,066 206,547,464
7. Contingent Expense Obligations. Loomis Sayles has given binding undertakings
to certain Funds to defer its management fees and, if necessary, bear certain
expenses associated with these Funds to limit their operating expenses. These
undertakings are in effect until the dates under "Expiration of Waiver" below
and will be reevaluated on an annual basis. For the six months ended March 31,
2005, certain class level expenses have been reimbursed as follows: Core Plus
Bond Fund $124,578.
59
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
Loomis Sayles shall be permitted to recover expenses it has borne (whether
through reduction of its management fee of otherwise) in later periods to the
extent the Funds' expenses fall below the expense limits, provided, however,
that the Funds are not obligated to pay such deferred fees more than one year
after the end of the fiscal year in which the fee was deferred.
At March 31, 2005, the expense limits as a percentage of average daily net
assets and amount subject to possible reimbursement under the expense
limitation agreement were as follows:
Expense Limit as a Percentage of Average Expenses Subject
Daily Net Assets to Possible
- - --------------------------------------- Expiration Reimbursement
Fund Class A Class B Class C Class Y of Waiver Until September 30, 2005
- ---- ------- ------- ------- ------- ---------------- ------------------------
Core Plus Bond Fund* 1.15% 1.90% 1.90% 0.90% January 31, 2006 $74,236
Massachusetts Tax Free Income Fund* 1.40% 2.05% -- -- January 31, 2006 --
Strategic Income Fund 1.25% 2.00% 2.00% 1.00% January 31, 2006 5,434
Expenses Subject
to Possible
- - Reimbursement
Fund Until September 30, 2006
- ---- ------------------------
Core Plus Bond Fund* $124,578
Massachusetts Tax Free Income Fund* --
Strategic Income Fund --
*The expense limits above account for advisory administration fees payable to
IXIS Advisors. Loomis Sayles and IXIS Advisors have agreed to equally bear the
waiver.
8. Concentration of Credit. Massachusetts Tax Free Income Fund primarily
invests in debt obligations issued by the Commonwealth of Massachusetts and its
political subdivisions, agencies and public authorities to obtain funds for
various public purposes. The Fund is more susceptible to factors adversely
affecting issuers of Massachusetts municipal securities than is a comparable
municipal bond fund that is not so concentrated. Uncertain economic and fiscal
conditions may affect the ability of issuers of Massachusetts municipal
securities to meet their financial obligations. At March 31, 2005, the Fund had
the following concentrations by revenue source in excess of 10% as a percentage
of the Fund's net assets: Colleges and Universities 31.4%, Water and Sewer
10.4%, and Hospital 10.1%. The Fund had investments in securities of issuers
insured by American Municipal Bond assurance Corporation (AMBAC), Financial
Guaranty Insurance Company (FGIC), and Municipal Bond Investors Assurance
Corporation (MBIA) which aggregated to 14.2%, 7.3%, and 6.7% of its net assets,
respectively, at March 31, 2005.
At March 31, 2005, Municipal Income Fund had more than 10% of its net assets
invested in: New York 16.0%. Certain revenue or tax related events in a state
may impair the ability of issuers of municipal securities to pay principal and
interest on their obligations.
9. Acquisition of Assets. After the close of business on March 18, 2005, the
Limited Term Government and Agency Fund (the "Fund") acquired all of the assets
and liabilities of Loomis Sayles Government Securities Fund ("Government
Securities Fund"), pursuant to a plan of reorganization approved by the
shareholders of the Government Securities Fund on March 10, 2005. The
acquisition was accomplished by a tax-free exchange of 4,449,445.112 Class A
shares of the Fund for 4,190,454.806 shares of Government Securities Fund Class
A, 834,916.727 Class B shares of the Fund for 783,996.906 shares of Government
Securities Class B, and 356.134 Class Y shares of the Fund for 337.738 shares
of Government Securities Class Y. Government Securities Fund net assets at that
date of $58,846,725, including $237,787 of net unrealized appreciation, were
combined with those of the Fund. The aggregate net assets of the Fund
immediately before the acquisition were $116,337,680. The combined net assets
of the Fund immediately following the acquisition were $175,184,405.
10. Subsequent Event. Effective May 1, 2005, the names of the CDC Nvest Funds
Trusts changed as follows:
Current Name New Name
------------------------------- ----------------------------------
CDC Nvest Funds Trust I IXIS Advisor Funds Trust I
CDC Nvest Funds Trust II IXIS Advisor Funds Trust II
CDC Nvest Funds Trust III IXIS Advisor Funds Trust III
CDC Nvest Cash Management Trust IXIS Advisor Cash Management Trust
CDC Nvest Companies Trust I IXIS Advisor Funds Trust IV
60
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares. Each Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
----------------------------------- -----------------------------------
Core Plus Bond Fund Shares Amount Shares Amount
- ------------------- ---------------- ----------------- ---------------- -----------------
Class A
Shares sold 691,977 $ 8,084,527 1,605,711 $ 18,625,859
Shares issued in
connection with the
reinvestment of:
Dividends from net
investment income 227,830 2,655,362 399,777 4,638,774
---------------- ----------------- ---------------- -----------------
919,807 10,739,889 2,005,488 23,264,633
Shares repurchased (1,617,628) (18,898,417) (3,251,762) (37,683,812)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (697,821) $ (8,158,528) (1,246,274) $ (14,419,179)
---------------- ----------------- ---------------- -----------------
Class B
Shares sold 1,635,801 $ 19,111,500 3,593,650 $ 41,729,759
Shares issued in
connection with the
reinvestment of:
Dividends from net
investment income 87,698 1,023,243 162,394 1,885,405
---------------- ----------------- ---------------- -----------------
1,723,499 20,134,743 3,756,044 43,615,164
Shares repurchased (2,211,166) (25,818,301) (4,934,717) (57,311,673)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (487,667) $ (5,683,558) (1,178,673) $ (13,696,509)
---------------- ----------------- ---------------- -----------------
Class C
Shares sold 56,830 $ 665,296 94,805 $ 1,102,148
Shares issued in
connection with the
reinvestment of:
Dividends from net
investment income 7,617 88,910 13,177 153,074
---------------- ----------------- ---------------- -----------------
64,447 754,206 107,982 1,255,222
Shares repurchased (62,795) (734,512) (236,056) (2,722,618)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 1,652 $ 19,694 (128,074) $ (1,467,396)
---------------- ----------------- ---------------- -----------------
Class Y
Shares sold 117,229 $ 1,375,700 330,962 $ 3,859,687
Shares issued in
connection with the
reinvestment of:
Dividends from net
investment income 22,031 257,866 59,164 689,033
---------------- ----------------- ---------------- -----------------
139,260 1,633,566 390,126 4,548,720
Shares repurchased (160,159) (1,876,948) (989,193) (11,485,471)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (20,899) $ (243,382) (599,067) $ (6,936,751)
---------------- ----------------- ---------------- -----------------
Increase (decrease)
derived from capital
shares transactions (1,204,735) $ (14,065,774) (3,152,088) $ (36,519,835)
================ ================= ================ =================
61
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares (continued).
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
----------------------------------- -----------------------------------
High Income Fund Shares Amount Shares Amount
- ---------------- ---------------- ----------------- ---------------- -----------------
Class A
Shares sold 847,779 $ 4,222,009 1,288,493 $ 6,184,887
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 102,065 509,192 229,520 1,097,920
---------------- ----------------- ---------------- -----------------
949,844 4,731,201 1,518,013 7,282,807
Shares repurchased (1,183,263) (5,912,615) (1,529,706) (7,301,820)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (233,419) $ (1,181,414) (11,693) $ (19,013)
---------------- ----------------- ---------------- -----------------
Class B
Shares sold 77,184 $ 384,260 226,956 $ 1,090,578
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 43,954 219,549 117,713 563,684
---------------- ----------------- ---------------- -----------------
121,138 603,809 344,669 1,654,262
Shares repurchased (658,177) (3,299,176) (1,651,156) (7,900,417)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (537,039) $ (2,695,367) (1,306,487) $ (6,246,155)
---------------- ----------------- ---------------- -----------------
Class C
Shares sold 120,564 $ 599,408 84,117 $ 402,199
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 8,477 42,352 16,780 80,318
---------------- ----------------- ---------------- -----------------
129,041 641,760 100,897 482,517
Shares repurchased (85,517) (432,367) (174,710) (834,207)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 43,524 $ 209,393 (73,813) $ (351,690)
---------------- ----------------- ---------------- -----------------
Increase (decrease) derived from
capital shares transactions (726,934) $ (3,667,388) (1,391,993) $ (6,616,858)
================ ================= ================ =================
62
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares (continued).
Six Months Ended
March 31, 2005
(unaudited)
-----------------------------------
Limited Term Government and Agency Fund Shares Amount
- --------------------------------------- ---------------- -----------------
Class A
Shares sold 598,532 $ 6,737,910
Shares issued--merger 4,449,445 49,566,819
Shares issued in connection with the reinvestment of:
Dividends from net investment income 88,888 998,099
---------------- -----------------
5,136,865 57,302,828
Shares repurchased (1,068,135) (12,001,774)
---------------- -----------------
Net increase (decrease) 4,068,730 $ 45,301,054
---------------- -----------------
Class B
Shares sold 37,526 $ 419,794
Shares issued--merger 834,917 9,275,925
Shares issued in connection with the reinvestment of:
Dividends from net investment income 7,370 82,578
---------------- -----------------
879,813 9,778,297
Shares repurchased (205,886) (2,308,872)
---------------- -----------------
Net increase (decrease) 673,927 $ 7,469,425
---------------- -----------------
Class C
Shares sold 37,742 $ 423,460
Shares issued in connection with the reinvestment of:
Dividends from net investment income 3,776 42,385
---------------- -----------------
41,518 465,845
Shares repurchased (112,435) (1,263,790)
---------------- -----------------
Net increase (decrease) (70,917) $ (797,945)
---------------- -----------------
Class Y
Shares sold 4,887 $ 55,255
Shares issued--merger 356 3,981
Shares issued in connection with the reinvestment of:
Dividends from net investment income 2,452 27,739
---------------- -----------------
7,695 86,975
Shares repurchased (335,998) (3,803,216)
---------------- -----------------
Net increase (decrease) (328,303) $ (3,716,241)
---------------- -----------------
Increase (decrease) derived from capital shares transactions 4,343,437 $ 48,256,293
================ =================
Year Ended
September 30, 2004
-----------------------------------
Limited Term Government and Agency Fund Shares Amount
- --------------------------------------- ---------------- -----------------
Class A
Shares sold 1,157,697 $ 13,126,606
Shares issued--merger -- --
Shares issued in connection with the reinvestment of:
Dividends from net investment income 239,161 2,713,978
---------------- -----------------
1,396,858 15,840,584
Shares repurchased (2,142,804) (24,327,014)
---------------- -----------------
Net increase (decrease) (745,946) $ (8,486,430)
---------------- -----------------
Class B
Shares sold 134,092 $ 1,517,724
Shares issued--merger -- --
Shares issued in connection with the reinvestment of:
Dividends from net investment income 25,006 283,349
---------------- -----------------
159,098 1,801,073
Shares repurchased (537,206) (6,100,694)
---------------- -----------------
Net increase (decrease) (378,108) $ (4,299,621)
---------------- -----------------
Class C
Shares sold 106,715 $ 1,211,584
Shares issued in connection with the reinvestment of:
Dividends from net investment income 12,725 144,384
---------------- -----------------
119,440 1,355,968
Shares repurchased (260,938) (2,968,972)
---------------- -----------------
Net increase (decrease) (141,498) $ (1,613,004)
---------------- -----------------
Class Y
Shares sold 57,198 $ 653,419
Shares issued--merger -- --
Shares issued in connection with the reinvestment of:
Dividends from net investment income 18,709 213,178
---------------- -----------------
75,907 866,597
Shares repurchased (298,779) (3,409,632)
---------------- -----------------
Net increase (decrease) (222,872) $ (2,543,035)
---------------- -----------------
Increase (decrease) derived from capital shares transactions (1,488,424) $ (16,942,090)
================ =================
63
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares (continued).
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
----------------------------------- -----------------------------------
Massachusetts Tax Free Income Fund Shares Amount Shares Amount
- ---------------------------------- ---------------- ----------------- ---------------- -----------------
Class A
Shares sold 51,212 $ 853,267 92,298 $ 1,517,739
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 62,094 1,031,859 138,812 2,281,926
---------------- ----------------- ---------------- -----------------
113,306 1,885,126 231,110 3,799,665
Shares repurchased (312,166) (5,176,202) (583,207) (9,546,927)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (198,860) $ (3,291,076) (352,097) $ (5,747,262)
---------------- ----------------- ---------------- -----------------
Class B
Shares sold 1,673 $ 27,939 6,385 $ 104,899
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 2,305 38,226 5,985 98,181
---------------- ----------------- ---------------- -----------------
3,978 66,165 12,370 203,080
Shares repurchased (25,898) (429,291) (122,073) (2,004,356)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (21,920) $ (363,126) (109,703) $ (1,801,276)
---------------- ----------------- ---------------- -----------------
Increase (decrease) derived from
capital shares transactions (220,780) $ (3,654,202) (461,800) $ (7,548,538)
================ ================= ================ =================
64
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares (continued).
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
----------------------------------- -----------------------------------
Municipal Income Fund Shares Amount Shares Amount
- --------------------- ---------------- ----------------- ---------------- -----------------
Class A
Shares sold 186,375 $ 1,396,149 562,771 $ 4,169,045
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 178,427 1,334,519 431,284 3,197,822
---------------- ----------------- ---------------- -----------------
364,802 2,730,668 994,055 7,366,867
Shares repurchased (973,208) (7,285,715) (3,170,451) (23,420,778)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (608,406) $ (4,555,047) (2,176,396) $ (16,053,911)
---------------- ----------------- ---------------- -----------------
Class B
Shares sold 55,720 $ 417,891 128,884 $ 956,534
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 10,174 76,193 27,197 201,837
---------------- ----------------- ---------------- -----------------
65,894 494,084 156,081 1,158,371
Shares repurchased (185,034) (1,389,822) (409,784) (3,040,646)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) (119,140) $ (895,738) (253,703) $ (1,882,275)
---------------- ----------------- ---------------- -----------------
Increase (decrease) derived from
capital shares transactions (727,546) $ (5,450,785) (2,430,099) $ (17,936,186)
================ ================= ================ =================
65
NOTES TO FINANCIAL STATEMENTS (continued)
For the Six Months Ended March 31, 2005 (unaudited)
11. Capital Shares (continued).
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
----------------------------------- -----------------------------------
Strategic Income Fund Shares Amount Shares Amount
- --------------------- ---------------- ----------------- ---------------- -----------------
Class A
Shares sold 21,537,213 $ 303,193,019 18,605,688 $ 246,707,247
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 606,156 8,538,669 769,347 10,148,557
---------------- ----------------- ---------------- -----------------
22,143,369 311,731,688 19,375,035 256,855,804
Shares repurchased (3,782,596) (53,247,385) (5,231,023) (68,866,251)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 18,360,773 $ 258,484,303 14,144,012 $ 187,989,553
---------------- ----------------- ---------------- -----------------
Class B
Shares sold 1,617,407 $ 22,785,310 2,393,606 $ 31,720,078
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 140,266 1,981,848 330,396 4,369,393
---------------- ----------------- ---------------- -----------------
1,757,673 24,767,158 2,724,002 36,089,471
Shares repurchased (1,427,008) (20,113,600) (2,654,105) (34,998,138)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 330,665 $ 4,653,558 69,897 $ 1,091,333
---------------- ----------------- ---------------- -----------------
Class C
Shares sold 17,343,919 $ 244,858,053 14,515,841 $ 193,058,623
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 167,537 2,366,765 242,679 3,207,880
---------------- ----------------- ---------------- -----------------
17,511,456 247,224,818 14,758,520 196,266,503
Shares repurchased (1,266,926) (17,861,702) (1,236,758) (16,245,858)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 16,244,530 $ 229,363,116 13,521,762 $ 180,020,645
---------------- ----------------- ---------------- -----------------
Class Y
Shares sold 1,313,377 $ 18,470,619 850,431 $ 11,206,980
Shares issued in connection with the
reinvestment of:
Dividends from net investment income 12,444 175,307 14,335 188,666
---------------- ----------------- ---------------- -----------------
1,325,821 18,645,926 864,766 11,395,646
Shares repurchased (85,815) (1,206,361) (240,560) (3,177,333)
---------------- ----------------- ---------------- -----------------
Net increase (decrease) 1,240,006 $ 17,439,565 624,206 $ 8,218,313
---------------- ----------------- ---------------- -----------------
Increase (decrease) derived from
capital shares transactions 36,175,974 $ 509,940,542 28,359,877 $ 377,319,844
================ ================= ================ =================
66
IXIS | ADVISOR FUNDS
Equity Funds
Semiannual Report
March 31, 2005
[LOGO] | LOOMIS . SAYLES & COMPANY, L.P. Loomis Sayles Growth Fund
Loomis Sayles Research Fund
TABLE OF CONTENTS
Management Discussion and Performance................................. Page 2
Schedule of Investments............................................... Page 9
Financial Statements.................................................. Page 13
- --------------------------------------------------------------------------------
Loomis Sayles Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO PROFILE
Objective:
Long-term growth of capital
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in equity securities, including common stocks, convertible
securities, and warrants; focuses on stocks of large-capitalization companies,
but may invest in companies of any size
- --------------------------------------------------------------------------------
Fund Inception:
May 16, 1991
- --------------------------------------------------------------------------------
Managers:
Mark Baribeau
Pamela Czekanski
Richard Skaggs
Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A LGRRX
Class B LGRBX
Class C LGRCX
Class Y LSGRX
- --------------------------------------------------------------------------------
What You Should Know:
Growth stocks are generally more sensitive to market movements because their
stock prices are based on future expectations. This fund may invest in foreign
securities, which involves risks not associated with domestic securities, such
as currency fluctuations, differing political and economic conditions, and
different accounting standards.
Management Discussion
- --------------------------------------------------------------------------------
Good stock selection helped Loomis Sayles Growth Fund substantially outperform
its benchmark for the six months ended March 31, 2005. The fund's Class A shares
had a total return at net asset value of 8.23%, while the benchmark Russell 1000
Growth Index returned 4.71%. For the same period, the average return of funds in
Morningstar's Large Growth category was 5.42%.
TECHNOLOGY, CONSUMER STOCKS SUPPORTED PERFORMANCE
Information technology and consumer discretionary stocks were the fund's
strongest performers during the fiscal period. Apple Computer was a standout
within its industry and the largest individual contributor to the fund's strong
results. Apple's stock price rose dramatically as the company surpassed revenue
and earnings growth targets on the back of strong sales of its popular iPod and
iMac products. In the consumer discretionary area, two specialty retailers were
strong performers: Chico's FAS, a women's fashion retailer; and Coach, a
retailer of specialty products, including leather goods. Both posted strong
revenue and earnings growth rates.
LATE INVESTMENTS IN HOMEBUILDERS AND SOME TECHNOLOGY STOCKS DETRACTED
The producer durables sector held the fund back during the period. Specifically,
we made significant purchases of home building stocks at a time that hindsight
proved to be late in the cycle. The companies we selected had performed well
early in the period, but we acquired them when they were near their six-month
highs.
Among individual holdings, disappointments included one biotechnology company,
Biogen Idec, and two technology corporations - Electronic Arts and Symantec.
Biogen Idec was forced to withdraw a drug used in the treatment of multiple
sclerosis following reports of two patient deaths. The news caused the stock to
plummet and we sold the position. Electronic Arts, which specializes in
producing video games, reported disappointing earnings after we bought shares in
February and we reduced the position. Symantec, a leader in developing and
producing computer anti-virus and security software, fell as a result of
controversy over its announced acquisition of Veritas and the prospect of new
competition from Microsoft.
FUND ADDED HEALTHCARE, CONSUMER STAPLES, AND PRODUCER DURABLES
As market trends evolved during the period, we saw high-growth, more expensive
stocks begin to fall in the first quarter of 2005, after posting strong gains
during the previous quarter. We took profits in the fund's information
technology and consumer discretionary sectors and reallocated the proceeds into
more defensive sectors, such as healthcare, consumer staples, and producer
durables, including homebuilders.
EMPHASIS IS ON ENERGY STOCKS
Even though many high-growth stocks are off their recent highs, we believe the
stock market can deliver reasonably good performance for the remainder of 2005.
Nonetheless, we intend to remain alert to the possibility of a severe
contraction in economic activity, which could bring unpredictable results for
the overall equity market. As is our policy, we will continue to seek out
companies that are leaders in their respective industries and have strong
earnings and revenue growth prospects.
2
- --------------------------------------------------------------------------------
Loomis Sayles Growth Fund
- --------------------------------------------------------------------------------
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the results.
It is not possible to invest directly in an index. Investors would incur
transaction costs and other expenses if they purchased the securities necessary
to match the index.
Growth of a $10,000 Investment in Class A Shares/1/
[CHART]
Line chart
Loomis Sayles Growth Fund
Growth of $10,000 Investment in Class A Shares
March 31, 1995 through March 31, 2005
Investment @ N.A.V. 10,000 5/16/1991
Sales Charge % 3/31/2005
Sales Charge (575)
------
Investment @ M.S.C. 9,425
======
Class A Lipper Russell
@ Maximum Large Cap 1000 S & P
Month Net Asset Sales Growth Funds Growth 500
End Value (1) Charge (2) Index Index Index
- ---------- --------- ---------- ------------ ------- ------
3/31/1995 10,000 9,425 10,000 10,000 10000
4/30/1995 10,127 9,545 10,273 10,219 10,294
5/31/1995 10,449 9,848 10,612 10,574 10,706
6/30/1995 11,131 10,491 11,155 10,983 10,955
7/31/1995 11,656 10,985 11,761 11,439 11,318
8/31/1995 11,926 11,240 11,826 11,451 11,346
9/30/1995 12,225 11,522 12,266 11,979 11,825
10/31/1995 12,120 11,423 12,196 11,988 11,783
11/30/1995 12,398 11,685 12,580 12,453 12,300
12/31/1995 12,258 11,553 12,585 12,525 12,537
1/31/1996 12,249 11,545 12,955 12,944 12,964
2/29/1996 12,642 11,915 13,246 13,181 13,084
3/31/1996 12,659 11,931 13,252 13,197 13,210
4/30/1996 13,389 12,619 13,568 13,545 13,405
5/31/1996 13,735 12,945 13,968 14,018 13,750
6/30/1996 13,759 12,968 13,842 14,037 13,803
7/31/1996 12,514 11,795 13,101 13,215 13,193
8/31/1996 13,045 12,295 13,494 13,556 13,471
9/30/1996 13,936 13,134 14,434 14,543 14,230
10/31/1996 14,504 13,670 14,613 14,630 14,622
11/30/1996 15,115 14,246 15,558 15,729 15,727
12/31/1996 14,704 13,858 15,172 15,421 15,416
1/31/1997 15,995 15,075 16,134 16,503 16,379
2/28/1997 15,120 14,250 15,902 16,391 16,507
3/31/1997 14,223 13,405 15,087 15,504 15,829
4/30/1997 14,092 13,282 15,915 16,533 16,774
5/31/1997 15,482 14,592 16,995 17,726 17,795
6/30/1997 15,974 15,056 17,707 18,436 18,592
7/31/1997 17,592 16,581 19,399 20,066 20,072
8/31/1997 17,184 16,196 18,341 18,892 18,947
9/30/1997 18,712 17,636 19,354 19,822 19,985
10/31/1997 18,508 17,444 18,682 19,089 19,317
11/30/1997 17,953 16,920 19,098 19,900 20,212
12/31/1997 18,262 17,211 19,358 20,123 20,559
1/31/1998 17,507 16,501 19,701 20,724 20,786
2/28/1998 18,740 17,662 21,205 22,283 22,285
3/31/1998 19,392 18,277 22,192 23,172 23,427
4/30/1998 19,943 18,796 22,564 23,492 23,662
5/31/1998 19,175 18,072 22,059 22,826 23,256
6/30/1998 20,030 18,878 23,322 24,224 24,200
7/31/1998 18,942 17,853 23,311 24,063 23,942
8/31/1998 15,143 14,272 19,504 20,452 20,481
9/30/1998 16,811 15,845 20,923 22,023 21,793
10/31/1998 17,958 16,925 22,272 23,793 23,566
11/30/1998 18,075 17,035 23,801 25,603 24,994
12/31/1998 20,560 19,378 26,418 27,911 26,434
1/31/1999 21,195 19,976 28,134 29,550 27,540
2/28/1999 20,322 19,153 26,979 28,200 26,684
3/31/1999 22,129 20,856 28,512 29,686 27,751
4/30/1999 22,427 21,138 28,610 29,724 28,826
5/31/1999 21,813 20,559 27,662 28,810 28,145
6/30/1999 23,342 22,000 29,585 30,828 29,707
7/31/1999 22,310 21,027 28,656 29,848 28,780
8/31/1999 22,489 21,196 28,662 30,336 28,637
9/30/1999 21,953 20,691 28,371 29,699 27,852
10/31/1999 23,642 22,282 30,547 31,942 29,615
11/30/1999 25,254 23,802 32,057 33,665 30,217
12/31/1999 29,239 27,558 35,617 37,166 31,996
1/31/2000 28,096 26,480 34,187 35,424 30,389
2/29/2000 31,585 29,769 35,985 37,155 29,814
3/31/2000 32,425 30,561 38,511 39,815 32,730
4/30/2000 29,841 28,125 35,531 37,920 31,745
5/31/2000 27,860 26,258 33,485 36,011 31,094
6/30/2000 30,640 28,878 35,700 38,740 31,861
7/31/2000 30,361 28,615 34,977 37,125 31,363
8/31/2000 33,637 31,703 38,002 40,486 33,311
9/30/2000 31,891 30,058 35,104 36,657 31,552
10/31/2000 29,500 27,803 33,248 34,922 31,419
11/30/2000 24,476 23,068 28,787 29,774 28,942
12/31/2000 24,498 23,089 28,608 28,832 29,083
1/31/2001 23,812 22,443 29,440 30,824 30,115
2/28/2001 20,959 19,754 24,882 25,591 27,369
3/31/2001 19,134 18,034 22,297 22,806 25,635
4/30/2001 20,573 19,390 24,691 25,691 27,627
5/31/2001 19,887 18,744 24,503 25,313 27,813
6/30/2001 19,637 18,508 23,797 24,726 27,136
7/31/2001 18,769 17,690 22,944 24,108 26,869
8/31/2001 17,331 16,335 21,200 22,137 25,186
9/30/2001 15,661 14,760 19,069 19,927 23,153
10/31/2001 16,534 15,584 19,859 20,972 23,594
11/30/2001 17,979 16,946 21,679 22,987 25,404
12/31/2001 18,436 17,376 21,780 22,944 25,626
1/31/2002 18,397 17,340 21,287 22,538 25,253
2/28/2002 17,409 16,408 20,406 21,603 24,766
3/31/2002 18,170 17,126 21,227 22,350 25,697
4/30/2002 17,600 16,588 19,814 20,526 24,139
5/31/2002 17,485 16,480 19,453 20,030 23,961
6/30/2002 16,268 15,333 17,869 18,177 22,254
7/31/2002 14,900 14,043 16,524 17,177 20,520
8/31/2002 14,900 14,043 16,615 17,229 20,654
9/30/2002 13,874 13,076 15,005 15,442 18,410
10/31/2002 14,900 14,043 16,160 16,858 20,030
11/30/2002 15,280 14,402 16,829 17,774 21,209
12/31/2002 14,178 13,363 15,657 16,546 19,963
1/31/2003 14,065 13,256 15,296 16,145 19,440
2/28/2003 13,989 13,185 15,131 16,070 19,148
3/31/2003 14,293 13,471 15,415 16,370 19,334
4/30/2003 15,205 14,330 16,544 17,580 20,927
5/31/2003 16,079 15,154 17,354 18,457 22,029
6/30/2003 16,117 15,191 17,498 18,711 22,310
7/31/2003 16,802 15,836 18,005 19,177 22,704
8/31/2003 17,258 16,265 18,448 19,654 23,146
9/30/2003 16,764 15,800 18,056 19,444 22,901
10/31/2003 18,360 17,304 19,151 20,536 24,196
11/30/2003 18,512 17,448 19,333 20,751 24,409
12/31/2003 18,740 17,663 19,878 21,468 25,689
1/31/2004 19,158 18,056 20,259 21,907 26,161
2/29/2004 19,309 18,199 20,347 22,046 26,524
3/31/2004 19,234 18,128 20,120 21,637 26,124
4/30/2004 18,626 17,555 19,668 21,385 25,714
5/31/2004 19,196 18,093 20,025 21,784 26,067
6/30/2004 19,766 18,630 20,311 22,056 26,574
7/31/2004 18,399 17,341 19,110 20,809 25,694
8/31/2004 18,170 17,126 18,975 20,707 25,798
9/30/2004 18,930 17,841 19,420 20,904 26,078
10/31/2004 19,613 18,486 19,654 21,230 26,476
11/30/2004 20,869 19,669 20,531 21,960 27,547
12/31/2004 21,668 20,422 21,360 22,821 28,485
1/31/2005 20,792 19,597 20,625 22,060 27,790
2/28/2005 21,096 19,883 20,760 22,295 28,375
3/31/2005 20,478 19,305 20,381 21,888 27,873
Average Annual Total Returns -- March 31, 2005
- ----------------------------------------------------------------------------------------
6 MONTHS/5/ 1 YEAR/5/ 5 YEARS/5/ 10 YEARS/5/
----------- --------- ---------- -----------
CLASS A/1/
Net Asset Value/2/ 8.23% 6.52% -8.78% 7.43%
With Maximum Sales Charge/3/ 2.08 0.37 -9.86 6.80
CLASS B/1/
Net Asset Value/2/ 7.89 5.75 -9.45 6.68
With CDSC/4/ 2.89 0.75 -9.66 6.68
CLASS C/1/
Net Asset Value/2/ 7.89 5.75 -9.45 6.68
With CDSC/4/ 6.89 4.75 -9.45 6.68
CLASS Y/1/
Net Asset Value/2/ 8.35 6.90 -8.57 7.64
- ----------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS
-------- ------ ------- --------
Russell 1000 Growth Index 4.71% 1.16% -11.28% 8.15%
Lipper Large-Cap Growth Funds Index 4.95 1.30 -11.95 7.38
Lipper Large-Cap Growth Funds Avg. 4.70 1.18 -10.17 7.37
Morningstar Large Growth Fund Avg. 5.42 1.59 -9.71 7.85
- ---------------------------------------------------------------------------------------
All returns represent past performance and do not guarantee future results.
Periods less than one year are not annualized. Share price and return will vary
and you may have a gain or loss when you sell your shares. All results include
reinvestment of dividends and capital gains. Current returns may be higher or
lower than those shown. For performance current to the most recent month-end,
visit www.ixisadvisorfunds.com.
Class Y shares, the successor to the fund's Institutional Class, are available
to certain institutional investors only. The table and graph do not reflect
taxes shareholders might owe on any fund distributions or when they redeem their
shares.
PORTFOLIO FACTS
% of Net Assets as of
- --------------------------------------------------------------------------------
FUND COMPOSITION 3/31/05 9/30/04
- --------------------------------------------------------------------------------
Common Stocks 95.8 98.4
- --------------------------------------------------------------------------------
Short Term Investments and Other 4.2 1.6
- --------------------------------------------------------------------------------
% of Net Assets as of
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS 3/31/05 9/30/04
- --------------------------------------------------------------------------------
Johnson & Johnson 3.8 2.3
- --------------------------------------------------------------------------------
General Electric Co. 3.5 1.6
- --------------------------------------------------------------------------------
Apple Computer, Inc. 3.4 2.5
- --------------------------------------------------------------------------------
Google, Inc. 2.9 0.7
- --------------------------------------------------------------------------------
UnitedHealth Group, Inc. 2.9 2.4
- --------------------------------------------------------------------------------
Legg Mason, Inc. 2.8 1.2
- --------------------------------------------------------------------------------
Well Point, Inc. 2.7 0.0
- --------------------------------------------------------------------------------
Coach, Inc. 2.7 1.8
- --------------------------------------------------------------------------------
Lehman Bothers Holdings, Inc. 2.5 1.5
- --------------------------------------------------------------------------------
Proctor & Gamble Co. 2.5 2.5
- --------------------------------------------------------------------------------
% of Net Assets as of
- --------------------------------------------------------------------------------
FIVE LARGEST INDUSTRIES 3/31/05 9/30/04
- --------------------------------------------------------------------------------
Healthcare Providers & Services 9.8 4.3
- --------------------------------------------------------------------------------
Healthcare Equipment & Supplies 8.4 8.6
- --------------------------------------------------------------------------------
Capital Markets 8.3 2.7
- --------------------------------------------------------------------------------
Software 6.1 9.1
- --------------------------------------------------------------------------------
Textiles Apparel & Luxury Goods 4.7 1.8
- --------------------------------------------------------------------------------
Portfolio holdings and asset allocations will vary.
See page 6 for a description of the indexes.
NOTES TO CHARTS
/1/ Returns shown in the chart include performance of the fund's Retail Class
shares, which were converted to Class A shares on 9/12/03. The prior Retail
Class performance has been restated to reflect expenses of Class A shares.
For periods before the inception of Retail Class shares (12/31/96),
performance shown for Class A has been based on the performance of the
fund's Institutional Class shares, adjusted to reflect the higher expenses
paid by Class A shares. The restatement of the fund's performance to
reflect Class A expenses is based on the net expenses of the Class after
taking into effect the fund's current expense cap arrangements. For periods
prior to the inception of Class B and Class C shares (9/12/03), performance
is based on prior Institutional Class performance, restated to reflect the
loads and expenses of Class B and Class C shares, respectively. Class Y
performance has been restated to reflect the net expenses of the
Institutional Class after taking into effect the fund's current expense cap
arrangements. The growth of $10,000 chart reflects the performance of Class
A shares rather than Class Y shares, because Class A shares include the
highest sales charge. Prior to 9/12/03, the fund was offered without a
sales charge.
/2/ Does not include a sales charge.
/3/ Includes maximum sales charge of 5.75%.
/4/ Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C shares performance assumes a 1.00% CDSC applied when you sell
shares within one year of purchase. Effective 2/1/04, Class C shares no
longer impose a 1% front-end sales charge.
/5/ Fund performance has been increased by expense waivers, without which
performance would have been lower.
3
- --------------------------------------------------------------------------------
Loomis Sayles Research Fund
- --------------------------------------------------------------------------------
PORTFOLIO PROFILE
Objective:
Long-term growth of capital
- --------------------------------------------------------------------------------
Strategy:
Invests primarily in equity securities, including common stocks, convertible
securities, and warrants; focuses on stocks of large-capitalization companies,
but may invest in companies of any size
- --------------------------------------------------------------------------------
Fund Inception:
July 31, 2000
- --------------------------------------------------------------------------------
Managers:
Team Management, led by Lauriann Kloppenburg Loomis, Sayles & Company, L.P.
- --------------------------------------------------------------------------------
Symbols:
Class A LSRRX
Class B LSCBX
Class C LSCCX
Class Y LISRX
- --------------------------------------------------------------------------------
What You Should Know:
Growth stocks are generally more sensitive to market movements than value
stocks. Foreign securities involve risks not associated with domestic
securities, such as currency fluctuations, differing political and economic
conditions, and different accounting standards. Small-cap stocks are generally
more volatile than the market.
Management Discussion
- --------------------------------------------------------------------------------
By focusing on companies able to grow their earnings faster than the overall
market, Loomis Sayles Research Fund was able to deliver positive results for the
six months ended March 31, 2005. The fund's Class A shares had a total return of
10.71%, based on net asset value, while the Standard & Poor's 500 Index returned
6.88%. The average return in the Morningstar Large Blend Category for the six
months was 7.14%.
CONSUMER DISCRETIONARY, INFORMATION TECHNOLOGY HOLDINGS LED PERFORMANCE
Stock selections in the consumer discretionary sector, notably travel and
leisure companies and retailers, made this the strongest sector. The best
performers within travel and leisure were two cruise lines - Carnival Corp. and
Royal Caribbean Cruises - and Starwood Hotels & Resorts, a leader in the
hospitality industry. We sold Carnival and Royal Caribbean at a profit. In
retailing, several turnaround companies helped substantially, including
Nordstrom, J.C. Penney, and Federated Department Stores.
Our information technology selections benefited from brisk demand in an
expanding economy. Apple Computer was the fund's largest single contributor, as
its earnings surged with sales of the popular iPod. Other individual standouts
included ExxonMobil, whose stock price jumped in the strong rally in the energy
sector, and Aetna, a leading HMO, whose earnings growth reflected a combination
of membership increases and an aggressive cost-cutting program.
Our decision to downplay the media and durable goods sectors also helped results
because both of these industries performed poorly. Although our utilities
holdings had positive results, the relatively small size of the fund's position
in these stocks made this group one of the least significant contributors.
TELECOMMUNICATIONS SELECTIONS AND TWO HEALTHCARE STOCKS DECLINED
The fund's telecommunications selections did poorly during the six-month period;
BellSouth and Century Tel both declined in value. Two individual healthcare
holdings were also disappointing: Biogen Idec, a biotechnology company, and
Kinetic Concepts, a medical devices firm. Biogen Idec's stock plummeted after it
was forced to withdraw a multiple sclerosis treatment from the market and we
eliminated the position. After we purchased Kinetic Concepts in December, the
stock fell on disappointing earnings reports and reduced earnings expectations
for 2005. However, our long-term outlook for the company remains favorable so
the stock is still in the portfolio.
STRATEGY BASED ON FUNDAMENTAL RESEARCH, STOCK SELECTION
We continued to keep our overall sector weightings close to those of the
benchmark S&P 500, deviating in any one area by no more than 10%. Rather than
attempt to make sector decisions based on macroeconomic analysis, we rely
primarily on fundamental research and bottom-up stock selection. During the
period, we paid increasing attention to changes in the fundamentals of
individual companies and we became more willing to react quickly to any such
shifts.
MUTED RETURNS ANTICIPATED FOR 2005
We believe overall stock index averages may rise only modestly in 2005, as
investors sort through the positive effects of continued healthy earnings gains
and the negative impacts of rising interest rates. At some point, however, when
economic growth has cooled a bit, the Federal Reserve will stop raising
short-term interest rates and then investors may focus on the sustainability of
earnings growth and a more benign interest-rate outlook. As a result, we expect
stock market returns may be better in 2006 than in 2005. For the remainder of
this year, we expect that less cyclical industries may produce better
performance than those areas that are linked most closely to the economic cycle.
