UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Natixis 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: December 31

Date of reporting period: December 31, 2009

Item 1. Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

EQUITY FUNDS

ANNUAL REPORT

December 31, 2009

CGM Advisor Targeted Equity Fund

Capital Growth Management Limited Partnership

Hansberger International Fund

Hansberger Global Investors, Inc.

Harris Associates Large Cap Value Fund

Harris Associates L.P.

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Investment Management L.P.

Vaughan Nelson Value Opportunity Fund

Vaughan Nelson Investment Management L.P.

Natixis U.S. Diversified Portfolio

BlackRock Investment Management, LLC

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

TABLE OF CONTENTS

Management Discussion and Performance page 1

Portfolio of Investments page 19

Financial Statements page 33

CGM ADVISOR TARGETED EQUITY FUND

PORTFOLIO PROFILE

Objective:

Seeks long-term growth of capital through investments in equity securities of companies whose earnings are expected to grow at a faster rate than the overall U.S. economy

Strategy:

Generally invests in a focused portfolio of common stocks of large-cap companies

Inception Date:

November 27, 1968

Manager:

G. Kenneth Heebner

Symbols:

Class A	NEFGX
Class B	NEBGX
Class C	NEGCX
Class Y	NEGYX

What You Should Know:

The fund invests in a small number of securities, which may result in greater volatility than more diversified funds. Growth stocks can be more sensitive to market movements because their prices are based in part on future expectations. The fund may invest in foreign securities that involve risks not associated with domestic securities.

Management Discussion

Stocks fell to 12-year lows by early March and then rallied on growing signs of recovery, staging Wall Street’s biggest comeback since the Great Depression.

With a shift in focus from defensive stocks to economically sensitive issues midway through the period, CGM Advisor Targeted Equity Fund posted healthy returns. For the year ended December 31, 2009, the fund returned 25.19% based on the net asset value of Class A shares, with $0.05 per share in reinvested dividends. The fund lagged its benchmark, the S&P 500 Index, which returned 26.46%, and the average fund in Morningstar’s Large Growth category, which returned 35.68% for the same period.

HOW WAS THE FUND POSITIONED?

The fund began 2009 fully invested. More than half of the stocks in the portfolio were companies with limited exposure to economic cycles, reflecting our concerns over the deepening global recession and its negative impact on corporate earnings.

As the year progressed and we became increasingly confident about an economic rebound, we shifted the fund’s assets away from defensive issues and put greater emphasis on companies poised to benefit from a recovery in the U.S. and global economies. Purchases included Ford, Vale, FedEx, United Parcel Service (UPS) and Freeport-McMoRan Copper and Gold.

Ford has weathered the financial crisis better than most of its competitors. Although the company has suffered along with the rest of the automobile industry, we expect the firm to emerge with substantial profits in 2011 and 2012. Vale, one of the world’s largest iron ore producers, is benefiting from higher prices for metals as the global economy expands and demand for iron ore (particularly from China) increases.

Package delivery and shipping giants FedEx and UPS are benefiting from the withdrawal of DHL from the industry in the U.S. We believe these firms, along with low-cost copper producer, Freeport-McMoRan, are well-positioned to participate in the global economic recovery we see ahead.

WHAT TYPES OF STOCKS WERE THE BEST PERFORMERS?

The fund’s exposure to economically sensitive issues helped strengthen performance for the period. Top contributors, Itau Unibanco and Banco Bradesco, are two of Brazil’s largest banks. Both banks benefited from expectations of improving earnings in 2010 as the Brazilian Central Bank reduced interest rates to stimulate the economy, and investors anticipated loan growth and reduced loan losses in an expanding Brazilian economy.

Goldman Sachs, a full-service global investment banking and securities firm, contributed to the fund’s performance as well. The company avoided problems with toxic mortgage securities, and entered 2009 poised to gain market share and higher margins after the market turn in March. The firm has also seen its stock price rise as the investment banking industry went through a period of consolidation. A number of major firms have gone out of business while others have been impaired by financial constraints. We continue to hold all three bank positions.

WHICH STOCKS PROVED DISAPPOINTING?

Investments in State Street, Apollo Group and UnitedHealth Group underperformed. State Street, the world’s top provider of investment services and asset management to institutional investors, witnessed a drop in its stock price because of exposure to complex derivatives. Despite strong earnings performance, Apollo Group, a leading for-profit education company, also experienced stock-price declines due to concerns over adverse regulatory actions. Major health management specialist, UnitedHealth Group, also struggled as worries over the impact of congressional healthcare legislation caused the stock price to retreat. We sold all three issues.

WHAT IS YOUR OUTLOOK?

All of the key economic indicators point to a global recovery in 2010. With its current emphasis on economically sensitive issues, we believe the fund is well-positioned to benefit from an expanding global economy in the coming year.

1

CGM ADVISOR TARGETED EQUITY FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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

Average Annual Total Returns — December 31, 2009

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 11/27/68)
Net Asset Value1	25.19	%	4.96	%	1.68	%
With Maximum Sales Charge2	17.96		3.73		1.08
CLASS B (Inception 2/28/97)
Net Asset Value1	24.42		4.21		0.92
With CDSC3	19.42		3.87		0.92
CLASS C (Inception 9/1/98)
Net Asset Value1	24.42		4.21		0.92
With CDSC3	23.42		4.21		0.92
CLASS Y (Inception 6/30/99)
Net Asset Value1	25.75		5.27		2.05
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
S&P 500 Index4	26.46	%	0.42	%	-0.95	%
Morningstar Large Growth Fund Avg. 5	35.68		1.21		-2.11

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 noted. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

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	12/31/09	12/31/08
Common Stocks	95.5	93.3
Short-Term Investments and Other	4.5	6.7
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09	12/31/08
Itau Unibanco Holding SA, ADR	9.0	—
Goldman Sachs Group, Inc. (The)	8.6	4.6
Banco Bradesco SA, Sponsored ADR	8.1	4.0
Ford Motor Co.	7.7	—
Freeport-McMoRan Copper & Gold, Inc.	6.4	—
FedEx Corp.	6.0	—
Vale SA, Sponsored ADR	6.0	—
Baidu, Inc., Sponsored ADR	5.8	—
International Business Machines Corp.	5.4	4.1
Philip Morris International, Inc.	5.2	5.3
	% of Net Assets as of
FIVE LARGEST INDUSTRIES	12/31/09	12/31/08
Commercial Banks	17.1	8.8
Metals & Mining	12.3	—
Air Freight & Logistics	11.1	—
Computers & Peripherals	9.7	5.7
Capital Markets	8.6	9.1

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio		Net Expense Ratio
A	1.20	%	1.20	%
B	1.95		1.95
C	1.95		1.95
Y	0.85		0.85

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class B shares assumes a maximum 5.00% 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, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ S&P 500 Index is an unmanaged index of U.S. common stocks.

⁵ Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

2

HANSBERGER INTERNATIONAL FUND

PORTFOLIO PROFILE

Objective:

Seeks long-term growth of capital

Strategy:

Invests in common stocks of small-, mid- and large-cap companies located outside the United States. Assets are invested across developed and emerging markets

Inception Date:

December 29, 1995

Managers:

Growth:

Trevor Graham

Barry A. Lockhart

Patrick H. Tan

Thomas R.H. Tibbles

Value:

Ronald Holt

Lauretta Reeves

Symbols:

Class A	NEFDX
Class B	NEDBX
Class C	NEDCX

What You Should Know:

Foreign securities involve risks not associated with domestic securities, such as currency fluctuations, differing political and economic conditions and different accounting standards. Growth stocks can be more sensitive to market movements because their prices are based in part on future expectations. Value stocks may fall out of favor and underperform the overall market during any given period.

Management Discussion

After a difficult start to the year, international markets – particularly emerging market countries – recovered strongly, significantly outperforming the U.S. market, as measured by the S&P 500 Index, which returned 26.46% for the year ended December 31, 2009. The rally in international equity markets was powered by hopes of a global economic recovery and relief that the worst-case scenario had not occurred. For the year as a whole, all sectors represented in the Hansberger International Fund’s benchmark and all major and emerging stock markets posted positive returns.

For the year ended December 31, 2009 the fund provided a total return of 45.82%, based on the net asset value of Class A shares with $0.01 per share in reinvested dividends. For the same period, the fund’s benchmarks, the MSCI EAFE Index and the MSCI ACWI ex USA, returned 32.46% and 42.14%, respectively, expressed in U.S. dollars. The average performance of the fund’s Morningstar peer group, the Foreign Large Blend category, was 31.24%. Neither the fund nor its benchmarks include U.S. stocks, and the Morningstar category has only limited exposure to domestic equities.

Two teams of Hansberger’s international equity specialists manage the fund. One team focuses on value and the other seeks growth potential. The growth portfolio fared better than the value portfolio during 2009.

WHICH SECTORS WORKED BEST FOR THE VALUE TEAM?

The sectors that had been hardest hit in 2008 were the value team’s best groups in 2009. Materials made the largest contribution to returns, as commodity prices increased substantially. Mining giants Vale and BHP Billiton were among the largest gainers. Energy stocks recovered too as oil prices bounced back. One of the main beneficiaries was Subsea 7, a leading player in the oil and gas development industry. Financial stocks also fared well; two bank stocks, Standard Chartered and Credit Suisse Group, were the strongest gainers.

The portfolio was held back by its emphasis on healthcare, which underperformed as investors shifted away from defensive sectors that had performed well during the bear market in 2008. Two of the weaker performers were pharmaceutical companies, Shionogi and Novartis.

WHICH SECTORS WERE MOST BENEFICIAL FOR THE GROWTH TEAM?

Rebounding from the March low, the growth portfolio enjoyed strong performance in 2009. One of the key contributors was the materials sector, where top holdings included mining group Vedanta Resources, headquartered in the U.K. The stock almost quadrupled in value during the year, while the stock price of Australian miner Rio Tinto more than doubled. Information technology was another source of excellent performance, with Tencent Holdings of China and Autonomy Corp. of the U.K. being the main contributors. The energy sector benefited from the recovery in oil prices, led by Brazilian oil producer Petrobras and Canadian energy and mining company, Cameco. The portfolio’s holdings in industrials underperformed in 2009; China Communications Construction was the main detractor.

WHAT IS YOUR OUTLOOK FOR THE GLOBAL ECONOMY?

While the pace of economic growth has slowed dramatically, we believe the long-term outlook for many economies – especially emerging market countries – is still strongly positive. We remain optimistic on China, where companies continue to benefit from massive infrastructure spending and government stimulus. Brazil and India are also growing faster than the developed world and can benefit from domestic growth even if exports have slowed.

While we are no longer seeing the massive disconnect between fundamentals and valuations that was evident at the beginning of 2009, we continue to believe the market is mispricing quality and that highly differentiated growth prospects are not being reflected in market multiples. We think that maintaining a well diversified portfolio of high-quality international stocks should prove beneficial as investors return to equities and risk aversion subsides. In our opinion, many of the names that will recover first are the high-quality, liquid, large-cap companies that we hold in our international portfolios.

3

HANSBERGER INTERNATIONAL FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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 Shares⁷

Average Annual Total Returns — December 31, 2009⁷

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 12/29/95)
Net Asset Value1	45.82	%	5.07	%	3.05	%
With Maximum Sales Charge2	37.48		3.84		2.45
CLASS B (Inception 12/29/95)
Net Asset Value1	44.67		4.30		2.29
With CDSC3	39.67		3.99		2.29
CLASS C (Inception 12/29/95)
Net Asset Value1	44.64		4.28		2.28
With CDSC3	43.64		4.28		2.28
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
MSCI EAFE Index4	32.46	%	4.02	%	1.58	%
MSCI ACWI ex USA5	42.14		6.30		3.12
Morningstar Foreign Large Blend Fund Avg.6	31.24		3.58		0.62

All results 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.funds.natixis.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
FUND COMPOSITION	12/31/09	12/31/08
Common Stocks	97.8	99.2
Preferred Stocks	0.6	1.1
Exchange Traded Funds	1.3	—
Bonds and Notes	—	0.1
Short-Term Investments and Other	0.3	-0.4
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09	12/31/08
BNP Paribas	1.7	0.6
AXA SA	1.7	1.1
Nestle SA, (Registered)	1.6	2.2
Banco Santander Central Hispano SA	1.5	1.7
Infosys Technologies Ltd., Sponsored ADR	1.5	1.7
ABB Ltd., (Registered)	1.5	0.6
Roche Holding AG	1.5	2.5
Shin-Etsu Chemical Co. Ltd.	1.4	1.4
Standard Chartered PLC	1.4	1.1
Adidas AG	1.3	1.1
	% of Net Assets as of
FIVE LARGEST COUNTRIES	12/31/09	12/31/08
United Kingdom	14.4	13.0
Japan	11.1	17.2
France	10.4	10.5
China	10.1	7.3
Switzerland	8.3	10.4

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio	Net Expense Ratio
A	1.49%	1.49%
B	2.23	2.23
C	2.24	2.24

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class B shares assumes a maximum 5.00% 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, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ Morgan Stanley Capital International Europe Australasia and Far East Index (MSCI EAFE Index) is an unmanaged index designed to measure developed market equity performance, excluding the United States and Canada.

⁵ Morgan Stanley Capital International All Countries World Index ex USA (MSCI ACWI ex USA) is an unmanaged index designed to measure equity market performance in developed and emerging markets, excluding the United States.

⁶ Morningstar Foreign Large Blend 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 reductions/reimbursements, without which performance would have been lower.

4

HARRIS ASSOCIATES LARGE CAP VALUE FUND

PORTFOLIO PROFILE

Objective:

Seeks opportunities for long-term capital growth and income

Strategy:

Invests primarily in common stock of large- and mid-cap companies in any industry

Inception Date:

May 6, 1931

Managers:

Edward S. Loeb

Michael J. Mangan

Diane L. Mustain

Symbols:

Class A	NEFOX
Class B	NEGBX
Class C	NECOX
Class Y	NEOYX

What You Should Know:

Value stocks may fall out of favor with investors and underperform the overall market during any given period.

Management Discussion

Optimism surged back into the stock market early in March, setting off a stunning rally that ran for most of the rest of the year. As often happens, highly speculative, financially weak stocks were early leaders, but large cap stocks caught up as investors shifted their focus to stronger businesses with robust finances, such as those we favor.

For the year ended December 31, 2009, Class A shares of Harris Associates Large Cap Value Fund returned 44.03% at net asset value, assuming $0.05 per share in dividends reinvested during the period. These results were well ahead of the fund’s benchmark and its Morningstar peer group. The Russell 1000 Value Index returned 19.69% for the 12-month period, while the average return on the funds in Morningstar’s Large Blend category was 28.17%.

WHICH STOCKS OR SECTORS AIDED PERFORMANCE?

The fund’s sector exposures result from individual stock selection. Given our belief that the government’s rescue measures would keep the financial system intact, we took advantage of what looked like exceptional values among beaten-down financial issues. The resulting relatively large position in these stocks made financials the portfolio’s strongest group when prices rebounded. Along the way, we sold Morgan Stanley and Bank of America, both longstanding holdings, and added JPMorgan Chase. This stock appealed to us because of its overall strength and diverse product line. JPMorgan shed its bailout obligations early and we trimmed the fund’s stake at favorable prices, leaving the fund with a relatively small financial sector by year end. Mutual fund manager Franklin Resources, which was never threatened by the credit crisis, also rose thanks to recovering revenue streams and earnings power.

Consumer discretionary issues snapped back smartly as the economic recovery began to take shape. Cruise company Carnival and hotel operators Marriott and Starwood enjoyed sharp recoveries. All three are backed by strong balance sheets, and we felt that their shares had reached unjustifiably low valuations at the time we invested in them. In energy, our purchases of Apache and Williams Cos. also benefited results as demand rose and oil prices followed. We added heavy equipment maker Caterpillar after it successfully refinanced the debt of some subsidiaries. The equipment business is cyclical and shares had fallen due to near-term concerns. However, Caterpillar has been profitable throughout the downturn and improving earnings expectations boosted its shares. Chipmaker Intel led all portfolio holdings, thanks to its market dominance and unexpectedly strong gross margins and profitability.

WHICH STOCKS DETRACTED?

There were few disappointments in the portfolio. We eliminated Capital One Financial because of its heavy reliance on credit cards while household budgets remained under pressure. We invested the proceeds in JPMorgan Chase. We also dropped Dell from the fund as the company struggled to engineer a successful turnaround. During the year, we sold disappointing performers like Tyco Electronics, a major manufacturer of precision electronics, and Fortune Brands, a leader in distilled spirits.

WHAT IS YOUR OUTLOOK?

We remain optimistic about the equity markets, in part because of the high degree of skepticism that remains in the wake of the market’s steep climb. We think retail and institutional investors are too focused on the bear markets they see in the rearview mirror, which is keeping them in risk-avoidance mode. That mindset fosters an environment potentially favorable for stocks as more investors move back into the market. We think the economic recovery is spotty but real, although unemployment will remain high. As always, our focus is on cash flows and other intrinsic fundamentals of the businesses we invest in, and their opportunities domestically and in foreign markets. Our recipe for investing is to be opportunistic, especially when the majority is moving the other way.

5

HARRIS ASSOCIATES LARGE CAP VALUE FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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 Shares⁶

Average Annual Total Returns — December 31, 2009⁶

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 5/6/31)
Net Asset Value1	44.03	%	-0.65	%	-1.38	%
With Maximum Sales Charge2	35.68		-1.82		-1.97
CLASS B (Inception 9/13/93)
Net Asset Value1	42.88		-1.41		-2.13
With CDSC3	37.88		-1.80		-2.13
CLASS C (Inception 5/1/95)
Net Asset Value1	42.91		-1.41		-2.13
With CDSC3	41.91		-1.41		-2.13
CLASS Y (Inception 11/18/98)
Net Asset Value1	44.39		-0.33		-0.98
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
Russell 1000 Value Index4	19.69	%	-0.25	%	2.47	%
Morningstar Large Blend Fund Avg. 5	28.17		0.46		0.01

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.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

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	12/31/09	12/31/08
Common Stocks	91.8	94.6
Short-Term Investments and Other	8.2	5.4
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09	12/31/08
Intel Corp.	6.0	6.3
Hewlett-Packard Co.	5.7	5.9
Carnival Corp.	4.9	5.6
Bank of New York Mellon Corp.	3.7	4.2
JPMorgan Chase & Co.	3.6	3.7
Williams Cos., Inc.	3.4	1.7
Caterpillar, Inc.	3.3	—
Franklin Resources, Inc.	3.2	2.8
Omnicom Group, Inc.	3.2	2.3
Illinois Tool Works, Inc.	3.1	1.0
	% of Net Assets as of
FIVE LARGEST INDUSTRIES	12/31/09	12/31/08
Hotels, Restaurants & Leisure	10.7	9.6
Semiconductors & Semiconductor Equipment	9.9	8.2
Media	7.6	9.2
Capital Markets	6.9	13.9
Machinery	6.4	1.0

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio7	Net Expense Ratio8
A	1.28%	1.28%
B	2.04	2.04
C	2.03	2.03
Y	0.84	0.84

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class B shares assumes a maximum 5.00% 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, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ Russell 1000 Value Index is an unmanaged index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

⁵ Morningstar Large Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

⁶ Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower.

⁷ Before reductions and reimbursements.

⁸ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10.

6

VAUGHAN NELSON SMALL CAP VALUE FUND

PORTFOLIO PROFILE

Objective:

Seeks capital appreciation

Strategy:

Invests in small-cap companies with a focus on absolute return, using a bottom-up value-oriented investment process.

Inception Date:

December 31, 1996

Managers:

Chris D. Wallis

Scott J. Weber

Symbols:

Class A	NEFJX
Class B	NEJBX
Class C Class Y	NEJCX NEJYX

What You Should Know:

Investing in small-cap stocks carries special risk, including narrower markets, limited financial and management resources, less liquidity and greater volatility than large company stocks. Value stocks may fall out of favor with investors and underperform the overall market during any given period.

* Effective July 31, 2009, the Fund was closed to new investors.

Management Discussion

Growing confidence in the stability of the financial system helped fuel a broad market rally that began in March. Cyclical sectors led the rebound, rewarding the fund’s increased focus on companies with the potential to prosper in an improving business environment.

For the year ended December 31, 2009, Vaughan Nelson Small Cap Value Fund’s total return was 28.30% based on the net asset value of Class A shares, with $0.04 per share in reinvested dividends. For the same 12 months, the Russell 2000 Value Index, the fund’s benchmark, returned 20.58%, while the average performance of the funds in Morningstar’s Small Blend category was 31.80%.

WHICH STRATEGIES OR HOLDINGS HAD FAVORABLE IMPACTS ON PERFORMANCE?

Successful stock selection was the chief driver of the fund’s results; sector weightings provided added momentum. In energy, Concho Resources, an exploration and production company active in the Persian Basin, benefited from increased reserves and rising oil prices. Bucyrus International, which provides equipment, parts and services to the mining industry, moved higher as rising commodity prices boosted mining activity. Menswear maker Phillips-Van Heusen added to results as consumer discretionary spending appeared to touch bottom. Phillips also benefited from growth in the clothing lines that the company licenses from Calvin Klein, which carry higher margins than the company’s base business.

Since last spring, we have been increasing the portfolio’s cyclical emphasis, reducing weightings in consumer staples, healthcare and other defensive sectors. Meanwhile, we have been expanding holdings in consumer discretionary, technology and energy – areas more likely to benefit from an economic recovery. We have long been wary of financial services, a sector that is prominent in the benchmark. The fund’s underweight stance in this weak sector, as well as superior stock performance among smaller regional banks owned, was the largest contributor to relative performance. Performance also benefited from our limited exposure to utilities, another underperforming sector.

WHAT WERE THE PERIOD’S MAIN DISAPPOINTMENTS?

The fund trailed significantly in the consumer discretionary sector where, as often happens, lower-quality, poorly financed companies that fall well short of our investment criteria led the initial stages of the market’s rebound.

Early in the year, we eliminated several weak healthcare companies because we were concerned about possible cuts in government reimbursement programs and we believed that assets could be redeployed in more promising areas. Among detractors we sold were LHC Group, which provides nursing services, HealthSpring, a managed care provider, and Amsurg, which operates outpatient surgery facilities. We also sold bottle maker Owens-llinois whose shares declined as margins came under pressure from declining volumes. We eliminated Sonic, a leading chain of drive-in restaurants, whose credit profile was threatened by the weak economy. United Bankshares was hurt by deterioration among the loans on its books, leading us to sell this position as well.

WHAT IS YOUR OUTLOOK?

Although questions remain about the recovery’s sustainability, economic activity has clearly rebounded from the depths of the credit crisis. Against that background, we are increasingly comfortable with the greater degree of cyclicality we have created in the portfolio. We de-emphasized credit-sensitive areas while the economy was shrinking. But by now, many such companies have written off or sold troubled assets and are better positioned for the period ahead. Along those lines, we continue to seek opportunities in consumer and technology stocks and in companies we believe will benefit from the brightening credit environment.

7

VAUGHAN NELSON SMALL CAP VALUE FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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 Shares⁶

Average Annual Total Returns — December 31, 2009⁶

	1 YEAR		5 YEARS		10 YEARS		SINCE INCEPTION
CLASS A (Inception 12/31/96)
Net Asset Value1	28.30	%	6.85	%	1.75	%	—
With Maximum Sales Charge2	20.94		5.59		1.15		—
CLASS B (Inception 12/31/96)
Net Asset Value1	27.28		6.06		0.99		—
With CDSC3	22.28		5.74		0.99		—
CLASS C (Inception 12/31/96)
Net Asset Value1	27.35		6.06		0.99		—
With CDSC3	26.35		6.06		0.99		—
CLASS Y (Inception 8/31/06)
Net Asset Value1	28.61		—		—		5.31
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS		SINCE CLASS Y INCEPTION7
Russell 2000 Value Index4	20.58	%	-0.01	%	8.27	%	-4.72	%
Morningstar Small Blend Fund Avg. 5	31.80		0.47		5.85		-3.01

All results 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.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

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	12/31/09	12/31/08
Common Stocks	97.4	88.7
Exchange Traded Funds	—	4.6
Short-Term Investments and Other	2.6	6.7
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09	12/31/08
Sybase, Inc.	2.8	2.2
Waste Connections, Inc.	2.7	2.2
HCC Insurance Holdings, Inc.	2.2	2.5
Hanover Insurance Group, Inc. (The)	2.1	—
Watson Wyatt Worldwide, Inc., Class A	2.0	2.3
Patterson Cos., Inc.	1.9	1.7
Prosperity Bancshares, Inc.	1.9	1.6
Syniverse Holdings, Inc.	1.8	1.4
Lincoln Electric Holdings, Inc.	1.8	1.4
Nice Systems Ltd., Sponsored ADR	1.8	1.3
	% of Net Assets as of
FIVE LARGEST INDUSTRIES	12/31/09	12/31/08
Machinery	8.5	3.9
Insurance	7.6	7.4
Software	6.8	5.6
Commercial Banks	4.9	5.4
Textiles, Apparel & Luxury Goods	4.7	2.8

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio8		Net Expense Ratio9
A	1.53	%	1.47	%
B	2.28		2.22
C	2.28		2.22
Y	1.23		1.22

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class B shares assumes a maximum 5.00% 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, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

⁵ Morningstar Small Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

⁶ Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower.

⁷ The since-inception comparative performance figures shown are calculated from 9/1/06.

⁸ Before reductions and reimbursements.

⁹ After reductions and reimbursements. Expense reductions are contractual and are set to expire 4/30/10.

8

VAUGHAN NELSON VALUE OPPORTUNITY FUND

PORTFOLIO PROFILE

Objective:

Seeks long-term capital appreciation

Strategy:

Invests in medium capitalization companies with a focus on absolute return, using a bottom-up, value-oriented investment process

Inception Date:

October 31, 2008

Managers:

Dennis G. Alff

Chris D. Wallis

Scott J. Weber

Symbols:

Class A	VNVAX
Class C Class Y	VNVCX VNVYX

What You Should Know:

Value stocks may fall out of favor with investors and underperform the overall market during any given period.

Management Discussion

Lifting economic clouds propelled markets upward last spring as investors shook off fears of a financial collapse. The improving business outlook boosted stocks in economically sensitive sectors, an area of increasing focus for the fund. In addition, midcap stocks were favorably positioned over this period.

For the year ended December 31, 2009, Vaughan Nelson Value Opportunity Fund’s total return was 30.98% based on the net asset value of Class A shares and $0.04 per share in dividends and $0.07 per share in short-term capital gains reinvested during the period. The fund’s benchmark, Russell Midcap Value Index, returned 34.21%, while the average performance of the funds in Morningstar’s Mid-Cap Blend category was 37.39%.

WHICH STRATEGIES OR HOLDINGS AIDED PERFORMANCE?

Our increasing tilt toward more cyclical sectors was an important factor in the fund’s return. We reduced weightings in consumer staples, healthcare and other defensive sectors, while expanding holdings in areas we believed were more likely to benefit from any economic recovery, including consumer discretionary, technology and energy. Our strategy was rewarded as investor confidence in the business outlook improved.

Stock selection among financial issues was another positive. As the results of the government’s stress tests of banks became known, we took a more favorable view of the financial sector. We capitalized on low valuations by buying beaten-down companies like Bermuda-based XL Capital. This property and casualty insurer’s stock portfolio appears well-positioned to benefit from stronger equity markets, boosting XL’s book value and its shares. We added Fifth Third Bancorp and Discover Financial Services when their shares appeared oversold. Subsequent price recoveries in both companies added to relative performance. Menswear maker Phillips-Van Heusen added to results as consumer discretionary spending appeared to touch bottom. Phillips benefited from growth in the clothing lines that the company licenses from Calvin Klein, which carry higher margins than the company’s base business.

The fund’s energy holdings rode rising oil and gas prices and outperformed those in the benchmark. Shares of printing company R. R. Donnelley rebounded from depressed levels as demand for financial printing, a key business line, recovered. In technology, Amdocs, which provides software for communications companies, rose sharply. The portfolio’s underweight stake in utilities aided comparative results as money left defensive sectors in pursuit of greater returns.

WHAT CAUSED THE FUND TO LAG ITS BENCHMARK?

Results in the consumer discretionary sector trailed the benchmark because lower-quality issues that fall short of our investment standards led the initial stages of the rally. Disappointing sales caused shares of supermarket chain Kroger to stagnate; we sold this position in order to invest in more cyclical opportunities. Pactiv, a manufacturer of plastic packaging and consumer products, lagged as higher pension costs pressured earnings. We also sold W. R. Berkley, a property/casualty insurer, as loss ratios began to climb.

WHAT IS YOUR OUTLOOK?

Although questions remain about the recovery’s sustainability, economic activity has clearly rebounded from the depths of the credit crisis. When the government made clear that the financial system would get the help it needed, banks were able to raise capital and the credit markets sputtered back to life. This momentum led to a positive reading for the nation’s Gross Domestic Product in the third quarter. Against that background, we are increasingly comfortable with the portfolio’s greater degree of cyclicality. We de-emphasized credit-sensitive areas while the economy was shrinking. But by now, many such companies have written off or sold troubled assets and we think they are better positioned for the period ahead. Along those lines, we continue to seek opportunities in consumer and technology stocks and in companies that might benefit from the brightening credit environment.

