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: March 31, 2011

ITEM 1. SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 56.9% of Net Assets
$	4,500,000	Standard Chartered Bank (NY), 0.250%, 4/11/2011	$	4,500,068
	8,000,000	Sumitomo Mitsui Bank (NY), 0.250%, 4/12/2011		8,000,000
	10,000,000	Deutsche Bank AG, 0.300%, 4/13/2011		10,000,470
	12,000,000	Banco Santander (NY), 0.430%, 4/18/2011		12,000,000
	2,000,000	Nordea Bank Finland (NY), 0.280%, 4/19/2011		2,000,052
	8,000,000	KBC Bank NV (NY), 0.500%, 4/28/2011		8,001,680
	2,000,000	Bank of Nova Scotia (TX), 0.270%, 5/09/2011		2,000,108
	8,000,000	Dexia Credit Local SA (NY), 0.520%, 5/09/2011		8,002,168
	2,000,000	Rabobank Nederland NV (NY), 0.310%, 5/13/2011		2,000,214
	12,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 5/16/2011		12,000,456
	5,000,000	Landesbank Hessen Thueringen Girozentrale, 0.360%, 5/16/2011		5,000,575
	5,000,000	UniCredit Bank AG (NY), 0.440%, 5/16/2011		5,000,255
	4,000,000	KBC Bank NV (NY), 0.490%, 5/23/2011		4,001,292
	5,500,000	Lloyds TSB Bank PLC (NY), 0.450%, 5/27/2011		5,501,562
	12,000,000	Societe Generale, 0.300%, 5/31/2011		12,000,000
	5,600,000	Svenska Handelsbanken (NY), 0.280%, 6/03/2011		5,599,798
	4,400,000	Svenska Handelsbanken (NY), 0.305%, 6/03/2011		4,400,040
	3,900,000	Credit Industriel et Commercial (NY), 0.430%, 6/06/2011		3,900,944
	12,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.290%, 6/07/2011		11,999,544
	2,000,000	Svenska Handelsbanken (NY), 0.365%, 6/13/2011(b)		2,000,266
	250,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.754%, 6/17/2011(c)		249,984
	2,000,000	Landesbank Hessen Thueringen Girozentrale, 0.340%, 6/27/2011		2,000,048
	7,500,000	Standard Chartered Bank (NY), 0.270%, 6/28/2011		7,499,445
	1,700,000	Dexia Credit Local SA (NY), 0.648%, 6/29/2011(b)(c)		1,699,801
	5,000,000	Landesbank Hessen Thueringen Girozentrale, 0.300%, 6/30/2011		5,000,000
	2,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		2,000,218
	4,500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		4,501,071


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	12,000,000	Westpac Banking Corp. (NY), 0.280%, 8/04/2011(b)(d)		$11,998,812
	7,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011		7,002,842
	5,000,000	Canadian Imperial Bank of Commerce (NY), 0.292%, 10/24/2011(b)(e)		4,998,665
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.288%, 11/28/2011(b)(e)		5,998,062

		Total Certificates of Deposit (Identified Cost $180,851,933)		180,858,440

	Financial Company Commercial Paper – 24.2%
	7,000,000	Louis Dreyfus Corp., (Credit Support: Calyon) 0.230%, 4/01/2011(f)		7,000,000
	5,000,000	Credit Agricole, 0.370%, 4/08/2011(b)(f)		4,999,865
	10,000,000	ING (US) Funding LLC, 0.240%, 4/12/2011(f)		9,999,460
	6,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.600%, 4/20/2011(b)(f)		5,998,374
	12,000,000	Intesa Funding LLC, 0.330%, 4/25/2011(f)		11,997,360
	8,000,000	Bank of Nova Scotia (NY), 0.270%, 5/10/2011(f)		7,998,576
	6,500,000	Nordea North America, Inc., 0.330%, 5/19/2011(f)		6,498,011
	3,500,000	Nordea North America, Inc., 0.240%, 6/17/2011(f)		3,498,089
	2,000,000	Lloyds TSB Bank, (Credit Support: Lloyds PLC) 0.270%, 6/20/2011(f)		1,998,722
	5,000,000	Royal Bank of Scotland PLC, 0.360%, 6/20/2011(f)		4,996,805
	12,000,000	European Investment Bank, 0.250%, 6/24/2011(f)		11,992,716

		Total Financial Company Commercial Paper (Identified Cost $76,975,170)		76,977,978

	Time Deposits – 2.4%
	7,700,000	Citibank, 0.130%, 4/01/2011 (Identified Cost $7,700,000)		7,700,000

		Total Investments — 83.5% (Identified Cost $265,527,103)(a)		265,536,418
		Other assets less liabilities — 16.5%		52,469,778

		Net Assets — 100.0%	$	318,006,196

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 March 31, 2011, the value of the Fund’s investment in the Subsidiary was $33,867,102, representing 10.6% 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. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price. 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 Trustee.

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 March 31, 2011, the net unrealized appreciation on short term investments based on a cost of $265,527,103 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	$	15,952
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,637	)

Net unrealized appreciation	$	9,315

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, 2010 post-October capital loss deferrals were $14,494,432. 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 has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

(c)	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.

(d)	Interest rate changes monthly based upon 1 Month Libor +2 BP. The rate shown is the rate in effect at the date of this statement.

(e)	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.

(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, including forward foreign cross 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. Certain contracts may require the movement of cash or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. At March 31, 2011, 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	06/15/2011	Australian Dollar		65,200,000	$	66,841,237	$	1,785,329
Sell	06/15/2011	Australian Dollar		31,900,000		32,702,998		(1,324,458	)
Buy	06/15/2011	British Pound		10,750,000		17,228,622		(20,881	)
Buy	06/15/2011	Canadian Dollar		6,200,000		6,384,520		2,656
Sell	06/15/2011	Canadian Dollar		32,700,000		33,673,195		(323,326	)
Buy	06/15/2011	Euro		16,750,000		23,704,998		419,316
Buy	06/15/2011	Japanese Yen		8,300,000,000		99,827,912		(1,499,580	)
Sell	06/15/2011	Japanese Yen		3,187,500,000		38,337,526		244,929
Buy	06/15/2011	New Zealand Dollar		9,200,000		6,987,027		265,543
Sell	06/15/2011	New Zealand Dollar		22,600,000		17,163,783		(562,275	)
Buy	06/15/2011	Norwegian Krone		104,000,000		18,732,536		250,811
Sell	06/15/2011	Norwegian Krone		68,000,000		12,248,197		(184,450	)
Buy	06/15/2011	Swedish Krona		224,000,000		35,358,263		300,851
Sell	06/15/2011	Swedish Krona		80,000,000		12,627,951		97,551
Buy	06/15/2011	Swiss Franc		28,625,000		31,180,160		214,383

Total							$	(333,601	)

⁽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 commodity, instrument or index 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 an amount of cash or short-term high-quality securities as “initial margin.” 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 cash or securities on deposit with the broker. 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 March 31, 2011, open futures contracts purchased were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-Mini Dow	06/17/2011		80	$	4,900,800	$	30,985
E-Mini NASDAQ 100	06/17/2011		79		3,691,275		189,205
Euro Dollar	09/19/2011		2,516		626,106,600		462,963
FTSE MIB	06/17/2011		46		6,960,136		21,917
German Euro Bund	06/08/2011		172		29,563,007		(328,238	)
Hang Seng	04/28/2011		56		8,464,559		105,829


IBEX 35	04/15/2011		6		898,618		(14,087	)
MSCI Singapore	04/28/2011		15		873,225		5,236
MSCI Taiwan	04/28/2011		274		8,414,540		81,310
Nikkei 225	06/10/2011		20		2,346,718		74,537
S&P TSE 60	06/16/2011		95		15,821,248		40,784
TOPIX	06/10/2011		7		728,781		13,465
UK Long Gilt	06/28/2011		278		52,253,996		(635,664	)
2 Year U.S. Treasury Note	06/30/2011		4		872,500		(2,750	)
3 Year Australia Government Bond	06/15/2011		304		32,248,663		(70,369	)
5 Year U.S. Treasury Note	06/30/2011		3		350,367		(3,023	)
10 Year U.S. Treasury Note	06/21/2011		596		70,942,625		(9,875	)
30 Year U.S. Treasury Bond	06/21/2011		54		6,490,125		(58,313	)

Total						$	(96,088	)


Commodity Futures⁽²⁾	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	06/15/2011		199	$	13,157,631	$	236,312
Brent Crude Oil	05/16/2011		45		5,274,000		113,840
Cocoa	05/13/2011		31		915,120		(220,720	)
Coffee	05/18/2011		10		990,563		36,938
Copper	06/15/2011		50		11,786,562		70,612
Copper High Grade	05/26/2011		2		215,375		(7,475	)
Corn	05/13/2011		6		207,975		(11,475	)
Cotton	05/06/2011		11		1,101,265		32,505
Gas Oil	05/12/2011		99		9,793,575		123,750
Gasoline	04/29/2011		4		522,094		23,839
Gold	06/28/2011		294		42,333,060		149,360
Heating Oil	04/29/2011		74		9,673,650		319,360
KC Wheat	05/13/2011		4		181,600		(9,200	)
Light Sweet Crude Oil	04/19/2011		26		2,774,720		214,910
Live Cattle	06/30/2011		44		2,129,160		75,970
Nickel	06/15/2011		68		10,648,392		(219,096	)
Silver	05/26/2011		9		1,704,960		264,360
Soybean	05/13/2011		15		1,057,687		7,688
Soybean Meal	05/13/2011		42		1,556,940		10,080
Soybean Oil	05/13/2011		10		352,680		9,360
Sugar	04/29/2011		3		91,090		(168	)
Zinc	06/15/2011		167		9,846,737		(171,175	)

Total						$	1,049,575

At March 31, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200	06/16/2011		17	$	2,138,647	$	(89,678	)
CAC 40	04/15/2011		66		3,732,988		(8,333	)
E-Mini S&P 500	06/17/2011		22		1,453,100		(8,300	)
EURIBOR	09/19/2011		172		59,818,287		30,470
Euro Schatz	06/08/2011		5		759,477		425
Euro STOXX 50	06/17/2011		6		241,831		425
FTSE 100	06/17/2011		4		377,596		(770	)
FTSE JSE Top 40	06/15/2011		7		302,661		466
German Euro BOBL	06/08/2011		5		811,843		780
OMXS30	04/15/2011		299		5,311,455		(169,264	)
Russell 2000 Mini	06/17/2011		15		1,262,550		(52,430	)
SGX CNX Nifty	04/28/2011		58		680,804		(17,226	)


Sterling		09/21/2011		220		43,564,033		—
10 Year Australia Government Bond		06/15/2011		464		49,820,861		143,999
10 Year Canada Government Bond		06/21/2011		11		1,361,527		7,829
10 Year Japan Government Bond		06/09/2011		3		5,033,061		5,049

Total							$	(156,558	)


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized (Depreciation)
Natural Gas		04/27/2011		99	$	4,345,110	$	(323,540	)
Wheat		05/13/2011		5		190,813		(9,038	)

Total							$	(332,578	)

⁽²⁾	Commodity futures are held by ASG Diversifying Strategies 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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	265,536,418	$	—	$	265,536,418
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,581,369		—		3,581,369
Futures Contracts (unrealized appreciation)		2,904,558		—		—		2,904,558

Total	$	2,904,558	$	269,117,787	$	—	$	272,022,345

Liability Valuation Inputs



Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,914,970	)	$	—	$	(3,914,970	)
Futures Contracts (unrealized depreciation)		(2,440,207	)		—			—		(2,440,207	)

Total	$	(2,440,207	)	$	(3,914,970	)	$	—	$	(6,355,177	)

*	Major categories of the Fund’s investments 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 used during the period include forward foreign currency contracts and futures contracts.

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 a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended March 31, 2011, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), 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 agreements with counterparties that govern transactions in forward foreign currency contracts. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2011, the fair value of derivative positions subject to credit-risk-related contingent features that are in a net liability position (unrealized depreciation) by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS	$	(333,601	)	$	6,985,000

As of March 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $3,581,369 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of March 31, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	3,581,369		$	—		$	—		$	—
Futures		—			564,159			651,515			1,688,884

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	(3,914,970	)	$	—		$	—		$	—
Futures		—			(360,088	)		(1,108,232	)		(971,887	)

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 March 31, 2011 (Unaudited)


Certificates of Deposit	56.9	%
Financial Company Commercial Paper	24.2
Time Deposits	2.4

Total Investments	83.5
Other assets less liabilities (including open forward foreign currency and futures contracts)	16.5

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 60.5% of Net Assets
$	4,000,000	Sumitomo Mitsui Bank (NY), 0.300%, 4/01/2011	$	4,000,000
	10,000,000	Standard Chartered Bank (NY), 0.250%, 4/11/2011		10,000,150
	12,000,000	Sumitomo Mitsui Bank (NY), 0.250%, 4/12/2011		12,000,000
	20,000,000	Deutsche Bank AG, 0.300%, 4/13/2011		20,000,940
	8,200,000	Dexia Credit Local SA (NY), 0.410%, 4/15/2011		8,200,000
	30,000,000	Banco Santander (NY), 0.430%, 4/18/2011		30,000,000
	10,000,000	Nordea Bank Finland (NY), 0.280%, 4/19/2011(b)		10,000,260
	30,000,000	KBC Bank NV (NY), 0.500%, 4/28/2011		30,006,300
	13,500,000	Bank of Nova Scotia (TX), 0.270%, 5/09/2011		13,500,729
	10,000,000	Dexia Credit Local SA (NY), 0.520%, 5/09/2011(b)		10,002,710
	33,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 5/16/2011		33,001,254
	15,000,000	Landesbank Hessen Thueringen Girozentrale, 0.360%, 5/16/2011		15,001,725
	20,000,000	UniCredit Bank AG (NY), 0.440%, 5/16/2011		20,001,020
	3,000,000	KBC Bank NV (NY), 0.490%, 5/23/2011		3,000,969
	5,000,000	Lloyds TSB Bank PLC (NY), 0.450%, 5/27/2011(b)		5,001,420
	33,000,000	Societe Generale, 0.300%, 5/31/2011		33,000,000
	8,000,000	Svenska Handelsbanken (NY), 0.280%, 6/03/2011		7,999,712
	14,000,000	Svenska Handelsbanken (NY), 0.305%, 6/03/2011		14,000,126
	30,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.290%, 6/07/2011		29,998,860
	10,000,000	Svenska Handelsbanken (NY), 0.365%, 6/13/2011(b)		10,001,330
	8,750,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.754%, 6/17/2011(c)		8,750,000
	20,000,000	Standard Chartered Bank (NY), 0.270%, 6/28/2011		19,998,520
	10,000,000	Dexia Credit Local SA (NY), 0.648%, 6/29/2011(b)(c)		9,998,830
	15,500,000	Landesbank Hessen Thueringen Girozentrale, 0.300%, 6/30/2011		15,500,000
	13,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		13,001,417
	24,500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		24,505,831
	26,000,000	Westpac Banking Corp. (NY), 0.280%, 8/04/2011(d)		25,997,426


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	13,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011	$	13,005,278
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.292%, 10/24/2011(b)(e)		14,995,995
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.288%, 11/28/2011(e)		14,995,155

		Total Certificates of Deposit (Identified Cost $479,454,819)		479,465,957

	Financial Company Commercial Paper – 21.6%
	15,000,000	Credit Agricole NA, 0.370%, 4/08/2011(f)		14,999,595
	25,000,000	ING (US) Funding LLC, 0.240%, 4/12/2011(f)		24,998,650
	15,000,000	Axis Bank Ltd., 0.600%, 4/20/2011, (Credit Support: Bank of America)(b)(f)		14,995,935
	13,000,000	Intesa Funding LLC, 0.330%, 4/25/2011(f)		12,997,140
	20,000,000	Intesa Funding LLC, 0.410%, 4/25/2011(f)		19,994,533
	5,000,000	Nordea North America, Inc., 0.330%, 5/19/2011(f)		4,998,470
	15,000,000	ICICI Bank Ltd., 0.520%, 6/15/2011, (Credit Support: Bank of America)(b)(f)		14,990,625
	18,000,000	Nordea North America, Inc., 0.240%, 6/17/2011(f)		17,990,172
	20,000,000	Royal Bank of Scotland PLC, 0.360%, 6/20/2011(f)		19,987,220
	25,000,000	European Investment Bank, 0.250%, 6/24/2011(f)		24,984,825

		Total Financial Company Commercial Paper (Identified Cost $170,925,737)		170,937,165

	Time Deposits – 6.1%
	30,000,000	Citibank, 0.130%, 4/01/2011		30,000,000
	18,000,000	National Bank of Canada, 0.130%, 4/01/2011		18,000,000

		Total Time Deposits (Identified Cost $48,000,000)		48,000,000

	Municipal Debt – 1.2%
	9,300,000	Johns Hopkins University (The), 0.270%, 6/13/2011, Series C (Identified Cost $9,300,000)		9,300,000

		Total Investments — 89.4% (Identified Cost $707,680,556)(a)		707,703,122
		Other assets less liabilities — 10.6%		84,067,604

		Net Assets — 100.0%	$	791,770,726

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 March 31, 2011, the value of the Fund’s investment in the Subsidiary was $35,550,290, representing 4.5% of the Fund’s net assets.