However, we do not have strong convictions about prospects for these sectors and
we plan to continue to view the markets opportunistically.
4
- --------------------------------------------------------------------------------
Loomis Sayles Research Fund
- --------------------------------------------------------------------------------
Investment Results through March 31, 2005
- --------------------------------------------------------------------------------
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the results.
It is not possible to invest directly in an index. Investors would incur
transaction costs and other expenses if they purchased the securities necessary
to match the index.
Growth of a $10,000 Investment in Class A Shares/1/
[CHART]
Line chart
Loomis Sayles Research Fund
Growth of $10,000 Investment in Class A Shares
July 31, 2000 (inception) through March 31, 2005
Investment @ N.A.V. 10,000 7/31/2000
Sales Charge % 3/31/2005
Sales Charge (575)
------
Investment @ M.S.C. 9,425
======
Class A Lipper
@ Maximum Large Cap S&P
Month Net Asset Sales Core Funds 500
End Value /(1)/ Charge /(2)/ Index Index
- ---------- ----------- ------------ ---------- ------
7/31/2000 10,000 9,425 10,000 10,000
8/31/2000 10,937 10,308 10,690 10,621
9/30/2000 10,538 9,932 10,121 10,060
10/31/2000 10,109 9,528 10,003 10,018
11/30/2000 8,698 8,198 9,124 9,228
12/31/2000 9,039 8,519 9,235 9,273
1/31/2001 9,149 8,623 9,497 9,602
2/28/2001 8,147 7,679 8,613 8,727
3/31/2001 7,646 7,206 8,084 8,174
4/30/2001 8,298 7,820 8,699 8,809
5/31/2001 8,368 7,887 8,748 8,868
6/30/2001 8,227 7,754 8,515 8,652
7/31/2001 7,997 7,537 8,392 8,567
8/31/2001 7,526 7,093 7,898 8,031
9/30/2001 6,865 6,470 7,298 7,382
10/31/2001 7,105 6,696 7,470 7,523
11/30/2001 7,626 7,187 7,960 8,100
12/31/2001 7,793 7,345 8,050 8,171
1/31/2002 7,713 7,270 7,923 8,052
2/28/2002 7,623 7,185 7,790 7,896
3/31/2002 7,903 7,449 8,055 8,193
4/30/2002 7,582 7,146 7,634 7,697
5/31/2002 7,492 7,061 7,578 7,640
6/30/2002 7,001 6,598 7,055 7,096
7/31/2002 6,429 6,059 6,531 6,543
8/31/2002 6,389 6,022 6,585 6,586
9/30/2002 5,707 5,378 5,945 5,870
10/31/2002 6,148 5,794 6,407 6,387
11/30/2002 6,399 6,031 6,693 6,762
12/31/2002 6,079 5,729 6,341 6,365
1/31/2003 5,938 5,597 6,174 6,198
2/28/2003 5,848 5,512 6,092 6,105
3/31/2003 5,928 5,587 6,144 6,165
4/30/2003 6,360 5,994 6,596 6,672
5/31/2003 6,712 6,326 6,916 7,024
6/30/2003 6,803 6,411 6,984 7,114
7/31/2003 6,954 6,554 7,094 7,239
8/31/2003 7,054 6,649 7,232 7,380
9/30/2003 6,934 6,535 7,138 7,302
10/31/2003 7,376 6,952 7,487 7,715
11/30/2003 7,467 7,037 7,550 7,783
12/31/2003 7,760 7,313 7,913 8,191
1/31/2004 7,860 7,408 8,025 8,341
2/29/2004 8,022 7,560 8,120 8,457
3/31/2004 7,951 7,494 7,993 8,330
4/30/2004 7,729 7,285 7,869 8,199
5/31/2004 7,840 7,389 7,949 8,311
6/30/2004 8,031 7,569 8,091 8,473
7/31/2004 7,658 7,218 7,804 8,193
8/31/2004 7,648 7,209 7,809 8,226
9/30/2004 7,850 7,399 7,899 8,315
10/31/2004 7,921 7,465 8,006 8,442
11/30/2004 8,354 7,874 8,309 8,783
12/31/2004 8,671 8,172 8,569 9,082
1/31/2005 8,560 8,068 8,376 8,861
2/28/2005 8,752 8,248 8,532 9,047
3/31/2005 8,689 8,189 8,376 8,887
Average Annual Total Returns -- March 31, 2005
- --------------------------------------------------------------------------------
SINCE FUND
6 MONTHS/6/ 1 YEAR/6/ INCEPTION/6/
----------- --------- ------------
CLASS A/1/
Net Asset Value/2/ 10.71% 9.31% -2.97
With Maximum Sales Charge/3/ 4.28 3.04 -4.19
CLASS B/1/
Net Asset Value/2/ 10.52 8.69 -3.79
With CDSC/4/ 5.52 3.69 -4.20
CLASS C/1/
Net Asset Value/2/ 10.39 8.42 -3.85
With CDSC/4/ 9.39 7.42 -3.85
Class Y/1/
Net Asset Value/2/ 11.03 9.91 -2.67
- --------------------------------------------------------------------------------
SINCE FUND
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR INCEPTION/5/
- ----------------------- -------- ------ ------------
S&P 500 Index 6.88% 6.69% -2.50
Lipper Large-Cap Core Funds Index 6.04 4.79 -3.73
Lipper Large-Cap Core Funds Avg. 6.22 4.04 -4.03
Morningstar Large Blend Fund Avg. 7.14 5.79 -2.12
- --------------------------------------------------------------------------------
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com.
Class Y shares, the successor to the fund's Institutional Class, are available
to certain institutional investors only. The table and graph do not reflect
taxes shareholders might owe on any fund distributions or when they redeem their
shares.
PORTFOLIO FACTS
% of Net Assets as of
---------------------
FUND COMPOSITION 3/31/05 9/30/04
- --------------------------------------------------------------------------------
Common Stocks 99.3 99.6
- --------------------------------------------------------------------------------
Other Assets 0.7 0.4
- --------------------------------------------------------------------------------
% of Net Assets as of
---------------------
TEN LARGEST HOLDINGS 3/31/05 9/30/04
- --------------------------------------------------------------------------------
General Electric Co. 4.7 4.1
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 4.2 3.5
- --------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 2.9 1.9
- --------------------------------------------------------------------------------
Procter & Gamble Co. 2.6 3.1
- --------------------------------------------------------------------------------
Goldman Sachs Group, Inc. 2.3 1.9
- --------------------------------------------------------------------------------
Apple Computer, Inc. 2.2 1.4
- --------------------------------------------------------------------------------
J.C. Penney Co., Inc. (Holding Co.) 2.2 1.0
- --------------------------------------------------------------------------------
Prudential Financial, Inc. 2.2 0.0
- --------------------------------------------------------------------------------
Tyco International Ltd. 2.1 1.9
- --------------------------------------------------------------------------------
SLM Corp 2.1 0.0
- --------------------------------------------------------------------------------
% of Net Assets as of
---------------------
FIVE LARGEST INDUSTRIES 3/31/05 9/30/04
- --------------------------------------------------------------------------------
Capital Markets 10.2 4.4
- --------------------------------------------------------------------------------
Industrial Conglomerates 6.8 7.1
- --------------------------------------------------------------------------------
Healthcare Providers & Services 5.9 5.1
- --------------------------------------------------------------------------------
Multiline Retail 5.7 1.8
- --------------------------------------------------------------------------------
Oil & Gas 6.2 5.6
- --------------------------------------------------------------------------------
Portfolio holdings and asset allocations will vary.
See page 6 for a description of the indexes.
Notes to Charts
/1/ Returns shown in the chart include the performance of the fund's Retail
Class shares, which were converted to Class A shares on 9/12/03. The prior
Retail Class performance has been restated to reflect expenses of Class A
shares. For periods before the inception of Retail Class shares (11/30/01),
performance shown for Class A has been based on the performance of the
fund's Institutional Class shares, adjusted to reflect the higher expenses
paid by Class A shares. The restatement of the fund's performance to
reflect Class A expenses is based on the net expenses of the Class after
taking into effect the fund's current expense cap arrangements. For periods
prior to the inception of Class B and C shares (9/12/03), performance is
based on prior Institutional Class performance, restated to reflect the
loads and expenses of Class B and C shares, respectively. Class Y
performance has been restated to reflect the net expenses of the
Institutional Class after taking into effect the fund's current expense cap
arrangements. The growth of $10,000 chart reflects the performance of Class
A shares rather than Class Y shares because Class A shares include the
highest sales charge. Prior to 9/12/03, the fund was offered without a
sales charge.
/2/ Does not include a sales charge.
/3/ Includes maximum sales charge of 5.75%.
/4/ Performance for Class B shares assumes a maximum 5% contingent deferred
sales charge ("CDSC") applied when you sell shares, which declines annually
between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%.
Class C shares performance assumes a 1.00% CDSC applied when you sell
shares within one year of purchase.
/5/ The since-inception performance comparisons shown are calculated from
7/31/00.
/6/ Fund performance has been increased by expense waivers, without which
performance would have been lower.
5
- --------------------------------------------------------------------------------
Additional Information
- --------------------------------------------------------------------------------
The views expressed in this report reflect those of the portfolio managers as of
the dates indicated. The managers' views are subject to change at any time
without notice based on changes in market or other conditions. References to
specific securities or industries should not be regarded as investment advice.
Because these funds are actively managed, there is no assurance that they will
continue to invest in the securities or industries mentioned.
For more complete information on any IXIS Advisor Fund, contact your financial
professional or call IXIS Advisor Funds and ask for a free prospectus, which
contains more complete information including charges and other ongoing expenses.
Investors should consider a fund's objective, risks and expenses carefully
before investing. This and other fund information can be found in the
prospectus. Please read the prospectus carefully before investing.
INDEX/AVERAGE DESCRIPTIONS:
Standard & Poor's 500 ("S&P 500") Stock Index is an unmanaged index of U.S.
common stock performance.
Russell 1000 Growth Index is an unmanaged index measuring the performance of the
largest 1000 U.S. growth companies within the Russell 3000 Index.
Lipper Fund Indexes are equally weighted indexes typically consisting of the 30
largest mutual funds within each fund's category, as calculated by Lipper, Inc.
Lipper Fund Averages are the average performance without sales charges of the
mutual funds in a stated category, as calculated by Lipper, Inc.
Morningstar Fund Averages are the average performance without sales charges of
funds with similar investment objectives, as calculated by Morningstar, Inc.
PROXY VOTING INFORMATION
A description of the funds' proxy voting policies and procedures is available
without charge, upon request, by calling IXIS Advisor Funds at 800-225-5478; on
the funds' website at www.ixisadvisorfunds.com; and 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
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 are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
- --------------------------------------------------------------------------------
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
- --------------------------------------------------------------------------------
6
- --------------------------------------------------------------------------------
Understanding Your Funds' Expenses
- --------------------------------------------------------------------------------
As a mutual fund shareholder, you incur different types of costs: transaction
costs, including sales charges (loads) on purchases and contingent deferred
sales charges on redemptions; redemption fees; certain exchange fees; and
minimum account fee charges; and ongoing costs, including management fees,
distribution and/or service fees (12b-1 fees), and other fund expenses. In
addition, each fund assesses a minimum balance fee of $20 on an annual basis for
accounts that fall below the required minimum to establish account (certain
exceptions may apply). These costs are described in more detail in the funds'
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 shows the actual account values and
actual fund expenses you would have paid on a $1,000 investment in the fund from
October 1, 2004 through March 31, 2005. 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 row as shown below for your class.
The second line in the table for each Class provides information about
hypothetical account values and hypothetical expenses based on the fund's actual
expense ratios and an assumed rate of return of 5% per year before expenses,
which is not the fund's actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid on your investment for the period. You may use this
information to compare the ongoing costs of investing in the fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs. Therefore, the second line in the table of each
fund is useful in comparing ongoing costs only, and will not help you determine
the relative costs of owning different funds. If transaction costs were
included, total costs would be higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES GROWTH FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ---------------------------------------- ----------------------- -------------------- ----------------------------
CLASS A
Actual $1,000.00 $1,082.30 $5.71
Hypothetical (5% return before expenses) $1,000.00 $1,019.45 $5.54
CLASS B
Actual $1,000.00 $1,078.90 $9.59
Hypothetical (5% return before expenses) $1,000.00 $1,015.71 $9.30
CLASS C
Actual $1,000.00 $1,078.90 $9.59
Hypothetical (5% return before expenses) $1,000.00 $1,015.71 $9.30
CLASS Y
Actual $1,000.00 $1,083.50 $4.42
Hypothetical (5% return before expenses) $1,000.00 $1,020.69 $4.28
* Expenses are equal to the Fund's annualized expense ratio: 1.10%, 1.85%,
1.85% and 0.85% for Class A, B, C and Y, respectively, multiplied by the
average account value over the period, multiplied by 182/365 (to reflect
the half-year period).
7
- --------------------------------------------------------------------------------
Understanding Your Funds' Expenses
- --------------------------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
LOOMIS SAYLES RESEARCH FUND 10/1/04 3/31/05 10/1/04 - 3/31/05
- ---------------------------------------- ----------------------- -------------------- ----------------------------
CLASS A
Actual $1,000.00 $1,107.10 $ 6.57
Hypothetical (5% return before expenses) $1,000.00 $1,018.70 $ 6.29
CLASS B
Actual $1,000.00 $1,105.20 $10.50
Hypothetical (5% return before expenses) $1,000.00 $1,014.96 $10.05
CLASS C
Actual $1,000.00 $1,103.90 $10.49
Hypothetical (5% return before expenses) $1,000.00 $1,014.96 $10.05
CLASS Y
Actual $1,000.00 $1,110.30 $ 4.47
Hypothetical (5% return before expenses) $1,000.00 $1,020.69 $ 4.28
* Expenses are equal to the Fund's annualized expense ratio: 1.25%, 2.00%,
2.00% and 0.85% for Class A, B, C and Y, respectively, multiplied by the
average account value over the period, multiplied by 182/365 (to reflect
the half-year period).
8
- --------------------------------------------------------------------------------
Loomis Sayles Growth Fund -- Schedule of Investments
- --------------------------------------------------------------------------------
Investments as of March 31, 2005 (unaudited)
Shares Description Value (a)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 95.8% OF TOTAL NET ASSETS
Capital Markets -- 8.3%
21,089 Goldman Sachs Group, Inc. $ 2,319,579
54,819 Legg Mason, Inc. 4,283,557
41,026 Lehman Brothers Holdings, Inc. 3,863,008
38,998 T. Rowe Price Group, Inc. 2,315,701
------------
12,781,845
------------
Communications Equipment -- 3.2%
75,275 Juniper Networks, Inc. (c) 1,660,567
89,550 QUALCOMM, Inc. 3,282,007
------------
4,942,574
------------
Computers & Peripherals -- 3.4%
125,237 Apple Computer, Inc. (c) 5,218,626
------------
Diversified Financial Services -- 2.6%
7,948 Chicago Mercantile Exchange 1,542,151
31,056 Moody's Corp. 2,511,188
------------
4,053,339
------------
Financial Services -- 1.3%
112,325 Providian Financial Corp. (c) 1,927,497
------------
Food & Staples Retailing -- 3.6%
73,200 Walgreen Co. 3,251,544
22,909 Whole Foods Market, Inc. 2,339,696
------------
5,591,240
------------
Healthcare Equipment & Supplies -- 8.4%
24,050 C.R. Bard, Inc. 1,637,324
87,341 Johnson & Johnson 5,865,822
23,125 Kinetic Concepts, Inc. (c) 1,379,406
36,550 Stryker Corp. 1,630,496
29,314 Zimmer Holdings, Inc. (c) 2,280,922
------------
12,793,970
------------
Healthcare Providers & Services -- 9.8%
45,925 Aetna, Inc. 3,442,079
77,525 Caremark Rx, Inc. (c) 3,083,944
46,771 UnitedHealth Group, Inc. 4,461,018
32,551 WellPoint, Inc. (c) 4,080,268
------------
15,067,309
------------
Home Construction -- 4.3%
47,891 D.R. Horton, Inc. 1,400,333
34,200 Pulte Homes, Inc. 2,518,146
33,200 Toll Brothers, Inc. (c) 2,617,820
------------
6,536,299
------------
Hotels, Restaurants & Leisure -- 3.3%
36,000 MGM Mirage (c) 2,549,520
40,850 Starwood Hotels & Resorts Worldwide, Inc. 2,452,225
------------
5,001,745
------------
Household Products -- 2.5%
72,750 Procter & Gamble Co. 3,855,750
------------
Industrial Conglomerates -- 3.5%
150,336 General Electric Co. 5,421,116
------------
Insurance -- 1.6%
44,175 Prudential Financial, Inc. 2,535,645
------------
Internet & Catalog Retail -- 1.8%
75,868 eBay, Inc. (c) 2,826,842
------------
Internet Software & Services -- 4.2%
24,980 Google, Inc., Class A (c) 4,509,140
69,147 VeriSign, Inc. (c) 1,984,519
------------
6,493,659
------------
IT Services -- 1.6%
52,550 Cognizant Technology Solutions Corp. (c) $ 2,427,810
------------
Machinery -- 2.2%
62,598 Danaher Corp. 3,343,359
------------
Media -- 2.2%
26,350 Getty Images, Inc. (c) 1,873,748
42,725 Viacom, Inc., Class B 1,488,112
------------
3,361,860
------------
Oil & Gas -- 3.8%
38,250 Apache Corp. 2,342,047
107,395 XTO Energy, Inc. 3,526,852
------------
5,868,899
------------
Oil & Gas Exploration -- 3.7%
37,325 Burlington Resources, Inc. 1,868,863
77,490 EOG Resources, Inc. 3,776,862
------------
5,645,725
------------
Semiconductors & Semiconductor Equipment-- 4.3%
154,500 Intel Corp. 3,589,035
120,300 Texas Instruments, Inc. 3,066,447
------------
6,655,482
------------
Software -- 6.1%
26,596 Adobe Systems, Inc. 1,786,453
23,200 Electronic Arts, Inc. (c) 1,201,296
283,058 Oracle Corp. (c) 3,532,564
130,644 Symantec Corp. (c) 2,786,637
------------
9,306,950
------------
Specialty Retail -- 1.6%
86,473 Chico's FAS, Inc. (c) 2,443,727
------------
Textiles Apparel & Luxury Goods -- 4.7%
71,978 Coach, Inc. (c) 4,076,114
36,850 NIKE, Inc., Class B 3,069,974
------------
7,146,088
------------
Trading Companies & Distributors -- 1.2%
32,109 Fastenal Co. 1,775,949
------------
Transportation Services -- 1.3%
36,228 Expeditors International of Washington, Inc. 1,940,009
------------
Utilities - Electric -- 1.3%
126,150 AES Corp. (The) (c) 2,066,337
------------
Total Common Stocks
(Identified Cost $ 139,980,701) 147,029,651
------------
Principal Amount
- ----------------
Short Term Investment -- 4.1% of Total Net Assets
$6,198,000 Repurchase Agreement with State Street Corp., 6,198,000
------------
dated 3/31/05 at 1.250% to be repurchased at
$6,198,215 on 4/1/05 collateralized by $5,495,000
U.S. Treasury Bond, 6.000% due 2/15/2026 with a
value of $6,322,404
Total Short-Term Investment
(Identified Cost $6,198,000) 6,198,000
------------
Total Investments -- 99.9%
(Identified Cost $146,178,701) (b) 153,227,651
Other assets less liabilities -- 0.1% 193,661
------------
Total Net Assets -- 100% $153,421,312
============
See accompanying notes to financial statements. 9
- --------------------------------------------------------------------------------
Loomis Sayles Growth Fund -- Schedule of Investments (Cont.)
- --------------------------------------------------------------------------------
Investments as of March 31, 2005 (unaudited)
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation
on investments based on cost of $146,178,701 for
federal income tax purposes as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $11,779,254
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (4,730,304)
-----------
Net unrealized appreciation $ 7,048,950
===========
At September 30, 2004, the Fund had a capital loss
carryover of approximately $58,514,515 of which
$3,696,755 expires on September 30, 2008,
$26,085,507 expires on September 30, 2009,
$24,360,259 expires on September 30, 2010 and
$4,371,994 expires on September 30, 2011.
The Fund acquired capital loss carryovers of
$44,043,168 in its November 14, 2003 merger with
the CDC Nvest Large Cap Growth Fund, and
$18,973,040 in its December 17, 2004 merger with
the CDC Nvest Star Growth Fund (see Note 9 of Notes
to the Financial Statements). Utilization of these
losses is subject to limitations. These amounts
maybe 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.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Healthcare Providers & Services 9.8%
Healthcare Equipment & Supplies 8.4
Capital Markets 8.3
Software 6.1
Textiles Apparel & Luxury Goods 4.7
Semiconductors & Semiconductor Equipment 4.3
Home Construction 4.3
Internet Software & Services 4.2
Oil & Gas 3.8
Oil & Gas Exploration 3.7
Food & Staples Retailing 3.6
Industrial Conglomerates 3.5
Computers & Peripherals 3.4
Hotels, Restaurants & Leisure 3.3
Communications Equipment 3.2
Diversified Financial Services 2.6
Household Products 2.5
Media 2.2
Machinery 2.2
Other, less than 2% each 11.7
10 See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
Loomis Sayles Research Fund -- Schedule of Investments
- --------------------------------------------------------------------------------
Investments as of March 31, 2005 (unaudited)
Shares Description Value (a)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 99.3% OF TOTAL NET ASSETS
Aerospace & Defense -- 3.1%
6,275 Rockwell Collins, Inc. $ 298,627
4,800 United Technologies Corp. 487,968
----------
786,595
----------
Auto & Related -- 0.8%
3,600 Rockwell Automation, Inc. 203,904
----------
Beverages -- 1.4%
6,850 PepsiCo, Inc. 363,256
----------
Biotechnology -- 1.6%
3,800 Genentech, Inc. (c) 215,118
5,475 Gilead Sciences, Inc. (c) 196,005
----------
411,123
----------
Capital Markets -- 10.2%
7,450 Franklin Resources, Inc. 511,442
5,300 Goldman Sachs Group, Inc. 582,947
7,875 Investors Financial Services Corp. 385,166
4,825 Legg Mason, Inc. 377,026
7,700 Lehman Brothers Holdings, Inc. 725,032
----------
2,581,613
----------
Chemicals -- 1.7%
8,025 Lyondell Chemical Co. 224,058
4,300 Praxair, Inc. 205,798
----------
429,856
----------
Communications Equipment -- 3.0%
4,825 F5 Networks, Inc. (c) 243,614
9,125 QUALCOMM, Inc. 334,431
2,450 Research In Motion Ltd. (c) 187,229
----------
765,274
----------
Computers & Peripherals -- 4.2%
13,275 Apple Computer, Inc. (c) 553,169
13,400 Dell, Inc. (c) 514,828
----------
1,067,997
----------
Consumer Finance -- 1.9%
6,400 Capital One Financial Corp. 478,528
----------
Diversified Financial Services -- 4.3%
1,675 Chicago Mercantile Exchange 325,000
2,875 Moody's Corp. 232,473
10,500 SLM Corp. 523,320
----------
1,080,793
----------
Diversified Telecommunication Services -- 3.2%
12,100 BellSouth Corp. 318,109
7,625 CenturyTel, Inc. 250,405
10,000 SBC Communications, Inc. 236,900
----------
805,414
----------
Electric Utilities -- 2.2%
10,850 Exelon Corp. 497,906
1,775 PG&E Corp. (c) 60,528
----------
558,434
----------
Energy Equipment & Services -- 2.3%
7,825 Halliburton Co. 338,431
3,850 Nabors Industries Ltd. (c) 227,689
----------
566,120
----------
Financial Services -- 1.2%
18,075 Providian Financial Corp. (c) 310,167
----------
Food & Staples Retailing -- 3.4%
5,300 CVS Corp. $ 278,886
6,650 Walgreen Co. 295,393
2,600 Whole Foods Market, Inc. 265,538
----------
839,817
----------
Healthcare Equipment & Supplies -- 3.7%
5,700 Kinetic Concepts, Inc. (c) 340,005
8,575 St. Jude Medical, Inc. (c) 308,700
3,575 Zimmer Holdings, Inc. (c) 278,171
----------
926,876
----------
Healthcare Providers & Services -- 5.9%
5,100 Aetna, Inc. 382,245
7,800 Caremark Rx, Inc. (c) 310,284
5,025 UnitedHealth Group, Inc. 479,284
2,525 WellPoint, Inc. (c) 316,509
----------
1,488,322
----------
Hotels, Restaurants & Leisure -- 1.7%
6,950 Starwood Hotels & Resorts Worldwide, Inc. 417,209
----------
Household Products -- 2.6%
12,400 Procter & Gamble Co. 657,200
----------
Industrial Conglomerates -- 6.8%
32,600 General Electric Co. 1,175,556
15,700 Tyco International Ltd. 530,660
----------
1,706,216
----------
Insurance -- 2.2%
9,475 Prudential Financial, Inc. 543,865
----------
Internet Software & Services -- 2.4%
9,775 VeriSign, Inc. (c) 280,543
9,500 Yahoo! Inc. (c) 322,050
----------
602,593
----------
IT Services -- 1.1%
11,725 Accenture Ltd., Class A (c) 283,159
----------
Media -- 0.7%
4,900 Viacom, Inc., Class B 170,667
----------
Mining -- 1.5%
8,275 CONSOL Energy, Inc. 389,091
----------
Multiline Retail -- 5.7%
7,775 Federated Department Stores, Inc. 494,801
10,600 J.C. Penney Co., Inc. (Holding Co.) 550,352
6,825 Nordstrom, Inc. 377,968
----------
1,423,121
----------
Oil & Gas -- 6.2%
3,775 Apache Corp. 231,143
2,475 ConocoPhillips 266,904
17,700 ExxonMobil Corp. 1,054,920
----------
1,552,967
----------
Personal Products -- 3.0%
6,450 Avon Products, Inc. 276,963
9,475 Gillette Co. (The) 478,298
----------
755,261
----------
Pharmaceuticals -- 1.3%
7,100 Abbott Laboratories 331,002
----------
Road & Rail -- 1.2%
5,500 Burlington Northern Santa Fe Corp. 296,615
----------
Semiconductors & Semiconductor Equipment -- 1.5%
16,575 Intel Corp. 385,037
----------
See accompanying notes to financial statements. 11
- --------------------------------------------------------------------------------
Loomis Sayles Research Fund -- Schedule of Investments (cont.)
- --------------------------------------------------------------------------------
Investments as of March 31, 2005 (unaudited)
Shares Description Value (a)
- --------------------------------------------------------------------------------
Software -- 2.8%
5,675 Mercury Interactive Corp. (c) $ 268,881
34,700 Oracle Corp. (c) 433,056
-----------
701,937
-----------
Specialty Retail -- 2.5%
13,125 Chico's FAS, Inc. (c) 370,913
7,900 Staples, Inc. 248,297
-----------
619,210
-----------
Textiles Apparel & Luxury Goods -- 1.4%
6,400 Coach, Inc. (c) 362,432
-----------
Utilities -- 0.6%
4,650 Edison International 161,448
-----------
Total Common Stocks
(Identified Cost $21,584,235) 25,023,119
-----------
Total Investments -- 99.3%
(Identified Cost $21,584,235) (b) 25,023,119
Other assets less liabilities -- 0.7% 177,443
-----------
Total Net Assets -- 100% $25,200,562
===========
(a) See Note 2a of Notes to Financial Statements.
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on
investments based on cost of $21,584,235 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 $ 3,644,445
Aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over
value (205,561)
-----------
Net unrealized appreciation $ 3,438,884
===========
At September 30, 2004, the Fund had a capital loss
carryover of approximately $1,537,528 which expires on
September 30, 2011. This may be available to offset
future realized 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 $87,376 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.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Capital Markets 10.2%
Industrial Conglomerates 6.8
Oil & Gas 6.2
Healthcare Providers & Services 5.9
Multiline Retail 5.7
Diversified Financial Services 4.3
Computers & Peripherals 4.2
Healthcare Equipment & Supplies 3.7
Food & Staples Retailing 3.4
Diversified Telecommunication Services 3.2
Aerospace & Defense 3.1
Communications Equipment 3.0
Personal Products 3.0
Software 2.8
Household Products 2.6
Specialty Retail 2.5
Internet Software & Services 2.4
Energy Equipment & Services 2.3
Electric Utilities 2.2
Insurance 2.2
Other, less than 2% each 19.6
12 See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
Statements of Assets & Liabilities
- --------------------------------------------------------------------------------
March 31, 2005 (unaudited)
Growth Fund Research Fund
------------ -------------
ASSETS
Investments at cost $146,178,701 $21,584,235
Net unrealized appreciation 7,048,950 3,438,884
------------ -----------
Investments at value 153,227,651 25,023,119
Cash 793 143,477
Receivable for Fund shares sold 593,990 9,798
Receivable for securities sold 3,393,176 230,309
Dividends and interest receivable 73,468 31,056
Tax reclaims receivable 434 --
Receivable from investment adviser 123,757 4,116
Securities lending income receivable 4 --
Other assets 260 --
------------ -----------
TOTAL ASSETS 157,413,533 25,441,875
------------ -----------
LIABILITIES
Payable for Fund shares redeemed 87,328 --
Payable for securities purchased 3,590,303 160,252
Management fees payable 128,876 10,586
Deferred Trustees' fees 30,113 8,878
Trustees' fees payable 1,333 950
Accounting and administrative fees payable 16,125 3,036
Service and distribution fees payable 1,810 6
Transfer agent fees payable 114,620 37,722
Other accounts payable and accrued expenses 21,713 19,883
------------ -----------
TOTAL LIABILITES 3,992,221 241,313
------------ -----------
NET ASSETS $153,421,312 $25,200,562
============ ===========
NET ASSSETS CONSIST OF:
Paid in capital $201,852,313 $22,130,588
Undistributed (overdistributed) net investment income (loss) (158,021) 41,679
Accumulated net realized gain (loss) on investments (55,321,930) (410,589)
Net unrealized appreciation (depreciation) on investments 7,048,950 3,438,884
------------ -----------
NET ASSETS $153,421,312 $25,200,562
============ ===========
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
Class A shares:
Net assets $ 41,419,198 $ 181,796
============ ===========
Shares of beneficial interest 7,685,308 21,082
============ ===========
Net asset value and redemption price per share $ 5.39 $ 8.62
============ ===========
Offering price per share (100/94.25 of $5.39, $ 8.62) $ 5.72 $ 9.15
============ ===========
Class B shares: (redemption price is equal to net asset value
less any applicable contingent deferred sales charges)
Net assets $ 37,583,815 $ 155,641
============ ===========
Shares of beneficial interest 7,053,672 18,227
============ ===========
Net asset value and offering price per share $ 5.33 $ 8.54
============ ===========
Class C shares: (redemption price is equal to net asset value
less any applicable contingent deferred sales charges)
Net assets $ 17,714,743 $ 45,777
============ ===========
Shares of beneficial interest 3,323,994 5,364
============ ===========
Net asset value and offering price per share $ 5.33 $ 8.53
============ ===========
Class Y shares:
Net assets $ 56,703,556 $24,817,348
============ ===========
Shares of beneficial interest 10,153,014 2,870,686
============ ===========
Net asset value, offering and redemption price per share $ 5.58 $ 8.65
============ ===========
See accompanying notes to financial statements. 13
- --------------------------------------------------------------------------------
Statements of Operations
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
Growth Fund Research Fund
----------- -------------
INVESTMENT INCOME
Dividends $ 577,459 $ 152,045
Interest 13,754 533
---------- ----------
591,213 152,578
---------- ----------
Expenses
Management fees 297,567 59,662
Service fees - Class A 37,473 179
Service and distribution fees - Class B 138,625 476
Service and distribution fees - Class C 60,929 109
Trustees' fees and expenses 8,765 6,647
Accounting and administrative 38,752 7,770
Custodian 28,343 24,464
Transfer agent fees and expenses - Class A, Class B, Class C 192,888 36,002
Transfer agent fees and expenses - Class Y 39,599 17,026
Audit and tax services 11,572 12,303
Registration 38,124 18,362
Shareholder reporting 33,261 8,035
Legal 2,623 720
Miscellaneous 5,348 2,615
---------- ----------
Total expenses 933,869 194,370
Less reimbursement/waiver (190,979) (91,982)
---------- ----------
Net expenses 742,890 102,388
---------- ----------
Net investment income (loss) (151,677) 50,190
---------- ----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Realized gain on investments - net 3,481,810 1,228,281
Change in unrealized appreciation on investments - net 1,655,306 1,171,403
---------- ----------
Net realized and unrealized gain on investments 5,137,116 2,399,684
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $4,985,439 $2,449,874
========== ==========
14 See accompanying notes to financial statements.
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
Growth Fund
--------------------------------
Six Months Ended Year Ended
March 31, 2005 September 30,
(unaudited) 2004
---------------- -------------
FROM OPERATIONS:
Net investment income (loss) $ (151,677) $ (378,883)
Net realized gain (loss) on investments 3,481,810 3,743,920
Net change in unrealized appreciation (depreciation) on
investments
1,655,306 1,584,019
------------ -----------
Increase (decrease) in net assets resulting from operations 4,985,439 4,949,056
------------ -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class A -- --
Class B -- --
Class C -- --
Class Y -- --
------------ -----------
Total distributions -- --
------------ -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARES TRANSACTIONS 74,840,691 38,796,156
------------ -----------
Total increase (decrease) in net assets 79,826,130 43,745,212
NET ASSETS
Beginning of period 73,595,182 29,849,970
------------ -----------
End of period $153,421,312 $73,595,182
============ ===========
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (158,021) $ (6,344)
============ ===========
Research Fund
--------------------------------
Six Months Ended Year Ended
March 31, 2005 September 30,
(unaudited) 2004
---------------- -------------
FROM OPERATIONS:
Net investment income (loss) $ 50,190 $ 99,405
Net realized gain (loss) on investments 1,228,281 1,970,659
Net change in unrealized appreciation (depreciation) on
investments
1,171,403 793,800
----------- -----------
Increase (decrease) in net assets resulting from operations 2,449,874 2,863,864
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class A (59) (179)
Class B (32) (21)
Class C (13) --
Class Y (91,262) (92,653)
----------- -----------
Total distributions (91,366) (92,853)
----------- -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARES TRANSACTIONS 954,727 (2,810,514)
----------- -----------
Total increase (decrease) in net assets 3,313,235 (39,503)
NET ASSETS
Beginning of period 21,887,327 21,926,830
----------- -----------
End of period $25,200,562 $21,887,327
=========== ===========
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 41,679 $ 82,855
=========== ===========
See accompanying notes to financial statements. 15
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
Income (loss) from investment operations: Less distributions:
------------------------------------------- ----------------------------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized Total
of the period income (loss) investments operations income capital gains distributions
------------------------------------------------------------------------------------------------------------
Growth Fund
Class A
3/31/2005(h) $ 4.98 $(0.01)(d) $ 0.42 $ 0.41 $-- $ -- $ --
9/30/2004 4.41 (0.03)(d) 0.60 0.57 -- -- --
9/30/2003 3.65 (0.02)(d) 0.78 0.76 -- -- --
9/30/2002 4.12 (0.03)(d) (0.44) (0.47) -- -- --
9/30/2001 14.80 (0.04)(d) (7.31) (7.35) -- (3.33) (3.33)
9/30/2000 11.06 (0.07) 4.83 4.76 -- (1.02) (1.02)
Class B
3/31/2005(h) 4.94 (0.03)(d) 0.42 0.39 -- -- --
9/30/2004 4.41 (0.07)(d) 0.60 0.53 -- -- --
9/30/2003* 4.54 0.00(d)(e) (0.13) (0.13) -- -- --
Class C
3/31/2005(h) 4.94 (0.02)(d) 0.41 0.39 -- -- --
9/30/2004 4.41 (0.06)(d) 0.59 0.53 -- -- --
9/30/2003* 4.54 0.00(d)(e) (0.13) (0.13) -- -- --
Class Y
3/31/2005(h) 5.15 0.01(d) 0.42 0.43 -- -- --
9/30/2004 4.55 (0.02)(d) 0.62 0.60 -- -- --
9/30/2003 3.75 (0.01)(d) 0.81 0.80 -- -- --
9/30/2002 4.23 (0.02)(d) (0.46) (0.48) -- -- --
9/30/2001 15.00 (0.02)(d) (7.42) (7.44) -- (3.33) (3.33)
9/30/2000 11.17 (0.05) 4.90 4.85 -- (1.02) (1.02)
* From commencement of Class operations on September 12, 2003 through
September 30, 2003.
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods of less than
one year are not annualized.
(b) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(c) Annualized for periods less than one year.
(d) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(e) Amount rounds to less than $0.01 per share.
(f) A sales charge for Class A shares and a contingent deferred sales charge
for Class B and Class C shares are not reflected in total return
calculations.
(g) A sales charge for Class A and Class C shares and a contingent deferred
sales charge for Class B and Class C shares are not reflected in total
return calculations.
(h) For the six months ended March 31, 2005 (unaudited).
16 See accompanying notes to financial statements.
Ratios to average net assets:
--------------------------------------
Net asset Total Net assets, end Net Gross Net investment Portfolio
value, end return of the period expenses expenses income (loss) turnover
of the period (%) (a) (000) (%) (b)(c) (%) (c) (%) (c) rate (%)
- -----------------------------------------------------------------------------------------------
$ 5.39 8.2(f) $41,419 1.10 1.59 (0.22) 93
4.98 12.9(f) 14,072 1.10 1.70 (0.58) 171
4.41 20.8(g) 947 1.10 3.11 (0.45) 201
3.65 (11.4) 456 1.10 5.20 (0.65) 192
4.12 (50.9) 518 1.10 4.11 (0.42) 281
14.80 45.3 1,028 1.10 3.29 (0.61) 203
5.33 7.9(f) 37,584 1.85 2.32 (0.99) 93
4.94 12.0(f) 12,532 1.85 2.45 (1.33) 171
4.41 (2.9)(g) 2 1.85 7.92 (1.29) 201
5.33 7.9(f) 17,715 1.85 2.32 (0.86) 93
4.94 12.0(f) 6,826 1.85 2.45 (1.30) 171
4.41 (2.9)(g) 2 1.85 7.92 (1.29) 201
5.58 8.4 56,704 0.85 0.95 0.29 93
5.15 13.2 40,165 0.85 1.04 (0.32) 171
4.55 21.3 28,898 0.85 1.18 (0.20) 201
3.75 (11.4) 19,635 0.85 1.32 (0.39) 192
4.23 (50.8) 21,653 0.85 1.24 (0.17) 281
15.00 45.6 45,328 0.85 1.01 (0.36) 203
See accompanying notes to financial statements. 17
- --------------------------------------------------------------------------------
Financial Highlights (cont.)