9

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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 $10,000 Investment in Class A Shares⁶

Average Annual Total Returns — December 31, 2009⁶

	1 YEAR		SINCE INCEPTION
CLASS A (Inception 10/31/08)
Net Asset Value1	30.98	%	21.95	%
With Maximum Sales Charge2	23.39		15.92
CLASS C (Inception 10/31/08)
Net Asset Value1	30.01		21.02
With CDSC3	29.01		21.02
CLASS Y (Inception 10/31/08)
Net Asset Value1	31.37		22.28
COMPARATIVE PERFORMANCE	1 YEAR		SINCE INCEPTION7
Russell Midcap Value Index4	34.21	%	22.33	%
Morningstar Mid-Cap Blend Fund Avg.5	37.39		24.62

All results 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.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

The table does 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	12/31/09	12/31/08
Common Stocks	94.8	94.3
Exchange Traded Funds	—	4.5
Short-Term Investments and Other	5.2	1.2
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09	12/31/08
Owens-Illinois, Inc.	3.0	3.9
XL Capital Ltd., Class A	2.7	—
Nuance Communications, Inc.	2.5	2.0
Celanese Corp., Series A	2.3	—
Annaly Capital Management, Inc.	2.2	3.4
Seagate Technology	2.2	—
Zimmer Holdings, Inc.	2.2	2.1
Fifth Third Bancorp	1.9	—
Amdocs Ltd.	1.9	1.6
Cabot Corp.	1.9	—
	% of Net Assets as of
FIVE LARGEST INDUSTRIES	12/31/09	12/31/08
Insurance	7.6	13.5
Chemicals	6.8	3.2
REITs	5.2	3.4
Capital Markets	5.1	4.7
Commercial Services & Supplies	4.9	3.1

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio8		Net Expense Ratio9
A	14.72	%	1.41	%
C	15.47		2.16
Y	14.36		1.16

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

⁴ Russell Midcap Value Index is an unmanaged index that measures the performance of those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values.

⁵ Morningstar Mid-Cap Blend Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

⁶ Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower.

⁷ The since-inception comparative performance figures shown are calculated from 11/1/08.

⁸ Before reductions and reimbursements.

⁹ After reductions and reimbursements. Expense reductions are contractual and are set to expire 4/30/10.

10

NATIXIS U.S. DIVERSIFIED PORTFOLIO

PORTFOLIO PROFILE

Objective:

Seeks long-term growth of capital

Strategy:

Features growth and value investments through a diversified portfolio of complementary equity investment disciplines provided by specialized money managers

Inception Date:

July 7, 1994

Subadvisors:

BlackRock Investment Management, LLC

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

Symbols:

Class A	NEFSX
Class B	NESBX
Class C	NECCX
Class Y	NESYX

What You Should Know:

Growth stocks can be more sensitive to market movements because their values are based on future expectations. Value stocks may fall out of favor with investors and underperform the overall market. Small-cap stocks carry special risks, including narrower markets, limited financial and management resources, less liquidity and greater volatility than large-cap stocks.

Management Discussion

Rebounding from negative sentiment carried over from 2008, stock prices soared in early March 2009 and continued to rise throughout the year. Most of the major U.S. stock indexes ended 2009 on the plus side in double digits. It was a tumultuous year and it capped an equally tumultuous decade.

Each of this fund’s four segments is managed individually using distinct investment styles. This provides shareholders with exposure to a wide spectrum of stocks and strategies. BlackRock seeks long-term growth of capital in companies of any size, with an emphasis on those with capitalizations greater than $2 billion. The segment managed by Harris Associates invests primarily in common stocks of large- and mid-cap companies that the manager believes are trading at a substantial discount to their “true business value.” Loomis Sayles manages two segments. One invests in mid-cap growth stocks and the other focuses on small-cap value stocks.

For the year ended December 31, 2009, Class A shares of Natixis U.S. Diversified Portfolio returned 36.41% at net asset value. For the same period the S&P 500 Index returned 26.46% and the S&P MidCap 400 Index returned 37.38%. The Wilshire 4500 Index returned 38.86% and the average return of the funds in Morningstar’s Large Growth category was 35.68%.

HOW DID BLACKROCK’S PORTFOLIO RESPOND TO CHANGING MARKETS?

Information technology made the greatest relative contribution to performance. Semiconductor company PMC-Sierra surged higher during the year as the industry experienced a sharp cyclical rebound, as did Broadcom Corp., which supplies integrated circuits. Software producers Salesforce.com and Check Point Software Technologies, as well as Apple and Google also performed well. Other positive holdings included Freeport-McMoRan Copper & Gold and Amazon.com. BlackRock’s portfolio was held back by its overweight in biotechnology relative to the benchmark. Stock selection across several industries also proved disappointing. For example, the portfolio included Genzyme, which detracted from performance as this major biotech giant experienced manufacturing problems. BlackRock sold the stock. The portfolio was also underweight in IBM – one of the largest holdings in the benchmark – which delivered stellar results.

DID THE BEAR MARKET IN 2008 HELP HARRIS ASSOCIATES FIND VALUES?

As the rally off the lows set in March got underway, Harris Associates’ unwavering pursuit of value gave them opportunities to enhance the portfolio. Their focus remained on higher-quality businesses selling at little or no premium to their peers. Holdings in the financial, healthcare and energy sectors provided the greatest contribution to performance. Individual stock selection worked well for the most part. Intel, JPMorgan Chase and Franklin Resources were the best performers during the period. Intel reported strong results for 2009 and Harris Associates anticipates further progress in 2010. JPMorgan benefited from a general uptrend in financial stocks and Harris Associates believes the company’s management team is outstanding. They also believe Franklin is well positioned for future growth. Detractors during the past 12 months included Capital One Financial, which reported a larger-than-expected loss. The stock was sold in the first quarter. FedEx also proved disappointing; the stock price was volatile, but Harris Associates believes the company’s labor cost advantage and increasing market share will help the business thrive as the economy improves. However, they sold Fortune Brands in the second quarter of 2009 because they believed the stock offered lower potential reward than other consumer-oriented equities.

11

NATIXIS U.S. DIVERSIFIED PORTFOLIO

Management Discussion

HOW DID LOOMIS SAYLES MID CAP GROWTH RESPOND TO MARKET CHANGES IN 2009?

In hindsight, during the days that followed the bear market in January and February, Loomis Sayles stayed too long with defensive stocks like healthcare and discount retailers that had been good relative performers during the market downturn. Given their focus on higher quality growth stocks, Loomis Sayles missed some of the rebound when the market turned in favor of generally lower price, lower quality stocks. Fourth-quarter performance was strong as stock prices continued to gain ground and Loomis Sayles maintained its emphasis on energy and materials. Some of the best performers were exposed to natural resources, including Teck Resources and Freeport-McMoRan Copper and Gold (two mining companies); Bucyrus (which makes mining equipment); Flowserve (supplies fluid motion and control products to energy and resources companies worldwide); as well as Walter Energy (metallurgical coal) and Concho Resources (an independent oil and gas producer). Discount travel specialist priceline.com was another top performer. Flowserve was sold. The segment’s biggest disappointments were T. Rowe Price Group, a leading asset manager that declined as its earnings estimates fell; Intrepid Potash, which declined along with prices of the commodity; and L-3 Communications Holdings, which provides communications products, aviation systems and logistics services to the U.S. military. L-3 was not renewed on a major program, which cut sharply into earnings. The stock was sold. In general, the portfolio went from an underweight to an overweight in technology and energy, and from an overweight to an underweight in financials.

WHAT ABOUT LOOMIS SAYLES SMALL CAP VALUE?

Small cap stocks led the market rally that began on March 9 and continued through the end of the year. Many of these stocks had been among the hardest hit during the market downturn in 2008 and early 2009. The portfolio emphasized fundamentally strong companies with solid business franchises and highly visible cash-flow prospects. These businesses were particularly strong during the rally early in the year, although high-quality, small-caps were less prominent in the explosive rally in the second and third quarters. Stock selection was strongest in the financial services sector, notably Broadridge Financial Solutions, a leading global outsourcer of services to the financial industry. This was the portfolio’s largest holding early in the year, and the stock’s strong performance prompted Loomis Sayles to take some profits. Clearwater Paper came into the portfolio late in 2008. It benefitted from a decline in fiber and energy prices and substantial government monetary credits for utilizing its plant byproducts in energy generation. Forestar Group, which owns real estate and mineral interests, advanced sharply during the year as the company sold some real estate holdings and opportunistically repurchased debt and common stock. Disappointments included SLM Corp., a leading provider of student loans, which lost a major part of its business when the federal government announced plans to make loans directly to college students. Delta Air Lines looked attractive following its merger with NWA Corp, but persistently high fuel prices and weak economic growth for most of 2009 hurt the stock. Loomis Sayles sold both positions. In general, the portfolio entered 2009 very conservatively positioned, but began shifting to a less defensive stance in the first and second quarters. The largest reduction was in financial services, where insurance companies and credit-sensitive holdings were sold early in the year.

12

NATIXIS U.S. DIVERSIFIED PORTFOLIO

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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 Shares⁸

Average Annual Total Returns — December 31, 2009⁸

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 7/7/94)
Net Asset Value1	36.41	%	2.60	%	0.09	%
With Maximum Sales Charge2	28.61		1.40		-0.50
CLASS B (Inception 7/7/94)
Net Asset Value1	35.33		1.84		-0.66
With CDSC3	30.33		1.46		-0.66
CLASS C (Inception 7/7/94)
Net Asset Value1	35.41		1.82		-0.67
With CDSC3	34.41		1.82		-0.67
CLASS Y (Inception 11/15/94)
Net Asset Value1	36.71		2.94		0.53
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
S&P 500 Index4	26.46	%	0.42	%	-0.95	%
Wilshire 4500 Index5	38.86		2.52		1.91
S&P MidCap 400 Index6	37.38		3.27		6.36
Morningstar Large Growth Fund Avg. 7	35.68		1.21		-2.11

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.funds.natixis.com. Class Y shares are only available to certain investors, as outlined in the prospectus.

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	12/31/09		12/31/08
Common Stocks	96.8		97.7
Call Options Written	(0.0	)	—
Short-Term Investments and Other	3.2		2.3
	% of Net Assets as of
TEN LARGEST HOLDINGS	12/31/09		12/31/08
Hewlett-Packard Co.	2.3		1.5
Intel Corp.	1.9		2.1
Carnival Corp.	1.5		1.5
Microsoft Corp.	1.4		0.4
JPMorgan Chase & Co.	1.3		1.1
Bank of New York Mellon Corp.	1.1		1.1
Williams Cos., Inc.	1.0		0.4
Caterpillar, Inc.	1.0		—
Franklin Resources, Inc.	1.0		0.7
Omnicom Group, Inc.	1.0		0.6
	% of Net Assets as of
FIVE LARGEST INDUSTRIES	12/31/09		12/31/08
Semiconductors & Semiconductor Equipment	6.9		4.0
Hotels, Restaurants & Leisure	5.9		4.0
Machinery	4.9		1.7
Computers & Peripherals	4.8		4.1
Health Care Equipment & Supplies	4.0		3.7

Portfolio holdings and asset allocations will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio9		Net Expense Ratio10
A	1.43	%	1.40	%
B	2.19		2.15
C	2.18		2.15
Y	1.23		1.15

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class B shares assumes a maximum 5.00% 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, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ S&P 500 Index is an unmanaged index of U.S. common stocks.

⁵ Wilshire 4500 Index is an unmanaged index of 4,500 mid- and small-sized companies.

⁶ S&P MidCap 400 Index is an unmanaged index of U.S. mid-sized companies.

⁷ Morningstar Large Growth Fund Average is the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

⁸ Fund performance has been increased by expense reductions/reimbursements, without which performance would have been lower.

⁹ Before reductions and reimbursements.

¹⁰ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10.

13

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 Natixis Fund, contact your financial professional or call Natixis 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 Natixis Funds at 800-225-5478; on the funds’ website at www.funds.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2009 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

14

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and certain exchange fees and ongoing costs, including management fees, distribution 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 July 1, 2009 through December 31, 2009. 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 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.

CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,245.40	$6.85
Hypothetical (5% return before expenses)	$1,000.00	$1,019.11	$6.16
CLASS B
Actual	$1,000.00	$1,242.40	$11.08
Hypothetical (5% return before expenses)	$1,000.00	$1,015.32	$9.96
CLASS C
Actual	$1,000.00	$1,242.40	$11.08
Hypothetical (5% return before expenses)	$1,000.00	$1,015.32	$9.96
CLASS Y
Actual	$1,000.00	$1,248.00	$5.38
Hypothetical (5% return before expenses)	$1,000.00	$1,020.42	$4.84

* Expenses are equal to the Fund’s annualized expense ratio: 1.21%, 1.96%, 1.96% and 0.95% 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).

15

UNDERSTANDING FUND EXPENSES (continued)

HANSBERGER INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,238.40	$9.37
Hypothetical (5% return before expenses)	$1,000.00	$1,016.84	$8.44
CLASS B
Actual	$1,000.00	$1,234.30	$13.57
Hypothetical (5% return before expenses)	$1,000.00	$1,013.06	$12.23
CLASS C
Actual	$1,000.00	$1,234.00	$13.57
Hypothetical (5% return before expenses)	$1,000.00	$1,013.06	$12.23

* Expenses are equal to the Fund’s annualized expense ratio: 1.66%, 2.41% and 2.41% 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)

HARRIS ASSOCIATES LARGE CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,282.80	$7.48
Hypothetical (5% return before expenses)	$1,000.00	$1,018.65	$6.61
CLASS B
Actual	$1,000.00	$1,277.40	$11.77
Hypothetical (5% return before expenses)	$1,000.00	$1,014.87	$10.41
CLASS C
Actual	$1,000.00	$1,277.20	$11.77
Hypothetical (5% return before expenses)	$1,000.00	$1,014.87	$10.41
CLASS Y
Actual	$1,000.00	$1,284.00	$6.04
Hypothetical (5% return before expenses)	$1,000.00	$1,019.91	$5.35

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.30%, 2.05%, 2.05% and 1.05% 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

UNDERSTANDING FUND EXPENSES (continued)

VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,245.80	$8.21
Hypothetical (5% return before expenses)	$1,000.00	$1,017.90	$7.37
CLASS B
Actual	$1,000.00	$1,241.30	$12.43
Hypothetical (5% return before expenses)	$1,000.00	$1,014.12	$11.17
CLASS C
Actual	$1,000.00	$1,241.20	$12.43
Hypothetical (5% return before expenses)	$1,000.00	$1,014.12	$11.17
CLASS Y
Actual	$1,000.00	$1,247.40	$6.74
Hypothetical (5% return before expenses)	$1,000.00	$1,019.21	$6.06

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.45%, 2.20%, 2.20% and 1.19% 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).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,239.80	$7.90
Hypothetical (5% return before expenses)	$1,000.00	$1,018.15	$7.12
CLASS C
Actual	$1,000.00	$1,234.20	$12.11
Hypothetical (5% return before expenses)	$1,000.00	$1,014.37	$10.92
CLASS Y
Actual	$1,000.00	$1,241.10	$6.50
Hypothetical (5% return before expenses)	$1,000.00	$1,019.41	$5.85

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.40%, 2.15% and 1.15%, for Class A, C and Y respectively, multiplied by the average account value over the period multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

17

UNDERSTANDING FUND EXPENSES (continued)

NATIXIS U.S. DIVERSIFIED PORTFOLIO	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,256.40	$7.96
Hypothetical (5% return before expenses)	$1,000.00	$1,018.15	$7.12
CLASS B
Actual	$1,000.00	$1,251.70	$12.20
Hypothetical (5% return before expenses)	$1,000.00	$1,014.37	$10.92
CLASS C
Actual	$1,000.00	$1,251.60	$12.20
Hypothetical (5% return before expenses)	$1,000.00	$1,014.37	$10.92
CLASS Y
Actual	$1,000.00	$1,257.50	$6.54
Hypothetical (5% return before expenses)	$1,000.00	$1,019.41	$5.85

* Expenses are equal to the Portfolio’s annualized expense ratio (after fee reduction/reimbursement): 1.40%, 2.15%, 2.15% and 1.15% 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).

18

CGM ADVISOR TARGETED EQUITY FUND — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares		Description	Value (†)
	Common Stocks — 95.5% of Net Assets
		Air Freight & Logistics — 11.1%
	750,000	FedEx Corp.	$	62,587,500
	925,000	United Parcel Service, Inc., Class B		53,067,250
				115,654,750
		Automobiles — 7.7%
	8,000,000	Ford Motor Co.(b)		80,000,000
		Capital Markets — 8.6%
	535,000	Goldman Sachs Group, Inc. (The)		90,329,400
		Commercial Banks — 17.1%
	3,880,800	Banco Bradesco SA, Sponsored ADR		84,873,097
	4,126,705	Itau Unibanco Holding SA, ADR		94,253,942
				179,127,039
		Computers & Peripherals — 9.7%
	880,000	Hewlett-Packard Co.		45,328,800
	430,000	International Business Machines Corp.		56,287,000
				101,615,800
		Hotels, Restaurants & Leisure — 4.7%
	1,798,110	Marriott International, Inc., Class A		48,998,497
		Internet & Catalog Retail — 4.8%
	230,000	Priceline.com, Inc.(b)		50,255,000
		Internet Software & Services — 5.8%
	148,000	Baidu, Inc., Sponsored ADR(b)		60,862,040
		Metals & Mining — 12.3%
	830,000	Freeport-McMoRan Copper & Gold, Inc.(b)		66,640,700
	2,150,000	Vale SA, Sponsored ADR		62,414,500
				129,055,200
		Pharmaceuticals — 4.6%
	900,000	Abbott Laboratories		48,591,000
		Software — 2.6%
	1,100,000	Oracle Corp.		26,994,000
		Specialty Retail — 1.3%
	335,600	Best Buy Co., Inc.		13,242,776
		Tobacco — 5.2%
	1,130,000	Philip Morris International, Inc.		54,454,700
		Total Common Stocks (Identified Cost $743,841,215)		999,180,202
Principal Amount
	Short-Term Investments — 0.8%
$	8,365,000	American Express Credit Corp., Commercial Paper, 0.030%, 1/04/2010 (Identified Cost $8,365,000)		8,365,000
		Total Investments — 96.3% (Identified Cost $752,206,215)(a)		1,007,545,202
		Other assets less liabilities—3.7%		38,781,076
		Net Assets — 100.0%	$	1,046,326,278

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2009, the net unrealized appreciation on investments based on a cost of $756,329,402 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	$	252,884,255
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,668,455	)
	Net unrealized appreciation	$	251,215,800
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2009 (Unaudited)

Commercial Banks	17.1	%
Metals & Mining	12.3
Air Freight & Logistics	11.1
Computers & Peripherals	9.7
Capital Markets	8.6
Automobiles	7.7
Internet Software & Services	5.8
Tobacco	5.2
Internet & Catalog Retail	4.8
Hotels, Restaurants & Leisure	4.7
Pharmaceuticals	4.6
Software	2.6
Other Investments, less than 2% each	1.3
Short-Term Investments	0.8
Total Investments	96.3
Other assets less liabilities	3.7
Net Assets	100.0	%

See accompanying notes to financial statements.

19

HANSBERGER INTERNATIONAL FUND — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares	Description	Value (†)
Common Stocks — 97.8% of Net Assets
	Australia — 4.6%
25,589	BHP Billiton Ltd.	$	979,207
201,246	BlueScope Steel Ltd.		554,509
14,607	Commonwealth Bank of Australia		713,142
26,352	CSL Ltd.		766,302
16,374	Rio Tinto Ltd.		1,093,044
36,888	Westpac Banking Corp.		833,255
			4,939,459
	Belgium — 0.6%
11,497	Anheuser-Busch InBev NV		595,167
	Brazil — 5.0%
46,224	Companhia Energetica de Minas Gerais, Sponsored ADR		834,805
39,590	Itau Unibanco Holding SA, ADR		904,236
15,036	Petroleo Brasileiro SA, ADR		716,916
14,963	Petroleo Brasileiro SA, Sponsored ADR		634,282
35,257	Vale SA, Sponsored ADR		1,023,511
47,494	Vale SA, Sponsored Preference ADR		1,178,801
			5,292,551
	Canada — 4.6%
19,337	Bank of Nova Scotia		910,042
37,104	Cameco Corp.		1,193,636
14,020	IGM Financial, Inc.		568,522
44,841	Manulife Financial Corp.		822,384
13,836	Shoppers Drug Mart Corp.		600,748
21,233	Suncor Energy, Inc.		749,737
			4,845,069
	Chile — 0.5%
14,349	Sociedad Quimica y Minera de Chile SA, Sponsored ADR		539,092
	China — 10.1%
538,000	Agile Property Holdings Ltd.		782,335
1,182,000	China Communications Construction Co. Ltd., Class H		1,123,098
848,000	China Construction Bank Corp., Class H		724,315
243,000	China Merchants Bank Co. Ltd., Class H		632,261
181,500	China Shenhua Energy Co. Ltd., Class H		881,056
1,179,200	China State Construction International Holdings Ltd.		494,381
1,312,410	Denway Motors Ltd.		830,774
1,633,000	Industrial and Commercial Bank of China Ltd., Class H		1,344,879
7,386	New Oriental Education & Technology Group, Inc., Sponsored ADR(b)		558,455
446,000	PetroChina Co. Ltd., Class H		530,226
67,000	Ping An Insurance (Group) Co. of China Ltd., Class H		582,576
52,700	Tencent Holdings Ltd.		1,141,133
147,600	Weichai Power Co. Ltd., Class H		1,184,723
			10,810,212
	Denmark — 1.6%
16,890	Novo Nordisk A/S, Class B		1,078,286
10,870	Vestas Wind Systems A/S(b)		661,796
			1,740,082
	France — 10.4%
22,339	ArcelorMittal		1,021,032
75,749	AXA SA		1,778,509
22,986	BNP Paribas		1,823,205
9,804	Carrefour SA		470,266
17,909	Electricite de France		1,064,391
12,976	GDF Suez		562,133
16,089	Groupe Danone		986,286
8,318	Iliad SA		994,035
6,516	PPR		782,149
16,211	Total SA		1,041,232
8,367	Total SA, Sponsored ADR		535,823
			11,059,061

Shares	Description	Value (†)
	Germany — 5.4%
25,739	Adidas AG	$	1,394,164
5,822	Bayer AG		465,897
8,821	Deutsche Boerse AG		730,464
17,363	SAP AG		827,749
11,881	SAP AG, Sponsored ADR		556,149
9,512	Siemens AG, (Registered)		872,925
5,256	Wacker Chemie AG		914,260
			5,761,608
	Hong Kong — 2.1%
118,352	Esprit Holdings Ltd.		785,226
147,000	Hang Lung Properties Ltd.		576,292
206,000	Li & Fung Ltd.		847,732
			2,209,250
	India — 2.3%
6,542	HDFC Bank Ltd., ADR		850,983
28,588	Infosys Technologies Ltd., Sponsored ADR		1,580,059
			2,431,042
	Israel — 0.6%
10,825	Teva Pharmaceutical Industries Ltd., Sponsored ADR		608,149
	Italy — 1.8%
33,844	ENI SpA		861,864
28,861	Saipem SpA		996,006
			1,857,870
	Japan — 11.1%
71,000	Bank of Yokohama (The) Ltd.		323,722
12,400	Canon, Inc.		527,477
8,100	FANUC Ltd.		754,936
4,200	Fast Retailing Co. Ltd.		789,345
719	Jupiter Telecommunications Co. Ltd.		711,468
33,000	NGK Insulators Ltd.		721,690
2,400	Nintendo Co. Ltd.		573,208
71,700	Nomura Holdings, Inc.		533,209
16,600	Seven & I Holdings Co. Ltd.		338,946
27,100	Shin-Etsu Chemical Co. Ltd.		1,530,021
35,500	Shionogi & Co. Ltd.		769,687
194	Sony Financial Holdings, Inc.		504,871
42,600	Sumitomo Corp.		433,785
96,000	Sumitomo Trust & Banking Co. Ltd.		471,363
30,200	THK Co. Ltd.		537,042
27,700	Toyota Motor Corp.		1,167,859
16,890	Yamada Denki Co. Ltd.		1,139,427
			11,828,056
	Korea — 2.4%
14,742	KB Financial Group, Inc., ADR(b)		749,631
1,389	Samsung Electronics Co. Ltd.		952,478
2,488	Samsung Electronics Co. Ltd., GDR, (Registered), 144A		870,800
			2,572,909
	Luxembourg — 0.8%
11,092	Millicom International Cellular SA		818,257
	Mexico — 1.4%
16,993	America Movil SAB de CV, Series L, ADR		798,331
15,662	Wal-Mart de Mexico SA de CV, Series V, Sponsored ADR		704,007
			1,502,338
	Norway — 0.6%
41,216	Subsea 7, Inc.(b)		682,470

See accompanying notes to financial statements.

20

HANSBERGER INTERNATIONAL FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Shares	Description	Value (†)
	Portugal — 0.6%
52,656	Portugal Telecom SGPS SA, (Registered)	$	642,514
	Russia — 2.4%
49,314	Gazprom, Sponsored ADR		1,257,507
9,876	LUKOIL, Sponsored ADR		565,895
53,564	MMC Norilsk Nickel, ADR(b)		768,643
			2,592,045
	Singapore — 0.7%
67,000	DBS Group Holdings Ltd.		728,355
	South Africa — 0.5%
32,815	MTN Group Ltd.		522,295
	Spain — 3.4%
95,680	Banco Santander Central Hispano SA		1,581,080
33,560	Gamesa Corp., Tecnologica SA		565,396
8,280	Industria de Diseno Textil SA (Inditex)		517,107
32,491	Telefonica SA		909,392
			3,572,975
	Sweden — 0.9%
39,962	Atlas Copco AB, Class A		587,436
35,470	Telefonaktiebolaget LM Ericsson, Class B		326,538
			913,974
	Switzerland — 8.3%
81,760	ABB Ltd., (Registered)		1,575,459
27,909	Credit Suisse Group, (Registered)		1,382,649
32,940	Logitech International SA, (Registered)(b)		563,274
4,841	Lonza Group AG, (Registered)		341,092
34,311	Nestle SA, (Registered)		1,665,236
20,838	Novartis AG, (Registered)		1,137,947
9,132	Roche Holding AG		1,561,689
2,033	Syngenta AG, (Registered)		574,135
			8,801,481
	Taiwan — 0.7%
371,927	Taiwan Semiconductor Manufacturing Co. Ltd.		749,609
	United Kingdom — 14.4%
288,945	ARM Holdings PLC		825,066
49,302	Autonomy Corp. PLC(b)		1,197,271
145,865	Barclays PLC		642,749
34,034	BG Group PLC		614,528
41,210	BHP Billiton PLC		1,313,775
66,029	British Sky Broadcasting PLC		596,428
738,404	DSG International PLC(b)		432,776
58,612	Eurasian Natural Resources Corp.		858,523
62,368	HSBC Holdings PLC		709,432
149,804	ICAP PLC		1,033,206
162,656	Man Group PLC		802,766
94,822	Prudential PLC		970,624
60,123	Smith & Nephew PLC		618,450
58,450	Standard Chartered PLC		1,475,624
185,703	Tesco PLC		1,281,126
31,419	Vedanta Resources PLC		1,314,128
278,010	Vodafone Group PLC		643,792
			15,330,264
	Total Common Stocks (Identified Cost $92,711,987)		103,946,154

Shares		Description	Value (†)
	Preferred Stocks — 0.6%
		Germany — 0.6%
	10,891	Henkel AG & Co. KGaA (Identified Cost $393,360)	$	571,920
	Exchange Traded Funds — 1.3%
		United States — 1.3%
	18,914	iShares MSCI EAFE Index Fund		1,045,944
	1,022	iShares MSCI Emerging Markets Index		42,413
	7,516	Vanguard Emerging Markets ETF		308,156
		Total Exchange Traded Funds (Identified Cost $1,412,087)		1,396,513
Principal Amount
	Short-Term Investments — 0.5%
$	548,548	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $548,548 on 1/04/2010, collateralized by $560,000 Federal National Mortgage Association, 3.000% due 5/12/2014 valued at $563,500 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $548,548)		548,548
		Total Investments — 100.2% (Identified Cost $95,065,982)(a)		106,463,135
		Other assets less liabilities —(0.2)%		(167,424	)
		Net Assets — 100.0%	$	106,295,711
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on investments based on a cost of $97,675,475 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	$	14,949,361
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,161,701	)
		Net unrealized appreciation	$	8,787,660
	(b)	Non-income producing security.
	144A	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2009, the value of this security amounted to $870,800 or 0.8% of net assets.
	ADR/GDR	An American Depositary Receipt or Global 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 and GDRs are significantly influenced by trading on exchanges not located in the United States.

See accompanying notes to financial statements.