(†)

The books and records of the Fund are maintained in U.S. dollars. The values 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 March 31, 2011, the net unrealized appreciation on short term investments based on a cost of $707,680,556 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	39,875
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(17,309	)

Net unrealized appreciation	$	22,566

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 has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

(c)	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.

(d)	Interest rate changes monthly based upon 1 Month Libor +2 BP. The rate shown is the rate in effect at the date of this statement.

(e)	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.

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

Forward Foreign Currency Contracts

At March 31, 2011, 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	06/15/2011	Australian Dollar		37,700,000	$	38,648,997	$	1,032,314
Sell	06/15/2011	Australian Dollar		9,200,000		9,431,585		(60,162	)
Buy	06/15/2011	British Pound		3,812,500		6,110,151		17,269
Buy	06/15/2011	British Pound		5,000,000		8,013,313		(66,587	)
Buy	06/15/2011	Canadian Dollar		3,000,000		3,089,284		1,285
Buy	06/15/2011	Euro		13,375,000		18,928,618		291,090
Buy	06/15/2011	Japanese Yen		8,850,000,000		106,443,015		(1,517,898	)
Sell	06/15/2011	Japanese Yen		2,737,500,000		32,925,170		454,199
Buy	06/15/2011	Swedish Krona		46,000,000		7,261,072		61,705
Buy	06/15/2011	Swiss Franc		23,625,000		25,733,844		228,338
Buy	06/15/2011	Swiss Franc		1,125,000		1,225,421		(17,875	)
Sell	06/15/2011	Swiss Franc		875,000		953,105		18,656

Total							$	442,334

⁽¹⁾	Counterparty is UBS.

Futures Contracts

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. 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 of the fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. 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.

At March 31, 2011, open futures contracts purchased were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX	06/17/2011		245	$	61,443,832	$	2,933,957
E-Mini S&P 500	06/17/2011		2,491		164,530,550		1,595,397
Euro Dollar	09/19/2011		2,349		584,548,650		469,487
FTSE 100	06/17/2011		841		79,389,642		4,033,663
German Euro Bund	06/08/2011		152		26,125,448		(168,264	)
Hang Seng	04/28/2011		253		38,241,671		478,123
TOPIX	06/10/2011		307		31,962,251		(429,815	)
UK Long Gilt	06/28/2011		208		39,096,515		225,743
10 Year Japan Government Bond	06/09/2011		30		50,330,608		(60,952	)
10 Year U.S. Treasury Note	06/21/2011		380		45,231,875		183,391

Total						$	9,260,730


Commodity Futures⁽²⁾	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	06/15/2011		320	$	21,158,000	$	380,000
Brent Crude Oil	05/16/2011		99		11,602,800		246,510
Copper	06/15/2011		94		22,158,738		(143,981	)
Gas Oil	05/12/2011		88		8,705,400		110,000
Gold	06/28/2011		509		73,290,910		129,900
Heating Oil	04/29/2011		65		8,497,125		253,352
Light Sweet Crude Oil	04/19/2011		134		14,300,480		888,560
Nickel	06/15/2011		111		17,381,934		(328,542	)
Zinc	06/15/2011		196		11,556,650		(200,900	)

Total						$	1,334,899

At March 31, 2011, open futures contracts sold were as follows:


Commodity Futures⁽²⁾	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	06/15/2011		136	$	8,992,150	$	(114,206	)
Copper	06/15/2011		21		4,950,356		52,500
Natural Gas	04/27/2011		107		4,696,230		(255,150	)
Nickel	06/15/2011		38		5,950,572		7,428
Zinc	06/15/2011		61		3,596,713		(37,942	)

Total						$	(347,370	)

⁽²⁾	Commodity futures are held by ASG Global Alternatives 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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	707,703,122	$	—	$	707,703,122
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,104,856		—		2,104,856
Futures Contracts (unrealized appreciation)		11,988,011		—		—		11,988,011

Total	$	11,988,011	$	709,807,978	$	—	$	721,795,989

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,662,522	)	$	—	$	(1,662,522	)
Futures Contracts (unrealized depreciation)		(1,739,752	)		—			—		(1,739,752	)

Total	$	(1,739,752	)	$	(1,662,522	)	$	—	$	(3,402,274	)

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

Derivatives

The Fund 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. 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 a variety of 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 March 31, 2011, the Fund used long contracts on U.S. and foreign equity market indices, U.S. government bonds, and short-term interest rates, and long and short contracts on foreign government bonds, commodities (through investments in the Subsidiary) and foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. The agreement contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2011, the Fund did not hold any derivative positions subject to credit-risk-related contingent features that were in a net liability position (unrealized depreciation) by counterparty.

As of March 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $2,104,856 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $442,334.

The following is a summary of derivative instruments for the Fund, as of March 31, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	2,104,856		$	—		$	—		$	—
Futures		—			9,041,140			878,621			2,068,250

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	(1,662,522	)	$	—		$	—		$	—
Futures		—			(429,815	)		(229,216	)		(1,080,721	)

Investment Summary at March 31, 2011 (Unaudited)


Certificates of Deposit	60.5	%
Financial Company Commercial Paper	21.6
Time Deposits	6.1
Municipal Debt	1.2

Total Investments	89.4
Other assets less liabilities (including open forward foreign currency and futures contracts)	10.6

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 51.7% of Net Assets
$	7,000,000	Sumitomo Mitsui Bank (NY), 0.300%, 4/01/2011	$	7,000,000
	1,000,000	Standard Chartered Bank (NY), 0.250%, 4/11/2011(b)		1,000,015
	1,500,000	Sumitomo Mitsui Bank (NY), 0.250%, 4/12/2011		1,500,000
	7,000,000	Deutsche Bank AG, 0.300%, 4/13/2011		7,000,329
	7,800,000	Dexia Credit Local SA (NY), 0.410%, 4/15/2011		7,800,000
	13,000,000	Banco Santander (NY), 0.430%, 4/18/2011		13,000,000
	8,000,000	KBC Bank NV (NY), 0.500%, 4/28/2011		8,001,680
	6,000,000	Svenska Handelsbanken (NY), 0.310%, 4/29/2011		6,000,384
	1,000,000	Bank of Nova Scotia (TX), 0.270%, 5/09/2011(b)		1,000,054
	2,000,000	Dexia Credit Local SA (NY), 0.520%, 5/09/2011(b)		2,000,542
	6,000,000	Rabobank Nederland NV (NY), 0.310%, 5/13/2011		6,000,642
	13,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 5/16/2011		13,000,494
	6,700,000	Landesbank Hessen Thueringen Girozentrale, 0.360%, 5/16/2011		6,700,771
	9,000,000	UniCredit Bank AG (NY), 0.440%, 5/16/2011		9,000,459
	5,000,000	KBC Bank NV (NY), 0.490%, 5/23/2011		5,001,615
	13,000,000	Societe Generale, 0.300%, 5/31/2011		13,000,000
	1,000,000	Svenska Handelsbanken (NY), 0.280%, 6/03/2011		999,964
	8,000,000	Credit Industriel et Commercial (NY), 0.430%, 6/06/2011(b)		8,001,936
	8,500,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.290%, 6/07/2011(b)		8,499,677
	1,000,000	Svenska Handelsbanken (NY), 0.365%, 6/13/2011(b)		1,000,133
	6,000,000	Landesbank Hessen Thueringen Girozentrale, 0.340%, 6/27/2011		6,000,588
	12,000,000	Standard Chartered Bank (NY), 0.270%, 6/28/2011		11,999,112
	13,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		13,001,417
	500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		500,119
	5,000,000	Westpac Banking Corp. (NY), 0.280%, 8/04/2011(b)(c)		4,999,505
	6,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011(b)		6,002,436
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.292%, 10/24/2011(b)(d)		5,998,398


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
$	2,000,000	Canadian Imperial Bank of Commerce (NY), 0.288%, 11/28/2011(b)(d)	$	1,999,354

		Total Certificates of Deposit (Identified Cost $176,002,168)		176,009,624

	Financial Company Commercial Paper – 29.1%
	14,000,000	Louis Dreyfus Corp., 0.230%, 4/01/2011, (Credit Support: Calyon)(e)		14,000,000
	2,000,000	ING (US) Funding LLC, 0.240%, 4/12/2011(e)		1,999,853
	5,000,000	ING (US) Funding LLC, 0.280%, 4/12/2011(e)		4,999,572
	7,000,000	GE Capital Corp., 0.240%, 4/20/2011(e)		6,999,657
	1,500,000	Axis Bank Ltd., 0.600%, 4/20/2011, (Credit Support: Bank of America)(b)(e)		1,499,594
	6,000,000	Intesa Funding LLC, 0.330%, 4/25/2011(e)		5,998,680
	7,000,000	Intesa Funding LLC, 0.410%, 4/25/2011(e)		6,998,087
	6,000,000	Bank of Nova Scotia (NY), 0.270%, 5/10/2011(e)		5,998,932
	5,000,000	ICICI Bank Ltd., 0.490%, 6/15/2011, (Credit Support: Bank of America)(b)(e)		4,996,875
	13,000,000	Nordea North America, Inc., 0.240%, 6/17/2011(e)		12,992,902
	12,500,000	Lloyds TSB Bank, 0.270%, 6/20/2011, (Credit Support: Lloyds PLC)(e)		12,492,012
	7,000,000	Royal Bank of Scotland PLC, 0.360%, 6/20/2011(e)		6,995,527
	13,000,000	European Investment Bank, 0.250%, 6/24/2011(e)		12,992,109

		Total Financial Company Commercial Paper (Identified Cost $98,960,615)		98,963,800

	Time Deposits – 6.3%
	14,000,000	Citibank, 0.130%, 4/01/2011		14,000,000
	7,400,000	National Bank of Canada, 0.130%, 4/01/2011		7,400,000

		Total Time Deposits (Identified Cost $21,400,000)		21,400,000

		Total Investments — 87.1% (Identified Cost $296,362,783)(a)		296,373,424
		Other assets less liabilities — 12.9%		44,017,107

		Net Assets — 100.0%	$	340,390,531

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 March 31, 2011, the value of the Fund’s investment in the Subsidiary was $16,686,763, representing 4.9% of the Fund’s net assets.

(†)

(a)	Federal Tax Information:

At March 31, 2011, the net unrealized appreciation on short term investments based on a cost of $296,362,783 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	16,017
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,376	)

Net unrealized appreciation	$	10,641

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, 2010 post-October capital loss deferrals and post-October currency loss deferrals were $974,676 and $5,139, respectively. These amounts 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 has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

(c)	Interest rate changes monthly based upon 1 Month Libor +2 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)	Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

At March 31, 2011, 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	06/15/2011	Australian Dollar		13,700,000	$	14,044,861	$	375,138
Buy	06/15/2011	British Pound		42,750,000		68,513,823		(242,886	)
Buy	06/15/2011	Canadian Dollar		16,900,000		17,402,966		7,240
Buy	06/15/2011	Euro		56,875,000		80,490,852		969,667
Buy	06/15/2011	Japanese Yen		5,537,500,000		66,602,056		(1,490,822	)
Sell	06/15/2011	Japanese Yen		2,375,000,000		28,565,216		546,377
Buy	06/15/2011	New Zealand Dollar		21,900,000		16,632,161		163,842
Sell	06/15/2011	New Zealand Dollar		35,300,000		26,808,917		(1,267,208	)
Buy	06/15/2011	Norwegian Krone		232,000,000		41,787,966		266,265
Sell	06/15/2011	Norwegian Krone		96,000,000		17,291,572		(196,557	)
Buy	06/15/2011	Swedish Krona		160,000,000		25,255,902		284,661
Buy	06/15/2011	Swedish Krona		76,000,000		11,996,553		(52,944	)
Buy	06/15/2011	Swiss Franc		27,625,000		30,090,897		157,013
Buy	06/15/2011	Swiss Franc		15,125,000		16,475,107		(140,788	)

Total							$	(621,002	)

⁽¹⁾	Counterparty is UBS AG.

Futures Contracts

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. 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 cash or securities on deposit with the broker. 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.