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
Income (loss) from investment operations: Less distributions:
------------------------------------------- ----------------------------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized Total
of the period income (loss) investments operations income capital gains distributions
------------- ------------- -------------- ---------- -------------- ------------- -------------
Research Fund
Class A
3/31/2005(h) $ 7.79 $ 0.00(d)(e) $ 0.83 $ 0.83 $ (0.00)(e) $ -- $ --
9/30/2004 6.90 0.01(d) 0.90 0.91 (0.02) -- (0.02)
9/30/2003 5.69 0.02(d) 1.20 1.22 (0.01) -- (0.01)
9/30/2002** 7.61 0.01(d) (1.92) (1.91) (0.01) -- (0.01)
Class B
3/31/2005(h) 7.73 (0.03)(d) 0.84 0.81 (0.00)(e) -- --
9/30/2004 6.90 (0.05)(d) 0.90 0.85 (0.02) -- (0.02)
9/30/2003*** 7.05 0.00(d)(e) (0.15) (0.15) -- -- --
Class C
3/31/2005(h) 7.73 (0.03)(d) 0.83 0.80 (0.00)(e) -- --
9/30/2004 6.90 (0.05)(d) 0.88 0.83 -- -- --
9/30/2003*** 7.05 0.00(d)(e) (0.15) (0.15) -- -- --
Class Y
3/31/2005(h) 7.82 0.02(d) 0.84 0.86 (0.03) -- (0.03)
9/30/2004 6.92 0.03(d) 0.90 0.93 (0.03) -- (0.03)
9/30/2003 5.71 0.04(d) 1.20 1.24 (0.03) -- (0.03)
9/30/2002 6.85 0.03(d) (1.16) (1.13) (0.01) -- (0.01)
9/30/2001 10.54 0.01(d) (3.65) (3.64) -- (0.05) (0.05)
9/30/2000* 10.00 0.00(e) 0.54 0.54 -- -- --
* From commencement of Class operations on July 31, 2000 through September
30, 2000.
** From commencement of Class operations on November 30, 2001 through
September 30, 2002.
*** From commencement of Class operations on September 12, 2003 through
September 30, 2003.
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods of less than
one year are not annualized.
(b) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(c) Annualized for periods less than one year.
(d) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(e) Amount rounds to less than $0.01 per share.
(f) A sales charge for Class A shares and a contingent deferred sales charge
for Class B and Class C shares are not reflected in total return
calculations.
(g) A sales charge for Class A and Class C shares and a contingent deferred
sales charge for Class B and Class C shares are not reflected in total
return calculations.
(h) For the six months ended March 31, 2005 (unaudited).
18 See accompanying notes to financial statements.
Ratios to average net assets:
-------------------------------------
Net asset Total Net assets, end Net Gross Net investment Portfolio
value, end return of the period expenses expenses income (loss) turnover
of the period (%)(a) (000) (%)(b)(c) (%)(c) (%)(c) rate (%)
- ------------- --------- --------------- --------- -------- -------------- ---------
$ 8.62 10.7(f) $ 182 1.25 24.10 0.06 61
7.79 13.2(f) 106 1.21 39.85 0.07 151
6.90 21.5(g) 41 1.10 28.75 0.35 138
5.69 (25.2) 17 1.10 213.89 0.22 130
8.54 10.5(f) 156 2.00 35.90 (0.67) 61
7.73 12.3(f) 57 2.00 40.60 (0.71) 151
6.90 (2.1)(g) 2 2.00 125.11 (0.72) 138
8.53 10.4(f) 46 2.00 35.85 (0.64) 61
7.73 12.0(f) 3 2.00 40.60 (0.59) 151
6.90 (2.1)(g) 2 2.00 125.11 (0.72) 138
8.65 11.0 24,817 0.85 1.32 0.43 61
7.82 13.5 21,721 0.85 1.50 0.44 151
6.92 21.8 21,881 0.85 1.31 0.59 138
5.71 (16.6) 15,889 0.89 1.46 0.36 130
6.85 (34.7) 4,245 1.15 4.26 0.09 171
10.54 5.4 3,510 1.15 8.02 (0.14) 20
See accompanying notes to financial statements. 19
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
1. Organization. Loomis Sayles Funds II (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 investment
management 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"). Information presented in these financial
statements pertains to certain equity funds of the Trust; 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 Growth Fund (the "Growth Fund")
Loomis Sayles Research Fund (the "Research Fund")
Each Fund offers Class A, Class B, Class C and Class Y shares. Class A shares
are sold with a maximum front end sales charge of 5.75%. Class B shares do not
pay a front end sales charge, but pay higher Rule 12b-1 fees than Class A shares
for eight years (at which point they automatically convert to Class A shares),
and are subject to a contingent deferred sales charge ("CDSC") if those shares
are redeemed within six years of purchase. Class C shares do not pay a front end
sales charge, do not convert to any other class of shares and pay higher Rule
12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those
shares are redeemed within one year. Class Y shares do not pay a front end sales
charge, a CDSC or distribution fees. They are intended for institutional
investors with a minimum initial investment of $1,000,000, though some
categories of investors are excepted from the minimum investment amounts.
Most expenses of the Trust can be directly attributed to a Fund. Expenses which
can not be directly attributed to a Fund 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) and votes as
a Class only with respect to its own Rule 12b-1 Plan. Shares of each Class would
receive their pro rata share of the net assets of a Fund, if the Fund were
liquidated. The Trustees approve separate dividends from net investment income
on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant
accounting policies consistently followed by each Fund in the preparation of its
financial statements. The Funds' financial statements are prepared in accordance
with accounting principles generally accepted in the United States of America
which require the use of management estimates that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.
a. Security Valuation. Equity securities for which market quotations are readily
available are valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Such pricing services generally use the security's last sale
price on the exchange or market where primarily traded or, if there is no
reported sale during the day, the closing bid price. Securities traded on the
NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"),
or if lacking a NOCP, at the most recent bid quotation on the NASDAQ National
Market. Debt securities for which market quotations are readily available are
generally valued at market value, as reported by pricing services recommended by
the investment adviser's pricing committee and approved by the Board of
Trustees. Such pricing services generally use the most recent bid prices in the
principal market in which such securities are normally traded. Broker-dealer bid
quotations may also be used to value debt and equity securities where a pricing
service does not price a security or where a pricing service does not provide a
reliable price for the security. Short-term obligations with a remaining
maturity of 60 days or less are valued at amortized cost, which approximates
market value. Securities for which market quotations are not readily available
(including restricted securities, if any) are valued at fair value as determined
in good faith by the Fund's investment adviser using consistently applied
procedures under the general supervision of the Board of Trustees.
The Funds may hold securities traded in foreign markets. Foreign securities are
valued at the market price in the foreign market. However, if events occurring
after the close of the foreign market (but before the close of regular trading
on the New York Stock Exchange) are believed to materially affect the value of
those securities, such securities are fair valued pursuant to procedures
approved by the Board of Trustees. When fair valuing 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.
b. Security Transactions and Related Investment Income. Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon as the Fund is
notified. Interest income is recorded on an accrual basis. 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.
20
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
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.
The 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 may purchase investments of foreign issuers. Investing in securities
of foreign issuers involves special risks and considerations not typically
associated with investing in U.S. companies and securities of the U.S.
government. These risks include revaluation of currencies and the risk of
appropriation. Moreover, the markets for securities of many foreign issuers may
be less liquid and the prices of such securities may be more volatile than those
of comparable U.S. companies and the U.S. government.
d. Forward Foreign Currency Contracts. Each Fund may enter into forward foreign
currency exchange contracts. Contracts to buy generally are used to acquire
exposure to foreign currencies, while contracts to sell generally are used to
hedge a Fund's investments against currency fluctuation. Also, a contract to buy
or sell can offset a previous contract. These contracts involve market risk in
excess of the unrealized gain or loss reflected in the Fund's Statement of
Assets and Liabilities. The U.S. dollar value of the currencies the Fund has
committed to buy or sell (if any) is shown in the portfolio composition under
the caption "Forward Currency Contracts Outstanding." These amounts represent
the aggregate exposure to each currency the Fund has acquired or hedged through
currency contracts outstanding at period end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. Risks may arise upon entering into these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign currency relative to
the U.S. dollar. At March 31, 2005, there were no open forward currency
contracts.
e. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate
entity for federal income tax purposes. Each Fund intends to meet the
requirements of the Internal Revenue Code applicable to regulated investment
companies, and to distribute to its shareholders substantially all of its net
investment income and any net realized capital gains, at least annually.
Accordingly, no provision for federal income 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. Permanent differences are primarily due to
differing treatments for book and tax purposes of items such as net operating
losses, foreign currency transactions and gains realized from passive foreign
investment companies. Temporary differences between book and tax distributable
earnings are primarily due to deferred trustees' fees, wash sales and unrealized
gains on passive foreign investment companies. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to capital accounts. Distributions from net investment income
and short-term capital gains are considered to be ordinary income for tax
purposes.
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. Securities Lending. The Funds have entered into an agreement with State
Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to
lend securities to certain designated borrowers. The loans are collateralized at
all times with cash or securities with a market value at least equal to the
market value of the securities on loan. The Funds receive fees for lending their
securities. There were no securities on loan from either the Growth Fund or
Research Fund at March 31, 2005.
3. Purchases and Sales of Securities. For the six months ended March 31, 2005,
purchases and sales of securities (excluding short-term investments) were as
follows:
Fund Purchases Sales
- ---- ------------ ------------
Growth Fund $178,431,800 $108,937,111
Research Fund 15,198,621 14,385,003
21
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
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. Under the terms of the management
agreements, each Fund pays a management fee at the following annual rates,
calculated daily and payable monthly, based on each Fund's average daily net
assets:
Fund Percentage of Average Daily Net Assets
- ---- --------------------------------------
Growth Fund 0.50%
Research Fund 0.50%
For the six months ended March 31, 2005, the management fees and waivers of
management fees for each Fund were as follows:
Percentage of Average
Gross Waiver of Net Daily Net Assets*
Management Management Management ---------------------
Fund Fee Fee Fee Gross Net
- ---- ---------- ---------- ---------- ----- ----
Growth Fund $297,567 $ 0 $297,567 0.50% 0.50%
Research Fund 59,662 39,146 20,516 0.50% 0.17%
*Annualized
For the six months ended March 31, 2005, in addition to the waiver of management
fees, expenses have been reimbursed as follows:
Fund Amount
- ---- --------
Growth Fund $190,979
Research Fund 52,836
Certain officers and employees of Loomis Sayles are also officers or Trustees of
the Trust. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management North America, L.P. ("IXIS North America"), formerly CDC IXIS Asset
Management North America, L.P., which is part of IXIS Asset Management Group, an
international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly, 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; the Caisse Nationale des Caisses d'Epargne, a
financial institution owned by CDC and by French regional savings banks known as
the Caisse d'Epargne; and CNP Assurances, a large French life insurance company.
b. Accounting and Administrative Expense. During the period October 1, 2004
through December 31, 2004, IXIS Asset Management Services Company ("IXIS
Services"), formerly CDC IXIS Asset Management Services, Inc., a wholly owned
subsidiary of IXIS North America, performed certain accounting and
administrative services for the Funds and subcontracted with State Street Bank
to serve as sub-administrator. Pursuant to an agreement among the Loomis Sayles
Funds Trusts (the Trust and Loomis Sayles Funds I), 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 IXIS
Services, each Fund paid IXIS Services 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.
Effective January 1, 2005, IXIS Asset Management Advisors, L.P ("IXIS Advisors")
assumed responsibility for providing accounting and administrative services to
the Funds pursuant to the same fee structure. State Street Bank continues to
serve as sub-administrator.
For the six months ended March 31, 2005, fees paid to IXIS Services and IXIS
Advisors for accounting and administrative expenses were as follows:
Fund Accounting and Administrative
- ---- -----------------------------
Growth Fund $38,752
Research Fund 7,770
22
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
c. Transfer Agent Fees. IXIS Services serves as transfer and shareholder
servicing agent for the Funds and has subcontracted with Boston Financial Data
Services ("BFDS") to serve as sub-transfer agent.
During the period October 1, 2004 through December 31, 2004, Classes A, B and C
paid service fees monthly to IXIS Services representing the higher amount based
on the following calculations:
(1) The Fund's pro rata portion of an annual aggregate fee determined by
applying an annual fee rate (see schedule below) to the eligible
average daily net assets. Eligible assets are the average daily net
assets of Class A, Class B and Class C accounts in Load Equity Funds.
Load Equity Funds consist of Growth Fund, Research Fund and all equity
funds in the CDC Nvest Funds Trusts.
First Next Over
$5.7 billion $5 billion $10.7 billion
- ------------ ---------- -------------
0.184% 0.180% 0.175%
Each Class of shares is subject to a monthly Class minimum of $1,500,
allocated based on the combined net assets of Class A, Class B, and Class
C.
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 $8,406,916.
During the period October 1, 2004 through December 31, 2004, Class Y paid
service fees monthly to IXIS Services representing the higher amount based on
the following calculations:
(1) The 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**.
Class Y shares are subject to a monthly minimum of $1,250.
or
(2) An allocated portion, based on eligible assets of an annual aggregate
minimum fee for the year period January 1, 2004 through December 31,
2004, of $650,000.
* No Load Retail Funds consist of Loomis Sayles Aggressive Growth Fund,
Loomis Sayles Bond Fund, Loomis Sayles Global Bond 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 Loomis Sayles Funds Trusts and CDC Nvest Funds Trusts.
Effective January 1, 2005, each Load Equity Fund, for its Class A, B, and C
shares, pay fees to IXIS Services representing a pro rata portion of the greater
of:
(1) An aggregate annual minimum fee of approximately $6.8 million for all
Load Equity Funds; or
(2) An annual account based fee of $25.44 for each open account and $2.00
for each closed account, aggregated for all Load Equity Funds.
Each Load Equity Fund, for its Class Y shares, will pay fees to IXIS Services
representing a pro rata portion of the greater of:
(1) An aggregate annual minimum fee of approximately $1 million for all No
Load Retail Funds and Load Funds - Class Y; or
(2) An annual account based fee of $25.44 for each open account in an
Equity Fund, $25.25 for each open account in a Fixed Income Fund and
$2.00 for each closed account, aggregated for all No Load Retail Funds
and Load Funds - Class Y.
Each class of shares is subject to a monthly class minimum of $1,500.
In addition, pursuant to other servicing agreements, each Class pays service
fees to other firms that provide similar services for their own shareholder
accounts.
IXIS Services, BFDS and other firms are also reimbursed by the Funds for
out-of-pocket expenses.
For the six months ended March 31, 2005, amounts paid to IXIS Services as
compensation for its services as transfer agent were as follows:
Fund Transfer Agent Fee
- ---- ------------------
Growth Fund $151,398
Research Fund 34,456
23
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
d. Service and Distribution Fees. The Trust entered into a distribution
agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"),
formerly CDC IXIS Asset Management Distributors, L.P., a wholly owned subsidiary
of IXIS North America. Pursuant to this agreement, IXIS Distributors serves as
principal underwriter of the Funds of the Trust, except Loomis Sayles Investment
Grade Bond Fund, Class J.
Pursuant to Rule 12b-1 under the 1940 Act ("Rule 12b-1"), the Funds have adopted
a Service Plan relating to each Fund's Class A shares (the "Class A Plan") and
Service and Distribution Plans relating to each Fund's Class B and Class C
shares (the "Class B and Class C Plans").
Under the Class A Plan, each Fund pays IXIS Distributors a monthly service fee
at an annual rate not to exceed 0.25% of the average daily net assets
attributable to the Fund's Class A shares, as reimbursement for expenses
incurred by IXIS Distributors in providing personal services to investors in
Class A shares and/or the maintenance of shareholder accounts.
Under the Class B and Class C Plans, each Fund pays IXIS Distributors a monthly
service fee at an annual rate not to exceed 0.25% of the average daily net
assets attributable to each Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in providing
personal services to investors in Class B and Class C shares and/or the
maintenance of shareholder accounts.
Also under the Class B and Class C Plans, each Fund pays IXIS Distributors a
monthly distribution fee at an annual rate of 0.75% of the average daily net
assets attributable to each Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in connections
with the marketing or sale of Class B and Class C shares.
For the six months ended March 31, 2005 the Funds paid the following service and
distribution fees:
Service Fee Distribution Fee
----------- ------------------
Fund Class A Class B Class C Class B Class C
- ---- ------- ----------- ------- -------- -------
Growth Fund $37,473 $34,656 $15,232 $103,969 $45,697
Research Fund 179 119 27 357 82
Commissions (including CDSCs) on Fund shares paid to IXIS Distributors by
investors in shares of the Funds for the six months ended March 31, 2005, were
as follows:
Fund Commissions
- ---- -----------
Growth Fund $79,758
Research Fund 880
e. Trustees Fees and Expenses. The Loomis Sayles Funds Trusts and the CDC Nvest
Funds Trusts do not pay any compensation directly to its officers or Trustees
who are directors, officers or employees of Loomis Sayles, IXIS Distributors,
IXIS North America, IXIS Services, IXIS Advisors 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. The co-chairmen
of the Board each receive an annual retainer fee of $25,000. The retainer fees
assume four Board or Committee meetings per year. 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.
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. Deferred amounts remain in the Fund
until distributed in accordance with the Plan.
f. Publishing Services. IXIS Services performs certain desktop publishing
services for the Funds. Fees for these services are presented in the statements
of operations as shareholder reporting. For the six ended March 31, 2005,
amounts paid to IXIS Services as compensation for these services were as
follows:
Fund Publishing Services Fees
- ---- ------------------------
Growth Fund $77
Research Fund 77
24
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
5. Line of Credit. Each 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, payable at the end of each calendar quarter,
is accrued and apportioned among the participating Funds based on their average
daily unused portion of the line of credit. For the six months ended March 31,
2005, the Funds had no borrowings under the agreement.
6. Shareholders. At March 31, 2005, Loomis Sayles Funded Pension Plan ("Pension
Plan") and Loomis Sayles Employees' Profit Sharing Retirement Plan held shares
of beneficial interest in the Funds as follows:
Profit Sharing
Fund Pension Plan Retirement Plan
- ---- ------------ ---------------
Growth Fund 1,438,481 2,369,987
Research Fund 1,542,062 685,042
7. Expense Reductions and Contingent Expense Obligations. Loomis Sayles has
given binding undertakings to certain Funds to defer its management fees and, if
necessary, bear certain expenses associated with these Funds to limit their
operating expenses. These undertakings are in effect until the dates indicated
below and will be reevaluated on an annual basis. For the six months ended March
31, 2005, in addition to any waiver of management fees as discussed in Note 4,
certain class level expenses have been reimbursed as follows: Growth Fund
$190,979; Research Fund $52,836.
Loomis Sayles shall be permitted to recover expenses it has borne (whether
through reduction of its management fee or otherwise) in later periods to the
extent the Funds' expenses fall below the expense limits, provided, however,
that the Funds are not obligated to pay such deferred fees more than one year
after the end of the fiscal year in which the fee was deferred.
At March 31, 2005, the expense limits as a percentage of average daily net
assets and amount subject to possible reimbursement under the expense limitation
agreement were as follows:
Expense Limit as a Percentage of Average Daily Net Asset
--------------------------------------------------------
Fund Class A Class B Class C Class Y
- ---- ------- ------- ------- -------
Growth Fund 1.10% 1.85% 1.85% 0.85%
Research Fund 1.25% 2.00% 2.00% 0.85%
Expenses Subject Expenses Subject
to Possible to Possible
Reimbursement Until Reimbursement Until
Fund Expiration of Waiver September 30, 2005 September 30, 2006
- ---- -------------------- ------------------- -------------------
Growth Fund January 31, 2006 $226,453 $190,979
Research Fund January 31, 2006 201,483 91,982
25
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
8. Capital Shares. Each Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
------------------------- -----------------------
Growth Fund Shares Amount Shares Amount
- ----------- ---------- ------------ --------- -----------
Class A
Issued from the sale of shares 1,103,670 $ 6,029,419 871,187 $ 4,321,851
Issued in connection with the reinvestment
of distributions -- -- -- --
Issued in connection with Merger (Note 9) 4,629,763 7,519,707 2,397,395 11,512,024
Redeemed (872,880) (4,776,001) (658,386) (3,266,161)
---------- ----------- --------- -----------
Net change 4,860,553 $ 8,773,125 2,610,196 $12,567,714
========== ============ ========= ===========
Shares Amount Shares Amount
---------- ----------- --------- -----------
Class B
Issued from the sale of shares 190,292 $ 1,032,680 374,023 $ 1,830,522
Issued in connection with the reinvestment
of distributions -- -- -- --
Issued in connection with Merger (Note 9) 4,956,224 40,498,219 2,628,461 12,600,689
Redeemed (628,955) (3,393,995) (466,924) (2,312,177)
---------- ----------- --------- -----------
Net change 4,517,561 $ 38,136,904 2,535,560 $12,119,034
========== ============ ========= ===========
Shares Amount Shares Amount
---------- ------------ --------- -----------
Class C
Issued from the sale of shares 1,455,769 $ 7,872,008 1,224,578 $ 6,071,312
Issued in connection with the reinvestment
of distributions -- -- -- --
Issued in connection with Merger (Note 9) 636,029 6,271,349 216,384 1,037,340
Redeemed (149,016) (811,998) (60,301) (294,093)
---------- ----------- --------- -----------
Net change 1,942,782 $ 13,331,359 1,380,661 $ 6,814,559
========== ============ ========= ===========
Shares Amount Shares Amount
---------- ------------ --------- -----------
Class Y
Issued from the sale of shares 5,874,401 $ 34,074,624 2,199,824 $11,053,935
Issued in connection with the reinvestment
of distributions -- -- -- --
Issued in connection with Merger (Note 9) -- -- 101,251 501,688
Redeemed (3,518,088) (19,475,321) (851,367) (4,260,774)
---------- ----------- --------- -----------
Net change 2,356,313 $ 14,599,303 1,449,708 $ 7,294,849
========== ============ ========= ===========
26
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
8. Capital Shares. (continued)
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
---------------------- ----------------------
Research Fund Shares Amount Shares Amount
- ------------- -------- ----------- -------- -----------
Class A
Issued from the sale of shares 8,475 $ 72,274 8,336 $ 63,400
Issued in connection with the reinvestment
of distributions 7 59 24 179
Redeemed (1,008) (8,722) (737) (5,753)
-------- ----------- -------- -----------
Net change 7,474 $ 63,611 7,623 $ 57,826
======== =========== ======== ===========
Shares Amount Shares Amount
-------- ----------- -------- -----------
Class B
Issued from the sale of shares 19,611 $ 162,238 9,492 $ 73,333
Issued in connection with the reinvestment
of distributions 3 26 1 9
Redeemed (8,771) (70,926) (2,464)
-------- ----------- -------- -----------
Net change 10,843 $ 91,338 7,029 $ 53,797
======== =========== ======== ===========
Shares Amount Shares Amount
-------- ----------- -------- -----------
Class C
Issued from the sale of shares 5,851 $ 49,737 7,226 $ 56,910
Issued in connection with the reinvestment
of distributions 2 13 -- --
Redeemed (843) (7,158) (7,226) (54,626)
-------- ----------- -------- -----------
Net change 5,010 $ 42,592 -- $ 2,284
======== =========== ======== ===========
Shares Amount Shares Amount
-------- ----------- -------- -----------
Class Y
Issued from the sale of shares 805,390 $ 6,846,810 527,369 $ 3,948,133
Issued in connection with the reinvestment
of distributions 10,737 91,263 12,572 92,653
Redeemed (722,601) (6,180,887) (925,801) (6,965,207)
-------- ----------- -------- -----------
Net change 93,526 $ 757,186 (385,860) $(2,924,421)
======== =========== ======== ===========
27
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2005 (unaudited)
9. Acquisition of Assets. After the close of business on November 14, 2003,
Growth Fund acquired all assets and liabilities of CDC Nvest Large Cap Growth
Fund ("Large Cap Growth Fund"), pursuant to a plan of reorganization approved by
Large Cap Growth Fund shareholders on November 11, 2003. The acquisition was
accomplished by a tax-free exchange of 2,397,395 Class A shares of the Growth
Fund for 1,072,307 shares of the Large Cap Growth Fund Class A, 2,628,461 Class
B shares of the Growth Fund for 1,206,169 shares of the Large Cap Growth Fund
Class B, 216,384 Class C shares of the Growth Fund for 99,268 shares of the
Large Cap Growth Fund Class C; and 101,251 Class Y shares of the Growth Fund for
46,248 shares of the Large Cap Growth Fund Class Y. Large Cap Growth Fund net
assets at that date of $25,651,741, including $1,082,424 of net unrealized
appreciation, were combined with those of the Growth Fund. The aggregate net
assets of the Growth Fund immediately before the acquisition were $32,638,783.
The combined net assets of the Growth Fund immediately following the acquisition
were $58,290,524. The Growth Fund acquired capital loss carryovers, subject to
limitations, of $44,043,168 from the Large Cap Growth Fund.
After the close of business on December 17, 2004, Growth Fund acquired all
assets and liabilities of CDC Nvest Star Growth Fund ("Star Growth Fund"),
pursuant to a plan of reorganization approved by Star Growth Fund shareholders
on December 9, 2004. The acquisition was accomplished by a tax-free exchange of
4,629,763 Class A shares of the Growth Fund for 3,026,518 shares of the Star
Growth Fund Class A, 4,956,224 Class B shares of the Growth Fund for 3,333,608
shares of the Star Growth Fund Class B and 636,029 Class C shares of the Growth
Fund for 427,538 shares of the Star Growth Fund Class C. Star Growth Fund net
assets at that date of $57,066,054, including $1,346,493 of net unrealized
appreciation, were combined with those of the Growth Fund. The aggregate net
assets of the Growth Fund immediately before the acquisition were $89,294,106.
The combined net assets of the Growth Fund immediately following the acquisition
were $146,360,160. The Growth Fund acquired capital loss carryovers, subject to
limitations, of $18,973,040 from the Star Growth Fund.
10. Subsequent Event. Effective May 1, 2005, the names of the CDC Nvest Funds
Trusts changed as follows:
Old Name New Name
- ------------------------------- ----------------------------------
CDC Nvest Funds Trust I IXIS Advisor Funds Trust I
CDC Nvest Funds Trust II IXIS Advisor Funds Trust II
CDC Nvest Funds Trust III IXIS Advisor Funds Trust III
CDC Nvest Companies Trust I IXIS Advisor Funds Trust IV
CDC Nvest Cash Management Trust IXIS Advisor Cash Management Trust
28
[LOGO] LS LOOMIS SAYLES FUNDS
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
Loomis Sayles Worldwide Fund
TABLE OF CONTENTS
Fund and Manager Review 1
Portfolio of Investments 16
Statements of Assets and Liabilities 45
Statements of Operations 47
Statements of Changes in Net Assets 49
Financial Highlights 53
Notes to Financial Statements 59
SEMI-ANNUAL REPORT
MARCH 31, 2005 (Unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
[PHOTO]
Phil Fine
Manager since February 1999
PORTFOLIO REVIEW
Aside from some specific stock "torpedoes," including Biogen Idec and Onyx
Pharmaceuticals, there was one principal reason why the Fund underperformed its
Benchmark, the Russell Midcap Growth Index, for the six-months ended March 31,
2005. Poor stock selection in the healthcare sector was responsible for most of
the Fund's underperformance. Specifically, the Fund's biotech and medical
devices stocks generated poor results. The most difficult period for the Fund
was in March, when yields on the 10-year Treasury spiked, causing a sharp
sell-off in stocks. Investors took profits in many of the leadership stocks and
groups to which the Fund is most exposed, including energy, materials, hotels
and gaming and homebuilders.
The best performing sectors for the Fund included the consumer discretionary,
technology, and producer durables areas. Returns in the consumer sector were
broad-based, as the Fund experienced good returns from specialty retail, hotel
and gaming, and restaurant holdings.
Market leadership reversed sharply during the fiscal period. Technology was the
Benchmark's strongest sector in the fourth quarter of 2004, but it was the
weakest sector in the first quarter of 2005. Software, in particular, was
subject to profit-taking during the more seasonally challenged first quarter.
However, several of our technology stocks were strong performers during the
full period. Apple Computer advanced strongly on rising earnings estimates.
Investors gained confidence that the "halo effect" from the iPod would drive
sales of notebooks and desktops. VeriSign, a major provider of Internet and
wireless services, also experienced strong earnings growth, driven by its
recently acquired Jamba subsidiary.
In the producer durables sector, we focused on homebuilders, which continued to
post strong earnings and improved earnings forecasts. Toll Brothers, a leading
builder of high-end homes, was particularly strong. We also emphasized mining
equipment companies, which benefited from rising backlogs and a buoyant
aftermarket for parts.
During most of the fiscal period we tried to strike a balance between cyclical
companies and industries on the one hand, and more defensive non-cyclicals and
financials on the other. Recently, we have been favoring companies that we
believe should be able to sustain earnings momentum even in a decelerating
economic environment, including healthcare, consumer staples and select
services. Nevertheless, we still own some late cyclicals--including energy,
materials, and capital equipment--where we believe fundamentals remain strong.
We also have been reducing the Fund's exposure to companies likely to suffer
from a steep increase in interest rates.
OUTLOOK
For the next several months we expect inflation and the pace at which the
Federal Reserve Board raises interest rates to influence stock returns. Our
biggest concern is that the inflation-adjusted federal funds rate (as measured
by the February Consumer Price Index) is still less than half a percentage
point, compared to a more normal level
FUND FACTS
SYMBOL | Institutional: LSAIX;
Retail: LAGRX
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 | $50.3 million
1
of 2% to 4%. This suggests that before the Fed is finished, short-term rates
could reach 4% or more, and the cycle probably would include at least one
50-basis-point hike. High oil prices also remain a concern.
It is difficult to envision a strong equity market under this scenario. In
particular, rate-sensitive industries and companies whose earnings are tied to
the economic cycle are likely to come under pressure. That leaves the
opportunities among classic defensive and non-cyclical sectors, including
healthcare, staples, and utilities. However, once investors are able to see an
end to the current Fed tightening cycle, we think stocks could be poised for a
strong rebound in the back half of the year.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
----------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH: INSTITUTIONAL
9.77% 10.48% -17.36% 8.73%
----------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH: RETAIL
9.69 10.27 -17.58 8.43
----------------------------------------------
LIPPER MID-CAP GROWTH FUNDS INDEX(a)
9.30 5.42 -9.27 5.31
----------------------------------------------
RUSSELL MIDCAP GROWTH INDEX(a)
12.04 8.31 -7.30 7.47
----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2005(b)(c)
[CHART]
Loomis Sayles Lipper Mid-Cap
Aggressive Growth Russell Midcap
Growth Fund Funds Index(a) Growth Index(a)
-------------- -------------- --------------
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 445,246 351,872 406,298
5/31/2004 466,351 359,534 415,886
6/30/2004 483,932 368,183 422,505
7/31/2004 442,943 342,024 394,524
8/31/2004 429,167 336,100 389,660
9/30/2004 454,059 350,478 404,208
10/31/2004 464,003 360,835 417,918
11/30/2004 495,045 380,891 439,501
12/31/2004 516,728 398,778 460,556
1/31/2005 501,949 385,893 448,228
2/28/2005 517,911 390,875 459,578
3/31/2005 498,427 383,086 452,864
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 13 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.
WHAT YOU SHOULD KNOW
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 U.S. standards. 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
[PHOTO]
MARK F. BURNS
Manager since January 2005
PORTFOLIO REVIEW
Strong stock selection helped the Fund outperform its Benchmark, the Russell
2000 Growth Index, during the six-months ended March 31, 2005. Our holdings in
the healthcare and technology sectors accounted for most of the Fund's
outperformance. Within these sectors many of our holdings posted strong
earnings reports, which the market rewarded with multiple expansions.
In particular, Tessera Technologies, a company with significant semiconductor
intellectual property and a royalty-based business model, was the Fund's best
technology stock. Its earnings grew dramatically, and key license agreements
bode well for the future. In addition, Intuitive Surgical, a manufacturer of
robotic surgical equipment, is seeing rapid adoption of its products, which is
reflected in its earnings trajectory. F5 Networks, a networking company that is
the leader in an increasingly important niche of the market, posted strong
stock performance for the fiscal period.
Both the materials and consumer staples sectors had a slightly negative impact
on the Fund's six-month performance. We maintained relatively small
weightings in each, but poor stock selection led to negative performance.
The Fund's worst-performing stocks for the last six months were Input/Output,
Jakks Pacific and Steel Dynamics. In each case, the negative impact was felt
entirely in the fourth quarter of 2004. Input/Output, an energy service
company, reported disappointing earnings, which prompted us to sell the
position. Subsequently, the company reported more negative news. Jakks Pacific
delivered solid earnings and seemed relatively well positioned, but it entered
into a difficult lawsuit that caused its stock price to decline. Steel
Dynamics, a mini mill, posted poor fourth-quarter performance due to a
correction in commodity prices.
OUTLOOK
Looking ahead, we believe economic growth may slow as the year progresses, but
we still believe it will be possible to generate significant positive returns
through stock selection. So far in 2005, nearly all the Fund's outperformance
has been derived through security selection. We plan to continue emphasizing
companies that appear to be able to grow and generate cash regardless of the
economic environment. To that end, we have reduced the Fund's technology
weighting, redirecting those assets to the consumer discretionary and energy
sectors.
As time passes and the market becomes comfortable with a decelerating--but
still growing--economy, we think stocks can regain strength. We are
particularly excited about growth stocks. Throughout the last few years,
corporations have implemented significant cost-cutting measures, making the
earnings profiles of a great many stocks appear attractive. However, going
forward we believe only true growth companies, or those growing at the revenue
line, may be able to generate attractive earnings.
FUND FACTS
SYMBOL | Institutional: LSSIX;
Retail: LCGRX
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its net 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 | $19.3 million
3
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
---------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH: INSTITUTIONAL
9.60% 3.81% -18.96% 1.19%
---------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH: RETAIL
9.57 3.55 -19.16 0.94
---------------------------------------------
LIPPER SMALL-CAP GROWTH FUNDS INDEX(a)
8.91 1.43 -5.71 5.79
---------------------------------------------
RUSSELL 2000 INDEX(a)
8.00 5.41 4.01 7.99
---------------------------------------------
RUSSELL 2000 GROWTH INDEX(a)
7.23 0.87 -6.60 2.95
---------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2005(b)(c)
[CHART]
Lipper Russell
Loomis Sayles Small-Cap 2000 Russell
Small Cap Growth Funds Growth 2000
Growth Fund Index(a) Index(a) Index(a)
----- ----- ----- -----
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
10/31/2004 254,856 375,398 303,528 444,900
11/30/2004 269,459 401,685 329,184 483,490
12/31/2004 283,498 419,415 341,015 497,801
1/31/2005 278,735 403,540 325,652 477,031
2/28/2005 283,780 411,512 330,122 485,111
3/31/2005 275,676 397,685 317,739 471,224
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 13 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.
As of April 1, 2005, John Slavik became co-manager of this Fund.
WHAT YOU SHOULD KNOW
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 U.S. standards. 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.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL CAP VALUE FUND
[PHOTO]
Joseph Gatz
Manager since January 2000
[PHOTO]
Daniel Thelen
Manager since April 2000
PORTFOLIO REVIEW
The Fund outperformed its Benchmark, the Russell 2000 Value Index, for the
six-months ended March 31, 2005. We positioned the Fund fairly conservatively
during the period, with a focus on companies at the higher end of the small-cap
universe's market capitalization range. We also continued to emphasize
higher-quality companies with solid balance sheets, positive earnings trends
and healthy cash flows.
The Fund's performance lagged early in the period, as smaller,
lower-profitability companies pushed the overall market higher. Nevertheless,
as market returns moderated from December through March, investors returned to
higher-quality, larger and more profitable companies. As a result, stock
selection ended the period broadly positive, with notable contributions from
healthcare, producer durables and consumer-related companies.
The Fund's sector weights remained fairly constant during the period, although
we continued to fine-tune the Portfolio in recognition of the maturing economic
cycle, rising interest rates and slower earnings growth in future quarters. We
made modest additions to healthcare, where valuations appear more attractive
after a period of underperformance. We reduced exposure to producer durables
stocks, reflecting strong performance by many industrial companies and the
likelihood that growth rates may slow due to higher energy costs and interest
rates.
Contribution to return was fairly broad-based, as all Fund sectors provided
positive results for the fiscal period. The consumer discretionary, materials
and processing, and producer durables sectors were the best-performing groups,
and all three were beneficiaries of an improving U.S. economy. Consumer
discretionary holdings were the strongest contributors, driven by select
business-services companies, including R.H. Donnelley and Adesa. Building
materials companies, such as Lennox International and ElkCorp, drove
performance in the materials and processing group. The producer durables sector
advanced on good performance from general industrial companies, but the Fund's
top performer for the second quarter was United Defense Industries, which
designs and manufactures combat vehicles and various artillery munitions
systems. United Defense agreed to be acquired by a British defense company for
$75 per share in an all-cash deal. We purchased the stock originally during its
initial public offering in late 2001 at $19 per share and it has remained in
the Portfolio since that time.
Rising oil and natural gas prices led to strong absolute returns in the energy
sector during the period, but the Portfolio had a relatively small weighting in
this sector, which moderated the overall impact on the Fund.
Performance was muted in consumer staples and healthcare, as investors
preferred more economically- sensitive sectors. However, the individual stocks
we selected within healthcare were strong, offsetting the sector's weaker
overall performance. Although technology shares rallied early in the period,
disappointing fundamentals doused the rally and resulted in only slight gains
for the sector during the period.
