Natixis Funds Trust II

N-Q 1 dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS 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)

Coleen Downs Dinneen, Esq.

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: September 30, 2010

ITEM 1

SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 63.1% of Net Assets
$	9,500,000	Credit Agricole CIB (NY), 0.660%, 10/04/2010	$	9,500,408
	14,000,000	Credit Industriel et Commercial (NY), 0.700%, 10/04/2010		14,000,672
	6,500,000	Svenska Handelsbanken (NY), 0.380%, 10/06/2010		6,500,117
	8,500,000	Credit Agricole CIB (NY), 0.650%, 10/08/2010(b)		8,500,714
	10,500,000	UniCredit Bank AG (NY), 0.570%, 10/12/2010		10,501,050
	7,500,000	UniCredit Bank AG (NY), 0.720%, 10/21/2010		7,501,965
	11,000,000	Royal Bank of Scotland (CT), 0.510%, 10/22/2010		11,001,815
	19,000,000	Banco Santander (NY), 0.280%, 10/25/2010		19,000,133
	14,400,000	Deutsche Bank AG, 0.450%, 10/25/2010		14,402,592
	19,000,000	Skandinaviska Enskilda Banken (NY), 0.510%, 11/08/2010		19,004,731
	1,600,000	Standard Chartered Bank (NY), 0.380%, 11/10/2010		1,600,163
	3,850,000	Rabobank Nederland NV (NY), 0.340%, 11/15/2010(b)		3,850,589
	3,500,000	Dexia Credit Local SA (NY), 0.560%, 11/26/2010		3,501,551
	1,600,000	Lloyds TSB Bank PLC (NY), 0.490%, 11/30/2010		1,600,568
	3,500,000	Svenska Handelsbanken (NY), 0.700%, 12/03/2010(b)		3,502,544
	1,000,000	Dexia Credit Local SA (NY), 0.540%, 12/07/2010		1,000,472
	10,000,000	Landesbank Hessen Thueringen Girozentrale, 0.520%, 12/13/2010		10,004,720
	9,000,000	Nordea Bank Finland (NY), 0.670%, 12/13/2010		9,007,011
	10,000,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.410%, 12/14/2010		10,002,500
	18,000,000	Intesa Sanpaolo (NY), 0.280%, 12/17/2010		17,998,056
	10,000,000	Bank of Nova Scotia (TX), 0.260%, 12/21/2010		10,000,000
	10,000,000	Landesbank Hessen Thueringen Girozentrale, 0.410%, 12/29/2010		10,003,000
	4,000,000	Deutsche Bank AG, 0.480%, 12/30/2010(b)		4,002,220
	18,000,000	KBC Bank NV (NY), 0.630%, 12/30/2010		18,015,462
	18,400,000	Standard Chartered Bank (NY), 0.320%, 1/05/2011		18,397,038
	12,000,000	Canadian Imperial Bank of Commerce (NY), 0.286%, 1/24/2011(b)(c)		11,998,932
	7,000,000	Svenska Handelsbanken (NY), 0.460%, 1/27/2011		7,002,996


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	18,000,000	Westpac Banking Corp. (NY), 0.340%, 2/04/2011	$	18,003,168
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.298%, 2/07/2011(b)(d)		5,998,986
	8,750,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.407%, 6/17/2011(e)		8,750,000
	10,000,000	Dexia Credit Local SA (NY), 0.456%, 6/29/2011(b)(e)		9,996,970

		Total Certificates of Deposit (Identified Cost $304,104,711)		304,151,143

	Financial Company Commercial Paper – 17.7%
	5,000,000	Dexia Delaware LLC, 0.410%, 10/05/2010(f)		4,999,772
	8,800,000	Bank of Nova Scotia (NY), 0.320%, 10/13/2010(f)		8,799,490
	14,200,000	Lloyds TSB Bank PLC, 0.460%, 10/13/2010(f)		14,198,921
	2,800,000	Lloyds TSB Bank PLC, 0.500%, 10/13/2010(f)		2,799,787
	7,200,000	ING (US) Funding LLC, 0.320%, 11/05/2010(f)		7,197,760
	1,000,000	Canadian Imperial Holdings, Inc., 0.240%, 11/10/2010(f)		999,696
	19,000,000	Societe Generale North America, 0.300%, 11/19/2010(f)		18,992,799
	9,000,000	Royal Bank of Scotland PLC, 0.270%, 12/15/2010(f)		8,994,582
	10,505,000	Rabobank USA Financial Corp., 0.300%, 12/29/2010(f)		10,499,485
	8,000,000	Nordea North America, Inc., 0.440%, 1/14/2011(b)(f)		7,993,616

		Total Financial Company Commercial Paper (Identified Cost $85,467,804)		85,475,908

	Time Deposits – 6.2%
	7,600,000	National Bank of Canada, 0.180%, 10/01/2010		7,600,000
	22,000,000	Citibank, 0.230%, 10/01/2010		22,000,000

		Total Other Instruments (Identified Cost $29,600,000)		29,600,000

	Other Commercial Paper – 3.7%
	18,000,000	GE Capital Corp., 0.240%, 12/16/2010(f) (Identified Cost $17,990,880)		17,992,296

	Municipal Debt – 2.6%
	12,700,000	Johns Hopkins University (The), Series C, 0.280%, 12/07/2010 (Identified Cost $12,700,000)		12,700,000


Description	Value (†)
Total Investments — 93.3% (Identified Cost $449,863,395)(a)	$	449,919,347
Other assets less liabilities — 6.7%		32,157,545

Net Assets — 100.0%	$	482,076,892

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2010, the value of the Fund’s investment in the subsidiary was $11,704,605, representing 2.4% of the Fund’s net assets.

(†)

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 Fund by a pricing service recommended by the investment adviser or subadviser 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 Fund 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 Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)	Federal Tax Information:

At September 30, 2010, the net unrealized appreciation on short term investments based on a cost of $449,863,395 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	$	66,363
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,411	)

Net unrealized appreciation	$	55,952

Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.

At December 31, 2009, post-October capital loss deferrals were $703,795. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.

(c)	Interest rate changes monthly based upon 1 month Libor +3 BP. The rate shown is the rate in effect at the date of this statement.

(d)	Interest rate changes monthly based upon 1 month Libor +4 BP. The rate shown is the rate in effect at the date of this statement.

(e)	Security payable on demand at par including accrued interest with seven days notice. The interest rate changes monthly based upon 1 month Libor. The spread to 1 month Libor changes each month. The rate shown is the rate in effect at the date of this statement.

(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

The 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. 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.

At September 30, 2010, 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	12/15/2010	Australian Dollar		55,300,000	$	52,987,660	$	2,431,279
Buy	12/15/2010	British Pound		2,562,500		4,023,380		58,782
Buy	12/15/2010	Canadian Dollar		14,700,000		14,262,258		154,444
Buy	12/15/2010	Canadian Dollar		1,500,000		1,455,332		(1,401	)
Buy	12/15/2010	Euro		4,250,000		5,790,613		377,346
Sell	12/15/2010	Euro		875,000		1,192,185		(13,554	)
Buy	12/15/2010	Japanese Yen		2,475,000,000		29,669,903		121,509
Buy	12/15/2010	Japanese Yen		75,000,000		899,088		(769	)
Buy	12/15/2010	Swedish Krona		6,000,000		888,440		63,715
Buy	12/15/2010	Swiss Franc		7,000,000		7,128,595		218,466
Buy	12/15/2010	Swiss Franc		500,000		509,185		(2,083	)

Total							$	3,407,734

⁽¹⁾	Counterparty is UBS.

Futures Contracts

The Fund and the Subsidiary 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 the Fund or the 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. 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 the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. 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 the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the 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 Fund and the Subsidiary are limited.

At September 30, 2010, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Dax		12/17/2010		60	$	12,762,068	$	(49,077	)
Euro Dollar		12/13/2010		1,499		373,400,900		1,061,163
FTSE 100		12/17/2010		268		23,279,253		(61,045	)
German Euro Bund		12/08/2010		237		42,463,761		182,771
Hang Seng		10/28/2010		83		11,942,646		(37,441	)
S&P 500 E Mini		12/17/2010		664		37,738,440		1,352,805
TOPIX		12/10/2010		200		19,801,150		295,783
UK Long Gilt		12/29/2010		183		35,738,841		(54,620	)
10 Year Japan Government Bond		12/09/2010		37		63,566,603		782,223
10 Year U.S. Treasury Note		12/21/2010		358		45,124,781		482,202

Total							$	3,954,764


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/15/2010		66	$	3,876,675	$	317,212
Brent Crude Oil		11/15/2010		74		6,111,660		257,060
Copper		12/15/2010		8		1,603,800		83,850
Gas Oil		11/11/2010		38		2,675,200		116,850
Gold		12/29/2010		112		14,667,520		822,040
Heating Oil		10/29/2010		102		9,715,255		559,238
Light Sweet Crude Oil		10/20/2010		172		13,754,840		318,680
Natural Gas		10/27/2010		81		3,136,320		(223,700	)
Nickel		12/15/2010		47		6,598,800		334,566
Zinc		12/15/2010		72		3,944,250		9,588

Total							$	2,595,384

⁽²⁾	Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the 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 when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the 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 Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	449,919,347	$	—	$	449,919,347
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,425,541		—		3,425,541
Futures Contracts (unrealized appreciation)		6,976,031		—		—		6,976,031

Total	$	6,976,031	$	453,344,888	$	—	$	460,320,919

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(17,807	)	$	—	$	(17,807	)
Futures Contracts (unrealized depreciation)		(425,883	)		—			—		(425,883	)

Total	$	(425,883	)	$	(17,807	)	$	—	$	(443,690	)

*	Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included above.