At March 31, 2011, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		04/15/2011		81	$	8,359,237	$	370,782
ASX SPI 200		06/16/2011		42		5,283,717		287,808
CAC 40		04/15/2011		73		4,128,911		196,566
DAX		06/17/2011		18		4,514,241		215,556
E-Mini Dow		06/17/2011		218		13,354,680		482,200
E-Mini NASDAQ 100		06/17/2011		169		7,896,525		94,640
E-Mini S&P 500		06/17/2011		151		9,973,550		222,267


Euro Dollar		09/19/2011		2,317		576,585,450		346,450
Euro STOXX 50		06/17/2011		260		10,479,339		521,954
FTSE 100		06/17/2011		57		5,380,749		274,278
FTSE JSE Top 40		06/15/2011		135		5,837,029		392,150
FTSE MIB		06/17/2011		23		3,480,068		126,797
Hang Seng		04/28/2011		12		1,813,834		22,678
IBEX 35		04/15/2011		50		7,488,482		24,546
MSCI Taiwan		04/28/2011		207		6,356,970		35,190
OMXS30		04/15/2011		33		586,214		2,745
Russell 2000 Mini		06/17/2011		79		6,649,430		359,055
S&P TSE 60		06/16/2011		57		9,492,749		294,482
Sterling		09/21/2011		1,869		370,096,264		(422,566	)
2 Year U.S. Treasury Note		06/30/2011		792		172,755,000		(570,016	)
3 Year Australia Government Bond		06/15/2011		790		83,804,094		(219,812	)
5 Year U.S. Treasury Note		06/30/2011		136		15,883,313		(81,805	)
10 Year Australia Government Bond		06/15/2011		134		14,387,921		(116,256	)
10 Year Canada Government Bond		06/21/2011		371		45,920,578		(498,917	)
10 Year Japan Government Bond		06/09/2011		51		85,562,034		(135,369	)
10 Year U.S. Treasury Note		06/21/2011		73		8,689,281		(142,406	)
30 Year U.S. Treasury Bond		06/21/2011		17		2,043,187		(17,531	)

Total							$	2,065,466


Commodity Futures⁽²⁾	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		06/15/2011		88	$	5,818,450	$	104,500
Brent Crude Oil		05/16/2011		76		8,907,200		227,240
Cocoa		05/13/2011		90		2,656,800		(282,490	)
Coffee		05/18/2011		42		4,160,362		(94,688	)
Copper		06/15/2011		17		4,007,431		(19,444	)
Copper High Grade		05/26/2011		25		2,692,187		(90,938	)
Corn		05/13/2011		62		2,149,075		(24,012	)
Cotton		05/06/2011		36		3,604,140		62,085
Gas Oil		05/12/2011		129		12,761,325		161,250
Gasoline		04/29/2011		52		6,787,217		259,258
Gold		06/28/2011		48		6,911,520		24,960
Heating Oil		04/29/2011		44		5,751,900		217,174
KC Wheat		05/13/2011		35		1,589,000		(80,500	)
Light Sweet Crude Oil		04/19/2011		76		8,110,720		457,050
Live Cattle		06/30/2011		181		8,758,590		511,760
Natural Gas		04/27/2011		7		307,230		3,850
Nickel		06/15/2011		18		2,818,692		(57,996	)
Silver		05/26/2011		43		8,145,920		797,495
Soybean		05/13/2011		3		211,538		1,538
Soybean Meal		05/13/2011		20		741,400		4,800
Soybean Oil		05/13/2011		53		1,869,204		49,656
Sugar		04/29/2011		58		1,761,066		(183,075	)
Wheat		05/13/2011		39		1,488,338		(227,763	)
Zinc		06/15/2011		28		1,650,950		(28,700	)

Total							$	1,793,010

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

At March 31, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
EURIBOR	09/19/2011		465	$	161,718,042	$	172,987
Euro Schatz	06/08/2011		18		2,734,118		510
German Euro BOBL	06/08/2011		69		11,203,429		130,312
German Euro Bund	06/08/2011		1		171,878		28
MSCI Singapore	04/28/2011		22		1,280,730		(21,293	)
Nikkei 225	06/10/2011		1		117,336		(3,126	)
SGX CNX Nifty	04/28/2011		5		58,690		(1,485	)
UK Long Gilt	06/28/2011		55		10,338,021		11,133

Total						$	289,066

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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Investments in Securities	$	—	$	296,373,424	$	—	$	296,373,424
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,770,203		—		2,770,203
Futures Contracts (unrealized appreciation)		7,467,730		—		—		7,467,730

Total	$	7,467,730	$	299,143,627	$	—	$	306,611,357

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,391,205	)	$	—	$	(3,391,205	)
Futures Contracts (unrealized depreciation)		(3,320,188	)		—			—		(3,320,188	)

Total	$	(3,320,188	)	$	(3,391,205	)	$	—	$	(6,711,393	)

*	Major categories of the Fund’s investments 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 March 31, 2011, the Fund used long contracts on short-term interest rates, and long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, and commodities (through investments in the Subsidiary), in accordance with these objectives.


Counterparty	Derivatives			Collateral Pledged
UBS	$	(621,002	)	$	10,081,000

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $2,770,203 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

The following is a summary of derivative instruments for the Fund, as of March 31, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	2,770,203		$	—		$	—		$	—
Futures		—			3,923,694			661,420			2,882,616

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards	$	(3,391,205	)	$	—		$	—		$	—
Futures		—			(25,904	)		(2,204,678	)		(1,089,606	)

Investment Summary at March 31, 2011 (Unaudited)


Certificates of Deposit	51.7	%
Financial Company Commercial Paper	29.1
Time Deposits	6.3

Total Investments	87.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	12.9

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 97.7% of Net Assets

		Aerospace & Defense – 5.1%
	65,400	Boeing Co. (The)	$	4,835,022
	16,100	General Dynamics Corp.		1,232,616
	66	Huntington Ingalls Industries, Inc.(b)		2,739
	21,400	Northrop Grumman Corp.		1,341,994

				7,412,371

		Air Freight & Logistics – 2.1%
	32,500	FedEx Corp.		3,040,375

		Automobiles – 1.0%
	18,700	Toyota Motor Corp., Sponsored ADR		1,500,675


		Capital Markets – 7.0%
	187,500	Bank of New York Mellon Corp. (The)		5,600,625
	37,100	Franklin Resources, Inc.		4,640,468

				10,241,093

		Commercial Banks – 3.4%
	155,400	Wells Fargo & Co.		4,926,180

		Commercial Services & Supplies – 2.5%
	122,500	Republic Services, Inc.		3,679,900

		Communications Equipment – 1.2%
	101,900	Cisco Systems, Inc.		1,747,585

		Consumer Finance – 1.1%
	68,450	Discover Financial Services		1,651,014

		Diversified Financial Services – 6.5%
	12,100	CME Group, Inc., Class A		3,648,755
	128,200	JPMorgan Chase & Co.		5,910,020

				9,558,775

		Electrical Equipment – 2.5%
	37,800	Rockwell Automation, Inc.		3,577,770

		Energy Equipment & Services – 4.2%
	33,400	National-Oilwell Varco, Inc.		2,647,618
	44,000	Transocean Ltd.(b)		3,429,800

				6,077,418

		Food & Staples Retailing – 0.9%
	34,300	Walgreen Co.		1,376,802

		Health Care Equipment & Supplies – 5.9%
	93,700	Baxter International, Inc.		5,038,249
	89,100	Medtronic, Inc.		3,506,085

				8,544,334

		Hotels, Restaurants & Leisure – 7.9%
	157,000	Carnival Corp.		6,022,520


Shares		Description	Value (†)
	Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	54,300	Marriott International, Inc., Class A	$	1,931,994
	29,100	McDonald’s Corp.		2,214,219
	23,100	Starwood Hotels & Resorts Worldwide, Inc.		1,342,572

				11,511,305

		Household Products – 1.5%
	27,100	Colgate-Palmolive Co.		2,188,596

		Independent Power Producers & Energy Traders – 0.8%
	71,800	Calpine Corp.(b)		1,139,466

		Insurance – 2.3%
	107,600	Allstate Corp. (The)		3,419,528

		IT Services – 5.3%
	16,200	MasterCard, Inc., Class A		4,077,864
	49,700	Visa, Inc., Class A		3,658,914

				7,736,778

		Machinery – 3.9%
	13,200	Caterpillar, Inc.		1,469,820
	78,500	Illinois Tool Works, Inc.		4,217,020

				5,686,840

		Media – 6.9%
	195,400	Comcast Corp., Special Class A		4,537,188
	80,100	Omnicom Group, Inc.		3,929,706
	38,200	Walt Disney Co. (The)		1,646,038

				10,112,932

		Oil, Gas & Consumable Fuels – 11.9%
	32,100	Apache Corp.		4,202,532
	62,400	Range Resources Corp.		3,647,904
	72,100	Ultra Petroleum Corp.(b)		3,550,925
	191,700	Williams Cos., Inc. (The)		5,977,206

				17,378,567

		Semiconductors & Semiconductor Equipment – 11.4%
	365,700	Applied Materials, Inc.		5,712,234
	362,400	Intel Corp.		7,309,608
	104,800	Texas Instruments, Inc.		3,621,888

				16,643,730

		Software – 1.7%
	96,100	Microsoft Corp.		2,437,096

		Textiles, Apparel & Luxury Goods – 0.7%
	13,500	NIKE, Inc., Class B		1,021,950

		Total Common Stocks (Identified Cost $126,698,539)		142,611,080


Principal Amount		Description	Value (†)
	Short-Term Investments – 1.7%
$	2,484,054	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $2,484,054 on 4/1/2011, collateralized by $2,665,000 Federal Home Loan Mortgage Corp., 3.310% due 11/10/2020 valued at $2,535,081 including accrued interest (c) (Identified Cost $2,484,054)	$	2,484,054

		Total Investments – 99.4% (Identified Cost $129,182,593)(a)		145,095,134
		Other assets less liabilities – 0.6%		896,470

		Net Assets – 100.0%	$	145,991,604

(†)

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. Investments in other open-end investment companies are valued at their net asset value each day. 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.

(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $129,182,593 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	$	18,968,461
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,055,920	)

Net unrealized appreciation	$	15,912,541

At December 31, 2010, the Fund had a capital loss carryforward of $19,962,109 of which $9,965,466 expires on December 31, 2011, $9,206,549 expires on December 31, 2017 and $790,094 expires on December 31, 2018. At December 31, 2010 post-October capital loss deferrals were $618,746. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect as of the report date limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if applicable, may expire unused.


(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.
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 may be significantly influenced by trading on exchanges not located in the United States.

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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	142,611,080	$	—	$	—	$	142,611,080
Short-Term Investments		—		2,484,054		—		2,484,054

Total	$	142,611,080	$	2,484,054	$	—	$	145,095,134

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

Industry Summary at March 31, 2011 (Unaudited)


Oil, Gas & Consumable Fuels	11.9	%
Semiconductors & Semiconductor Equipment	11.4
Hotels, Restaurants & Leisure	7.9
Capital Markets	7.0
Media	6.9
Diversified Financial Services	6.5
Health Care Equipment & Supplies	5.9
IT Services	5.3
Aerospace & Defense	5.1
Energy Equipment & Services	4.2
Machinery	3.9
Commercial Banks	3.4
Commercial Services & Supplies	2.5
Electrical Equipment	2.5
Insurance	2.3
Air Freight & Logistics	2.1
Other Investments, less than 2% each	8.9
Short-Term Investments	1.7

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 63.7% of Net Assets

	Non-Convertible Bonds – 58.2%

		ABS Car Loan – 0.3%
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	730,000
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		425,000

				1,155,000

		ABS Home Equity – 1.3%
	366,705	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.540%, 11/25/2045(b)		245,321
	4,404,917	Argent Securities, Inc., Series 2006-M2, Class A2C, 0.400%, 9/25/2036(b)		1,575,005
	2,500,000	Asset Backed Securities Corp. Home Equity, Series 2006-HE7, Class A4, 0.390%, 11/25/2036(b)		1,034,570
	817,064	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.400%, 11/25/2036(b)		334,044
	2,022,763	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.320%, 12/25/2046(b)		1,003,290
	3,000,000	Novastar Home Equity Loan, Series 2007-1, Class A2C, 0.430%, 3/25/2037(b)		969,018

				5,161,248

		Airlines – 0.1%
	208,442	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		204,274

		Automotive – 2.2%
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)		3,099,422
	4,050,000	Lear Corp., 8.125%, 3/15/2020		4,455,000
	1,050,000	Navistar International Corp., 8.250%, 11/01/2021		1,164,188

				8,718,610

		Banking – 2.5%
	6,200,000	Citigroup Capital XXI, (fixed rate to 12/21/2037, variable rate thereafter), 8.300%, 12/21/2077		6,448,000
	1,000,000	Lloyds TSB Bank PLC, MTN, 5.800%, 1/13/2020, 144A		1,000,986
	500,000	Lloyds TSB Bank PLC, 6.375%, 1/21/2021		521,048
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,394,510
	600,000	Morgan Stanley, 5.750%, 1/25/2021		605,578

				9,970,122

		Building Materials – 0.2%
	1,000,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		990,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Chemicals – 1.8%
$	6,750,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018	$	7,138,125

		Collateralized Mortgage Obligations – 5.4%
	825,689	Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.484%, 4/20/2035(b)		639,368
	781,870	Banc of America Funding Corp., Series 2004-B, Class 4A2, 3.071%, 11/20/2034(b)		660,116
	1,342,210	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036(b)		1,241,559
	995,685	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 2.845%, 10/25/2036(b)		686,333
	805,447	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.524%, 2/22/2035(b)		501,688
	698,662	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.460%, 5/25/2035(b)		465,311
	923,917	Countrywide Alternative Loan Trust, Series 2005-24, Class 4A1, 0.484%, 7/20/2035(b)		607,743
	290,797	Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.490%, 7/25/2035(b)		185,195
	511,540	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.550%, 5/25/2035(b)		332,321
	264,710	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.604%, 1/19/2035(b)		168,754
	228,079	Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 2.920%, 12/19/2035(b)		175,855
	3,364,878	Impac CMB Trust, Series 2005-3, Class A1, 0.730%, 8/25/2035(b)		2,471,991
	1,254,616	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.410%, 12/25/2036(b)		715,088
	1,427,819	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.370%, 7/25/2037(b)(c)		633,265
	455,682	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.450%, 10/25/2046(b)		312,107
	696,407	Master Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.410%, 1/25/2047(b)		410,344
	1,357,602	Master Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.490%, 5/25/2037(b)		722,350
	1,582,052	Master Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.969%, 12/25/2034(b)		1,374,045
	2,137,929	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,920,938
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		2,489,976
	455,239	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.776%, 10/25/2035(b)		443,692
	2,573,727	Residential Accredit Loans, Inc., Series 2007-QA1, Class A3, 0.420%, 1/25/2037(b)		1,235,466
	1,501,533	Sequoia Mortgage Trust, Series 2004-6, Class A1, 1.988%, 7/20/2034(b)		1,308,068
	1,004,224	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-4, Class 3A2, 2.593%, 4/25/2034(b)		910,636
	659,962	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.984%, 9/25/2046(b)		536,631

				21,148,840


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Commercial Mortgage-Backed Securities – 5.5%
$	475,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.905%, 6/15/2039(b)	$	503,000
	1,400,000	Crown Castle Towers LLC, 4.883%, 8/15/2040, 144A		1,400,944
	350,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		379,348
	3,774,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.729%, 11/10/2046, 144A(b)		3,577,658
	2,105,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		2,129,069
	2,000,000	FREMF Mortgage Trust, Series 2011-K701, Class B, 4.437%, 7/25/2048, 144A(b)		1,932,194
	750,000	FREMF Mortgage Trust, Series 2011-K10, Class B, 4.756%, 11/25/2049, 144A(b)		704,081
	250,000	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 6.002%, 8/10/2045(b)		265,434
	2,500,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		2,590,230
	2,430,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		2,545,066
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class D, 5.442%, 9/15/2047, 144A(b)		1,269,113
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.442%, 9/15/2047, 144A(b)		1,213,515
	300,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 6.002%, 8/12/2045, 144A(b)		307,270
	1,000,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 6.002%, 8/15/2045, 144A(b)		1,024,234
	2,000,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)		1,928,355

				21,769,511

		Construction Machinery – 0.5%
	1,808,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,893,880

		Consumer Cyclical Services – 0.9%
	3,400,000	West Corp., 11.000%, 10/15/2016		3,655,000

		Consumer Products – 0.7%
	2,400,000	Acco Brands Corp., 10.625%, 3/15/2015		2,706,000

		Diversified Manufacturing – 0.8%
	500,000	Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		516,250
	2,500,000	Votorantim Cimentos SA, 7.250%, 4/05/2041, 144A		2,484,875