FUND FACTS
SYMBOL | Institutional: LSSCX;
Retail: LSCRX; Admin: LSVAX
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its net 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 | $635.1 million
5
OUTLOOK
Although the economy continues to expand and corporate balance sheets appear to
be strong, valuations seem somewhat elevated, and we believe earnings growth is
likely to slow in the near term. With oil prices near record highs, the ability
to pass through higher input costs will remain a focus of our stock selections
in 2005. Standout opportunities among sectors currently appear limited, but
fundamentals remain positive within select capital-spending-sensitive and
general industrial sectors. We are mindful of the strong performance these
sectors have produced, and valuations in other areas, including healthcare,
appear more interesting.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS(a) INCEPTION(a)
-------------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: INSTITUTIONAL
9.26% 11.86% 12.25% 14.64% 15.12%
-------------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: RETAIL(a)
9.13 11.62 11.99 14.40 14.94
-------------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: ADMIN(a)
8.99 11.31 11.70 14.00 14.57
-------------------------------------------------
LIPPER SMALL-CAP CORE FUNDS INDEX(b)(c)
7.95 8.07 6.26 11.84 N/A
-------------------------------------------------
RUSSELL 2000 VALUE INDEX(c)
8.70 9.79 15.42 14.28 14.73
-------------------------------------------------
RUSSELL 2000 INDEX(c)
8.00 5.41 4.01 10.43 11.23
-------------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2005(d)(e)
[CHART]
Loomis Sayles Lipper Small
Small Cap -Cap Core Russell 2000 Russell
Value Fund Funds Index(c) Value Index(c) 2000 Index(c)
------------- ------------- ------------ ------------
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 1,615,772 991,351 1,556,525 1,018,262
10/31/2004 1,631,445 1,007,585 1,580,705 1,038,305
11/30/2004 1,743,036 1,087,155 1,720,972 1,128,366
12/31/2004 1,814,152 1,104,726 1,762,049 1,161,765
1/31/2005 1,754,285 1,072,697 1,693,888 1,113,292
2/28/2005 1,791,125 1,097,759 1,727,522 1,132,150
3/31/2005 1,765,155 1,070,118 1,691,957 1,099,740
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
13 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.
WHAT YOU SHOULD KNOW
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 U.S.
standards.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
[PHOTO]
Robert Ix
Manager since September 2002
[PHOTO]
Mark A. Shank
Manager since June 2003
PORTFOLIO REVIEW
The Fund underperformed its Benchmark, the S&P 500 Index, for the six-months
ended March 31, 2005. The Fund's healthcare holdings, notably Kinetic Concepts,
Perrigo and Medtronic, hurt performance in the fourth quarter of 2004. Although
its results improved considerably in the first quarter of 2005, the Fund
was unable to pull ahead of the Index for the full six-month period.
Our strategies during the fiscal period included increasing the Fund's
weighting in consumer staples by adding Wal-Mart Stores and trimming its energy
holdings by taking profits based on stock valuations.
The energy and information technology sectors offered the greatest
contributions to performance for the six-month period. The Fund benefited from
its emphasis in the top-performing energy sector and from good stock selection,
including Devon Energy and ConocoPhillips, both of which were direct
beneficiaries of rising energy prices. In the technology sector, the Fund's
overweighted position contributed to overall performance.
In addition to strength from its energy holdings, Goldman Sachs Group and
Harris Corporation were among the Fund's best performers for the period.
Investment services leader, Goldman Sachs, profited from strong proprietary
trading and improvement in merger activity. Harris, a communications products
company, continued to benefit from strong government and military sales of
communication devices.
Telecommunications and financials were the Fund's weakest sectors. Although our
stock selections in these sectors hurt performance for the six-month period,
they were both underweighted relative to the Benchmark. In terms of individual
holdings, Accenture traded downward after questions arose surrounding the
implementation of a large United Kingdom health contract. A highly publicized
SEC investigation regarding allegations that American International Group's
business practices were unfair and criticism of actions taken by the company's
management team caused AIG stock to drop sharply. We subsequently eliminated
the Fund's position in AIG.
OUTLOOK
In the near term, we continue to believe the market will be volatile,
reflecting increasing energy costs, rising interest rates, and a declining
dollar. Nevertheless, our longer-term forecast calls for an end to the current
rate-tightening cycle and a moderation of energy costs, which should help
promote equity returns that are closer to historical norms.
FUND FACTS
SYMBOL | LSCGX
OBJECTIVE | Long-term capital growth
STRATEGY | Invests at least 80% of net 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 | $7.9 million
7
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a)(b) INCEPTION(a)(b)
-----------------------------------------------------------
LOOMIS SAYLES TAX-MANAGED EQUITY: INSTITUTIONAL
5.54% 4.44% 1.03% 9.19% 10.23%
-----------------------------------------------------------
RETURN AFTER TAXES ON DISTRIBUTIONS
5.49 4.38 -0.67 5.58 7.07
-----------------------------------------------------------
RETURN AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES
3.68 2.96 -0.13 6.05 7.28
-----------------------------------------------------------
LIPPER LARGE-CAP CORE FUNDS INDEX(c)
6.04 4.79 -4.23 5.67 7.95
-----------------------------------------------------------
S&P 500 INDEX(c)
6.88 6.69 -3.16 6.70 9.45
-----------------------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
REGISTRATION TO MARCH 31, 2005(d)
[CHART]
Loomis Sayles Tax- Lipper Large-Cap
Managed Equity Fund Core Funds Index(c) S&P 500 Index(c)
------------------- ------------------ ----------------
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
10/31/2004 482,752 373,068 400,980
11/30/2004 503,172 387,234 417,204
12/31/2004 513,437 399,336 431,401
01/31/2005 510,613 390,311 420,886
02/28/2005 518,017 397,594 429,743
03/31/2005 508,299 390,310 422,133
INCEPTION TO MARCH 31, 2005(d)
[CHART]
Loomis Sayles Tax- Lipper Large-Cap
Managed Equity Fund Core Funds Index(c) S&P 500 Index(c)
------------------- ------------------ ---------------
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
10/31/2004 599,124 494,448 559,739
11/30/2004 624,467 513,222 582,387
12/31/2004 637,206 529,262 602,205
1/31/2005 633,702 517,301 587,526
2/28/2005 642,890 526,953 599,890
3/31/2005 630,702 517,299 589,267
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. Except as indicated in the
table above, returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of shares.
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 Distributions or even the Return Before Taxes.
(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
13 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.
WHAT YOU SHOULD KNOW
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.
8
FUND AND MANAGER REVIEW
LOOMIS SAYLES VALUE FUND
[PHOTO]
Warren Koontz
Manager since June 2000
[PHOTO]
James Carroll
Manager since November 2002
PORTFOLIO REVIEW
In absolute terms, the Fund performed well for the six months ended March 31,
2005, but it lagged its Benchmark, the Russell 1000 Value Index. Favorable
stock selection was the primary driver of the Fund's performance.
The energy, consumer discretionary and information technology sectors had the
greatest positive impact. Energy stocks substantially outperformed the market,
continuing a two-year run. Rising oil and gas prices and growth in exploration
and development spending has fueled confidence in a "stronger for longer"
energy cycle. In the technology sector, the strong economy generated growing
demand for technology products. In particular, the Fund performed well due to
its focus on faster-growing companies, many of which had positive earnings
surprises in recent quarters. The consumer discretionary sector continued to
benefit from exposure to multi-year turnarounds, including JC Penney and
Federated Department Stores.
Individual securities that were standouts during the period included JC Penney,
Apple Computer and ExxonMobil. JC Penney is a potential beneficiary of the
recent consolidation trend in the retail industry. The company has abundant
free cash flow, giving it the ability to acquire real estate in markets where
it has been under-represented, including the Northeast and parts of California.
Sales of Apple's iPod grew much faster than investors expected, causing a
strong increase in earnings and a higher valuation for the stock. Investor
demand for shares of ExxonMobil after its outstanding fourth-quarter earnings
report reflect the company's strong results and the market's overall
reassessment of the energy sector.
Telecommunications was the only sector that had a negative impact on Fund
performance. Throughout the period, the large-cap companies in the group,
including SBC Communications and BellSouth, struggled. On an absolute basis,
financials was one of the weakest sectors. Specific factors that weakened the
sector included concerns about rising interest rates and the regulatory, merger
integration and growth challenges facing the sector's largest companies,
including fund holding JP Morgan Chase. Exposure to Fannie Mae also dragged
down results, as investors demonstrated continued concerns regarding future
growth.
OUTLOOK
We continue to follow a disciplined value approach, attempting to "play the
gap" between a company's intrinsic value and its current stock price. We look
for stocks that sell at meaningful discounts to what we regard as their
intrinsic value. Of course, the assumptions we use to calculate intrinsic value
must be reasonable, and we must understand the industry and company dynamics
that cause such a valuation gap to occur.
We continue to believe that returns in the range of 7% to 9% may be likely for
the near future. Although interest rates remain relatively low, we believe
rates will continue to rise, reducing returns in the financials sector. The
level of long-term interest rates will depend on the strength of the economy
and the direction of the U.S. dollar. Nevertheless, the economic recovery
remains underway, and corporate profits continue to grow in a healthy fashion.
As inflation begins to increase, the best
FUND FACTS
SYMBOL | LSGIX
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 | $35.2 million
9
performing sectors of the market are likely to be those where investors have
lower expectations for earnings growth, and companies are able to pass on
higher costs. In particular, we believe the materials and energy sectors and
certain parts of the industrial sector may perform well.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------
LOOMIS SAYLES VALUE: INSTITUTIONAL
9.83% 12.22% 4.96% 9.93% 10.22%
----------------------------------------------
LIPPER LARGE-CAP VALUE FUNDS INDEX(b)
7.90 8.45 1.23 10.34 10.59
----------------------------------------------
RUSSELL 1000 VALUE INDEX(b)(d)
10.48 13.17 5.19 12.81 12.66
----------------------------------------------
S&P 500 INDEX(b)
6.88 6.69 -3.16 10.79 10.81
----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2005(c)
[CHART]
Loomis Sayles Lipper Large-Cap Russell 1000
Value Fund Value Funds Index(b) Value Index(b) S&P 500 Index(b)
------------- ----------------- ------------- -------------
05/13/1991 $ 250,000 $ 250,000 $ 250,000 $ 250,000
05/31/1991 263,750 260,446 259,303 260,785
06/30/1991 248,750 247,339 248,376 248,838
07/31/1991 257,000 258,858 258,755 260,436
08/31/1991 263,250 265,201 263,428 262,978
09/30/1991 256,250 263,184 261,453 262,144
10/31/1991 257,250 268,159 265,798 265,669
11/30/1991 240,500 256,911 252,150 254,964
12/31/1991 267,887 284,716 273,280 284,123
01/31/1992 276,529 282,621 273,741 278,829
02/29/1992 282,375 287,719 280,455 282,440
03/31/1992 275,766 281,277 276,374 276,947
04/30/1992 282,120 286,450 288,310 285,078
05/31/1992 282,629 288,668 289,714 286,476
06/30/1992 276,529 282,325 287,937 282,214
07/31/1992 287,712 293,299 298,425 293,743
08/31/1992 279,325 287,289 289,253 287,731
09/30/1992 281,358 290,677 293,246 291,112
10/31/1992 283,900 292,636 293,510 292,118
11/30/1992 299,658 304,674 303,142 302,065
12/31/1992 305,652 309,352 310,405 305,772
01/31/1993 312,545 312,900 319,401 308,328
02/28/1993 315,461 315,955 330,547 312,530
03/31/1993 321,293 325,136 340,311 319,125
04/30/1993 312,810 319,076 335,944 311,411
05/31/1993 319,702 327,700 342,702 319,741
06/30/1993 319,437 329,180 350,294 320,678
07/31/1993 317,051 328,208 354,156 319,388
08/31/1993 329,776 341,482 366,948 331,507
09/30/1993 327,920 342,711 367,562 328,964
10/31/1993 335,078 348,613 367,255 335,769
11/30/1993 330,306 343,067 359,619 332,569
12/31/1993 341,961 350,389 366,487 336,590
01/31/1994 355,103 361,813 380,266 348,033
02/28/1994 351,544 353,113 367,299 338,586
03/31/1994 337,033 338,450 353,607 323,825
04/30/1994 343,878 342,660 360,387 327,978
05/31/1994 347,711 347,605 364,556 333,360
06/30/1994 337,033 339,230 355,823 325,189
07/31/1994 348,806 349,126 366,904 335,867
08/31/1994 364,138 363,280 377,457 349,637
09/30/1994 351,544 353,816 364,951 341,087
10/31/1994 350,996 359,615 370,041 348,750
11/30/1994 334,569 347,102 355,121 336,049
12/31/1994 338,950 351,034 359,246 341,034
01/31/1995 346,131 357,357 370,305 349,878
02/28/1995 365,089 370,646 384,961 363,513
03/31/1995 374,855 379,335 393,431 374,240
04/30/1995 388,930 390,363 405,872 385,260
05/31/1995 405,591 404,834 422,920 400,658
06/30/1995 408,463 413,616 428,649 409,964
07/31/1995 424,262 426,690 443,572 423,560
08/31/1995 426,560 429,282 449,840 424,625
09/30/1995 440,060 444,703 466,108 442,545
10/31/1995 429,145 441,145 461,480 440,963
11/30/1995 448,678 460,256 484,852 460,320
12/31/1995 458,348 467,728 497,039 469,187
01/31/1996 471,875 482,113 512,525 485,156
02/29/1996 475,965 487,530 516,401 489,655
03/31/1996 480,998 492,803 525,181 494,368
04/30/1996 480,998 499,503 527,199 501,656
05/31/1996 490,121 508,756 533,791 514,594
06/30/1996 491,065 509,051 534,228 516,557
07/31/1996 473,133 489,082 514,039 493,735
08/31/1996 484,458 501,793 528,740 504,150
09/30/1996 508,601 526,381 549,757 532,526
10/31/1996 522,477 537,498 571,013 547,214
11/30/1996 558,944 576,000 612,420 588,576
12/31/1996 555,351 566,255 604,606 576,914
01/31/1997 584,543 594,832 633,916 612,957
02/28/1997 588,458 599,601 643,229 617,761
03/31/1997 568,523 576,688 620,102 592,378
04/30/1997 588,458 602,345 646,154 627,742
05/31/1997 624,058 637,054 682,250 665,961
06/30/1997 654,673 663,641 711,518 695,797
07/31/1997 711,826 713,656 765,048 751,160
08/31/1997 689,343 683,123 737,791 709,079
09/30/1997 724,517 718,085 782,384 747,913
10/31/1997 697,684 696,421 760,522 722,934
11/30/1997 718,353 719,260 794,148 756,401
12/31/1997 717,570 727,491 817,330 769,391
01/31/1998 719,197 728,533 805,765 777,901
02/28/1998 766,791 776,460 860,010 834,007
03/31/1998 789,978 810,968 912,612 876,716
04/30/1998 796,486 819,212 918,715 885,536
05/31/1998 782,656 805,276 905,093 870,316
06/30/1998 781,435 820,337 916,692 905,667
07/31/1998 746,452 806,111 900,514 896,023
08/31/1998 641,501 696,099 766,502 766,478
09/30/1998 685,434 729,554 810,497 815,580
10/31/1998 743,604 787,979 873,278 881,920
11/30/1998 769,232 828,198 913,964 935,371
12/31/1998 793,193 860,189 945,071 989,272
01/31/1999 791,361 874,489 952,618 1,030,640
02/28/1999 768,005 854,461 939,172 998,609
03/31/1999 795,941 880,403 958,608 1,038,562
04/30/1999 853,186 932,283 1,048,142 1,078,780
05/31/1999 848,149 916,368 1,036,621 1,053,306
06/30/1999 869,673 956,763 1,066,718 1,111,763
07/31/1999 837,615 929,600 1,035,488 1,077,048
08/31/1999 802,352 912,659 997,057 1,071,719
09/30/1999 757,472 878,903 962,214 1,042,339
10/31/1999 785,866 921,229 1,017,596 1,108,299
11/30/1999 780,930 924,442 1,009,638 1,130,829
12/31/1999 782,659 952,911 1,014,512 1,197,430
01/31/2000 748,924 912,630 981,416 1,137,268
02/29/2000 688,719 874,249 908,501 1,115,741
03/31/2000 758,266 954,304 1,019,350 1,224,892
04/30/2000 755,152 943,680 1,007,488 1,188,040
05/31/2000 768,127 944,384 1,018,110 1,163,665
06/30/2000 749,962 933,958 971,579 1,192,353
07/31/2000 746,848 929,738 983,746 1,173,717
08/31/2000 797,191 983,551 1,038,484 1,246,616
09/30/2000 784,735 968,022 1,047,993 1,180,803
10/31/2000 814,319 975,755 1,073,736 1,175,811
11/30/2000 796,672 933,933 1,033,880 1,083,111
12/31/2000 840,165 971,538 1,085,678 1,088,412
01/31/2001 851,185 979,621 1,089,853 1,127,028
02/28/2001 828,095 932,405 1,059,547 1,024,263
03/31/2001 797,134 896,167 1,022,106 959,376
04/30/2001 835,442 946,942 1,072,232 1,033,930
05/31/2001 849,086 962,182 1,096,318 1,040,857
06/30/2001 834,393 936,035 1,072,003 1,015,524
07/31/2001 827,571 929,657 1,069,724 1,005,527
08/31/2001 796,609 886,115 1,026,875 942,579
09/30/2001 729,438 816,964 954,603 866,463
10/31/2001 734,685 822,288 946,387 882,986
11/30/2001 775,371 875,034 1,001,406 950,716
12/31/2001 792,655 888,223 1,024,992 959,045
01/31/2002 785,626 871,835 1,017,095 945,049
02/28/2002 781,841 867,010 1,018,728 926,824
03/31/2002 808,335 905,288 1,066,924 961,681
04/30/2002 788,330 866,699 1,030,333 903,376
05/31/2002 793,737 867,866 1,035,498 896,721
06/30/2002 735,882 807,346 976,043 832,848
07/31/2002 674,243 737,605 885,311 767,941
08/31/2002 682,354 742,570 891,996 772,965
09/30/2002 603,953 656,741 792,816 688,960
10/31/2002 647,209 704,932 851,553 749,600
11/30/2002 687,220 749,126 905,198 793,721
12/31/2002 660,364 713,451 865,881 747,091
01/31/2003 645,108 696,464 844,919 727,520
02/28/2003 620,045 679,041 822,394 716,604
03/31/2003 616,776 678,604 823,759 723,562
04/30/2003 666,903 735,895 896,270 783,162
05/31/2003 715,940 781,191 954,124 824,425
06/30/2003 728,471 790,129 966,055 834,942
07/31/2003 732,285 801,134 980,439 849,663
08/31/2003 746,996 814,674 995,717 866,233
09/30/2003 736,644 805,523 986,002 857,034
10/31/2003 773,149 849,965 1,046,344 905,517
11/30/2003 788,405 860,420 1,060,539 913,484
12/31/2003 833,639 913,198 1,125,909 961,391
01/31/2004 844,666 927,032 1,145,709 979,037
02/29/2004 863,412 946,582 1,170,263 992,645
03/31/2004 860,577 935,257 1,160,020 977,670
04/30/2004 844,571 918,021 1,131,669 962,322
05/31/2004 857,830 924,729 1,143,211 975,528
6/30/2004 874,387 945,085 1,170,222 994,497
7/31/2004 861,708 922,336 1,153,740 961,582
8/31/2004 864,982 929,020 1,170,147 965,472
9/30/2004 879,401 939,998 1,188,285 975,928
10/31/2004 888,811 950,011 1,208,038 990,838
11/30/2004 936,184 991,259 1,269,115 1,030,929
12/31/2004 959,682 1,022,738 1,311,614 1,066,010
1/31/2005 949,030 1,002,905 1,288,331 1,040,026
02/28/2005 977,596 1,031,047 1,331,029 1,061,913
3/31/2005 965,852 1,014,289 1,312,765 1,043,108
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 13 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$250,000. (d) The Russell 1000 Value Index replaces the S&P 500 Index as the
Fund's comparative index because Loomis Sayles believes it is more
representative of the types of stocks in which the Fund can invest.
WHAT YOU SHOULD KNOW
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 U.S. standards.
10
FUND AND MANAGER REVIEW
LOOMIS SAYLES WORLDWIDE FUND
[PHOTO]
Daniel Fuss
DANIEL FUSS
Manager Since May 1996
[PHOTO]
MARK B. BARIBEAU
Manager Since October 2004
[PHOTO]
David Rolley
DAVID ROLLEY
Manager Since September 2000
[PHOTO]
Warren Koontz
WARREN KOONTZ
Manager Since October 2004
PORTFOLIO REVIEW
The Fund outperformed its Benchmark, the S&P 500 Index, during the six-month
period ended March 31, 2005. In particular, the Fund's stock selections in the
consumer discretionary, technology and financials sectors contributed to
outperformance. Overall, the stock Portfolio performed well due to a focus on
faster-growing companies, many of which had positive earnings surprises in
recent quarters.
Within the consumer discretionary sector, our continued emphasis on the travel
and leisure segments helped performance. For example, Aristocrat Leisure, one
of the Fund's top performers for the quarter, gained market share by
introducing slot machines with better graphics and audio features. In the
technology sector, the strong economy powered demand for technology products.
In particular, sales of Apple Computer's iPod grew faster than investors
expected, which caused a strong increase in earnings and a higher valuation for
Apple stock. Strength in the Portfolio's financials sector primarily was due to
strong performance from Legg Mason, which reported higher-than-expected
earnings.
The utilities sector was the only negative contributor to performance.
Utilities stocks in general remained out of favor with investors, and AES
Corporation, a leading electric power provider, decreased its quarterly
earnings estimate, causing the stock price to slide.
Performance in the Fund's bond Portfolio was volatile. Weakness in the U.S.
dollar contributed to a strong fourth quarter in 2004, but the dollar's rally
in the first quarter of 2005 erased some of those gains. The Portfolio's
European currency positions performed well, but our U.S. dollar positions and
positions in Asian currencies, including the Japanese yen, Singapore dollar,
and a new position in the Thai baht, either produced below-average gains or
lost value.
Within local markets, we maintained a defensive duration strategy, which was
slightly positive as bond yields rose late in the first quarter of 2005.
Although we have increased quality and reduced exposure to corporate bonds and
emerging markets, our remaining holdings in these sectors still underperformed
in the first quarter of 2005, after helping performance slightly in the fourth
quarter of 2004.
OUTLOOK
Our short- and long-term stock market outlook remains positive. Although
earnings growth for the overall S&P 500 Index is likely to decelerate this
year, we believe specific companies and a few industries should continue to
post stellar results. In particular, the stock Portfolio is positioned to take
advantage of rapidly growing companies in some emerging technologies, such as
Internet-based sales and services, and in leading global financial-services
companies. In the healthcare arena, we
FUND FACTS
SYMBOL | LSWWX
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 | $20.8 million
11
continue to focus on foreign companies that appear to have better product
pipelines than their U.S. counterparts.
The bond segment of the Portfolio is positioned to take advantage of a weaker
dollar, with approximately 79% of global bond assets in non-dollar currencies.
We are maintaining a defensive duration position and a high-quality profile,
saving our "risk budget" for potentially lower entry prices for good-quality
bonds. Specific overweights include Sweden, which still looks attractively
priced, and the United Kingdom sterling, which is benefiting from higher yields
and a better-performing economy than the euro. We still look for a material
appreciation of the Asian currencies as a group, but we do not see an imminent
catalyst for such a move. Regarding credit quality, spreads have widened enough
to present a few opportunities, but generally we are remaining patient with the
market, because we expect spreads to widen further over the course of the cycle.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2005
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION(a)
-----------------------------------------------
LOOMIS SAYLES WORLDWIDE: INSTITUTIONAL
9.15% 8.41% 3.93% 10.64%
-----------------------------------------------
LIPPER GLOBAL FLEXIBLE PORTFOLIO FUNDS INDEX(b)
8.11 7.15 1.79 7.00
-----------------------------------------------
S&P 500 INDEX(b)
6.88 6.69 -3.16 8.56
-----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2005(c)
[CHART]
Loomis Sayles Lipper Global Flexible
Worldwide Fund Portfolio Funds Index(b) S&P 500 Index(b)
-------------- ------------------------ ----------------
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
10/31/2004 579,800 430,456 493,783
11/30/2004 607,514 450,385 513,762
12/31/2004 625,071 463,206 531,245
01/31/2005 616,570 454,984 518,296
02/28/2005 633,033 465,661 529,203
03/31/2005 615,962 456,995 519,832
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 13 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $250,000.
WHAT YOU SHOULD KNOW
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 U.S. standards.
12
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 Large-Cap Core Funds Index is an equally weighted index of typically the
30 largest mutual funds within the large-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 Portfolio 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 1000 Value Index is an index comprised of those Russell 1000 companies
with lower price-to-book ratios and lower forecasted growth values.
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 is an index comprised 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
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
13
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 and/or service fees (12b-1
fees), and other Fund expenses. These costs are described in more detail in the
Funds' 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 October 1, 2004 through March 31, 2005. 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 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,098 $5.23
Hypothetical (5% return before expenses) $1,000 $1,020 $5.04
Retail Class
- ------------
Actual $1,000 $1,097 $6.54
Hypothetical (5% return before expenses) $1,000 $1,019 $6.29
*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
182/365 (to reflect the half-year period).
LOOMIS SAYLES SMALL CAP GROWTH FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,096 $5.23
Hypothetical (5% return before expenses) $1,000 $1,020 $5.04
Retail Class
- ------------
Actual $1,000 $1,096 $6.53
Hypothetical (5% return before expenses) $1,000 $1,019 $6.29
*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
182/365 (to reflect the half-year period).
14
LOOMIS SAYLES SMALL CAP VALUE FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,093 $4.70
Hypothetical (5% return before expenses) $1,000 $1,020 $4.53
Retail Class
- ------------
Actual $1,000 $1,091 $6.00
Hypothetical (5% return before expenses) $1,000 $1,019 $5.79
Admin Class
- -----------
Actual $1,000 $1,090 $7.29
Hypothetical (5% return before expenses) $1,000 $1,018 $7.04
* 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 182/365 (to reflect the
half-year period).
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,055 $3.33
Hypothetical (5% return before expenses) $1,000 $1,022 $3.28
*Expenses are equal to the Fund's annualized expense ratio of 0.65%, multiplied by the average
account value over the period, multiplied by 182/365 (to reflect the half-year period).
LOOMIS SAYLES VALUE FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,098 $4.45
Hypothetical (5% return before expenses) $1,000 $1,021 $4.28
*Expenses are equal to the Fund's annualized expense ratio of 0.85%, multiplied by the average
account value over the period, multiplied by 182/365 (to reflect the half-year period).
LOOMIS SAYLES WORLDWIDE FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/04 3/31/05 10/1/04 - 3/31/05
- ------------------- ------------- ------------- -----------------
Actual $1,000 $1,092 $5.22
Hypothetical (5% return before expenses) $1,000 $1,020 $5.04
*Expenses are equal to the Fund's annualized expense ratio of 1.00%, multiplied by the average
account value over the period, multiplied by 182/365 (to reflect the half-year period).
15
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
SHARES VALUE (a)
- --------------------------------------------------------------
COMMON STOCKS - 103.5% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 4.8%
L-3 Communications Holdings, Inc. 18,575 $1,319,196
Precision Castparts Corp. 14,075 1,083,916
----------
2,403,112
----------
BEVERAGES - 2.3%
Constellation Brands, Inc., Class A(c) 21,975 1,161,818
----------
BIOTECHNOLOGY - 3.3%
Affymetrix, Inc.(c) 12,325 528,003
Gen-Probe, Inc.(c) 17,175 765,318
Idenix Pharmaceuticals, Inc.(c)(d) 19,900 395,015
----------
1,688,336
----------
CAPITAL MARKETS - 6.4%
Investors Financial Services Corp. 23,175 1,133,489
Legg Mason, Inc. 12,950 1,011,913
T. Rowe Price Group, Inc. 18,200 1,080,716
----------
3,226,118
----------
CHEMICALS - 1.4%
Lyondell Chemical Co. 25,000 698,000
----------
COMMERCIAL SERVICES & SUPPLIES - 2.2%
Corporate Executive Board Co. 17,250 1,103,138
----------
COMMUNICATIONS EQUIPMENT - 2.5%
F5 Networks, Inc.(c)(d) 15,125 763,661
Research In Motion Ltd.(c) 6,750 515,835
----------
1,279,496
----------
COMPUTERS & PERIPHERALS - 5.8%
Apple Computer, Inc.(c) 31,550 1,314,688
Network Appliance, Inc.(c) 28,350 784,161
QLogic Corp.(c) 19,850 803,925
----------
2,902,774
----------
DIVERSIFIED FINANCIAL SERVICES - 3.9%
Chicago Mercantile Exchange 4,250 824,627
Moody's Corp. 14,150 1,144,169
----------
1,968,796
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.0%
Cogent, Inc.(c)(d) 20,625 519,338
----------
FOOD & DRUG RETAILING - 2.4%
Whole Foods Market, Inc. 11,800 1,205,134
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 7.5%
C.R. Bard, Inc. 19,025 1,295,222
Intuitive Surgical, Inc.(c) 17,350 788,905
Kinetic Concepts, Inc.(c) 8,975 535,359
Ventana Medical Systems, Inc.(c)(d) 30,175 1,130,355
----------
3,749,841
----------
HEALTHCARE PROVIDERS & SERVICES - 7.2%
Medco Health Solutions, Inc.(c) 16,500 817,905
PacifiCare Health Systems, Inc.(c) 13,250 754,190
Sierra Health Services, Inc.(c)(d) 15,225 971,964
WellPoint, Inc.(c) 8,800 1,103,080
----------
3,647,139
----------
16
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND - CONTINUED
SHARES VALUE (a)
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HOTELS, RESTAURANTS & LEISURE - 12.5%
Harrah's Entertainment, Inc. 12,075 $ 779,804
Las Vegas Sands Corp.(c)(d) 10,775 484,875
Starwood Hotels & Resorts Worldwide, Inc. 23,125 1,388,194
Station Casinos, Inc. 23,575 1,592,491
Wynn Resorts, Ltd.(c) 11,775 797,638
Yum! Brands, Inc. 24,075 1,247,326
----------
6,290,328
----------
INTERNET SOFTWARE & SERVICES - 1.1%
Google, Inc., Class A(c) 3,150 568,607
----------
IT SERVICES - 3.8%
Cognizant Technology Solutions Corp.(c) 29,725 1,373,295
SRA International, Inc., Class A(c)(d) 9,075 546,769
----------
1,920,064
----------
MACHINERY - 3.0%
Bucyrus International, Inc., Class A 12,600 492,156
Joy Global, Inc. 29,000 1,016,740
----------
1,508,896
----------
MEDIA - 5.4%
Getty Images, Inc.(c) 17,025 1,210,648
Sirius Satellite Radio, Inc.(c)(d) 63,225 355,324
XM Satellite Radio Holdings, Inc., Class A(c)(d) 36,500 1,149,750
----------
2,715,722
----------
METALS & MINING - 2.1%
Nucor Corp. 17,975 1,034,641
----------
OIL & GAS DRILLING EQUIPMENT - 6.0%
Noble Corp. 26,000 1,461,460
Transocean, Inc.(c) 30,175 1,552,805
----------
3,014,265
----------
OIL & GAS EXPLORATION - 3.8%
EOG Resources, Inc. 17,700 862,698
Ultra Petroleum Corp.(c)(d) 20,375 1,035,050
----------
1,897,748
----------
REAL ESTATE - 2.1%
St. Joe Co. 15,500 1,043,150
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.7%
Marvell Technology Group Ltd.(c) 36,050 1,382,157
----------
SOFTWARE - 2.8%
Mercury Interactive Corp.(c) 18,175 861,132
NAVTEQ(c) 12,500 541,875
----------
1,403,007
----------
SPECIALTY RETAIL - 3.7%
American Eagle Outfitters, Inc.(d) 33,450 988,447
Chico's FAS, Inc.(c) 30,600 864,756
----------
1,853,203
----------
TEXTILES APPAREL & LUXURY GOODS - 2.0%
Coach, Inc.(c) 18,050 1,022,172
----------
17
SHARES
- ----------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRANSPORTATION SERVICES - 1.8%
UTI Worldwide, Inc.(d) 13,125
TOTAL COMMON STOCKS
(Identified Cost $46,090,032)
PRINCIPAL AMOUNT
- ----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 17.3%
Repurchase Agreement with State Street Corp., dated
3/31/05 at 1.25% to be repurchased at $2,597,090 on
4/01/05 collateralized by $2,305,000 U.S. Treasury
Bond, 6.000% due 2/15/26 with a value of $2,652,073 $2,597,000
SHARES
- ----------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(e) 6,144,079
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $8,741,079)
TOTAL INVESTMENTS - 120.8%
(Identified Cost $54,831,111)(b)
Other assets less liabilities--(20.8)%
TOTAL NET ASSETS - 100%
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost $54,831,111 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
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value
Net unrealized appreciation
VALUE (a)
- ----------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRANSPORTATION SERVICES - 1.8%
UTI Worldwide, Inc.(d) $ 911,531
-------------
TOTAL COMMON STOCKS
(Identified Cost $46,090,032) 52,118,531
-------------
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 17.3%
Repurchase Agreement with State Street Corp., dated
3/31/05 at 1.25% to be repurchased at $2,597,090 on
4/01/05 collateralized by $2,305,000 U.S. Treasury
Bond, 6.000% due 2/15/26 with a value of $2,652,073 2,597,000
-------------
- ----------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(e) 6,144,079
-------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $8,741,079) 8,741,079
-------------
TOTAL INVESTMENTS - 120.8%
(Identified Cost $54,831,111)(b) 60,859,610
Other assets less liabilities--(20.8)% (10,517,159)
-------------
TOTAL NET ASSETS - 100% $ 50,342,451
-------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost $54,831,111 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 $ 6,569,925
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (541,426)
-------------
Net unrealized appreciation $ 6,028,499
-------------
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 gains, if any, to the extent provided by
regulations.
(c)Non-income producing security.
(d)All or a portion of securities on loan to brokers at March 31, 2005.
(e)Represents investment of securities lending collateral.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Hotels, Restaurants & Leisure 12.5% Biotechnology 3.3%
Healthcare Equipment & Supplies 7.5 Machinery 3.0
Healthcare Providers & Services 7.2 Software 2.8
Capital Markets 6.4 Semiconductors & Semiconductor Equipment 2.7
Oil & Gas Drilling Equipment 6.0 Communications Equipment 2.5
Computers & Peripherals 5.8 Food & Drug Retailing 2.4
Media 5.4 Beverages 2.3
Aerospace & Defense 4.8 Commercial Services & Supplies 2.2
Diversified Financial Services 3.9 Real Estate 2.1
IT Services 3.8 Metals & Mining 2.1
Oil & Gas Exploration 3.8 Textiles Apparel & Luxury Goods 2.0
Specialty Retail 3.7 Other, less than 2% each 5.3
See accompanying notes to financial statements.