Derivatives

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 Fund currently uses include forward foreign currency contracts and futures contracts.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through use of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2010, the Fund used long contracts on U.S. and foreign equity market indices, U.S. government bonds, foreign currencies, and short-term interest rates, and long and short contracts on foreign government bonds and commodities.

The Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. The agreements contain contingent features that allow the counterparty to terminate open contracts early if the net asset value of the 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 the Fund, as of September 30, 2010:


Asset Derivatives	Foreign exchange Contracts			Equity Contracts			Interest rate Contracts			Commodity Contracts
Forwards	$	3,425,541		$	—		$	—		$	—
Futures		—			1,648,588			2,508,359			2,819,084

Liability Derivatives	Foreign exchange Contracts			Equity Contracts			Interest rate Contracts			Commodity Contracts
Forwards	$	(17,807	)	$	—		$	—		$	—
Futures		—			(147,563	)		(54,620	)		(223,700	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Investment Summary at September 30, 2010 (Unaudited)


Certificates of Deposit	63.1	%
Financial Company Commercial Paper	17.7
Time Deposits	6.2
Other Commercial Paper	3.7
Municipal Debt	2.6

Total Investments	93.3
Other assets less liabilities (including open forward foreign currency and futures contracts)	6.7

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 44.6% of Net Assets
$	1,000,000	Skandinaviska Enskilda Banken (NY), 0.330%, 10/01/2010	$	1,000,000
	1,900,000	Credit Agricole CIB (NY), 0.660%, 10/04/2010		1,900,070
	1,400,000	Credit Industriel et Commercial (NY), 0.700%, 10/04/2010(b)		1,400,067
	700,000	Svenska Handelsbanken (NY), 0.380%, 10/06/2010		700,013
	1,000,000	Credit Agricole CIB (NY), 0.650%, 10/08/2010(b)		1,000,084
	1,200,000	UniCredit Bank AG (NY), 0.570%, 10/12/2010(b)		1,200,120
	1,300,000	Bank of Nova Scotia (TX), 0.350%, 10/14/2010(b)		1,300,047
	800,000	UniCredit Bank AG (NY), 0.720%, 10/21/2010(b)		800,210
	600,000	Royal Bank of Scotland (CT), 0.505%, 10/22/2010(b)		600,097
	2,000,000	Royal Bank of Scotland (CT), 0.510%, 10/22/2010(b)		2,000,330
	2,800,000	Banco Santander (NY), 0.280%, 10/25/2010		2,800,020
	1,600,000	Deutsche Bank AG, 0.450%, 10/25/2010(b)		1,600,288
	700,000	Rabobank Nederland NV (NY), 0.460%, 11/01/2010(b)		700,149
	2,000,000	Skandinaviska Enskilda Banken (NY), 0.510%, 11/08/2010(b)		2,000,498
	2,200,000	Standard Chartered Bank (NY), 0.380%, 11/10/2010(b)		2,200,224
	200,000	Rabobank Nederland NV (NY), 0.340%, 11/15/2010		200,031
	500,000	Dexia Credit Local SA (NY), 0.560%, 11/26/2010(b)		500,221
	1,000,000	KBC Bank NV (NY), 0.620%, 11/26/2010(b)		1,000,538
	500,000	Lloyd’s TSB Bank PLC (NY), 0.490%, 11/30/2010(b)		500,177
	600,000	Svenska Handelsbanken (NY), 0.700%, 12/03/2010(b)		600,436
	1,000,000	Dexia Credit Local SA (NY), 0.540%, 12/07/2010		1,000,472
	3,500,000	Landesbank Hessen Thueringen Girozentrale, 0.520%, 12/13/2010		3,501,652
	4,000,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.410%, 12/14/2010		4,001,000
	2,000,000	Svenska Handelsbanken (NY), 0.250%, 12/15/2010		1,999,830
	4,000,000	Intesa Sanpaolo (NY), 0.280%, 12/17/2010		3,999,568
	500,000	Bank of Nova Scotia (TX), 0.260%, 12/21/2010		500,000
	1,000,000	Landesbank Hessen Thueringen Girozentrale, 0.410%, 12/29/2010		1,000,300


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	400,000	Deutsche Bank AG, 0.480%, 12/30/2010	$	400,222
	3,000,000	KBC Bank NV (NY), 0.630%, 12/30/2010		3,002,577
	2,300,000	Standard Chartered Bank (NY), 0.320%, 1/05/2011		2,299,630
	500,000	Canadian Imperial Bank of Commerce (NY), 0.286%, 1/24/2011(b)(c)		499,955
	700,000	Svenska Handelsbanken (NY), 0.460%, 1/27/2011(b)		700,300
	2,000,000	Westpac Banking Corp. (NY), 0.340%, 2/04/2011(b)		2,000,352
	1,500,000	Canadian Imperial Bank of Commerce (NY), 0.298%, 2/07/2011(b)(d)		1,499,746
	2,550,000	Rabobank Nederland NV (NY), 0.330%, 3/07/2011		2,549,776
	250,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.407%, 6/17/2011(e)		249,921
	1,700,000	Dexia Credit Local SA (NY), 0.456%, 6/29/2011(b)(e)		1,699,485

		Total Certificates of Deposit (Identified Cost $54,901,087)		54,908,406

	Financial Company Commercial Paper – 16.9%
	1,900,000	Societe Generale North America, 0.225%, 10/05/2010(f)		1,899,952
	800,000	Dexia Delaware LLC, 0.410%, 10/05/2010(f)		799,964
	1,000,000	ING (US) Funding LLC, 0.250%, 10/06/2010(f)		999,965
	1,200,000	Bank of Nova Scotia (NY), 0.320%, 10/13/2010(b)(f)		1,199,930
	1,500,000	Lloyd’s TSB Bank PLC, 0.460%, 10/13/2010(b)(f)		1,499,886
	500,000	Lloyd’s TSB Bank PLC, 0.500%, 10/13/2010(b)(f)		499,962
	3,000,000	ING (US) Funding LLC, 0.250%, 10/14/2010(f)		2,999,729
	300,000	ING (US) Funding LLC, 0.250%, 11/05/2010(f)		299,907
	2,000,000	Canadian Imperial Holdings, Inc., 0.240%, 11/10/2010(f)		1,999,392
	1,300,000	Bank of Nova Scotia (NY), 0.270%, 11/10/2010(b)(f)		1,299,731
	2,700,000	Societe Generale North America, 0.300%, 11/19/2010(b)(f)		2,698,977
	1,400,000	Royal Bank of Scotland PLC, 0.270%, 12/15/2010(f)		1,399,157
	1,250,000	Rabobank USA Financial Corp., 0.300%, 12/29/2010(b)(f)		1,249,344
	600,000	Nordea North America, Inc., 0.300%, 1/14/2011(b)(f)		599,521
	1,400,000	Nordea North America, Inc., 0.440%, 1/14/2011(b)(f)		1,398,883

		Total Financial Company Commercial Paper (Identified Cost $20,843,014)		20,844,300


Principal Amount		Description	Value (†)
	Time Deposits – 14.0%
$	2,200,000	Royal Bank of Canada, 0.150%, 10/01/2010	$	2,200,000
	5,000,000	Commerzbank AG, 0.170%, 10/01/2010		5,000,000
	5,000,000	National Bank of Canada, 0.180%, 10/01/2010		5,000,000
	5,000,000	Citibank, 0.230%, 10/01/2010		5,000,000

		Total Other Instruments (Identified Cost $17,200,000)		17,200,000

	Municipal Debt – 4.9%
	2,500,000	Johns Hopkins University (The), Series C, 0.280%, 10/14/2010		2,500,000
	1,800,000	Johns Hopkins University (The), Series C, 0.280%, 12/07/2010		1,800,000
	1,700,000	Tennessee State School Bond Authority, 0.270%, 12/08/2010		1,700,000

		Total Other Municipal Debt (Identified Cost $6,000,000)		6,000,000

	Other Commercial Paper – 3.2%
	4,000,000	GE Capital Corp., 0.240%, 12/16/2010(f) (Identified Cost $3,997,973)		3,998,288

		Total Investments — 83.6% (Identified Cost $102,942,074)(a)		102,950,994
		Other assets less liabilities — 16.4%		20,209,440

		Net Assets — 100.0%	$	123,160,434

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2010, the value of the Fund’s investment in the Subsidiary was $5,271,743, representing 4.3% of the Fund’s net assets.