				3,001,125

		Electric – 0.9%
	3,250,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		3,518,125


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Food & Beverage – 0.9%
$	3,650,000	Chiquita Brands International, Inc., 7.500%, 11/01/2014	$	3,700,187

		Gaming – 2.6%
	2,750,000	Caesars Entertainment Operating Co, Inc., 11.250%, 6/01/2017		3,124,687
	2,450,000	MGM Resorts International, 6.750%, 9/01/2012		2,499,000
	1,000,000	MGM Resorts International, 6.750%, 4/01/2013		1,007,500
	500,000	MGM Resorts International, 6.875%, 4/01/2016		465,000
	250,000	MGM Resorts International, 7.500%, 6/01/2016		236,250
	2,500,000	MGM Resorts International, 9.000%, 3/15/2020		2,740,625

				10,073,062

		Government Owned - No Guarantee – 0.1%
	400,000	Petrobras International Finance Co., 6.750%, 1/27/2041		412,083

		Healthcare – 2.2%
	250,000	Biomet, Inc., 10.000%, 10/15/2017		274,063
	4,150,000	Biomet, Inc., 11.625%, 10/15/2017		4,627,250
	1,750,000	HCA, Inc., 7.250%, 9/15/2020		1,872,500
	250,000	HCA, Inc., 8.500%, 4/15/2019		277,500
	1,000,000	HCA, Inc., 9.250%, 11/15/2016		1,076,250
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		461,697

				8,589,260

		Hybrid ARMs – 0.9%
	2,379,662	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.262%, 4/25/2035(b)		1,215,560
	1,534,768	Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.640%, 12/25/2034(b)		956,016
	853,762	Lehman XS Trust, Series 2006-4N, Class A2A, 0.470%, 4/25/2046(b)		458,509
	1,307,105	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.510%, 4/25/2035(b)		1,049,954

				3,680,039

		Independent Energy – 0.6%
	2,250,000	Connacher Oil and Gas Ltd., 10.250%, 12/15/2015, 144A		2,385,000

		Industrial Other – 0.2%
	155,000	Dycom Investments, Inc., 7.125%, 1/15/2021, 144A		157,713


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Industrial Other – continued
$	750,000	Steelcase, Inc., 6.375%, 2/15/2021	$	764,035

				921,748

		Integrated Energy – 0.2%
	750,000	Eni SpA, Series EX2, 5.700%, 10/01/2040, 144A		690,220

		Life Insurance – 1.2%
	500,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		520,887
	3,870,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		4,165,088

				4,685,975

		Lodging – 0.3%
	450,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		476,838
	520,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		573,638

				1,050,476

		Media Cable – 0.4%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,493,610

		Media Non-Cable – 2.7%
	250,000	Intelsat SA, 6.500%, 11/01/2013		265,312
	6,500,000	Intelsat SA, 11.250%, 2/04/2017		7,101,250
	1,000,000	R. R. Donnelley & Sons Co., 6.125%, 1/15/2017		1,039,472
	2,000,000	R. R. Donnelley & Sons Co., 7.625%, 6/15/2020		2,104,158

				10,510,192

		Metals & Mining – 1.2%
	1,150,000	Boart Longyear Management Pty Ltd., 7.000%, 4/01/2021, 144A		1,178,750
	3,675,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		3,675,000

				4,853,750

		Non-Captive Consumer – 4.6%
	4,050,000	Residential Capital LLC, 9.625%, 5/15/2015		4,085,437
	1,175,000	SLM Corp., MTN, 6.250%, 1/25/2016		1,224,938
	5,850,000	SLM Corp., MTN, 8.000%, 3/25/2020		6,376,500
	2,900,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		3,832,433


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Non-Captive Consumer – continued
$	1,000,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012	$	982,500
	500,000	Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		498,750
	1,000,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		977,500

				17,978,058

		Non-Captive Diversified – 1.6%
	2,500,000	CIT Group, Inc., 7.000%, 5/01/2014		2,546,875
	500,000	CIT Group, Inc., 7.000%, 5/01/2017		500,625
	3,000,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		3,223,500

				6,271,000

		Oil Field Services – 0.1%
	180,000	Basic Energy Services, Inc., 7.750%, 2/15/2019, 144A		185,400
	157,000	Parker Drilling Co., 9.125%, 4/01/2018		168,775

				354,175

		Packaging – 0.6%
	1,000,000	Beverage Packaging Holdings SA, 8.000%, 12/15/2016, 144A, (EUR)		1,388,855
	750,000	Packaging Dynamics Corp., 8.750%, 2/01/2016, 144A		766,875
	145,000	Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		143,550

				2,299,280

		Pharmaceuticals – 0.4%
	1,300,000	Valeant Pharmaceuticals International, 6.500%, 7/15/2016, 144A		1,283,750
	500,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		492,500

				1,776,250

		Pipelines – 1.3%
	860,000	Tennessee Gas Pipeline Co., 7.000%, 3/15/2027		950,441
	1,140,000	Tennessee Gas Pipeline Co., 7.000%, 10/15/2028		1,266,776
	2,300,000	Tennessee Gas Pipeline Co., 8.375%, 6/15/2032		2,848,104

				5,065,321

		Sovereigns – 2.7%
	18,475,000,000	Indonesia Recapitalization Bond, 14.275%, 12/15/2013, (IDR)		2,493,623
	790,000(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		6,448,937


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Sovereigns – continued
	200,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)	$	1,757,122

					10,699,682

			Supranational – 0.6%
	66,750,000		International Bank for Reconstruction & Development, Series GDIF, 6.250%, 5/28/2013, (RUB)		2,389,332

			Technology – 3.5%
	1,250,000		Brocade Communications Systems, Inc., 6.625%, 1/15/2018		1,323,438
	3,250,000		Brocade Communications Systems, Inc., 6.875%, 1/15/2020		3,510,000
	75,000		CommScope, Inc., 8.250%, 1/15/2019, 144A		78,375
	2,500,000		First Data Corp., 8.875%, 8/15/2020, 144A		2,743,750
	2,339,000		Freescale Semiconductor, Inc., 10.125%, 12/15/2016		2,485,187
	250,000		SunGard Data Systems, Inc., 10.250%, 8/15/2015		262,500
	3,000,000		SunGard Data Systems, Inc., 10.625%, 5/15/2015		3,288,750

					13,692,000

			Treasuries – 1.4%
	3,400,000		Canadian Government, 2.000%, 6/01/2016, (CAD)		3,381,063
	11,585,000		South Africa Government Bond, 13.500%, 9/15/2015, (ZAR)		2,070,812

					5,451,875

			Wireless – 1.8%
	5,600,000		Clearwire Corp., 12.000%, 12/01/2015, 144A		6,048,000
	250,000		Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		250,625
	1,005,000		Sprint Capital Corp., 6.875%, 11/15/2028		927,112

					7,225,737

			Wirelines – 3.0%
	800,000		Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		854,000
	3,500,000		Qwest Corp., 7.125%, 11/15/2043		3,447,500
	1,534,000		Qwest Corp., 7.200%, 11/10/2026		1,541,670
	4,525,000		Qwest Corp., 7.500%, 6/15/2023		4,536,312
	250,000		Telecom Italia Capital SA, 7.200%, 7/18/2036		250,889


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
$	1,250,000	Telecom Italia Capital SA, 7.721%, 6/04/2038	$	1,324,228

				11,954,599

		Total Non-Convertible Bonds (Identified Cost $229,137,667)		229,232,771

	Convertible Bonds – 5.3%

		Automotive – 1.2%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016		2,918,125
	905,000	TRW Automotive, Inc., 3.500%, 12/01/2015, 144A		1,811,131

				4,729,256

		Diversified Manufacturing – 0.9%
	2,060,000	EMC Corp., Series B, 1.750%, 12/01/2013		3,512,300

		Healthcare – 0.4%
	1,210,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(e)		1,471,663

		Metals & Mining – 1.1%
	1,835,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		2,495,600
	1,020,000	United States Steel Corp., 4.000%, 5/15/2014		1,860,225

				4,355,825

		Pharmaceuticals – 0.6%
	2,010,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		2,442,150

		Technology – 1.1%
	175,000	Ciena Corp., 0.875%, 6/15/2017		170,844
	1,655,000	Intel Corp., 3.250%, 8/01/2039		1,946,693
	1,810,000	SanDisk Corp., 1.500%, 8/15/2017		2,049,825

				4,167,362

		Total Convertible Bonds (Identified Cost $20,631,001)		20,678,556

	Municipals – 0.2%

		California – 0.2%
	975,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 (Identified Cost $844,965)		837,067

		Total Bonds and Notes (Identified Cost $250,613,633)		250,748,394


Principal Amount (‡)		Description	Value (†)
	Bank Loans – 9.9%

		Airlines – 0.2%
$	900,000	Allegiant Travel Company, Term Loan B, 5.750%, 3/10/2017(f)	$	905,625

		Automotive – 0.0%
	114,713	UCI International, Inc., New Term Loan B, 5.500%, 7/26/2017(f)		115,429

		Building Materials – 0.4%
	937,650	CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(f)		937,069
	405,000	JMC Steel Group, Inc., Term Loan, 4.750%, 4/03/2017(f)		406,182

				1,343,251

		Chemicals – 0.9%
	74,678	Houghton International, Inc., New Term Loan B, 6.750%, 1/29/2016(f)		75,192
	2,400,000	PQ Corporation, 2nd Lien Term Loan, 7/30/2015(g)		2,365,200
	1,092,263	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(f)		1,095,955

				3,536,347

		Consumer Cyclical Services – 0.4%
	335,000	Allied Security Holdings LLC, 2nd Lien Term Loan, 8.500%, 2/05/2018(f)		338,350
	94,688	IWCO Direct, Inc., Delayed Draw Term Loan, 3.629%, 8/07/2014(f)		80,722
	902,729	IWCO Direct, Inc., Term Loan B, 3.629%, 8/07/2014(f)		769,576
	187,031	Language Line, LLC, New Term Loan B, 6.250%, 6/20/2016(f)		187,420

				1,376,068

		Consumer Products – 0.6%
	108,728	Advantage Sales & Marketing, Inc., Term Loan B, 5.250%, 12/18/2017(f)		108,808
	347,130	NBTY, Inc., New Term Loan B, 4.250%, 10/02/2017(f)		347,619
	1,735,650	Visant Holding Corp., Term Loan B, 5.250%, 12/31/2016(f)		1,731,311

				2,187,738

		Financial Other – 0.1%
	535,000	Interactive Data Corp., New Term Loan B, 4.750%, 2/12/2018(f)		535,503

		Food & Beverage – 0.1%
	345,000	Del Monte Corporation, Term Loan, 4.500%, 3/08/2018(f)		345,576

		Gaming – 0.4%
	1,400,000	Isle of Capri Casinos, Inc., New Term Loan B, 3/24/2017(g)		1,406,412


Principal Amount (‡)		Description	Value (†)
	Bank Loans – continued

		Healthcare – 1.4%
$	1,500,000	CareStream Health, Inc., Term Loan B, 2/25/2017(g)	$	1,470,810
	1,451,000	CareStream Health, Inc., Term Loan B, 5.000%, 2/25/2017(f)		1,422,764
	1,750,000	HCR Healthcare, LLC, New Term Loan, 2/04/2018(g)		1,717,187
	997,288	Universal Health Services, Inc., New Term Loan B, 4.000%, 11/15/2016(f)		1,001,736

				5,612,497

		Independent Energy – 0.5%
	2,100,000	MEG Energy Corp., New Term Loan B, 3/16/2018(g)		2,113,776

		Industrial Other – 0.0%
	105,000	CommScope, Inc., New Term Loan B, 5.000%, 1/14/2018(f)		105,656

		Media Cable – 0.1%
	184,538	Weather Channel, New Term Loan B, 4.250%, 2/13/2017(f)		185,743

		Media Non-Cable – 0.6%
	2,400,000	RBS International Direct Marketing, LLC, Term Loan B, 6.500%, 3/23/2017(f)		2,376,000
	75,000	Rovi Solutions Corporation, Tranche B Term Loan, 4.000%, 2/07/2018(f)		75,469

				2,451,469

		Metals & Mining – 0.5%
	2,100,000	Fairmount Minerals Ltd., New Term Loan B, 3/01/2017(g)		2,101,575

		Oil Field Services – 0.4%
	1,682,510	CCS Income Trust, Tranche B Term Loan, 3.304%, 11/14/2014(f)		1,594,178

		Pharmaceuticals – 0.6%
	204,561	inVentiv Health, Inc., Add on Term Loan C, 4.750%, 8/04/2016(f)		205,328
	445,714	Warner Chilcott Company, LLC, New Term Loan B2, 4.250%, 3/15/2018(f)		448,723
	891,429	Warner Chilcott Corporation, New Term Loan B1, 4.250%, 3/15/2018(f)		897,446
	612,857	WC Luxco S.a.r.l., New Term Loan B3, 4.250%, 3/15/2018(f)		616,994

				2,168,491

		Retailers – 1.3%
	400,000	General Nutrition Centers, Inc., New Term Loan B, 4.250%, 3/02/2018(f)		399,700
	860,000	Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 12/22/2017(g)		867,525
	249,375	Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 6.500%, 12/22/2017(f)		251,557


Principal Amount (‡)		Description	Value (†)
	Bank Loans – continued

	Retailers – continued
$	300,000	J. Crew Operating Corp., New Term Loan B, 4.750%, 3/07/2018(f)	$	298,950
	2,650,000	Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(f)		2,622,679
	700,000	Savers, Inc., New Term Loan B, 4.250%, 3/03/2017(f)		704,375

				5,144,786

		Supermarket – 0.1%
	420,000	Acosta, Inc., Term Loan, 4.750%, 3/01/2018(f)		420,449

		Technology – 0.4%
	1,500,000	First Data Corporation, Term Loan B2, 3.002%, 9/24/2014(f)		1,436,250
	250,000	Sungard Data Systems, Inc., Add on Term Loan, 3.760%, 2/28/2014(f)		250,312

				1,686,562

		Transportation Services – 0.2%
	700,000	Hertz Corporation, (The), Term Loan B, 3.750%, 3/09/2018(f)		700,497

		Wireless – 0.1%
	64,838	Syniverse Technologies, Inc., Term Loan B, 5.250%, 12/21/2017(f)		65,053
	310,000	TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(f)		311,163

				376,216

		Wirelines – 0.6%
	2,500,000	Global Tel*Link Corporation, New Term Loan B, 5.000%, 11/10/2016(f)		2,499,225

		Total Bank Loans (Identified Cost $38,854,073)		38,913,069


Shares
	Preferred Stocks – 3.0%

	Convertible Preferred Stocks – 2.1%

		Automotive – 0.9%
	72,200	General Motors Co., Series B, 4.750%		3,480,040

		Commercial Banks – 0.6%
	2,500	Wells Fargo & Co., Series L, Class A, 7.500%		2,588,000

		Household Durables – 0.4%
	13,800	Stanley Black & Decker, Inc., 4.750%		1,652,412

		Oil, Gas & Consumable Fuels – 0.1%
	3,850	Apache Corp., Series D, 6.000%		272,811


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		REITs - Healthcare – 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%	$	416,800

		Total Convertible Preferred Stocks (Identified Cost $8,557,533)		8,410,063

	Non-Convertible Preferred Stocks – 0.9%

		Banking – 0.9%
	129,400	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		3,221,931
	275	Ally Financial, Inc., Series G, 7.000%, 144A		255,887

				3,477,818

		Total Non-Convertible Preferred Stocks (Identified Cost $3,490,062)		3,477,818

		Total Preferred Stocks (Identified Cost $12,047,595)		11,887,881

Par Value/ Shares(†††)
	Purchased Options – 0.2%

		Options on Currency – 0.2%
	2,950,000	CAD Call/JPY Put, expiring May 20, 2011 at 83.9500(h)(i)		93,849
	10,500,000	JPY Put/USD Call, expiring June 24, 2011 at 80.8000(h)(i)		402,140
	8,500,000	TRY Put/USD Call, expiring May 06, 2011 at 1.6650(h)(i)		7,854

				503,843

		Options on Securities – 0.0%
	65,000	FedEx Corp., Put expiring April 16, 2011 at 85(i)		11,700
	50,000	SPDR S&P 500 ETF Trust, Put expiring April 16, 2011 at 130(i)		40,000

				51,700

		Total Purchased Options (Identified Cost $721,190)		555,543

Principal Amount (‡)
	Short-Term Investments – 24.9%
$	14,676	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2011 at 0.000% to be repurchased at $14,676 on 4/01/2011 collateralized by $15,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $15,242 including accrued interest(j)		14,676
	67,978,038	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $67,978,038 on 4/01/2011 collateralized by $69,425,000 U.S. Treasury Note, 0.625% due 1/31/2013 valued at $69,338,219 including accrued interest(j)		67,978,038
	30,000,000	U.S. Treasury Bill, 0.165%, 9/22/2011(k)(l)(m)		29,976,090

		Total Short-Term Investments (Identified Cost $97,968,789)		97,968,804

		Total Investments – 101.7% (Identified Cost $400,205,280)(a)		400,073,691
		Other assets less liabilities – (1.7)%		(6,564,098	)

		Net Assets – 100.0%	$	393,509,593

(‡)	Principal amount stated in U.S. dollars unless otherwise noted.