21

HANSBERGER INTERNATIONAL FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Industry Summary at December 31, 2009 (Unaudited)

Commercial Banks	14.5	%
Metals & Mining	9.5
Oil, Gas & Consumable Fuels	9.0
Pharmaceuticals	5.3
Insurance	4.4
Capital Markets	4.1
Machinery	3.6
Specialty Retail	3.4
Chemicals	3.3
Semiconductors & Semiconductor Equipment	3.2
Food & Staples Retailing	3.2
Software	3.0
Electrical Equipment	2.6
Wireless Telecommunication Services	2.6
Food Products	2.5
Diversified Telecommunication Services	2.4
Other Investments, less than 2% each	23.1
Short-Term Investments	0.5
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

Currency Exposure at December 31, 2009 as Percentage of Net Assets (Unaudited)

Euro	21.6	%
United States Dollar	21.0
British Pound	13.8
Hong Kong Dollar	12.4
Japanese Yen	11.1
Swiss Franc	7.8
Australian Dollar	4.6
Canadian Dollar	2.0
Other, less than 2% each	5.9
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

22

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares	Description	Value (†)
Common Stocks — 91.8% of Net Assets
	Aerospace & Defense — 3.9%
75,600	Boeing Co. (The)	$	4,092,228
18,000	General Dynamics Corp.		1,227,060
			5,319,288
	Air Freight & Logistics — 0.8%
12,200	FedEx Corp.		1,018,090
	Capital Markets — 6.9%
179,000	Bank of New York Mellon Corp.		5,006,630
41,500	Franklin Resources, Inc.		4,372,025
			9,378,655
	Chemicals — 1.4%
22,500	Monsanto Co.		1,839,375
	Computers & Peripherals — 5.7%
149,500	Hewlett-Packard Co.		7,700,745
	Consumer Finance — 4.0%
63,800	American Express Co.		2,585,176
197,050	Discover Financial Services		2,898,605
			5,483,781
	Diversified Financial Services — 4.7%
4,500	CME Group, Inc., Class A		1,511,775
117,500	JPMorgan Chase & Co.		4,896,225
			6,408,000
	Electrical Equipment — 1.5%
42,500	Rockwell Automation, Inc.		1,996,650
	Energy Equipment & Service — 1.2%
38,000	National-Oilwell Varco, Inc.		1,675,420
	Food & Staples Retailing — 5.5%
147,000	Kroger Co. (The)		3,017,910
152,000	Safeway, Inc.		3,236,080
34,500	Walgreen Co.		1,266,840
			7,520,830
	Food Products — 1.3%
25,500	General Mills, Inc.		1,805,655
	Health Care Equipment & Supplies — 3.9%
55,500	Baxter International, Inc.		3,256,740
47,000	Medtronic, Inc.		2,067,060
			5,323,800
	Hotels, Restaurants & Leisure — 10.7%
211,500	Carnival Corp.(b)		6,702,435
146,000	Marriott International, Inc., Class A		3,978,500
21,000	McDonald’s Corp.		1,311,240
69,600	Starwood Hotels & Resorts Worldwide, Inc.		2,545,272
			14,537,447
	Household Products — 1.0%
17,000	Colgate-Palmolive Co.		1,396,550
	Machinery — 6.4%
79,000	Caterpillar, Inc.		4,502,210
88,000	Illinois Tool Works, Inc.		4,223,120
			8,725,330
	Media — 7.6%
168,900	Comcast Corp., Special Class A		2,704,089

Shares		Description	Value (†)
		Media — continued
	110,700	Omnicom Group, Inc.	$	4,333,905
	102,000	Walt Disney Co. (The)		3,289,500
				10,327,494
		Oil, Gas & Consumable Fuels — 6.1%
	36,000	Apache Corp.		3,714,120
	217,000	Williams Cos., Inc.		4,574,360
				8,288,480
		Pharmaceuticals — 2.0%
	24,500	Abbott Laboratories		1,322,755
	21,500	Johnson & Johnson		1,384,815
				2,707,570
		Road & Rail — 2.5%
	53,000	Union Pacific Corp.		3,386,700
		Semiconductors & Semiconductor Equipment — 9.9%
	272,000	Applied Materials, Inc.		3,791,680
	400,600	Intel Corp.		8,172,240
	54,000	Texas Instruments, Inc.		1,407,240
				13,371,160
		Software — 1.7%
	74,500	Microsoft Corp.		2,271,505
		Specialty Retail — 2.4%
	81,400	Best Buy Co., Inc.		3,212,044
		Textiles, Apparel & Luxury Goods — 0.7%
	14,500	NIKE, Inc., Class B		958,015
		Total Common Stocks (Identified Cost $131,472,487)		124,652,584
Principal Amount
	Short-Term Investments — 8.4%
$	11,478,360	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $11,478,360 on 1/04/2010, collateralized by $11,640,000 Federal National Mortgage Association, 3.000% due 5/12/2014 valued at $11,712,750 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,478,360)		11,478,360
		Total Investments — 100.2% (Identified Cost $142,950,847)(a)		136,130,944
		Other assets less liabilities — (0.2)%		(298,404	)
		Net Assets — 100.0%	$	135,832,540
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized depreciation on investments based on a cost of $144,230,459 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	$	711,665
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,811,180	)
		Net unrealized depreciation	$	(8,099,515	)
	(b)	Non-income producing security.

See accompanying notes to financial statements.

23

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Industry Summary at December 31, 2009 (Unaudited)

Hotels, Restaurants & Leisure	10.7	%
Semiconductors & Semiconductor Equipment	9.9
Media	7.6
Capital Markets	6.9
Machinery	6.4
Oil, Gas & Consumable Fuels	6.1
Computers & Peripherals	5.7
Food & Staples Retailing	5.5
Diversified Financial Services	4.7
Consumer Finance	4.0
Health Care Equipment & Supplies	3.9
Aerospace & Defense	3.9
Road & Rail	2.5
Specialty Retail	2.4
Pharmaceuticals	2.0
Other Investments, less than 2% each	9.6
Short-Term Investments	8.4
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

24

VAUGHAN NELSON SMALL CAP VALUE FUND — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares	Description	Value (†)
Common Stocks — 97.4% of Net Assets
	Aerospace & Defense — 1.5%
331,125	Hexcel Corp.(b)	$	4,298,003
104,100	TransDigm Group, Inc.		4,943,709
			9,241,712
	Auto Components — 1.0%
143,200	Autoliv, Inc.		6,209,152
	Capital Markets — 4.3%
746,925	Apollo Investment Corp.		7,118,195
240,975	Ares Capital Corp.		3,000,139
3,138,250	E*TRADE Financial Corp.(b)		5,491,937
382,325	Fifth Street Finance Corp.		4,106,171
928,400	MF Global Ltd.(b)		6,452,380
			26,168,822
	Chemicals — 4.5%
201,750	Airgas, Inc.		9,603,300
245,325	Scotts Miracle-Gro Co. (The), Class A		9,643,726
302,600	Sensient Technologies Corp.		7,958,380
			27,205,406
	Commercial Banks — 4.9%
337,625	BancorpSouth, Inc.		7,920,682
237,475	Danvers Bancorp, Inc.		3,084,800
357,455	FirstMerit Corp.		7,199,144
277,300	Prosperity Bancshares, Inc.		11,222,331
			29,426,957
	Commercial Services & Supplies — 2.7%
493,652	Waste Connections, Inc.(b)		16,458,358
	Computers & Peripherals — 1.4%
442,150	QLogic Corp.(b)		8,343,371
	Consumer Finance — 1.2%
321,825	First Cash Financial Services, Inc.(b)		7,141,297
	Containers & Packaging — 1.7%
447,075	Packaging Corp. of America		10,287,196
	Diversified Consumer Services — 1.3%
510,225	Regis Corp.		7,944,203
	Electrical Equipment — 3.4%
102,100	A.O. Smith Corp.		4,430,119
239,525	General Cable Corp.(b)		7,046,826
570,375	GrafTech International Ltd.(b)		8,869,331
			20,346,276
	Energy Equipment & Services — 3.8%
823,325	Key Energy Services, Inc.(b)		7,237,027
201,775	Oil States International, Inc.(b)		7,927,740
147,250	Unit Corp.(b)		6,258,125
1,109,342	Vantage Drilling Co.(b)		1,786,040
			23,208,932
	Food & Staples Retailing — 1.3%
245,150	BJ’s Wholesale Club, Inc.(b)		8,018,857
	Health Care Equipment & Supplies — 2.3%
181,125	Teleflex, Inc.		9,760,826
102,050	West Pharmaceutical Services, Inc.		4,000,360
			13,761,186
	Health Care Providers & Services — 3.6%
169,450	MEDNAX, Inc.(b)		10,185,639

Shares	Description	Value (†)
	Health Care Providers & Services — continued
407,000	Patterson Cos., Inc.(b)	$	11,387,860
			21,573,499
	Hotels, Restaurants & Leisure — 1.3%
272,350	International Speedway Corp., Class A		7,748,358
	Insurance — 7.6%
227,025	Aspen Insurance Holdings Ltd.		5,777,786
332,450	Assured Guaranty Ltd.		7,234,112
1,098,675	Conseco, Inc.(b)		5,493,375
285,675	Hanover Insurance Group, Inc. (The)		12,692,540
468,337	HCC Insurance Holdings, Inc.		13,099,386
57,909	Validus Holdings Ltd.		1,560,069
			45,857,268
	IT Services — 2.0%
178,975	CACI International, Inc., Class A(b)		8,742,929
188,625	SRA International, Inc., Class A(b)		3,602,737
			12,345,666
	Machinery — 8.5%
513,625	Actuant Corp., Class A		9,517,471
109,325	Bucyrus International, Inc.		6,162,650
189,150	Kaydon Corp.		6,764,004
206,375	Lincoln Electric Holdings, Inc.		11,032,807
68,675	Lindsay Corp.		2,736,699
75,225	Nordson Corp.		4,602,266
260,450	Robbins & Myers, Inc.		6,125,784
57,925	Valmont Industries, Inc.		4,544,216
			51,485,897
	Media — 2.5%
190,125	John Wiley & Sons, Inc., Class A		7,962,435
491,075	Regal Entertainment Group, Class A		7,091,123
			15,053,558
	Metals & Mining — 2.4%
682,475	Thompson Creek Metals Co., Inc.(b)		7,998,607
87,975	Walter Energy, Inc.		6,625,397
			14,624,004
	Oil, Gas & Consumable Fuels — 3.6%
195,750	Arena Resources, Inc.(b)		8,440,740
191,950	Concho Resources, Inc.(b)		8,618,555
330,850	GMX Resources, Inc.(b)		4,545,879
			21,605,174
	Paper & Forest Products — 0.4%
378,950	Louisiana-Pacific Corp.(b)		2,645,071
	Professional Services — 2.0%
253,800	Watson Wyatt Worldwide, Inc., Class A		12,060,576
	Real Estate Management & Development — 1.1%
109,425	Jones Lang LaSalle, Inc.		6,609,270
	REITs — 3.3%
1,618,975	Chimera Investment Corp.		6,281,623
454,275	DiamondRock Hospitality Co.		3,847,709
189,600	LaSalle Hotel Properties		4,025,208
771,400	MFA Financial, Inc.		5,669,790
			19,824,330
	Road & Rail — 1.0%
154,525	Landstar System, Inc.		5,990,934

See accompanying notes to financial statements.

25

VAUGHAN NELSON SMALL CAP VALUE FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 3.6%
	478,575	Skyworks Solutions, Inc.(b)	$	6,790,979
	990,025	TriQuint Semiconductor, Inc.(b)		5,940,150
	248,050	Varian Semiconductor Equipment Associates, Inc.(b)		8,900,034
				21,631,163
		Software — 6.8%
	321,265	MICROS Systems, Inc.(b)		9,968,853
	350,125	Nice Systems Ltd., Sponsored ADR(b)		10,867,880
	394,100	Sybase, Inc.(b)		17,103,940
	179,850	Tyler Technologies, Inc.(b)		3,580,813
				41,521,486
		Specialty Retail — 3.0%
	318,790	Aaron Rents, Inc.		8,840,047
	211,550	Gymboree Corp. (The)(b)		9,200,309
				18,040,356
		Textiles, Apparel & Luxury Goods — 4.7%
	408,175	Hanesbrands, Inc.(b)		9,841,099
	260,325	Phillips-Van Heusen Corp.		10,590,021
	296,025	Wolverine World Wide, Inc.		8,057,801
				28,488,921
		Thrifts & Mortgage Finance — 2.9%
	391,506	Northwest Bancshares, Inc.		4,431,851
	77,650	Territorial Bancorp, Inc.(b)		1,401,583
	148,250	United Financial Bancorp, Inc.		1,943,557
	514,475	Washington Federal, Inc.		9,949,946
				17,726,937
		Wireless Telecommunication Services — 1.8%
	634,550	Syniverse Holdings, Inc.(b)		11,091,934
		Total Common Stocks (Identified Cost $482,372,545)		589,686,127
Principal Amount
	Short-Term Investments — 2.1%
$	12,928,908	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $12,928,908 on 1/04/2010, collateralized by $13,110,000 Federal National Mortgage Association, 3.000%, due 5/12/2014 valued at $13,191,938 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $12,928,908)		12,928,908
		Total Investments — 99.5% (Identified Cost $495,301,453)(a)		602,615,035
		Other assets less liabilities—0.5%		3,117,418
		Net Assets — 100.0%	$	605,732,453
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on investments based on a cost of $500,753,582 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	$	105,781,961
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,920,508	)
		Net unrealized appreciation	$	101,861,453

(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2009 (Unaudited)

Machinery	8.5	%
Insurance	7.6
Software	6.8
Commercial Banks	4.9
Textiles, Apparel & Luxury Goods	4.7
Chemicals	4.5
Capital Markets	4.3
Energy Equipment & Services	3.8
Semiconductors & Semiconductor Equipment	3.6
Oil, Gas & Consumable Fuels	3.6
Health Care Providers & Services	3.6
Electrical Equipment	3.4
REITs	3.3
Specialty Retail	3.0
Thrifts & Mortgage Finance	2.9
Commercial Services & Supplies	2.7
Media	2.5
Metals & Mining	2.4
Health Care Equipment & Supplies	2.3
IT Services	2.0
Professional Services	2.0
Other Investments, less than 2% each	15.0
Short-Term Investments	2.1
Total Investments	99.5
Other assets less liabilities	0.5
Net Assets	100.0	%

See accompanying notes to financial statements.

26

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares	Description	Value (†)
Common Stocks — 94.8% of Net Assets
	Aerospace & Defense — 1.1%
1,600	Alliant Techsystems, Inc.(b)	$	141,232
	Capital Markets — 5.1%
24,275	Apollo Investment Corp.		231,341
30,625	MF Global Ltd.(b)		212,844
10,125	TD Ameritrade Holding Corp.(b)		196,222
			640,407
	Chemicals — 6.8%
3,375	Albemarle Corp.		122,749
9,175	Cabot Corp.		240,660
8,850	Celanese Corp., Series A		284,085
925	Cytec Industries, Inc.		33,688
3,225	FMC Corp.		179,826
			861,008
	Commercial Banks — 3.2%
25,150	Fifth Third Bancorp		245,212
3,925	Prosperity Bancshares, Inc.		158,845
			404,057
	Commercial Services & Supplies — 4.9%
6,425	Avery Dennison Corp.		234,448
9,675	R. R. Donnelley & Sons Co.		215,462
5,075	Waste Connections, Inc.(b)		169,201
			619,111
	Communications Equipment — 1.7%
8,275	CommScope, Inc.(b)		219,536
	Computers & Peripherals — 2.7%
3,675	QLogic Corp.(b)		69,347
15,200	Seagate Technology		276,488
			345,835
	Consumer Finance — 1.6%
13,625	Discover Financial Services		200,424
	Containers & Packaging — 3.8%
11,325	Owens-Illinois, Inc.(b)		372,253
4,577	Pactiv Corp.(b)		110,489
			482,742
	Diversified Consumer Services — 0.7%
4,025	H&R Block, Inc.		91,046
	Electrical Equipment — 0.8%
3,400	General Cable Corp.(b)		100,028
	Electronic Equipment, Instruments & Components — 2.0%
26,500	Flextronics International Ltd.(b)		193,715
2,900	Molex, Inc.		62,495
			256,210
	Energy Equipment & Services — 2.2%
3,800	Dresser-Rand Group, Inc.(b)		120,118
6,725	Superior Energy Services, Inc.(b)		163,350
			283,468
	Food Products — 2.6%
5,175	ConAgra Foods, Inc.		119,284
3,475	Ralcorp Holdings, Inc.(b)		207,492
			326,776

Shares	Description	Value (†)
	Health Care Equipment & Supplies — 3.8%
1,125	Becton, Dickinson and Co.	$	88,717
825	C.R. Bard, Inc.		64,268
1,000	Teleflex, Inc.		53,890
4,600	Zimmer Holdings, Inc.(b)		271,906
			478,781
	Health Care Providers & Services — 1.8%
3,825	DaVita, Inc.(b)		224,681
	Hotels, Restaurants & Leisure — 2.0%
4,175	Darden Restaurants, Inc.		146,417
22,586	Wendy’s/Arby’s Group, Inc., Class A		105,929
			252,346
	Household Durables — 1.5%
6,300	Jarden Corp.		194,733
	Household Products — 1.3%
2,650	Energizer Holdings, Inc.(b)		162,392
	Independent Power Producers & Energy Traders — 0.9%
10,525	Calpine Corp.(b)		115,775
	Industrial Conglomerates — 0.6%
3,000	McDermott International, Inc.(b)		72,030
	Insurance — 7.6%
3,200	ACE Ltd.(b)		161,280
2,750	Assured Guaranty Ltd.		59,840
2,850	Reinsurance Group of America, Inc.		135,802
3,281	Validus Holdings Ltd.		88,398
6,975	Willis Group Holdings Ltd.		184,000
18,375	XL Capital Ltd., Class A		336,814
			966,134
	IT Services — 1.9%
8,450	Amdocs Ltd.(b)		241,079
	Leisure Equipment & Products — 1.0%
5,975	Mattel, Inc.		119,381
	Life Sciences Tools & Services — 2.2%
825	Mettler-Toledo International, Inc.(b)		86,617
4,050	Thermo Fisher Scientific, Inc.(b)		193,144
			279,761
	Machinery — 2.9%
10,000	Actuant Corp., Class A		185,300
1,450	Lincoln Electric Holdings, Inc.		77,517
1,875	SPX Corp.		102,562
			365,379
	Marine — 0.5%
1,725	Kirby Corp.(b)		60,082
	Media — 1.7%
5,350	Omnicom Group, Inc.		209,453
	Metals & Mining — 0.9%
9,375	Thompson Creek Metals Co., Inc.(b)		109,875
	Oil, Gas & Consumable Fuels — 4.7%
8,850	Petrohawk Energy Corp.(b)		212,311
3,725	Range Resources Corp.		185,691
21,150	SandRidge Energy, Inc.(b)		199,445
			597,447
	Paper & Forest Products — 0.9%
2,550	Weyerhaeuser Co.		110,007

See accompanying notes to financial statements.

27

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Shares		Description	Value (†)
		REITs — 5.2%
	16,200	Annaly Capital Management, Inc.	$	281,070
	7,500	DiamondRock Hospitality Co.		63,525
	10,548	Host Hotels & Resorts, Inc.(b)		123,095
	8,675	LaSalle Hotel Properties		184,170
				651,860
		Road & Rail — 0.5%
	1,225	CSX Corp.		59,400
		Semiconductors & Semiconductor Equipment — 0.3%
	1,050	Varian Semiconductor Equipment Associates, Inc.(b)		37,674
		Software — 3.9%
	5,850	Nice Systems Ltd., Sponsored ADR(b)		181,584
	20,275	Nuance Communications, Inc.(b)		315,073
				496,657
		Specialty Retail — 3.7%
	3,375	Best Buy Co., Inc.		133,178
	9,075	GameStop Corp., Class A(b)		199,105
	3,225	Gymboree Corp. (The)(b)		140,255
				472,538
		Textiles, Apparel & Luxury Goods — 2.3%
	3,400	Phillips-Van Heusen Corp.		138,312
	2,100	VF Corp.		153,804
				292,116
		Thrifts & Mortgage Finance — 1.9%
	9,900	New York Community Bancorp, Inc.		143,649
	5,450	People’s United Financial, Inc.		91,015
				234,664
		Wireless Telecommunication Services — 1.6%
	11,700	Syniverse Holdings, Inc.(b)		204,516
		Total Common Stocks (Identified Cost $11,378,408)		11,980,641
Principal Amount
	Short-Term Investments — 4.1%
$	522,628	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $522,628 on 1/04/2010, collateralized by $515,000 Federal Home Loan Bank, 4.375% due 9/17/2010 valued at $535,755 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $522,628)		522,628
		Total Investments — 98.9% (Identified Cost $11,901,036)(a)		12,503,269
		Other assets less liabilities—1.1%		136,977
		Net Assets — 100.0%	$	12,640,246
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on investments based on a cost of $11,913,463 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	$	727,043
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(137,237	)
		Net unrealized appreciation	$	589,806

(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2009 (Unaudited)

Insurance	7.6	%
Chemicals	6.8
REITs	5.2
Capital Markets	5.1
Commercial Services & Supplies	4.9
Oil, Gas & Consumable Fuels	4.7
Software	3.9
Containers & Packaging	3.8
Health Care Equipment & Supplies	3.8
Specialty Retail	3.7
Commercial Banks	3.2
Machinery	2.9
Computers & Peripherals	2.7
Food Products	2.6
Textiles, Apparel & Luxury Goods	2.3
Energy Equipment & Services	2.2
Life Sciences Tools & Services	2.2
Electronic Equipment, Instruments & Components	2.0
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	23.2
Short-Term Investments	4.1
Total Investments	98.9
Other assets less liabilities	1.1
Net Assets	100.0	%

See accompanying notes to financial statements.

28

NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Shares	Description	Value (†)
Common Stocks — 96.8% of Net Assets
	Aerospace & Defense — 2.0%
60,200	Boeing Co. (The)	$	3,258,626
14,600	General Dynamics Corp.		995,282
67,871	GeoEye, Inc.(b)		1,892,243
9,639	Precision Castparts Corp.		1,063,664
			7,209,815
	Air Freight & Logistics — 0.8%
11,700	C.H. Robinson Worldwide, Inc.		687,141
10,000	FedEx Corp.		834,500
22,000	United Parcel Service, Inc., Class B		1,262,140
			2,783,781
	Airlines — 0.3%
105,350	Delta Air Lines, Inc.(b)		1,198,883
	Beverages — 0.5%
29,450	Coca-Cola Co. (The)		1,678,650
	Biotechnology — 1.1%
22,008	Alexion Pharmaceuticals, Inc.(b)		1,074,430
22,050	Amgen, Inc.(b)		1,247,368
23,846	Human Genome Sciences, Inc.(b)		729,688
18,135	Vertex Pharmaceuticals, Inc.(b)		777,085
			3,828,571
	Building Products — 0.3%
28,674	Armstrong World Industries, Inc.(b)		1,116,279
	Capital Markets — 3.6%
15,170	Affiliated Managers Group, Inc.(b)		1,021,699
143,500	Bank of New York Mellon Corp.		4,013,695
33,100	Franklin Resources, Inc.		3,487,085
30,348	Legg Mason, Inc.		915,296
23,850	Morgan Stanley		705,960
64,558	Raymond James Financial, Inc.		1,534,544
21,136	T Rowe Price Group, Inc.		1,125,492
			12,803,771
	Chemicals — 1.0%
11,500	Ecolab, Inc.		512,670
22,179	Intrepid Potash, Inc.(b)		646,962
18,400	Monsanto Co.		1,504,200
41,430	Quaker Chemical Corp.		855,115
			3,518,947
	Commercial Banks — 0.9%
33,334	Commerce Bancshares, Inc.		1,290,693
83,616	First Horizon National Corp.(b)		1,120,459
34,100	Wells Fargo & Co.		920,359
			3,331,511
	Commercial Services & Supplies — 0.3%
12,242	Brink’s Co. (The)		297,971
41,433	Rollins, Inc.		798,828
			1,096,799
	Communications Equipment — 2.6%
103,467	Brocade Communications Systems, Inc.(b)		789,453
55,050	Cisco Systems, Inc.(b)		1,317,897
51,261	CommScope, Inc.(b)		1,359,955
23,325	Comtech Telecommunications Corp.(b)		817,541
33,336	F5 Networks, Inc.(b)		1,766,141
54,850	Palm, Inc.(b)		550,694
51,350	QUALCOMM, Inc.		2,375,451
			8,977,132

Shares	Description	Value (†)
	Computers & Peripherals — 4.8%
15,000	Apple, Inc.(b)	$	3,162,900
33,800	EMC Corp.(b)		590,486
159,050	Hewlett-Packard Co.		8,192,665
77,470	NetApp, Inc.(b)		2,664,193
35,550	Seagate Technology		646,655
49,598	Teradata Corp.(b)		1,558,865
			16,815,764
	Construction & Engineering — 0.3%
9,975	Michael Baker Corp.(b)		412,965
26,261	Orion Marine Group, Inc.(b)		553,057
			966,022
	Consumer Finance — 1.3%
51,300	American Express Co.		2,078,676
157,950	Discover Financial Services		2,323,445
			4,402,121
	Diversified Consumer Services — 0.2%
9,915	New Oriental Education & Technology Group, Inc., Sponsored ADR(b)		749,673
	Diversified Financial Services — 2.2%
5,000	CME Group, Inc.		1,679,750
108,800	JPMorgan Chase & Co.		4,533,696
92,953	PHH Corp.(b)		1,497,473
			7,710,919
	Electric Utilities — 0.3%
37,607	DPL, Inc.		1,037,953
	Electrical Equipment — 0.5%
34,700	Rockwell Automation, Inc.		1,630,206
	Electronic Equipment, Instruments & Components — 0.5%
35,808	Amphenol Corp., Class A		1,653,613
	Energy Equipment & Services — 1.4%
21,880	Dril-Quip, Inc.(b)		1,235,783
67,451	Nabors Industries Ltd.(b)		1,476,502
30,400	National-Oilwell Varco, Inc.		1,340,336
6,300	Schlumberger Ltd.		410,067
7,050	Transocean Ltd.(b)		583,740
			5,046,428
	Food & Staples Retailing — 2.3%
117,400	Kroger Co. (The)		2,410,222
122,100	Safeway, Inc.		2,599,509
29,126	Spartan Stores, Inc.		416,211
33,000	Wal-Mart Stores, Inc.		1,763,850
27,700	Walgreen Co.		1,017,144
			8,206,936
	Food Products — 1.7%
38,722	Corn Products International, Inc.		1,131,844
20,400	General Mills, Inc.		1,444,524
20,567	Green Mountain Coffee Roasters, Inc.(b)		1,675,593
30,434	J.M. Smucker Co. (The)		1,879,300
			6,131,261
	Gas Utilities — 1.9%
18,814	Oneok, Inc.		838,540
65,279	Questar Corp.		2,713,648
129,512	UGI Corp.		3,132,895
			6,685,083

See accompanying notes to financial statements.