(†)

(a)	Federal Tax Information:

At September 30, 2010, the net unrealized appreciation on short term investments based on a cost of $102,942,074 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	$	11,270
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,350	)

Net unrealized appreciation	$	8,920

Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.

At December 31, 2009, post-October capital loss deferrals were $355,846. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.

(c)	Interest rate changes monthly based upon 1 month Libor +3 BP. The rate shown is the rate in effect at the date of this statement.

(d)	Interest rate changes monthly based upon 1 month Libor +4 BP. The rate shown is the rate in effect at the date of this statement.

(e)	Security payable on demand at par including accrued interest with seven days notice. The interest rate changes monthly based upon 1 month Libor. The spread to 1 month Libor changes each month. The rate shown is the rate in effect at the date of this statement.

(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

At September 30, 2010, 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		12/15/2010	Australian Dollar		31,700,000	$	30,374,481	$	1,451,317
Buy		12/15/2010	British Pound		4,250,000		6,672,922		97,492
Buy		12/15/2010	Canadian Dollar		15,200,000		14,747,369		138,268
Buy		12/15/2010	Euro		2,125,000		2,895,307		188,673
Sell		12/15/2010	Euro		4,625,000		6,301,550		(188,718	)
Buy		12/15/2010	Japanese Yen		1,887,500,000		22,627,047		181,641
Sell		12/15/2010	Japanese Yen		300,000,000		3,596,352		(35,312	)
Buy		12/15/2010	New Zealand Dollar		10,100,000		7,368,243		115,788
Sell		12/15/2010	New Zealand Dollar		4,800,000		3,501,739		(23,084	)
Sell		12/15/2010	New Zealand Dollar		2,300,000		1,677,917		4,011
Buy		12/15/2010	Norwegian Krone		32,000,000		5,420,534		229,263
Buy		12/15/2010	Norwegian Krone		2,000,000		338,783		(373	)
Sell		12/15/2010	Norwegian Krone		32,000,000		5,420,534		(94,036	)
Sell		12/15/2010	Norwegian Krone		2,000,000		338,783		1,154
Buy		12/15/2010	Swedish Krona		28,000,000		4,146,053		225,208
Sell		12/15/2010	Swedish Krona		24,000,000		3,553,760		(169,079	)
Buy		12/15/2010	Swiss Franc		6,750,000		6,874,002		203,067
Sell		12/15/2010	Swiss Franc		2,500,000		2,545,927		(76,425	)

Total								$	2,248,855

⁽¹⁾	Counterparty is UBS.

Futures Contracts

At September 30, 2010, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		10/15/2010		30	$	2,733,999	$	(7,443	)
ASX SPI 200		12/16/2010		10		1,111,532		(11,526	)
CAC 40		10/15/2010		28		1,416,144		(6,748	)
Euro Dollar		12/13/2010		1,292		321,837,200		971,287
Euro Schatz		12/08/2010		90		13,383,914		(50,304	)
Euro STOXX 50		12/17/2010		58		2,164,896		(19,467	)
FTSE JSE Top 40		12/15/2010		114		4,310,910		105,975
FTSE MIB		12/17/2010		21		2,920,225		3,619
German Euro BOBL		12/08/2010		18		2,959,589		(3,190	)
German Euro Bund		12/08/2010		181		32,430,130		230,376
Hang Seng		10/28/2010		3		431,662		(1,353	)
IBEX 35		10/15/2010		12		1,707,635		(31,007	)
MSCI Singapore		10/28/2010		131		7,247,783		(69,729	)
MSCI Taiwan		10/28/2010		141		4,103,100		21,610
Nikkei 225		12/10/2010		4		448,491		(6,708	)
OMXS30		10/15/2010		119		1,918,643		5,619
S&P TSE 60		12/16/2010		10		1,385,557		17,494
Sterling		12/15/2010		103		20,069,595		4,124
UK Long Gilt		12/29/2010		165		32,223,545		413,555
2 Year U.S. Treasury Note		12/31/2010		95		20,851,016		12,922
3 Year Australia Government Bond		12/15/2010		58		5,788,721		(14,234	)
5 Year U.S. Treasury Note		12/31/2010		33		3,988,617		25,523
10 Year Australia Government Bond		12/15/2010		151		15,744,431		118,026
10 Year Japan Government Bond		12/09/2010		25		42,950,407		183,397
10 Year U.S. Treasury Note		12/21/2010		256		32,268,000		404,062
30 Year U.S. Treasury Bond		12/21/2010		1		133,719		1,219

Total							$	2,297,099


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/15/2010		24	$	1,409,700	$	112,463
Brent Crude Oil		11/15/2010		17		1,404,030		59,160
Coffee		12/20/2010		3		205,931		(5,213	)
Copper		12/15/2010		4		801,900		41,925
Corn		12/14/2010		14		347,025		6,125
Cotton		12/08/2010		5		254,800		10,415
Gas Oil		11/11/2010		25		1,760,000		76,875
Gasoline		10/29/2010		6		513,097		15,649
Gold		12/29/2010		65		8,512,400		395,200
Heating Oil		10/29/2010		31		2,952,676		168,979
KC Wheat		12/14/2010		9		318,488		4,937
Light Sweet Crude Oil		10/20/2010		41		3,278,770		76,260
Natural Gas		10/27/2010		20		774,400		(62,200	)
Nickel		12/15/2010		25		3,510,000		177,615
Silver		12/29/2010		6		654,630		55,940
Soybean		11/12/2010		11		608,712		48,063
Soybean Meal		12/14/2010		19		583,110		13,430
Soybean Oil		12/14/2010		30		811,620		48,426
Sugar		2/28/2011		2		52,595		806
Wheat		12/14/2010		5		168,500		(16,500	)
Zinc		12/15/2010		27		1,479,094		6,581

Total							$	1,234,936

⁽²⁾	Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary.

At September 30, 2010, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Dax		12/17/2010		112	$	23,822,527	$	108,344
E-Mini Dow		12/17/2010		6		321,690		660
E-Mini NASDAQ 100		12/17/2010		50		1,995,500		(9,810	)
E-Mini S&P 500		12/17/2010		454		25,803,090		(808,225	)
EURIBOR		12/13/2010		7		2,360,400		1,073
FTSE 100		12/17/2010		245		21,281,406		108,628
Russell 2000 Mini		12/17/2010		3		202,350		(1,320	)
SGX CNX Nifty		10/28/2010		8		96,432		688
TOPIX		12/10/2010		227		22,474,305		(17,992	)
10 Year Canada Government Bond		12/20/2010		241		29,625,503		(479,940	)

Total							$	(1,097,894	)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	102,950,994	$	—	$	102,950,994
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,835,882		—		2,835,882
Futures Contracts (unrealized appreciation)		4,057,050		—		—		4,057,050

Total	$	4,057,050	$	105,786,876	$	—	$	109,843,926

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(587,027	)	$	—	$	(587,027	)
Futures Contracts (unrealized depreciation)		(1,622,909	)		—			—		(1,622,909	)

Total	$	(1,622,909	)	$	(587,027	)	$	—	$	(2,209,936	)

*	Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included above.

Derivatives

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses 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 Fund will make extensive use 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. During the period ended September 30, 2010, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities, and short-term interest rates to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.

The Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. The agreement contains contingent features that allow the counterparty to terminate open contracts early if the net asset value of the 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 the Fund, as of September 30, 2010:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	2,835,882		$	—		$	—		$	—
Futures		—			372,637			2,365,564			1,318,849

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	(587,027	)	$	—		$	—		$	—
Futures		—			(991,328	)		(547,668	)		(83,913	)

Investment Summary at September 30, 2010 (Unaudited)


Certificates of Deposit	44.6	%
Financial Company Commercial Paper	16.9
Time Deposits	14.0
Municipal Debt	4.9
Other Commercial Paper	3.2

Total Investments	83.6
Other assets less liabilities (including open forward foreign currency and futures contracts)	16.4