18
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND
SHARES VALUE (a)
- --------------------------------------------------------------
COMMON STOCKS - 98.2% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 2.1%
Aviall, Inc.(c) 7,500 $ 210,000
Essex Corp.(c) 12,850 209,841
----------
419,841
----------
BIOTECHNOLOGY - 0.8%
Idenix Pharmaceuticals, Inc.(c)(d) 8,000 158,800
----------
BUILDING & CONSTRUCTION - 0.8%
Trex Company, Inc.(c)(d) 3,600 159,876
----------
BUILDING PRODUCTS - 0.9%
Simpson Manufacturing Co., Inc. 5,825 179,993
----------
BUSINESS SERVICES - 1.3%
Global Payments, Inc.(d) 4,025 259,572
----------
CAPITAL MARKETS - 0.9%
Affiliated Managers Group, Inc.(c)(d) 2,950 182,989
----------
COMMERCIAL BANKS - 2.3%
East West Bancorp, Inc. 6,925 255,671
Hanmi Financial Corp. 10,900 180,395
----------
436,066
----------
COMMERCIAL SERVICES & SUPPLIES - 8.8%
Bright Horizons Family Solutions, Inc.(c) 4,550 153,517
Charles River Associates, Inc.(c)(d) 5,400 266,490
Corporate Executive Board Co. 3,175 203,041
DiamondCluster International, Inc.(c) 13,950 224,595
Hudson Highland Group, Inc.(c) 11,600 198,244
Laureate Education, Inc.(c) 4,850 207,532
Mobile Mini, Inc.(c) 5,450 220,234
Navigant Consulting, Inc.(c) 8,225 223,967
----------
1,697,620
----------
COMMUNICATIONS EQUIPMENT - 0.7%
F5 Networks, Inc.(c) 2,625 132,536
----------
EDUCATION - 1.1%
Universal Technical Institute, Inc.(c)(d) 5,725 210,680
----------
ENERGY EQUIPMENT & SERVICES - 4.6%
Atwood Oceanics, Inc.(c) 3,775 251,188
Cal Dive International, Inc.(c) 3,100 140,430
Hydril Co.(c) 3,450 201,515
Maverick Tube Corp.(c) 3,475 112,972
Pioneer Drilling Co.(c)(d) 12,675 174,535
----------
880,640
----------
FOOD & STAPLES RETAILING - 1.0%
United Natural Foods, Inc.(c) 6,625 189,674
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 6.7%
American Medical Systems Holdings, Inc.(c) 7,250 124,555
American Science & Engineering, Inc.(c)(d) 4,000 178,840
ArthroCare Corp.(c)(d) 6,900 196,650
Immucor, Inc.(c) 6,825 206,046
Intuitive Surgical, Inc.(c) 5,000 227,350
Palomar Medical Technologies, Inc.(c)(d) 5,275 142,267
Ventana Medical Systems, Inc.(c)(d) 5,900 221,014
----------
1,296,722
----------
19
SHARES VALUE (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 15.8%
Advisory Board Co.(c) 5,075 $ 221,777
Chemed Corp.(d) 3,175 242,824
HealthExtras, Inc.(c) 12,275 204,379
HealthTronics, Inc.(c)(d) 18,250 196,370
LCA-Vision, Inc. 11,350 377,955
Matria Healthcare, Inc.(c)(d) 5,337 163,899
Molina Healthcare, Inc.(c) 3,225 148,640
NovaMed, Inc.(c) 24,125 138,719
Psychiatric Solutions, Inc.(c)(d) 5,100 234,600
Radiation Therapy Services, Inc.(c) 9,700 184,106
Sierra Health Services, Inc.(c)(d) 4,075 260,148
Symbion, Inc.(c) 11,800 252,166
United Surgical Partners International, Inc.(c) 5,175 236,860
Ventiv Health, Inc.(c) 8,675 199,525
----------
3,061,968
----------
HOTELS, RESTAURANTS & LEISURE - 7.5%
Applebee's International, Inc. 6,975 192,231
Buffalo Wild Wings, Inc.(c)(d) 5,300 200,499
Cosi, Inc.(c)(d) 28,400 193,120
Panera Bread Co., Class A(c)(d) 4,225 238,839
Pinnacle Entertainment, Inc.(c) 12,550 209,585
Sonic Corp.(c) 6,675 222,945
Sunterra Corp.(c) 12,625 190,385
----------
1,447,604
----------
HOUSEHOLD DURABLES - 1.9%
Meritage Homes Corp.(c) 3,175 187,071
Tempur-Pedic International, Inc.(c)(d) 9,450 176,337
----------
363,408
----------
INSURANCE - 2.4%
CB Richard Ellis Group, Inc., Class A(c) 7,950 278,170
ProAssurance Corp.(c) 4,925 194,538
----------
472,708
----------
INTERNET & CATALOG RETAIL - 1.9%
Coldwater Creek, Inc.(c) 10,200 188,496
GSI Commerce, Inc.(c) 13,450 181,979
----------
370,475
----------
INTERNET SOFTWARE & SERVICES - 3.0%
CryptoLogic, Inc.(d) 5,450 168,841
j2 Global Communications, Inc.(c)(d) 4,950 169,835
Niku Corp.(c)(d) 13,000 234,650
----------
573,326
----------
IT SERVICES - 2.5%
Infocrossing, Inc.(c)(d) 13,500 213,840
iPayment Holdings, Inc.(c) 6,175 260,585
----------
474,425
----------
MACHINERY - 2.3%
Bucyrus International, Inc., Class A 4,950 193,347
Joy Global, Inc. 7,087 248,470
----------
441,817
----------
20
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND - CONTINUED
SHARES VALUE (a)
- ---------------------------------------------------------------------
COMMON STOCKS - CONTINUED
METALS & MINING - 1.5%
Commercial Metals Co. 4,325 $ 146,574
GFI Group, Inc.(c) 5,625 150,919
-----------
297,493
-----------
OIL & GAS - 4.3%
ATP Oil & Gas Corp.(c) 5,950 128,758
Energy Partners Ltd.(c) 6,275 162,962
Range Resources Corp. 6,200 144,832
Unit Corp.(c) 3,325 150,190
W-H Energy Services, Inc.(c) 10,075 241,095
-----------
827,837
-----------
PHARMACEUTICALS - 0.9%
Impax Laboratories, Inc.(c)(d) 11,275 180,400
-----------
REAL ESTATE - 1.0%
Jones Lang LaSalle, Inc.(c) 4,325 201,761
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.2%
ATMI, Inc.(c)(d) 9,350 234,124
FormFactor, Inc.(c) 8,575 194,138
Microsemi Corp.(c) 22,050 359,195
Tessera Technologies, Inc.(c) 4,975 215,069
-----------
1,002,526
-----------
SOFTWARE - 5.6%
Bottomline Technologies, Inc.(c)(d) 19,500 254,475
Epicor Software Corp.(c)(d) 14,525 190,277
Hyperion Solutions Corp.(c) 4,225 186,365
Macromedia, Inc.(c) 6,000 201,000
SS&C Technologies, Inc. 10,775 245,670
-----------
1,077,787
-----------
SPECIALTY RETAIL - 4.7%
Central Garden & Pet Co.(c) 5,675 248,905
Children's Place Retail Stores, Inc. (The)(c) 5,350 255,462
Guitar Center, Inc.(c)(d) 3,550 194,647
PETCO Animal Supplies, Inc.(c) 5,600 206,136
-----------
905,150
-----------
TELECOMMUNICATIONS - 1.0%
SBA Communications Corp.(c)(d) 21,675 198,543
-----------
TELECOMMUNICATIONS - WIRELESS - 0.8%
Alamosa Holdings, Inc.(c)(d) 12,400 144,708
-----------
TEXTILES, APPAREL & LUXURY GOODS - 1.0%
Carter's, Inc.(c) 4,975 197,756
-----------
TRADING COMPANIES & DISTRIBUTORS - 1.5%
NuCo2, Inc.(c)(d) 10,650 280,095
-----------
TRANSPORTATION - 1.4%
Hub Group, Inc., Class A(c) 4,375 274,181
-----------
TOTAL COMMON STOCKS
(Identified Cost $17,662,652) 18,998,977
-----------
21
PRINCIPAL AMOUNT VALUE (a)
- ------------------------------------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS - 28.1%
Repurchase Agreement with State Street Corp., dated
3/31/05 at 1.25% to be repurchased at $379,013 on
4/01/05 collateralized by $355,000 U.S. Treasury Bond,
5.250% due 8/15/28 with a value of $387,715 $ 379,000 $ 379,000
------------
SHARES
- ------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(e) 5,054,684 5,054,684
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $5,433,684) 5,433,684
------------
TOTAL INVESTMENTS - 126.3%
(Identified Cost $23,096,336)(b) 24,432,661
Other assets less liabilities--(26.3)% (5,096,627)
------------
TOTAL NET ASSETS - 100% $ 19,336,034
------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost of $23,096,336 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 $ 1,773,012
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (436,687)
------------
Net unrealized appreciation $ 1,336,325
------------
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.
(c)Non-income producing security.
(d)All or a portion of this security was on loan to brokers at March 31, 2005.
(e)Represents investment of securities lending collateral.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Healthcare Providers & Services 15.8% Oil & Gas 4.3%
Commercial Services & Supplies 8.8 Internet Software & Services 3.0
Hotels, Restaurants & Leisure 7.5 IT Services 2.5
Healthcare Equipment & Supplies 6.7 Insurance 2.4
Software 5.6 Commercial Banks 2.3
Semiconductors & Semiconductor Equipment 5.2 Machinery 2.3
Specialty Retail 4.7 Aerospace & Defense 2.1
Energy Equipment & Services 4.6 Other, less than 2% each 20.4
See accompanying notes to financial statements.
22
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND
SHARES VALUE (a)
- ------------------------------------------------------------------
COMMON STOCKS - 96.5% OF TOTAL NET ASSETS
ADVERTISING - 0.4%
Catalina Marketing Corp.(e) 91,850 $ 2,378,915
-----------
AEROSPACE & DEFENSE - 1.2%
Allied Defense Group, Inc. (The)(c) 76,175 1,865,526
Moog, Inc., Class A(c) 128,275 5,798,030
-----------
7,663,556
-----------
AUTO COMPONENTS - 1.2%
ArvinMeritor, Inc.(e) 197,750 3,059,193
Cooper Tire & Rubber Co.(e) 236,450 4,341,222
-----------
7,400,415
-----------
AUTO & RELATED - 0.7%
Oshkosh Truck Corp.(e) 52,325 4,290,127
-----------
AUTOMOBILES - 0.2%
Monaco Coach Corp.(e) 86,200 1,392,130
-----------
BUILDING & CONSTRUCTION - 0.5%
Insituform Technologies, Inc., Class A(c)(e) 223,900 3,248,789
-----------
BUILDING PRODUCTS - 1.2%
Elk Corp.(e) 47,850 1,840,311
Lennox International, Inc.(e) 270,525 5,929,908
-----------
7,770,219
-----------
CHEMICALS - 3.6%
Cabot Corp.(e) 105,850 3,538,566
Cytec Industries, Inc.(e) 122,225 6,630,706
FMC Corp.(c) 40,450 2,162,052
Great Lakes Chemical Corp.(e) 61,650 1,980,198
Nalco Holding Co.(c) 102,300 1,926,309
Scotts Miracle-Gro. Co., Class A(c)(e) 55,125 3,871,429
Spartech Corp.(e) 172,375 3,421,644
-----------
23,530,904
-----------
COMMERCIAL BANKS - 8.9%
Alabama National BanCorporation(e) 57,975 3,588,073
Community Bancorp(c)(e) 67,275 1,694,657
CVB Financial Corp.(e) 202,090 3,665,913
East West Bancorp, Inc.(e) 154,950 5,720,754
First Midwest Bancorp, Inc.(e) 127,675 4,146,884
IBERIABANK Corp.(e) 62,275 3,503,592
Independent Bank Corp.(e) 182,437 5,248,712
Oriental Financial Group, Inc.(e) 154,182 3,610,942
Pennsylvania Commerce Bancorp, Inc. 88,300 2,649,000
PrivateBankcorp, Inc.(e) 116,750 3,667,118
Signature Bank(c)(e) 172,100 4,562,371
South Financial Group, Inc.(e) 178,775 5,459,788
Texas Regional Bancshares, Inc., Class A(e) 142,500 4,290,675
Wintrust Financial Corp.(e) 100,625 4,738,431
-----------
56,546,910
-----------
COMMERCIAL SERVICES & SUPPLIES - 2.7%
Hudson Highland Group, Inc.(c)(e) 236,950 4,049,476
McGrath Rentcorp(e) 198,000 4,629,240
Vertrue, Inc.(c)(e) 70,450 2,496,748
23
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE (a)
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
COMMERCIAL SERVICES & SUPPLIES - CONTINUED
Waste Connections, Inc.(c)(e) 114,675 $ 3,984,956
WCA Waste Corp.(c) 223,811 2,193,348
-----------
17,353,768
-----------
COMMUNICATIONS EQUIPMENT - 2.3%
ADTRAN, Inc.(e) 180,875 3,190,635
Anaren, Inc.(c) 132,825 1,611,167
Aspect Communications Corp.(c)(e) 246,425 2,565,284
Comtech Telecommunications Corp.(c)(e) 60,650 3,159,865
Foundry Networks, Inc.(c)(e) 203,900 2,018,610
SafeNet, Inc.(c)(e) 78,750 2,308,163
-----------
14,853,724
-----------
COMPUTERS & PERIPHERALS - 0.8%
Imation Corp.(e) 149,475 5,194,256
-----------
CONSTRUCTION & ENGINEERING - 0.9%
Washington Group International, Inc.(c)(e) 134,125 6,034,284
-----------
CONSTRUCTION MATERIALS - 0.6%
Eagle Materials, Inc.(e) 45,800 3,707,052
-----------
CONSUMER DURABLES & APPAREL - 0.4%
Tupperware Corp.(e) 114,375 2,328,675
-----------
DIVERSIFIED FINANCIAL SERVICES - 1.5%
iShares Russell 2000 Value Index Fund(e) 25,900 4,772,075
National Financial Partners Corp.(e) 112,850 4,491,430
-----------
9,263,505
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.0%
Commonwealth Telephone Enterprises, Inc.(c)(e) 64,625 3,046,423
Iowa Telecommunications Services, Inc.(e) 159,525 3,110,737
-----------
6,157,160
-----------
ELECTRIC UTILITIES - 0.2%
Otter Tail Corp.(e) 56,375 1,411,630
-----------
ELECTRICAL EQUIPMENT - 2.2%
AMETEK, Inc. 188,200 7,575,050
Artesyn Technologies, Inc.(c)(e) 398,100 3,467,451
General Cable Corp.(c)(e) 228,350 2,756,184
-----------
13,798,685
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.0%
Anixter International, Inc.(e) 101,725 3,677,359
Daktronics, Inc.(c)(e) 550 11,907
Excel Technology, Inc.(c)(e) 66,700 1,639,486
Global Imaging System, Inc.(c)(e) 94,600 3,354,516
Rogers Corp.(c)(e) 18,825 753,000
Varian, Inc.(c)(e) 80,725 3,058,670
-----------
12,494,938
-----------
ENERGY EQUIPMENT & SERVICES - 2.4%
Cal Dive International, Inc.(c)(e) 120,825 5,473,372
Carbo Ceramics, Inc.(e) 48,825 3,425,074
FMC Technologies, Inc.(c)(e) 137,275 4,554,784
Hydril Co.(c)(e) 33,175 1,937,752
-----------
15,390,982
-----------
24
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE (a)
- ---------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
FOOD & STAPLES RETAILING - 1.3%
BJ's Wholesale Club, Inc.(c) 123,825 $ 3,846,005
Performance Food Group Co.(c)(e) 97,925 2,710,564
Smart & Final, Inc.(c)(e) 157,050 1,909,728
-----------
8,466,297
-----------
FOOD PRODUCTS - 1.3%
J & J Snack Foods Corp.(e) 33,625 1,574,659
Ralcorp Holdings, Inc.(e) 145,125 6,871,669
-----------
8,446,328
-----------
GAS UTILITIES - 1.5%
AGL Resources, Inc.(e) 162,450 5,674,378
Southern Union Co.(e) 144,636 3,631,810
-----------
9,306,188
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.3%
Arrow International, Inc.(e) 91,025 3,126,709
Sybron Dental Specialties, Inc.(c)(e) 141,250 5,070,875
-----------
8,197,584
-----------
HEALTHCARE PROVIDERS & SERVICES - 1.8%
Andrx Corp.(c)(e) 200,075 4,535,700
Kindred Healthcare, Inc.(c)(e) 69,850 2,451,735
LifePoint Hospitals, Inc.(c)(e) 98,500 4,318,240
-----------
11,305,675
-----------
HOTELS, RESTAURANTS & LEISURE - 3.0%
CBRL Group, Inc.(e) 90,850 3,752,105
Dover Downs Entertainment, Inc.(e) 165,461 2,059,989
Fairmont Hotels & Resorts, Inc.(e) 138,925 4,603,974
Six Flags, Inc.(c)(e) 229,250 944,510
Steak n Shake Co. (The)(c)(e) 212,950 4,120,583
Sunterra Corp.(c)(e) 240,925 3,633,149
-----------
19,114,310
-----------
INDUSTRIAL CONGLOMERATES - 1.3%
ALLETE, Inc.(e) 60,583 2,535,398
SI International, Inc.(c)(e) 129,825 3,587,065
Texas Industries, Inc.(e) 35,625 1,914,844
-----------
8,037,307
-----------
INFORMATION TECHNOLOGY - CONSULTING & SERVICES - 0.4%
Avocent Corp.(c)(e) 111,475 2,860,449
-----------
INSURANCE - 5.4%
AmerUs Group Co.(e) 66,150 3,125,588
Delphi Financial Group, Inc.(e) 123,225 5,298,675
Endurance Specialty Holdings Ltd. 146,400 5,539,776
KMG America Corp.(c) 298,000 2,905,500
Ohio Casualty Corp.(c)(e) 214,250 4,923,465
ProAssurance Corp.(c)(e) 107,375 4,241,312
Protective Life Corp. 89,975 3,536,017
RLI Corp.(e) 109,975 4,558,464
-----------
34,128,797
-----------
INTERNET & CATALOG RETAIL - 0.4%
FTD Group, Inc.(c) 208,750 2,530,050
-----------
25
SHARES VALUE (a)
- ----------------------------------------------------------------
COMMON STOCKS - CONTINUED
INTERNET SOFTWARE & SERVICES - 1.2%
Borland Software Corp.(c)(e) 160,450 $ 1,302,854
Digitas, Inc.(c) 610,225 6,163,273
-----------
7,466,127
-----------
IT SERVICES - 1.4%
Perot Systems Corp., Class A(c)(e) 228,675 3,073,392
Wright Express Corp.(c) 327,050 5,592,555
-----------
8,665,947
-----------
MACHINERY - 5.7%
Actuant Corp., Class A(c)(e) 115,900 5,206,228
Albany International Corp., Class A 107,925 3,332,724
Barnes Group, Inc.(e) 183,600 4,988,412
CLARCOR, Inc.(e) 129,625 6,735,315
Commercial Vehicle Group, Inc.(c) 169,725 3,394,500
ESCO Technologies, Inc.(c)(e) 31,675 2,545,086
IDEX Corp.(e) 164,700 6,645,645
Reliance Steel & Aluminum Co.(e) 91,500 3,660,915
-----------
36,508,825
-----------
MANUFACTURING - 0.9%
Harsco Corp. 91,925 5,479,649
-----------
MEDIA - 5.7%
ADVO, Inc. 126,437 4,735,066
Harte-Hanks, Inc. 181,625 5,005,585
John Wiley & Son, Inc., Class A(e) 124,200 4,378,050
R.H. Donnelley Corp.(c) 174,325 10,126,539
Saga Communications, Inc., Class A(c) 217,250 3,497,725
Scholastic Corp.(c)(e) 129,150 4,764,343
Valassis Communications, Inc.(c) 109,725 3,835,986
-----------
36,343,294
-----------
MULTI-UTILITIES & UNREGULATED POWER - 1.8%
Energen Corp.(e) 41,225 2,745,585
NorthWestern Corp.(e) 179,000 4,720,230
ONEOK, Inc.(e) 137,600 4,240,832
-----------
11,706,647
-----------
MULTILINE RETAIL - 0.3%
ShopKo Stores, Inc.(c)(e) 74,725 1,660,390
-----------
OIL & GAS - 3.5%
ATP Oil & Gas Corp.(c) 140,850 3,047,994
Carrizo Oil & Gas, Inc.(e) 154,475 2,624,530
Denbury Resources, Inc.(c)(e) 97,900 3,449,017
Energy Partners Ltd.(c)(e) 271,025 7,038,519
Stone Energy Corp.(c)(e) 66,800 3,244,476
Western Gas Resources, Inc.(e) 82,200 2,831,790
-----------
22,236,326
-----------
PHARMACEUTICALS - 2.0%
Par Pharmaceutical Cos., Inc.(c)(e) 117,775 3,938,396
Perrigo Co.(e) 464,800 8,900,920
-----------
12,839,316
-----------
26
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE (a)
- ---------------------------------------------------------------------
COMMON STOCKS - CONTINUED
REAL ESTATE - 6.0%
American Home Mortgage Investment Corp. 149,700 $ 4,287,408
CBL & Associates Properties, Inc.(e) 74,750 5,345,372
Corporate Office Properties Trust(e) 155,975 4,130,218
Eagle Hospitality Properties Trust, Inc.(c) 399,350 3,582,170
First Potomac Realty Trust(e) 198,350 4,532,297
Highland Hospitality Corp.(e) 200,900 2,079,315
LaSalle Hotel Properties(e) 159,400 4,630,570
Levitt Corp., Class A(e) 111,587 2,861,091
Newcastle Investment Corp.(e) 156,475 4,631,660
Ramco-Gershenson Properties Trust(e) 75,400 2,047,110
-----------
38,127,211
-----------
ROAD & RAIL - 3.0%
Genesee & Wyoming, Inc., Class A(c)(e) 172,275 4,463,645
Laidlaw International, Inc.(c)(e) 266,700 5,547,360
Landstar System, Inc.(c)(e) 92,300 3,022,825
Marten Transport Ltd(c)(e) 108,075 2,305,240
Old Dominion Freight Line, Inc.(c)(e) 99,300 3,093,195
Universal Truckload Services, Inc.(c)(e) 27,675 583,942
-----------
19,016,207
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.7%
AMIS Holdings, Inc.(c)(e) 292,600 3,303,454
Cymer, Inc.(c)(e) 101,500 2,717,155
Diodes, Inc.(c) 10,650 288,935
DSP Group, Inc.(c)(e) 163,675 4,216,268
-----------
10,525,812
-----------
SOFTWARE - 1.1%
Hyperion Solutions Corp.(c)(e) 63,650 2,807,602
MRO Software, Inc.(c)(e) 70,400 987,712
Progress Software Corp.(c)(e) 117,450 3,079,539
-----------
6,874,853
-----------
SPECIALTY RETAIL - 4.0%
Adesa, Inc.(e) 181,750 4,245,680
Cost Plus, Inc.(c)(e) 74,450 2,001,216
Hot Topic, Inc.(c)(e) 111,450 2,435,182
Men's Wearhouse, Inc.(c)(e) 120,700 5,094,747
Party City Corp.(c)(e) 99,750 1,460,340
Pier 1 Imports, Inc.(e) 183,625 3,347,484
Rush Enterprises, Inc., Class A(c) 111,075 1,741,656
West Marine, Inc.(c)(e) 245,950 5,228,897
-----------
25,555,202
-----------
TEXTILES APPAREL & LUXURY GOODS - 0.3%
Fossil, Inc.(c)(e) 76,787 1,990,703
-----------
THRIFTS & MORTGAGE FINANCE - 3.0%
BankAtlantic Bancorp, Inc., Class A(e) 253,325 4,407,855
BankUnited Financial Corp.(c) 193,125 5,187,337
Independence Community Bank Corp. 107,275 4,183,725
Provident Bancorp, Inc. 421,950 5,164,668
-----------
18,943,585
-----------
27
SHARES VALUE (a)
- ---------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
TRADING COMPANIES & DISTRIBUTORS - 1.9%
BlueLinx Holdings, Inc.(c)(e) 291,625 $ 3,939,854
Hughes Supply, Inc.(e) 131,150 3,901,713
UAP Holding Corp.(c)(e) 249,175 4,011,717
--------------
11,853,284
--------------
WATER UTILITIES - 0.4%
American States Water Co. 110,350 2,791,855
--------------
TOTAL COMMON STOCKS
(Identified Cost $491,393,103) 613,188,842
--------------
PRINCIPAL AMOUNT
- ---------------------------------------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS - 28.8%
COMMERCIAL PAPER - 1.9%
San Paolo United States Financial Co.,
2.000%, 4/01/2005(d) $ 11,851,000 11,851,000
--------------
SHARES
- ---------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(f) 170,787,636 170,787,636
--------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $182,638,636) 182,638,636
--------------
TOTAL INVESTMENTS - 125.3%
(Identified Cost $674,031,739)(b) 795,827,478
Other assets less liabilities--(25.3)% (160,749,130)
--------------
TOTAL NET ASSETS - 100% $ 635,078,348
--------------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost of $674,031,739 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 $ 132,168,271
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (10,372,532)
--------------
Net unrealized appreciation $ 121,795,739
--------------
(c)Non-income producing security.
(d)Interest rate represents annualized yield at time of purchase; not a coupon
rate.
(e)All or a portion of this security was on loan to brokers at March 31, 2005.
(f)Represents investment of securities lending collateral.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Commercial Banks 8.9% Road & Rail 3.0%
Real Estate 6.0 Thrifts & Mortgage Finance 3.0
Machinery 5.7 Commercial Services & Supplies 2.7
Media 5.7 Energy Equipment & Services 2.4
Insurance 5.4 Communications Equipment 2.3
Specialty Retail 4.0 Electrical Equipment 2.2
Chemicals 3.6 Electronic Equipment & Instruments 2.0
Oil & Gas 3.5 Pharmaceuticals 2.0
Hotels, Restaurants & Leisure 3.0 Other, less than 2% each 31.1
See accompanying notes to financial statements.
28
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
SHARES VALUE (a)
- ----------------------------------------------------------------
COMMON STOCKS - 96.4% OF TOTAL NET ASSETS
AUTOMOBILES - 2.2%
Harley-Davidson, Inc. 3,000 $173,280
---------
BEVERAGES - 2.9%
PepsiCo, Inc. 4,250 225,377
---------
BIOTECHNOLOGY - 2.4%
Amgen, Inc.(c) 3,200 186,272
---------
CAPITAL MARKETS - 5.3%
Bear Stearns Cos., Inc. 1,750 174,825
Goldman Sachs Group, Inc. 2,250 247,477
---------
422,302
---------
CHEMICALS - 2.1%
Praxair, Inc. 3,500 167,510
---------
COMMERCIAL BANKS - 4.8%
Wells Fargo & Co. 3,300 197,340
Zions Bancorporation 2,550 176,001
---------
373,341
---------
COMMERCIAL SERVICES & SUPPLIES - 1.8%
ARAMARK Corp., Class B 5,250 137,970
---------
COMMUNICATIONS EQUIPMENT - 6.0%
Cisco Systems, Inc.(c) 6,750 120,757
Harris Corp. 5,800 189,370
Nokia Oyj ADR 5,300 81,779
QUALCOMM, Inc. 2,100 76,965
---------
468,871
---------
COMPUTERS & PERIPHERALS - 2.2%
Dell, Inc.(c) 4,500 172,890
---------
CONTAINERS & PACKAGING - 2.2%
Ball Corp. 4,125 171,105
---------
DIVERSIFIED FINANCIALS - 2.5%
Citigroup, Inc. 4,400 197,736
---------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.1%
SBC Communications, Inc. 7,000 165,830
---------
ELECTRIC UTILITIES - 1.1%
Dominion Resources, Inc. 1,200 89,316
---------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.4%
Flextronics International Ltd.(c) 9,000 108,360
---------
ENERGY EQUIPMENT & SERVICES - 1.6%
GlobalSantaFe Corp. 3,300 122,232
---------
FOOD & STAPLES RETAILING - 2.4%
Wal-Mart Stores, Inc. 3,750 187,913
---------
HEALTHCARE EQUIPMENT & SUPPLIES - 5.2%
Guidant Corp. 2,000 147,800
Kinetic Concepts, Inc.(c) 1,875 111,844
Zimmer Holdings, Inc.(c) 1,900 147,839
---------
407,483
---------
29
SHARES VALUE (a)
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 3.8%
Caremark Rx, Inc.(c) 3,925 $ 156,137
Medtronic, Inc. 2,775 141,386
----------
297,523
----------
HOTELS, RESTAURANTS & LEISURE - 5.1%
Carnival Corp. 4,000 207,240
Yum! Brands, Inc. 3,725 192,992
----------
400,232
----------
HOUSEHOLD DURABLES - 2.1%
Leggett & Platt, Inc. 5,750 166,060
----------
INDUSTRIAL CONGLOMERATES - 5.3%
3M Co. 1,700 145,673
General Electric Co. 7,425 267,745
----------
413,418
----------
INSURANCE - 2.8%
AFLAC, Inc. 6,000 223,560
----------
IT SERVICES - 3.5%
Accenture Ltd., Class A(c) 8,675 209,501
First Data Corp. 1,750 68,793
----------
278,294
----------
MACHINERY - 4.9%
Danaher Corp. 2,500 133,525
Dover Corp. 4,025 152,105
Illinois Tool Works, Inc. 1,100 98,483
----------
384,113
----------
MEDIA - 2.7%
Viacom, Inc., Class B 6,150 214,205
----------
MULTILINE RETAIL - 1.8%
Target Corp. 2,875 143,808
----------
OIL & GAS - 7.1%
ConocoPhillips 1,400 150,976
Devon Energy Corp. 3,900 186,225
ExxonMobil Corp. 3,675 219,030
----------
556,231
----------
PERSONAL PRODUCTS - 2.2%
Avon Products, Inc. 4,000 171,760
----------
PHARMACEUTICALS - 2.5%
Perrigo Co. 10,450 200,118
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 4.4%
DSP Group, Inc.(c) 5,000 128,800
Intel Corp. 4,675 108,600
Maxim Integrated Products, Inc. 2,600 106,262
----------
343,662
----------
TOTAL COMMON STOCKS
(Identified Cost $6,715,989) 7,570,772
----------
30
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND - CONTINUED
VALUE (a)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 96.4%
(Identified Cost $6,715,989)(b) 7,570,772
Other assets less liabilities--3.6% 284,521
----------
TOTAL NET ASSETS - 100% $7,855,293
----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the unrealized appreciation on investments based on cost of $6,715,989 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 $ 943,420
Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (88,637)
----------
Net unrealized appreciation $ 854,783
----------
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 gains, if any, to the extent provided by
regulations.
(c)Non-income producing security.
ADRAn 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.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Oil & Gas 7.1% Media 2.7%
Communications Equipment 6.0 Pharmaceuticals 2.5
Capital Markets 5.3 Diversified Financials 2.5
Industrial Conglomerates 5.3 Food & Staples Retailing 2.4
Healthcare Equipment & Supplies 5.2 Biotechnology 2.4
Hotels, Restaurants & Leisure 5.1 Automobiles 2.2
Machinery 4.9 Computers & Peripherals 2.2
Commercial Banks 4.8 Personal Products 2.2
Semiconductors & Semiconductor Equipment 4.4 Containers & Packaging 2.2
Healthcare Providers & Services 3.8 Chemicals 2.1
IT Services 3.5 Household Durables 2.1
Beverages 2.9 Diversified Telecommunication Services 2.1
Insurance 2.8 Other, less than 2% each 7.7
See accompanying notes to financial statements.
31
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES VALUE FUND
SHARES VALUE (a)
- -----------------------------------------------------------------
COMMON STOCKS - 96.6% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 5.0%
Honeywell International, Inc. 17,050 $ 634,430
Northrop Grumman Corp. 12,250 661,255
United Technologies Corp. 4,575 465,095
----------
1,760,780
----------
BEVERAGES - 0.8%
Anheuser-Busch Cos., Inc. 5,750 272,493
----------
CAPITAL MARKETS - 3.6%
Lehman Brothers Holdings, Inc. 7,600 715,616
Merrill Lynch & Co., Inc. 9,750 551,850
----------
1,267,466
----------
CHEMICALS - 2.1%
Praxair, Inc. 15,525 743,026
----------
COMMERCIAL BANKS - 8.0%
Bank of America Corp. 10,325 455,332
Comerica, Inc. 4,025 221,697
SunTrust Banks, Inc. 4,625 333,324
U.S. Bancorp 26,050 750,761
Wachovia Corp. 12,504 636,579
Wells Fargo & Co. 7,200 430,560
----------
2,828,253
----------
COMMERCIAL SERVICES & SUPPLIES - 2.0%
Waste Management, Inc. 24,125 696,006
----------
COMMUNICATIONS EQUIPMENT - 2.4%
Avaya, Inc.(c) 32,700 381,936
Motorola, Inc. 30,475 456,211
----------
838,147
----------
COMPUTERS & PERIPHERALS - 0.9%
Apple Computer, Inc.(c) 7,300 304,191
----------
CONSUMER FINANCE - 1.4%
American Express Co. 9,550 490,583
----------
DIVERSIFIED FINANCIALS - 6.1%
CIT Group, Inc. 10,575 401,850
Citigroup, Inc. 22,275 1,001,038
J.P. Morgan Chase & Co. 21,700 750,820
----------
2,153,708
----------
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.7%
BellSouth Corp. 17,775 467,305
CenturyTel, Inc. 8,325 273,393
Citizens Communications Co. 24,625 318,647
SBC Communications, Inc. 24,875 589,289
----------
1,648,634
----------
ELECTRIC UTILITIES - 4.0%
Exelon Corp. 17,200 789,308
PG&E Corp. 17,725 604,422
----------
1,393,730
----------
32
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES VALUE FUND - CONTINUED
SHARES VALUE (a)
- --------------------------------------------------------------
COMMON STOCKS - CONTINUED
ENERGY EQUIPMENT & SERVICES - 4.1%
GlobalSantaFe Corp. 19,800 $ 733,392
Halliburton Co. 16,075 695,244
----------
1,428,636
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.6%
Baxter International, Inc. 16,650 565,767
----------
HEALTHCARE PROVIDERS & SERVICES - 3.4%
Quest Diagnostics, Inc. 4,200 441,546
Universal Health Services, Inc., Class B 14,275 748,010
----------
1,189,556
----------
HOTELS, RESTAURANTS & LEISURE - 2.0%
McDonald's Corp. 22,450 699,093
----------
INDUSTRIAL CONGLOMERATES - 2.2%
Tyco International Ltd. 22,875 773,175
----------
INSURANCE - 3.4%
Allstate Corp. 13,700 740,622
Prudential Financial, Inc. 7,925 454,895
----------
1,195,517
----------
IT SERVICES - 3.0%
Accenture Ltd., Class A(c) 19,125 461,869
First Data Corp. 4,175 164,119
SunGard Data Systems, Inc.(c) 12,750 439,875
----------
1,065,863
----------
LEISURE EQUIPMENT & PRODUCTS - 1.1%
Hasbro, Inc. 19,550 399,798
----------
MEDIA - 6.8%
DIRECTV Group, Inc. (The)(c) 35,775 515,875
McGraw-Hill Cos., Inc. 4,600 401,350
News Corp., Class A 37,250 630,270
Time Warner, Inc.(c) 31,025 544,489
Tribune Co. 7,700 306,999
----------
2,398,983
----------
METALS & MINING - 1.6%
Peabody Energy Corp. 12,000 556,320
----------
MULTI-UTILITIES & UNREGULATED POWER - 1.2%
Constellation Energy Group, Inc. 8,100 418,770
----------
MULTILINE RETAIL - 3.6%
Federated Department Stores, Inc. 7,325 466,163
J.C. Penney Co., Inc. (Holding Co.) 15,750 817,740
----------
1,283,903
----------
OIL & GAS - 9.7%
BP Plc ADR 13,725 856,440
ChevronTexaco Corp. 8,550 498,550
ConocoPhillips 6,200 668,608
ExxonMobil Corp. 23,150 1,379,740
----------
3,403,338
----------
PHARMACEUTICALS - 1.8%
Abbott Laboratories 7,775 362,471
33
SHARES VALUE (a)
- --------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
PHARMACEUTICALS - CONTINUED
Pfizer, Inc. 11,075 $ 290,940
-----------
653,411
-----------
PROPERTY & CASUALTY INSURANCE - 2.0%
Berkshire Hathaway, Inc., Class B(c) 244 696,864
-----------
REAL ESTATE - 1.0%
Simon Property Group, Inc. 5,650 342,277
-----------
ROAD & RAIL - 1.5%
Burlington Northern Santa Fe Corp. 10,000 539,300
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
Freescale Semiconductor, Inc., Class B(c) 22,198 382,916
-----------
TOBACCO - 2.1%
Altria Group, Inc. 11,400 745,446
-----------
THRIFTS & MORTGAGE - 2.4%
Fannie Mae 4,750 258,638
Sovereign Bancorp, Inc. 26,600 589,456
-----------
848,094
-----------
TOTAL COMMON STOCKS
(Identified Cost $27,110,001) 33,984,044
-----------
PRINCIPAL AMOUNT
- --------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.3%
COMMERCIAL PAPER - 3.3%
San Paolo United States Financial Co.,
2.000%, 4/01/2005(d) $ 1,168,000 1,168,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,168,000) 1,168,000
-----------
TOTAL INVESTMENTS - 99.9%
(Identified Cost $28,278,001)(b) 35,152,044
Other assets less liabilities--0.1% 47,905
-----------
TOTAL NET ASSETS - 100% $35,199,949
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost of $28,278,001 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 $ 7,337,0
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (463,00
-----------
Net unrealized appreciation $ 6,874,043
-----------
At September 30, 2004, the Fund had a capital loss carryover of
approximately $2,114,368 which expires on September 30, 2011. This may be
available to offset future realized gains, if any, to the extent provided by
regulations.
(c)Non-income producing security.
(d)Interest rate represents annualized yield at the time of purchase; not a
coupon rate.
ADRAn 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.
34
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES VALUE FUND - CONTINUED
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Oil & Gas 9.7%
Commercial Banks 8.0
Media 6.8
Diversified Financials 6.1
Aerospace & Defense 5.0
Diversified Telecommunication Services 4.7
Energy Equipment & Services 4.1
Electric Utilities 4.0
Capital Markets 3.6
Multiline Retail 3.6
Insurance 3.4
Healthcare Providers & Services 3.4
IT Services 3.0
Thrifts & Mortgages 2.4
Communications Equipment 2.4
Industrial Conglomerates 2.2
Tobacco 2.1
Chemicals 2.1
Hotels, Restaurants & Leisure 2.0
Property & Casualty Insurance 2.0
Commercial Services & Supplies 2.0
Other, less than 2% each 14.0
See accompanying notes to financial statements.