(†)

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 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. 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 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. 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. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price. Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Other exchange-traded options are valued at the average of the closing bid and asked quotations. Options on futures contracts are valued using the current settlement price. Over-the-counter option contracts are valued based on quotations obtained from broker-dealers. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued at their net asset value each day. 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 using consistently applied procedures under the general supervision of the Board of Trustees.

(††)	Amount shown represents units. One unit represents a principal amount of 100.

(†††)

Options on currency are expressed at par value. Options on securities are expressed as shares.

(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. Amortization of premium on debt securities is excluded for tax purposes.):

At March 31, 2011, the net unrealized depreciation on investments based on a cost of $400,415,297 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	$	2,511,855
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,853,461)

Net unrealized depreciation	$	(341,606)

(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.

(c)	The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued.

(d)	Illiquid security. At March 31, 2011, the value of this security amounted to $461,697 or 0.1% of net assets.

(e)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(f)	Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.

(g)	All or a portion of this security has not settled. Contract rates are not determined and do not take effect until settlement date.

(h)	Counterparty is UBS.

(i)

The Fund may enter into option contracts. When the 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 the 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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The 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.


(j)		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.
(k)		All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swap agreements.
(l)		Interest rate represents discount rate at time of purchase; not a coupon rate.
(m)		All or a portion of this security has been pledged as initial margin for open futures contracts.
144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the value of Rule 144A holdings amounted to $52,893,273 or 13.4% of net assets.
ABS		Asset-Backed Securities
ARMs		Adjustable Rate Mortgages
ETF		Exchange Traded Funds
GMTN		Global Medium Term Note
MTN		Medium Term Note
REITs		Real Estate Investment Trusts
SPDR		Standard & Poor’s Depositary Receipt
CAD		Canadian Dollar
EUR		Euro
IDR		Indonesian Rupiah
JPY		Japanese Yen
MXN		Mexican Peso
RUB		New Russian Ruble
TRY		Turkish Lira
ZAR		South African Rand

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also make or receive upfront payments. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

The notional amounts of credit default swaps are not recorded in the financial statements. Credit default swaps are marked-to market daily. Fluctuations in the value of credit default swaps are recorded in the Consolidated Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Consolidated Statements of Operations as realized gain or loss when received or paid. Upfront fees paid or received by the Fund are recorded on the Consolidated Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Fund covers its net obligations under outstanding credit default swaps by segregating or earmarking liquid assets.

At March 31, 2011, the Fund had the following open credit default swap agreements:


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value		Unamortized Up Front Payment Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Payable
Buy Protection

Bank of America	Markit CDX. NA. HY. 15		(5.00	%)		12/20/2015	$	2,000,000	$	(92,920	)	$	(66,313	)	$	26,607		$	(3,056	)
UBS	Markit CDX. 15. HY		(5.00	%)		12/20/2015		1,500,000		(69,813	)		(49,735	)		20,078			(1,458	)
UBS	Markit CDX. 15. HY		(5.00	%)		12/20/2015		5,000,000		(156,901	)		(165,783	)		(8,882	)		(7,473	)

Total												$	(281,831	)	$	37,803		$	(11,987	)

Forward Foreign Currency Contracts

At March 31, 2011, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy⁽¹⁾		04/18/2011	Canadian Dollar		4,980,000	$	5,134,810	$	84,509
Sell⁽¹⁾		04/18/2011	Canadian Dollar		4,980,000		5,134,810		(128,728	)
Buy⁽³⁾		01/30/2012	Chinese Renminbi		4,250,000		659,024		1,027
Buy⁽³⁾		01/30/2012	Chinese Renminbi		18,765,000		2,909,783		(7,921	)
Buy⁽¹⁾		04/27/2011	Columbian Peso		1,725,000,000		923,992		10,342
Sell⁽¹⁾		04/27/2011	Columbian Peso		1,725,000,000		923,992		9,198
Sell⁽¹⁾		04/18/2011	Euro		980,000		1,388,494		(25,343	)
Sell⁽¹⁾		04/26/2011	Euro		2,620,000		3,711,544		3,825
Sell⁽¹⁾		04/29/2011	Euro		1,015,000		1,437,789		(10,456	)
Buy⁽⁴⁾		04/18/2011	Indonesian Rupiah		22,330,000,000		2,558,696		15,778
Sell⁽⁴⁾		04/18/2011	Indonesian Rupiah		22,330,000,000		2,558,696		(41,222	)
Buy⁽¹⁾		04/04/2011	Japanese Yen		314,965,000		3,786,547		(60,823	)
Sell⁽¹⁾		04/04/2011	Japanese Yen		314,965,000		3,786,547		54,299
Buy⁽¹⁾		04/25/2011	Malaysian Ringgit		8,820,000		2,908,060		3,687
Buy⁽¹⁾		04/15/2011	Mexican Peso		36,900,000		3,099,087		57,042
Sell⁽¹⁾		04/15/2011	Mexican Peso		36,900,000		3,099,087		(11,014	)
Buy⁽²⁾		04/14/2011	New Russian Ruble		25,800,000		906,689		2,299
Sell⁽²⁾		04/14/2011	New Russian Ruble		25,800,000		906,689		(12,099	)
Buy⁽¹⁾		04/26/2011	New Zealand Dollar		4,650,000		3,542,935		129,625
Buy⁽¹⁾		04/11/2011	Singapore Dollar		3,685,000		2,923,470		15,782
Buy⁽¹⁾		04/04/2011	South African Rand		14,810,000		2,189,209		61,672
Sell⁽¹⁾		04/04/2011	South African Rand		14,810,000		2,189,209		(77,868	)

Total								$	73,611

At March 31, 2011, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver⁽¹⁾/Units of Currency			Receive/In Exchange For			Unrealized Appreciation (Depreciation)
04/07/2011		Canadian Dollar	2,965,000		Japanese Yen	249,540,330	$	(57,835	)
04/07/2011		Japanese Yen	250,226,742		Canadian Dollar	2,965,000		49,583

Total							$	(8,252	)

⁽¹⁾	Counterparty is Credit Suisse.

⁽²⁾	Counterparty is Merrill Lynch

⁽³⁾	Counterparty is Morgan Stanley

⁽⁴⁾	Counterparty is UBS.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. 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, depending on the price of the fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. 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 enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

At March 31, 2011, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Depreciation
30 Day Federal Funds		12/30/2011		779	$	323,651,703	$	(146,770	)

At March 31, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500		06/17/2011		248	$	16,380,400	$	(390,370	)
German Euro BOBL		06/08/2011		9		1,461,317		13,758
10 Year U.S. Treasury Note		06/21/2011		319		37,970,969		68,091
30 Day Federal Funds		01/31/2012		779		323,538,089		175,756
30 Year U.S. Treasury Bond		06/21/2011		114		13,701,375		35,635

Total							$	(97,130	)

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 March 31, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds*	$	—	$	228,077,771	$	1,155,000	$	229,232,771
Convertible Bonds*		—		20,678,556		—		20,678,556

Municipals*		—		837,067		—		837,067

Total Bonds and Notes		—		249,593,394		1,155,000		250,748,394

Bank Loans*		—		38,913,069		—		38,913,069

Preferred Stocks*		8,410,063		3,477,818		—		11,887,881

Purchased Options*		51,700		—		503,843		555,543
Short-Term Investments		—		97,968,804		—		97,968,804

Total Investments		8,461,763		389,953,085		1,658,843		400,073,691

Credit Default Swap Agreements (unrealized appreciation)*		—		49,685		—		49,685
Forward Foreign Currency Contracts (unrealized appreciation)*		—		498,669		—		498,669
Futures Contracts (unrealized appreciation)*		293,240		—		—		293,240

Total	$	8,755,003	$	390,501,439	$	1,658,843	$	400,915,285

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Credit Default Swap Agreements (unrealized depreciation)	$	—		$	(8,882	)	$	—	$	(8,882	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(433,310	)		—		(433,310	)
Futures Contracts (unrealized depreciation)		(537,140	)		—			—		(537,140	)

Total	$	(537,140	)	$	(442,192	)	$	—	$	(979,332	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2011:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Net Purchases		Net Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds ABS Car Loan	$	—	$	—	$	—	$	38	$	1,154,962	$	—	$	—	$	—	$	1,155,000	$	38
Purchased Options		—		—		—		99,409		404,434		—		—		—		503,843		99,409

Total	$	—	$	—	$	—	$	99,447	$	1,559,396	$	—	$	—	$	—	$	1,658,843	$	99,447

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the period ended March 31, 2011, the Fund used forward foreign currency, futures and option contracts to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund holdings of foreign securities. During the period ended March 31, 2011, The Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invest will fail financially or otherwise be unwilling or unable to meet its obligations to the Fund. The Fund may use credit default swaps to reduce its credit exposure to issuers of bonds they hold without having to sell the bonds. As a protection buyer, the Fund have the ability to hedge the downside risk of an issuer or group of issuers. During the period ended March 31, 2011, The Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

The Fund 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 Fund may use purchased put options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2011, the Fund engaged in option transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2011, The Fund engaged in futures contracts for hedging purposes.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2011, the fair value of derivative positions subject to credit-risk-related contingent features that are in a net liability position (unrealized depreciation) by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Merrill Lynch	$	(9,800	)	$	—
Morgan Stanley		(6,894	)		121,378

Forward foreign currency contracts, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $734,446 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $219,265.

The following is a summary of derivative instruments for the Fund, as of March 31, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts
Purchased Options	$	503,843		$	51,700		$	—		$	—
Forwards		498,669			—			—			—
Futures		—			—			—			293,240
Swaps		—			—			46,685			—

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts
Forwards	$	(433,310	)	$	—		$	—		$	—
Futures		—			(390,370	)		—			(146,770	)
Swaps		—			—			(8,882	)		—

Unfunded Loan Commitments

As of March 31, 2011, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:


Borrower	Unfunded Loan Commitment
inVentiv Health, Inc.	$	409,122

Industry Summary at March 31, 2011 (Unaudited)


Commercial Mortgage-Backed Securities	5.5	%
Collateralized Mortgage Obligations	5.4
Technology	5.0
Non-Captive Consumer	4.6
Automotive	4.3
Healthcare	4.0
Wirelines	3.6
Banking	3.4
Media Non-Cable	3.3
Gaming	3.0
Metals & Mining	2.8
Sovereigns	2.7
Chemicals	2.7
Other Investments, less than 2% each	26.5
Short-Term Investments	24.9

Total Investments	101.7
Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts and future contracts)	(1.7	)

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 33.7% of Net Assets

	Non-Convertible Bonds – 31.1%

		Automotive – 0.2%
$	65,000	Navistar International Corp., 8.250%, 11/01/2021	$	72,069

		Banking – 0.9%
	250,000	Merrill Lynch & Co., Inc., 7.750%, 5/14/2038		287,048

		Building Materials – 0.2%
	50,000	American Standard Americas, 10.750%, 1/15/2016, 144A		53,375

		Chemicals – 0.8%
	270,000	PolyOne Corp., 7.375%, 9/15/2020		284,175

		Collateralized Mortgage Obligations – 0.8%
	467,504	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.272%, 8/25/2046(b)		257,921

		Construction Machinery – 0.7%
	125,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021, 144A		130,000
	100,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.250%, 11/15/2019		114,000

				244,000

		Electric – 1.0%
	250,000	Calpine Corp., 7.500%, 2/15/2021, 144A		258,750
	150,000,000	Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP)		84,470

				343,220

		Healthcare – 1.6%
	240,000	Biomet, Inc., 11.625%, 10/15/2017		267,600
	245,000	Omnicare, Inc., 7.750%, 6/01/2020		259,700

				527,300

		Media Non-Cable – 1.3%
	150,000	Intelsat Jackson Holdings SA, 7.500%, 4/01/2021, 144A		150,375
	250,000	Intelsat SA, 11.250%, 2/04/2017		273,125

				423,500

		Metals & Mining – 1.7%
	150,000	ArcelorMittal, 5.500%, 3/01/2021		147,811


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Metals & Mining – continued
$	175,000		ArcelorMittal, 6.750%, 3/01/2041		$171,507
	225,000		Boart Longyear Management Pty Ltd., 7.000%, 4/01/2021, 144A		230,625

					549,943

			Non-Captive Consumer – 1.1%
	100,000		Residential Capital LLC, 9.625%, 5/15/2015		100,875
	270,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		265,613

					366,488

			Non-Captive Diversified – 1.3%
	120,000		Aircastle Ltd., 9.750%, 8/01/2018		132,900
	260,000		International Lease Finance Corp., 8.875%, 9/15/2015, 144A		286,000

					418,900

			Oil Field Services – 0.6%
	190,000		Frac Tech Services LLC/Frac Tech Finance, Inc., 7.125%, 11/15/2018, 144A		194,750

			Packaging – 0.4%
	135,000		Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		133,650

			Paper – 1.4%
	220,000		Georgia-Pacific LLC, 8.875%, 5/15/2031		265,650
	200,000		Weyerhaeuser Co., 7.375%, 3/15/2032		210,897

					476,547

			Retailers – 1.7%
	250,000		Edcon Proprietary Ltd., 4.423%, 6/15/2014, (EUR)(b)		302,926
	250,000		Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A		250,000

					552,926

			Sovereigns – 3.4%
	96,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		783,668
	10,000,000		Russian Foreign Bond - Eurobond, 7.850%, 3/10/2018, 144A, (RUB)		359,454