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 40.9% of Net Assets
$	900,000	Credit Agricole CIB (NY), 0.660%, 10/04/2010(b)	$	900,039
	900,000	UniCredit Bank AG (NY), 0.570%, 10/12/2010		900,090
	900,000	Royal Bank of Scotland (CT), 0.505%, 10/22/2010(b)		900,146
	1,000,000	Banco Santander (NY), 0.280%, 10/25/2010(b)		1,000,007
	900,000	Skandinaviska Enskilda Banken (NY), 0.510%, 11/08/2010(b)		900,224
	900,000	Lloyds TSB Bank PLC (NY), 0.490%, 11/30/2010		900,319
	900,000	Landesbank Hessen Thueringen Girozentrale, 0.520%, 12/13/2010		900,425
	900,000	Svenska Handelsbanken (NY), 0.250%, 12/15/2010		899,924
	900,000	Intesa Sanpaolo (NY), 0.280%, 12/17/2010		899,903
	900,000	Deutsche Bank AG, 0.480%, 12/30/2010		900,499
	900,000	KBC Bank NV (NY ), 0.630%, 12/30/2010		900,773
	1,100,000	Standard Chartered Bank (NY), 0.320%, 1/05/2011		1,099,823
	900,000	Westpac Banking Corp. (NY), 0.340%, 2/04/2011(b)		900,158
	900,000	Canadian Imperial Bank of Commerce (NY), 0.298%, 2/07/2011(b)(c)		899,848
	200,000	Rabobank Nederland NV (NY), 0.330%, 3/07/2011		199,982

		Total Certificates of Deposit (Identified Cost $13,100,638)		13,102,160

	Financial Company Commercial Paper – 17.5%
	900,000	Dexia Delaware LLC, 0.410%, 10/05/2010(d)		899,959
	1,100,000	ING (US) Funding LLC, 0.320%, 11/05/2010(d)		1,099,658
	900,000	Bank of Nova Scotia (NY), 0.270%, 11/10/2010(d)		899,813
	900,000	Societe Generale North America, 0.300%, 11/19/2010(d)		899,659
	900,000	Rabobank USA Financial Corp., 0.300%, 12/29/2010(d)		899,528
	900,000	Nordea North America, Inc., 0.300%, 1/14/2011(b)(d)		899,282

		Total Financial Company Commercial Paper (Identified Cost $5,597,524)		5,597,899

	Time Deposits – 14.7%
	800,000	Royal Bank of Canada, 0.150%, 10/01/2010		800,000
	1,300,000	Commerzbank AG, 0.170%, 10/01/2010		1,300,000


Principal Amount		Description	Value (†)
	Time Deposits – continued
$	1,300,000	National Bank of Canada, 0.180%, 10/01/2010	$	1,300,000
	1,300,000	Citibank, 0.230%, 10/01/2010		1,300,000

		Total Other Instruments (Identified Cost $4,700,000)		4,700,000

	Municipal Debt – 6.2%
	900,000	Johns Hopkins University (The), Series C, 0.280%, 10/14/2010		900,000
	200,000	Johns Hopkins University (The), Series C, 0.280%, 12/07/2010		200,000
	900,000	Tennessee State School Bond Authority, 0.270%, 12/08/2010		900,000

		Total Other Municipal Debt (Identified Cost $2,000,000)		2,000,000

	Other Commercial Paper – 2.8%
	900,000	GE Co., 0.240%, 10/20/2010(d) (Identified Cost $899,886)		899,935

		Total Investments — 82.1% (Identified Cost $26,298,048)(a)		26,299,994
		Other assets less liabilities — 17.9%		5,730,471

		Net Assets — 100.0%	$	32,030,465

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2010, the value of the Fund’s investment in the subsidiary was $2,468,041, representing 7.7% of the Fund’s net assets.

(†)

(a)	Federal Tax Information:

At September 30, 2010, the net unrealized appreciation on short term investments based on a cost of $26,298,048 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,534
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(588	)

Net unrealized appreciation	$	1,946

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 changes monthly based upon 1 month Libor +4 BP. The rate shown is the rate in effect at the date of this statement.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

At September 30, 2010, 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		12/15/2010	Australian Dollar		8,000,000	$	7,665,484	$	267,541
Sell		12/15/2010	Australian Dollar		2,400,000		2,299,645		(120,448	)
Buy		12/15/2010	British Pound		3,562,500		5,593,479		66,703
Buy		12/15/2010	British Pound		1,687,500		2,649,543		(13,342	)
Sell		12/15/2010	British Pound		500,000		785,050		5,627
Sell		12/15/2010	British Pound		4,875,000		7,654,234		(111,830	)
Buy		12/15/2010	Canadian Dollar		3,300,000		3,201,731		36,968
Buy		12/15/2010	Euro		5,375,000		7,323,422		319,754
Buy		12/15/2010	Euro		625,000		851,561		(798	)
Sell		12/15/2010	Euro		5,375,000		7,323,422		(419,121	)
Buy		12/15/2010	Japanese Yen		250,000,000		2,996,960		30,111
Sell		12/15/2010	Japanese Yen		200,000,000		2,397,568		(54,219	)
Buy		12/15/2010	New Zealand Dollar		10,600,000		7,733,007		139,803
Sell		12/15/2010	New Zealand Dollar		2,700,000		1,969,728		6,977
Sell		12/15/2010	New Zealand Dollar		7,300,000		5,325,562		(58,370	)
Buy		12/15/2010	Norwegian Krone		24,000,000		4,065,400		159,243
Sell		12/15/2010	Norwegian Krone		4,000,000		677,567		224
Sell		12/15/2010	Norwegian Krone		24,000,000		4,065,400		(130,346	)
Buy		12/15/2010	Swedish Krona		28,000,000		4,146,053		254,677
Sell		12/15/2010	Swedish Krona		10,000,000		1,480,733		(17,062	)
Buy		12/15/2010	Swiss Franc		5,875,000		5,982,928		179,599
Sell		12/15/2010	Swiss Franc		2,000,000		2,036,741		(23,879	)

Total								$	517,812

⁽¹⁾	Counterparty is UBS.

Futures Contracts

At September 30, 2010, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		10/15/2010		17	$	1,549,266	$	(5,794	)
CAC 40		10/15/2010		22		1,112,685		(18,281	)
Dax		12/17/2010		6		1,276,207		(4,908	)
E-Mini Dow		12/17/2010		16		857,840		28,270
E-Mini NASDAQ 100		12/17/2010		32		1,277,120		59,927
EURIBOR		12/13/2010		116		39,115,196		(44,612	)
Euro Dollar		12/13/2010		228		56,794,800		32,500
Euro Schatz		12/08/2010		89		13,235,204		(48,797	)
Euro STOXX 50		12/17/2010		3		111,977		(327	)
FTSE 100		12/17/2010		15		1,302,943		(3,417	)
FTSE JSE Top 40		12/15/2010		3		113,445		1,326
German Euro BOBL		12/08/2010		30		4,932,649		(5,317	)
German Euro Bund		12/08/2010		13		2,329,236		10,456
Hang Seng		10/28/2010		11		1,582,760		(4,962	)
IBEX 35		10/15/2010		5		711,514		(3,033	)
MSCI Singapore		10/28/2010		39		2,157,737		(20,759	)
MSCI Taiwan		10/28/2010		65		1,891,500		7,800
OMXS30		10/15/2010		114		1,838,028		6,342
Russell 2000 Mini		12/17/2010		11		741,950		16,450
S&P 500 E Mini		12/17/2010		11		625,185		11,983
S&P TSE 60		12/16/2010		14		1,939,780		38,507
SGX CNX Nifty		10/28/2010		235		2,832,690		(20,210	)
Sterling		12/15/2010		253		49,297,160		8,188
UK Long Gilt		12/29/2010		10		1,952,942		(5,341	)
2 Year U.S. Treasury Note		12/31/2010		120		26,338,125		38,203
3 Year Australia Government Bond		12/15/2010		35		3,493,194		(8,589	)
5 Year U.S. Treasury Note		12/31/2010		41		4,955,555		35,164
10 Year Australia Government Bond		12/15/2010		17		1,772,552		10,700
10 Year Canada Government Bond		12/20/2010		24		2,950,258		18,661
10 Year Japan Government Bond		12/09/2010		3		5,154,049		68,280
10 Year U.S. Treasury Note		12/21/2010		20		2,520,937		22,734
30 Year U.S. Treasury Bond		12/21/2010		7		936,031		(6,344	)

Total							$	214,800


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/15/2010		7	$	411,163	$	27,838
Coffee		12/20/2010		8		549,150		13,031
Copper		12/15/2010		8		1,603,800		83,850
Copper High Grade		12/29/2010		7		639,012		34,388
Corn		12/14/2010		32		793,200		65,725
Cotton		12/08/2010		11		560,560		74,945
Gas Oil		11/11/2010		10		704,000		30,750
Gold		12/29/2010		16		2,095,360		115,440
KC Wheat		12/14/2010		8		283,100		(4,838	)
Live Cattle		12/31/2010		32		1,274,880		9,720
Nickel		12/15/2010		7		982,800		56,574
Silver		12/29/2010		10		1,091,050		140,130
Soybean		11/12/2010		21		1,162,087		92,600
Soybean Meal		12/14/2010		27		828,630		30,840
Soybean Oil		12/14/2010		29		784,566		52,200
Sugar		2/28/2011		22		578,547		7,784
Wheat		12/14/2010		12		404,400		(8,550	)
Zinc		12/15/2010		3		164,344		544