35
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND
PRINCIPAL AMOUNT VALUE (a)
- ------------------------------------------------------------------------------
BONDS AND NOTES - 34.1% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 33.6%
AUSTRALIA - 0.6%
Queensland Treasury Corp., 8.000%, 9/14/2007 AUD 100,000 $ 81,262
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/2015 120,000 48,681
---------
129,943
---------
BELGIUM - 0.6%
Kingdom of Belgium, 3.750%, 3/28/2009 EUR 25,000 33,436
Kingdom of Belgium, 4.250%, 9/28/2013 65,000 88,614
---------
122,050
---------
BRAZIL - 1.1%
Republic of Brazil C Bond, 8.000%, 4/15/2014 USD 27,853 27,611
Republic of Brazil, 8.250%, 1/20/2034 185,000 164,280
Republic of Brazil, 8.750%, 2/04/2025(f) 50,000 46,750
---------
238,641
---------
CANADA - 1.3%
Avenor, Inc., 10.850%, 11/30/2014 CAD 20,000 19,877
Canadian Government, 0.700%, 3/20/2006 JPY 10,000,000 93,801
Canadian Pacific Railway Ltd.,
4.900%, 6/15/2010, 144A CAD 25,000 21,213
Province of British Columbia, 6.000%, 6/09/2008 35,000 31,024
Province of Ontario, 5.900%, 3/08/2006 15,000 12,722
Rogers Wireless, Inc., 7.625%, 12/15/2011 25,000 21,492
Shaw Communications, Inc., 7.500%, 11/20/2013 70,000 62,637
---------
262,766
---------
CAYMAN ISLAND - 0.4%
Arcel Finance Ltd., 7.048%, 9/01/2011, 144A USD 15,000 15,239
Vale Overseas Ltd., 8.250%, 1/17/2034 75,000 78,000
---------
93,239
---------
CHILE - 0.3%
Empresa Nacional de Electricidad SA, Series B,
8.500%, 4/01/2009 50,000 54,605
---------
COLOMBIA - 0.4%
Republic of Colombia, 8.125%, 5/21/2024(f) 40,000 36,400
Republic of Columbia, 11.750%, 3/01/2010 COP 100,000,000 41,961
---------
78,361
---------
DENMARK - 0.2%
Kingdom of Denmark, 5.000%, 8/15/2005 DKK 225,000 39,532
---------
FRANCE - 0.2%
Dexia Municipal Agency, 5.500%, 4/25/2006 EUR 25,000 33,482
---------
GERMANY - 2.3%
Eurohypo AG - Europaeische Hypothekenbank der
Deutschen Bank, 4.000%, 2/01/2007 150,000 199,558
Hypothekenbank in Essen AG, 5.250%, 1/22/2008 115,000 158,966
Kreditanstalt Wiederauf, 5.250%, 1/04/2010 80,000 113,698
Republic of Germany, 3.250%, 4/17/2009 10,000 13,127
---------
485,349
---------
36
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
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 $ 42,094
---------
ITALY - 2.4%
Republic of Italy, 0.375%, 10/10/2006 JPY 33,000,000 309,283
Republic of Italy, 4.500%, 3/01/2007 EUR 135,000 181,517
---------
490,800
---------
MEXICO - 0.9%
Government of Mexico, 6.750%, 6/06/2006 JPY 7,000,000 70,095
Innova S de RL, 9.375%, 9/19/2013 USD 25,000 27,687
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 1,000,000 82,681
---------
180,463
---------
NETHERLANDS - 0.8%
E. On International Finance, Series EMTN,
5.750%, 5/29/2009 EUR 10,000 14,231
GMAC International Finance BV,
8.000%, 3/14/2007 NZD 55,000 37,165
Kingdom of Netherlands, 5.000%, 7/15/2011 EUR 50,000 71,153
Olivetti Finance NV, 6.875%, 1/24/2013 10,000 15,282
RWE Finance B.V., 6.125%, 10/26/2012 25,000 37,576
---------
175,407
---------
NORWAY - 0.3%
Kingdom of Norway, 6.750%, 1/15/2007 NOK 380,000 64,152
---------
PERU - 0.2%
Republic of Peru, 5.000%, 3/07/2017(e) USD 49,500 45,664
---------
SINGAPORE - 0.5%
Government of Singapore, 4.625%, 7/01/2010 SGD 125,000 82,735
Singapore Telecommunications Ltd.,
6.000%, 11/21/2011 EUR 10,000 14,680
---------
97,415
---------
SOUTH AFRICA - 0.3%
Republic of South Africa, 5.250%, 5/16/2013 50,000 67,317
---------
SUPRANATIONAL - 0.9%
Inter-American Development Bank, Zero Coupon
Bond, 5/11/2009 BRL 700,000 140,183
International Bank for Reconstruction &
Development, 2.000%, 2/18/2008 JPY 4,000,000 39,218
---------
179,401
---------
SWEDEN - 0.5%
Government of Sweden, Series 1045,
5.250%, 3/15/2011 SEK 495,000 77,202
Stena AB, 7.500%, 11/01/2013 USD 25,000 24,750
---------
101,952
---------
UNITED KINGDOM - 1.5%
Barclays Financial LLC, 4.100%, 3/22/2010 THB 4,000,000 100,041
Barclays Financial LLC, 4.160%, 2/22/2010 4,000,000 100,429
NGG Finance Plc, 6.125%, 8/23/2011 EUR 10,000 14,733
United Kingdom Treasury, 5.000%, 3/07/2025 GBP 10,000 19,756
United Kingdom Treasury, 6.250%, 11/25/2010 25,000 50,932
37
PRINCIPAL AMOUNT VALUE (a)
- -----------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED KINGDOM - CONTINUED
WPP Group Plc, 6.000%, 6/18/2008 EUR 10,000 $ 14,100
---------
299,991
---------
UNITED STATES - 17.6%
AES Corp., 7.750%, 3/01/2014 USD 100,000 103,250
Agco Corp., 6.875%, 4/15/2014 EUR 20,000 27,228
AK Steel Corp., 7.750%, 6/15/2012 USD 100,000 96,250
American Standard, Inc., 8.250%, 6/01/2009 GBP 10,000 20,437
Amkor Technology, Inc., 10.500%, 5/01/2009 USD 50,000 44,750
Arrow Electronics, Inc., 6.875%, 7/01/2013 75,000 80,467
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 100,000 59,255
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 USD 83,251 82,652
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 42,865 35,243
Bausch & Lomb, Inc., 7.125%, 8/01/2028 95,000 101,876
Borden, Inc., 7.875%, 2/15/2023 150,000 136,500
Charter Communications Holdings LLC,
10.000%, 5/15/2011 200,000 153,500
Chesapeake Energy Corp., 6.875%, 1/15/2016 110,000 111,100
Columbia/HCA Healthcare Corp.,
7.050%, 12/01/2027 50,000 47,736
Columbia/HCA Healthcare Corp.,
7.190%, 11/15/2015 50,000 51,850
Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 41,441 39,331
Continental Airlines, Inc., Series 2000-2,
7.487%, 4/02/2012 75,000 74,425
Corning Glass, 8.875%, 3/15/2016, 25,000 29,390
Cummins Engine Co., Inc., 7.125%, 3/01/2028 160,000 161,600
Dillard's, Inc., 6.625%, 1/15/2018 50,000 49,500
Dillard's, Inc., 7.000%, 12/01/2028 50,000 48,500
ESI Tractebel Acquisition Corp., Series B,
7.990%, 12/30/2011 22,000 23,336
Federal Home Loan Mortgage Corp.,
5.125%, 1/15/2012 EUR 200,000 285,123
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 100,000 59,526
Federal National Mortgage Association,
2.375%, 2/15/2007 USD 50,000 48,575
General Electric Capital Corp.,
0.100%, 12/20/2005 JPY 2,000,000 18,654
General Motors Acceptance Corp.,
3.610%, 7/16/2007 USD 75,000 70,659
Georgia-Pacific Group, 7.375%, 12/01/2025 50,000 52,250
Georgia-Pacific Group, 7.750%, 11/15/2029 35,000 38,150
IMC Global, Inc., 7.375%, 8/01/2018, 100,000 103,000
J.C. Penney Co., Inc., 7.125%, 11/15/2023(f) 25,000 24,750
Lear Corp., 8.125%, 4/01/2008 EUR 50,000 71,310
Lucent Technologies, Inc., 6.450%, 3/15/2029 USD 155,000 133,687
Morgan Stanley, 5.375%, 11/14/2013 GBP 20,000 37,962
Motorola, Inc., 8.000%, 11/01/2011 USD 75,000 86,804
News America Holdings, Inc., 8.625%, 2/07/2014 AUD 50,000 38,351
38
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
Pemex Project Funding Master Trust,
7.875%, 2/01/2009 USD 115,000 $ 124,315
U.S. Treasury Notes, 2.500%, 5/31/2006 35,000 34,582
U.S. Treasury Notes, 2.625%, 5/15/2008 50,000 48,031
U.S. Treasury Notes, 2.750%, 6/30/2006 40,000 39,597
U.S. Treasury Notes, 3.000%, 2/15/2008 50,000 48,732
U.S. Treasury Notes, 3.250%, 8/15/2008 200,000 195,188
US West Capital Funding, Inc.,
6.875%, 7/15/2028(f) 200,000 155,000
US West Corp., 6.875%, 9/15/2033(f) 30,000 25,875
Williams Cos., Inc., 7.500%, 1/15/2031 100,000 105,000
Woolworth Corp., 8.500%, 1/15/2022 150,000 162,750
Xerox Capital Trust I, 8.000%, 2/01/2027 50,000 50,000
Xerox Corp., 7.200%, 4/01/2016 20,000 20,600
----------
3,656,647
----------
VENEZUELA - 0.1%
Cerro Negro Finance Ltd.,
7.900%, 12/01/2020 144A 30,000 27,900
----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $6,330,168) 6,967,171
----------
CONVERTIBLE BONDS - 0.5%
UNITED STATES - 0.5%
Builders Transportation, Inc.,
8.000%, 8/15/2005(d) 95,000 10
Corning, Inc., 3.500%, 11/01/2008 33,000 37,661
Loews Corp., 3.125%, 9/15/2007 70,000 70,525
----------
108,196
----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $184,417) 108,196
----------
TOTAL BONDS AND NOTES
(Identified Cost $6,514,585) 7,075,367
----------
SHARES
- -------------------------------------------------------------------------------
COMMON STOCKS - 62.5% OF TOTAL NET ASSETS
AUSTRALIA - 1.0%
Aristocrat Leisure Ltd. 27,050 212,808
----------
AUSTRIA - 1.2%
Erste Bank der oesterreichischen Sparkassen AG 2,225 116,469
Wienerberger AG 3,125 142,376
----------
258,845
----------
BELGIUM - 0.8%
Umicore 1,675 170,022
----------
BERMUDA - 1.6%
Accenture Ltd., Class A(c) 5,450 131,618
39
SHARES VALUE (a)
- ------------------------------------------------------------
COMMON STOCKS - CONTINUED
BERMUDA - CONTINUED
Marvell Technology Group Ltd.(c) 5,313 $203,700
---------
335,318
---------
CANADA - 0.5%
PetroKazakhstan, Inc., Class A 2,680 107,998
---------
DENMARK - 0.5%
William Demant Holding A/S(c) 2,000 99,852
---------
FINLAND - 1.1%
Nokia Oyj, ADR 14,275 220,263
---------
FRANCE - 2.1%
Sanofi-Aventis, ADR 7,025 297,438
Total Fina SA, Class B 575 134,759
---------
432,197
---------
GERMANY - 0.6%
Siemens AG 1,525 120,664
---------
GREECE - 0.7%
Piraeus Bank S.A. 8,050 145,519
---------
HONG KONG - 0.4%
Esprit Holdings Ltd. 10,775 73,501
---------
INDIA - 0.6%
Wipro Ltd., ADR(f) 5,675 115,827
---------
IRELAND - 0.6%
Anglo Irish Bank Corp. Plc 4,646 116,249
---------
ITALY - 0.6%
Eni Spa 4,925 128,084
---------
JAPAN - 3.6%
Honda Motor Co. Ltd.(f) 5,075 254,088
SFCG Co. Ltd. 495 120,433
SONY Corp., ADR 4,775 191,095
Sumitomo Realty & Development Co. Ltd.(f) 7,550 90,783
UFJ Holdings, Inc. 18 94,702
---------
751,101
---------
MEXICO - 0.8%
America Movil S.A. de C.V., Series L 63,875 164,698
---------
NETHERLANDS - 0.9%
Randstad Holding N.V. 4,450 198,092
---------
SCOTLAND - 0.7%
Royal Bank of Scotland Group Plc 4,650 148,077
---------
SINGAPORE - 0.5%
Singapore Press Holdings Ltd. 39,325 108,623
---------
SWEDEN - 0.2%
SKF AB 1,050 49,062
---------
SWITZERLAND - 1.9%
Alcon, Inc., 1,750 156,258
Roche Holding AG 950 101,783
40
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
SHARES VALUE (a)
- -------------------------------------------------------------------
COMMON STOCKS - CONTINUED
SWITZERLAND - CONTINUED
Synthes, Inc. 1,275 $141,720
---------
399,761
---------
THAILAND - 0.7%
PTT Public Company Ltd. 29,000 143,275
---------
UNITED KINGDOM - 2.1%
Standard Chartered Plc 15,775 283,447
Vodafone Group Plc 54,250 144,100
---------
427,547
---------
UNITED STATES - 38.8%
AES Corp. (The),(c) 15,675 256,756
Aetna, Inc., 2,500 187,375
American Express Co., 4,375 224,744
Apple Computer, Inc.(c) 6,825 284,398
Burlington Northern Santa Fe Corp. 5,150 277,739
CenturyTel, Inc. 4,250 139,570
Chicago Mercantile Exchange 350 67,911
Chico's FAS, Inc.(c) 5,750 162,495
Citigroup, Inc. 2,600 116,844
Coach, Inc.(c) 4,825 273,240
ConocoPhillips 1,425 153,672
Corning, Inc.(c) 1,757 19,555
Danaher Corp. 1,900 101,479
Dell, Inc.(c) 6,650 255,493
ExxonMobil Corp. 2,850 169,860
General Electric Co. 6,850 247,011
GlobalSantaFe Corp. 4,800 177,792
Goldman Sachs Group, Inc. 1,125 123,739
Google, Inc., Class A(c) 1,525 275,278
Intel Corp. 8,025 186,421
Johnson & Johnson 5,150 345,874
Legg Mason, Inc. 3,525 275,443
McDonald's Corp. 5,750 179,055
NIKE, Inc., Class B 1,925 160,372
Northrop Grumman Corp. 2,450 132,251
Oracle Corp.(c) 15,775 196,872
Peabody Energy Corp. 4,000 185,440
Praxair, Inc. 1,900 90,934
Prudential Financial, Inc. 4,650 266,910
QUALCOMM, Inc. 7,250 265,712
Shanda Interactive Entertainment Ltd., ADR(c)(f) 3,075 92,865
St. Jude Medical, Inc.(c) 3,975 143,100
Stryker Corp. 3,475 155,020
SunGard Data Systems, Inc.(c) 5,000 172,500
Symantec Corp.(c) 9,575 204,235
Texas Instruments, Inc. 10,075 256,812
Toll Brothers, Inc.(c) 2,875 226,694
UnitedHealth Group, Inc. 1,625 154,992
VeriSign, Inc.(c) 5,650 162,155
WellPoint, Inc.(c) 1,475 184,891
Wells Fargo & Co. 2,125 127,075
Whole Foods Market, Inc. 1,575 160,855
XTO Energy, Inc. 3,233 106,183
41
SHARES VALUE (a)
- --------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
UNITED STATES - CONTINUED
Zimmer Holdings, Inc.(c) 1,425 $ 110,879
-----------
8,058,491
-----------
TOTAL COMMON STOCKS
(Identified Cost $11,331,922) 12,985,874
-----------
WARRANTS - 0.0% OF TOTAL 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 - 5.2%
Repurchase Agreement with State Street Corp., dated
3/31/2005 at 1.250% to be repurchased at $579,020 on
4/01/05 collateralized by $515,000 U.S. Treasury Bond,
6.000% due 2/15/26 with a value of $592,546 $ 579,000 579,000
-----------
SHARES
- --------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(g) 509,197 509,197
-----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $1,088,197) 1,088,197
-----------
TOTAL INVESTMENTS - 101.8%
(Identified Cost $18,934,704)(b) 21,149,438
Other assets less liabilities--(1.8)% (379,871)
-----------
TOTAL NET ASSETS - 100% $20,769,567
-----------
(a)See Note 2a of Notes to Financial Statements.
(b)Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on investments based on cost of $18,952,822 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 $ 2,611,4
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (414,83
-----------
Net unrealized appreciation $ 2,196,616
-----------
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.
(c)Non-income producing security.
(d)Non-income producing security due to default or bankruptcy filing.
(e)Variable rate security. Rate as of March 31, 2005 is disclosed.
(f)All or a portion of this security was on loan to brokers at March 31, 2005.
(g)Represents investment of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2005, the total value of these securities amounted to $123,607 or 0.60% of
total net assets.
42
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2005 (UNAUDITED)
LOOMIS SAYLES WORLDWIDE FUND - CONTINUED
ADRAn American Depositary Receipt (ADR) is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States.
Key to Abbreviations: AUD: Australian Dollar; BRL: Brazilian Real; CAD:
Canadian Dollar; COP: Columbian Peso; DKK: Danish Krone; EUR: Euro; GBP:
Great British Pound; JPY: Japanese Yen; MXN: Mexican Peso; NOK: Norwegian
Krone; NZD: New Zealand Dollar; SGD: Singapore Dollar; SEK: Swedish Krona;
THB: Thai Baht; USD: United States Dollar.
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS
Sovereigns 7.5%
Oil & Gas 4.5
Healthcare Equipment & Supplies 3.6
Semiconductors & Semiconductor Equipment 3.1
Capital Markets 2.6
Computers & Peripherals 2.6
Healthcare Providers & Services 2.5
Textiles Apparel & Luxury Goods 2.4
Communications Equipment 2.4
Software 2.4
Specialty Retail 2.1
Internet Software & Services 2.1
IT Services 2.0
Wireless Telecommunication Services 2.0
Other, less than 2% each 54.8
See accompanying notes to financial statements.
43
THIS PAGE INTENTIONALLY LEFT BLANK
44
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2005 (UNAUDITED)
AGGRESSIVE SMALL CAP
GROWTH FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------
ASSETS
Investments at cost $ 54,831,111 $ 23,096,336
Net unrealized appreciation 6,028,499 1,336,325
---------------- ----------------
Investments at value (including securities on loan of $6,007,604, $4,928,110,
$166,742,976, $0, $0, and $494,033) 60,859,610 24,432,661
Cash 571 --
Foreign cash at value (identified cost of $23,796) -- --
Securities lending income receivable 223 266
Receivable for Fund shares sold 80,362 1,573
Receivable for securities sold -- --
Dividends and interest receivable 13,139 818
Tax reclaims receivable -- --
Receivable from investment adviser 10,260 19,212
Other -- --
---------------- ----------------
TOTAL ASSETS 60,964,165 24,454,530
---------------- ----------------
LIABILITIES
Payable due to custodian bank -- 1,243
Payable for securities purchased 1,080,651 --
Collateral on securities loaned, at value 6,144,079 5,054,684
Payable for Fund shares redeemed 3,320,898 5,256
Foreign taxes -- --
Management fees payable 34,825 12,582
Trustees' fees payable 965 1,032
Deferred Trustees' fees 10,051 9,409
Accounting and administrative fees payable 8,081 7,098
Service and distribution fees payable 182 29
Transfer agent fees payable 7,876 6,365
Other accounts payable and accrued expenses 14,106 20,798
---------------- ----------------
TOTAL LIABILITIES 10,621,714 5,118,496
---------------- ----------------
NET ASSETS $ 50,342,451 $ 19,336,034
---------------- ----------------
Net Assets consist of:
Paid in capital $ 149,225,129 $ 223,260,830
Undistributed (overdistributed) net investment income (loss) (794,054) (134,741)
Accumulated net realized gain (loss) on investments (104,117,123) (205,126,380)
Net unrealized appreciation (depreciation) on investments and foreign
currency translations 6,028,499 1,336,325
---------------- ----------------
NET ASSETS $ 50,342,451 $ 19,336,034
---------------- ----------------
NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS
Net assets $ 23,879,509 $ 15,043,991
---------------- ----------------
Shares of beneficial interest 1,417,751 1,531,454
---------------- ----------------
Net asset value, offering and redemption price per share $ 16.84 $ 9.82
---------------- ----------------
RETAIL CLASS
Net assets $ 26,462,942 $ 4,292,043
---------------- ----------------
Shares of beneficial interest 1,600,312 446,198
---------------- ----------------
Net asset value, offering and redemption price per share $ 16.54 $ 9.62
---------------- ----------------
ADMIN CLASS
Net assets -- --
---------------- ----------------
Shares of beneficial interest -- --
---------------- ----------------
Net asset value, offering and redemption price per share -- --
---------------- ----------------
See accompanying notes to financial statements.
45
SMALL CAP TAX-MANAGED
VALUE FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
-----------------------------------------------------------------------
$ 674,031,739 $ 6,715,989 $ 28,278,001 $ 18,933,560
121,795,739 854,783 6,874,043 2,216,878
-----------------------------------------------------------------------
795,827,478 7,570,772 35,152,044 21,150,438
1,448 129,627 129 188
-- -- -- 23,300
6,917 -- -- 227
1,055,344 210,000 -- --
11,985,148 65,305 49,061 --
634,577 3,896 41,705 131,807
-- -- -- 1,607
4,105 13,615 5,422 12,881
-- -- -- 1,050
-----------------------------------------------------------------------
809,515,017 7,993,215 35,248,361 21,321,498
-----------------------------------------------------------------------
-- -- -- --
2,229,609 111,047 -- --
170,787,636 -- -- 510,197
820,519 -- -- --
2,158 -- -- 2,449
420,490 3,196 15,034 13,221
743 926 977 927
29,938 8,181 9,404 8,657
81,104 1,173 5,805 2,239
2,284 -- -- --
11,014 2,158 2,634 2,674
51,174 11,241 14,558 11,567
-----------------------------------------------------------------------
174,436,669 137,922 48,412 551,931
-----------------------------------------------------------------------
$ 635,078,348 $ 7,855,293 $ 35,199,949 $ 20,769,567
-----------------------------------------------------------------------
$ 477,529,291 $ 11,160,781 $ 28,876,897 $ 19,415,619
1,176,479 12,426 206,760 178,279
34,576,839 (4,172,697) (757,751) (1,040,641)
121,795,739 854,783 6,874,043 2,216,310
-----------------------------------------------------------------------
$ 635,078,348 $ 7,855,293 $ 35,199,949 $ 20,769,567
-----------------------------------------------------------------------
$ 365,127,619 $ 7,855,293 $ 35,199,949 $ 20,769,567
-----------------------------------------------------------------------
14,373,254 879,567 2,039,994 1,913,651
-----------------------------------------------------------------------
$ 25.40 $ 8.93 $ 17.25 $ 10.85
-----------------------------------------------------------------------
$ 209,369,315 -- -- --
-----------------------------------------------------------------------
8,291,159 -- -- --
-----------------------------------------------------------------------
$ 25.25 -- -- --
-----------------------------------------------------------------------
$ 60,581,414 -- -- --
-----------------------------------------------------------------------
2,422,237 -- -- --
-----------------------------------------------------------------------
$ 25.01 -- -- --
-----------------------------------------------------------------------
See accompanying notes to financial statements.
46
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2005 (UNAUDITED)
AGGRESSIVE SMALL CAP
GROWTH FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 126,997 $ 10,378
Interest 5,629 1,307
Securities lending income 223 266
Less net foreign taxes withheld -- (41)
-------------- --------------
132,849 11,910
-------------- --------------
EXPENSES
Management fees 200,814 97,007
Distribution fees--Retail Class 33,314 12,429
Service and distribution fees--Admin Class -- --
Trustees' fees and expenses 7,362 6,809
Accounting and administrative fees 17,435 8,422
Custodian 24,647 25,375
Transfer agent fees--Institutional Class, Retail Class, Admin Class 23,985 22,167
Audit and tax services 11,572 13,717
Registration 11,991 17,020
Shareholder reporting 11,560 9,272
Legal 1,710 1,177
Miscellaneous 3,396 2,865
-------------- --------------
Total expenses 347,786 216,260
Less reimbursement/waiver (46,595) (74,598)
-------------- --------------
Net expenses 301,191 141,662
-------------- --------------
Net investment income (loss) (168,342) (129,752)
-------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
REALIZED GAIN (LOSS) ON:
Investments--net 4,353,126 4,437,816
Foreign currency transactions--net -- --
-------------- --------------
Total net realized gain (loss) on investments and foreign currency transactions 4,353,126 4,437,816
-------------- --------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments--net 660,396 (1,396,647)
Foreign currency translations--net -- --
-------------- --------------
Total net change in unrealized appreciation (depreciation) on investments
and foreign currency translations 660,396 (1,396,647)
-------------- --------------
Total net realized and unrealized gain (loss) on investments and foreign currency
transactions 5,013,522 3,041,169
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 4,845,180 $ 2,911,417
-------------- --------------
See accompanying notes to financial statements.
47
SMALL CAP TAX-MANAGED
VALUE FUND EQUITY FUND VALUE FUND WORLDWIDE FUND
---------------------------------------------------------------
$ 4,395,036 $ 37,966 $ 354,580 $ 71,899
274,167 177 4,556 221,503
6,917 -- -- 227
(5,816) -- (1,486) (4,991)
---------------------------------------------------------------
4,670,304 38,143 357,650 288,638
---------------------------------------------------------------
2,359,370 16,625 85,805 72,073
244,779 -- -- --
165,755 -- -- --
20,379 6,223 6,930 6,531
204,841 2,165 11,174 6,257
57,302 15,564 17,573 43,030
81,455 9,653 11,469 9,952
17,486 9,005 10,419 9,948
27,697 11,235 8,361 8,302
46,966 2,737 5,844 3,271
18,329 154 1,164 542
21,564 1,631 2,655 2,043
---------------------------------------------------------------
3,265,923 74,992 161,394 161,949
(25,117) (53,380) (15,526) (65,852)
---------------------------------------------------------------
3,240,806 21,612 145,868 96,097
---------------------------------------------------------------
1,429,498 16,531 211,782 192,541
---------------------------------------------------------------
38,783,236 43,304 1,445,280 1,022,783
-- -- -- 7,263
---------------------------------------------------------------
38,783,236 43,304 1,445,280 1,030,046
---------------------------------------------------------------
13,795,319 264,566 1,481,955 319,332
-- -- -- (1,773)
---------------------------------------------------------------
13,795,319 264,566 1,481,955 317,559
---------------------------------------------------------------
52,578,555 307,870 2,927,235 1,347,605
---------------------------------------------------------------
$ 54,008,053 $ 324,401 $ 3,139,017 $ 1,540,146
---------------------------------------------------------------
See accompanying notes to financial statements.
48
STATEMENTS OF CHANGES IN NET ASSETS
AGGRESSIVE GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (168,342) $ (536,251)
Net realized gain (loss) on investments and foreign currency transactions 4,353,126 11,771,511
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions 660,396 (4,394,736)
---------------- ------------------
Increase (decrease) in net assets resulting from operations 4,845,180 6,840,524
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (280,790) --
Retail Class (217,988) --
---------------- ------------------
Total distributions (498,778) --
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (4,577,136) (12,946,996)
---------------- ------------------
Total increase (decrease) in net assets (230,734) (6,106,472)
NET ASSETS
Beginning of period 50,573,185 56,679,657
---------------- ------------------
End of period $50,342,451 $ 50,573,185
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (794,054) $ (126,934)
---------------- ------------------
SMALL CAP GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (129,752) $ (474,524)
Net realized gain (loss) on investments and foreign currency transactions 4,437,816 12,648,409
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions (1,396,647) (8,644,086)
---------------- ------------------
Increase (decrease) in net assets resulting from operations 2,911,417 3,529,799
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (14,031,988) (25,938,308)
---------------- ------------------
REDEMPTION FEES
Institutional Class 777 63
Retail Class 272 41
---------------- ------------------
Total increase (decrease) in net assets (11,119,522) (22,408,405)
NET ASSETS
Beginning of period 30,455,556 52,863,961
---------------- ------------------
End of period $ 19,336,034 $ 30,455,556
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (134,741) $ (4,989)
---------------- ------------------
See accompanying notes to financial statements.
49
SMALL CAP VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 1,429,498 $ 223,709
Net realized gain (loss) on investments and foreign currency transactions 38,783,236 65,900,639
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions 13,795,319 46,216,250
---------------- ------------------
Increase (decrease) in net assets resulting from operations 54,008,053 112,340,598
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (329,960) (755,336)
Retail Class -- (73,295)
Admin Class -- --
CAPITAL GAINS:
Institutional Class (36,097,787) (7,446,392)
Retail Class (18,456,167) (3,811,026)
Admin Class (6,757,571) (1,088,512)
---------------- ------------------
Total distributions (61,641,485) (13,174,561)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 60,263,611 15,767,810
---------------- ------------------
REDEMPTION FEES
Institutional Class 926 2,915
Retail Class 488 1,477
Admin Class 167 486
---------------- ------------------
Total increase (decrease) in net assets 52,631,760 114,938,725
NET ASSETS
Beginning of period 582,446,588 467,507,863
---------------- ------------------
End of period $635,078,348 $582,446,588
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 1,176,479 $ 76,941
---------------- ------------------
TAX-MANAGED EQUITY FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 16,531 $ 21,562
Net realized gain (loss) on investments and foreign currency transactions 43,304 (11,257)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions 264,566 375,137
---------------- ------------------
Increase (decrease) in net assets resulting from operations 324,401 385,442
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (23,811) (62,322)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 2,352,664 2,388,811
---------------- ------------------
Total increase (decrease) in net assets 2,653,254 2,711,931
NET ASSETS
Beginning of period 5,202,039 2,490,108
---------------- ------------------
End of period $7,855,293 $5,202,039
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 12,426 $ 19,706
---------------- ------------------
See accompanying notes to financial statements.
50
STATEMENTS OF CHANGES IN NET ASSETS
VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 211,782 $ 529,906
Net realized gain (loss) on investments and foreign currency transactions 1,445,280 3,827,567
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions 1,481,955 2,637,813
---------------- ------------------
Increase (decrease) in net assets resulting from operations 3,139,017 6,995,286
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (524,122) (456,216)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (978,004) (10,935,484)
---------------- ------------------
Total increase (decrease) in net assets 1,636,891 (4,396,414)
NET ASSETS
Beginning of period 33,563,058 37,959,472
---------------- ------------------
End of period $35,199,949 $ 33,563,058
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 206,760 $ 519,100
---------------- ------------------
WORLDWIDE FUND
SIX MONTHS ENDED
MARCH 31, 2005 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 192,541 $ 384,618
Net realized gain (loss) on investments and foreign currency transactions 1,030,046 501,611
Net change in unrealized appreciation (depreciation) on investments and foreign
currency transactions 317,559 772,068
---------------- ------------------
Increase (decrease) in net assets resulting from operations 1,540,146 1,658,297
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (480,214) (448,271)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS 2,435,190 5,565,347
---------------- ------------------
REDEMPTION FEES
Institutional Class 18 --
---------------- ------------------
Total increase (decrease) in net assets 3,495,140 6,775,373
NET ASSETS
Beginning of period 17,274,427 10,499,054
---------------- ------------------
End of period $20,769,567 $17,274,427
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 178,279 $ 465,952
---------------- ------------------
See accompanying notes to financial statements.
51
THIS PAGE INTENTIONALLY LEFT BLANK
52
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 the investment gain (loss) on investment net investment realized
period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH FUND
INSTITUTIONAL CLASS
3/31/2005(e) $15.50 $(0.04)(c) $ 1.56 $ 1.52 $(0.18) $ --
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
3/31/2005(e) $15.20 $(0.06)(c) $ 1.53 $ 1.47 $(0.13) $ --
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)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Per share net investment
income (loss) has been determined on the basis of the weighted average number
of shares outstanding during the period. (d) Annualized for periods less than
one year. (e) For the six months ended March 31, 2005 (Unaudited)
See accompanying notes to financial statements.
53
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total Redemption end of the Total the period Net Gross investment turnover
distributions fee period return/(a)/ (000) expenses/(b)(d)/ expenses/(d)/ income (loss)/(d)/ rate
- -----------------------------------------------------------------------------------------------------------------------
$(0.18) $-- $16.84 9.8% $ 23,880 1.00% 1.17% (0.50)% 159%
-- -- 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
$(0.13) $-- $16.54 9.7 $ 26,463 1.25 1.43 (0.75) 159
-- -- 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
See accompanying notes to financial statements.
54
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 the investment gain (loss) on investment net investment realized
period income (loss) investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
INSTITUTIONAL CLASS
3/31/2005(e) $ 8.96 $(0.04)(c) $ 0.90 $ 0.86 $ -- $ --
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
3/31/2005(e) $ 8.78 $(0.05)(c) $ 0.89 $ 0.84 $ -- $ --
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
3/31/2005(e) $25.75 $ 0.07(c) $ 2.25 $ 2.32 $(0.02) $(2.65)
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
3/31/2005(e) $25.62 $ 0.04(c) $ 2.24 $ 2.28 $ -- $(2.65)
9/30/2004 21.25 (0.02)(c) 4.95 4.93 (0.01) (0.55)
9/30/2003 17.25 0.00(c)(f) 4.00 4.00 -- --
9/30/2002 19.85 0.05(c) (0.35) (0.30) (0.06) (2.24)
9/30/2001 20.38 0.11(c) 0.60 0.71 (0.15) (1.09)
9/30/2000 17.28 0.10(c) 3.36 3.46 (0.09) (0.27)
ADMIN CLASS
3/31/2005(e) $25.43 $ 0.01(c) $ 2.22 $ 2.23 $ -- $(2.65)
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)(f) (0.35) (0.35) (0.01) (2.24)
9/30/2001 20.34 0.05(c) 0.60 0.65 (0.10) (1.09)
9/30/2000 17.24 0.04(c) 3.37 3.41 (0.04) (0.27)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized. (b) The adviser has agreed to reimburse a portion of the
Fund's expenses during the period. Without this reimbursement the Fund's ratio
of operating expenses would have been higher. (c) Per share net investment
income (loss) has been determined on the basis of the weighted average number
of shares outstanding during the period. (d) Annualized for periods less than
one year. (e) For the six months ended March 31, 2005 (Unaudited). (f) Amount
rounds to less than $0.01 per share.
See accompanying notes to financial statements.
55
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total Redemption end of the Total the period Net Gross investment turnover
distributions fee period return/(a)/ (000) expenses/(b)(d)/ expenses/(d)/ income (loss)/(d)/ rate
- -----------------------------------------------------------------------------------------------------------------------
$ -- $0.00(f) $ 9.82 9.6% $ 15,044 1.00% 1.58% (0.90)% 186%
-- 0.00(f) 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(f) $ 9.62 9.6 $ 4,292 1.25 1.83 (1.17) 186
-- 0.00(f) 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
$(2.67) $0.00(f) $25.40 9.3 $365,128 0.90 0.91 0.58 38
(0.60) 0.00(f) 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
$(2.65) $0.00(f) $25.25 9.1 $209,369 1.15 1.16 0.34 38
(0.56) 0.00(f) 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
$(2.65) $0.00(f) $25.01 9.0 $ 60,581 1.40 1.41 0.08 38
(0.55) 0.00(f) 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.
56
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 the investment gain (loss) on investment net investment realized
period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
TAX-MANAGED EQUITY FUND
INSTITUTIONAL CLASS
3/31/2005(e) $ 8.49 $0.02(c) $ 0.45 $ 0.47 $(0.03) $ --
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
3/31/2005(e) $15.95 $0.10(c) $ 1.46 $ 1.56 $(0.26) $ --
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
3/31/2005(e) $10.19 $0.11(c) $ 0.82 $ 0.93 $(0.27) $ --
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. (d) Annualized for periods less than
one year. (e) For the six months ended March 31, 2005 (Unaudited) (f) 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
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.
57
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total Redemption end of the Total the period Net Gross investment turnover
distributions fee period return/(a)/ (000) expenses/(b)(d)/ expenses/(d)/ income (loss)/(d)/ rate
- -----------------------------------------------------------------------------------------------------------------------
$(0.03) $ -- $ 8.93 5.5% $ 7,855 0.65% 2.26% 0.50% 22%
(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
$(0.26) $ -- $17.25 9.8 $35,200 0.85 0.94 1.23 20
(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
$(0.27) $0.00(f) $10.85 9.2 $20,770 1.00 1.69 2.00 60
(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.
58
NOTES TO FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED MARCH 31, 2005 (UNAUDITED)
1. ORGANIZATION. Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts"
and each a "Trust") are organized as Massachusetts business trust. 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 certain equity funds of the Trusts; the
financial statements for the remaining equity funds and the fixed income funds
are presented in separate reports. The following Funds are included in this
report:
LOOMIS SAYLES FUNDS I
Loomis Sayles Small Cap Value Fund (the "Small Cap Value 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.
Loomis Sayles Small Company Growth Fund was liquidated on March 31, 2005 and
has ceased operations.
Most expenses of the Trusts can be directly attributed to a Fund. Expenses
which can not be directly attributed to a Fund 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 Funds' investment
adviser using consistently applied procedures under the general supervision of
the Board of Trustees. Investments in other investment companies are valued at
the net asset value each day.
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
59
close of the foreign market and before the Fund calculates its net asset value.
As of March 31, 2005, approximately 16% of the market value of the investments
for the Loomis Sayles Worldwide Fund were fair valued pursuant to procedures
approved by the Board of Trustees.
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 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 March 31, 2005, 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
60
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2005 (UNAUDITED)
may differ from accounting principles generally accepted in the United States
of America. These differences are primarily due to differing treatments for
book and tax purposes of items such as 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.
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. SECURITIES LENDING. The Funds have entered into an agreement with State
Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to
lend securities to certain designated borrowers. The loans are collateralized
at all times with cash or securities with a market value at least equal to the
market value of the securities on loan. The Funds receive fees for lending
their securities. The market value of securities on loan to borrowers and the
value of collateral held by the Funds with respect to such loans at March 31,
2005, were as follows:
MARKET
VALUE ON VALUE OF
FUND LOAN COLLATERAL
- ---- ------------ ------------
Aggressive Growth Fund $ 6,007,604 $ 6,144,079
Small Cap Growth Fund 4,928,110 5,054,684
Small Cap Value Fund 166,742,976 170,787,636
Worldwide Fund 494,033 510,197
3. PURCHASES AND SALES OF SECURITIES. For the six months ended March 31, 2005,
purchases and sales of securities (excluding short-term investments and U.S.
Government/Agency Securities) were as follows:
FUND PURCHASES SALES
- ---- ------------ ------------
Aggressive Growth Fund $ 84,031,039 $ 86,470,383
Small Cap Growth Fund 47,773,302 63,415,969
Small Cap Value Fund 236,712,302 230,575,312
Tax-Managed Equity Fund 3,601,533 1,412,758
Value Fund 6,712,360 8,418,567
Worldwide Fund 13,245,637 10,846,234
For the six months ended March 31, 2005, purchases and sales of U.S.
Government/Agency securities by Worldwide Fund were $495,601 and $123,672,
respectively.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the
investment adviser to each of the Funds. Separate management agreements for
each Fund in effect for the six months ended March 31, 2005, 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, 2006, 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% --
Small Cap Growth Fund 0.75% 1.00% 1.25% --
Small Cap Value Fund 0.75% 0.90% 1.15% 1.40%
Tax-Managed Equity Fund 0.50% 0.65% -- --
Value Fund 0.50% 0.85% -- --
Worldwide Fund 0.75% 1.00% -- --
61
For the six months ended March 31, 2005, 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 $ 200,814 $46,595 $ 154,219 0.75% 0.58%
Small Cap Growth Fund 97,007 74,598 22,409 0.75% 0.17%
Small Cap Value Fund 2,359,370 25,117 2,334,253 0.75% 0.74%
Tax-Managed Equity Fund 16,625 16,625 -- 0.50% 0.00%
Value Fund 85,805 15,526 70,279 0.50% 0.41%
Worldwide Fund 72,073 65,852 6,221 0.75% 0.06%
For the six months ended March 31, 2005, in addition to the waiver of
management fees, expenses have been reimbursed as follows:
FUND AMOUNT
- ---- -------
Tax-Managed Equity Fund $36,755
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trusts. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management North America, L.P. ("IXIS North America"), formerly CDC IXIS Asset
Management North America, L.P., which is part of IXIS Asset Management Group,
an international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly, 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; the Caisse Nationale des Caisses d'Epargne, a
financial institution owned by CDC and by French regional savings banks known
as the Caisse d'Epargne; and CNP Assurances, a large French life insurance
company.
B. ACCOUNTING AND ADMINISTRATIVE FEES. For the period October 1, 2004 through
December 31, 2004, IXIS Asset Management Services Company ("IXIS Services")
formerly CDC IXIS Asset Management Services, Inc., a wholly owned subsidiary of
IXIS North America, performed certain accounting and administrative services
for the Funds and subcontracted with State Street Bank to serve as
sub-administrator. Effective January 1, 2005, IXIS Asset Management Advisors,
L.P. ("IXIS Advisors") assumed responsibility for providing accounting and
administrative services to the Funds. 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 IXIS Services (effective January 1/st/ IXIS Advisors),
each Fund paid IXIS Services (or IXIS Advisors) its pro rata portion of a group
fee for these services representing the higher amount based on the following
calculations:
(1)Percentage of Average Daily Net Assets
FIRST NEXT OVER
$5 BILLION $5 BILLION $10 BILLION
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Fund's pro rata portion, allocated based on the combined
assets of the Trusts and the CDC Nvest Funds Trusts, of the
annual aggregate minimum fee of $5 million.
For the six months ended March 31, 2005, fees paid to IXIS Services and IXIS
Advisors for accounting and administrative expenses were as follows:
ACCOUNTING AND
FUND ADMINISTRATIVE
- ---- --------------
Aggressive Growth Fund $ 17,435
Small Cap Growth Fund 8,422
Small Cap Value Fund 204,841
Tax-Managed Equity Fund 2,165
Value Fund 11,174
Worldwide Fund 6,257
62
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2005 (UNAUDITED)
C. TRANSFER AGENT FEES. IXIS Services 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.
During the period October 1, 2004 through December 31, 2004, Aggressive Growth
Fund, Small Cap Growth Fund, Small Cap Value Fund, Tax-Managed Equity Fund,
Value Fund and Worldwide Fund paid service fees to IXIS Services 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**.
