N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

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: June 30, 2011

Item 1. Reports to Stockholders.

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

SEMIANNUAL REPORT

June 30, 2011

ASG Diversifying Strategies Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

Loomis Sayles Absolute Strategies Fund

Loomis Sayles Multi-Asset Real Return Fund

TABLE OF CONTENTS

Management Discussion and Investment Results page 1

Consolidated Portfolio of Investments page 33

Consolidated Financial Statements page 71

ASG DIVERSIFYING STRATEGIES FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

Philippe P. Lüdi

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

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

Strategy:

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

Inception Date:

August 3, 2009

Symbols:

Class A	DSFAX
Class C	DSFCX
Class Y	DSFYX

Market Conditions

Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which, in turn, may have contributed to the underperformance of emerging stock markets.

As the first half of 2011 progressed, market participants became less optimistic about global growth. The most visible factors contributing to this shift were the disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half as the Greek parliament passed new reforms in exchange for additional aid.

Performance Results

For the six months ended June 30, 2011, Class A shares of ASG Diversifying Strategies Fund returned -2.76% at net asset value. The fund lagged its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.16%. The fund follows an absolute return strategy and does not seek to track any index. Therefore, we believe its most appropriate benchmark is the 3-month LIBOR.

Explanation of Fund Performance

The fund seeks to achieve absolute returns using a proprietary, statistical process, while maintaining a low or negative correlation over time with major equity indexes. The fund typically uses derivative instruments such as futures and forward contracts on global stock indexes, fixed-income securities, currencies, interest rates, and commodities to gain liquid, broad market exposures. The fund aims to achieve its correlation objective by selling futures on global stock indexes when the trailing 12-month equity correlation of fund

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holdings would otherwise be too high. When the fund takes on a “long” exposure to a market, it profits as prices rise; when it takes on a “short” exposure, it profits as prices fall. As market events unfold, these various market exposures result in a profit or loss for the fund.

During the first half of the year, fixed income, currencies and commodities all contributed positively to performance. However, this was not enough to offset losses in equities during the first half of the year. The equity correlation control objective of the fund caused it to be periodically net short equities during the beginning of the year, when equity markets generally rose. As concerns about a global slowdown in growth intensified during the second quarter, the fund gave up most of its gains in commodities. The fund’s losses in equities continued through the second quarter as these same concerns led to a reversal in equities. The equity correlation control objective of the fund caused us to reduce its equity exposure through much of the second quarter. However, this was not sufficient to eliminate the fund’s losses in equities. Short-term interest rates remained low, so gains from the fund’s money market positions were small.

The biggest positive contributors during the first six months of 2011 were Japanese 10-year government bonds, gold, and the Swiss franc. Conversely, the biggest detractors from performance were the German, Japanese, and U.S. stock indexes. As is usually the case, the fund carried large exposures (as measured by the notional or contract values of futures contracts) to short-term interest rates such as the Eurodollar and LIBOR, in order to gain the diversification advantage provided by these low volatility assets.

The fund’s realized annualized volatility during the first half of 2011 was 8.8%, consistent with its risk objectives and well within its targeted range.

In order to help investors achieve diversification benefits in their overall portfolios, ASG Diversifying Strategies Fund seeks a low trailing 12-month correlation with global equity markets. The correlation of daily

returns was 28% with the S&P 500 Index during the

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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first half of the year, and 17% for the trailing 12-months ended June 30, 2011, which was in line with our objective.

Outlook

At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.

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ASG DIVERSIFYING STRATEGIES FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁶

August 3, 2009 (inception) through June 30, 2011

Average Annual Total Returns — June 30, 2011⁶

	6 Months			1 Year			Since Inception5
Class A (Inception 8/3/09)
NAV		-2.76	%		6.12	%		6.68	%
With 5.75% Maximum Sales Charge		-8.37			0.07			3.42
Class C (Inception 8/3/09)
NAV		-3.08			5.33			5.85
With CDSC1		-4.05			4.33			5.85
Class Y (Inception 8/3/09)
NAV		-2.66			6.29			6.84
Comparative Performance
3-Month LIBOR2		0.16			0.39			0.36
HFRI Fund of Funds Composite Index3		-0.45			6.52			5.01
Morningstar Multialternative Fund Avg.4		0.98			9.42			6.17

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

See Notes To Charts on page 5.