Total							$	822,971

At September 30, 2010, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
FTSE MIB		12/17/2010		2	$	278,117	$	3,940
NIKKEI 225		12/10/2010		5		560,613		(20,664	)
TOPIX		12/10/2010		2		198,011		(3,186	)

Total							$	(19,910	)


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/15/2010		6	$	352,425	$	(31,662	)
Brent Crude Oil		11/15/2010		2		165,180		(6,820	)
Copper		12/15/2010		2		400,950		(19,463	)
Gasoline		10/29/2010		7		598,613		(18,316	)
Heating Oil		10/29/2010		3		285,743		(16,330	)
Light Sweet Crude Oil		10/20/2010		6		479,820		(11,220	)
Natural Gas		10/27/2010		12		464,640		37,320
Nickel		12/15/2010		2		280,800		(624	)
Zinc		12/15/2010		2		109,563		(1,225	)

Total							$	(68,340	)

⁽²⁾	Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	26,299,994	$	—	$	26,299,994
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,467,227		—		1,467,227
Futures Contracts (unrealized appreciation)		1,293,110		—		—		1,293,110

Total	$	1,293,110	$	27,767,221	$	—	$	29,060,331

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(949,415	)	$	—	$	(949,415	)
Futures Contracts (unrealized depreciation)		(343,589	)		—			—		(343,589	)

Total	$	(343,589	)	$	(949,415	)	$	—	$	(1,293,004	)

*	Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included above.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the period ended September 30, 2010, the Fund used long contracts on U.S. and foreign government bonds and short-term interest rates, and long and short contracts on U.S. and foreign equity market indices, foreign currencies, and commodities, in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2010:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	1,467,227		$	—		$	—		$	—
Futures		—			174,544			244,887			873,679

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	(949,415	)	$	—		$	—		$	—
Futures		—			(105,540	)		(119,001	)		(119,048	)

Investment Summary at September 30, 2010 (Unaudited)


Certificates of Deposit	40.9	%
Financial Company Commercial Paper	17.5
Time Deposits	14.7
Municipal Debt	6.2
Other Commercial Paper	2.8

Total Investments	82.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	17.9

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 97.3% of Net Assets
		Aerospace & Defense – 5.9%
	69,200	Boeing Co. (The)	$	4,604,568
	17,100	General Dynamics Corp.		1,074,051
	33,000	Northrop Grumman Corp.		2,000,790

				7,679,409

		Air Freight & Logistics – 0.8%
	11,700	FedEx Corp.		1,000,350

		Capital Markets – 6.6%
	171,100	Bank of New York Mellon Corp.		4,470,843
	39,400	Franklin Resources, Inc.		4,211,860

				8,682,703

		Computers & Peripherals – 3.2%
	100,900	Hewlett-Packard Co.		4,244,863

		Consumer Finance – 2.4%
	185,950	Discover Financial Services		3,101,646

		Diversified Financial Services – 4.6%
	7,000	CME Group, Inc., Class A		1,823,150
	109,600	JPMorgan Chase & Co.		4,172,472

				5,995,622

		Electrical Equipment – 1.9%
	40,300	Rockwell Automation, Inc.		2,487,719

		Energy Equipment & Services – 4.3%
	57,400	National-Oilwell Varco, Inc.		2,552,578
	47,100	Transocean Ltd.(b)		3,028,059

				5,580,637

		Food & Staples Retailing – 7.0%
	175,700	Kroger Co. (The)		3,805,662
	164,600	Safeway, Inc.		3,482,936
	55,400	Walgreen Co.		1,855,900

				9,144,498

		Food Products – 1.0%
	37,600	General Mills, Inc.		1,373,904

		Health Care Equipment & Supplies – 6.1%
	100,200	Baxter International, Inc.		4,780,542
	95,200	Medtronic, Inc.		3,196,816

				7,977,358

		Hotels, Restaurants & Leisure – 10.5%
	199,100	Carnival Corp.		7,607,611
	79,400	Marriott International, Inc., Class A		2,844,902
	19,900	McDonald’s Corp.		1,482,749


Shares		Description	Value (†)
	Common Stocks – continued
		Hotels, Restaurants & Leisure – continued
	35,600	Starwood Hotels & Resorts Worldwide, Inc.	$	1,870,780

				13,806,042

		Household Products – 1.4%
	24,700	Colgate-Palmolive Co.		1,898,442

		Independent Power Producers & Energy Traders – 0.8%
	79,500	Calpine Corp.(b)		989,775

		Insurance – 2.8%
	116,600	Allstate Corp. (The)		3,678,730

		IT Services – 3.0%
	17,300	MasterCard, Inc., Class A		3,875,200

		Machinery – 6.5%
	59,500	Caterpillar, Inc.		4,681,460
	83,100	Illinois Tool Works, Inc.		3,907,362

				8,588,822

		Media – 6.5%
	207,900	Comcast Corp., Special Class A		3,536,379
	92,600	Omnicom Group, Inc.		3,655,848
	40,200	Walt Disney Co. (The)		1,331,022

				8,523,249

		Oil, Gas & Consumable Fuels – 5.6%
	35,200	Apache Corp.		3,441,152
	207,400	Williams Cos., Inc. (The)		3,963,414

				7,404,566

		Semiconductors & Semiconductor Equipment – 10.9%
	390,700	Applied Materials, Inc.		4,563,376
	375,100	Intel Corp.		7,213,173
	92,900	Texas Instruments, Inc.		2,521,306

				14,297,855

		Software – 1.9%
	101,900	Microsoft Corp.		2,495,531

		Specialty Retail – 2.8%
	90,500	Best Buy Co., Inc.		3,695,115

		Textiles, Apparel & Luxury Goods – 0.8%
	13,800	NIKE, Inc., Class B		1,105,932

		Total Common Stocks (Identified Cost $131,899,040)		127,627,968


Principal Amount
	Short-Term Investments – 2.7%
$	3,480,851	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2010 at 0.000% to be repurchased at $3,480,851 on 10/1/2010, collateralized by $3,515,000 Federal Home Loan Bank, 0.360% due 3/22/2011 valued at $3,554,544 including accrued interest(c) (Identified Cost $3,480,851)		3,480,851


Description	Value (†)
Total Investments – 100.0% (Identified Cost $135,379,891)(a)	$	131,108,819
Other assets less liabilities – 0.0%		15,158

Net Assets – 100.0%	$	131,123,977

(†)

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 subadviser 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 Fund by a pricing service recommended by the investment adviser and subadviser 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 Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s 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.

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2010, the net unrealized depreciation on investments based on a cost of $135,379,891 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	5,628,239
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,899,311	)

Net unrealized depreciation	$	(4,271,072	)

At December 31, 2009, the Fund had a capital loss carryforward of approximately $43,802,336 of which $24,633,843 expires on December 31, 2010, $9,965,466 expires on December 31, 2011 and $9,203,027 expires on December 31, 2017. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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. Certain 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.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	127,627,968	$	—	$	—	$	127,627,968
Short-Term Investments		—		3,480,851		—		3,480,851

Total	$	127,627,968	$	3,480,851	$	—	$	131,108,819

*	Major categories of the Fund’s investments are included above.

Industry Summary at September 30, 2010 (Unaudited)


Semiconductors & Semiconductor Equipment	10.9	%
Hotels, Restaurants & Leisure	10.5
Food & Staples Retailing	7.0
Capital Markets	6.6
Machinery	6.5
Media	6.5
Health Care Equipment & Supplies	6.1
Aerospace & Defense	5.9
Oil, Gas & Consumable Fuels	5.6
Diversified Financial Services	4.6
Energy Equipment & Services	4.3
Computers & Peripherals	3.2
IT Services	3.0
Specialty Retail	2.8
Insurance	2.8
Consumer Finance	2.4
Other Investments, less than 2% each	8.6
Short-Term Investments	2.7

Total Investments	100.0
Other assets less liabilities	0.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 100.0%
$	25,002,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2010 at 0.000% to be repurchased at $25,002,000 on 10/01/2010 collateralized by $23,370,000 U.S Treasury Note, 3.125% due 1/31/2017 valued at $25,502,513 including accrued interest(b) (Identified Cost $25,002,000)	$	25,002,000

		Total Investments – 100.0% (Identified Cost $25,002,000)(a)		25,002,000
		Other assets less liabilities – 0.0%		—

		Net Assets – 100.0%	$	25,002,000

(†)	Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

(a)	The aggregate cost for federal income tax purposes was $25,002,000.