					1,143,122

			Technology – 0.7%
	240,000		First Data Corp., 7.375%, 6/15/2019, 144A		243,750


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Transportation Services – 0.6%
$	200,000	Asciano Finance Ltd., 6.000%, 4/07/2023, 144A	$	198,970

		Treasuries – 5.9%
	800,000	Poland Government Bond, 5.750%, 4/25/2014, (PLN)		284,888
	3,725,000	South Africa Government Bond, 13.500%, 9/15/2015, (ZAR)		665,842
	482,018	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029		545,998
	473,088	U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021		479,999

				1,976,727

		Water Sewer – 1.1%
	644,000,000	Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP)		355,533

		Wireless – 2.1%
	60,000	NII Capital Corp., 7.625%, 4/01/2021		61,350
	600,000	Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.748%, 2/02/2021, 144A		630,000

				691,350

		Wirelines – 1.6%
	250,000	Embarq Corp., 7.995%, 6/01/2036		281,850
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031		240,288

				522,138

		Total Non-Convertible Bonds (Identified Cost $10,095,044)		10,317,402

	Convertible Bonds – 2.6%

		Automotive – 0.4%
	70,000	TRW Automotive, Inc., 3.500%, 12/01/2015, 144A		140,088

		Diversified Manufacturing – 0.5%
	95,000	EMC Corp., Series B, 1.750%, 12/01/2013		161,975

		Metals & Mining – 1.0%
	230,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		312,800

		Technology – 0.7%
	215,000	SanDisk Corp., 1.500%, 8/15/2017		243,487

		Total Convertible Bonds (Identified Cost $876,460)		858,350

		Total Bonds and Notes (Identified Cost $10,971,504)		11,175,752


Principal Amount (‡)		Description	Value (†)
	Bank Loans – 1.1%

		Chemicals – 0.2%
$	59,468	Arizona Chemical, Inc., New Term Loan B, 11/21/2016(c)		$ 59,673

		Industrial Other – 0.2%
	65,000	CommScope, Inc., New Term Loan B, 5.000%, 1/14/2018(d)		65,406

		Property & Casualty Insurance – 0.1%
	49,252	Applied Systems, Inc., First Lien Term Loan, 5.500%, 12/08/2016(d)		49,350

		Supermarket – 0.2%
	70,000	Great Atlantic & Pacific Tea Company, DIP Term Loan, 8.750%, 6/15/2012(d)		70,845

		Wireless – 0.4%
	125,000	TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(d)		125,469

		Total Bank Loans (Identified Cost $366,739)		370,743


Shares
	Common Stocks – 12.3%

		Aerospace & Defense – 0.9%
	5,000	Honeywell International, Inc.		298,550

		Automobiles – 0.8%
	10,000	Ford Motor Co.(e)		149,100
	3,500	General Motors Co.(e)		108,605

				257,705

		Beverages – 0.5%
	2,350	PepsiCo, Inc.		151,364

		Chemicals – 2.1%
	4,300	Cytec Industries, Inc.		233,791
	1,700	Eastman Chemical Co.		168,844
	2,200	Monsanto Co.		158,972
	2,600	Potash Corp. of Saskatchewan, Inc.		153,218

				714,825

		Electric Utilities – 0.9%
	14,500	Enersis SA, Sponsored ADR		301,106

		Food Products – 0.6%
	10,000	Tyson Foods, Inc., Class A		191,900

		Household Durables – 0.4%
	1,950	Stanley Black & Decker, Inc.		149,370

		Machinery – 1.9%
	1,370	Caterpillar, Inc.		152,549
	1,500	Cummins, Inc.		164,430


Shares		Description	Value (†)
	Common Stocks – continued

		Machinery – continued
	3,350	Parker Hannifin Corp.	$	317,178

				634,157

		Media – 0.9%
	3,100	Omnicom Group, Inc.		152,086
	2,200	Time Warner Cable, Inc.		156,948

				309,034

		Metals & Mining – 0.9%
	9,200	AK Steel Holding Corp.		145,176
	1,700	Cliffs Natural Resources, Inc.		167,076

				312,252

		Oil, Gas & Consumable Fuels – 1.9%
	1,250	BG Group PLC, Sponsored ADR		155,386
	6,700	Denbury Resources, Inc.(e)		163,480
	6,100	ENI SpA, Sponsored ADR		300,035

				618,901

		Semiconductors & Semiconductor Equipment – 0.5%
	8,700	Teradyne, Inc.(e)		154,947

		Total Common Stocks (Identified Cost $4,018,464)		4,094,111


	Preferred Stocks – 1.8%

	Non-Convertible Preferred Stock – 1.4%

		Diversified Financial Services – 1.4%
	18,000	GMAC Capital Trust I, Series 2, (fixed rate to 2/15/2016, variable rate thereafter), 8.125% (Identified Cost $450,000)		458,802

	Convertible Preferred Stock – 0.4%

		Household Durables – 0.4%
	1,300	Stanley Black & Decker, Inc., 4.750% (Identified Cost $153,101)		155,662

		Total Preferred Stocks (Identified Cost $603,101)		614,464

	Exchange Traded Funds – 8.4%
	23,400	Materials Select Sector SPDR Trust		936,702
	7,400	Oil Services Holders Trust		1,216,264
	25,500	WisdomTree India Earnings Fund		632,145

		Total Exchange Traded Funds (Identified Cost $2,732,066)		2,785,111


Par Value/ Shares(†††)
	Purchased Options – 0.1%

		Options on Currency – 0.1%
$	600,000	CAD Call/JPY Put, expiring April 05, 2011 at 83.35(f)(g)		16,991


Par Value/ Shares(†††)	Description	Value (†)
Purchased Options – continued

	Options on Currency – continued
$ 900,000	TRY Put/USD Call, expiring May 06, 2011 at 1.665(f)(g)	$	832

			17,823

	Options on Securities – 0.0%
15,000	Powershares DB Agriculture, Put expiring April 16, 2011 at 30(f)		4,875

	Total Purchased Options (Identified Cost $35,465)		22,698


Principal Amount (‡)
Short-Term Investments – 36.2%
353	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2011 at 0.000% to be repurchased at $353 on 4/01/2011 collateralized by $5,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $5,081 including accrued interest(h)		353
4,119,650	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011at 0.000% to be repurchased at $4,119,650 on 4/01/2011 collateralized by $4,130,000 Federal National Mortgage Association, 2.000% due 1/09/2012 valued at $4,202,275 including accrued interest(h)		4,119,650
7,900,000	U.S. Treasury Bill, 0.165%, 9/22/2011(i)(j)(k)		7,893,704

	Total Short-Term Investments (Identified Cost $12,013,703)		12,013,707

	Total Investments – 93.6% (Identified Cost $30,741,042)(a)		31,076,586
	Other assets less liabilities – 6.4%		2,133,568

	Net Assets – 100.0%	$	33,210,154

Consolidation

The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return 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 March 31, 2011, the value of the Fund’s investment in the subsidiary was $4,155,319, representing 12.5% of the Fund’s net assets.

(‡)	Principal amount stated in U.S. dollars unless otherwise noted.

(†)


		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 values 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.

(††)		Amount shown represents units. One unit represents a principal amount of 100.
(†††)		Options on currency are expressed at par value. Options on securities are expressed as shares.
(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. Amortization of premium on debt securities is excluded for tax purposes.):

		At March 31, 2011, the net unrealized appreciation on investments based on a cost of $30,752,198 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	$	396,085
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(71,697	)

Net unrealized appreciation	$	324,388


(b)		Variable rate security. Rate as of March 31, 2011 is disclosed.
(c)		All or a portion of this security has not settled. Contract rates are not determined and do not take effect until settlement date.
(d)		Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.
(e)		Non-income producing security.
(f)		The Fund may enter into option contracts. When the 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 the 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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The 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.

(g)		Counterparty is UBS.
(h)		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.
(i)		All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or futures contracts.
(j)		Interest rate represents discount rate at time of purchase; not a coupon rate.
(k)		All or a portion of this security has been pledged as initial margin for open futures contracts.
144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the value of Rule 144A holdings amounted to $3,699,790 or 11.1% of net assets.
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 may be significantly influenced by trading on exchanges not located in the United States.
MTN		Medium Term Note
SPDR		Standard & Poor’s Depositary Receipt
CAD		Canadian Dollar
COP		Colombian Peso
EUR		Euro
JPY		Japanese Yen
MXN		Mexican Peso
PLN		Polish Zloty
RUB		New Russian Ruble


TRY		Turkish Lira
ZAR		South African Rand
USD		U.S. Dollar

Forward Foreign Currency Contracts

At March 31, 2011, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy⁽¹⁾		04/14/2011	Australian Dollar		310,000	$	320,253	$	13,891
Sell⁽¹⁾		04/14/2011	Australian Dollar		310,000		320,253		(11,177	)
Buy⁽¹⁾		04/01/2011	Canadian Dollar		300,000		309,438		3,201
Sell⁽¹⁾		04/01/2011	Canadian Dollar		300,000		309,438		(1,628	)
Buy⁽²⁾		10/12/2011	Chinese Renminbi		835,000		128,717		453
Buy⁽²⁾		10/12/2011	Chinese Renminbi		5,900,000		909,500		(11	)
Buy⁽²⁾		12/14/2011	Chinese Renminbi		6,500,000		1,005,605		5,788
Buy⁽²⁾		12/14/2011	Chinese Renminbi		1,750,000		270,740		(1,012	)
Sell⁽²⁾		10/12/2011	Chinese Renminbi		3,300,000		508,703		2,330
Sell⁽²⁾		10/12/2011	Chinese Renminbi		3,435,000		529,514		(7,279	)
Sell⁽²⁾		12/14/2011	Chinese Renminbi		3,250,000		502,803		1,230
Sell⁽¹⁾		04/27/2011	Colombian Peso		790,000,000		423,161		4,212
Sell⁽¹⁾		04/21/2011	Euro		212,000		300,351		237
Sell⁽¹⁾		04/26/2011	Euro		229,000		324,406		(837	)
Sell⁽¹⁾		04/27/2011	Euro		235,000		332,900		(860	)
Buy⁽¹⁾		04/25/2011	Indian Rupee		14,300,000		319,458		2,455
Sell⁽¹⁾		04/25/2011	Indian Rupee		14,300,000		319,458		(1,821	)
Buy⁽¹⁾		04/01/2011	Japanese Yen		24,850,000		298,750		(504	)
Buy⁽¹⁾		05/02/2011	Japanese Yen		24,850,000		298,794		(1,446	)
Sell⁽¹⁾		04/01/2011	Japanese Yen		24,850,000		298,750		5,395
Sell⁽¹⁾		05/02/2011	Japanese Yen		24,850,000		298,794		496
Buy⁽¹⁾		04/04/2011	Kazakhstan Tenge		43,000,000		295,320		1,804
Sell⁽¹⁾		04/04/2011	Kazakhstan Tenge		18,920,000		129,941		4
Sell⁽¹⁾		04/04/2011	Kazakhstan Tenge		24,080,000		165,379		(108	)
Buy⁽¹⁾		04/15/2011	Mexican Peso		5,415,000		454,785		6,276
Sell⁽¹⁾		04/15/2011	Mexican Peso		5,415,000		454,785		(1,616	)
Buy⁽³⁾		04/01/2011	New Russian Ruble		20,000,000		703,433		1,678
Buy⁽³⁾		04/11/2011	New Russian Ruble		20,420,000		717,795		5,662
Sell⁽³⁾		04/01/2011	New Russian Ruble		20,000,000		703,433		(11,152	)
Sell⁽³⁾		04/11/2011	New Russian Ruble		20,420,000		717,795		1,219
Sell⁽³⁾		04/29/2011	New Russian Ruble		10,200,000		358,021		534
Buy⁽¹⁾		04/04/2011	South African Rand		2,180,000		322,247		13,168
Sell⁽¹⁾		04/04/2011	South African Rand		2,180,000		322,247		(11,462	)
Buy⁽⁴⁾		04/04/2011	South Korean Won		342,000,000		311,774		8,716
Sell⁽⁴⁾		04/04/2011	South Korean Won		342,000,000		311,774		(8,784	)

Total								$	19,052

At March 31, 2011, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
04/04/2011	Australian Dollar⁽¹⁾	150,000	New Zealand Dollar	202,533	$	(619	)
04/11/2011	Australian Dollar⁽¹⁾	155,000	New Zealand Dollar	211,277		946
05/03/2011	British Pound⁽¹⁾	205,000	Canadian Dollar	318,929		(18	)
05/04/2011	Euro⁽¹⁾	235,000	Norwegian Krone	1,842,295		(241	)
04/29/2011	Euro⁽¹⁾	235,000	Polish Zloty	942,222		(1,784	)
04/29/2011	Euro⁽¹⁾	235,000	South African Rand	2,284,498		3,609
04/26/2011	Euro⁽¹⁾	225,000	Turkish Lira	497,518		2,140
04/28/2011	Japanese Yen⁽¹⁾	26,746,065	Indian Rupee	14,785,000		8,521
04/28/2011	Japanese Yen⁽¹⁾	26,869,000	Malaysian Ringgit	1,000,000		6,584
04/07/2011	Japanese Yen⁽¹⁾	12,582,805	Norwegian Krone	850,000		2,402
04/07/2011	Japanese Yen⁽¹⁾	12,677,398	Singapore Dollar	195,000		2,289
04/28/2011	Japanese Yen⁽¹⁾	26,860,000	Singapore Dollar	417,098		7,954
04/04/2011	New Russian Ruble⁽³⁾	8,700,000	Turkish Lira	495,950		15,047
04/04/2011	New Zealand Dollar⁽¹⁾	204,885	Australian Dollar	150,000		(1,175	)
04/11/2011	New Zealand Dollar⁽¹⁾	212,381	Australian Dollar	155,000		(1,788	)
04/07/2011	Norwegian Krone⁽¹⁾	850,000	Japanese Yen	12,322,195		(5,535	)
04/07/2011	Singapore Dollar⁽¹⁾	195,000	Japanese Yen	12,578,085		(3,483	)
04/28/2011	Singapore Dollar⁽¹⁾	409,722	Japanese Yen	26,860,000		(2,103	)
05/03/2011	South African Rand⁽¹⁾	2,269,047	New Zealand Dollar	435,000		(2,743	)
04/14/2011	South African Rand⁽¹⁾	2,136,890	Turkish Lira	490,000		1,237
04/26/2011	Turkish Lira⁽¹⁾	494,373	Euro	225,000		(112	)
04/04/2011	Turkish Lira⁽³⁾	497,260	New Russian Ruble	8,700,000		(15,895	)
04/14/2011	Turkish Lira⁽¹⁾	490,000	South African Rand	2,184,053		5,725

Total					$	20,958

⁽¹⁾	Counterparty is Credit Suisse.

⁽²⁾	Counterparty is Morgan Stanley.

⁽³⁾	Counterparty is JPMorgan Chase.

⁽⁴⁾	Counterparty is UBS.

Futures Contracts

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. 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 of the fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. 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.