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.
* 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.
Effective January 1, 2005 Aggressive Growth Fund, Small Cap Growth Fund, Small
Cap Value Fund, Tax-Managed Equity Fund, Value Fund and Worldwide Fund pay
service fees to IXIS Services monthly representing the higher amount based on
the following calculations:
(1)An aggregate annual minimum fee of approximately $1 million for
all No Load Retail Funds and Load Funds--Class Y; or
(2)An annual account based fee of $25.44 for each open account in
an Equity Fund, $25.25 for each open account in a Fixed Income
Fund, and $2.00 for each closed account (Equity and Fixed
Income Funds), aggregated for all No Load Retail Funds and Load
Funds--Class Y.
Each Class of shares is subject to a monthly minimum of $1,500.
IXIS Services, BFDS and other firms are also reimbursed by the Funds for
out-of-pocket expenses.
For the six months ended March 31, 2005, amounts paid to IXIS Services as
compensation for its services as transfer agent were as follows:
TRANSFER
FUND AGENT FEE
- ---- ---------
Aggressive Growth Fund $16,000
Small Cap Growth Fund 16,000
Small Cap Value Fund 65,295
Tax-Managed Equity 8,000
Value Fund 8,000
Worldwide Fund 8,000
D. SERVICE AND DISTRIBUTION FEES. The Trusts have entered into a distribution
agreement with IXIS Asset Management Distributors L.P. ("IXIS Distributors"),
formerly CDC IXIS Asset Management Distributors, L.P., a wholly owned
subsidiary of IXIS North America. Pursuant to this agreement, 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 IXIS
Distributors a monthly distribution fee at an annual rate not to exceed 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 IXIS Distributors
in providing personal services to investors in Retail Class and Admin
63
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 not to exceed 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 its officers or Trustees
who are directors, officers or employees of Loomis Sayles, IXIS Distributors,
IXIS North America, IXIS Services, IXIS Advisors 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 that he or she attends. Each committee chairman receives an
additional retainer fee at the annual rate of $7,000. Each committee member
receives a meeting attendance of $3,750 per committee meeting that he or she
attends. The co-chairmen of the Board each receive an additional annual
retainer of $25,000. The retainer fees assume four Board or Committee meetings
per year. 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.
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. IXIS Services performs certain desktop publishing
services for the Funds. Fees for these services are presented in the Statements
of Operations as shareholder reporting. For the six months ended March 31,
2005, amounts paid to IXIS Services as compensation for these services were as
follows:
PUBLISHING
FUND SERVICES FEE
- ---- ------------
Aggressive Growth Fund $ 23
Small Cap Growth Fund 20
Small Cap Value Fund 69
Tax-Managed Equity Fund 14
Value Fund 136
Worldwide Fund 207
G. REDEMPTION FEES. 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, together with certain other Funds of the Trusts,
participate in a $25 million committed unsecured revolving line of credit
provided by State Street Bank. Borrowings under the line of credit will be made
solely to temporarily finance the repurchase of capital shares. Interest is
charged to each participating Fund based on its borrowings at a rate per annum
equal to the federal funds rate plus 0.50%. In addition, a commitment fee of
0.09% per annum, payable at the end of each calendar quarter, is accrued and
apportioned among the participating Funds based on their average daily unused
portion of the line of credit. For the six months ended March 31, 2005, the
Funds had no borrowings under the agreement.
64
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2005 (UNAUDITED)
6. SHAREHOLDERS. At March 31, 2005, Loomis Sayles owned 257,755 shares,
equating to 30.1%, of Tax-Managed Equity Fund shares outstanding. At March 31,
2005, the Loomis Sayles Funded Pension Plan ("Pension Plan") and the Loomis
Sayles Employees' Profit Sharing Retirement Plan held shares of beneficial
interest in the Funds as follows:
PROFIT SHARING
FUND PENSION PLAN RETIREMENT PLAN
- ---- ------------ ---------------
Aggressive Growth Fund 282,515 394,751
Small Cap Growth Fund 173,101 360,729
Small Cap Value Fund 384,376 591,839
Value Fund 481,499 403,400
Worldwide Fund 908,178 307,191
7. CAPITAL SHARES. Each Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
AGGRESSIVE GROWTH FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 46,393 $ 791,758 187,450 $ 2,792,212
Issued in connection with
the reinvestment of distributions 16,185 277,892 -- --
Redeemed (270,277) (4,512,235) (305,139) (4,700,924)
---------- --------------- ------------ --------------
Net change (207,699) $ (3,442,585) (117,689) $ (1,908,712)
---------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 200,730 $ 3,305,881 834,755 $ 12,658,043
Issued in connection with
the reinvestment of distributions 12,860 216,942 -- --
Redeemed (283,332) (4,657,374) (1,602,142) (23,696,327)
---------- --------------- ------------ --------------
Net change (69,742) $ (1,134,551) (767,387) $(11,038,284)
---------- --------------- ------------ --------------
SMALL CAP GROWTH FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 82,274 $ 805,235 561,970 $ 5,208,033
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (322,533) (3,153,997) (1,411,141) (12,951,799)
---------- --------------- ------------ --------------
Net change (240,259) $ (2,348,762) (849,171) $ (7,743,766)
---------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 139,025 $ 1,311,218 876,244 $ 8,100,386
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (1,354,372) (12,994,444) (2,807,828) (26,294,928)
---------- --------------- ------------ --------------
Net change (1,215,347) $(11,683,226) (1,931,584) $(18,194,542)
---------- --------------- ------------ --------------
65
SMALL CAP VALUE FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,787,309 $ 45,771,924 2,569,944 $ 62,664,283
Issued in connection with
the reinvestment of distributions 1,389,061 34,567,270 344,051 7,949,633
Redeemed (2,253,194) (57,373,394) (3,052,059) (74,375,223)
---------- --------------- ------------ --------------
Net change 923,176 $ 22,965,800 (138,064) $ (3,761,307)
---------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,775,720 $ 45,399,594 2,508,851 $ 60,345,432
Issued in connection with
the reinvestment of distributions 739,424 18,285,960 168,096 3,867,490
Redeemed (991,787) (25,142,246) (2,506,061) (61,304,611)
---------- --------------- ------------ --------------
Net change 1,523,357 $ 38,543,308 170,886 $ 2,908,311
---------- --------------- ------------ --------------
Shares Amount Shares Amount
ADMIN CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 603,035 $ 15,299,456 1,146,366 $ 27,558,818
Issued in connection with
the reinvestment of distributions 263,038 6,449,687 46,216 1,056,963
Redeemed (908,613) (22,994,640) (498,189) (11,994,975)
---------- --------------- ------------ --------------
Net change (42,540) $ (1,245,497) 694,393 $ 16,620,806
---------- --------------- ------------ --------------
TAX-MANAGED EQUITY FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 269,469 $ 2,376,120 308,699 $ 2,572,021
Issued in connection with
the reinvestment of distributions 2,602 23,491 7,563 62,319
Redeemed (5,418) (46,947) (28,467) (245,529)
---------- --------------- ------------ --------------
Net change 266,653 $ 2,352,664 287,795 $ 2,388,811
---------- --------------- ------------ --------------
VALUE FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 111,403 $ 1,891,662 183,031 $ 2,766,965
Issued in connection with
the reinvestment of distributions 30,355 515,433 26,133 376,057
Redeemed (205,378) (3,385,099) (458,838) (6,884,071)
Redeemed in kind* -- -- (455,344) (7,194,435)
---------- --------------- ------------ --------------
Net change (63,620) $ (978,004) (705,018) $(10,935,484)
---------- --------------- ------------ --------------
*Redeemed in kind to a shareholder on June 25, 2004.
66
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2005 (UNAUDITED)
WORLDWIDE FUND
Six Months Ended March 31, 2005 Year Ended September 30, 2004
------------------------------- -----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS -------- ----------- ------- ----------
Issued from the sale of shares 347,169 $ 3,799,075 569,127 $5,599,341
Issued in connection with
the reinvestment of distributions 42,385 458,186 46,883 447,733
Redeemed (170,408) (1,822,071) (48,543) (481,727)
-------- --------------- ------------ --------------
Net change 219,146 $ 2,435,190 567,467 $5,565,347
-------- --------------- ------------ --------------
8. SUBSEQUENT EVENT. Effective May 1, 2005, the names of the CDC Nvest Funds
Trusts changed as follows:
CURRENT NAME NEW NAME
------------ --------
CDC Nvest Funds Trust I IXIS Advisor Funds Trust I
CDC Nvest Funds Trust II IXIS Advisor Funds Trust II
CDC Nvest Funds Trust III IXIS Advisor Funds Trust III
CDC Nvest Companies Trust I IXIS Advisor Funds Trust IV
CDC Nvest Cash Management Trust IXIS Advisor Cash Management Trust
67
IXIS ADVISOR FUNDS
Semiannual Report
March 31, 2005
[LOGO OF LOOMIS SAYLES] LOOMIS SAYLES COMPANY, L.P.
Loomis Sayles Investment Grade Bond Fund
TABLE OF CONTENTS
Management Discussion
and Performance ........... Page 2
Schedule of Investments ... Page 6
Financial Statements ...... Page 10
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
PORTFOLIO PROFILE
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 10% of its assets in lower-rated, fixed-income securities
Fund Inception: December 31, 1996
Managers:
Daniel Fuss Steven Kaseta Loomis, Sayles & Company, L.P.
Symbols:
Class A LIGRX
Class B LGBBX
Class C LGBCX
Class Y LSIIX
Class J LIGJX
What You Should Know:
This fund invests in fixed-income securities that are subject to credit
risk, interest rate risk and liquidity risk. It may also invest in foreign
and emerging market securities, which have special risks, as well as in
mortgage-related securities that are subject to prepayment risk.
Management Discussion
Strong performance from its investments in foreign securities and lower-rated,
higher-yielding bonds helped Loomis Sayles Investment Grade Bond Fund outperform
its benchmark for the six months ended March 31, 2005. During the fiscal period,
the fund's total return was 3.65% based on the net asset value of Class A
shares, while the Lehman U.S. Government/Credit Index returned 0.13%. Unlike the
fund, the index does not include foreign securities, although it does include
U.S. corporate and Treasury securities. For the six-month period, the average
return on the funds in Morningstar's Long-Term Bond category was 1.58%. As of
March 31, 2005, the fund's 30-day SEC yield was 4.55%.
FOREIGN HOLDINGS, HIGH-YIELD DEBT PROVIDED HEALTHIEST RETURNS
International bonds and bonds denominated in Canadian dollars were the fund's
top performers during the period, followed by high-yielding domestic corporate
bonds. While the fund's performance advantage in both foreign bonds and domestic
high-yield debt was greatest in the final three months of 2004, its
international holdings also helped maintain the portfolio's advantage during the
first quarter of 2005.
Interest rates in the global bond markets rose more
slowly than the comparable rates in the U.S. markets during the six-month
period, providing higher returns. The fund's allocation to bonds denominated in
Canadian dollars also helped the fund because Canadian bonds were the only major
sector to outperform the U.S. market, in local currency terms.
U.S. AUTO INDUSTRY DEPRESSED CORPORATE MARKETS, CURRENCIES BENEFITED FOREIGN
MARKETS
Investment-grade domestic corporate bonds, most notably in the automotive
industry, were among the worst performers during the period. Leading the
downtrend was General Motors, which issued profit warnings, along with GMAC,
GM's financing arm. Bonds issued by auto parts maker Delphi Corp., a GM
spin-off, also suffered. The best performers on an individual basis were
Inter-American Development Bank bonds, and Canadian and Swedish government
bonds.
CURRENT STRATEGY FAVORS SHORTER-DURATION HOLDINGS
In light of current market conditions, the portfolio is structured more
defensively than usual. Yield spreads - the difference between yields on higher-
versus lower-quality bonds - began to widen across most market sectors during
the January-to-March period. We diversified the portfolio with securities of
different sectors and maturities, and favored bonds that are potentially less
sensitive to rising interest rates. As of March 31, 2005, the portfolio's
duration (a measure of its sensitivity to changing bond prices) was 4.37 years,
compared to 5.44 years six months earlier. At the end of the period, we also
decreased our position in corporate bonds in an effort to reduce credit risk,
and increased our holdings among short-term U.S. Treasuries. We also continue to
take advantage of both global opportunities and lower-quality bonds across the
yield curve.
FED LIKELY TO CONTINUE TIGHTENING POLICY
We believe the Federal Reserve Board will continue to increase rates over the
balance of 2005, such that the key federal funds rate might reach 4.00% by
year-end, compared with 2.75% at the end of March. Rates on long bonds should
also move higher, although we expect them to move by a lesser amount. In our
view, the correction that took place at the end of March was healthy. While the
performance advantage of lower-quality corporate bonds may not be as impressive
in coming months, we believe their yield advantage should help them produce
stronger results when compared to Treasuries.
Outside the United States, we believe opportunities continue to exist in
emerging Asian and Latin American markets, as well as in such resource-rich
countries as Canada, Australia, and New Zealand. However, Japan and western
Europe should continue to lag other regions in economic growth and investment
opportunity. We plan to maintain the portfolio in a defensive posture, both with
respect to credit risk and interest-rate risk.
2
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
Investment Results through March 31, 2005
PERFORMANCE IN PERSPECTIVE
The charts comparing the fund's performance to an index provide you with a
general sense of how it performed. The fund's total return for the period shown
below appears with and without sales charges and includes fund expenses and
fees. An index measures the performance of a theoretical portfolio. Unlike a
fund, the index is unmanaged and does not have expenses that affect the results.
It is not possible to invest directly in an index. Investors would incur
transaction costs and other expenses if they purchased the securities necessary
to match the index.
Growth of a $10,000 Investment in Class A Shares/1/
December 31, 1996 (inception) through March 31, 2005
[GRAPH APPEARS HERE]
Investment @ N.A.V. 10,000 12/31/1996
Sales Charge % 3/31/2005
Sales Charge (450)
-----------
Investment @ M.S.C. 9,550
===========
Class A Lipper Lehman
@ Maximum BBB Rated Government
Month Net Asset Sales Funds Credit
End Value (1) Charge (2) Index Index
- ----------- --------- ----------- ------------ ----------
12/31/1996 10,000 9,550 10,000 10,000
1/31/1997 9,950 9,502 10,032 10,012
2/28/1997 10,150 9,693 10,089 10,033
3/31/1997 9,930 9,483 9,933 9,914
4/30/1997 10,130 9,674 10,080 10,059
5/31/1997 10,323 9,858 10,195 10,153
6/30/1997 10,586 10,110 10,347 10,274
7/31/1997 11,272 10,765 10,705 10,589
8/31/1997 10,953 10,460 10,563 10,470
9/30/1997 11,262 10,755 10,749 10,635
10/31/1997 11,427 10,913 10,858 10,805
11/30/1997 11,407 10,894 10,911 10,862
12/31/1997 11,429 10,914 11,029 10,976
1/31/1998 11,536 11,017 11,169 11,131
2/28/1998 11,568 11,048 11,165 11,108
3/31/1998 11,708 11,181 11,222 11,142
4/30/1998 11,754 11,225 11,270 11,198
5/31/1998 11,820 11,288 11,366 11,318
6/30/1998 11,797 11,266 11,450 11,434
7/31/1998 11,650 11,126 11,441 11,443
8/31/1998 11,150 10,648 11,358 11,666
9/30/1998 11,405 10,892 11,592 12,000
10/31/1998 11,291 10,783 11,449 11,915
11/30/1998 11,665 11,140 11,660 11,986
12/31/1998 11,764 11,235 11,689 12,016
1/31/1999 11,952 11,415 11,791 12,101
2/28/1999 11,799 11,268 11,536 11,813
3/31/1999 12,070 11,527 11,665 11,872
4/30/1999 12,354 11,799 11,748 11,901
5/31/1999 12,247 11,696 11,590 11,779
6/30/1999 12,211 11,662 11,529 11,742
7/31/1999 11,994 11,454 11,471 11,709
8/31/1999 11,951 11,413 11,428 11,700
9/30/1999 12,115 11,570 11,526 11,805
10/31/1999 12,112 11,567 11,549 11,836
11/30/1999 12,145 11,598 11,577 11,829
12/31/1999 12,194 11,645 11,558 11,757
1/31/2000 12,194 11,645 11,524 11,754
2/29/2000 12,580 12,014 11,666 11,902
3/31/2000 12,754 12,180 11,774 12,074
4/30/2000 12,423 11,864 11,631 12,015
5/31/2000 12,305 11,752 11,542 12,004
6/30/2000 12,663 12,094 11,834 12,249
7/31/2000 12,814 12,237 11,885 12,379
8/31/2000 13,056 12,469 12,102 12,553
9/30/2000 12,949 12,367 12,136 12,601
10/31/2000 12,844 12,266 12,097 12,680
11/30/2000 13,090 12,501 12,209 12,896
12/31/2000 13,529 12,921 12,465 13,151
1/31/2001 13,755 13,136 12,767 13,372
2/28/2001 13,861 13,238 12,893 13,509
3/31/2001 13,683 13,067 12,885 13,571
4/30/2001 13,473 12,867 12,814 13,470
5/31/2001 13,594 12,983 12,930 13,547
6/30/2001 13,662 13,048 12,945 13,612
7/31/2001 14,009 13,379 13,238 13,951
8/31/2001 14,327 13,683 13,397 14,131
9/30/2001 14,035 13,404 13,283 14,261
10/31/2001 14,647 13,988 13,564 14,622
11/30/2001 14,441 13,791 13,476 14,382
12/31/2001 14,295 13,651 13,394 14,269
1/31/2002 14,393 13,746 13,467 14,374
2/28/2002 14,536 13,882 13,532 14,496
3/31/2002 14,191 13,553 13,354 14,202
4/30/2002 14,600 13,943 13,559 14,477
5/31/2002 14,786 14,120 13,666 14,610
6/30/2002 14,753 14,089 13,602 14,735
7/31/2002 14,471 13,820 13,533 14,912
8/31/2002 14,991 14,316 13,807 15,247
9/30/2002 15,018 14,342 13,931 15,575
10/31/2002 14,928 14,256 13,832 15,426
11/30/2002 15,243 14,557 14,031 15,435
12/31/2002 15,810 15,098 14,358 15,844
1/31/2003 16,078 15,355 14,453 15,843
2/28/2003 16,427 15,688 14,696 16,125
3/31/2003 16,508 15,765 14,721 16,104
4/30/2003 17,072 16,304 15,019 16,277
5/31/2003 17,921 17,114 15,412 16,739
6/30/2003 18,007 17,197 15,432 16,672
7/31/2003 17,148 16,376 14,906 15,973
8/31/2003 17,230 16,455 15,024 16,079
9/30/2003 18,116 17,307 15,486 16,588
10/31/2003 18,071 17,257 15,425 16,378
11/30/2003 18,408 17,580 15,531 16,421
12/31/2003 18,869 18,020 15,757 16,583
1/31/2004 18,997 18,142 15,901 16,734
2/29/2004 19,143 18,282 16,041 16,939
3/31/2004 19,346 18,476 16,151 17,094
4/30/2004 18,588 17,751 15,740 16,569
5/31/2004 18,432 17,602 15,620 16,485
6/30/2004 18,574 17,738 15,712 16,552
7/31/2004 18,796 17,951 15,877 16,727
8/31/2004 19,321 18,451 16,199 17,081
9/30/2004 19,700 18,813 16,300 17,141
10/31/2004 20,115 19,210 16,461 17,289
11/30/2004 20,401 19,483 16,406 17,097
12/31/2004 20,650 17,308 16,593 17,279
1/31/2005 20,528 19,604 16,681 17,399
2/28/2005 20,661 19,732 16,654 17,284
3/31/2005 20,425 19,508 16,467 17,163
Average Annual Total Returns - March 31, 2005
SINCE FUND
6 MONTHS/5/ 1 YEAR/5/ 5 YEARS/5/ INCEPTION/5/
CLASS A/1/
Net Asset Value/2/ 3.65% 5.55% 9.87% 9.05%
With Maximum Sales Charge/3/ -1.03 0.81 8.86 8.44
CLASS B/1/
Net Asset Value/2/ 3.11 4.72 8.85 8.05
With CDSC/4/ -1.78 -0.15 8.57 8.05
CLASS C/1/
Net Asset Value/2/ 3.20 4.74 8.87 8.06
With CDSC/4/ 2.22 3.76 8.87 8.06
CLASS Y/1/
Net Asset Value/2/ 3.74 5.93 10.13 9.32
CLASS J/1/
Net Asset Value/2/ 3.38 5.18 9.33 8.50
With CDSC/4/ -0.24 1.50 8.54 8.03
SINCE FUND
COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS INCEPTION/6/
Lipper BBB Rated Funds Index 1.03% 1.95% 6.94% 6.23%
Lipper BBB Rated Funds Avg. 0.89 1.57 6.97 6.14
Lehman U.S. Government/Credit 0.13 0.40 7.29 6.77
Index
Morningstar Long-Term Bond 1.58 2.43 7.69 6.74
Fund Avg.
All returns represent past performance and do not guarantee future results.
Periods of less than one year are not annualized. Share price and return will
vary and you may have a gain or loss when you sell your shares. All results
include reinvestment of any dividends and capital gains. Current returns may be
higher or lower than those shown. For performance current to the most recent
month-end, visit www.ixisadvisorfunds.com.
Class Y, the successor to the fund's Institutional Class, is only available to
certain institutional investors. Class J shares are not offered for sale in the
United States and are not eligible for sale to U.S. investors.
The table and graph do not reflect taxes shareholders might owe on any fund
distributions or when they redeem their shares.
PORTFOLIO FACTS
% of Net Assets as of
CREDIT QUALITY 3/31/05
A 2.8
Aa 13.0
Aaa 45.4
B 1.4
Ba 9.0
Baa 18.8
Caa 1.5
Not rated* 4.2
Short term & other 3.9
Credit quality is based on ratings from Moody's Investors Service.
*Securities that are not rated by Moody's may be rated by another rating agency
or by Loomis Sayles.
% of Net Assets as of
EFFECTIVE MATURITY 3/31/05
1 year or less 5.9
1-5 years 45.5
5-10 years 34.3
10+ years 14.4
Average Effective Maturity 6.3 years
See page 4 for descriptions of the fund's indexes.
Notes to Charts
/1/Returns shown in the chart include performance of the fund's Retail Class
shares (inception: 12/31/96), which were converted to Class A shares on 9/12/03.
Retail Class was closed on 12/18/00 and recommenced operations on 1/31/02;
Institutional Class performance is shown for the intervening period, adjusted to
reflect the higher expenses paid by Class A shares. The restatement of the
fund's performance to reflect Class A expenses is based on the net expenses of
the Class after taking into effect the fund's current expense cap arrangements.
For periods prior to the inception of Class B and C shares (9/12/03),
performance is based on prior Institutional Class performance, restated to
reflect the loads and expenses of Class B and C shares, respectively. Class Y
performance has been restated to reflect the net expenses of the Institutional
Class after taking into effect the fund's current expense cap arrangements. For
periods prior to the inception of Class J shares (5/24/99), performance is based
on prior Institutional Class performance, restated to reflect the load and
expenses of Class J shares. The growth of $10,000 chart reflects the performance
of Class A shares rather than Class Y shares, because Class A shares include the
highest sales charge. Prior to 9/12/03, the fund (except Class J) was offered
without a sales charge. Effective 2/1/04, a 1% front end sales charge was
removed from Class C shares.
/2/Does not include a sales charge.
/3/Includes maximum sales charge of 4.50%.
/4/Performance for Class B shares assumes a maximum 5% contingent deferred sales
charge ("CDSC") applied when you sell shares, which declines annually between
years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1%. Class C shares
performance assumes a 1.00% CDSC applied when you sell shares within one year of
purchase. Performance for Class J shares assumes a 3.50% sales charge.
/5/Fund performance has been increased by expense waivers, without which
performance would have been lower.
/6/The since-inception performance comparisons shown are calculated from
12/31/96.
3
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of
the dates indicated. The managers' views are subject to change at any time
without notice based on changes in market or other conditions. References to
specific securities or industries should not be regarded as investment advice.
Because the fund is actively managed, there is no assurance that it will
continue to invest in the securities or industries mentioned.
For more complete information on any IXIS Advisor Fund, contact your financial
professional or call IXIS Advisor Funds and ask for a free prospectus, which
contains more complete information including charges and other ongoing expenses.
Investors should consider a fund's objective, risks and expenses carefully
before investing. This and other fund information can be found in the
prospectus. Please read the prospectus carefully before investing.
INDEX/AVERAGE DESCRIPTIONS:
Lehman U.S. Government/Credit Index is an unmanaged list of publicly traded
bonds, including U.S. government bonds, U.S. Treasury securities and corporate
bonds.
Lipper BBB Rated Funds Average is the average performance without sales
charges of all mutual funds in a stated category, as calculated by Lipper, Inc.
Lipper BBB Rated Funds Index is an equally weighted index typically consisting
of the 30 largest mutual funds within the category, as calculated by Lipper,
Inc.
Morningstar Long-Term Bond Fund Average is the average performance without sales
charges of funds with similar investment objectives, as calculated by
Morningstar, Inc.
PROXY VOTING INFORMATION
A description of the fund's proxy voting policies and procedures is available
without charge, upon request, by calling IXIS Advisor Funds at 800-225-5478; on
the funds' website at www.ixisadvi-sorfunds.com; and on the Securities and
Exchange Commission's website at www.sec.gov. Information regarding how the fund
voted proxies relating to portfolio securities during the 12-month period ended
June 30, 2004 is available from the fund's website and the SEC's website.
QUARTERLY PORTFOLIO SCHEDULES
The fund files 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 Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and copied
at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by call-ing
1-800-SEC-0330.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
4
UNDERSTANDING YOUR FUND'S EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction
costs, including sales charges (loads) on purchases and contingent deferred
sales charges on redemptions; redemption fees; certain exchange fees; and
minimum account fee charges; and ongoing costs, including management fees,
distribution fees (12b-1 fees) and/or service fees, and other fund expenses. In
addition, the fund assesses a minimum balance fee of $20 on an annual basis for
accounts that fall below the required minimum to establish account (certain
exceptions may apply). 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 for each Class shows the actual account values and
actual fund expenses you would have paid on a $1,000 investment in the fund from
October 1, 2004 through March 31, 2005. 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 row as shown below for your class.
The second line in the table for each Class provides information about
hypothetical account values and hypothetical expenses based on the fund's actual
expense ratios and an assumed rate of return of 5% per year before expenses,
which is not the fund's actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid on your investment for the period. You may use this
information to compare the ongoing costs of investing in the fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs. Therefore, the second line in the table of the
fund is useful in comparing ongoing costs only, and will not help you determine
the relative costs of owning different funds. If transaction costs were
included, total costs would be higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
10/1/04 3/31/05 10/1/04 - 3/31/05
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
CLASS A
Actual $ 1,000.00 $ 1,036.50 $ 4.82
Hypothetical (5% return before expenses) $ 1,000.00 $ 1,020.19 $ 4.78
CLASS B
Actual $ 1,000.00 $ 1,031.10 $ 8.61
Hypothetical (5% return before expenses) $ 1,000.00 $ 1,016.45 $ 8.55
CLASS C
Actual $ 1,000.00 $ 1,032.00 $ 8.61
Hypothetical (5% return before expenses) $ 1,000.00 $ 1,016.45 $ 8.55
CLASS Y
Actual $ 1,000.00 $ 1,037.40 $ 2.79
Hypothetical (5% return before expenses) $ 1,000.00 $ 1,022.19 $ 2.77
CLASS J
Actual $ 1,000.00 $ 1,033.80 $ 6.59
Hypothetical (5% return before expenses) $ 1,000.00 $ 1,018.45 $ 6.54
*Expenses are equal to the Fund's annualized expense ratio: 0.95%, 1.70%, 1.70%,
1.30% and 0.55% for Class A, B, C, J and Y, respectively, multiplied by the
average account value over the period, multiplied by 182/365 (to reflect the
half-year period).
5
LOOMIS SAYLES INVESTMENT GRADE BOND FUND -- SCHEDULE OF INVESTMENTS
Investments as of March 31, 2005(unaudited)
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------ -------------
BONDS AND NOTES -- 96.1% OF TOTAL NET ASSETS
Non-Convertible Bonds -- 94.3%
Aerospace & Defense -- 0.0%
$ 145,000 Raytheon Co.,
7.375%, 7/15/2025 $ 148,974
-------------
Airlines -- 2.0%
451,234 American Airlines, Inc.,
6.978%, 4/01/2011 456,651
1,000,000 American Airlines, Inc., Class B,
8.608%, 4/01/2011 921,736
1,814,793 Continental Airlines, Inc.,
6.703%, 12/15/2022 1,735,814
1,112,072 Continental Airlines, Inc., Series 1999-1A,
6.545%, 2/02/2019 1,084,284
787,369 Continental Airlines, Inc., Series 1998-1A,
6.648%, 9/15/2017 747,280
367,387 Continental Airlines, Inc., Series 1999-2,
7.256%, 3/15/2020 367,697
1,816,436 Continental Airlines, Inc., Series 2000-2,
7.707%, 10/02/2022 1,775,786
612,040 US Airways,
6.850%, 1/30/2018 611,496
-------------
7,700,744
-------------
Asset-Backed Securities -- 0.7%
1,083,876 Community Program Loan Trust, Series 1987-A, Class A4,
4.500%, 10/01/2018 1,080,867
1,700,000 Community Program Loan Trust, Series 1987-A, Class A5,
4.500%, 4/01/2029 1,579,648
-------------
2,660,515
-------------
Automotive -- 4.1%
375,000 Cummins Engine Co., Inc.,
7.125%, 3/01/2028 378,750
3,150,000 Delphi Automotive Systems Corp.,
7.125%, 5/01/2029 2,503,085
2,500,000 Ford Motor Co.,
6.375%, 2/01/2029 2,056,558
700,000 Ford Motor Credit Co.,
7.375%, 10/28/2009 703,059
1,500,000 General Motors Acceptance Corp.,
6.875%, 9/15/2011 1,357,261
3,000,000 General Motors Acceptance Corp.,
7.000%, 12/07/2005, (GBP) 5,609,329
3,050,000 General Motors Acceptance Corp.,
7.500%, 12/01/2006, (NZD) 2,125,608
700,000 General Motors Corp.,
6.750%, 5/01/2028 (d) 526,817
950,000 GMAC International Finance BV,
8.000%, 3/14/2007, (NZD) 641,946
-------------
15,902,413
-------------
Banking -- 2.7%
144,000,000 Barclays Financial LLC,
4.100%, 3/22/2010, 144A (THB) 3,601,472
140,000,000 Barclays Financial LLC,
4.160%, 2/22/2010, 144A (THB) 3,515,031
1,500,000 CIT Group, Inc.,
5.500%, 12/01/2014, (GBP) 2,803,339
250,000 J.P. Morgan Chase & Co.,
4.000%, 2/01/2008 (d) 247,116
100,000 Key Bank NA,
6.950%, 2/01/2028 114,207
-------------
10,281,165
-------------
Principal
Amount Description Value (a)
- ------------ ------------------------------------------------------ ------------
Beverages -- 0.5%
$ 1,525,000 Cia Brasileira de Bebidas,
8.750%, 9/15/2013 $ 1,746,125
------------
Brokerage -- 0.3%
1,000,000 Morgan Stanley,
3.625%, 4/01/2008 976,540
------------
Consumer Products -- 0.4%
1,400,000 Bausch & Lomb, Inc.,
7.125%, 8/01/2028 1,501,335
------------
Electric -- 4.0%
2,750,000 Constellation Energy Group, Inc.,
4.550%, 6/15/2015 2,579,469
5,500,000 Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 5,958,216
1,000,000 Empresa Nacional de Electricidad SA (Endesa-Chile),
8.350%, 8/01/2013 1,121,015
4,000,000 Enersis SA,
7.400%, 12/01/2016 4,159,156
1,500,000 MidAmerican Energy Holdings Co.,
5.875%, 10/01/2012 1,557,801
45,375 Quezon Power Philippines Co.,
8.860%, 6/15/2017 42,199
------------
15,417,856
------------
Foreign Agencies -- 1.1%
220,000 Alberta Municipal Funding Corp.,
5.700%, 9/01/2011, (CAD) 196,133
3,670,000 Pemex Project Funding Master Trust,
8.625%, 12/01/2023, 144A 4,156,275
------------
4,352,408
------------
Foreign Local Governments -- 9.9%
19,100,000 Kommunekredit,
5.000%, 6/07/2006, (NOK) 3,095,143
37,042 Province of Alberta,
5.930%, 9/16/2016, (CAD) 33,253
4,525,000 Province of British Columbia,
5.250%, 12/01/2006, (CAD) 3,863,241
5,175,000 Province of British Columbia,
6.000%, 6/09/2008, (CAD) 4,587,195
3,275,000 Province of British Columbia,
6.250%, 12/01/2009, (CAD) 2,975,289
3,285,000 Province of Manitoba,
4.450%, 12/01/2008, (CAD) 2,784,273
6,510,000 Province of Manitoba,
5.750%, 6/02/2008, (CAD) 5,724,172
500,000 Province of Nova Scotia,
6.600%, 6/01/2027, (CAD) 488,865
700,000 Province of Ontario,
3.500%, 9/08/2006, (CAD) 581,317
4,490,000 Province of Ontario,
5.900%, 3/08/2006, (CAD) 3,808,121
7,500,000 Province of Saskatchewan,
4.750%, 12/01/2006, (CAD) 6,353,875
550,000 Province of Saskatchewan,
5.500%, 6/02/2008, (CAD) 480,167
4,110,000 Province of Saskatchewan,
6.000%, 6/01/2006, (CAD) 3,510,598
------------
38,285,509
------------
Government Agencies -- 14.7%
1,250,000 Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007, (SGD) 769,876
5,800,000 Federal Home Loan Mortgage Corp.,
4.625%, 2/15/2007, (EUR) 7,799,489
See accompanying notes to financial statements.