(b)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments	$	—	$	25,002,000	$	—	$	25,002,000

PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 90.3% of Net Assets
		Auto Components – 1.8%
	5,975	Autoliv, Inc.	$	390,347
	11,700	Tenneco, Inc.(b)		338,949

				729,296

		Beverages – 1.3%
	11,700	Hansen Natural Corp.(b)		545,454

		Capital Markets – 4.7%
	7,375	Affiliated Managers Group, Inc.(b)		575,324
	61,275	Apollo Investment Corp.		626,843
	46,925	Ares Capital Corp.		734,376

				1,936,543

		Chemicals – 3.2%
	14,125	Celanese Corp., Series A		453,413
	5,325	FMC Corp.		364,283
	10,325	International Flavors & Fragrances, Inc.		500,969

				1,318,665

		Commercial Banks – 1.8%
	29,475	Associated Banc-Corp		388,775
	28,825	Fifth Third Bancorp		346,765

				735,540

		Communications Equipment – 0.6%
	9,125	Polycom, Inc.(b)		248,930

		Construction & Engineering – 1.4%
	11,375	Fluor Corp.		563,404

		Containers & Packaging – 5.8%
	21,225	Crown Holdings, Inc.(b)		608,308
	15,600	Owens-Illinois, Inc.(b)		437,736
	29,975	Packaging Corp. of America		694,521
	20,302	Pactiv Corp.(b)		669,560

				2,410,125

		Electric Utilities – 1.7%
	19,525	American Electric Power Co., Inc.		707,391

		Electrical Equipment – 2.5%
	13,425	Cooper Industries PLC		656,885
	23,425	GrafTech International Ltd.(b)		366,133

				1,023,018

		Energy Equipment & Services – 3.0%
	15,600	Dresser-Rand Group, Inc.(b)		575,484
	24,750	Superior Energy Services, Inc.(b)		660,577

				1,236,061


Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – 2.5%
	10,700	J.M. Smucker Co. (The)	$	647,671
	6,300	Ralcorp Holdings, Inc.(b)		368,424

				1,016,095

		Health Care Equipment & Supplies – 0.8%
	6,475	Zimmer Holdings, Inc.(b)		338,837

		Household Durables – 1.5%
	20,600	Jarden Corp.		641,278

		Household Products – 1.5%
	9,125	Energizer Holdings, Inc.(b)		613,474

		Insurance – 9.1%
	14,275	ACE Ltd.		831,519
	22,250	Allstate Corp. (The)		701,987
	14,525	Reinsurance Group of America, Inc.		701,412
	18,275	Willis Group Holdings PLC		563,236
	44,425	XL Group PLC		962,245

				3,760,399

		IT Services – 1.6%
	23,450	Amdocs Ltd.(b)		672,077

		Life Sciences Tools & Services – 0.9%
	7,850	Thermo Fisher Scientific, Inc.(b)		375,858

		Machinery – 4.8%
	3,975	Eaton Corp.		327,898
	6,475	Flowserve Corp.		708,494
	5,675	Ingersoll-Rand PLC		202,654
	6,475	SPX Corp.		409,738
	7,900	WABCO Holdings, Inc.(b)		331,326

				1,980,110

		Media – 2.5%
	30,850	CBS Corp., Class B		489,281
	14,275	Omnicom Group, Inc.		563,577

				1,052,858

		Metals & Mining – 1.8%
	7,475	Cliffs Natural Resources, Inc.		477,802
	3,475	Walter Energy, Inc.		282,483

				760,285

		Multi Utilities – 5.4%
	43,000	CMS Energy Corp.		774,860
	15,600	PG&E Corp.		708,552
	12,950	Wisconsin Energy Corp.		748,510

				2,231,922

		Multiline Retail – 1.0%
	12,950	Big Lots, Inc.(b)		430,588


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 8.4%
	10,750	Cimarex Energy Co.	$	711,435
	7,975	Concho Resources, Inc.(b)		527,706
	47,650	El Paso Corp.		589,907
	7,950	Massey Energy Co.		246,609
	9,125	Noble Energy, Inc.		685,196
	11,000	Pioneer Natural Resources Co.		715,330

				3,476,183

		Pharmaceuticals – 1.4%
	23,761	Valeant Pharmaceuticals International, Inc.		595,214

		Professional Services – 1.4%
	11,700	Towers Watson & Co., Class A		575,406

		REITs - Apartments – 2.7%
	13,375	Camden Property Trust		641,598
	10,375	Equity Residential		493,539

				1,135,137

		REITs - Hotels – 1.0%
	28,048	Host Hotels & Resorts, Inc.		406,135

		REITs - Office Property – 1.5%
	16,350	Corporate Office Properties Trust		610,019

		Semiconductors & Semiconductor Equipment – 1.8%
	13,850	Altera Corp.		417,716
	16,700	Skyworks Solutions, Inc.(b)		345,356

				763,072

		Software – 3.0%
	12,750	Adobe Systems, Inc.(b)		333,412
	6,475	Intuit, Inc.(b)		283,670
	40,200	Nuance Communications, Inc.(b)		628,728

				1,245,810

		Specialty Retail – 0.8%
	19,500	Collective Brands, Inc.(b)		314,730

		Textiles, Apparel & Luxury Goods – 2.9%
	10,750	Phillips-Van Heusen Corp.		646,720
	6,925	VF Corp.		561,063

				1,207,783

		Thrifts & Mortgage Finance – 1.4%
	45,975	People’s United Financial, Inc.		601,813

		Trading Companies & Distributors – 1.4%
	14,275	WESCO International, Inc.(b)		560,865

		Wireless Telecommunication Services – 1.4%
	26,075	Syniverse Holdings, Inc.(b)		591,120

		Total Common Stocks (Identified Cost $35,368,968)		37,411,495


Shares		Description	Value (†)
	Exchange Traded Funds – 4.7%
	47,650	iShares Russell Midcap Value Index Fund (Identified Cost $1,841,723)	$	1,923,630


Principal Amount
	Short-Term Investments – 3.7%
$	1,546,050	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2010 at 0.000% to be repurchased at $1,546,050 on 10/01/2010, collateralized by $1,560,000 Federal Home Loan Bank, 0.360% due 3/22/2011 valued at $1,577,550 including accrued interest(c) (Identified Cost $1,546,050)		1,546,050

		Total Investments – 98.7% (Identified Cost $38,756,741)(a)		40,881,175
		Other assets less liabilities – 1.3%		536,220

		Net Assets – 100.0%	$	41,417,395

(†)

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 subadviser 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 Fund by a pricing service recommended by the investment adviser and 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 Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s 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.

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2010, the net unrealized appreciation on investments based on a cost of $38,756,741 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,909,399
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(784,965	)

Net unrealized appreciation	$	2,124,434

(b)	Non-income producing security.

(c)

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	37,411,495	$	—	$	—	$	37,411,495
Exchange Traded Funds		1,923,630		—		—		1,923,630
Short-Term Investments		—		1,546,050		—		1,546,050

Total	$	39,335,125	$	1,546,050	$	—	$	40,881,175

*	Major categories of the Fund’s investments are included above.

Industry Summary at September 30, 2010 (Unaudited)


Insurance	9.1	%
Oil, Gas & Consumable Fuels	8.4
Containers & Packaging	5.8
Multi-Utilities	5.4
Machinery	4.8
Capital Markets	4.7
Exchange Traded Funds	4.7
Chemicals	3.2
Software	3.0
Energy Equipment & Services	3.0
Textiles, Apparel & Luxury Goods	2.9
REITs - Apartments	2.7
Media	2.5
Electrical Equipment	2.5
Food Products	2.5
Other Investments, less than 2% each	29.8
Short-Term Investments	3.7

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2010 (Unaudited)

Westpeak ActiveBeta^® Equity Fund


Shares		Description	Value (†)
	Common Stocks – 100.1%
		Aerospace & Defense – 2.7% of Net Assets
	389	Boeing Co. (The)	$	25,884
	189	General Dynamics Corp.		11,871
	143	Goodrich Corp.		10,543
	246	Honeywell International, Inc.		10,809
	306	L-3 Communications Holdings, Inc.		22,115
	59	Northrop Grumman Corp.		3,577
	122	Precision Castparts Corp.		15,537
	323	Raytheon Co.		14,764
	114	Rockwell Collins, Inc.		6,641
	255	United Technologies Corp.		18,164

				139,905

		Air Freight & Logistics – 0.4%
	286	United Parcel Service, Inc., Class B		19,073

		Airlines – 0.7%
	2,674	Southwest Airlines Co.		34,949

		Auto Components – 0.7%
	1,845	Goodyear Tire & Rubber Co. (The)(b)		19,834
	567	Johnson Controls, Inc.		17,293

				37,127

		Automobiles – 0.7%
	2,826	Ford Motor Co.(b)		34,590
	142	Harley-Davidson, Inc.		4,039

				38,629

		Beverages – 2.1%
	147	Brown-Forman Corp., Class B		9,061
	528	Coca-Cola Co. (The)		30,899
	468	Coca-Cola Enterprises, Inc.		14,508
	831	Constellation Brands, Inc., Class A(b)		14,700
	574	Dr Pepper Snapple Group, Inc.		20,388
	265	PepsiCo, Inc.		17,607