29

NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Shares	Description	Value (†)
	Health Care Equipment & Supplies — 4.0%
44,600	Baxter International, Inc.	$	2,617,128
50,736	CareFusion Corp.(b)		1,268,907
35,828	DENTSPLY International, Inc.		1,260,071
25,687	Haemonetics Corp.(b)		1,416,638
42,281	Hospira, Inc.(b)		2,156,331
3,997	Intuitive Surgical, Inc.(b)		1,212,370
37,900	Medtronic, Inc.		1,666,842
23,291	Teleflex, Inc.		1,255,152
19,900	Zimmer Holdings, Inc.(b)		1,176,289
			14,029,728
	Health Care Providers & Services — 1.8%
30,993	Catalyst Health Solutions, Inc.(b)		1,130,315
20,797	CorVel Corp.(b)		697,531
14,250	Express Scripts, Inc.(b)		1,231,912
26,066	HMS Holdings Corp.(b)		1,269,154
16,750	Medco Health Solutions, Inc.(b)		1,070,492
12,660	MEDNAX, Inc.(b)		760,993
5,850	WellPoint, Inc.(b)		340,997
			6,501,394
	Health Care Technology — 0.5%
21,018	Cerner Corp.(b)		1,732,724
	Hotels, Restaurants & Leisure — 5.9%
169,000	Carnival Corp.(b)		5,355,610
49,968	CEC Entertainment, Inc.(b)		1,594,979
18,970	Ctrip.com International Ltd., ADR(b)		1,363,184
106,438	Interval Leisure Group, Inc.(b)		1,327,282
23,300	Las Vegas Sands Corp.(b)		348,102
116,766	Marriott International, Inc., Class A		3,181,874
17,000	McDonald’s Corp.		1,061,480
179,919	O’Charleys, Inc.(b)		1,178,469
21,922	Penn National Gaming, Inc.(b)		595,840
31,950	Starbucks Corp.(b)		736,767
73,000	Starwood Hotels & Resorts Worldwide, Inc.		2,669,610
65,094	Wyndham Worldwide Corp.		1,312,946
			20,726,143
	Household Durables — 0.9%
34,284	Gafisa SA, ADR		1,109,430
102,312	Leggett & Platt, Inc.		2,087,165
			3,196,595
	Household Products — 1.0%
8,468	Church & Dwight Co., Inc.		511,891
14,000	Colgate-Palmolive Co.		1,150,100
33,050	Procter & Gamble Co.		2,003,821
			3,665,812
	Independent Power Producers & Energy Traders — 0.1%
11,924	NRG Energy, Inc.(b)		281,526
	Industrial Conglomerates — 0.4%
18,000	3M Co.		1,488,060
	Insurance — 0.6%
6,672	Fidelity National Financial, Inc., Class A		89,805
17,550	MetLife, Inc.		620,392
57,198	W.R. Berkley Corp.		1,409,359
			2,119,556
	Internet & Catalog Retail — 1.7%
11,800	Amazon.com, Inc.(b)		1,587,336
71,497	HSN, Inc.(b)		1,443,524

Shares	Description	Value (†)
	Internet & Catalog Retail — continued
11,180	Priceline.com, Inc.(b)(c)	$	2,442,830
42,076	Ticketmaster Entertainment, Inc.(b)		514,169
			5,987,859
	Internet Software & Services — 3.7%
41,884	Akamai Technologies, Inc.(b)		1,060,922
52,991	AOL, Inc.(b)		1,233,630
4,581	Baidu, Inc., Sponsored ADR(b)		1,883,845
5,300	Google, Inc., Class A(b)		3,285,894
36,241	GSI Commerce, Inc.(b)		920,159
20,839	IAC/InterActiveCorp(b)		426,783
19,178	MercadoLibre, Inc.(b)		994,763
59,998	Rackspace Hosting, Inc.(b)		1,250,958
23,132	Sina Corp.(b)		1,045,104
18,416	VistaPrint NV(b)		1,043,450
			13,145,508
	IT Services — 2.8%
21,381	Alliance Data Systems Corp.(b)		1,380,999
102,849	Broadridge Financial Solutions, Inc.		2,320,273
37,677	Cognizant Technology Solutions Corp., Class A(b)		1,706,768
52,455	Fidelity National Information Services, Inc.		1,229,545
40,771	Lender Processing Services, Inc.		1,657,749
44,302	Wright Express Corp.(b)		1,411,462
			9,706,796
	Life Sciences Tools & Services — 1.4%
8,000	Covance, Inc.(b)		436,560
44,804	Life Technologies Corp.(b)		2,340,113
13,487	Mettler-Toledo International, Inc.(b)		1,416,000
26,706	Pharmaceutical Product Development, Inc.		625,989
			4,818,662
	Machinery — 4.9%
79,633	Actuant Corp., Class A		1,475,599
28,664	Bucyrus International, Inc.		1,615,790
63,100	Caterpillar, Inc.		3,596,069
37,269	Cummins, Inc.		1,709,156
22,600	Danaher Corp.		1,699,520
70,600	Illinois Tool Works, Inc.		3,388,094
75,950	John Bean Technologies Corp.		1,291,909
37,377	Kadant, Inc.(b)		596,537
9,235	Middleby Corp. (The)(b)		452,700
24,700	PACCAR, Inc.		895,869
12,058	SPX Corp.		659,573
			17,380,816
	Marine — 0.2%
24,958	Kirby Corp.(b)		869,287
	Media — 3.6%
56,700	CBS Corp., Class B		796,635
69,250	Comcast Corp., Class A		1,167,555
134,300	Comcast Corp., Special Class A		2,150,143
34,949	Discovery Communications, Inc., Class A(b)		1,071,886
117,275	E.W. Scripps Co. (The), Class A(b)		816,234
45,399	Focus Media Holding Ltd., ADR(b)		719,574
88,500	Omnicom Group, Inc.		3,464,775
81,700	Walt Disney Co. (The)		2,634,825
			12,821,627
	Metals & Mining — 2.8%
4,650	Agnico-Eagle Mines Ltd.		251,100
27,279	Freeport-McMoRan Copper & Gold, Inc.(b)		2,190,231

See accompanying notes to financial statements.

30

NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Shares	Description	Value (†)
	Metals & Mining — continued
51,072	Reliance Steel & Aluminum Co.	$	2,207,332
46,280	Teck Resources Ltd., Class B(b)		1,618,411
31,789	United States Steel Corp.		1,752,210
26,273	Walter Energy, Inc.		1,978,620
			9,997,904
	Multi Utilities — 0.1%
21,684	MDU Resources Group, Inc.		511,742
	Multiline Retail — 1.1%
58,034	Big Lots, Inc.(b)		1,681,825
26,200	J.C. Penney Co., Inc.		697,182
26,800	Kohl’s Corp.(b)		1,445,324
			3,824,331
	Oil, Gas & Consumable Fuels — 4.0%
10,000	Anadarko Petroleum Corp.		624,200
29,000	Apache Corp.		2,991,930
39,633	Cloud Peak Energy, Inc(b)		577,056
33,285	Concho Resources, Inc.(b)		1,494,496
37,073	Delek US Holdings, Inc.		252,467
6,500	EOG Resources, Inc.		632,450
69,211	EXCO Resources, Inc.		1,469,350
61,556	Penn Virginia Corp.		1,310,527
41,650	Petrohawk Energy Corp.(b)		999,184
173,300	Williams Cos., Inc.		3,653,164
			14,004,824
	Paper & Forest Products — 0.7%
14,995	Clearwater Paper Corp.(b)		824,275
43,195	International Paper Co.		1,156,762
11,814	Weyerhaeuser Co.		509,656
			2,490,693
	Personal Products — 1.3%
14,065	Alberto-Culver Co.		411,964
23,600	Avon Products, Inc.		743,400
45,820	Mead Johnson Nutrition Co., Class A		2,002,334
29,605	NBTY, Inc.(b)		1,289,002
			4,446,700
	Pharmaceuticals — 2.3%
50,450	Abbott Laboratories		2,723,796
17,500	Johnson & Johnson		1,127,175
54,981	Perrigo Co.		2,190,443
79,600	Pfizer, Inc.		1,447,924
12,250	Teva Pharmaceutical Industries Ltd., Sponsored ADR		688,205
			8,177,543
	Professional Services — 0.8%
167,915	CBIZ, Inc.(b)		1,292,945
9,250	Manpower, Inc.		504,865
32,796	Verisk Analytics, Inc., Class A(b)		993,063
			2,790,873
	Real Estate Management & Development — 0.6%
93,536	Forestar Group, Inc.(b)		2,055,921
	REITs — 1.2%
143,998	Anworth Mortgage Asset Corp.		1,007,986
235,662	Chimera Investment Corp.		914,369
68,832	Potlatch Corp.		2,194,364
			4,116,719

Shares	Description	Value (†)
	Road & Rail — 1.0%
63,226	Celadon Group, Inc.(b)	$	686,002
42,500	Union Pacific Corp.		2,715,750
			3,401,752
	Semiconductors & Semiconductor Equipment — 6.9%
217,600	Applied Materials, Inc.		3,033,344
21,650	Broadcom Corp., Class A(b)		680,893
30,047	Cree, Inc.(b)		1,693,749
321,300	Intel Corp.		6,554,520
54,037	Lam Research Corp.(b)		2,118,791
272,126	LSI Corp.(b)		1,635,477
66,850	Micron Technology, Inc.(b)		705,936
100,968	NVIDIA Corp.(b)		1,886,082
199,026	ON Semiconductor Corp.(b)		1,753,419
48,800	PMC-Sierra, Inc.(b)		422,608
43,400	Texas Instruments, Inc.		1,131,004
78,791	Varian Semiconductor Equipment Associates, Inc.(b)		2,827,021
			24,442,844
	Software — 3.7%
28,300	Check Point Software Technologies Ltd.(b)		958,804
18,893	Concur Technologies, Inc.(b)		807,676
30,066	McAfee, Inc.(b)		1,219,777
42,459	MICROS Systems, Inc.(b)		1,317,503
157,400	Microsoft Corp.		4,799,126
39,521	Salesforce.com, Inc.(b)		2,915,464
24,186	VMware, Inc., Class A(b)		1,025,003
			13,043,353
	Specialty Retail — 2.9%
65,300	Best Buy Co., Inc.		2,576,738
21,600	CarMax, Inc.(b)		523,800
33,293	Guess?, Inc.		1,408,294
22,600	Home Depot, Inc.		653,818
25,047	J. Crew Group, Inc.(b)		1,120,603
215,921	Sally Beauty Holdings, Inc.(b)		1,651,796
83,027	Sonic Automotive, Inc., Class A(b)		862,650
39,136	Urban Outfitters, Inc.(b)		1,369,368
			10,167,067
	Textiles, Apparel & Luxury Goods — 1.1%
52,202	Fossil, Inc.(b)		1,751,899
39,261	Lululemon Athletica, Inc.(b)		1,181,756
11,700	NIKE, Inc., Class B		773,019
			3,706,674
	Thrifts & Mortgage Finance — 0.5%
95,946	People’s United Financial, Inc.		1,602,298
	Tobacco — 0.3%
18,750	Philip Morris International, Inc.		903,563
	Water Utilities — 0.8%
118,409	American Water Works Co., Inc.		2,653,546
	Wireless Telecommunication Services — 0.4%
37,528	Crown Castle International Corp.(b)		1,465,093
	Total Common Stocks (Identified Cost $278,053,647)		340,855,651

See accompanying notes to financial statements.

31

NATIXIS U.S. DIVERSIFIED PORTFOLIO — PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Principal Amount		Description	Value (†)
	Short-Term Investments — 3.3%
$	11,713,636	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $11,713,636 on 1/04/2010, collateralized by $11,880,000 Federal National Mortgage Association, 3.000% due 5/12/2014 valued at $11,954,250 including accrued interest, (Note 2 of Notes to Financial Statements) (Identified Cost $11,713,636)	$	11,713,636
		Total Investments — 100.1% (Identified Cost $289,767,283)(a)		352,569,287
		Other assets less liabilities — (0.1)%		(412,714	)
		Net Assets — 100.0%	$	352,156,573
Contracts
	Call Options Written — (0.0%)
	34	Priceline.com, Inc. expiring January 16, 2010 at 230 (Premiums Received $16,898)	$	(5,695	)
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on investments based on a cost of $293,396,501 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	$	65,803,512
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,630,726	)
		Net unrealized appreciation	$	59,172,786
	(b)	Non-income producing security.
	(c)	All or a portion of this security is held as collateral for outstanding call options.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.
	REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2009 (Unaudited)

Semiconductors & Semiconductor Equipment	6.9	%
Hotels, Restaurants & Leisure	5.9
Machinery	4.9
Computers & Peripherals	4.8
Health Care Equipment & Supplies	4.0
Oil, Gas & Consumable Fuels	4.0
Internet Software & Services	3.7
Software	3.7
Media	3.6
Capital Markets	3.6
Specialty Retail	2.9
Metals & Mining	2.8
IT Services	2.8
Communications Equipment	2.6
Food & Staples Retailing	2.3
Pharmaceuticals	2.3
Diversified Financial Services	2.2
Aerospace & Defense	2.0
Other Investments, less than 2% each	31.8
Short-Term Investments	3.3
Total Investments	100.1
Other assets less liabilities (including call options written)	(0.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

32

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2009

	CGM Advisor Targeted Equity Fund			Hansberger International Fund			Harris Associates Large Cap Value Fund
ASSETS
Investments at cost	$	752,206,215		$	95,065,982		$	142,950,847
Net unrealized appreciation (depreciation)		255,338,987			11,397,153			(6,819,903	)
Investments at value		1,007,545,202			106,463,135			136,130,944
Cash		4,216			—			124,500
Receivable for Fund shares sold		38,819,572			50,967			26,949
Receivable for securities sold		977,275			81,901			—
Receivable from investment advisor (Note 6)		—			—			921
Dividends and interest receivable		1,889,143			96,699			181,946
Tax reclaims receivable		—			43,764			—
TOTAL ASSETS		1,049,235,408			106,736,466			136,465,260
LIABILITIES
Options written, at value (premiums received $0, $0, $0, $0, $0 and $16,898) (Note 2)		—			—			—
Payable for securities purchased		—			86,018			—
Payable for Fund shares redeemed		1,442,942			49,691			122,998
Management fees payable (Note 6)		585,711			71,742			80,753
Deferred Trustees’ fees (Note 6)		608,336			112,053			317,397
Administrative fees payable (Note 6)		45,171			6,132			6,776
Other accounts payable and accrued expenses		226,970			115,119			104,796
TOTAL LIABILITIES		2,909,130			440,755			632,720
NET ASSETS	$	1,046,326,278		$	106,295,711		$	135,832,540
NET ASSETS CONSIST OF:
Paid-in capital	$	1,065,136,568		$	116,203,494		$	187,909,975
Distributions in excess of net investment income/Accumulated net investment (loss)		(583,320	)		(172,342	)		(175,584	)
Accumulated net realized gain (loss) on investments, options written and foreign currency transactions		(273,565,957	)		(21,137,231	)		(45,081,948	)
Net unrealized appreciation (depreciation) on investments, options written and foreign currency translations		255,338,987			11,401,790			(6,819,903	)
NET ASSETS	$	1,046,326,278		$	106,295,711		$	135,832,540
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	693,385,557		$	83,182,899		$	113,309,486
Shares of beneficial interest		72,647,715			5,252,549			9,010,223
Net asset value and redemption price per share	$	9.54		$	15.84		$	12.58
Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.12		$	16.81		$	13.35
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	12,401,222		$	9,156,835		$	7,864,496
Shares of beneficial interest		1,440,549			648,625			674,953
Net asset value and offering price per share	$	8.61		$	14.12		$	11.65
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	75,098,228		$	13,955,977		$	7,208,475
Shares of beneficial interest		8,765,770			994,762			620,733
Net asset value and offering price per share	$	8.57		$	14.03		$	11.61
Class Y shares:
Net assets	$	265,441,271		$	—		$	7,450,083
Shares of beneficial interest		27,151,146			—			573,401
Net asset value, offering and redemption price per share	$	9.78		$	—		$	12.99

See accompanying notes to financial statements.

33

Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund			Natixis U.S. Diversified Portfolio
$	495,301,453		$	11,901,036		$	289,767,283
	107,313,582			602,233			62,802,004
	602,615,035			12,503,269			352,569,287
	—			45			184,504
	802,965			473,892			19,354
	3,123,880			—			737,469
	—			21,966			—
	1,302,623			28,701			372,884
	—			—			5,258
	607,844,503			13,027,873			353,888,756
	—			—			5,695
	446,554			323,513			491,937
	933,847			5,000			407,188
	471,170			7,713			278,800
	118,319			8,946			352,300
	26,326			466			16,084
	115,834			41,989			180,179
	2,112,050			387,627			1,732,183
$	605,732,453		$	12,640,246		$	352,156,573
$	500,550,443		$	11,991,778		$	368,849,690
	(118,321	)		(6,384	)		(352,300	)
	(2,013,251	)		52,619			(79,154,024	)
	107,313,582			602,233			62,813,207
$	605,732,453		$	12,640,246		$	352,156,573
$	322,961,178		$	3,644,722		$	280,845,595
	14,475,955			292,527			13,582,499
$	22.31		$	12.46		$	20.68
$	23.67		$	13.22		$	21.94
$	10,630,281		$	—		$	37,405,675
	529,930			—			2,095,398
$	20.06		$	—		$	17.85
$	39,237,812		$	369,603		$	28,580,273
	1,954,991			29,833			1,600,257
$	20.07		$	12.39		$	17.86
$	232,903,182		$	8,625,921		$	5,325,030
	10,364,863			690,750			239,108
$	22.47		$	12.49		$	22.27

34

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2009

	CGM Advisor Targeted Equity Fund			Hansberger International Fund			Harris Associates Large Cap Value Fund
INVESTMENT INCOME
Dividends	$	17,393,815		$	2,313,122		$	2,091,398	*
Interest		21,141			6,993			—
Less net foreign taxes withheld		(891,370	)		(219,506	)		—
		16,523,586			2,100,609			2,091,398
Expenses
Management fees (Note 6)		6,278,879			699,333			801,253
Service fees - Class A (Note 6)		1,622,811			168,356			235,057
Service and distribution fees - Class B (Note 6)		122,150			86,645			76,137
Service and distribution fees - Class C (Note 6)		646,657			114,098			62,182
Trustees’ fees and expenses (Note 6)		150,046			34,486			76,107
Administrative fees (Note 6)		456,211			43,587			57,146
Custodian fees and expenses		36,926			98,663			23,760
Transfer agent fees and expenses (Notes 6 and 7)		1,136,001			231,349			302,544
Audit and tax services fees		48,712			54,991			43,005
Legal fees		23,022			2,092			2,710
Shareholder reporting expenses		294,397			23,379			34,555
Registration fees		109,346			38,476			68,078
Fee/expense recovery (Note 6)		—			—			—
Federal excise taxes		—			—			—
Miscellaneous expenses		47,111			30,308			11,258
Total expenses		10,972,269			1,625,763			1,793,792
Less fee reduction and/or expense reimbursement (Note 6)		—			—			(218,554	)
Net expenses		10,972,269			1,625,763			1,575,238
Net investment income (loss)		5,551,317			474,846			516,160
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(131,349,648	)		(14,884,974	)		(6,269,463	)
Options written		—			—			—
Foreign currency transactions		—			(22,926	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		340,263,229			46,122,771			48,393,988
Options written		—			—			—
Foreign currency translations		—			3,411			—
Net realized and unrealized gain on investments, options written and foreign currency transactions		208,913,581			31,218,282			42,124,525
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	214,464,898		$	31,693,128		$	42,640,685

* Includes a non-recurring dividend of $124,500 and $796,365 for Harris Associates Large Cap Value Fund and Vaughan Nelson Small Cap Value Fund, respectively.

See accompanying notes to financial statements.

35

Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund			Natixis U.S. Diversified Portfolio
$	8,020,215	*	$	75,645		$	4,171,814
	—			—			—
	—			—			(13,819	)
	8,020,215			75,645			4,157,995
	4,147,115			29,113			2,773,640
	660,710			2,145			604,952
	103,343			—			364,558
	311,580			1,235			249,151
	40,890			12,523			87,087
	229,215			84,132			153,922
	37,453			27,665			41,336
	826,857			2,076			744,817
	41,149			39,722			59,517
	10,858			—			8,353
	153,247			2,682			72,913
	99,114			40,196			69,287
	3,358			—			—
	—			15			—
	24,549			5,813			25,166
	6,689,438			247,317			5,254,699
	(112,856	)		(202,087	)		(490,433	)
	6,576,582			45,230			4,764,266
	1,443,633			30,415			(606,271	)
	24,060,952			128,499			(41,569,059	)
	—			—			32,474
	—			—			—
	121,362,923			630,349			138,831,232
	—			—			11,203
	—			—			—
	145,423,875			758,848			97,305,850
$	146,867,508		$	789,263		$	96,699,579

36

STATEMENTS OF CHANGES IN NET ASSETS

	CGM Advisor Targeted Equity Fund						Hansberger International Fund						Harris Associates Large Cap Value Fund
	Year Ended December 31, 2009			Year Ended December 31, 2008			Year Ended December 31, 2009			Year Ended December 31, 2008			Year Ended December 31, 2009			Year Ended December 31, 2008
FROM OPERATIONS:
Net investment income (loss)	$	5,551,317		$	7,035,894		$	474,846		$	1,765,959		$	516,160		$	1,582,727
Net realized gain (loss) on investments, options written and foreign currency transactions		(131,349,648	)		(136,074,566	)		(14,907,900	)		(4,234,378	)		(6,269,463	)		(1,298,191	)
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations		340,263,229			(295,484,467	)		46,126,182			(79,370,956	)		48,393,988			(80,262,754	)
Net increase (decrease) in net assets resulting from operations		214,464,898			(424,523,139	)		31,693,128			(81,839,375	)		42,640,685			(79,978,218	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(3,442,148	)		(6,133,829	)		(56,901	)		(919,413	)		(440,347	)		(1,288,357	)
Class B		—			(2,292	)		—			(60,823	)		(5,383	)		(10,681	)
Class C		(24,644	)		(192,376	)		—			(63,896	)		(4,285	)		(20,757	)
Class Y		(2,130,058	)		(454,082	)		—			—			(42,386	)		(120,564	)
Net realized capital gain
Class A		—			(28,890,996	)		—			(3,711,536	)		—			—
Class B		—			(1,056,919	)		—			(751,480	)		—			—
Class C		—			(1,410,865	)		—			(806,003	)		—			—
Class Y		—			(858,144	)		—			—			—			—
Distributions from paid-in capital
Class A		—			—			—			(518,560	)		—			—
Class B		—			—			—			(50,417	)		—			—
Class C		—			—			—			(90,663	)		—			—
Total distributions		(5,596,850	)		(38,999,503	)		(56,901	)		(6,972,791	)		(492,401	)		(1,440,359	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		(76,443,252	)		480,972,479			(6,383,119	)		(15,168,231	)		(12,340,877	)		(36,406,022	)
Redemption fees
Class A		—			13,396			—			590			—			—
Class B		—			466			—			126			—			—
Class C		—			544			—			119			—			—
Class Y		—			393			—			—			—			—
Total redemption fees		—			14,799			—			835			—			—
Increase from regulatory settlements (Note 8)		—			—			613,370			—			8,806			—
Net increase (decrease) in net assets		132,424,796			17,464,636			25,866,478			(103,979,562	)		29,816,213			(117,824,599	)
NET ASSETS
Beginning of the year		913,901,482			896,436,846			80,429,233			184,408,795			106,016,327			223,840,926
End of the year	$	1,046,326,278		$	913,901,482		$	106,295,711		$	80,429,233		$	135,832,540		$	106,016,327
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(583,320	)	$	(537,787	)	$	(172,342	)	$	(1,012,129	)	$	(175,584	)	$	(199,343	)

(a) From commencement of operations on October 31, 2008 through December 31, 2008.

See accompanying notes to financial statements.

37

Vaughan Nelson Small Cap Value Fund						Vaughan Nelson Value Opportunity Fund						Natixis U.S. Diversified Portfolio
Year Ended December 31, 2009			Year Ended December 31, 2008			Year Ended December 31, 2009			Period Ended December 31, 2008(a)			Year Ended December 31, 2009			Year Ended December 31, 2008
$	1,443,633		$	57,969		$	30,415		$	2,208		$	(606,271	)	$	(493,172	)
	24,060,952			(25,891,396	)		128,499			(7,409	)		(41,536,585	)		(36,639,757	)
	121,362,923			(26,217,431	)		630,349			(28,116	)		138,842,435			(180,753,728	)
	146,867,508			(52,050,858	)		789,263			(33,317	)		96,699,579			(217,886,657	)
	(570,459	)		—			(9,290	)		(41	)		—			—
	—			—			—			—			—			—
	—			—			(7	)		(83	)		—			—
	(994,314	)		—			(27,753	)		(2,545	)		—			—
	—			(132,974	)		(19,482	)		—			—			(6,529,055	)
	—			(28,303	)		—			—			—			(1,841,998	)
	—			(29,715	)		(1,919	)		—			—			(822,792	)
	—			(7,146	)		(47,246	)		—			—			(205,525	)
	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—
	(1,564,773	)		(198,138	)		(105,697	)		(2,669	)		—			(9,399,370	)
	183,337,945			177,538,979			10,938,928			1,053,738			(43,650,516	)		(63,750,494	)
	—			444			—			—			—			—
	—			89			—			—			—			—
	—			88			—			—			—			—
	—			19			—			—			—			—
	—			640			—			—			—			—
	—			—			—			—			—			—
	328,640,680			125,290,623			11,622,494			1,017,752			53,049,063			(291,036,521	)
	277,091,773			151,801,150			1,017,752			—			299,107,510			590,144,031
$	605,732,453		$	277,091,773		$	12,640,246		$	1,017,752		$	352,156,573		$	299,107,510
$	(118,321	)	$	(71,114	)	$	(6,384	)	$	(73	)	$	(352,300	)	$	(309,678	)

38

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.

			Income (Loss) From Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income(b)			Distributions from net realized capital gains			Total distributions(b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
12/31/2009	$	7.66	$	0.05		$	1.88		$	1.93		$	(0.05	)	$	–		$	(0.05	)
12/31/2008		13.01		0.09			(4.94	)		(4.85	)		(0.06	)		(0.44	)		(0.50	)
12/31/2007		10.70		0.05			3.54			3.59			(0.13	)		(1.15	)		(1.28	)
12/31/2006		10.22		0.08			0.78			0.86			(0.07	)		(0.31	)		(0.38	)
12/31/2005		9.05		0.07			1.12			1.19			(0.02	)		–			(0.02	)
Class B
12/31/2009		6.92		(0.01	)		1.70			1.69			–			–			–
12/31/2008		11.81		(0.00	)		(4.45	)		(4.45	)		(0.00	)		(0.44	)		(0.44	)
12/31/2007		9.84		(0.04	)		3.24			3.20			(0.08	)		(1.15	)		(1.23	)
12/31/2006		9.48		0.00			0.74			0.74			(0.07	)		(0.31	)		(0.38	)
12/31/2005		8.45		0.00			1.04			1.04			(0.01	)		–			(0.01	)
Class C
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		–			(0.00	)
12/31/2008		11.79		0.02			(4.46	)		(4.44	)		(0.02	)		(0.44	)		(0.46	)
12/31/2007		9.84		(0.03	)		3.22			3.19			(0.09	)		(1.15	)		(1.24	)
12/31/2006		9.48		0.00			0.74			0.74			(0.07	)		(0.31	)		(0.38	)
12/31/2005		8.45		0.00			1.04			1.04			(0.01	)		–			(0.01	)
Class Y
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		–			(0.08	)
12/31/2008		13.32		0.13			(5.09	)		(4.96	)		(0.08	)		(0.44	)		(0.52	)
12/31/2007		10.93		0.09			3.61			3.70			(0.16	)		(1.15	)		(1.31	)
12/31/2006		10.42		0.11			0.82			0.93			(0.11	)		(0.31	)		(0.42	)
12/31/2005		9.23		0.10			1.14			1.24			(0.05	)		–			(0.05	)

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

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

(c) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

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

See accompanying notes to financial statements.

39

									Ratios to Average Net Assets:
Redemption fees(b)			Net asset value, end of the period		Total return (%)(c)(d)		Net assets, end of the period (000’s)		Net expenses (%)(e)(f)	Gross expenses (%)(f)	Net investment income (loss) (%)(f)		Portfolio turnover rate (%)
$	–		$	9.54	25.19		$	693,386	1.19	1.19	0.69		170
	0.00	(g)		7.66	(38.36	)		796,146	1.10	1.10	0.83		211
	0.00			13.01	34.42			826,867	1.17	1.17	0.45		179
	0.00			10.70	8.52			679,897	1.16	1.16	0.76		171
	0.00			10.22	13.19			694,121	1.28	1.28	0.78		196
	–			8.61	24.42			12,401	1.94	1.94	(0.11	)	170
	0.00	(g)		6.92	(38.90	)		13,971	1.85	1.85	(0.03	)	211
	0.00			11.81	33.41			32,297	1.92	1.92	(0.34	)	179
	0.00			9.84	7.83			43,032	1.91	1.91	0.02		171
	0.00			9.48	12.35			53,005	2.03	2.03	0.03		196
	–			8.57	24.42			75,098	1.95	1.95	(0.14	)	170
	0.00	(g)		6.89	(38.85	)		59,544	1.85	1.85	0.17		211
	0.00			11.79	33.47			19,753	1.93	1.93	(0.24	)	179
	0.00			9.84	7.72			8,688	1.90	1.90	0.04		171
	0.00			9.48	12.35			5,133	2.04	2.04	0.03		196
	–			9.78	25.75			265,441	0.94	0.94	0.64		170
	0.00	(g)		7.84	(38.28	)		44,240	0.85	0.85	1.21		211
	0.00			13.32	34.75			17,520	0.90	0.90	0.74		179
	0.00			10.93	8.99			11,714	0.87	0.87	1.05		171
	0.00			10.42	13.41			11,181	1.07	1.07	0.99		196

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(f) Computed on an annualized basis for periods less than one year, if applicable.

(g) Effective June 2, 2008, redemption fees were eliminated.