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PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 6/30/11
Certificates of Deposit		69.1
Financial Company Commercial Paper		17.2
Forward Foreign Currency Contracts		(0.5	)
Futures Contracts		(0.4	)
Other Assets less Liabilities		14.6

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio7			Net Expense  Ratio8
A		1.99	%		1.74	%
C		2.66			2.49
Y		1.83			1.49

NOTES TO CHARTS

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

2 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

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

4 Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

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

6 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

7 Before fee waivers and/or expense reimbursements.

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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ASG GLOBAL ALTERNATIVES FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

Peter A. Lee

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

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

Strategy:

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

Inception Date:

September 30, 2008

Symbols:

Class A	GAFAX
Class C	GAFCX
Class Y	GAFYX

Market Conditions

Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which, in turn, may have contributed to the underperformance of emerging stock markets.

As the first half of 2011 progressed, market participants became less optimistic about global growth. The most visible factors contributing to this shift were the disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half as the Greek parliament passed new reforms in exchange for additional aid.

As measured by the HFRI Fund of Funds index, the strongest returns posted by hedge funds during this period occurred during April, and their weakest returns occurred during May and June.

Performance Results

For the six months ended June 30, 2011, Class A Shares of ASG Global Alternatives Fund returned 3.49% at net asset value. The fund follows an absolute return strategy and does not seek to track an index. However, its returns may often be similar to those of the HFRI Fund of Funds Composite Index, which returned -0.45% for the same period. It is important to note that there are important differences between the fund and the benchmark, which is non-investable.

Explanation of Fund Performance

As always, the fund’s strategy is to take on the exposures that best reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary, statistical process. When the fund takes on a “long” exposure to a market, it profits as prices rise;

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What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

when it takes on a “short” exposure, it profits as prices fall. In taking on these exposures, the fund typically uses derivative instruments, such as futures and forward contracts on global stock indices, fixed-income securities, currencies, interest rates and commodities. As market events unfold, these various market exposures result in a profit or loss for the fund.

The fund’s largest gains during the first half came from exposure to foreign currencies, stocks and precious metals. The strongest individual contributors to performance were long exposure to U.S. stocks, gold, the Swiss franc, German stocks and the Australian dollar. The fund also held short positions in aluminum and natural gas. Overall, the fund’s short positions made a small positive contribution to returns. Short-term interest rates remained low, so gains from the fund’s money market positions were small.

During this period we made adjustments to the portfolio. In particular we bought stocks and Eurodollar contracts, while we sold bonds and base metals. The fund’s volatility was 7.6%, which is in line with our risk management expectations.

Outlook

At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.

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ASG GLOBAL ALTERNATIVES FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁵

September 30, 2008 (inception) through June 30, 2011

Average Annual Total Returns — June 30, 2011⁵

	6 Months			1 Year			Since Inception4
Class A (Inception 9/30/08)
NAV		3.49	%		14.42	%		5.98	%
With 5.75% Maximum Sales Charge		-2.45			7.88			3.72
Class C (Inception 9/30/08)
NAV		3.06			13.53			5.19
With CDSC1		2.06			12.53			5.19
Class Y (Inception 9/30/08)
NAV		3.66			14.67			6.25
Comparative Performance
HFRI Fund of Funds Composite Index2		-0.45			6.52			1.96
Morningstar Multialternative Fund Avg.3		0.98			9.42			2.72

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

See Notes To Charts on page 9.

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PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 6/30/11
Certificates of Deposit		68.0
Financial Company Commercial Paper		23.1
Forward Foreign Currency Contracts		(0.0	)
Futures Contracts		1.2
Other Assets less Liabilities		7.7

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.67	%		1.61	%
C		2.42			2.36
Y		1.42			1.36

NOTES TO CHARTS

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

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

3 Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

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

5 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

6 Before fee waivers and/or expense reimbursements.

7 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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ASG MANAGED FUTURES STRATEGY FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

Pursues an absolute return strategy that seeks to provide capital appreciation.

Strategy:

Seeks to generate positive absolute returns over time by using a variety of derivative instruments, including futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also seeking to add value through volatility management.

Inception Date:

July 30, 2010

Symbols:

Class A	AMFAX
Class C	ASFCX
Class Y	ASFYX

Market Conditions

Financial markets began the year on a high note as investors anticipated a year of strong growth. As expectations rose, stock and commodity prices surged upward, while the U.S. dollar weakened against key global currencies. At the same time, anxiety about inflation increased in many emerging market countries. These concerns forced some central banks to begin tightening monetary policy, which may have contributed to the underperformance of emerging stock markets.