				107,163

		Biotechnology – 0.6%
	198	Amgen, Inc.(b)		10,912
	289	Cephalon, Inc.(b)		18,045

				28,957

		Building Products – 0.4%
	1,873	Masco Corp.		20,622

		Capital Markets – 1.6%
	416	Ameriprise Financial, Inc.		19,689
	241	Goldman Sachs Group, Inc. (The)		34,844
	963	Morgan Stanley		23,767


Shares		Description	Value (†)
	Common Stocks – continued
		Capital Markets – continued
	102	State Street Corp.	$	3,841

				82,141

		Chemicals – 1.2%
	367	Dow Chemical Co. (The)		10,078
	378	E.I. Du Pont de Nemours & Co.		16,866
	53	Eastman Chemical Co.		3,922
	161	FMC Corp.		11,014
	134	International Flavors & Fragrances, Inc.		6,502
	173	PPG Industries, Inc.		12,594

				60,976

		Commercial Banks – 3.3%
	457	Comerica, Inc.		16,978
	248	Fifth Third Bancorp		2,983
	2,158	Huntington Bancshares, Inc.		12,236
	964	KeyCorp		7,673
	166	M&T Bank Corp.		13,581
	774	PNC Financial Services Group, Inc.		40,178
	734	Regions Financial Corp.		5,336
	280	SunTrust Banks, Inc.		7,232
	2,443	Wells Fargo & Co.		61,393

				167,590

		Commercial Services & Supplies – 0.8%
	241	Avery Dennison Corp.		8,946
	399	Cintas Corp.		10,992
	1,255	R. R. Donnelley & Sons Co.		21,285

				41,223

		Communications Equipment – 1.6%
	1,576	Cisco Systems, Inc.(b)		34,514
	233	Harris Corp.		10,320
	1,755	JDS Uniphase Corp.(b)		21,745
	1,878	Motorola, Inc.(b)		16,019

				82,598

		Computers & Peripherals – 5.6%
	422	Apple, Inc.(b)		119,743
	829	Dell, Inc.(b)		10,744
	575	EMC Corp.(b)		11,678
	654	Hewlett-Packard Co.		27,514
	960	Lexmark International, Inc., Class A(b)		42,835
	515	NetApp, Inc.(b)		25,642
	685	SanDisk Corp.(b)		25,105
	805	Western Digital Corp.(b)		22,854

				286,115

		Construction & Engineering – 0.1%
	192	Jacobs Engineering Group, Inc.(b)		7,430

		Consumer Finance – 1.5%
	441	American Express Co.		18,535
	609	Capital One Financial Corp.		24,086


Shares		Description	Value (†)
	Common Stocks – continued
		Consumer Finance – continued
	758	Discover Financial Services	$	12,643
	1,790	SLM Corp.(b)		20,675

				75,939

		Containers & Packaging – 0.6%
	57	Ball Corp.		3,355
	319	Owens-Illinois, Inc.(b)		8,951
	734	Sealed Air Corp.		16,500

				28,806

		Diversified Consumer Services – 0.4%
	163	Apollo Group, Inc., Class A(b)		8,370
	90	DeVry, Inc.		4,429
	742	H&R Block, Inc.		9,609

				22,408

		Diversified Financial Services – 2.3%
	3,072	Bank of America Corp.		40,274
	3,836	Citigroup, Inc.(b)		14,960
	1,668	JPMorgan Chase & Co.		63,501

				118,735

		Diversified Telecommunication Services – 2.7%
	2,078	AT&T, Inc.		59,431
	3,512	Qwest Communications International, Inc.		22,020
	1,221	Verizon Communications, Inc.		39,792
	1,251	Windstream Corp.		15,375

				136,618

		Electric Utilities – 0.5%
	904	Pepco Holdings, Inc.		16,815
	157	Pinnacle West Capital Corp.		6,479

				23,294

		Electrical Equipment – 0.4%
	291	Emerson Electric Co.		15,324
	115	Rockwell Automation, Inc.		7,099

				22,423

		Energy Equipment & Services – 1.7%
	186	FMC Technologies, Inc.(b)		12,702
	362	Halliburton Co.		11,971
	1,166	Nabors Industries Ltd.(b)		21,058
	432	National-Oilwell Varco, Inc.		19,211
	165	Rowan Cos., Inc.(b)		5,009
	311	Schlumberger Ltd.		19,161

				89,112

		Food & Staples Retailing – 1.3%
	601	Safeway, Inc.		12,717
	1,868	SUPERVALU, Inc.		21,538
	274	Wal-Mart Stores, Inc.		14,664
	245	Walgreen Co.		8,208


Shares		Description	Value (†)
	Common Stocks – continued
		Food & Staples Retailing – continued
	270	Whole Foods Market, Inc.(b)	$	10,020

				67,147

		Food Products – 1.8%
	534	ConAgra Foods, Inc.		11,716
	1,798	Dean Foods Co.(b)		18,357
	123	Kraft Foods, Inc., Class A		3,796
	191	Mead Johnson Nutrition Co., Class A		10,870
	1,392	Sara Lee Corp.		18,694
	1,787	Tyson Foods, Inc., Class A		28,628

				92,061

		Gas Utilities – 0.5%
	125	Nicor, Inc.		5,727
	389	Oneok, Inc.		17,521

				23,248

		Health Care Equipment & Supplies – 0.4%
	107	Hospira, Inc.(b)		6,100
	17	Intuitive Surgical, Inc.(b)		4,824
	145	Varian Medical Systems, Inc.(b)		8,772

				19,696

		Health Care Providers & Services – 2.7%
	720	Aetna, Inc.		22,759
	465	AmerisourceBergen Corp.		14,257
	618	Cardinal Health, Inc.		20,419
	200	CIGNA Corp.		7,156
	560	Coventry Health Care, Inc.(b)		12,057
	612	Humana, Inc.(b)		30,747
	168	McKesson Corp.		10,379
	609	UnitedHealth Group, Inc.		21,382

				139,156

		Hotels, Restaurants & Leisure – 3.1%
	131	Darden Restaurants, Inc.		5,604
	525	Marriott International, Inc., Class A		18,811
	366	McDonald’s Corp.		27,271
	473	Starbucks Corp.		12,099
	462	Starwood Hotels & Resorts Worldwide, Inc.		24,278
	1,652	Wyndham Worldwide Corp.		45,381
	242	Wynn Resorts Ltd.		20,998
	102	Yum! Brands, Inc.		4,698

				159,140

		Household Durables – 1.4%
	955	D.R. Horton, Inc.		10,620
	328	Newell Rubbermaid, Inc.		5,842
	2,393	Pulte Group, Inc.(b)		20,963
	214	Stanley Black & Decker, Inc.		13,114
	261	Whirlpool Corp.		21,130

				71,669


Shares		Description	Value (†)
	Common Stocks – continued
		Household Products – 1.1%
	971	Procter & Gamble Co. (The)	$	58,231

		Independent Power Producers & Energy Traders – 0.9%
	1,116	AES Corp. (The)(b)		12,667
	416	Constellation Energy Group, Inc.		13,412
	965	NRG Energy, Inc.(b)		20,091

				46,170

		Industrial Conglomerates – 2.4%
	132	3M Co.		11,446
	5,521	General Electric Co.		89,716
	817	Textron, Inc.		16,797
	182	Tyco International Ltd.		6,685

				124,644

		Insurance – 3.6%
	324	ACE Ltd.		18,873
	244	Aflac, Inc.		12,617
	870	Assurant, Inc.		35,409
	473	Berkshire Hathaway, Inc., Class B(b)		39,108
	669	Genworth Financial, Inc., Class A(b)		8,175
	284	Hartford Financial Services Group, Inc.		6,518
	443	Prudential Financial, Inc.		24,002
	75	Torchmark Corp.		3,986
	315	Travelers Cos., Inc. (The)		16,411
	868	Unum Group		19,226

				184,325

		Internet & Catalog Retail – 1.3%
	220	Amazon.com, Inc.(b)		34,553
	92	Priceline.com, Inc.(b)		32,048

				66,601

		Internet Software & Services – 1.3%
	527	Akamai Technologies, Inc.(b)		26,445
	292	eBay, Inc.(b)		7,125
	46	Google, Inc., Class A(b)		24,186
	308	VeriSign, Inc.(b)		9,776

				67,532

		IT Services – 2.9%
	400	Cognizant Technology Solutions Corp., Class A(b)		25,788
	484	Computer Sciences Corp.		22,264
	248	Fiserv, Inc.(b)		13,347
	496	International Business Machines Corp.		66,534
	374	SAIC, Inc.(b)		5,977
	910	Total System Services, Inc.		13,868

				147,778

		Leisure Equipment & Products – 0.3%
	383	Hasbro, Inc.		17,047

		Life Sciences Tools & Services – 0.2%
	215	Thermo Fisher Scientific, Inc.(b)		10,294