40

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) From Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Distributions from paid-in capital			Total distributions
HANSBERGER INTERNATIONAL FUND
Class A
12/31/2009	$	10.88	$	0.09		$	4.79		$	4.88		$	(0.01	)	$	—		$	—		$	(0.01	)
12/31/2008		22.17		0.26			(10.63	)		(10.37	)		(0.15	)		(0.68	)		(0.09	)		(0.92	)
12/31/2007		21.50		0.18			3.29			3.47			(0.40	)		(2.40	)		—			(2.80	)
12/31/2006		19.88		0.16			4.51			4.67			(0.35	)		(2.70	)		—			(3.05	)
12/31/2005		17.12		0.11			2.65			2.76			—			—			—			—
Class B
12/31/2009		9.76		0.00			4.27			4.27			—			—			—			—
12/31/2008		19.88		0.12			(9.48	)		(9.36	)		(0.03	)		(0.68	)		(0.05	)		(0.76	)
12/31/2007		19.51		0.01			2.98			2.99			(0.22	)		(2.40	)		—			(2.62	)
12/31/2006		18.27		0.01			4.11			4.12			(0.18	)		(2.70	)		—			(2.88	)
12/31/2005		15.85		0.00			2.42			2.42			—			—			—			—
Class C
12/31/2009		9.70		(0.00	)		4.24			4.24			—			—			—			—
12/31/2008		19.81		0.11			(9.43	)		(9.32	)		(0.03	)		(0.68	)		(0.08	)		(0.79	)
12/31/2007		19.48		0.01			2.97			2.98			(0.25	)		(2.40	)		—			(2.65	)
12/31/2006		18.28		0.00			4.11			4.11			(0.21	)		(2.70	)		—			(2.91	)
12/31/2005		15.86		(0.02	)		2.44			2.42			—			—			—			—
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Class A
12/31/2009	$	8.77	$	0.05	(h)	$	3.81		$	3.86		$	(0.05	)	$	—		$	—		$	(0.05	)
12/31/2008		14.97		0.13			(6.20	)		(6.07	)		(0.13	)		—			—			(0.13	)
12/31/2007		15.49		0.05			(0.48	)(i)		(0.43	)		(0.09	)		—			—			(0.09	)
12/31/2006		13.33		0.06			2.13			2.19			(0.03	)		—			—			(0.03	)
12/31/2005		13.37		0.05			(0.08	)		(0.03	)		(0.01	)		—			—			(0.01	)
Class B
12/31/2009		8.16		(0.02	)(h)		3.52			3.50			(0.01	)		—			—			(0.01	)
12/31/2008		13.84		0.03			(5.70	)		(5.67	)		(0.01	)		—			—			(0.01	)
12/31/2007		14.39		(0.06	)		(0.45	)(i)		(0.51	)		(0.04	)		—			—			(0.04	)
12/31/2006		12.48		(0.04	)		1.98			1.94			(0.03	)		—			—			(0.03	)
12/31/2005		12.62		(0.04	)		(0.09	)		(0.13	)		(0.01	)		—			—			(0.01	)
Class C
12/31/2009		8.13		(0.02	)(h)		3.51			3.49			(0.01	)		—			—			(0.01	)
12/31/2008		13.82		0.03			(5.69	)		(5.66	)		(0.03	)		—			—			(0.03	)
12/31/2007		14.37		(0.06	)		(0.45	)(i)		(0.51	)		(0.04	)		—			—			(0.04	)
12/31/2006		12.46		(0.04	)		1.98			1.94			(0.03	)		—			—			(0.03	)
12/31/2005		12.60		(0.04	)		(0.09	)		(0.13	)		(0.01	)		—			—			(0.01	)
Class Y
12/31/2009		9.05		0.08	(h)		3.93			4.01			(0.07	)		—			—			(0.07	)
12/31/2008		15.47		0.19			(6.42	)		(6.23	)		(0.19	)		—			—			(0.19	)
12/31/2007		16.01		0.12			(0.51	)(i)		(0.39	)		(0.15	)		—			—			(0.15	)
12/31/2006		13.72		0.12			2.20			2.32			(0.03	)		—			—			(0.03	)
12/31/2005		13.74		0.09			(0.10	)		(0.01	)		(0.01	)		—			—			(0.01	)

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

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

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

(d) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fees during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

See accompanying notes to financial statements.

41

											Ratios to Average Net Assets:
Increase from Regulatory Settlements(b)		Redemption fees(b)			Net asset value, end of the period		Total return (%)(c)(d)		Net assets, end of the period (000’s)		Net expenses (%)(e)(f)		Gross expenses (%)(f)		Net investment income (loss) (%)(f)		Portfolio turnover rate (%)
$	0.09	$	—		$	15.84	45.82		$	83,183	1.69		1.69		0.71		46
	—		0.00	(g)		10.88	(47.63	)		60,091	1.49		1.49		1.48		47
	—		0.00			22.17	16.38			128,224	1.45		1.45		0.79		47
	—		0.00			21.50	24.08			112,814	1.49		1.49		0.75		49
	—		0.00			19.88	16.12			89,663	1.81		1.81		0.62		45
	0.09		—			14.12	44.67			9,157	2.44		2.44		0.01		46
	—		0.00	(g)		9.76	(48.03	)		9,328	2.23		2.23		0.72		47
	—		0.00			19.88	15.63			29,770	2.20		2.20		0.06		47
	—		0.00			19.51	23.15			33,016	2.25		2.25		0.03		49
	—		0.00			18.27	15.27			33,388	2.55		2.55		(0.02	)	45
	0.09		—			14.03	44.64			13,956	2.44		2.44		(0.03	)	46
	—		0.00	(g)		9.70	(48.00	)		11,010	2.24		2.24		0.73		47
	—		0.00			19.81	15.54			26,414	2.20		2.20		0.04		47
	—		0.00			19.48	23.14			23,541	2.25		2.25		0.01		49
	—		0.00			18.28	15.26			19,388	2.56		2.56		(0.11	)	45
$	0.00	$	—		$	12.58	44.03		$	113,309	1.30		1.50		0.53		131
	—		—			8.77	(40.45	)		85,761	1.28		1.28		1.04		38
	—		—			14.97	(2.94	)		172,468	1.28	(j)(k)	1.28	(j)	0.35		30
	—		—			15.49	16.50			195,714	1.30		1.30		0.44		23
	—		—			13.33	(0.19	)		188,763	1.30		1.46		0.40		39
	0.00		—			11.65	42.88			7,864	2.05		2.25		(0.22	)	131
	—		—			8.16	(40.87	)		8,191	2.03		2.04		0.25		38
	—		—			13.84	(3.68	)		23,916	2.04	(j)(k)	2.04	(j)	(0.44	)	30
	—		—			14.39	15.61			42,894	2.05		2.07		(0.33	)	23
	—		—			12.48	(0.99	)		59,035	2.05		2.21		(0.35	)	39
	0.00		—			11.61	42.91			7,208	2.05		2.25		(0.22	)	131
	—		—			8.13	(40.90	)		6,222	2.03		2.03		0.26		38
	—		—			13.82	(3.69	)		15,616	2.04	(j)(k)	2.04	(j)	(0.41	)	30
	—		—			14.37	15.64			18,089	2.05		2.06		(0.32	)	23
	—		—			12.46	(0.99	)		20,308	2.05		2.21		(0.35	)	39
	0.00		—			12.99	44.39			7,450	1.05		1.12		0.77		131
	—		—			9.05	(40.18	)		5,842	0.84		0.84		1.47		38
	—		—			15.47	(2.59	)		11,840	0.91	(k)	0.91		0.72		30
	—		—			16.01	16.97			14,057	0.91	(j)	0.91	(j)	0.82		23
	—		—			13.72	(0.04	)		14,226	1.05		1.09		0.65		39

(f) Computed on an annualized basis for periods less than one year, if applicable.

(g) Effective June 2, 2008, redemption fees were eliminated.

(h) Includes a non-recurring dividend of $0.01 per share.

(i) Includes a litigation payment of $0.02 per share.

(j) Includes fee/expense recovery of 0.00%, 0.02%, 0.01% and 0.04% for Class A, B, C and Y, respectively.

(k) Effect of voluntary waiver of expenses by adviser was less than 0.005%.

42

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) From Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income(b)			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
12/31/2009	$	17.42	$	0.05	(g)	$	4.88		$	4.93		$	(0.04	)	$	–		$	(0.04	)
12/31/2008		22.11		0.03			(4.69	)		(4.66	)		–			(0.03	)		(0.03	)
12/31/2007		20.90		(0.02	)		1.23			1.21			–			–			–
12/31/2006		17.69		(0.05	)		3.26			3.21			–			–			–
12/31/2005		16.07		(0.08	)		1.70			1.62			–			–			–
Class B
12/31/2009		15.76		(0.09	)(g)		4.39			4.30			–			–			–
12/31/2008		20.15		(0.14	)		(4.22	)		(4.36	)		–			(0.03	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.13			0.96			–			–			–
12/31/2006		16.36		(0.20	)		3.03			2.83			–			–			–
12/31/2005		14.97		(0.19	)		1.58			1.39			–			–			–
Class C
12/31/2009		15.76		(0.08	)(g)		4.39			4.31			–			–			–
12/31/2008		20.16		(0.13	)		(4.24	)		(4.37	)		–			(0.03	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.14			0.97			–			–			–
12/31/2006		16.37		(0.19	)		3.01			2.82			–			–			–
12/31/2005		14.98		(0.19	)		1.58			1.39			–			–			–
Class Y
12/31/2009		17.55		0.12	(g)		4.90			5.02			(0.10	)		–			(0.10	)
12/31/2008		22.20		0.12			(4.74	)		(4.62	)		–			(0.03	)		(0.03	)
12/31/2007		20.91		0.04			1.25			1.29			–			–			–
12/31/2006(j)		19.02		0.02			1.87			1.89			–			–			–
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
12/31/2009	$	9.60	$	0.09		$	2.88		$	2.97		$	(0.04	)	$	(0.07	)	$	(0.11	)
12/31/2008(l)		10.00		0.03			(0.41	)		(0.38	)		(0.02	)		–			(0.02	)
Class C
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		(0.07	)
12/31/2008(l)		10.00		0.02			(0.41	)		(0.39	)		(0.02	)		–			(0.02	)
Class Y
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		(0.11	)
12/31/2008(l)		10.00		0.03			(0.40	)		(0.37	)		(0.03	)		–			(0.03	)

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

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

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

(d) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(f) Computed on an annualized basis for periods less than one year, if applicable.

See accompanying notes to financial statements.

43

									Ratios to Average Net Assets:
Redemption fees(b)			Net asset value, end of the period		Total return (%)(c)(d)		Net assets, end of the period (000’s)		Net expenses (%)(e)(f)		Gross expenses (%)(f)		Net investment income (loss) (%)(f)		Portfolio turnover rate (%)
$	–		$	22.31	28.30		$	322,961	1.45		1.49		0.27		102
	0.00	(h)		17.42	(21.11	)		171,875	1.45		1.51		0.13		124
	0.00			22.11	5.84			103,719	1.49		1.57		(0.11	)	78
	0.00			20.90	18.09			85,285	1.59		1.59		(0.28	)	88
	0.00			17.69	10.08			58,963	1.92		1.92		(0.47	)	80
	–			20.06	27.28			10,630	2.20		2.24		(0.56	)	102
	0.00	(h)		15.76	(21.67	)		11,788	2.20		2.26		(0.78	)	124
	0.00			20.15	5.06			25,076	2.24		2.31		(0.84	)	78
	0.00			19.19	17.24			32,606	2.37		2.37		(1.10	)	88
	0.00			16.36	9.28			38,732	2.66		2.66		(1.24	)	80
	–			20.07	27.35			39,238	2.20		2.24		(0.48	)	102
	0.00	(h)		15.76	(21.71	)		21,861	2.20		2.26		(0.68	)	124
	0.00			20.16	5.05			21,765	2.24		2.32		(0.85	)	78
	0.00			19.19	17.23			18,186	2.35		2.35		(1.04	)	88
	0.00			16.37	9.28			13,667	2.67		2.67		(1.23	)	80
	–			22.47	28.61			232,903	1.18	(i)	1.18	(i)	0.60		102
	0.00	(h)		17.55	(20.81	)		71,568	1.20		1.21		0.65		124
	0.00			22.20	6.12			1,241	1.19	(k)	1.19	(k)	0.17		78
	0.00			20.91	9.94			427	1.35		1.90		0.35		88
$	–		$	12.46	30.98		$	3,645	1.40		5.24		0.79		45
	–			9.60	(3.75	)		16	1.40		39.61		1.92		12
	–			12.39	30.01			370	2.15		8.54		(0.14	)	45
	–			9.59	(3.90	)		41	2.15		40.36		1.62		12
	–			12.49	31.37			8,626	1.15		7.22		0.90		45
	–			9.60	(3.74	)		960	1.15		38.91		1.41		12

(g) Includes a non-recurring dividend of $0.03 per share.

(h) Effective June 2, 2008, redemption fees were eliminated.

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

(j) From commencement of Class operations on August 31, 2006 through December 31, 2006.

(k) Includes fee/expense recovery of 0.04%.

(l) For the period October 31, 2008 (inception) through December 31, 2008.

44

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) From Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions from net realized capital gains			Total distributions
NATIXIS U.S. DIVERSIFIED PORTFOLIO
Class A
12/31/2009	$	15.16	$	(0.01	)	$	5.53		$	5.52		$	–		$	–
12/31/2008		25.76		0.02	(f)		(10.20	)		(10.18	)		(0.42	)		(0.42	)
12/31/2007		22.94		(0.06	)		3.19			3.13			(0.31	)		(0.31	)
12/31/2006		20.17		0.04			2.73			2.77			–			–
12/31/2005		18.75		(0.11	)		1.53			1.42			–			–
Class B
12/31/2009		13.19		(0.12	)		4.78			4.66			–			–
12/31/2008		22.63		(0.13	)(f)		(8.89	)		(9.02	)		(0.42	)		(0.42	)
12/31/2007		20.33		(0.22	)		2.83			2.61			(0.31	)		(0.31	)
12/31/2006		18.01		(0.11	)		2.43			2.32			–			–
12/31/2005		16.87		(0.22	)		1.36			1.14			–			–
Class C
12/31/2009		13.19		(0.12	)		4.79			4.67			–			–
12/31/2008		22.65		(0.13	)(f)		(8.91	)		(9.04	)		(0.42	)		(0.42	)
12/31/2007		20.36		(0.22	)		2.82			2.60			(0.31	)		(0.31	)
12/31/2006		18.03		(0.11	)		2.44			2.33			–			–
12/31/2005		16.89		(0.22	)		1.36			1.14			–			–
Class Y
12/31/2009		16.29		0.04			5.94			5.98			–			–
12/31/2008		27.58		0.07	(f)		(10.94	)		(10.87	)		(0.42	)		(0.42	)
12/31/2007		24.45		0.03			3.41			3.44			(0.31	)		(0.31	)
12/31/2006		21.41		0.14			2.90			3.04			–			–
12/31/2005		19.82		(0.03	)		1.62			1.59			–			–

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

(b) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

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

See accompanying notes to financial statements.

45

						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%)(b)(c)		Net assets, end of the period (000’s)		Net expenses (%)(d)(e)	Gross expenses (%)(d)	Net investment income (loss) (%)(d)		Portfolio turnover rate (%)
$	20.68	36.41		$	280,846	1.40	1.56	(0.05	)	115
	15.16	(40.05	)		228,549	1.43	1.43	0.08		110
	25.76	13.69			407,228	1.47	1.47	(0.24	)	82
	22.94	13.68			393,430	1.46	1.46	0.17		83
	20.17	7.57			386,084	1.73	1.73	(0.57	)	97
	17.85	35.33			37,406	2.15	2.31	(0.80	)	115
	13.19	(40.47	)		40,868	2.18	2.19	(0.70	)	110
	22.63	12.83			119,028	2.21	2.21	(1.00	)	82
	20.33	12.88			147,819	2.22	2.22	(0.60	)	83
	18.01	6.76			174,745	2.48	2.48	(1.32	)	97
	17.86	35.41			28,580	2.15	2.31	(0.80	)	115
	13.19	(40.53	)		24,079	2.18	2.18	(0.68	)	110
	22.65	12.82			47,239	2.22	2.22	(0.99	)	82
	20.36	12.87			46,064	2.22	2.22	(0.59	)	83
	18.03	6.75			48,262	2.48	2.48	(1.32	)	97
	22.27	36.71			5,325	1.15	1.22	0.20		115
	16.29	(39.89	)		5,611	1.17	1.23	0.31		110
	27.58	14.02			16,649	1.12	1.12	0.10		82
	24.45	14.20			21,155	1.03	1.03	0.60		83
	21.41	8.02			20,445	1.32	1.32	(0.16	)	97

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

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(f) Includes a non-recurring dividend of $0.02 per share.

46

NOTES TO FINANCIAL STATEMENTS

December 31, 2009

1.  Organization.  Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

CGM Advisor Targeted Equity Fund (the “Targeted Equity Fund”)

Hansberger International Fund (the “International Fund”)

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis U.S. Diversified Portfolio (the “U.S. Diversified Portfolio”)

Natixis Funds Trust II:

Harris Associates Large Cap Value Fund (the “Large Cap Value Fund”)

Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)

Each Fund offers Class A and Class C shares. Targeted Equity Fund, Small Cap Value Fund, Large Cap Value Fund, Value Opportunity Fund and U.S. Diversified Portfolio also offer Class Y shares. Effective October 12, 2007, Class B shares are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the Prospectus.

Effective July 31, 2009, the Small Cap Value Fund was closed to new investors.

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 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. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ Prospectuses.

Most expenses of the Trusts can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in 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 Rule 12b-1 service and distribution 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. Management has evaluated the events and transactions that have occurred through February 22, 2010, the date the financial statements were issued, and noted no items requiring recognition in the financial statements or additional disclosures in the Notes to Financial Statements.

a.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and the subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and the subadvisers and approved 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. 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. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

47

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

Certain 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 securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values. As of December 31, 2009, approximately 77% of the market value of the investments for the International Fund was 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 a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. 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, non-class-specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The 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 which arise due to changes in market prices of 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 and 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 period, 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.

d.  Forward Foreign Currency Contracts.  The International Fund and the U.S. Diversified Portfolio may enter into 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 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 Funds’ Statement of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 December 31, 2009, there were no open forward foreign currency contracts.

e.  Option Contracts.  Certain Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value until the option expires or a Fund enters into a closing purchase transaction. When a written option expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. The Funds are not party to any over-the-counter options at December 31, 2009.

48

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

f.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2009 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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.

g.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually 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 for items such as net operating losses, distribution redesignations, return of capital & capital gain distributions from REITs, foreign currency transactions, non-deductible expenses, gains realized from passive foreign investment companies (“PFICs”), expiring capital loss carryforwards and regulatory settlements. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, securities lending collateral gain/loss adjustments, straddle loss deferrals, wash sales, return of capital distributions from REITs and PFIC unrealized gains. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the fiscal years ended December 31, 2009 and December 31, 2008 was as follows:

	2009 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Targeted Equity Fund	$	5,596,850	$	—	$	5,596,850
International Fund		56,901		—		56,901
Large Cap Value Fund		492,401		—		492,401
Small Cap Value Fund		1,564,773		—		1,564,773
Value Opportunity Fund		105,697		—		105,697
U.S. Diversified Portfolio		—		—		—
	2008 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Targeted Equity Fund	$	36,994,172	$	2,005,331	$	—	$	38,999,503
International Fund		1,855,140		4,458,011		659,640		6,972,791
Large Cap Value Fund		1,440,359		—		—		1,440,359
Small Cap Value Fund		530		197,608		—		198,138
Value Opportunity Fund		2,669		—		—		2,669
U.S. Diversified Portfolio		—		9,399,370		—		9,399,370

49

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

Differences between these amounts and those reported in the Statements of Changes in Net Assets, if any, are primarily attributable to different book and tax treatment for short-term capital gains.

As of December 31, 2009, the components of distributable earnings on a tax basis were as follows:

	Targeted Equity Fund			International Fund			Large Cap Value Fund			Small Cap Value Fund		Value Opportunity Fund		U.S. Diversified Portfolio
Undistributed ordinary income	$	25,015		$	243,335		$	141,811		$	3,438,881	$	51,391	$	—
Undistributed long-term capital gains		—			—			—			—		16,217		—
Total undistributed earnings		25,015			243,335			141,811			3,438,881		67,608		—
Capital loss carryforward:
Expires December 31, 2010		—			—			(24,633,843	)*		—		—		—
Expires December 31, 2011		—			—			(9,965,466	)		—		—		—
Expires December 31, 2016		(81,851,673	)		—			—			—		—		(11,926,148	)
Expires December 31, 2017		(187,561,344	)		(18,831,362	)		(9,203,027	)		—		—		(62,968,578	)
Total capital loss carryforward		(269,413,017	)		(18,831,362	)		(43,802,336	)		—		—		(74,894,726	)
Deferred net capital losses (post-October 2009)		(29,753	)		—			—			—		—		(335,580	)
Unrealized appreciation (depreciation)		251,215,800			8,792,297			(8,099,515	)		101,861,453		589,806		58,889,489
Total accumulated earnings (losses)	$	(18,201,955	)	$	(9,795,730	)	$	(51,760,040	)	$	105,300,334	$	657,414	$	(16,340,817	)
Capital loss carryforward utilized in the current year	$	—		$	—		$	—		$	636,489	$	—	$	—

* Some of the Large Cap Value Fund carryforward losses expiring in 2010 were obtained in the Fund’s merger with the Nvest Balanced Fund on June 7, 2003. The losses obtained in this merger are subject to limitations. The Fund also had carryforward losses expire in the current year in the amount of $25,407,834.

h.  Repurchase Agreements.  It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

i.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

As of December 31, 2009, there were no securities on loan.

j.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical assets or liabilities;

• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.);

50

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

• Level 3 – prices determined using significant unobservable inputs for situations where quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2009, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	999,180,202	$	—	$	—	$	999,180,202
Short-Term Investments		—		8,365,000		—		8,365,000
Total	$	999,180,202	$	8,365,000	$	—	$	1,007,545,202

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

International Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	4,939,459	$	—	$	4,939,459
Belgium		—		595,167		—		595,167
Brazil		5,292,551		—		—		5,292,551
Canada		4,845,069		—		—		4,845,069
Chile		539,092		—		—		539,092
China		558,455		10,251,757		—		10,810,212
Denmark		—		1,740,082		—		1,740,082
France		535,823		10,523,238		—		11,059,061
Germany		556,149		5,205,459		—		5,761,608
Hong Kong		—		2,209,250		—		2,209,250
India		2,431,042		—		—		2,431,042
Israel		608,149		—		—		608,149
Italy		—		1,857,870		—		1,857,870
Japan		—		11,828,056		—		11,828,056
Korea		1,620,431		952,478		—		2,572,909
Luxembourg		818,257		—		—		818,257
Mexico		1,502,338		—		—		1,502,338
Norway		—		682,470		—		682,470
Portugal		—		642,514		—		642,514
Russia		2,592,045		—		—		2,592,045
Singapore		—		728,355		—		728,355
South Africa		—		522,295		—		522,295
Spain		—		3,572,975		—		3,572,975
Sweden		—		913,974		—		913,974
Switzerland		563,274		8,238,207		—		8,801,481
Taiwan		—		749,609		—		749,609
United Kingdom		—		15,330,264		—		15,330,264
Total Common Stocks		22,462,675		81,483,479		—		103,946,154
Preferred Stocks		—		571,920		—		571,920
Exchange Traded Funds		1,396,513		—		—		1,396,513
Short-Term Investments		—		548,548		—		548,548
Total	$	23,859,188	$	82,603,947	$	—	$	106,463,135

51

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

Large Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	124,652,584	$	—	$	—	$	124,652,584
Short-Term Investments		—		11,478,360		—		11,478,360
Total	$	124,652,584	$	11,478,360	$	—	$	136,130,944

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	589,686,127	$	—	$	—	$	589,686,127
Short-Term Investments		—		12,928,908		—		12,928,908
Total	$	589,686,127	$	12,928,908	$	—	$	602,615,035

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	11,980,641	$	—	$	—	$	11,980,641
Short-Term Investments		—		522,628		—		522,628
Total	$	11,980,641	$	522,628	$	—	$	12,503,269

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

U.S. Diversified Portfolio

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	340,855,651	$	—	$	—	$	340,855,651
Short-Term Investments		—		11,713,636		—		11,713,636
Total	$	340,855,651	$	11,713,636	$	—	$	352,569,287

(a) Major categories of the Portfolio’s investments are included in the Portfolio of Investments.

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Call Options Written	$	(5,695	)	$	—	$	—	$	(5,695	)

4.  Derivatives.  Effective January 1, 2009, the Funds adopted accounting standards related to derivative instruments and hedging activities which require enhanced disclosures. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds currently use include options contracts.

The U.S. Diversified Portfolio (the “Portfolio”) is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Portfolio may use option contracts to hedge against a decline in value of an equity security that it owns. The Portfolio may also write options to offset the cost of option contracts used for hedging purposes.

52

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

The following is a summary of derivative instruments for the U.S. Diversified Portfolio as of December 31, 2009:

Liability Derivatives	Options Written
Equity contracts	$(5,695)
Statements of Assets and Liabilities Location	Options written, at value

Transactions in derivative instruments during the year ended December 31, 2009 were as follows:

Realized Gain (Loss)	Purchased Options	Options Written
Equity contracts	$(757,405)	$32,474
Statements of Operations Location	Included in Net realized gain (loss) on investments	Net realized gain (loss) on options written

Change in Unrealized Appreciation (Depreciation)	Options Written
Equity contracts	$11,203
Statements of Operations Location	Net change in unrealized appreciation /depreciation on options written

The following is a summary of U.S. Diversified Portfolio’s purchased option activity:

Contracts	Number of Contracts		Premiums
Outstanding at 12/31/2008	—		$	—
Options purchased	4,914			1,864,404
Options terminated in closing sale transactions	(4,797	)		(1,797,948	)
Options expired	(117	)		(66,456	)
Options exercised	—			—
Outstanding at 12/31/2009	—		$	—

The following is a summary of U.S. Diversified Portfolio’s written option activity:

Contracts	Number of Contracts		Premiums
Outstanding at 12/31/2008	—		$	—
Options written	15,632			1,980,124
Options terminated in closing purchase transactions	(15,598	)		(1,963,226	)
Options expired	—			—
Options exercised	—			—
Outstanding at 12/31/2009	34		$	16,898

5.  Purchases and Sales of Securities.  For the year ended December 31, 2009, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	1,505,556,549	$	1,566,267,605
International Fund		39,689,275		45,697,298
Large Cap Value Fund		138,804,896		156,535,487
Small Cap Value Fund		628,394,006		442,557,458
Value Opportunity Fund		11,896,331		1,680,479
U.S. Diversified Portfolio		341,496,511		390,494,500

53

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $200 million	Next $300 million	Next $500 million	Next $1 billion	Over $2 billion
Targeted Equity Fund	0.75%	0.70%	0.65%	0.65%	0.60%
International Fund	0.80%	0.75%	0.75%	0.75%	0.75%
Large Cap Value Fund	0.70%	0.65%	0.60%	0.60%	0.60%
Small Cap Value Fund	0.90%	0.90%	0.90%	0.90%	0.90%
Value Opportunity Fund	0.80%	0.80%	0.80%	0.80%	0.80%
U.S. Diversified Portfolio	0.90%	0.90%	0.90%	0.80%	0.80%

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

International Fund	Hansberger Global Investors, Inc. (“Hansberger”)
Large Cap Value Fund	Harris Associates L.P. (“Harris”)
Small Cap Value Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund	Vaughan Nelson
U.S. Diversified Portfolio	Harris
	Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
	BlackRock Investment Management LLC (“BlackRock”)

Payments to Natixis Advisors are reduced by the amount of payments to the subadvisers.

Natixis Advisors has given binding undertakings to certain Funds to reduce management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2010 and will be reevaluated on an annual basis. For the year ended December 31, 2009, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A		Class B		Class C		Class Y
Large Cap Value Fund	1.30	%	2.05	%	2.05	%	1.05	%
Small Cap Value Fund	1.45	%	2.20	%	2.20	%	1.20	%
Value Opportunity Fund	1.40	%	—		2.15	%	1.15	%
U.S. Diversified Portfolio	1.40	%	2.15	%	2.15	%	1.15	%

Natixis Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through reduction of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such reduced fees/expenses more than one year after the end of the fiscal year in which the fees/expenses were reduced.

54

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

For the year ended December 31, 2009, the management fees and reduction of management fees for each Fund were as follows:

Fund	Gross Management Fees		Reductions of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross		Net
Targeted Equity Fund	$	6,278,879	$	—	$	6,278,879	0.69	%	0.69	%
International Fund		699,333		—		699,333	0.80	%	0.80	%
Large Cap Value Fund		801,253		49,256		751,997	0.70	%	0.66	%
Small Cap Value Fund		4,147,115		—		4,147,115	0.90	%	0.90	%
Value Opportunity Fund		29,113		29,113		—	0.80	%	—
U.S. Diversified Portfolio		2,773,640		101,119		2,672,521	0.90	%	0.87	%

1 Management fee reductions are subject to possible recovery until December 31, 2010.

For the year ended December 31, 2009, class-specific expenses have been reimbursed as follows:

	Reimbursement2
Fund	Class A		Class B		Class C		Class Y		Total
Large Cap Value Fund	$	145,310	$	12,320	$	9,787	$	1,881	$	169,298
Small Cap Value Fund		97,517		3,888		11,451		—		112,856
Value Opportunity Fund		285		—		80		621		986
U.S. Diversified Portfolio		307,698		48,031		31,771		1,814		389,314

In addition, the investment adviser reimbursed non-class-specific expenses of the Value Opportunity Fund in the amount of $171,988 for the year ended December 31, 2009.²

2 Expense reimbursements are subject to possible recovery until December 31, 2010.

For the year ended December 31, 2009, expense reimbursements related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A		Class B		Class C		Class Y		Total
Small Cap Value Fund	$	—	$	—	$	—	$	3,358	$	3,358

Certain officers and directors of Natixis Advisors and its affiliates are also officers or Trustees of the Funds. Natixis Advisors, CGM, Hansberger, Harris, Loomis Sayles and Vaughan Nelson are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per class and an additional $75,000 if managed by multiple subadvisers. For the period from January 1, 2009 to October 31, 2009, the Value Opportunity Fund was subject to the new fund fee.

For the year ended December 31, 2009, each Fund paid the following for administrative fees to Natixis Advisors:

Fund	Administrative Fees
Targeted Equity Fund	$	456,211
International Fund		43,587
Large Cap Value Fund		57,146
Small Cap Value Fund		229,215
Value Opportunity Fund		84,132
U.S. Diversified Portfolio		153,922

55

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

c.  Service and Distribution Fees.  Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class B, if applicable, and Class C shares (the “Class B and Class C Plans”).