6
LOOMIS SAYLES INVESTMENT GRADE BOND FUND -- SCHEDULE OF INVESTMENTS (CONTINUED)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------ ------------
Government Agencies -- continued
$ 275,098 Federal Home Loan Mortgage Corp.,
5.000%, 12/01/2031 $ 270,115
9,250,000 Federal Home Loan Mortgage Corp.,
5.500%, 9/15/2011 (d) 9,678,007
7,500,000 Federal Home Loan Mortgage Corp.,
5.750%, 1/15/2012 7,960,958
700,000 Federal National Mortgage Association,
Zero Coupon Bond, 10/29/2007, (NZD) 419,928
16,000,000 Federal National Mortgage Association,
2.290%, 2/19/2009, (SGD) 9,524,211
1,850,000 Federal National Mortgage Association,
5.375%, 11/15/2011 1,920,250
17,450,000 Federal National Mortgage Association,
5.500%, 3/15/2011 (d) 18,226,857
69,530 Federal National Mortgage Association,
6.000%, 7/01/2029 71,303
------------
56,640,994
------------
Healthcare -- 3.4%
2,625,000 Columbia/HCA Healthcare Corp.,
7.050%, 12/01/2027 2,506,164
250,000 Columbia/HCA Healthcare Corp.,
7.500%, 12/15/2023 253,331
620,000 Columbia/HCA Healthcare Corp.,
7.580%, 9/15/2025 630,575
1,000,000 Columbia/HCA Healthcare Corp.,
7.750%, 7/15/2036 1,027,860
5,000,000 HCA, Inc.,
5.750%, 3/15/2014 4,772,520
800,000 HCA, Inc.,
6.250%, 2/15/2013 793,765
3,250,000 HCA, Inc.,
6.300%, 10/01/2012 3,246,899
------------
13,231,114
------------
Home Construction -- 0.1%
250,000 Pulte Homes, Inc.,
5.250%, 1/15/2014 239,827
------------
Independent/Energy -- 0.2%
500,000 Devon Financing Corp. LLC,
7.875%, 9/30/2031 622,817
------------
Integrated/Energy -- 0.1%
150,000 Cerro Negro Finance Ltd.,
7.900%, 12/01/2020, 144A 139,500
200,000 Petrozuata Finance, Inc.,
8.220%, 4/01/2017, 144A 188,000
------------
327,500
------------
Life Insurance -- 1.8%
11,700,000 ASIF Global Financing XXVII,
2.380%, 2/26/2009, (SGD), 144A 6,932,872
------------
Media Cable -- 1.2%
3,750,000 Cox Communications, Inc.,
6.750%, 3/15/2011 Class A 3,997,129
350,000 NTL Cable Plc,
9.750%, 4/15/2014, (GBP), 144A 680,588
------------
4,677,717
------------
Media Non-Cable -- 0.9%
2,500,000 Clear Channel Communications, Inc.,
4.250%, 5/15/2009 2,406,185
1,000,000 Clear Channel Communications, Inc.,
5.750%, 1/15/2013 (d) 984,172
------------
3,390,357
------------
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------ ------------
Metals & Mining -- 0.4%
$ 1,500,000 Teck Cominco Ltd.,
7.000%, 9/15/2012 $ 1,631,482
------------
Mortgage Related -- 0.8%
3,000,000 Bank of America Commercial Mortgage, Inc.,
5.460%, 4/11/2037 3,102,625
------------
Non Captive Consumer -- 0.3%
1,000,000 Capital One Bank,
6.700%, 5/15/2008 1,059,495
------------
Non-Captive Diversified -- 0.1%
500,000 General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008, (SGD) 293,973
------------
Oil Field Services -- 0.4%
250,000 Ensco International, Inc.,
6.750%, 11/15/2007 262,433
665,000 Pecom Energia SA,
8.125%, 7/15/2010, 144A 665,000
600,000 Transocean Sedco Forex, Inc.,
7.375%, 4/15/2018 691,421
------------
1,618,854
------------
Paper -- 1.2%
2,225,000 Georgia-Pacific Corp.,
7.375%, 12/01/2025 2,325,125
750,000 International Paper Co.,
4.000%, 4/01/2010 (d) 721,398
300,000 International Paper Co.,
5.250%, 4/01/2016 294,843
145,000 Weyerhaeuser Co.,
6.750%, 3/15/2012 159,259
1,000,000 Weyerhaeuser Co.,
7.125%, 7/15/2023 1,132,995
------------
4,633,620
------------
Pharmaceuticals -- 0.1%
500,000 Schering-Plough Corp.,
5.550%, 12/01/2013 510,777
------------
Pipelines -- 1.3%
2,425,000 Coastal Corp.,
6.950%, 6/01/2028 2,109,750
375,000 El Paso Corp.,
7.000%, 5/15/2011 360,000
1,150,000 El Paso Energy Corp.,
6.750%, 5/15/2009 1,121,250
750,000 Southern Natural Gas Co.,
7.350%, 2/15/2031 766,043
700,000 Tennessee Gas Pipeline Co.,
7.000%, 10/15/2028 686,856
------------
5,043,899
------------
Railroads -- 1.3%
5,000,000 Canadian Pacific Railway Ltd.,
4.900%, 6/15/2010, (CAD), 144A 4,242,529
195,000 Missouri Pacific Railroad Co.,
4.750%, 1/01/2020 (d) 166,698
243,000 Missouri Pacific Railroad Co.,
4.750%, 1/01/2030 192,629
281,000 Missouri Pacific Railroad Co.,
5.000%, 1/01/2045 227,961
------------
4,829,817
------------
Real Estate Investment Trusts -- 1.6%
1,000,000 EOP Operating LP,
6.750%, 2/15/2012 1,084,758
See accompanying notes to financial statements. 7
LOOMIS SAYLES INVESTMENT GRADE BOND FUND -- SCHEDULE OF INVESTMENTS (CONTINUED)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------ ------------
Real Estate Investment Trusts -- continued
$ 1,075,000 Highwoods Realty LP,
7.500%, 4/15/2018 $ 1,178,132
234,000 istar Financial, Inc., Series REGS,
5.700%, 3/01/2014 230,857
2,370,000 New Plan Excel Realty Trust,
5.875%, 6/15/2007 2,441,434
1,000,000 Spieker Properties, Inc.,
7.350%, 12/01/2017 1,125,974
------------
6,061,155
------------
Refining -- 0.0%
97,444 Merey Sweeny LP,
8.850%, 12/18/2019, 144A 112,362
------------
Restaurants -- 0.2%
1,000,000 McDonald's Corp.,
3.627%, 10/10/2010, (SGD) 617,750
------------
Retailers -- 0.1%
22,000 J.C. Penney Co., Inc.,
7.125%, 11/15/2023 (d) 21,780
500,000 Lowe's Cos., Inc.,
6.500%, 3/15/2029 560,438
------------
582,218
------------
Technology -- 2.4%
2,500,000 Arrow Electronics, Inc.,
6.875%, 7/01/2013 2,682,217
500,000 Motorola, Inc.,
5.800%, 10/15/2008 516,925
625,000 Motorola, Inc.,
7.625%, 11/15/2010 702,286
1,625,000 Motorola, Inc.,
8.000%, 11/01/2011 1,880,754
3,115,000 Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 3,512,402
------------
9,294,584
------------
Sovereigns -- 20.8%
10,900,000 Canadian Government,
4.250%, 9/01/2008, (CAD) 9,208,349
16,265,000 Canadian Government,
4.500%, 9/01/2007, (CAD) 13,805,251
9,600,000 Canadian Government,
5.500%, 6/01/2010, (CAD) 8,528,307
2,825,000 Canadian Government,
6.000%, 9/01/2005, (CAD) 2,366,555
5,000,000 Canadian Government, Series WH31,
6.000%, 6/01/2008, (CAD) 4,439,016
455,000 Dominican Republic,
9.040%, 1/23/2013, 144A 415,188
5,150,000 Government of New Zealand,
6.000%, 11/15/2011, (NZD) 3,622,574
55,815,000 Government of Sweden, Series 1045,
5.250%, 3/15/2011, (SEK) 8,705,084
29,310,000 Government of Sweden, Series 1040,
6.500%, 5/05/2008, (SEK) 4,597,810
15,000,000 Kingdom of Norway,
5.500%, 5/15/2009, (NOK) 2,559,786
44,930,000 Kingdom of Norway,
6.750%, 1/15/2007, (NOK) 7,585,102
100,000,000 Mexican Fixed Rate Bonds,
9.000%, 12/20/2012, (MXN) 8,268,051
2,315,880 PF Export Receivables Master Trust,
6.436%, 6/01/2015, 144A 2,330,632
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------ ------------
Sovereigns -- continued
$ 1,500,000 Republic of Brazil,
8.250%, 1/20/2034 (d) $ 1,332,000
325,000 Republic of Brazil,
8.875%, 4/15/2024 308,262
10,000 Republic of Brazil,
10.125%, 5/15/2027 10,500
250,000 Republic of Brazil,
11.000%, 8/17/2040 278,250
557,064 Republic of Brazil C Bond,
8.000%, 4/15/2014 552,218
247,500 Republic of Peru,
4.500%, 3/07/2017 (c) 228,319
500,000 Republic of South Africa,
5.250%, 5/16/2013, (EUR) 673,169
150,000 Republic of South Africa,
12.500%, 12/21/2006, (ZAR) 25,613
100,000 Republic of Venezuela,
9.250%, 9/15/2027 99,150
500,000 SP Powerassets Ltd.,
3.730%, 10/22/2010, (SGD) 312,573
------------
80,251,759
------------
Supranational -- 3.4%
22,000,000 Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009, (BRL) 4,405,766
2,585,000 International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/2007, (NZD) 1,572,129
6,000,000 International Bank for Reconstruction & Development,
5.500%, 11/03/2008, (NZD) 4,196,932
4,045,000 International Bank for Reconstruction & Development,
8.000%, 5/23/2007, (NZD) 2,954,960
------------
13,129,787
------------
Textile -- 0.0%
25,000 Kellwood Co.,
7.625%, 10/15/2017 26,148
------------
Tobacco -- 0.6%
2,000,000 Altria Group, Inc.,
7.000%, 11/04/2013 2,146,068
------------
Transportation Services -- 0.5%
478,694 Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 475,247
596,039 Atlas Air, Inc., Series A,
7.380%, 1/02/2018 589,590
1,000,000 ERAC USA Finance Co.,
6.800%, 2/15/2008, 144A 1,058,326
------------
2,123,163
------------
Treasuries -- 9.4%
5,000,000 U.S. Treasury Notes,
2.500%, 9/30/2006 (d) 4,914,845
5,965,000 U.S. Treasury Notes,
2.625%, 5/15/2008 (d) 5,730,128
1,045,000 U.S. Treasury Notes,
2.750%, 6/30/2006 (d) 1,034,468
19,000,000 U.S. Treasury Notes,
2.750%, 7/31/2006 (d) 18,786,991
6,035,000 U.S. Treasury Notes,
3.000%, 2/15/2008 5,882,001
------------
36,348,433
------------
8 See accompanying notes to financial statements.
LOOMIS SAYLES INVESTMENT GRADE BOND FUND -- SCHEDULE OF INVESTMENTS (CONTINUED)
Investments as of March 31, 2005 (unaudited)
Principal
Amount Description Value (a)
- ------------- ------------------------------------------------------- -------------
Wireless -- 0.2%
$ 1,000,000 America Movil SA de CV,
4.125%, 3/01/2009 $ 961,719
-------------
Wirelines -- 1.1%
1,400,000 Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 1,358,000
1,000,000 Telekom Malaysia Berhad,
7.875%, 8/01/2025, 144A 1,216,227
250,000 US West Capital Funding, Inc.,
6.500%, 11/15/2018 198,750
1,650,000 US West Capital Funding, Inc.,
6.875%, 7/15/2028 1,278,750
-------------
4,051,727
-------------
Total Non-Convertible Bonds
(Identified Cost $ 336,304,165) 363,468,197
-------------
Convertible Bonds -- 1.8%
Independent/Energy -- 0.6%
500,000 Devon Energy Corp.,
4.900%, 8/15/2008 573,750
1,750,000 Devon Energy Corp.,
4.950%, 8/15/2008 2,008,125
-------------
2,581,875
-------------
Pharmaceuticals -- 0.2%
750,000 Chiron Corp.,
1.625%, 8/01/2033 694,687
-------------
Tobacco -- 0.8%
3,040,000 Loews Corp.,
3.125%, 9/15/2007 3,062,800
-------------
Wirelines -- 0.2%
840,000 Telus Corp.,
6.750%, 6/15/2010, (CAD) 708,246
-------------
Total Convertible Bonds
(Identified Cost $ 6,416,077) 7,047,608
-------------
Total Bonds and Notes
(Identified Cost $ 342,720,242) 370,515,805
-------------
Short-Term Investment -- 16.7% of Total Net Assets
20,256,000 Repurchase Agreement with State Street Corp.,
dated 3/31/05 at 1.25% to be purchased at $20,256,703 20,256,000
on 4/1/05 collateralized by $17,650,000 U.S. -------------
Treasury Bond, 6.250% due 8/15/23 with a value
of $ 20,663,243
44,133,351 State Street Navigator Securities Lending Prime
Portfolio (e) 44,133,351
-------------
Total Short-Term Investment
(Identified Cost $ 64,389,351) 64,389,351
-------------
Total Investments - 112.8%
(Identified Cost $407,109,593) (b) 434,905,156
Other assets less liabilities -- (12.8)% (49,427,121)
-------------
Total Net Assets -- 100% $ 385,478,035
=============
(a) See Note 2a of Notes to Financial Statements
(b) Federal Tax Information:
At March 31, 2005, the net unrealized appreciation on
investments based on cost of $409,486,417 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 $ 30,933,770
Aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost
over value (5,515,031)
------------
Net unrealized appreciation $ 25,418,739
============
(c) Variable rate security. Rate disclosed is rate at March 31,
2005.
(d) All or a portion of this security was on loan to brokers at
March 31, 2005.
(e) Represents investment of securities lending collateral.
144A Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transaction exempt from registration, normally to qualified
institutional buyers. At March 31, 2005, the total value of
these securities amounted to $32,766,404 or 8.5% of net
assets.
Key to Abbreviations: BRL: Brazilian Dollar; CAD: Canadian
Dollar; EUR: Euro; GBP: Great British Pound; MXN: Mexican Peso;
NOK: Norwegain Krone; NZD: New Zealand Dollar; SEK: Swedish
Krona; SGD: Singapore Dollar; THB: Thailand Baht; ZAR: South
Africa Rand
HOLDINGS AT MARCH 31, 2005 AS A PERCENTAGE OF NET ASSETS (UNAUDITED)
Sovereigns 20.8%
Government Agencies 14.7
Foreign Local Governments 9.9
Treasuries 9.4
Automotive 4.1
Electric 4.0
Healthcare 3.4
Supranational 3.4
Banking 2.7
Technology 2.4
Airlines 2.0
Other, less than 2% each 19.3
See accompanying notes to financial statements. 9
STATEMENT OF ASSETS & LIABILITIES
March 31, 2005 (unaudited)
ASSETS
Investments at cost $ 407,109,593
Net unrealized appreciation 27,795,563
-------------
Investments at value (including 434,905,156
securities on loan of $ 43,243,634)
Cash 3,112,118
Foreign cash at value (identified cost 167,924
$171,609 )
Receivable for Fund shares sold 876,910
Interest receivable 4,951,118
Securities lending income receivable 726
Receivable from investment adviser 4,237
-------------
TOTAL ASSETS 444,018,189
-------------
LIABILITIES
Collateral on securities 44,133,351
loaned, at value
Payable for securities 13,908,956
purchased
Payable for forward 137
commitments
Payable for Fund shares 169,760
redeemed
Management fees payable 129,674
Tustees' fees 1,435
Deferred Trustees' fees 22,343
Transfer agent fees payable 19,869
Accounting and administrative 51,422
fees payable
Service and distribution 7,320
fees payable
Other accounts payable and accrued 95,887
expenses
-------------
TOTAL LIABILITES 58,540,154
-------------
NET ASSETS 385,478,035
-------------
NET ASSETS CONSIST OF:
Paid in capital 352,088,363
Undistributed net investment 332,340
income
Accumulated net realized gain on 5,240,573
investments
Net unrealized appreciation on investments and foreign currency 27,816,759
translations
-------------
NET ASSETS $ 385,478,035
=============
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets $ 25,375,177
=============
Shares of beneficial interest 2,186,314
=============
Net asset value and redemption price per $ 11.61
share
=============
Offering price per share $ 12.16
(100/95.50 of $ 11.61)
=============
Class B shares: (redemption price is equal to net asset value less any
applicable contingent deferred sales charges)
Net assets $ 2,741,419
=============
Shares of beneficial interest 236,873
=============
Net asset value and offering price per $ 11.57
share
=============
Class C shares: (redemption price is equal to net asset value less any
applicable contingent deferred sales charges)
Net assets $ 16,112,899
=============
Shares of beneficial interest 1,392,629
=============
Net asset value and offering price per $ 11.57
share
=============
Class Y shares:
Net assets $ 15,532,714
=============
Shares of beneficial interest 1,337,315
=============
Net asset value, offering and redemption $ 11.61
price per share
=============
Class J shares:
Net assets $ 325,715,826
=============
Shares of beneficial interest 28,091,450
=============
Net asset value and redemption price per $ 11.59
share
=============
Offering price per share $ 12.01
(100/96.50 of $ 11.59)
=============
10 See accompanying notes to financial statements.
STATEMENT OF OPERATIONS
For the Six Months Ended March 31, 2005 (unaudited)
INVESTMENT INCOME
Interest $ 9,869,662
Less net foreign taxes withheld (2,317)
Securities lending income 726
-------------
9,868,071
--------------
Expenses
Management fees 745,030
Service fees-Class A 23,447
Service and distribution fees-Class B 11,760
Service and distribution fees-Class C 59,687
Service and distribution fees-Class J 1,220,450
Trustees' fees and expenses 15,236
Accounting and administrative 121,282
Custodian 93,305
Transfer agent fees - Class A, Class B, Class C 39,450
Transfer agent fees Class Y 11,263
Transfer agent fees Class J 5,040
Audit and tax services 21,956
Registration - Class A, Class B, Class C, Class Y 23,192
Registration - Class J 721
Shareholder reporting - Class A, Class B, Class C, Class Y 8,543
Shareholder reporting - Class J 20,733
Legal - Class A, Class B, Class C, Class Y 915
Legal - Class J 22,545
Miscellaneous 13,549
-------------
Total expenses 2,458,104
Less reimbursement/waiver (93,579)
-------------
Net expenses 2,364,525
-------------
Net investment income 7,503,546
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Realized gain on:
Investments - net 7,721,078
Foreign currency transactions - net 154,214
Change in unrealized depreciation on:
Investments - net (2,861,237)
Foreign currency translations - net (55,587)
-------------
Net realized and unrealized gain on investments
and foreign currency transactions 4,958,468
-------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 12,462,014
=============
See accompanying notes to financial statements. 11
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended March 31, 2005 (unaudited)
Six Months Ended Year Ended
March 31, 2005 September 30,
(unaudited) 2004
----------------- -----------------
FROM OPERATIONS:
Net investment income $ 7,503,546 $ 15,716,537
Net realized gain on investments and foreign currency transactions 7,875,292 11,166,256
Change in unrealized appreciation (depreciation) on investments and
foreign currency translations (2,916,824) 1,854,609
----------------- -----------------
Increase in net assets resulting from operations 12,462,014 28,737,402
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class A (782,632) (271,806)
Class B (88,888) (42,016)
Class C (428,881) (175,999)
Class Y (595,175) (583,747)
Class J (12,869,136) (16,876,388)
Capital gains:
Class A (312,527) (13,621)
Class B (35,217) (3,141)
Class C (164,210) (4,478)
Class Y (200,515) (60,972)
Class J (4,635,137) (2,012,830)
----------------- -----------------
Total distributions (20,112,318) (20,044,998)
----------------- -----------------
INCREASE IN NET ASSETS DERIVED
FROM CAPITAL SHARES TRANSACTIONS 17,221,014 20,028,707
----------------- -----------------
Total increase in net assets 9,570,710 28,721,111
NET ASSETS
Beginning of period 375,907,325 347,186,214
----------------- -----------------
End of period $ 385,478,035 $ 375,907,325
================= =================
UNDISTRIBUTED NET INVESTMENT INCOME $ 332,340 $ 7,593,506
================= =================
12 See accompanying notes to financial statements.
This Page Intentionally Left Blank
13
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period
Income (loss) from investment operations: Less distributions:
---------------------------------------- -------------------------------------------
Dividends
Net asset Net Net realized from Distributions
value, investment and unrealized Total from net from net
beginning Income gain (loss) on investment investment realized Total
of the period (loss) investments operations income capital gains distributions
------------- ---------- --------------- ----------- ------------ -------------- -------------
Class A
3/31/2005(k) $ 11.84 $ 0.25(d) $ 0.18 $ 0.43 $ (0.49) $ (0.17) $ (0.66)
9/30/2004 11.54 0.52(d) 0.45 0.97 (0.60) (0.07) (0.67)
9/30/2003 10.23 0.58(d) 1.46 2.04 (0.59) (0.14) (0.73)
9/30/2002(f)(h) 10.18 0.39(d) 0.04 0.43 (0.38) -- (0.38)
12/18/2000(i) 9.91 0.13(d) 0.24 0.37 (0.14) -- (0.14)
9/30/2000 9.95 0.71(d) (0.05) 0.66 (0.70) -- (0.70)
9/30/1999 10.27 0.64 (0.03) 0.61 (0.67) (0.26) (0.93)
Class B
3/31/2005(k) 11.82 0.21(d) 0.16 0.37 (0.45) (0.17) (0.62)
9/30/2004 11.53 0.43(d) 0.45 0.88 (0.52) (0.07) (0.59)
9/30/2003(g) 11.21 0.02(d) 0.30 0.32 -- -- --
Class C
3/31/2005(k) 11.81 0.20(d) 0.18 0.38 (0.45) (0.17) (0.62)
9/30/2004 11.53 0.43(d) 0.45 0.88 (0.53) (0.07) (0.60)
9/30/2003(g) 11.21 0.02(d) 0.30 0.32 -- -- --
Class Y
3/31/2005(k) 11.85 0.28(d) 0.16 0.44 (0.51) (0.17) (0.68)
9/30/2004 11.54 0.57(d) 0.45 1.02 (0.64) (0.07) (0.71)
9/30/2003 10.23 0.61(d) 1.46 2.07 (0.62) (0.14) (0.76)
9/30/2002(f) 10.09 0.62(d) 0.09 0.71 (0.55) (0.02) (0.57)
9/30/2001 9.92 0.65(d) 0.18 0.83 (0.66) -- (0.66)
9/30/2000 9.96 0.73(d) (0.05) 0.68 (0.72) -- (0.72)
Class J
3/31/2005(k) 11.83 0.24(d) 0.16 0.40 (0.47) (0.17) (0.64)
9/30/2004 11.53 0.48(d) 0.44 0.92 (0.55) (0.07) (0.62)
9/30/2003 10.22 0.52(d) 1.47 1.99 (0.54) (0.14) (0.68)
9/30/2002(f) 10.09 0.54(d) 0.09 0.63 (0.48) (0.02) (0.50)
9/30/2001 9.91 0.57(d) 0.19 0.76 (0.58) -- (0.58)
9/30/2000 9.95 0.65(d) (0.04) 0.61 (0.65) -- (0.65)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one
year are not annualized.
(b) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(c) Annualized basis for periods less than one year.
(d) Per share net investment income has been calculated using the average
shares outstanding during the period.
(e) A sales charge for Class A, Class C and Class J and a contingent deferred
sales charge for Class B and Class C shares are not reflected in total
return calculations.
(f) 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 for financial statement purposes
only. For the year ended September 30, 2002, the effect of this change per
share for Class A, Class Y, and Class J 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 Class A, Class Y and Class J
decreased from 5.88% to 5.85%, 6.10% to 6.08%, and 5.35% to 5.33%,
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.
(g) From commencement of class operations on September 12, 2003 through
September 30, 2003.
(h) From commencement of class operations on January 31, 2002 through September
30, 2002.
(i) For the period from October 1, 2000 through December 18, 2000. Class A,
formerly Retail Class shares, of the Fund were converted into Class Y,
formerly Institutional Class shares, on December 18, 2000.
(j) A sales charge for Class A and Class J and a contingent deferred sales
charge for Class B and Class C shares are not reflected in total return
calculations.
(k) For the six months ended March 31, 2005 (Unaudited).
14 See accompanying notes to financial statements.
Ratios to average net assets:
--------------------------------------
Net asset Total Net assets, end Net Gross Net investment Portfolio
value, end return of the period expenses expenses income (loss) turnover
of the period (%) (a) (000) (%) (b)(c) (%) (c) (%) (c) rate (%)
- ------------- ------- --------------- ---------- -------- -------------- ---------
$11.61 3.7(j) $ 25,375 0.95 1.03 4.20 16
11.84 8.8(j) 9,506 0.93 1.67 4.52 29
11.54 20.6(e) 1,128 0.80 4.67 5.21 34
10.23 4.3 11 0.80 191.59 5.85 39
10.14 3.8 2,426 0.80 1.91 6.31 1
9.91 6.9 2,250 0.80 3.01 7.16 23
9.95 6.2 2,561 0.80 3.20 6.60 42
11.57 3.1(j) 2,741 1.70 2.11 3.55 16
11.82 7.9(j) 1,797 1.70 2.42 3.77 29
11.53 2.9(e) 160 1.70 7.81 5.83 34
11.57 3.2(j) 16,113 1.70 1.96 3.47 16
11.81 7.9(j) 9,191 1.70 2.42 3.74 29
11.53 2.9(e) 3 1.70 7.81 4.35 34
11.61 3.7(j) 15,533 0.55 0.96 4.71 16
11.85 9.2 12,543 0.55 1.08 4.92 29
11.54 20.9 10,230 0.55 1.34 5.58 34
10.23 7.2 7,874 0.55 1.13 6.08 39
10.09 8.6 8,549 0.55 1.36 6.43 15
9.92 7.2 2,905 0.55 3.23 7.35 23
11.59 (1.3)(j) 325,716 1.30 1.32 4.01 16
11.83 8.3(j) 342,871 1.30 1.33 4.15 29
11.53 20.0(e) 335,666 1.30 1.36 4.79 34
10.22 6.4(e) 211,105 1.30 1.55 5.33 39
10.09 7.9(e) 91,569 1.30 1.71 5.65 15
9.91 6.4(e) 30,264 1.30 2.97 6.59 23
15
NOTES TO FINANCIAL STATEMENTS
For the Six Months Ended March 31, 2005 (unaudited)
1. Organization. Loomis Sayles Funds II (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 investment
management 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 (individually, a "Fund" and collectively, the "Funds"). Information
presented in these financial statements pertains to Loomis Sayles Investment
Grade Bond Fund (the "Fund" or the "Investment Grade Bond Fund"). The financial
statements for the remaining fixed income funds and the equity funds of the
Trust are presented in separate reports.
The Fund offers Class A, Class B, Class C, Class Y and Class J shares. Class A
shares are sold with a maximum front end sales charge of 4.50%. Class B shares
do not pay a front end sales charge, but pay higher ongoing Rule 12b-1 fees than
Class A shares for eight years (at which point they automatically convert to
Class A shares), and are subject to a contingent deferred sales charge ("CDSC")
if those shares are redeemed within six years of purchase. Class C shares do not
pay a front end sales charge, do not convert to any other Class of shares, pay
higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC
of 1.00% if those shares are redeemed within one year. Class Y shares do not pay
a front end sales charge, a CDSC or distribution fees. Class Y shares are
intended for institutional investors with a minimum initial investment of
$1,000,000, though some categories of investors are excepted from the minimum
investment amounts. Class J shares are only offered to non-U.S. investors and
are sold with a maximum front end sales charge of 3.50%.
Most expenses of the Trust can be directly attributed to a Fund. Expenses which
can not be directly attributed to a Fund 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 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 are generally valued at market value, as reported by pricing services
recommended by the 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 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.
Investments in other investment companies are valued at net asset value each
day. 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 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.
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 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.
16
For the Six Months Ended March 31, 2005 (unaudited)
The Fund uses 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.
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
March 31, 2005, 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 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 foreign currency
transactions, distributions from real estate investment trusts and premium
amortization accruals. Temporary differences between book and tax distributable
earnings are primarily due to premium amortization accounts, deferred trustees'
fees and corporate action adjustments. Permanent book and tax 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.
h. Securities Lending. The Fund has entered into an agreement with State Street
Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend
securities to certain designated borrowers. The loans are collateralized at all
times with cash or securities with a market value at least equal to the market
value of the securities on loan. The Fund receives fees for lending its
securities. The market value of securities on loan to borrowers and the value of
the collateral held by the Fund with respect to such loans at March 31, 2005,
were $43,243,634 and $44,133,351, respectively.
3. Purchases and Sales of Securities. For the six months ended March 31, 2005,
purchases and sales of securities (excluding short-term investments and U.S.
Government/Agency securities) were $17,523,034 and $40,319,363, respectively.
Purchases and sales of U.S. Government/Agency securities (excluding short-term
investments) were $40,489,776 and $18,195,988, respectively.
4. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as
investment adviser to the Fund. Under the terms of the management agreement, the
Fund pays a management fee at the annual rate of 0.40% of average daily net
assets, calculated daily and payable monthly. For the six months ended March 31,
2005, the management fee for the Fund was as follows:
Gross Waiver of Net Percentage of Average
Management Management Management Daily Net Assets
Fee Fee Fee Gross Net
---------- ---------- ---------- ----- -----
$ 745,030 $ 0 $ 745,030 0.40% 0.40%
17
NOTES TO FINANCIAL STATEMENTS (CONT.)
For the Six Months Ended March 31, 2005 (unaudited)
Certain officers and employees of Loomis Sayles are also officers or Trustees of
the Trust. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management North America, L.P. ("IXIS North America"), formerly CDC IXIS Asset
Management North America, L.P., which is part of IXIS Asset Management Group, an
international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly 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; the Caisse Nationale des Caisses d'Epargne, a
financial institution owned by CDC and by French regional savings banks known as
the Caisse d'Epargne; and CNP Assurances, a large French life insurance company.
b. Accounting and Administrative Fees. IXIS Asset Management Services Company
("IXIS Services"), formerly CDC IXIS Asset Management Services, Inc., a wholly
owned subsidiary of IXIS North America, performed certain accounting and
administrative services for the Fund and subcontracted with State Street Bank,
to serve as sub-administrator. Pursuant to an agreement among the Loomis Sayles
Funds Trusts (the Trust and Loomis Sayles Funds I), 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 IXIS
Services, each Fund paid IXIS Services 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.
Effective January 1, 2005, IXIS Asset Management Advisors, L.P. ("IXIS
Advisors") assumed responsibility for providing accounting and administrative
services to the Fund pursuant to the same fee structure. State Street Bank
continues to serve as sub-administrator.
For the six months ended March 31, 2005, fees paid to IXIS Services and IXIS
Advisors for accounting and administrative expense were $121,282.
c. Transfer Agent Fees. IXIS Services serves as transfer and shareholder
servicing agent for the Fund (except Class J shares) and has subcontracted with
Boston Financial Data Services ("BFDS") to serve as sub-transfer agent. State
Street Bank serves as transfer and shareholder servicing agent for Class J
shares.
During the period October 1, 2004 through December 31, 2004, Classes A, B and C
paid service fees monthly to IXIS Services representing the higher amount based
on the following calculations:
(1) The Fund's pro rata portion of an annual aggregate fee determined by
applying an annual fee rate (see schedule below) to the eligible average
daily net assets. Eligible assets are the average daily net assets of Class
A, Class B and Class C accounts in Load Fixed Income Funds. Load Fixed
Income Funds consist of the Fund, Loomis Sayles High Income Fund, Loomis
Sayles Limited Term Government and Agency Fund, Loomis Sayles Municipal
Income Fund and Loomis Sayles Strategic Income Fund and all fixed income
funds in the CDC Nvest Funds Trusts.
First Next Over
$1.2 billion $5 billion $6.2 billion
- ------------ ---------- ------------
0.142% 0.135% 0.130%
Each Class of shares is subject to a monthly Class minimum of $1,500, allocated
based on the combined net assets of Class A, Class B and Class C.
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
$1,502,993.
During the period October 1, 2004 through December 31, 2004, Class Y paid
service fees monthly to IXIS Services representing the higher amount based on
the following calculations:
(1) The 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**.
Class Y shares are subject to a monthly minimum of $1,250.
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.
18
NOTES TO FINANCIAL STATEMENTS (CONT.)
For the Six Months Ended March 31, 2005 (unaudited)
*No Load Retail Funds consist of Loomis Sayles Aggressive Growth Fund, Loomis
Sayles Bond Fund, Loomis Sayles Global Bond 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
Loomis Sayles Funds Trusts and the CDC Nvest Funds Trusts.
Effective January 1, 2005, Class A, B and C shares pay fees to IXIS Services
representing a pro rata portion of the greater of:
(1) An aggregate annual minimum fee of approximately $1.7 million for all
Load Fixed Income Funds; or
(2) An annual account based fee of $25.25 for each open account and $2.00
for each closed account, aggregated for all Load Fixed Income Funds.
Effective January 1, 2005, Class Y shares pay fees to IXIS Services representing
a pro rata portion of the greater of:
(1) An aggregate annual minimum fee of approximately $1 million for all No
Load Retail Funds and Load Funds Class Y; or
(2) An annual account based fee of $25.44 for each open account in an
Equity Fund, $25.25 for each open account in a Fixed Income Fund and
$2.00 for each closed account, aggregated for all No Load Retail Funds
and Load Funds Class Y.
Each Class of shares is subject to a monthly class minimum of $1,500.
In addition, pursuant to other servicing agreements, each Class, except Class J,
pays service fees to other firms that provide similar services for their own
shareholder accounts.
IXIS Services, BFDS and other firms are also reimbursed by the Funds for
out-of-pocket expenses.
For the six months ended March 31, 2005, amounts paid to IXIS Services as
compensation for its services as transfer agent were $33,889.
d. Service and Distribution Fees. The Trust entered into a distribution
agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"),
formerly CDC IXIS Asset Management Distributors, L.P., a wholly owned subsidiary
of IXIS North America. Pursuant to this agreement, IXIS Distributors serves as
principal underwriter of the Funds of the Trust, except Investment Grade Bond
Fund, Class J. The Fund has entered into a distribution agreement relating to
Class J shares with Loomis Sayles Distributors, L.P. ("Loomis Sayles
Distributors"), a wholly-owned subsidiary of IXIS North America.
Pursuant to Rule 12b-1 under the 1940 Act ("Rule 12b-1"), the Fund has adopted a
Service Plan relating to the Fund's Class A shares (the "Class A Plan") and
Service and Distribution Plans relating to the Fund's Class B, Class C and Class
J shares (the "Class B ,Class C and Class J Plans").
Under the Class A Plan, the Fund pays IXIS Distributors a monthly service fee at
an annual rate not to exceed 0.25% of the average daily net assets attributable
to the Fund's Class A shares, as reimbursement for expenses incurred by IXIS
Distributors in providing personal services to investors in Class A shares
and/or the maintenance of shareholder accounts.
Under the Class B and Class C Plans, the Fund pays IXIS Distributors a monthly
service fee at an annual rate not to exceed 0.25% of the average daily net
assets attributable to the Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in providing
personal services to investors in Class B and Class C shares and/or the
maintenance of shareholder accounts.
Also under the Class B and Class C Plans, the Fund pays IXIS Distributors a
monthly distribution fee at an annual rate of 0.75% of the average daily net
assets attributable to the Fund's Class B and Class C shares, as compensation
for services provided and expenses incurred by IXIS Distributors in connections
with the marketing or sale of Class B and Class C shares.
Under the Class J Plan, the Investment Grade Bond Fund pays Loomis Sayles
Distributors a monthly shareholder service fee at an annual rate not to exceed
0.25% and a monthly distribution fee at an annual rate not to exceed 0.50% of
the average daily net assets attributable to the Fund's Class J shares.
For the six months ended March 31, 2005, the Fund paid the following service and
distribution fees:
Service Fee Distribution Fee
----------------- ----------------------------
Class A Class B Class C Class J Class B Class C Class J
- -------- ------- -------- --------- ------- -------- ---------
$ 23,447 $ 2,940 $ 14,922 $ 406,817 $ 8,820 $ 44,765 $ 813,633
Commissions (including CDSCs) on Fund shares paid to IXIS Distributors by
investors in Class B and C shares of the Fund were $60,855, and commissions paid
to Loomis Sayles Distributors by investors in Class J shares of the Fund were
$344,303 for the six months ended March 31, 2005.
19
NOTES TO FINANCIAL STATEMENTS (CONT.)
For the Six Months Ended March 31, 2005 (unaudited)
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, IXIS Distributors,
IXIS North America, IXIS Services, IXIS Advisors 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 that he or she attends.
The co-chairmen of the Board each receive an annual retainer fee of $25,000. The
retainer fees assume four Board or Committee meetings per year. 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.
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. Deferred amounts remain in the Fund
until distributed in accordance with the Plan.
f. Publishing Services. IXIS Services performs certain desktop publishing
services for the Fund. Fees for these services are presented in the Statement of
Operations as part of shareholder reporting. For the six months ended March 31,
2005, the amount paid to IXIS Services as compensation for these services was
$175.
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, payable at the end of each calendar quarter,
is accrued and apportioned among the participating Funds based on their average
daily unused portion of the line of credit. For the six months ended March 31,
2005, the Fund had no borrowings under the agreement.
6. Shareholders. At March 31, 2005, the Loomis Sayles Employees' Profit Sharing
Retirement Plan held 201,520 shares of beneficial interest of the Fund.
7. Expense Reductions and Contingent Expense Obligations. Loomis Sayles has
given a binding undertaking to the Fund to defer its management fees and, if
necessary, bear certain expenses associated with the Fund to limit its operating
expenses. This undertaking is in effect until January 31, 2006 and will be
reevaluated on an annual basis.
Loomis Sayles shall be permitted to recover expenses it has borne (whether
through reduction of its management fee or otherwise) in later periods, to the
extent that the Fund's expenses fall below the expense limits, provided,
however, that the Fund is not obligated to pay such deferred fees more than one
year after the fiscal year in which the fee was deferred.
At March 31, 2005, the expense limits as a percentage of average daily net
assets and amount subject to possible reimbursement under the expense limitation
agreement were as follows:
Expenses Subject to Expenses Subject to
Expense Limit as a Percentage Expiration Possible Reimbursement Possible Reimbursement
of Average Daily Net Assets of Waiver Until September 30, 2005 Until September 30, 2006
- ------------------------------------------- ---------------- ------------------------ ------------------------
Class A Class B Class C Class Y Class J
- ------- ------- ------- ------- -------
0.95% 1.70% 1.70% 0.55% 1.30% January 31, 2006 $ 239,663 $ 93,579
8. Capital Shares. The Fund may issue an unlimited number of shares of
beneficial interest. Transactions in capital shares were as follows:
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
-------------------------- -----------------------
Shares Amount Shares Amount
CLASS A ----------- ------------- --------- ------------
Issued from the sale of shares 1,378,797 $ 16,583,234 845,179 $ 9,901,942
Issued in connection with the reinvestment of
distributions 77,712 917,715 18,301 210,238
Redeemed (72,981) (864,315) (158,442) (1,832,451)
----------- ------------- --------- ------------
Net change 1,383,528 $ 16,636,634 705,038 $ 8,279,729
=========== ============= ========= ============
CLASS B
Issued from the sale of shares 100,903 $ 1,198,488 149,404 $ 1,701,993
Issued in connection with the reinvestment of
distributions 6,444 76,042 1,756 20,158
Redeemed (22,524) (265,990) (12,955) (148,655)
----------- ------------- --------- ------------
Net change 84,823 $ 1,008,540 138,205 $ 1,573,496
=========== ============= ========= ============
20
NOTES TO FINANCIAL STATEMENTS (CONT.)
For the Six Months Ended March 31, 2005 (unaudited)
8. Capital Shares. continued:
Six Months Ended
March 31, 2005 Year Ended
(unaudited) September 30, 2004
Shares Amount Shares Amount
----------- ------------- --------- ------------
CLASS C
Issued from the sale of shares 663,448 $ 7,820,566 844,455 $ 9,807,856
Issued in connection with the reinvestment of 6,799 80,159 754 8,655
distributions
Redeemed (55,979) (655,397) (67,071) (768,164)
----------- ------------- ----------- ----------------
Net change 614,268 $ 7,245,328 778,138 $ 9,048,347
=========== ============= =========== ================
CLASS Y
Issued from the sale of shares 838,583 $ 9,840,290 482,697 $ 5,495,572
Issued in connection with the reinvestment of 57,620 681,802 45,115 519,122
distributions
Redeemed (617,490) (7,210,823) (355,309) (4,043,025)
----------- ------------- ----------- ----------------
Net change 278,713 $ 3,311,269 172,503 $ 1,971,669
=========== ============= =========== ================
CLASS J
Issued from the sale of shares 5,779,100 $ 68,646,132 12,912,010 $ 149,860,044
Issued in connection with the reinvestment of -- -- -- --
distributions
Redeemed (6,671,010) (79,626,889) (13,039,250) (150,704,578)
----------- ------------- ----------- ----------------
Net change (891,910) $ (10,980,757) (127,240) $ (844,534)
=========== ============= =========== ================
9. Subsequent Event. Effective May 1, 2005, the names of the CDC Nvest Funds
Trusts changed as follows:
Current Name New Name
- ------------------------------- ----------------------------------
CDC Nvest Funds Trust I IXIS Advisor Funds Trust I
CDC Nvest Funds Trust II IXIS Advisor Funds Trust II
CDC Nvest Funds Trust III IXIS Advisor Funds Trust III
CDC Nvest Companies Trust I IXIS Advisor Funds Trust IV
CDC Nvest Cash Management Trust IXIS Advisor Cash Management Trust
21
Item 2. Code of Ethics.
Not applicable
Item 3. Audit Committee Financial Expert.
Not applicable
Item 4. Principal Accountant Fees and Services.
Not applicable
Item 5. Audit Committee of Listed Registrants.
Not applicable
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Companies and Affiliated Purchasers.
Not applicable
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may
recommend nominees to the Trust's Board of Trustees.
Item 11. 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 12. Exhibits.
(a) (1) Not applicable
(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), as herewith as exhibit (a)(2)(1)
and a(2)(2), respectively
(a) (3) Not applicable.
(b) Certifications of Principal Executive Officer and Principal Financial
Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are
filed herewith as Exhibit (b)(1) and (b)(2), respectively.
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 II
By: /s/ Robert J. Blanding
----------------------------------
Name: Robert J. Blanding
Title: Chief Executive Officer
Date: May 23, 2005
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: Chief Executive Officer
Date: May 23, 2005
By: /s/ Michael C. Kardok
----------------------------------
Name: Michael C. Kardok
Title: Treasurer
Date: May 23, 2005