Shares		Description	Value (†)
	Common Stocks – continued
		Machinery – 2.6%
	386	Caterpillar, Inc.	$	30,370
	295	Cummins, Inc.		26,721
	367	Deere & Co.		25,609
	221	Dover Corp.		11,538
	199	Eaton Corp.		16,416
	159	PACCAR, Inc.		7,656
	179	Parker Hannifin Corp.		12,541
	74	Snap-On, Inc.		3,442

				134,293

		Media – 4.4%
	2,556	CBS Corp., Class B		40,538
	851	Comcast Corp., Class A		15,386
	552	DIRECTV, Class A(b)		22,980
	399	Discovery Communications, Inc., Class A(b)		17,376
	3,137	Gannett Co., Inc.		38,365
	2,353	Interpublic Group of Cos., Inc. (The)(b)		23,601
	1,113	New York Times Co. (The), Class A(b)		8,615
	347	News Corp., Class A		4,532
	382	Time Warner Cable, Inc.		20,624
	174	Time Warner, Inc.		5,333
	328	Viacom, Inc., Class B		11,870
	569	Walt Disney Co. (The)		18,840

				228,060

		Metals & Mining – 2.0%
	1,161	Alcoa, Inc.		14,060
	400	Allegheny Technologies, Inc.		18,580
	393	Cliffs Natural Resources, Inc.		25,121
	168	Freeport-McMoRan Copper & Gold, Inc.		14,345
	223	Newmont Mining Corp.		14,007
	947	Titanium Metals Corp.(b)		18,902

				105,015

		Multi-Utilities – 2.0%
	112	Ameren Corp.		3,181
	728	CMS Energy Corp.		13,119
	290	Dominion Resources, Inc.		12,661
	571	DTE Energy Co.		26,226
	671	Integrys Energy Group, Inc.		34,932
	540	NiSource, Inc.		9,396
	316	TECO Energy, Inc.		5,473

				104,988

		Multiline Retail – 2.2%
	503	Big Lots, Inc.(b)		16,725
	281	Family Dollar Stores, Inc.		12,409
	649	J.C. Penney Co., Inc.		17,640
	1,262	Macy’s, Inc.		29,139
	305	Sears Holdings Corp.(b)		22,003
	267	Target Corp.		14,268

				112,184


Shares		Description	Value (†)
	Common Stocks – continued
		Office Electronics – 0.4%
	2,096	Xerox Corp.	$	21,694

		Oil, Gas & Consumable Fuels – 7.6%
	941	Chevron Corp.		76,268
	883	ConocoPhillips		50,711
	480	El Paso Corp.		5,942
	118	EOG Resources, Inc.		10,970
	1,984	ExxonMobil Corp.		122,591
	171	Hess Corp.		10,110
	266	Murphy Oil Corp.		16,471
	143	Occidental Petroleum Corp.		11,197
	187	Peabody Energy Corp.		9,165
	381	Pioneer Natural Resources Co.		24,776
	815	Sunoco, Inc.		29,748
	679	Valero Energy Corp.		11,889
	546	Williams Cos., Inc. (The)		10,434

				390,272

		Paper & Forest Products – 1.1%
	951	International Paper Co.		20,684
	785	MeadWestvaco Corp.		19,139
	917	Weyerhaeuser Co.		14,452

				54,275

		Personal Products – 0.4%
	306	Estee Lauder Cos., Inc. (The), Class A		19,348

		Pharmaceuticals – 3.1%
	160	Abbott Laboratories		8,358
	233	Bristol-Myers Squibb Co.		6,317
	185	Eli Lilly & Co.		6,758
	446	Forest Laboratories, Inc.(b)		13,795
	785	Johnson & Johnson		48,638
	2,448	King Pharmaceuticals, Inc.(b)		24,382
	559	Merck & Co., Inc.		20,577
	300	Mylan, Inc.(b)		5,643
	1,577	Pfizer, Inc.		27,077

				161,545

		Real Estate Management & Development – 0.3%
	978	CB Richard Ellis Group, Inc., Class A(b)		17,878

		REITs – 0.4%
	599	Plum Creek Timber Co., Inc.		21,145

		REITs - Apartments – 1.3%
	978	Apartment Investment & Management Co., Class A		20,910
	197	AvalonBay Communities, Inc.		20,474
	514	Equity Residential		24,451

				65,835

		REITs - Diversified – 0.4%
	240	Vornado Realty Trust		20,527


Shares		Description	Value (†)
	Common Stocks – continued
		REITs - Healthcare – 0.7%
	370	HCP, Inc.	$	13,313
	156	Health Care REIT, Inc.		7,385
	318	Ventas, Inc.		16,399

				37,097

		REITs - Hotels – 0.4%
	1,248	Host Hotels & Resorts, Inc.		18,071

		REITs - Office Property – 0.3%
	195	Boston Properties, Inc.		16,208

		REITs - Regional Malls – 0.4%
	248	Simon Property Group, Inc.		23,000

		REITs - Shopping Centers – 0.7%
	2,251	Kimco Realty Corp.		35,453

		REITs - Storage – 0.6%
	302	Public Storage		29,306

		Road & Rail – 0.8%
	182	CSX Corp.		10,068
	85	Norfolk Southern Corp.		5,059
	401	Ryder System, Inc.		17,151
	119	Union Pacific Corp.		9,734

				42,012

		Semiconductors & Semiconductor Equipment – 2.4%
	3,548	Advanced Micro Devices, Inc.(b)		25,226
	419	Altera Corp.		12,637
	1,803	Intel Corp.		34,672
	4,058	LSI Corp.(b)		18,504
	2,799	Micron Technology, Inc.(b)		20,181
	1,240	Teradyne, Inc.(b)		13,814

				125,034

		Software – 4.3%
	487	CA, Inc.		10,285
	279	Citrix Systems, Inc.(b)		19,039
	1,961	Compuware Corp.(b)		16,727
	370	Intuit, Inc.(b)		16,210
	95	McAfee, Inc.(b)		4,490
	2,964	Microsoft Corp.		72,588
	628	Oracle Corp.		16,862
	403	Red Hat, Inc.(b)		16,523
	235	Salesforce.com, Inc.(b)		26,273
	1,569	Symantec Corp.(b)		23,802

				222,799

		Specialty Retail – 1.5%
	249	AutoNation, Inc.(b)		5,789
	52	AutoZone, Inc.(b)		11,903
	365	Best Buy Co., Inc.		14,903
	934	GameStop Corp., Class A(b)		18,409
	861	Limited Brands, Inc.		23,058


Shares		Description	Value (†)
	Common Stocks – continued
		Specialty Retail – continued
	173	Lowe’s Cos., Inc.	$	3,856

				77,918

		Textiles, Apparel & Luxury Goods – 0.3%
	78	Coach, Inc.		3,351
	176	NIKE, Inc., Class B		14,105

				17,456

		Thrifts & Mortgage Finance – 0.2%
	744	Hudson City Bancorp, Inc.		9,121

		Tobacco – 0.7%
	462	Altria Group, Inc.		11,097
	311	Philip Morris International, Inc.		17,422
	125	Reynolds American, Inc.		7,424

				35,943

		Trading Companies & Distributors – 0.1%
	120	Fastenal Co.		6,383

		Wireless Telecommunication Services – 0.7%
	272	American Tower Corp., Class A(b)		13,943
	5,023	Sprint Nextel Corp.(b)		23,256

				37,199

		Total Common Stocks (Identified Cost $4,986,062)		5,156,631

		Total Investments – 100.1% (Identified Cost $4,986,062)(a)		5,156,631
		Other assets less liabilities – (0.1)%		(4,588	)

		Net Assets – 100.0%	$	5,152,043

(†)

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2010, the net unrealized appreciation on investments based on a cost of $4,986,062 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	$	254,128
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(83,559	)

Net unrealized appreciation	$	170,569

(b)	Non-income producing security.

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	5,156,631	$	—	$	—	$	5,156,631

*	Major categories of the Fund’s investments are included above.

Industry Summary at September 30, 2010 (Unaudited)


Oil, Gas & Consumable Fuels	7.6	%
Computers & Peripherals	5.6
Media	4.4
Software	4.3
Insurance	3.6
Commercial Banks	3.3
Pharmaceuticals	3.1
Hotels, Restaurants & Leisure	3.1
IT Services	2.9
Aerospace & Defense	2.7
Health Care Providers & Services	2.7
Diversified Telecommunication Services	2.7
Machinery	2.6
Semiconductors & Semiconductor Equipment	2.4
Industrial Conglomerates	2.4
Diversified Financial Services	2.3
Multiline Retail	2.2
Beverages	2.1
Metals & Mining	2.0
Multi-Utilities	2.0
Other Investments, less than 2% each	36.1

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

ITEM 2.

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-Q 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 that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.

EXHIBITS


(a)(1)		Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)		Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

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:		November 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:		November 22, 2010

By:		/S/ MICHAEL C. KARDOK
Name:		Michael C. Kardok
Title:		Treasurer

Date:		November 22, 2010