Under the Class A Plans, each Fund pays Natixis 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 Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B, if applicable, and Class C Plans, each Fund pays Natixis 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 Natixis 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, if applicable, and Class C Plans, each Fund pays Natixis 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 Natixis Distributors in connection with the marketing or sale of Class B and Class C shares.

For the year ended December 31, 2009, the Funds paid the following service and distribution fees:

	Service Fee						Distribution Fee
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	1,622,811	$	30,537	$	161,664	$	91,613	$	484,993
International Fund		168,356		21,661		28,524		64,984		85,574
Large Cap Value Fund		235,057		19,034		15,546		57,103		46,636
Small Cap Value Fund		660,710		25,836		77,895		77,507		233,685
Value Opportunity Fund		2,145		—		309		—		926
U.S. Diversified Portfolio		604,952		91,140		62,288		273,418		186,863

d.  Sub-Transfer Agent Fees.  Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended December 31, 2009, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	528,279
International Fund		42,855
Large Cap Value Fund		41,966
Small Cap Value Fund		496,491
Value Opportunity Fund		1,477
U.S. Diversified Portfolio		112,207

56

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

e.  Commissions.  The Funds have been informed that commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the year ended December 31, 2009 were as follows:

Fund	Commissions
Targeted Equity Fund	$	598,325
International Fund		54,099
Large Cap Value Fund		47,608
Small Cap Value Fund		211,076
Value Opportunity Fund		7,216
U.S. Diversified Portfolio		207,818

For the year ended December 31, 2009, brokerage commissions for portfolio transactions paid to affiliated broker/dealers by the U.S. Diversified Portfolio were $9,859.

f.  Trustees Fees and Expenses.  The Funds do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. For the fiscal year ended December 31, 2009, the Chairperson of the Board received a retainer fee at the annual rate of $200,000. The Chairperson did not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attended. Each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $65,000. Each Independent Trustee also received a meeting attendance fee of $7,500 for each meeting of the Board of Trustees that he or she attended in person and $3,750 for each meeting of the Board of Trustees that he or she attended telephonically. In addition, each committee chairman received an additional retainer fee at an annual rate of $10,000. Each Contract Review and Governance Committee member was compensated $5,000 for each Committee meeting that he or she attended in person and $2,500 for each meeting that he or she attended telephonically. Each Audit Committee member was compensated $6,250 for each Committee meeting that he or she attended in person and $3,125 for each meeting that he or she attended telephonically.

Effective January 1, 2010, the Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. Each member of the ad hoc Committee on Alternative Investments will receive a one-time fee of $10,000. The ad hoc Committee on Alternative Investments is not a standing committee. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

g.  Payments by Affiliates.  For the year ended December 31, 2009, Loomis Sayles reimbursed the U.S. Diversified Portfolio $11,550 for losses incurred in connection with a trading error.

7.  Class-Specific Expenses

For the period from January 1, 2009 to September 30, 2009, the Fund paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):

	Transfer Agent Fees and Expenses
Fund	Class A		Class B		Class C		Class Y
Targeted Equity Fund	$	679,114	$	12,692	$	65,384	$	118,607
International Fund		135,284		18,458		23,377		—
Large Cap Value Fund		203,885		17,330		13,754		6,177
Small Cap Value Fund		431,406		17,769		49,991		144,585
Value Opportunity Fund		285		—		80		621
U.S. Diversified Portfolio		456,518		71,806		47,174		4,930

Effective October 1, 2009, transfer agent fees and expenses 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 Funds.

57

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

8.  Regulatory Settlements.  During the year ended December 31, 2009, the International Fund and Large Cap Value Fund received payments of $613,370 and $8,806, respectively, relating to a regulatory settlement the Funds participated in during the year. The Securities and Exchange Commission settled an enforcement action against Bear Stearns charging Bear Stearns with securities fraud for facilitating unlawful late trading and deceptive market timing of mutual funds by its customers and customers of its introducing brokers. The payments have been included in “Increase from Regulatory Settlements” on the Statements of Changes in Net Assets.

9.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 0.75%. In addition, a commitment fee of 0.125% 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.

Prior to March 11, 2009, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was 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, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended December 31, 2009, the Funds had no borrowings under these agreements.

10.  Brokerage Commission Recapture.  Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2009, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	570,455
International Fund		7,410
Large Cap Value Fund		11,094
Small Cap Value Fund		93,953
U.S. Diversified Portfolio		74,147

11.  Concentration of Risk.  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 expropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the price of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.

12.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. At December 31, 2009, one shareholder individually owned more than 5% of the Small Cap Value Fund’s total outstanding shares, representing 6.79% of the Fund’s net assets and three shareholders, including Natixis US, individually owned more than 5% of the Value Opportunity Fund’s total outstanding shares, representing 22.08% of the Fund’s net assets. Natixis US owned shares equating to 9.99% of Value Opportunity Fund’s net assets.

58

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

13.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

	Year Ended December 31, 2009					Year Ended December 31, 2008
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	18,532,079		$	148,049,113		55,490,745		$	517,404,637
Issued in connection with the reinvestment of distributions	335,999			3,222,227		2,910,640			31,249,485
Redeemed	(50,204,318	)		(374,589,222	)	(17,951,803	)		(174,709,000	)
Net change	(31,336,240	)	$	(223,317,882	)	40,449,582		$	373,945,122
Class B
Issued from the sale of shares	45,025		$	305,649		143,426		$	1,418,763
Issued in connection with the reinvestment of distributions	—			—		96,866			1,000,641
Redeemed	(623,545	)		(4,417,340	)	(955,848	)		(9,400,428	)
Net change	(578,520	)	$	(4,111,691	)	(715,556	)	$	(6,981,024	)
Class C
Issued from the sale of shares	2,873,972		$	20,208,835		8,205,733		$	79,419,493
Issued in connection with the reinvestment of distributions	1,791			15,423		111,128			1,084,172
Redeemed	(2,754,130	)		(19,801,078	)	(1,347,914	)		(11,050,172	)
Net change	121,633		$	423,180		6,968,947		$	69,453,493
Class Y
Issued from the sale of shares	34,268,943		$	265,786,478		5,749,964		$	58,767,140
Issued in connection with the reinvestment of distributions	36,234			355,815		112,867			1,154,835
Redeemed	(12,796,087	)		(115,579,152	)	(1,536,310	)		(15,367,087	)
Net change	21,509,090		$	150,563,141		4,326,521		$	44,554,888
Increase (decrease) from capital share transactions	(10,284,037	)	$	(76,443,252	)	51,029,494		$	480,972,479

	Year Ended December 31, 2009					Year Ended December 31, 2008
International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	814,057		$	11,422,735		981,700		$	18,940,104
Issued in connection with the reinvestment of distributions	3,394			53,003		345,275			4,818,828
Redeemed	(1,090,297	)		(13,377,887	)	(1,586,221	)		(27,268,780	)
Net change	(272,846	)	$	(1,902,149	)	(259,246	)	$	(3,509,848	)
Class B
Issued from the sale of shares	30,044		$	349,812		52,461		$	886,564
Issued in connection with the reinvestment of distributions	—			—		59,291			820,177
Redeemed	(337,051	)		(3,628,763	)	(653,714	)		(10,658,356	)
Net change	(307,007	)	$	(3,278,951	)	(541,962	)	$	(8,951,615	)
Class C
Issued from the sale of shares	142,702		$	1,676,028		152,539		$	2,358,934
Issued in connection with the reinvestment of distributions	—			—		56,042			742,520
Redeemed	(283,079	)		(2,878,047	)	(406,749	)		(5,808,222	)
Net change	(140,377	)	$	(1,202,019	)	(198,168	)	$	(2,706,768	)
Increase (decrease) from capital share transactions	(720,230	)	$	(6,383,119	)	(999,376	)	$	(15,168,231	)

59

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

13.  Capital Shares (continued).

	Year Ended December 31, 2009					Year Ended December 31, 2008
Large Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	623,676		$	6,353,749		582,760		$	7,394,713
Issued in connection with the reinvestment of distributions	31,832			375,612		123,874			1,080,365
Redeemed	(1,427,850	)		(13,903,194	)	(2,448,049	)		(30,614,764	)
Net change	(772,342	)	$	(7,173,833	)	(1,741,415	)	$	(22,139,686	)
Class B
Issued from the sale of shares	32,413		$	261,331		25,208		$	284,969
Issued in connection with the reinvestment of distributions	614			5,027		1,311			11,144
Redeemed	(362,222	)		(3,281,480	)	(750,483	)		(8,800,532	)
Net change	(329,195	)	$	(3,015,122	)	(723,964	)	$	(8,504,419	)
Class C
Issued from the sale of shares	65,110		$	686,066		86,750		$	959,743
Issued in connection with the reinvestment of distributions	250			2,040		1,102			9,068
Redeemed	(210,113	)		(1,879,456	)	(452,490	)		(5,130,494	)
Net change	(144,753	)	$	(1,191,350	)	(364,638	)	$	(4,161,683	)
Class Y
Issued from the sale of shares	156,901		$	1,620,029		42,540		$	536,117
Issued in connection with the reinvestment of distributions	3,026			37,260		13,093			117,751
Redeemed	(231,953	)		(2,617,861	)	(175,485	)		(2,254,102	)
Net change	(72,026	)	$	(960,572	)	(119,852	)	$	(1,600,234	)
Increase (decrease) from capital share transactions	(1,318,316	)	$	(12,340,877	)	(2,949,869	)	$	(36,406,022	)
	Year Ended December 31, 2009					Year Ended December 31, 2008
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	13,418,177		$	227,959,553		7,762,440		$	149,885,313
Issued in connection with the reinvestment of distributions	17,598			385,045		5,945			120,326
Redeemed	(8,824,221	)		(161,488,021	)	(2,595,028	)		(48,898,219	)
Net change	4,611,554		$	66,856,577		5,173,357		$	101,107,420
Class B
Issued from the sale of shares	27,360		$	440,020		38,931		$	709,105
Issued in connection with the reinvestment of distributions	—			—		1,463			26,922
Redeemed	(245,583	)		(3,963,943	)	(536,777	)		(9,931,890	)
Net change	(218,223	)	$	(3,523,923	)	(496,383	)	$	(9,195,863	)
Class C
Issued from the sale of shares	1,072,330		$	17,045,402		620,823		$	11,187,345
Issued in connection with the reinvestment of distributions	—			—		1,187			21,844
Redeemed	(504,071	)		(8,535,298	)	(314,966	)		(5,628,923	)
Net change	568,259		$	8,510,104		307,044		$	5,580,266
Class Y
Issued from the sale of shares	8,388,651		$	151,130,799		5,267,072		$	105,221,767
Issued in connection with the reinvestment of distributions	36,429			795,531		257			5,216
Redeemed	(2,138,814	)		(40,431,143	)	(1,244,655	)		(25,179,827	)
Net change	6,286,266		$	111,495,187		4,022,674		$	80,047,156
Increase (decrease) from capital share transactions	11,247,856		$	183,337,945		9,006,692		$	177,538,979

60

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2009

13.  Capital Shares (continued).

	Year Ended December 31, 2009					Period Ended December 31, 2008*
Value Opportunity Fund	Shares			Amount		Shares		Amount
Class A
Issued from the sale of shares	301,420		$	3,594,480		1,707	$	15,232
Issued in connection with the reinvestment of distributions	2,267			27,711		4		41
Redeemed	(12,871	)		(155,426	)	—		—
Net change	290,816		$	3,466,765		1,711	$	15,273
Class C
Issued from the sale of shares	26,838		$	319,636		4,255	$	37,836
Issued in connection with the reinvestment of distributions	159			1,926		9		83
Redeemed	(1,428	)		(17,122	)	—		—
Net change	25,569		$	304,440		4,264	$	37,919
Class Y
Issued from the sale of shares	589,511		$	7,153,109		99,800	$	998,001
Issued in connection with the reinvestment of distributions	4,238			51,875		275		2,545
Redeemed	(3,074	)		(37,261	)	—		—
Net change	590,675		$	7,167,723		100,075	$	1,000,546
Increase (decrease) from capital share transactions	907,060		$	10,938,928		106,050	$	1,053,738

* From commencement of operations on October 31, 2008 through December 31, 2008.

	Year Ended December 31, 2009					Year Ended December 31, 2008
U.S. Diversified Portfolio	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	954,429		$	15,643,678		1,828,584		$	39,280,183
Issued in connection with the reinvestment of distributions	—			—		280,392			6,293,312
Redeemed	(2,447,076	)		(40,145,823	)	(2,839,898	)		(57,914,421	)
Net change	(1,492,647	)	$	(24,502,145	)	(730,922	)	$	(12,340,926	)
Class B
Issued from the sale of shares	46,129		$	679,074		84,290		$	1,619,357
Issued in connection with the reinvestment of distributions	—			—		90,527			1,776,753
Redeemed	(1,050,033	)		(14,851,816	)	(2,335,059	)		(44,358,057	)
Net change	(1,003,904	)	$	(14,172,742	)	(2,160,242	)	$	(40,961,947	)
Class C
Issued from the sale of shares	82,914		$	1,237,018		138,686		$	2,389,673
Issued in connection with the reinvestment of distributions	—			—		34,838			684,060
Redeemed	(307,653	)		(4,431,727	)	(433,915	)		(7,693,846	)
Net change	(224,739	)	$	(3,194,709	)	(260,391	)	$	(4,620,113	)
Class Y
Issued from the sale of shares	68,960		$	1,240,211		174,882		$	4,424,739
Issued in connection with the reinvestment of distributions	—			—		8,514			204,991
Redeemed	(174,356	)		(3,021,131	)	(442,660	)		(10,457,238	)
Net change	(105,396	)	$	(1,780,920	)	(259,264	)	$	(5,827,508	)
Increase (decrease) from capital share transactions	(2,826,686	)	$	(43,650,516	)	(3,410,819	)	$	(63,750,494	)

61

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of CGM Advisor Targeted Equity Fund, Hansberger International Fund, Natixis U.S. Diversified Portfolio, Vaughan Nelson Small Cap Value Fund, Harris Associates Large Cap Value Fund and Vaughan Nelson Value Opportunity Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, Hansberger International Fund, Natixis U.S. Diversified Portfolio and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; the Harris Associates Large Cap Value Fund and the Vaughan Nelson Value Opportunity Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2009, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 22, 2010

62

2009 U.S. TAX DISTRIBUTION INFORMATION TO SHAREHOLDERS (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2009, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Targeted Equity Fund	100.00	%
Large Cap Value Fund	100.00	%
Small Cap Value Fund	100.00	%
Value Opportunity Fund	23.66	%

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2009 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. These percentages are noted below:

Fund	Qualifying Percentage
Targeted Equity Fund	100.00	%
International Fund	100.00	%
Large Cap Value Fund	100.00	%
Small Cap Value Fund	100.00	%
Value Opportunity Fund	30.19	%

Foreign Tax Credit.  For the year ended December 31, 2009, the International Fund intends to pass through a foreign tax credit of $200,432 and has derived gross income from sources within foreign countries of $2,297,250.

63

TRUSTEE AND OFFICER INFORMATION

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Trusts’ Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES
Graham T. Allison, Jr. (1940)	Trustee Since 1984 for Natixis Funds Trust I (including its predecessors) and since 1995 for Natixis Funds Trust II Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	39 Director, Taubman Centers, Inc. (real estate investment trust)
Edward A. Benjamin (1938)	Trustee Since 2003 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Contract Review and Governance Committee	Retired	39 None
Daniel M. Cain (1945)	Trustee Since 1996 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Audit Committee	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	39 Director, Sheridan Healthcare Inc. (physician practice management)
Kenneth A. Drucker (1945)	Trustee Since 2008 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Formerly, Treasurer, Sequa Corp. (manufacturing)	39 None
Wendell J. Knox**** (1948)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	39 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)

64

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES continued
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 1982 for Natixis Funds Trust I (including its predecessors) and since 1993 for Natixis Funds Trust II Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	39 Director, Verizon Communications; Director, AES Corporation (international power company)
Erik R. Sirri***** (1958)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Professor of finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	39 None
Peter J. Smail***** (1952)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	39 None
Cynthia L. Walker (1956)	Trustee Since 2005 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	39 None
INTERESTED TRUSTEES
Robert J. Blanding1 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003 for Natixis Funds Trust I and Natixis Funds Trust II	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	39 None

65

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INTERESTED TRUSTEES continued
John T. Hailer2 (1960)	Trustee Since 2000 for Natixis Funds Trust I and Natixis Funds Trust II	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	39 None

* Each Trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72. The position of Chairperson of the Board of Trustees is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on November 20, 2009.

** Each person listed above, except as noted, holds the same position(s) with the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Gateway Trust and the Natixis Cash Management Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series. Previous positions during the past five years with Natixis Distributors, L.P. (the “Distributor”), Natixis Asset Management Advisors, L.P. (“Natixis Advisors”), or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) are omitted if not materially different from a Trustee’s or officer’s current position with such entity.

*** The Trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trusts, the Loomis Sayles Funds Trusts and Hansberger International Series (collectively, the “Fund Complex”).

**** Mr. Knox was appointed as trustee effective July 1, 2009.

***** Mr. Sirri and Mr. Smail were appointed as trustees effective December 1, 2009.

¹ Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis Sayles.

² Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.

66

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trusts	Term of Office* and Length of Time Served	Principal Occupation During Past 5 Years**
OFFICERS OF THE TRUSTS
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
David Giunta (1965)	President and Chief Executive Officer	Since March 2008	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

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

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

67

ANNUAL REPORT

December 31, 2009

ASG Diversifying Strategies Fund

AlphaSimplex Group, LLC

ASG Global Alternatives Fund

AlphaSimplex Group, LLC

TABLE OF CONTENTS

Management Discussion and  Performance page 1

Consolidated Portfolio of Investments page 9

Consolidated Financial Statements page 13

ASG DIVERSIFYING STRATEGIES FUND

PORTFOLIO PROFILE

Objective:

Pursues an absolute return strategy that seeks to provide capital appreciation while maintaining a low or negative correlation over time with the returns of major equity indices.

Strategy:

Seeks to generate positive absolute returns over time rather than track the performance of any particular index by using multiple quantitative investment models and strategies.

Inception Date:

August 3, 2009

Managers:

Andrew Lo

Jeremiah Chafkin

AlphaSimplex Group, LLC (Adviser)

Robert Rickard

Reich & Tang Asset Management, LLC (Subadviser)

Symbols:

Class A:	DSFAX
Class C:	DSFCX
Class Y:	DSFYX

What you should know:

Derivatives, primarily futures and forward contracts, generally have implied leverage (a small amount of money to make an investment of greater value). Because of this, the fund’s extensive use of derivatives may magnify any gains or losses on those investments as well as risk to the fund. The fund can invest in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, and political and economic developments.

Management Discussion

Commodity prices reached new highs and global equity markets continued to rally during the last few months of 2009. However, the last quarter was somewhat choppy for many markets as investors began to reduce holdings after six months of solid performance that began in March.

HOW DID THE FUND PERFORM DURING ITS FIRST MONTHS OF OPERATION?

From August 3, 2009 – the inception of the fund – through December 31, 2009, Class A shares of ASG Diversifying Strategies Fund provided a total return of 7.26% at net asset value, including $0.10 per share in dividends and $0.44 per share in capital gains reinvested during the period. The fund’s return was significantly ahead of the 0.12% return on 3-month LIBOR (the London Interbank Offered Rate) for the same period. The fund also outperformed the HFRI Fund of Funds Composite Index which returned 4.06% during that period. The multiple absolute return-oriented strategies the fund uses – in particular its trend-following strategy – helped it outperform HFRI Fund of Funds Composite Index. In addition, the fund’s realized correlation in daily returns with the S&P 500 Index was about 20%, which is in line with its objective of low to negative correlation with major equity markets.

HOW DID THE FUND ACHIEVE THESE RETURNS?

The fund is an actively managed, global, multi-asset class portfolio of long and short positions. We use a combination of multiple absolute return-oriented investment models, actively adjusting weights in response to market conditions. During the months since its inception, we added several models to the fund, including two currency strategies, a relative-value equity strategy, and a shorter-term trend model. The fund’s positive performance during the period was influenced most strongly by the three models, described below.

· The trend model contributed about half of the fund’s gains, and fared particularly well from August to October. It benefited from fairly broad-based equity rallies, falling short-term interest rates, and a weakening U.S. dollar throughout the summer and the fall.

· Gains in the hedge fund consensus beta model were largely driven by commodities and currencies. The commodities sector was a strong contributor during October, when crude oil and base metals rallied. Currencies performed well in September and November, as the U.S. dollar weakened. However, the fund gave up some of these gains in December as the U.S. dollar strengthened, in particular against the euro and the Japanese yen.

· Performance of the relative value fixed-income model was driven by successful trading during the month of August, although these gains were partially offset by losses in October.

The short-term portion of the portfolio contributed modestly to performance, adding 0.15% to return, slightly better than the return on 30-day LIBOR. When the fund launched in August, the Fed funds rate was close to zero, and remained in the 0.00% to 0.25% range throughout the period, providing minimal opportunities for incremental returns from cash management.

Due to the overall upward trend in global equity markets since August, the equity hedging mechanism used to manage the fund’s correlation with equity markets acted as a drag on returns during the period. However, as equity markets weakened in October, the hedging mechanism contributed more than half of that month’s gains.

WHAT DO YOU SEE AHEAD?

The outlook for the global economy remains challenging. Many emerging market economies and those with fewer headwinds from debt are rebounding more forcefully than those hit hard by the financial crisis or burdened by large fiscal deficits. The growing dispersion in performance between economies may lead to varied responses as policy makers begin to withdraw, or contemplate withdrawal, of emergency stimulus measures. As nations tend to their own needs on the monetary and fiscal fronts, this may create opportunities for relative value strategies across countries in bonds, currencies, and equities.

1

ASG DIVERSIFYING STRATEGIES FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The table comparing the fund’s performance to an index provides 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, an 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.

Total Returns — December 31, 2009⁵

	SINCE INCEPTION
CLASS A (Inception 8/3/09)
Net Asset Value1	7.26	%
With Maximum Sales Charge2	1.09
CLASS C (Inception 8/3/09)
Net Asset Value1	6.90
With CDSC3	5.90
CLASS Y (Inception 8/3/09)
Net Asset Value1	7.29
COMPARATIVE PERFORMANCE	SINCE INCEPTION4
3-Month LIBOR	0.12	%
HFRI Fund of Funds Composite Index	4.06
Morningstar Long-Short Fund Avg.	4.49

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. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. All results include reinvestment of dividends and capital gains. Class Y shares are only available to certain investors, as outlined in the prospectus.

The table does 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	12/31/09
Certificates of Deposit	49.8
Commercial Paper	23.7
Time Deposits	8.4
Bank Notes	0.7
Futures Contracts	0.1
Forward Foreign Currency Contracts	(0.3	)
Other Assets less Liabilities	17.6

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio6	Net Expense Ratio7
A	3.52%	1.74%
C	4.27%	2.49%
Y	3.19%	1.49%

NOTES TO CHARTS

See page 5 for a description of indexes.

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

⁴ The since-inception comparative performance figures shown are calculated from 8/1/09.

⁵ Fund performance has been increased by expense reductions and reimbursements, without which performance would have been lower.

⁶ Before reductions and reimbursements.

⁷ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/11.

2

ASG GLOBAL ALTERNATIVES FUND

PORTFOLIO PROFILE

Objective:

Seeks capital appreciation consistent with the return and risk characteristics of a diversified portfolio of hedge funds.

Strategy:

Seeks to achieve long and short exposure to global equity, bond, currency, and commodity markets through a wide range of derivative instruments and direct investments.

Inception Date:

September 30, 2008

Managers:

Andrew Lo

Jeremiah Chafkin

AlphaSimplex Group, LLC (Adviser)

Robert Rickard

Reich & Tang Asset Management, LLC (Subadviser)

Symbols:

Class A:	GAFAX
Class C:	GAFCX
Class Y:	GAFYX

What you should know:

Derivatives, primarily futures and forward contracts, generally have implied leverage (a small amount of money to make an investment of greater value). Because of this, the fund’s extensive use of derivatives may magnify any gains or losses on those investments as well as risk to the fund. The fund can invest in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, and political and economic developments.

Management Discussion

After bottoming in the first quarter of 2009, commodities and equities staged strong rallies through year end. Hedge funds involved in trading distressed assets, fixed-income spread products, credit and emerging markets, and equities were the clear winners in 2009 over traditional macro and systematic funds.

HOW DID THE FUND PERFORM?

For the year ended December 31, 2009, Class A shares of ASG Global Alternatives Fund provided a total return of 8.95% at net asset value, including $0.12 per share in dividends and $0.05 per share in capital gains reinvested during the period. The fund lagged its benchmark, HFRI Fund of Funds Composite Index, which returned 11.15% for the same period. This difference is consistent with expectations given the fund’s active risk controls and emphasis on highly liquid assets. In particular, limits on risk-taking constrained the fund’s gains relative to the index, and the rebounding prices of illiquid assets benefited the index.

WHAT WAS BEHIND THE FUND’S PERFORMANCE?

More than half of the fund’s returns were due to long exposures in base metals, energy, and gold. Copper was the most significant contributor, followed by zinc and crude oil. The remarkable rise in global stock indices was the second-most important driver of performance. The fund maintained a long equity exposure throughout the year, and after hitting their low in March, global stock markets rose progressively higher. The fund’s long exposures to 90-day Eurodollar futures also made a modest profit as short-term rates fell in 2009.

The short-term portion of the portfolio contributed 0.67% to the fund’s return, slightly better than 30-day LIBOR. The Fed funds rate languished between 0.00% and 0.25% throughout the second half of the year.

The fund maintained a short U.S. dollar posture throughout the year. As a result, it made money from foreign exchange in the middle of the year and lost money at the beginning and end of the year. Overall, these exposures netted a small loss by December 31, 2009. In the fixed-income area, the price of highly rated sovereign debt generally fell, and the fund’s long exposures to sovereign debt resulted in a modest loss as investors returned to risky assets in 2009.

HOW DID YOU ADJUST THE PORTFOLIO TO CHANGES IN THE MARKETS?

We adjusted the fund’s market exposures on a daily basis in response to changes in market volatility estimates, which allowed fund volatility to stay closer to its 8% target. Market volatility was high at the start of 2009, so the risk controls dictated lower market exposures for the fund. As the year went on, volatility declined, so we increased the fund’s market exposures.

The portfolio began 2009 with very small exposures to stocks and commodities, but increased its allocation to these asset classes each quarter as market volatility declined. By year end, these exposures had more than quadrupled.

WHAT IS YOUR OUTLOOK?

The outlook for the global economy remains challenging. Many emerging market economies and those with fewer headwinds from debt are rebounding more forcefully than those hit hard by the financial crisis or burdened by large fiscal deficits. The growing dispersion in performance among world economies may lead to varied responses by country as policy makers begin to withdraw, or contemplate withdrawal, of emergency stimulus measures.

In the coming year, we believe performance will most likely be affected by the pace of economic recovery or relapse in 2010, as well as by other developments, such as the rise or fall of the U.S. dollar and China’s continuing appetite for commodities.

3

ASG GLOBAL ALTERNATIVES FUND

Investment Results through December 31, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide 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, an 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 Shares⁵

Average Annual Returns — December 31, 2009⁵

	1 YEAR		SINCE INCEPTION
CLASS A (Inception 9/30/08)
Net Asset Value1	8.95	%	4.74	%
With Maximum Sales Charge2	2.70		-0.09
CLASS C (Inception 9/30/08)
Net Asset Value1	8.09		3.95
With CDSC3	7.09		3.95
CLASS Y (Inception 9/30/08)
Net Asset Value1	9.10		4.97
COMPARATIVE PERFORMANCE	1 YEAR		SINCE INCEPTION4
HFRI Fund of Funds Composite Index	11.15	%	-0.02	%
Morningstar Long-Short Fund Avg.	10.46		1.52

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. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. All results include reinvestment of dividends and capital gains. Class Y shares are only available to certain investors, as outlined in the prospectus.

The table does 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	12/31/09		12/31/08
Certificates of Deposit	57.8		51.6
Commercial Paper	17.8		36.7
Time Deposits	10.5		7.3
Bank Notes	2.5		—
Medium Term Notes	0.4		—
Futures Contracts	0.6		0.5
Forward Foreign Currency Contracts	(0.7	)	—
Other Assets less Liabilities	11.1		3.9

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio6	Net Expense Ratio7
A	5.11%	1.64%
C	5.86	2.39
Y	2.57	1.39

NOTES TO CHARTS

See page 5 for a description of indexes.

¹ Does not include a sales charge.

² Includes the maximum sales charge of 5.75%.

³ Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

⁴ The since-inception comparative performance figures shown are calculated from 10/1/08.

⁵ Fund performance has been increased by expense reductions and reimbursements, without which performance would have been lower.

⁶ Before reductions and reimbursements.

⁷ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 4/30/10.

4

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 Natixis Fund, contact your financial professional or call Natixis 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

3-month LIBOR, or the London Interbank Offered Rate, represents the average rate a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

HFRI Fund of Funds Composite Index is an unmanaged, equally-weighted hedge fund index including over 800 domestic and offshore funds of funds. Funds included within the index have either at least $50 million in assets under management or have been actively trading for at least twelve (12) months. Performance information is submitted by the funds of funds to the index provider, which does not audit the information submitted. The index is rebalanced monthly. Performance data is net of all fees charged by the hedge funds. Index returns are calculated three times each month and are subject to periodic recalculation by Hedge Fund Research, Inc. The funds do not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the HFRI Index returns reported by the funds may differ from the index returns for the same period published by others.