At March 31, 2011, open futures contracts purchased were as follows:


Commodity Futures⁽⁵⁾	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	05/18/2011		5	$	329,375	$	12,800
Copper	05/18/2011		1		235,656		6,406
Copper High Grade	05/26/2011		2		215,375		(1,875	)
Gasoline	06/30/2011		4		516,667		11,777
Nickel	05/18/2011		4		626,232		(24,588	)
Rough Rice	05/13/2011		14		391,580		15,780
Silver	05/26/2011		3		568,320		20,770
Soybean	05/13/2011		3		211,538		7,613
Soybean	11/14/2011		2		139,500		4,275
Sugar	04/29/2011		2		60,726		821
Zinc	05/18/2011		6		352,763		(11,438	)

Total						$	42,341

At March 31, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500	06/17/2011		106	$	7,001,300	$	(31, 053	)
10 Year U.S. Treasury Note	06/21/2011		6		714,188		3,187
30 Year U.S. Treasury Bond	06/21/2011		2		240,375		188

Total						$	(27,678	)


Commodity Futures⁽⁵⁾	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Copper	05/18/2011	1	$	235,656	$	(156	)
Heating Oil	06/30/2011	4		526,613		(3,242	)
Nickel	05/18/2011	4		626,232		16,788
Zinc	05/18/2011	6		352,763		9,337

Total					$	22,727

⁽⁵⁾	Commodity futures are held by Loomis Sayles Multi-Asset Real Return 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 March 31, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	10,932,002	$	243,750	$	11,175,752
Bank Loans*		—		370,743		—		370,743
Common Stocks
Electric Utilities		—		301,106		—		301,106
Oil, Gas & Consumable Fuels		163,480		455,421		—		618,901
All Other Common Stocks*		3,174,104		—		—		3,174,104

Total Common Stocks		3,337,584		756,527		—		4,094,111

Preferred Stocks*		155,662		458,802		—		614,464
Exchange Traded Funds		2,785,111		—		—		2,785,111
Purchased Options*		4,875		—		17,823		22,698
Short-Term Investments		—		12,013,707		—		12,013,707

Total Investments		6,283,232		24,531,781		261,573		31,076,586

Forward Foreign Currency Contracts (unrealized appreciation)*		—		135,203		—		135,203
Futures Contracts (unrealized appreciation)*		109,742		—		—		109,742

Total	$	6,392,974	$	24,666,984	$	261,573	$	31,321,531

Liability Valuation Inputs


Description*	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(95,193	)	$	—	$	(95,193	)
Futures Contracts (unrealized depreciation)		(72,352	)		—			—		(72,352	)

Total	$	(72,352	)	$	(95,193	)	$	—	$	(167,545	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2011:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Technology	$	—	$	—	$	—		$	3,750	$	240,000	$	—		$	—	$	—	$	243,750	$	3,750
Purchased Options		9,180		—		(32,819	)		19,590		25,716		(3,844	)		—		—		17,823		(7,892	)

Total	$	9,180	$	—	$	(32,819	)	$	23,340	$	265,716	$	(3,844	)	$	—	$	—	$	261,573	$	(4,142	)

Derivatives

The Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments. The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the period ended March 31, 2011, the Fund used forward foreign currency, futures and options contracts to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet its obligations to the Fund. The Fund may use credit default swaps to reduce its credit exposure to issuers of bonds they hold without having to sell the bonds. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of the fees paid by the protection buyer. During the period ended March 31, 2011, the Fund engaged in credit default swap transactions as a protection buyer and seller to hedge its credit exposure.

The Fund 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 Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2011, the Fund engaged in option transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the valued of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2011, the Fund used futures contracts in accordance with these objectives.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts and over-the-counter options. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2011, the fair value of derivative positions subject to credit-risk-related contingent features that are in a net liability position (unrealized depreciation) by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
JPMorgan Chase	$	(2,907	)	$	300,000
UBS		(7,960	)		10,000

Forward foreign currency contracts and over-the-counter options are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $136,807 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $42,985.

The following is a summary of derivative instruments for the Fund, as of March 31, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Purchased Options	$	17,823		$	4,875		$	—	$	—
Forwards		135,203			—			—		—
Futures		—						3,375		106,367

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Forwards	$	(95,193	)		—			—		—
Futures		—			(31,053	)		—		(41,299	)

Industry Summary at March 31, 2011 (Unaudited)


Exchange Traded Funds	8.4	%
Treasuries	5.9
Metals & Mining	3.6
Sovereigns	3.4
Chemicals	3.1
Wireless	2.5
Other Investments, less than 2% each	30.5
Short-Term Investments	36.2

Total Investments	93.6
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	6.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 96.4% of Net Assets

		Auto Components – 2.1%
	11,725	Autoliv, Inc.	$	870,347
	16,725	Tenneco, Inc.(b)		709,976

				1,580,323

		Beverages – 1.3%
	16,725	Hansen Natural Corp.(b)		1,007,347

		Capital Markets – 6.4%
	12,075	Affiliated Managers Group, Inc.(b)		1,320,643
	106,600	Apollo Investment Corp.		1,285,596
	66,200	Ares Capital Corp.		1,118,780
	46,375	Invesco Ltd.		1,185,345

				4,910,364

		Chemicals – 6.6%
	9,325	Airgas, Inc.		619,367
	33,350	Celanese Corp., Series A		1,479,739
	14,225	FMC Corp.		1,208,129
	23,075	International Flavors & Fragrances, Inc.		1,437,573
	15,300	Solutia, Inc.(b)		388,620

				5,133,428

		Communications Equipment – 0.9%
	13,025	Polycom, Inc.(b)		675,346

		Construction & Engineering – 1.9%
	20,325	Fluor Corp.		1,497,140

		Containers & Packaging – 4.1%
	46,125	Crown Holdings, Inc.(b)		1,779,503
	49,125	Packaging Corp. of America		1,419,221

				3,198,724

		Electrical Equipment – 3.6%
	19,725	Cooper Industries PLC		1,280,152
	33,350	GrafTech International Ltd.(b)		688,011
	11,000	Hubbell, Inc., Class B		781,330

				2,749,493

		Energy Equipment & Services – 5.2%
	25,700	Dresser-Rand Group, Inc.(b)		1,378,034
	48,175	McDermott International, Inc.(b)		1,223,163
	35,375	Superior Energy Services, Inc.(b)		1,450,375

				4,051,572

		Food Products – 2.6%
	15,300	J.M. Smucker Co. (The)		1,092,267
	13,750	Ralcorp Holdings, Inc.(b)		940,912

				2,033,179


Shares		Description	Value (†)
	Common Stocks – continued

		Household Durables – 2.0%
	43,025	Jarden Corp.	$	1,530,399

		Insurance – 7.1%
	46,375	Lincoln National Corp.		1,393,105
	28,675	Reinsurance Group of America, Inc., Class A		1,800,216
	33,100	Willis Group Holdings PLC		1,335,916
	38,375	XL Group PLC		944,025

				5,473,262

		Internet Software & Services – 1.8%
	38,000	Digital River, Inc.(b)		1,422,340

		Life Sciences Tools & Services – 2.6%
	23,675	Agilent Technologies, Inc.(b)		1,060,166
	18,275	Life Technologies Corp.(b)		957,976

				2,018,142

		Machinery – 6.0%
	11,000	Flowserve Corp.		1,416,800
	21,750	Ingersoll-Rand PLC		1,050,742
	22,000	Kennametal, Inc.		858,000
	6,700	SPX Corp.		531,913
	12,550	WABCO Holdings, Inc.(b)		773,582

				4,631,037

		Media – 3.6%
	78,175	CBS Corp., Class B		1,957,502
	19,850	Discovery Communications, Inc., Class A(b)		792,015

				2,749,517

		Metals & Mining – 0.9%
	5,375	Walter Energy, Inc.		727,936

		Multi Utilities – 0.7%
	28,800	CMS Energy Corp.		565,632

		Multiline Retail – 2.5%
	29,050	Big Lots, Inc.(b)		1,261,641
	21,400	Dollar General Corp.(b)		670,890

				1,932,531

		Oil, Gas & Consumable Fuels – 8.3%
	15,050	Cimarex Energy Co.		1,734,362
	5,625	Concho Resources, Inc.(b)		603,563
	78,400	El Paso Corp.		1,411,200
	12,850	Noble Energy, Inc.		1,241,952
	13,925	Pioneer Natural Resources Co.		1,419,236

				6,410,313

		Pharmaceuticals – 3.7%
	56,911	Valeant Pharmaceuticals International, Inc.		2,834,737

		Professional Services – 1.8%
	24,625	Towers Watson & Co., Class A		1,365,703


Shares		Description	Value (†)
	Common Stocks – continued

		REITs - Apartments – 1.4%
	41,700	Apartment Investment & Management Co., Class A	$	1,062,099

		REITs - Hotels – 1.7%
	72,773	Host Hotels & Resorts, Inc.		1,281,533

		REITs - Office Property – 1.3%
	28,675	Corporate Office Properties Trust		1,036,315

		Road & Rail – 1.2%
	64,900	Swift Transporation Co.(b)		954,030

		Semiconductors & Semiconductor Equipment – 4.1%
	29,750	Altera Corp.		1,309,595
	36,450	Avago Technologies Ltd.		1,133,595
	21,750	Skyworks Solutions, Inc.(b)		705,135

				3,148,325

		Software – 3.6%
	18,050	Adobe Systems, Inc.(b)		598,538
	10,400	Intuit, Inc.(b)		552,240
	82,100	Nuance Communications, Inc.(b)		1,605,876

				2,756,654

		Specialty Retail – 1.3%
	30,000	Collective Brands, Inc.(b)		647,400
	9,675	Guess?, Inc.		380,711

				1,028,111

		Textiles, Apparel & Luxury Goods – 3.0%
	21,025	Phillips-Van Heusen Corp.		1,367,255
	9,675	VF Corp.		953,278

				2,320,533

		Tobacco – 0.9%
	7,050	Lorillard, Inc.		669,821

		Trading Companies & Distributors – 2.2%
	27,725	WESCO International, Inc.(b)		1,732,813

		Total Common Stocks (Identified Cost $60,916,784)		74,488,699


Principal Amount
	Short-Term Investments – 3.9%
$	3,007,879	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $3,007,879 on 4/01/2011 collateralized by $3,170,000 Federal Home Loan Mortgage Corp., 3.500% due 8/18/2020 valued at $3,070,938 including accrued interest(c) (Identified Cost $3,007,879)		3,007,879

		Total Investments – 100.3% (Identified Cost $63,924,663)(a)		77,496,578
		Other assets less liabilities – (0.3)%		(195,067	)

		Net Assets – 100.0%	$	77,301,511

(†)

(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $63,924,663 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	13,585,726
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,811	)

Net unrealized appreciation	$	13,571,915

At December 31, 2010, the Fund had a capital loss carryforward of $279,086 which expires on December 31, 2018. 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.

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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	74,488,699	$	—	$	—	$	74,488,699
Short-Term Investments		—		3,007,879		—		3,007,879

Total	$	74,488,699	$	3,007,879	$	—	$	77,496,578

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

Industry Summary at March 31, 2011 (Unaudited)


Oil, Gas & Consumable Fuels	8.3	%
Insurance	7.1
Chemicals	6.6
Capital Markets	6.4
Machinery	6.0
Energy Equipment & Services	5.2
Containers & Packaging	4.1
Semiconductors & Semiconductor Equipment	4.1
Pharmaceuticals	3.7
Software	3.6
Media	3.6
Electrical Equipment	3.6
Textiles, Apparel & Luxury Goods	3.0
Food Products	2.6
Life Sciences Tools & Services	2.6
Multiline Retail	2.5
Trading Companies & Distributors	2.2
Auto Components	2.1
Household Durables	2.0
Other Investments, less than 2% each	17.1
Short-Term Investments	3.9

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund


Shares		Description	Value (†)
	Common Stocks – 99.9% of Net Assets

		Aerospace & Defense – 2.8%
	237	General Dynamics Corp.	$	18,145
	478	Honeywell International, Inc.		28,541
	49	Huntington Ingalls Industries, Inc.(b)		2,033
	220	ITT Corp.		13,211
	306	L-3 Communications Holdings, Inc.		23,963
	72	Lockheed Martin Corp.		5,789
	297	Northrop Grumman Corp.		18,625
	323	Raytheon Co.		16,431
	817	Textron, Inc.		22,378
	255	United Technologies Corp.		21,586

				170,702

		Air Freight & Logistics – 0.5%
	54	C.H. Robinson Worldwide, Inc.		4,003
	234	Expeditors International of Washington, Inc.		11,733
	189	United Parcel Service, Inc., Class B		14,046

				29,782

		Airlines – 0.3%
	1,488	Southwest Airlines Co.		18,793

		Auto Components – 0.1%
	210	Johnson Controls, Inc.		8,730

		Automobiles – 1.2%
	2,153	Ford Motor Co.(b)		32,101
	1,030	Harley-Davidson, Inc.		43,765

				75,866

		Beverages – 1.8%
	50	Brown-Forman Corp., Class B		3,415
	528	Coca-Cola Co. (The)		35,033
	1,277	Coca-Cola Enterprises, Inc.		34,862
	831	Constellation Brands, Inc., Class A(b)		16,853
	247	Dr Pepper Snapple Group, Inc.		9,178
	127	PepsiCo, Inc.		8,180

				107,521

		Biotechnology – 0.5%
	198	Amgen, Inc.(b)		10,583
	289	Cephalon, Inc.(b)		21,901

				32,484

		Building Products – 0.1%
	618	Masco Corp.		8,603

		Capital Markets – 1.4%
	356	Ameriprise Financial, Inc.		21,744
	219	Goldman Sachs Group, Inc. (The)		34,705
	963	Morgan Stanley		26,309


Shares		Description	Value (†)
	Common Stocks – continued

		Capital Markets – continued
	102	State Street Corp.	$	4,584

				87,342

		Chemicals – 1.5%
	294	Dow Chemical Co. (The)		11,098
	541	E.I. Du Pont de Nemours & Co.		29,739
	159	Eastman Chemical Co.		15,792
	81	FMC Corp.		6,879
	105	International Flavors & Fragrances, Inc.		6,542
	226	PPG Industries, Inc.		21,517

				91,567

		Commercial Banks – 2.2%
	692	Fifth Third Bancorp		9,605
	2,308	Huntington Bancshares, Inc.		15,325
	2,099	KeyCorp		18,639
	319	PNC Financial Services Group, Inc.		20,094
	126	SunTrust Banks, Inc.		3,634
	2,110	Wells Fargo & Co.		66,887

				134,184

		Commercial Services & Supplies – 0.9%
	319	Avery Dennison Corp.		13,385
	1,255	R. R. Donnelley & Sons Co.		23,745
	188	Stericycle, Inc.(b)		16,670

				53,800

		Communications Equipment – 2.4%
	972	Cisco Systems, Inc.		16,670
	201	F5 Networks, Inc.(b)		20,616
	66	Harris Corp.		3,274
	1,338	JDS Uniphase Corp.(b)		27,884
	313	Juniper Networks, Inc.(b)		13,171
	744	Motorola Solutions, Inc.(b)		33,249
	565	QUALCOMM, Inc.		30,979
	671	Tellabs, Inc.		3,516

				149,359

		Computers & Peripherals – 4.9%
	432	Apple, Inc.(b)		150,530
	664	Dell, Inc.(b)		9,635
	929	EMC Corp.(b)		24,665
	585	Hewlett-Packard Co.		23,968
	509	Lexmark International, Inc., Class A(b)		18,853
	515	NetApp, Inc.(b)		24,813
	579	SanDisk Corp.(b)		26,686
	546	Western Digital Corp.(b)		20,360