Morningstar Long-Short 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 funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at www.funds.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the ASG Global Alternatives Fund voted proxies during the 12-month period ended June 30, 2009 is available on 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

5

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions 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 July 1, 2009 through December 31, 2009. 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 funds 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 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.

ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 7/1/20091	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD 7/1/20091 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,072.60	$7.28	1
Hypothetical (5% return before expenses)	$1,000.00	$1,016.59	$8.69	*
CLASS C
Actual	$1,000.00	$1,069.00	$10.50	1
Hypothetical (5% return before expenses)	$1,000.00	$1,012.75	$12.53	*
CLASS Y
Actual	$1,000.00	$1,072.90	$6.26	1
Hypothetical (5% return before expenses)	$1,000.00	$1,017.80	$7.48	*

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Consolidated Financial Statements): 1.71%, 2.47% and 1.47% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

¹ Fund commenced operations on August 3, 2009. Actual expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Consolidated Financial Statements): 1.71%, 2.47% and 1.47% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (150), divided by 365 (to reflect the partial period).

ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2009	ENDING ACCOUNT VALUE 12/31/2009	EXPENSES PAID DURING PERIOD* 7/1/2009 – 12/31/2009
CLASS A
Actual	$1,000.00	$1,057.80	$8.35
Hypothetical (5% return before expenses)	$1,000.00	$1,017.09	$8.19
CLASS C
Actual	$1,000.00	$1,052.60	$12.16
Hypothetical (5% return before expenses)	$1,000.00	$1,013.36	$11.93
CLASS Y
Actual	$1,000.00	$1,059.30	$7.06
Hypothetical (5% return before expenses)	$1,000.00	$1,018.35	$6.92

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Consolidated Financial Statements): 1.61%, 2.35% and 1.36% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

6

BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR

ASG DIVERSIFYING STRATEGIES FUND

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the ASG Diversifying Strategies Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (collectively, the “Agreements”) for the Fund at an in-person meeting held on June 4, 2009. Prior to their approval of the Agreements, the Trustees had participated in a number of meetings and conference calls during which the proposed strategies to be used in managing the Fund, the risks of those strategies, and the experience of the Fund’s adviser, AlphaSimplex Group, LLC (“ASG”), in implementing these strategies were discussed.

In connection with this review, Fund management and other representatives of ASG and the Fund’s subadviser, Reich & Tang Asset Management, LLC (together with ASG, the “Advisers”), distributed to the Trustees materials including, among other items, (i) information on the proposed advisory and sub-advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups of funds and information about the proposed expense cap, (ii) the Fund’s investment objective and strategies, (iii) the size, education and experience of the Advisers’ investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares, (v) the procedures proposed to be employed to determine the value of the Fund’s assets, (vi) the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about the Advisers’ performance, and (viii) the general economic outlook with particular emphasis on the mutual fund industry. The Trustees also considered the fact that they oversee other funds advised or sub-advised by the Advisers as well as information about the Advisers they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Advisers.

In considering whether to initially approve the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included the following:

The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their respective affiliates to the Fund, and the resources to be dedicated to the Fund by the Advisers and their respective affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Advisers, as well as the fact that both Advisers are affiliates of Natixis Global Asset Management, L.P. (“Natixis US”). In this regard, the Trustees considered not only the advisory services proposed to be provided by the Advisers to the Fund, but also the monitoring and oversight services proposed to be provided to the Fund, as well as the administrative services proposed to be provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Fund.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the scope of the services to be provided to the Fund under the Agreements seemed consistent with the Fund’s operational requirements, and that the Advisers had the capabilities, resources and personnel necessary to provide the advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreements supported approval of the Agreements.

Investment performance of the Fund and the Advisers. Because the Fund had not yet commenced operations, performance information for the Fund was not considered, although the Board considered the performance of other funds and accounts managed by the Advisers. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the Advisers’ performance record was sufficient to support approval of the Agreements.

The costs of the services to be provided by the Advisers and their affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Fund’s share classes with the fees and expenses of comparable share classes of comparable funds identified by the Advisers. In evaluating the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing

7

BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR

ASG DIVERSIFYING STRATEGIES FUND

mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets. In evaluating the Fund’s proposed advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Advisers’ affiliates.

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue and the estimated expense level of the Fund.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory fees proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreements.

Economies of scale. The Trustees considered the extent to which the Advisers may realize economies of scale or other efficiencies in managing the Fund, and whether those economies could be shared with the Fund through breakpoints in the advisory fees or other means. The Trustees noted that the Fund was subject to an expense cap. After reviewing these and related factors, the Trustees considered, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.

The Trustees also considered other factors, including but not limited to the compliance-related resources the Advisers and their respective affiliates would provide to the Fund and the potential so-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Fund, the benefits to Natixis US, Natixis Advisors and ASG of being able to offer “alternative” products in the Natixis family of funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company would benefit from the retention of affiliated advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreements should be approved.

8

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Principal Amount		Description	Value (†)
	Certificates of Deposit — 49.8% of Net Assets
$	500,000	Bank of Montreal, 0.180%, 1/08/2010	$	500,002
	150,000	Lloyds TSB Bank PLC, 0.220%, 1/11/2010		150,001
	350,000	Canadian Imperial Bank of Commerce, 0.140%, 1/21/2010		350,000
	450,000	Lloyds TSB Bank PLC, 0.250%, 1/22/2010		450,008
	150,000	Dexia Credit Local SA NY, 0.350%, 1/25/2010		150,014
	450,000	Svenska Handelsbanken NY, 0.420%, 1/29/2010(b)		450,073
	400,000	CALYON North America, Inc., 0.650%, 2/01/2010(b)		400,160
	200,000	Bayerische Hypo-Und Vereinsbank, 0.270%, 2/08/2010		200,006
	150,000	Societe Generale, 0.240%, 2/10/2010		150,002
	900,000	Skandinaviska Enskilda Banken NY, 0.350%, 2/12/2010		900,111
	300,000	Standard Chartered PLC, 0.280%, 2/17/2010		300,016
	450,000	Dexia Credit Local SA NY, 0.380%, 2/19/2010(b)		450,087
	650,000	Bayerische Hypo-Und Vereinsbank, 0.250%, 2/22/2010		650,010
	900,000	Credit Industriel et Commercial, 0.250%, 2/26/2010		899,986
	150,000	Banco Bilbao de Vizcaya, 0.275%, 2/26/2010		150,008
	300,000	Svenska Handelsbanken NY, 0.200%, 3/01/2010		299,965
	350,000	Rabobank Nederland, 0.190%, 3/02/2010		349,976
	200,000	Nordea Bank, 0.200%, 3/02/2010		199,976
	400,000	Banco Bilbao de Vizcaya, 0.275%, 3/02/2010(b)		400,003
	500,000	Canadian Imperial Bank of Commerce, 0.230%, 3/04/2010(b)		499,965
	900,000	Kredietbank, 0.255%, 3/10/2010		899,974
	900,000	Landesbank Hessen Thueringen Girozentrale, 0.300%, 3/11/2010		900,052
	200,000	Societe Generale, 0.220%, 3/15/2010		199,984
	50,000	Banco Bilbao de Vizcaya, 0.905%, 3/19/2010		50,069
	300,000	Standard Chartered PLC, 0.450%, 5/13/2010		300,110
	600,000	Westpac Bank, 0.250%, 5/24/2010		600,072
	400,000	Bank of Nova Scotia, 0.905%, 6/28/2010		401,219
		Total Certificates of Deposit (Identified Cost $11,251,124)		11,251,849

Principal Amount		Description	Value (†)
	Commercial Paper — 23.7%
		Banking — 15.7%
$	350,000	CALYON North America, Inc., 0.160%, 1/04/2010(c)	$	349,995
	400,000	Rabobank USA Financial Corp., 0.370%, 1/14/2010(c)		399,984
	450,000	Commonwealth Bank of Australia, 0.200%, 1/28/2010(b)(c)		449,965
	450,000	Societe Generale North America, 0.250%, 2/02/2010(b)(c)		449,921
	300,000	Lloyds TSB Bank PLC, 0.200%, 3/19/2010(c)		299,849
	450,000	Nordea North America, Inc., 0.270%, 3/23/2010(b)(c)		449,790
	400,000	Commonwealth Bank of Australia, 0.220%, 4/12/2010(c)		399,807
	450,000	Bank of America Corp., 0.310%, 5/19/2010(c)		449,493
	300,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 6/24/2010(c)		299,166
				3,547,970
		Distribution/Wholesale — 3.1%
	200,000	Louis Dreyfus Corp., (Credit Support: Barclays Bank), 0.350%, 1/21/2010(c)		199,961
	500,000	Louis Dreyfus Corp., (Credit Support: Barclays Bank), 0.410%, 1/21/2010(b)(c)		499,957
				699,918
		Education — 4.9%
	500,000	Johns Hopkins University (The), Series C, 0.200%, 1/12/2010(b)		500,000
	450,000	Tennessee State School Bond Authority, 0.300%, 1/13/2010		450,000
	150,000	Tennessee State School Bond Authority, 0.250%, 2/17/2010		150,000
				1,100,000
		Total Commercial Paper (Identified Cost $5,347,641)		5,347,888
	Time Deposits — 8.4%
	950,000	Citibank, 0.050%, 1/04/2010		950,000
	950,000	National Bank of Canada, 0.060%, 1/04/2010		950,000
		Total Time Deposits (Identified Cost $1,900,000)		1,900,000
	Bank Notes — 0.7%
	150,000	Bank of America, 0.240%, 3/17/2010 (Identified Cost $150,000)		150,015
		Total Investments — 82.6%
		(Identified Cost $18,648,765)(a)		18,649,752
		Other assets less liabilities — 17.4%		3,917,076
		Net Assets — 100.0%	$	22,566,828

See accompanying notes to consolidated financial statements.

9

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on short term investments based on a cost of $18,648,765 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,233
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(246	)
	Net unrealized appreciation	$	987

	Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.
(b)	All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.
(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.

At December 31, 2009, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell(1)	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Buy	3/17/2010	Australian Dollar	1,200,000	$	1,070,001	$	(17,878	)
Sell	3/17/2010	Australian Dollar	700,000		624,167		5,547
Buy	3/17/2010	British Pound	750,000		1,210,865		(7,246	)
Sell	3/17/2010	British Pound	437,500		706,338		4,320
Buy	3/17/2010	Canadian Dollar	1,200,000		1,147,377		8,954
Buy	3/17/2010	Canadian Dollar	200,000		191,229		(529	)
Sell	3/17/2010	Canadian Dollar	500,000		478,074		(4,309	)
Buy	3/17/2010	Euro	2,125,000		3,045,954		(75,450	)
Sell	3/17/2010	Euro	1,375,000		1,970,911		29,121
Buy	3/17/2010	Japanese Yen	50,000,000		537,050		(30,014	)
Sell	3/17/2010	Japanese Yen	50,000,000		537,050		19,917
Buy	3/17/2010	New Zealand Dollar	400,000		288,969		(179	)
Buy	3/17/2010	New Zealand Dollar	800,000		577,938		6,666
Sell	3/17/2010	New Zealand Dollar	1,000,000		722,422		(10,947	)
Buy	3/17/2010	Norwegian Krone	2,000,000		344,310		647
Buy	3/17/2010	Norwegian Krone	2,000,000		344,310		(1,559	)
Sell	3/17/2010	Norwegian Krone	2,000,000		344,310		(1,208	)
Buy	3/17/2010	Swedish Krona	2,000,000		279,646		(2,494	)
Sell	3/17/2010	Swedish Krona	2,000,000		279,646		(584	)
Sell	3/17/2010	Swiss Franc	375,000		362,675		1,360
Sell	3/17/2010	Swiss Franc	250,000		241,783		(2,696	)
Total						$	(78,561	)

⁽¹⁾ Counterparty is UBS.

At December 31, 2009, open futures contracts purchased were as follows:

Financial Futures	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
EURIBOR	6/14/2010	8	$	2,834,845	$	717
Euro Dollar	6/14/2010	58		14,401,400		(7,250	)
German Euro BOBL	3/8/2010	1		165,804		(1,219	)
S&P TSE 60	3/18/2010	3		396,309		7,772
Sterling	6/16/2010	9		1,798,930		(182	)
UK Long Gilt	3/29/2010	7		1,294,018		(14,472	)
5 Year U.S. Treasury Note	3/31/2010	1		114,383		(180	)
10 Year Australia Government Bond	3/15/2010	7		640,126		2,386
10 Year Canada Government Bond	3/22/2010	2		225,348		(899	)
10 Year U.S. Treasury Note	3/22/2010	14		1,616,344		(31,672	)
Total					$	(44,999	)

Open futures contracts purchased (continued):

Commodity Futures(2)	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	3/17/2010	3	$	166,950	$	(3,881	)
Brent Crude Oil	1/14/2010	3		233,790		15,810
Copper	3/17/2010	2		368,600		24,500
Corn	3/12/2010	1		20,725		363
Cotton	3/9/2010	1		37,800		940
Gas Oil	1/12/2010	1		63,550		1,600
Gold	2/24/2010	3		328,860		(19,120	)
Heating Oil	1/29/2010	1		88,855		8,009
Light Sweet Crude Oil	1/20/2010	3		238,080		20,100
Natural Gas	1/27/2010	2		111,440		(2,760	)
Nickel	3/17/2010	3		333,306		15,972
Soybean Meal	3/12/2010	1		30,610		360
Soybean Oil	3/12/2010	1		24,468		1,230
Zinc	3/17/2010	8		511,400		47,250
Total					$	110,373

At December 31, 2009, open futures contracts sold were as follows:

Financial Futures	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200	3/18/2010	1	$	109,564	$	(898	)
Dax	3/19/2010	1		213,581		(3,279	)
FTSE 100	3/19/2010	6		519,594		(3,222	)
S&P 500 E Mini	3/19/2010	7		388,745		(683	)
TOPIX	3/12/2010	4		388,468		(5,154	)
10 Year Japan Government Bond	3/11/2010	4		5,999,893		7,516
Total					$	(5,720	)
Commodity Futures(2)	Expiration Date	Contracts	Notional Value		Unrealized Depreciation
Nickel	3/17/2010	2	$	222,204	$	(13,740	)
Zinc	3/17/2010	4		255,700		(22,175	)
Total					$	(35,915	)

⁽²⁾ Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.

Industry Summary at December 31, 2009 (Unaudited)

Banking (including Certificates of Deposit, Time Deposits and Bank Notes)	74.6	%
Education	4.9
Distribution/Wholesale	3.1
Total Investments	82.6
Other assets less liabilities (including open forward foreign currency and futures contracts)	17.4
Net Assets	100.0	%

See accompanying notes to consolidated financial statements.

10

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS

Investments as of December 31, 2009

Principal Amount		Description	Value (†)
	Certificates of Deposit — 57.8% of Net Assets
$	1,600,000	Societe Generale, 0.260%, 1/06/2010	$	1,600,011
	6,700,000	Bank of Montreal, 0.180%, 1/08/2010		6,700,026
	1,000,000	Lloyds TSB Bank PLC, 0.220%, 1/11/2010		1,000,006
	400,000	Rabobank Nederland, 0.490%, 1/15/2010		400,058
	2,500,000	Nordea Bank, 0.210%, 1/19/2010		2,499,988
	3,100,000	Svenska Handelsbanken NY, 0.210%, 1/19/2010		3,099,985
	1,000,000	Rabobank Nederland, 0.220%, 1/19/2010		1,000,026
	600,000	Rabobank Nederland, 0.270%, 1/19/2010		600,032
	8,000,000	Canadian Imperial Bank of Commerce, 0.140%, 1/21/2010		8,000,000
	1,600,000	Banco Bilbao de Vizcaya, 0.315%, 1/21/2010		1,600,088
	600,000	Lloyds TSB Bank PLC, 0.250%, 1/22/2010		600,011
	1,100,000	Royal Bank of Scotland, 0.470%, 1/22/2010		1,100,168
	2,400,000	Dexia Credit Local SA NY, 0.350%, 1/25/2010		2,400,216
	2,100,000	Lloyds TSB Bank PLC, 0.640%, 1/27/2010		2,100,662
	1,900,000	Svenska Handelsbanken NY, 0.420%, 1/29/2010		1,900,306
	2,800,000	CALYON North America, Inc., 0.650%, 2/01/2010(b)		2,801,117
	1,000,000	Canadian Imperial Bank of Commerce, 0.250%, 2/02/2010		1,000,009
	4,700,000	Bayerische Hypo-Und Vereinsbank, 0.270%, 2/08/2010		4,700,150
	1,000,000	Societe Generale, 0.240%, 2/10/2010		1,000,011
	8,800,000	Skandinaviska Enskilda Banken NY, 0.350%, 2/12/2010		8,801,112
	6,800,000	Standard Chartered PLC, 0.280%, 2/17/2010		6,800,360
	4,200,000	Dexia Credit Local SA NY, 0.380%, 2/19/2010		4,200,815
	4,400,000	Landesbank Hessen Thueringen Girozentrale, 0.410%, 2/19/2010		4,401,038
	4,400,000	Bayerische Hypo-Und Vereinsbank, 0.250%, 2/22/2010		4,400,066
	8,400,000	Credit Industriel et Commercial, 0.250%, 2/26/2010		8,399,909
	700,000	Banco Bilbao de Vizcaya, 0.275%, 2/26/2010		700,039
	2,100,000	Svenska Handelsbanken NY, 0.200%, 3/01/2010		2,099,754
	3,000,000	Rabobank Nederland, 0.190%, 3/02/2010		2,999,796
	1,900,000	Nordea Bank, 0.200%, 3/02/2010		1,899,774
	1,000,000	Svenska Handelsbanken NY, 0.250%, 3/02/2010		999,966

Principal Amount		Description	Value (†)
	Certificates of Deposit — continued
$	1,600,000	Banco Bilbao de Vizcaya, 0.275%, 3/02/2010(b)	$	1,600,013
	2,000,000	Bank of Nova Scotia, 0.330%, 3/02/2010(b)		2,000,406
	9,000,000	Kredietbank, 0.255%, 3/10/2010		8,999,739
	2,200,000	Rabobank Nederland, 0.200%, 3/11/2010		2,199,872
	4,500,000	Landesbank Hessen Thueringen Girozentrale, 0.300%, 3/11/2010		4,500,261
	1,500,000	Societe Generale, 0.220%, 3/15/2010		1,499,877
	4,525,000	Banco Bilbao de Vizcaya, 0.905%, 3/19/2010		4,531,208
	400,000	Nordea Bank, 0.420%, 3/22/2010		400,134
	900,000	CALYON North America, Inc., 0.350%, 4/15/2010		900,157
	2,000,000	Bank of Nova Scotia, 1.100%, 5/11/2010		2,006,242
	7,000,000	Westpac Bank, 0.250%, 5/24/2010		7,000,840
		Total Certificates of Deposit (Identified Cost $125,439,376)		125,444,248
	Commercial Paper — 17.8%
		Banking — 12.1%
	550,000	CALYON North America, Inc., 0.160%, 1/04/2010(c)		549,993
	1,500,000	Commonwealth Bank of Australia, 0.200%, 1/28/2010(c)		1,499,883
	2,200,000	Commonwealth Bank of Australia, 0.240%, 2/02/2010(c)		2,199,787
	2,400,000	Societe Generale North America, 0.250%, 2/02/2010(b)(c)		2,399,578
	1,500,000	Societe Generale North America, 0.250%, 2/10/2010(c)		1,499,664
	1,000,000	Rabobank USA Financial Co., 0.250%, 3/10/2010(c)		999,713
	400,000	Bank of Nova Scotia, 0.310%, 3/10/2010(c)		399,885
	500,000	Bank of Nova Scotia, 0.330%, 3/11/2010(b)(c)		499,854
	5,000,000	Lloyds TSB Bank PLC, 0.200%, 3/19/2010(c)		4,997,485
	3,100,000	Nordea North America, Inc., 0.270%, 3/23/2010(b)(c)		3,098,552
	4,200,000	Commonwealth Bank of Australia, 0.220%, 4/12/2010(c)		4,197,976
	1,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.880%, 4/14/2010(b)(c)		998,634
	500,000	Bank of America Corp., 0.310%, 5/19/2010(c)		499,436
	2,300,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 6/24/2010(b)(c)		2,293,604
				26,134,044
		Distribution/Wholesale — 2.5%
	5,400,000	Louis Dreyfus Corp., (Credit Support: Barclays Bank), 0.410%, 1/21/2010(b)(c)		5,399,530

See accompanying notes to consolidated financial statements.

11

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

Investments as of December 31, 2009

Principal Amount		Description	Value (†)
		Education — 3.2%
$	3,500,000	Tennessee State School Bond Authority, 0.300%, 1/13/2010(b)	$	3,500,000
	3,500,000	Tennessee State School Bond Authority, 0.250%, 2/17/2010		3,500,000
				7,000,000
		Total Commercial Paper (Identified Cost $38,530,255)		38,533,574
	Time Deposits — 10.5%
	4,800,000	BNP Paribas, 0.020%, 1/04/2010		4,800,000
	9,000,000	Citibank, 0.050%, 1/04/2010		9,000,000
	9,000,000	National Bank of Canada, 0.060%, 1/04/2010		9,000,000
		Total Time Deposits (Identified Cost $22,800,000)		22,800,000
	Bank Notes — 2.5%
	5,500,000	Bank of America, 0.240%, 3/17/2010(b) (Identified Cost $5,500,000)		5,500,534
	Medium Term Notes — 0.4%
		Cosmetics & Personal Care — 0.4%
	900,000	Procter & Gamble International Funding, 0.285%, 5/07/2010(b)(d) (Identified Cost $900,000)		899,592
		Total Investments — 89.0%
		(Identified Cost $193,169,631)(a)		193,177,948
		Other assets less liabilities — 11.0%		23,940,564
		Net Assets — 100.0%	$	217,118,512
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information: At December 31, 2009, the net unrealized appreciation on short term investments based on a cost of $193,169,631 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	$	11,098
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,781	)
		Net unrealized appreciation	$	8,317
		Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.
	(b)	All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.
	(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(d)	Floating rate note. Rate shown is as of December 31, 2009.

At December 31, 2009, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell(1)	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Buy	3/17/2010	British Pound	375, 000	$	605,433	$	1,505
Buy	3/17/2010	British Pound	4,250,000		6,861,571		(41,058	)
Buy	3/17/2010	Canadian Dollar	9,600,000		9,179,013		79,770
Buy	3/17/2010	Euro	1,000,000		1,433,390		3,567
Buy	3/17/2010	Euro	20,500,000		29,384,494		(720,645	)
Buy	3/17/2010	Japanese Yen	1,312,500,000		14,097,566		(735,942	)

Contract to Buy/Sell(1)	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Sell	3/17/2010	Japanese Yen	25,000,000	$	268,525	$	10,317
Buy	3/17/2010	Swedish Krona	20,000,000		2,796,456		(16,424	)
Buy	3/17/2010	Swiss Franc	4,375,000		4,231,208		(25,557	)
Buy	3/17/2010	Swiss Franc	375,000		362,675		432
Total						$	(1,444,035	)

⁽¹⁾ Counterparty is UBS.

At December 31, 2009, open futures contracts purchased were as follows:

Financial Futures	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Dax	3/19/2010	44	$	9,397,565	$	127,443
Euro Dollar	6/14/2010	1,297		322,045,100		(166,313	)
FTSE 100	3/19/2010	110		9,525,890		195,011
S&P 500 E Mini	3/19/2010	174		9,663,090		145,568
TOPIX	3/12/2010	96		9,323,240		118,269
UK Long Gilt	3/29/2010	85		15,713,079		(418,256	)
10 Year Japan Government Bond	3/11/2010	9		13,499,758		(5,369	)
10 Year U.S. Treasury Note	3/22/2010	193		22,282,453		(614,859	)
Total					$	(618,506	)
Commodity Futures(2)	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil	1/14/2010	49	$	3,818,570	$	250,600
Copper	3/17/2010	52		9,583,600		643,475
Gas Oil	1/12/2010	24		1,525,200		38,400
Gold	2/24/2010	80		8,769,600		(484,550	)
Heating Oil	1/29/2010	26		2,310,235		208,244
Light Sweet Crude Oil	1/20/2010	64		5,079,040		428,800
Natural Gas	1/27/2010	49		2,730,280		(67,620	)
Nickel	3/17/2010	17		1,888,734		196,758
Zinc	3/17/2010	119		7,607,075		706,388
Total					$	1,920,495
At December 31, 2009, open futures contracts sold were as follows:
Financial Futures	Expiration Date	Contracts	Notional Value		Unrealized Appreciation
German Euro Bund	3/8/2010	5	$	868,660	$	9,175
Commodity Futures(2)	Expiration Date	Contracts	Notional Value		Unrealized Depreciation
Aluminum	3/17/2010	8	$	445,200	$	(1,400	)

⁽²⁾ Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements.

Industry Summary at December 31, 2009 (Unaudited)

Banking (including Certificates of Deposit, Time Deposits and Bank Notes)	82.9	%
Education	3.2
Distribution/Wholesale	2.5
Cosmetics & Personal Care	0.4
Total Investments	89.0
Other assets less liabilities (including open forward foreign currency and futures contracts)	11.0
Net Assets	100.0	%

See accompanying notes to consolidated financial statements.

12

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2009

	Diversifying Strategies Fund			Global Alternatives Fund
ASSETS
Investments at cost	$	18,648,765		$	193,169,631
Net unrealized appreciation		987			8,317
Investments at value		18,649,752			193,177,948
Cash		1,586,300			9,401,443
Due from brokers (including variation margin on futures contracts) (Note 2)		799,766			12,736,590
Foreign currency due from broker at value		52,462			—
Receivable for Fund shares sold		1,666,250			3,611,697
Receivable from investment advisor (Note 6)		52,157			7,425
Interest receivable		7,779			100,444
Unrealized appreciation on forward foreign currency contracts (Note 2)		76,532			95,591
Unrealized appreciation on futures contracts (Note 2)		154,525			3,068,131
TOTAL ASSETS		23,045,523			222,199,269
LIABILITIES
Payable for Fund shares redeemed		6,323			338,396
Unrealized depreciation on forward foreign currency contracts (Note 2)		155,093			1,539,626
Unrealized depreciation on futures contracts (Note 2)		130,786			1,758,367
Foreign currency due to broker at value		—			71,049
Dividends payable		64,944			1,060,666
Management fees payable (Note 6)		21,879			194,230
Deferred Trustees’ fees (Note 6)		3,029			10,145
Administrative fees payable (Note 6)		24,757			18,058
Other accounts payable and accrued expenses		71,884			90,220
TOTAL LIABILITIES		478,695			5,080,757
NET ASSETS	$	22,566,828		$	217,118,512
NET ASSETS CONSIST OF:
Paid-in capital	$	22,888,385		$	216,257,269
Accumulated net investment (loss)		(3,733	)		(9,843	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(263,870	)		994,445
Net unrealized depreciation on investments, futures contracts and foreign currency translations		(53,954	)		(123,359	)
NET ASSETS	$	22,566,828		$	217,118,512
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	2,887,001		$	82,160,061
Shares of beneficial interest		283,351			7,907,532
Net asset value and redemption price per share	$	10.19		$	10.39
Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.81		$	11.02
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	130,982		$	22,367,324
Shares of beneficial interest		12,895			2,164,305
Net asset value and offering price per share	$	10.16		$	10.33
Class Y shares:
Net assets	$	19,548,845		$	112,591,127
Shares of beneficial interest		1,918,323			10,813,384
Net asset value, offering and redemption price per share	$	10.19		$	10.41

See accompanying notes to consolidated financial statements.

13

CONSOLIDATED STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2009

	Diversifying Strategies Fund (a)			Global Alternatives Fund
INVESTMENT INCOME
Interest	$	15,418		$	262,940
Expenses
Management fees (Note 6)		78,931			759,800
Service fees - Class A (Note 6)		833			46,472
Service and distribution fees - Class C (Note 6)		112			39,684
Trustees’ and directors’ fees and expenses (Note 6)		9,776			25,388
Administrative fees (Note 6)		96,412			203,545
Custodian fees and expenses		17,302			41,714
Transfer agent fees and expenses (Notes 6 and 7)		915			38,700
Audit and tax services fees		68,994			70,539
Legal fees		27,263			1,140
Shareholder reporting expenses		501			33,833
Registration fees		5,264			54,207
Interest expense (Note 9)		1,101			6,185
Miscellaneous expenses		14,609			9,158
Total expenses		322,013			1,330,365
Less fee reduction and/or expense reimbursement (Note 6)		(228,406	)		(346,082	)
Net expenses		93,607			984,283
Net investment loss		(78,189	)		(721,343	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		131			1,035
Futures contracts		562,216			5,424,762
Foreign currency transactions		374,482			418,985
Net change in unrealized appreciation (depreciation) on:
Investments		987			(10,689	)
Futures contracts		23,740			1,197,434
Foreign currency translations		(78,681	)		(1,447,363	)
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		882,875			5,584,164
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	804,686		$	4,862,821

(a) From commencement of operations on August 3, 2009 through December 31, 2009.

See accompanying notes to consolidated financial statements.

14

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

	Diversifying Strategies Fund			Global Alternatives Fund
	Period Ended December 31, 2009 (a)			Year Ended December 31, 2009			Period Ended December 31, 2008 (b)
FROM OPERATIONS:
Net investment income (loss)	$	(78,189	)	$	(721,343	)	$	97,490
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		936,829			5,844,782			(894,213	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(53,954	)		(260,618	)		137,259
Net increase (decrease) in net assets resulting from operations		804,686			4,862,821			(659,464	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(24,740	)		(851,729	)		(21	)
Class C		(1,059	)		(205,899	)		(1	)
Class Y		(173,245	)		(1,254,138	)		(99,492	)
Net realized capital gain
Class A		(118,746	)		(363,497	)		—
Class C		(5,435	)		(99,464	)		—
Class Y		(804,546	)		(496,990	)		—
Total distributions		(1,127,771	)		(3,271,717	)		(99,514	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		22,889,913			190,998,420			25,287,966
Net increase in net assets		22,566,828			192,589,524			24,528,988
NET ASSETS
Beginning of the year		—			24,528,988			—
End of the year	$	22,566,828		$	217,118,512		$	24,528,988
ACCUMULATED NET INVESTMENT (LOSS)/UNDISTRIBUTED NET INVESTMENT INCOME	$	(3,733	)	$	(9,843	)	$	26,075

(a) From commencement of operations on August 3, 2009 through December 31, 2009.

(b) From commencement of operations on September 30, 2008 through December 31, 2008.

See accompanying notes to consolidated financial statements.

15

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16

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
ASG DIVERSIFYING STRATEGIES FUND
Class A
12/31/2009(g)	$	10.00	$	(0.07	)	$	0.80		$	0.73		$	(0.10	)	$	(0.44	)	$	(0.54	)
Class C
12/31/2009(g)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
12/31/2009(g)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)
ASG GLOBAL ALTERNATIVES FUND
Class A
12/31/2009	$	9.69	$	(0.14	)	$	1.01		$	0.87		$	(0.12	)	$	(0.05	)	$	(0.17	)
12/31/2008(h)		10.00		0.03			(0.30	)		(0.27	)		(0.04	)		—			(0.04	)
Class C
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
12/31/2008(h)		10.00		0.02			(0.31	)		(0.29	)		(0.01	)		—			(0.01	)
Class Y*
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)
12/31/2008(h)		10.00		0.04			(0.30	)		(0.26	)		(0.04	)		—			(0.04	)

* Prior to December 1, 2008, the Fund offered Institutional Class shares. On December 1, 2008, Institutional Class shares were redesignated as Class Y shares.

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

(b) A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

(c) Had certain expenses not been reduced during the period total returns would have been lower.

(d) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction expenses would have been higher.

See accompanying notes to consolidated financial statements.

17

						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)		Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%) (d)(e)	Gross expenses, excluding interest expense (%) (e)	Net expenses, including interest expense (%) (d)(e)	Gross expenses, including interest expense (%) (e)	Net investment income (loss) (%) (e)		Portfolio turnover rate (%) (f)
$	10.19	7.26		$	2,887	1.70	4.87	1.71	4.88	(1.48	)	—
	10.16	6.90			131	2.45	5.75	2.47	5.76	(2.23	)	—
	10.19	7.29			19,549	1.45	5.09	1.47	5.11	(1.22	)	—
$	10.39	8.95		$	82,160	1.60	1.92	1.61	1.92	(1.33	)	—
	9.69	(2.73	)		6	1.60	61.52	1.62	61.54	1.36		—
	10.33	8.09			22,367	2.35	2.64	2.36	2.65	(2.08	)	—
	9.70	(2.88	)		1	2.35	62.35	2.39	62.38	0.62		—
	10.41	9.10			112,591	1.35	1.98	1.36	2.00	(0.90	)	—
	9.70	(2.60	)		24,523	1.35	4.43	1.39	4.46	1.59		—

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

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

(g) For the period August 3, 2009 (inception) through December 31, 2009.

(h) For the period September 30, 2008 (inception) through December 31, 2008.

18

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

December 31, 2009

1.  Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (“1940 Act”), 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. The financial statements for certain funds of the Trust are presented in separate reports. The following funds’ consolidated financial statements (individually, a “Fund” and collectively, the “Funds”) are included in this report:

ASG Diversifying Strategies Fund (the “Diversifying Strategies Fund”)

ASG Global Alternatives Fund (the “Global Alternatives Fund”)

The Diversifying Strategies Fund commenced operations on August 3, 2009 via contribution by Natixis Global Asset Management, L.P. (“Natixis US”) of $12 million.

The Global Alternatives Fund commenced operations on September 30, 2008 via contribution by Natixis US of $25 million.

Each Fund offers Class A, Class C and Class Y shares. Prior to December 1, 2008, the Global Alternatives Fund offered Institutional Class shares. On December 1, 2008, Institutional Class shares were redesignated as Class Y shares of the Global Alternatives Fund. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, however Class C pays higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if Class C shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in 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 Rule 12b-1 service and distribution fees). 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.

The Diversifying Strategies Fund and Global Alternatives Fund each invests in commodity-related derivatives through investment in the ASG Diversifying Strategies Cayman Fund Ltd. and ASG Global Alternatives Cayman Fund Ltd., respectively, each is a wholly-owned subsidiary (individually, a “Subsidiary” and collectively, the “Subsidiaries”). A subscription agreement was entered into between Diversifying Strategies Fund and its Subsidiary on August 3, 2009 (the commencement date of the Subsidiary), with the intent that the Fund will remain the sole shareholder and primary beneficiary of the Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees. As of December 31, 2009, the value of the Diversifying Strategies Fund’s investment in its Subsidiary was $1,759,356, representing 7.8% of net assets of the Fund. A subscription agreement was entered into between Global Alternatives Fund and its Subsidiary on January 29, 2009 (the commencement date of the Subsidiary), with the intent that the Fund will remain the sole shareholder and primary beneficiary of the Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees. As of December 31, 2009, the value of the Global Alternatives Fund’s investment in its Subsidiary was $15,302,441, representing 7.0% of net assets of the Fund.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its consolidated financial statements. The Funds’ consolidated 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. Management has evaluated the events and transactions that have occurred through February 22, 2010, the date the financial statements were issued, and noted no items requiring recognition in the financial statements or additional disclosure in the Notes to Consolidated Financial Statements.

a.  Consolidation.  The financial statements have been consolidated and include all accounts of the Funds and the Subsidiaries. Accordingly, all inter-fund transactions and balances have been eliminated.

b.  Valuation.  Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the sub-adviser and approved 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. 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. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Futures contracts are valued at their most recent settlement price. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

19

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

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 securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.

c.  Security Transactions and Related Investment Income.  Security transactions are accounted for on trade date. 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, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The 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 which arise due to changes in market prices of 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 and 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 period, 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.

e.  Forward Foreign Currency Contracts.  Each Fund may enter into forward foreign currency contracts to gain exposure to foreign currencies and may also use forward foreign currency contracts for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. 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 Funds’ Consolidated Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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.

f.  Futures Contracts.  The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity or group or index of securities, commodities, currencies or other assets for a specified price on a specified future date.

When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker as “initial margin” an amount of cash, foreign currency, or short-term high-quality securities. This initial margin, if any, is reflected on the Consolidated Statements of Assets and Liabilities as part of “Due from brokers”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by a Fund or a Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Consolidated Statements of Assets and Liabilities as an asset (liability) and in the Consolidated Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures are standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are limited.

g.  Due from Brokers.  Transactions and positions in futures and forwards are primarily maintained, cleared and held by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the broker/dealers. Due from brokers’ balances in the Consolidated Statements of Assets and Liabilities represent cash, foreign currency, and any initial and/or variation margin applicable to open futures and forward foreign currency contracts. In certain circumstances the Funds’ or the Subsidiaries’ use of cash and foreign currency held at brokers is restricted by regulation or broker mandated limits.

20

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

h.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2009 and has concluded that no provisions for income tax are required. The Global Alternatives Fund’s federal tax return for the prior fiscal year remains subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, each Fund will include in its taxable income its share of each Subsidiary’s current earnings and profits. Any deficit generated by either Subsidiary will be disregarded for purposes of computing the Funds’ taxable income in the current period and also disregarded for all future periods.

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.

i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually 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 for items such as net realized gains on commodity futures, disallowance of start up expenses, dividend redesignations, distributions in excess of earnings, foreign currency transactions and excise tax payments. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, post-October capital loss deferrals, unrealized appreciation/depreciation on futures commissions, futures contracts mark to market and forward contracts mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the fiscal years ended December 31, 2009 and December 31, 2008 was as follows:

	2009 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Diversifying Strategies Fund	$	771,542	$	356,229	$	1,127,771
Global Alternatives Fund		2,697,103		574,614		3,271,717
	2008 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Global Alternatives Fund	$	99,514	$	—	$	99,514

Differences between these amounts and those reported in the Consolidated Statements of Changes in Net Assets, if any, are primarily attributable to different book and tax treatment for short-term capital gains.

As of December 31, 2009, the components of distributable earnings on a tax basis were as follows:

	Diversifying Strategies Fund			Global Alternatives Fund
Undistributed ordinary income	$	—		$	302
Total undistributed earnings		—			302
Deferred net capital losses (post- October 2009)		(355,846	)		(703,795	)
Unrealized appreciation		37,317			1,574,881
Total accumulated earnings (losses)		(318,529	)		871,388
Capital loss carryforward utilized in the current year	$	—		$	783,520

21

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

j.  Repurchase Agreements.  It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities.

k.  Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 — quoted prices in active markets for identical assets or liabilities;

• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.);

• Level 3 — prices determined using significant unobservable inputs for situations where quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2009, at value:

Diversifying Strategies Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	18,649,752	$	—	$	18,649,752
Forward Foreign Currency Contracts (unrealized appreciation)		—		76,532		—		76,532
Futures Contracts (unrealized appreciation)		154,525		—		—		154,525
Total	$	154,525	$	18,726,284	$	—	$	18,880,809

Liability Valuation Inputs

Description(a)	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(155,093	)	$	—	$	(155,093	)
Futures Contracts (unrealized depreciation)		(130,786	)		—			—		(130,786	)
Total	$	(130,786	)	$	(155,093	)	$	—	$	(285,879	)

(a) Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included in the Consolidated Portfolio of Investments.

22

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

Global Alternatives Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	193,177,948	$	—	$	193,177,948
Forward Foreign Currency Contracts (unrealized appreciation)		—		95,591		—		95,591
Futures Contracts (unrealized appreciation)		3,068,131		—		—		3,068,131
Total	$	3,068,131	$	193,273,539	$	—	$	196,341,670

Liability Valuation Inputs

Description(a)	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,539,626	)	$	—	$	(1,539,626	)
Futures Contracts (unrealized depreciation)		(1,758,367	)		—			—		(1,758,367	)
Total	$	(1,758,367	)	$	(1,539,626	)	$	—	$	(3,297,993	)

(a) Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included in the Consolidated Portfolio of Investments.

4.  Derivatives.  Effective January 1, 2009 and August 3, 2009, Global Alternatives Fund and Diversifying Strategies Fund, respectively, adopted accounting standards related to derivative instruments and hedging activities which require enhanced disclosures. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds currently use include forward foreign currency contracts and futures contracts.

The Funds seek to generate positive absolute returns over time rather than track the performance of any particular index. The Funds use multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Funds will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by their absolute return strategies while also adding value through volatility management and correlation management.

Each Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. These agreements contain contingent features that allow the counterparty to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such contingent features were to be triggered, the counterparty could request immediate settlement of open contracts at current fair value.

The following is a summary of derivative instruments for Diversifying Strategies Fund as of December 31, 2009:

Asset Derivatives	Forwards		Futures
Foreign exchange contracts	$	76,532	$	—
Equity contracts		—		7,772
Interest rate contracts		—		10,619
Commodity contracts		—		136,134

Consolidated Statements of Assets and Liabilities Location Unrealized appreciation on forward foreign currency contracts Unrealized appreciation on
futures contracts

Liability Derivatives	Forwards			Futures
Foreign exchange contracts	$	(155,093	)	$	—
Equity contracts		—			(13,237	)
Interest rate contracts		—			(55,873	)
Commodity contracts		—			(61,676	)

Consolidated Statements of Assets and Liabilities Location Unrealized depreciation on
forward foreign currency contracts Unrealized depreciation on
futures contracts

23

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

Transactions in derivative instruments during the period from August 3, 2009 to December 31, 2009 were as follows:

Realized Gain (Loss)	Forwards		Futures
Foreign exchange contracts	$	367,316	$	—
Equity contracts		—		(62,594	)
Interest rate contracts		—		386,386
Commodity contracts		—		238,424

Consolidated Statements of Operations Location Net realized gain (loss) on
foreign currency transactions Net realized gain (loss) on
futures contracts

Change in Unrealized Appreciation (Depreciation)	Forwards			Futures
Foreign exchange contracts	$	(78,561	)	$	—
Equity contracts		—			(5,464	)
Interest rate contracts		—			(45,254	)
Commodity contracts		—			74,458

Consolidated Statements of Operations Location Net change in unrealized
appreciation/(depreciation) on
foreign currency translations Net change in unrealized
appreciation/(depreciation) on
futures contracts

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2009:

Asset Derivatives	Forwards		Futures
Foreign exchange contracts	$	95,591	$	—
Equity contracts		—		586,291
Interest rate contracts		—		9,175
Commodity contracts		—		2,472,665

Consolidated Statements of Assets and Liabilities Location Unrealized appreciation on forward foreign currency contracts Unrealized appreciation on futures contracts

Liability Derivatives	Forwards			Futures
Foreign exchange contracts	$	(1,539,626	)	$	—
Equity contracts		—			—
Interest rate contracts		—			(1,204,797	)
Commodity contracts		—			(553,570	)

Consolidated Statements of Assets and Liabilities Location Unrealized depreciation on forward foreign currency contracts Unrealized depreciation on futures contracts

Transactions in derivative instruments during the year ended December 31, 2009 were as follows:

Realized Gain (Loss)	Forwards		Futures
Foreign exchange contracts	$	416,351	$	—
Equity contracts		—		1,793,826
Interest rate contracts		—		1,010,198
Commodity contracts		—		2,620,738

Consolidated Statements of Operations Location Net realized gain (loss) on foreign currency transactions Net realized gain (loss) on futures contracts

24

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

Change in Unrealized Appreciation (Depreciation)	Forwards			Futures
Foreign exchange contracts	$	(1,444,035	)	$	—
Equity contracts		—			523,636
Interest rate contracts		—			(1,245,297	)
Commodity contracts		—			1,919,095

Consolidated Statements of Operations Location Net change in unrealized
appreciation/(depreciation) on foreign currency translations Net change in unrealized appreciation/(depreciation) on futures contracts

Volume of derivative activity for Diversifying Strategies Fund and Global Alternatives Fund, based on month-end notional amounts outstanding during the period, for the period August 3, 2009 to December 31, 2009 and for the year ended December 31, 2009, respectively, were as follows:

Diversifying Strategies Fund	Percentage of Net Assets Forwards		Percentage of Net Assets Futures
Average Notional Amount Outstanding	48.69	%	480.48	%
Highest Notional Amount Outstanding	73.74	%	723.00	%
Lowest Notional Amount Outstanding	17.63	%	147.06	%
Notional Amount Outstanding as of December 31, 2009	17.63	%	147.06	%
Global Alternatives Fund	Forwards		Futures
Average Notional Amount Outstanding	28.97	%	168.33	%
Highest Notional Amount Outstanding	41.76	%	243.97	%
Lowest Notional Amount Outstanding	12.52	%	66.04	%
Notional Amount Outstanding as of December 31, 2009	31.63	%	210.06	%

Notional amounts outstanding are at absolute value and are determined, when applicable, by netting notional amounts of contracts to buy and sell the same underlying instrument.

5.  Purchases and Sales of Securities.  For the year ended December 31, 2009, purchases and proceeds from sales or maturities of short-term obligations were as follows:

Fund	Purchases		Maturities/Sales
Diversifying Strategies Fund	$	239,274,936	$	220,629,395
Global Alternatives Fund		1,909,887,822		1,740,203,143

There were no purchases or sales of long-term securities.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis US, serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets, less the net asset value of each Subsidiary:

Fund	Percentage of Average Daily Net Assets
Diversifying Strategies Fund	1.25	%
Global Alternatives Fund	1.15	%

AlphaSimplex also serves as investment adviser to the Subsidiaries. The ASG Diversifying Strategies Cayman Fund Ltd. pays AlphaSimplex a management fee at the annual rate of 1.25% of its average daily net assets. The ASG Global Alternatives Cayman Fund Ltd. pays AlphaSimplex a management fee at the annual rate of 1.15% of its average daily net assets.

AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of each Fund. Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang.

25

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

AlphaSimplex has given binding undertakings to the Funds to reduce management fees and/or reimburse certain expenses, including expenses of each Subsidiary, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2010 for Global Alternatives Fund and April 30, 2011 for Diversifying Strategies Fund and will be reevaluated on an annual basis. For the year ended December 31, 2009, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A		Class C		Class Y
Diversifying Strategies Fund	1.70	%	2.45	%	1.45	%
Global Alternatives Fund	1.60	%	2.35	%	1.35	%

AlphaSimplex shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through reduction of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such reduced fees/expenses more than one year after the end of the fiscal year in which the fees/expenses were reduced.

For the year ended December 31, 2009, the management fees and reduction of management fees for each Fund were as follows:

Fund	Gross Management Fee		Reduction of Management Fee1		Net Management Fee		Percentage of Average Daily Net Assets
							Gross		Net
Diversifying Strategies Fund	$	78,931	$	78,931	$	—	1.25	%	0.00	%
Global Alternatives Fund		759,800		336,283		423,517	1.15	%	0.64	%

¹ Management fee reductions are subject to possible recovery until December 31, 2010.

For the year ended December 31, 2009, class-specific expenses have been reimbursed as follows:

	Reimbursement2
Fund	Class A		Class C		Class Y		Total
Diversifying Strategies Fund	$	7	$	1	$	59	$	67
Global Alternatives Fund		6,643		1,103		2,053		9,799

In addition, the investment adviser reimbursed non-class-specific expenses of the Diversifying Strategies Fund in the amount of $149,408 for the period ended December 31, 2009.²

² Expense reimbursements are subject to possible recovery until December 31, 2010.

No expenses were recovered during the year ended December 31, 2009 under the terms of the expense limitation agreement.

b.  Administrative Fees.  Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per class and an additional $75,000 if managed by multiple subadvisers. For the year ended December 31, 2009, the Diversifying Strategies Fund was subject to the new fund fee. For the period from January 1, 2009 to September 30, 2009, the Global Alternatives Fund was subject to the new fund fee.

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

26

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

For the year ended December 31, 2009, each Fund paid the following for administrative fees to Natixis Advisors:

Fund	Administrative Fees
Diversifying Strategies Fund	$	72,438
Global Alternatives Fund		150,182

c.  Service and Distribution Fees.  Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of each Fund.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis 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 Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis 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 C shares, as compensation for services provided and expenses incurred by Natixis Distributors in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distributors a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in connection with the marketing or sale of Class C shares.

For the year ended December 31, 2009, the Funds paid the following service and distribution fees:

	Service Fee				Distribution Fee
Fund	Class A		Class C		Class C
Diversifying Strategies Fund	$	833	$	28	$	84
Global Alternatives Fund		46,472		9,921		29,763

d.  Sub-Transfer Agent Fees.  Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended December 31, 2009, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations:

Fund	Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	125
Global Alternatives Fund		27,409

e.  Commissions.  The Funds have been informed that commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the year ended December 31, 2009 were as follows:

Fund	Commissions
Diversifying Strategies Fund	$	12,147
Global Alternatives Fund		290,072

27

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

f.  Trustees Fees and Expenses.  The Funds do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. For the year ended December 31, 2009, the Chairperson of the Board received a retainer fee at the annual rate of $200,000. The Chairperson did not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attended. Each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $65,000. Each Independent Trustee also received a meeting attendance fee of $7,500 for each meeting of the Board of Trustees that he or she attended in person and $3,750 for each meeting of the Board of Trustees that he or she attended telephonically. In addition, each committee chairman received an additional retainer fee at an annual rate of $10,000. Each Contract Review and Governance Committee member was compensated $5,000 for each Committee meeting that he or she attended in person and $2,500 for each meeting that he or she attended telephonically. Each Audit Committee member was compensated $6,250 for each Committee meeting that he or she attended in person and $3,125 for each meeting that he or she attended telephonically.

Effective January 1, 2010, the Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. Each member of the ad hoc Committee on Alternative Investments will receive a one-time fee of $10,000. The ad hoc Committee on Alternative Investments is not a standing committee. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

7.  Class-Specific Expenses.

For the period from August 3, 2009 to September 30, 2009 and January 1, 2009 to September 30, 2009, the Diversifying Strategies Fund and Global Alternatives Fund, respectively, paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):

	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class Y
Diversifying Strategies Fund	$	7	$	1	$	59
Global Alternatives Fund		6,644		1,103		2,053

Effective October 1, 2009, transfer agent fees and expenses 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.

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 0.75%. In addition, a commitment fee of 0.125% 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.

Prior to March 11, 2009, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was 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, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended December 31, 2009, the Funds had no borrowings under these agreements.

28

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

9.  Interest Expense.  Each Fund is charged interest expense on cash and foreign currency overdrafts, if any, for accounts held at the brokers. For the year ended December 31, 2009, the Funds incurred the following in interest expense:

Fund	Interest Expense
Diversifying Strategies Fund	$	1,101
Global Alternatives Fund		6,185

10.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. At December 31, 2009, Natixis US owned shares equating to 54.19% and 7.48% of Diversifying Strategies Fund’s and Global Alternatives Fund’s net assets, respectively. Activity of this shareholder could have a material impact to the Fund.

11.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

	Period Ended December 31, 2009*
Diversifying Strategies Fund	Shares			Amount
Class A
Issued from the sale of shares	275,175		$	2,988,629
Issued in connection with the reinvestment of distributions	13,465			137,208
Redeemed	(5,289	)		(56,424	)
Net change	283,351		$	3,069,413
Class C
Issued from the sale of shares	12,256		$	131,708
Issued in connection with the reinvestment of distributions	639			6,494
Redeemed	—			—
Net change	12,895		$	138,202
Class Y
Issued from the sale of shares	1,870,950		$	19,221,874
Issued in connection with the reinvestment of distributions	90,199			919,124
Redeemed	(42,826	)		(458,700	)
Net change	1,918,323		$	19,682,298
Increase (decrease) from capital share transactions	2,214,569		$	22,889,913

* From commencement of operations on August 3, 2009 through December 31, 2009.

	Year Ended December 31, 2009					Period Ended December 31, 2008**
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	8,049,151		$	83,594,129		687		$	6,664
Issued in connection with the reinvestment of distributions	100,163			1,040,672		2			21
Redeemed	(242,351	)		(2,527,671	)	(120	)		(1,163	)
Net change	7,906,963		$	82,107,130		569		$	5,522
Class C
Issued from the sale of shares	2,181,898		$	22,642,073		100		$	1,000
Issued in connection with the reinvestment of distributions	16,139			166,706		—	(a)		1
Redeemed	(33,832	)		(351,167	)	—			—
Net change	2,164,205		$	22,457,612		100		$	1,001
Class Y
Issued from the sale of shares	9,656,549		$	100,827,613		2,518,764		$	25,181,951
Issued in connection with the reinvestment of distributions	96,520			1,002,799		10,289			99,492
Redeemed	(1,468,738	)		(15,396,734	)	—			—
Net change	8,284,331		$	86,433,678		2,529,053		$	25,281,443
Increase (decrease) from capital share transactions	18,355,499		$	190,998,420		2,529,722		$	25,287,966

** From commencement of operations on September 30, 2008 through December 31, 2008.

(a) Amount rounds to less than one share.

29

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

December 31, 2009

12.  Concentration of Risk.  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 expropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the price of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.

30

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Diversifying Strategies Fund and ASG Global Alternatives Fund:

In our opinion, the accompanying consolidated statements of assets and liabilities, including the consolidated portfolios of investments, and the related consolidated statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the ASG Diversifying Strategies Fund and ASG Global Alternatives Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2009, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2010

31

2009 U.S. TAX DISTRIBUTION INFORMATION TO SHAREHOLDERS (unaudited)

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2009, unless subsequently determined to be different.

Fund	Amount
Diversifying Strategies	$	356,229
Global Alternatives		574,614

32

TRUSTEE AND OFFICER INFORMATION

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Trust’s Statements of Additional Information include additional information about the Trustees of the Trust and are available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES
Graham T. Allison, Jr. (1940)	Trustee Since 1995 Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	39 Director, Taubman Centers, Inc. (real estate investment trust)
Edward A. Benjamin (1938)	Trustee Since 2003 Chairman of the Contract Review and Governance Committee	Retired	39 None
Daniel M. Cain (1945)	Trustee Since 1996 Chairman of the Audit Committee	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	39 Director, Sheridan Healthcare Inc. (physician practice management)
Kenneth A. Drucker (1945)	Trustee Since 2008 Audit Committee Member	Formerly, Treasurer, Sequa Corp. (manufacturing)	39 None
Wendell J. Knox**** (1948)	Trustee Since 2009 Contract Review and Governance Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	39 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee Since 1993 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	39 Director, Verizon Communications; Director, AES Corporation (international power company)
Erik R. Sirri***** (1958)	Trustee Since 2009 Contract Review and Governance Committee Member	Professor of finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	39 None

33

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES continued
Peter J. Smail***** (1952)	Trustee Since 2009 Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	39 None
Cynthia L. Walker (1956)	Trustee Since 2005 Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	39 None
INTERESTED TRUSTEES
Robert J. Blanding1 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	39 None
John T. Hailer2 (1960)	Trustee Since 2000	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	39 None

* Each Trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72. The position of Chairperson of the Board of Trustees is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on November 20, 2009.

** Each person listed above, except as noted, holds the same position(s) with the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Gateway Trust and the Natixis Cash Management Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series. Previous positions during the past five years with Natixis Distributors, L.P. (the “Distributor”), Natixis Asset Management Advisors, L.P. (“Natixis Advisors”), or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) are omitted if not materially different from a Trustee’s or officer’s current position with such entity.

*** The Trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trusts, the Loomis Sayles Funds Trusts and Hansberger International Series (collectively, the “Fund Complex”).

**** Mr. Knox was appointed as trustee effective July 1, 2009.

***** Mr. Sirri and Mr. Smail were appointed as trustees effective December 1, 2009.

34

TRUSTEE AND OFFICER INFORMATION

¹ Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis Sayles.

² Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.

Name and Year of Birth	Position(s) Held with the Trust	Term of Office* and Length of Time Served	Principal Occupation During Past 5 Years**
OFFICERS OF THE TRUST
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
David Giunta (1965)	President and Chief Executive Officer	Since March 2008	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

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

** Each person listed above, except as noted, holds the same position(s) with the Fund Complex previous positions during the past five years with the Distributor, Natixis Advisors or Loomis Sayles are omitted if not materially different from a Trustee’s or officer’s current position with such entity.

35

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Ms. Cynthia L. Walker, Mr. Daniel M. Cain and Mr. Kenneth A.Drucker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.

	Audit fees				Audit-related fees1				Tax fees2				All other fees3
	2008		2009		2008		2009		2008		2009		2008		2009
Natixis Funds Trust II	$	145,308	$	141,600	$	191	$	1,052	$	31,366	$	34,654	$	2,500	$	—

1. Audit-related fees consist of:

2008 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2009 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan, review of Form N-14 and issuance of consent related to reorganization of Delafield Select Fund and consulting services with respect to regulatory matters.

2. Tax fees consist of:

2008 - review of year-end shareholder reporting and the Registrant’s tax returns.

2009 - review of the Registrant’s tax returns and consulting services with respect to new deferred compensation tax rules, tax treatment of the ASG Global Alternatives Fund’s wholly-owned subsidiary and the reorganization of the Delafield Select Fund.

3. All other fees consist of:

2008 - discussions with respect to new funds.

Aggregate fees billed to the Registrant for non-audit services during 2008 and 2009 were $34,057 and $35,706, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth fees billed by the Registrant’s principal accountant for non-audit services rendered to Natixis Asset Management Advisors, L.P. and entities controlling, controlled by or under common control with Natixis Asset Management Advisors, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

	Audit-related fees				Tax fees				All other fees
	2008		2009		2008		2009		2008		2009
Control Affiliates	$	12,000	$	12,000	$	—	$	—	$	—	$	—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Natixis Asset Management Advisors, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

	Aggregate Non-Audit Fees
	2008		2009
Control Affiliates	$	124,077	$	62,410

None of the audit-related, tax and other services provided by the Registrant’s principal accountant were approved by the Audit Committee pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).

(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1)and (a)(2)(2), respectively.

(a)(3) Not applicable.

(b) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Natixis Funds Trust II
By:	/S/    DAVID L. GIUNTA
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 22, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/S/    DAVID L. GIUNTA
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 22, 2010
By:	/S/    MICHAEL C. KARDOK
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 22, 2010