				299,510

		Construction & Engineering – 0.3%
	230	Fluor Corp.		16,942

		Consumer Finance – 1.0%
	609	Capital One Financial Corp.		31,644


Shares		Description	Value (†)
	Common Stocks – continued

		Consumer Finance – continued
	746	Discover Financial Services	$	17,993
	733	SLM Corp.(b)		11,215

				60,852

		Containers & Packaging – 0.7%
	380	Ball Corp.		13,623
	275	Bemis Co., Inc.		9,023
	734	Sealed Air Corp.		19,568

				42,214

		Distributors – 0.1%
	71	Genuine Parts Co.		3,808

		Diversified Consumer Services – 0.9%
	555	Apollo Group, Inc., Class A(b)		23,149
	90	DeVry, Inc.		4,957
	1,572	H&R Block, Inc.		26,315

				54,421

		Diversified Financial Services – 3.1%
	2,734	Bank of America Corp.		36,444
	16,974	Citigroup, Inc.(b)		75,025
	1,612	JPMorgan Chase & Co.		74,313
	242	NASDAQ OMX Group, Inc. (The)(b)		6,254

				192,036

		Diversified Telecommunication Services – 2.6%
	2,167	AT&T, Inc.		66,310
	3,512	Qwest Communications International, Inc.		23,987
	1,625	Verizon Communications, Inc.		62,627
	333	Windstream Corp.		4,286

				157,210

		Electric Utilities – 0.2%
	173	FirstEnergy Corp.		6,417
	105	Northeast Utilities		3,633
	205	Pepco Holdings, Inc.		3,823

				13,873

		Electrical Equipment – 0.8%
	216	Emerson Electric Co.		12,621
	253	Rockwell Automation, Inc.		23,946
	158	Roper Industries, Inc.		13,661

				50,228

		Energy Equipment & Services – 3.3%
	149	Baker Hughes, Inc.		10,941
	72	Cameron International Corp.(b)		4,111
	175	FMC Technologies, Inc.(b)		16,534
	444	Halliburton Co.		22,129
	264	Helmerich & Payne, Inc.		18,134
	615	Nabors Industries Ltd.(b)		18,684
	519	National-Oilwell Varco, Inc.		41,141
	188	Noble Corp.		8,577


Shares		Description	Value (†)
	Common Stocks – continued

		Energy Equipment & Services – continued
	398	Rowan Cos., Inc.(b)	$	17,584
	490	Schlumberger Ltd.		45,697

				203,532

		Food & Staples Retailing – 1.3%
	601	Safeway, Inc.		14,147
	2,235	SUPERVALU, Inc.		19,959
	207	Wal-Mart Stores, Inc.		10,774
	119	Walgreen Co.		4,777
	468	Whole Foods Market, Inc.		30,841

				80,498

		Food Products – 1.0%
	281	ConAgra Foods, Inc.		6,674
	2,429	Dean Foods Co.(b)		24,290
	199	Sara Lee Corp.		3,516
	1,332	Tyson Foods, Inc., Class A		25,561

				60,041

		Gas Utilities – 0.3%
	248	Oneok, Inc.		16,586

		Health Care Equipment & Supplies – 0.1%
	72	Varian Medical Systems, Inc.(b)		4,870

		Health Care Providers & Services – 2.4%
	626	Aetna, Inc.		23,431
	151	AmerisourceBergen Corp.		5,974
	279	Cardinal Health, Inc.		11,475
	420	CIGNA Corp.		18,598
	514	Humana, Inc.(b)		35,949
	127	McKesson Corp.		10,039
	60	Quest Diagnostics, Inc.		3,463
	835	UnitedHealth Group, Inc.		37,742

				146,671

		Hotels, Restaurants & Leisure – 2.1%
	93	Darden Restaurants, Inc.		4,569
	443	Marriott International, Inc., Class A		15,762
	135	McDonald’s Corp.		10,272
	420	Starbucks Corp.		15,519
	341	Starwood Hotels & Resorts Worldwide, Inc.		19,819
	527	Wyndham Worldwide Corp.		16,764
	223	Wynn Resorts Ltd.		28,377
	313	Yum! Brands, Inc.		16,082

				127,164

		Household Durables – 1.0%
	1,228	D.R. Horton, Inc.		14,306
	208	Fortune Brands, Inc.		12,873
	2,681	Pulte Group, Inc.(b)		19,839
	202	Whirlpool Corp.		17,243

				64,261


Shares		Description	Value (†)
	Common Stocks – continued

		Household Products – 1.1%
	1,142	Procter & Gamble Co. (The)	$	70,347

		Independent Power Producers & Energy Traders – 0.7%
	1,526	AES Corp. (The)(b)		19,838
	965	NRG Energy, Inc.(b)		20,786

				40,624

		Industrial Conglomerates – 2.1%
	5,764	General Electric Co.		115,568
	356	Tyco International Ltd.		15,938

				131,506

		Insurance – 2.5%
	184	ACE Ltd.		11,905
	890	American International Group, Inc.(b)		31,275
	342	Berkshire Hathaway, Inc., Class B(b)		28,601
	731	Hartford Financial Services Group, Inc. (The)		19,686
	260	Lincoln National Corp.		7,810
	292	Prudential Financial, Inc.		17,981
	75	Torchmark Corp.		4,986
	222	Travelers Cos., Inc. (The)		13,205
	728	Unum Group		19,110

				154,559

		Internet & Catalog Retail – 1.3%
	89	Amazon.com, Inc.(b)		16,032
	101	Netflix, Inc.(b)		23,970
	82	Priceline.com, Inc.(b)		41,528

				81,530

		Internet Software & Services – 0.9%
	292	eBay, Inc.(b)		9,064
	53	Google, Inc., Class A(b)		31,069
	427	VeriSign, Inc.		15,462

				55,595

		IT Services – 3.7%
	372	Cognizant Technology Solutions Corp., Class A(b)		30,281
	484	Computer Sciences Corp.		23,585
	601	Fidelity National Information Services, Inc.		19,647
	248	Fiserv, Inc.(b)		15,555
	550	International Business Machines Corp.		89,688
	835	SAIC, Inc.(b)		14,128
	373	Teradata Corp.(b)		18,911
	756	Total System Services, Inc.		13,623

				225,418

		Life Sciences Tools & Services – 0.3%
	93	Agilent Technologies, Inc.(b)		4,165
	215	Thermo Fisher Scientific, Inc.(b)		11,943

				16,108

		Machinery – 3.4%
	353	Caterpillar, Inc.		39,307


Shares		Description	Value (†)
	Common Stocks – continued

		Machinery – continued
	295	Cummins, Inc.	$	32,338
	327	Deere & Co.		31,683
	221	Dover Corp.		14,529
	398	Eaton Corp.		22,065
	208	Joy Global, Inc.		20,552
	69	PACCAR, Inc.		3,612
	182	Pall Corp.		10,485
	285	Parker Hannifin Corp.		26,984
	118	Snap-on, Inc.		7,087

				208,642

		Media – 3.6%
	387	Cablevision Systems Corp., Class A		13,394
	1,265	CBS Corp., Class B		31,676
	1,420	Comcast Corp., Class A		35,103
	148	DIRECTV, Class A(b)		6,926
	160	Discovery Communications, Inc., Class A(b)		6,384
	1,577	Gannett Co., Inc.		24,018
	2,253	Interpublic Group of Cos., Inc. (The)		28,320
	705	New York Times Co. (The), Class A(b)		6,676
	307	Time Warner Cable, Inc.		21,901
	413	Viacom, Inc., Class B		19,213
	313	Walt Disney Co. (The)		13,487
	31	Washington Post Co. (The), Class B		13,564

				220,662

		Metals & Mining – 1.6%
	1,505	Alcoa, Inc.		26,563
	86	Allegheny Technologies, Inc.		5,824
	329	Cliffs Natural Resources, Inc.		32,334
	498	Freeport-McMoRan Copper & Gold, Inc.		27,664
	85	Newmont Mining Corp.		4,639
	172	Titanium Metals Corp.(b)		3,196

				100,220

		Multi Utilities – 0.9%
	568	Ameren Corp.		15,944
	172	CMS Energy Corp.		3,378
	353	DTE Energy Co.		17,283
	387	Integrys Energy Group, Inc.		19,547

				56,152

		Multiline Retail – 0.8%
	135	Big Lots, Inc.(b)		5,863
	120	Family Dollar Stores, Inc.		6,158
	910	Macy’s, Inc.		22,077
	311	Target Corp.		15,553

				49,651

		Office Electronics – 0.4%
	2,096	Xerox Corp.		22,322

		Oil, Gas & Consumable Fuels – 11.9%
	1,158	Chevron Corp.		124,404


Shares		Description	Value (†)
	Common Stocks – continued

		Oil, Gas & Consumable Fuels – continued
	1,123	ConocoPhillips	$	89,683
	550	Denbury Resources, Inc.(b)		13,420
	941	El Paso Corp.		16,938
	2,453	ExxonMobil Corp.		206,371
	136	Hess Corp.		11,589
	849	Marathon Oil Corp.		45,260
	103	Massey Energy Co.		7,041
	334	Murphy Oil Corp.		24,522
	239	Occidental Petroleum Corp.		24,973
	138	Peabody Energy Corp.		9,930
	381	Pioneer Natural Resources Co.		38,831
	1,010	Sunoco, Inc.		46,046
	1,260	Tesoro Corp.(b)		33,806
	1,184	Valero Energy Corp.		35,307

				728,121

		Paper & Forest Products – 0.6%
	951	International Paper Co.		28,701
	323	MeadWestvaco Corp.		9,797

				38,498

		Personal Products – 0.3%
	174	Estee Lauder Cos., Inc. (The), Class A		16,767

		Pharmaceuticals – 2.5%
	216	Abbott Laboratories		10,595
	481	Eli Lilly & Co.		16,917
	446	Forest Laboratories, Inc.(b)		14,406
	786	Johnson & Johnson		46,570
	213	Merck & Co., Inc.		7,031
	401	Mylan, Inc.(b)		9,091
	1,781	Pfizer, Inc.		36,172
	182	Watson Pharmaceuticals, Inc.(b)		10,194

				150,976

		Real Estate Management & Development – 0.4%
	978	CB Richard Ellis Group, Inc., Class A(b)		26,113

		REITs - Apartments – 0.9%
	498	Apartment Investment & Management Co., Class A		12,684
	156	AvalonBay Communities, Inc.		18,732
	436	Equity Residential		24,595

				56,011

		REITs - Diversified – 1.1%
	260	Plum Creek Timber Co., Inc.		11,339
	205	Vornado Realty Trust		17,937
	1,482	Weyerhaeuser Co.		36,457

				65,733

		REITs - Hotels – 0.3%
	1,126	Host Hotels & Resorts, Inc.		19,829


Shares		Description	Value (†)
	Common Stocks – continued

		REITs - Office Property – 0.1%
	80	Boston Properties, Inc.	$	7,588

		REITs - Regional Malls – 0.2%
	107	Simon Property Group, Inc.		11,466

		REITs - Shopping Centers – 0.3%
	1,155	Kimco Realty Corp.		21,183

		REITs - Storage – 0.3%
	180	Public Storage		19,964

		Road & Rail – 1.3%
	438	CSX Corp.		34,427
	257	Norfolk Southern Corp.		17,802
	252	Union Pacific Corp.		24,779

				77,008

		Semiconductors & Semiconductor Equipment – 3.9%
	591	Altera Corp.		26,016
	165	Analog Devices, Inc.		6,498
	217	Broadcom Corp., Class A		8,545
	1,803	Intel Corp.		36,366
	394	KLA-Tencor Corp.		18,664
	2,503	LSI Corp.(b)		17,020
	165	Microchip Technology, Inc.		6,272
	2,799	Micron Technology, Inc.(b)		32,077
	802	Novellus Systems, Inc.(b)		29,778
	2,320	Teradyne, Inc.(b)		41,319
	569	Texas Instruments, Inc.		19,665

				242,220

		Software – 4.6%
	418	Autodesk, Inc.(b)		18,438
	487	CA, Inc.		11,776
	336	Citrix Systems, Inc.(b)		24,683
	2,208	Compuware Corp.(b)		25,502
	370	Intuit, Inc.(b)		19,647
	2,696	Microsoft Corp.		68,370
	1,367	Oracle Corp.		45,617
	308	Red Hat, Inc.(b)		13,980
	235	Salesforce.com, Inc.(b)		31,391
	1,214	Symantec Corp.(b)		22,508

				281,912

		Specialty Retail – 3.1%
	137	Abercrombie & Fitch Co., Class A		8,042
	573	AutoNation, Inc.(b)		20,267
	81	AutoZone, Inc.(b)		22,158
	540	Best Buy Co., Inc.		15,509
	344	CarMax, Inc.(b)		11,043
	934	GameStop Corp., Class A(b)		21,034
	134	Home Depot, Inc. (The)		4,966
	861	Limited Brands, Inc.		28,310
	363	Lowe’s Cos., Inc.		9,594


Shares		Description	Value (†)
	Common Stocks – continued

		Specialty Retail – continued
	250	O’Reilly Automotive, Inc.(b)	$	14,365
	239	RadioShack Corp.		3,587
	164	Ross Stores, Inc.		11,664
	446	Staples, Inc.		8,661
	169	Tiffany & Co.		10,383

				189,583

		Textiles, Apparel & Luxury Goods – 0.7%
	379	Coach, Inc.		19,723
	143	NIKE, Inc., Class B		10,825
	107	Polo Ralph Lauren Corp.		13,231

				43,779

		Thrifts & Mortgage Finance – 0.3%
	1,620	Hudson City Bancorp, Inc.		15,682

		Tobacco – 0.7%
	440	Altria Group, Inc.		11,453
	476	Philip Morris International, Inc.		31,240

				42,693

		Trading Companies & Distributors – 0.3%
	211	Fastenal Co.		13,679
	26	W.W. Grainger, Inc.		3,580

				17,259

		Wireless Telecommunication Services – 1.0%
	1,795	MetroPCS Communications, Inc.(b)		29,151
	6,331	Sprint Nextel Corp.(b)		29,376

				58,527

		Total Common Stocks (Identified Cost $5,168,767)		6,127,698

		Total Investments – 99.9% (Identified Cost $5,168,767)(a)		6,127,698
		Other assets less liabilities – 0.1%		7,874

		Net Assets – 100.0%	$	6,135,572

(†)


		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 values 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 (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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $5,168,767 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	$	1,019,376
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(60,445	)

Net unrealized appreciation	$	958,931



(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 March 31, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	6,127,698	$	—	$	—	$	6,127,698

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

Industry Summary at March 31, 2011 (Unaudited)


Oil, Gas & Consumable Fuels	11.9	%
Computers & Peripherals	4.9
Software	4.6
Semiconductors & Semiconductor Equipment	3.9
IT Services	3.7
Media	3.6
Machinery	3.4
Energy Equipment & Services	3.3
Diversified Financial Services	3.1
Specialty Retail	3.1
Aerospace & Defense	2.8
Diversified Telecommunication Services	2.6
Insurance	2.5
Pharmaceuticals	2.5
Communications Equipment	2.4
Health Care Providers & Services	2.4
Commercial Banks	2.2
Industrial Conglomerates	2.1
Hotels, Restaurants & Leisure	2.1
Other Investments, less than 2% each	32.8

Total Investments	99.9
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:		May 20, 2011

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:		May 20, 2011

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 20, 2011