As the first half of 2011 progressed, market participants became less optimistic about global growth due, in part, to disasters in Japan, rising interest rates, sluggish first quarter U.S. growth and the continued European sovereign debt crisis. Stock and commodity prices fell, while bond markets rallied strongly and bond yields fell. Some relief finally came to stock markets at the end of the first half of 2011 as the Greek parliament passed new reforms in exchange for additional aid.

Performance Results

For the six months ended June 30, 2011, Class A Shares of ASG Managed Futures Strategy Fund returned 0.19% at net asset value. The fund follows an absolute return strategy and does not seek to track an index. However, its returns may often be similar to those of the FTSE StableRisk Trend Composite Index, which returned 3.64% for the same period. It is important to note that there are important differences between the fund and the benchmark in terms of risk management. There were no significant changes to the fund strategy during this period.

Explanation of Fund Performance

The difference in performance between the fund and the benchmark was generally due to the fund’s risk management mechanism, which aims to scale total portfolio positions up or down in response to market volatility, correlation and the fund’s drawdown. In general, a lower volatility helps mitigate the impact of continued losses, but at the cost of muting potential gains. The fund reduced its exposures following the high

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What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

volatility around the Japanese earthquake and around the end of the second quarter in response to losses experienced by trend-following strategies.

The fund uses a set of proprietary quantitative models to identify trends in global stock, fixed-income, currency, and commodity markets. When the fund takes on a “long” exposure to a market, it profits as prices rise; when it takes on a “short” exposure, it profits as prices fall. In taking on these exposures, the fund typically uses derivative instruments such as futures and forward contracts. As market events unfold, these various market exposures result in a profit or loss for the fund.

During the first six months of 2011, all of our trend models profitably captured trends in foreign currencies and fixed income. However, unlike the second half of 2010, commodity returns from trend following were nearly flat, while returns from stock market trends were negative. This was largely a result of the risk control mechanism reducing the fund’s exposure to equity markets following the Japanese earthquake in expectation of continued high volatility. In this instance, this resulted in lower gains during the equity markets’ recovery. Similarly, towards the end of June, equity markets were experiencing increasing volatility and the fund had automatically reduced its total exposures due to its drawdown, again reducing the fund’s gains from the end-of-month rally.

Specific assets that contributed very positively during the first six months of 2011 included the Swiss franc, Swedish krona, the Eurodollar interest rate, Japanese 10-year government bonds and silver. Conversely, positions in the New Zealand dollar as well as Japanese and Swedish stock market futures contributed negatively. As is usually the case, the fund obtained large exposures (as measured by the notional or contract values of futures contracts) to short-term interest rates such as the Eurodollar and London Interbank Offered Rate (LIBOR), in order to gain the diversification advantage provided by these low volatility assets.

We continued to scale portfolio positions to keep total portfolio risk at or below its target. As market volatility

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increases, positions are reduced; and as market volatility decreases, positions are increased. The fund’s realized annualized volatility has been consistent with the fund’s risk objectives in the first six months of 2011 at 11%. The correlation of daily returns was 63% with the S&P 500 Index and -31% with the J.P. Morgan Global Bond Index, demonstrating the possible diversification benefits of the fund. Given low interest rates, the fund’s money market position contributed only marginally to performance during the first half of 2011.

Outlook

At the beginning of the second half of 2011, concerns about monetary, fiscal and political shifts dominate our outlook. Anxieties about slowing global growth and chronic worries about developed-country indebtedness remain fundamentally unresolved. At the end of the second quarter, the U.S. Federal Reserve Board concluded its stimulatory bond purchase (or quantitative easing) program, known as QE2, leaving investors uncertain about how U.S. Treasury bond prices will fare without government support and whether the U.S. will adopt a credible plan to contain its debt and deficit. Investors are also looking to see whether China tames its inflation without sacrificing growth and whether Greece will finally resolve its long-running debt crisis. The evolving opinion on the likely outcomes of these issues will influence markets and the pace of economic recovery in the coming months.

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ASG MANAGED FUTURES STRATEGY FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁵

July 30, 2010 (inception) through June 30, 2011

Total Returns — June 30, 2011⁵

	6 Months			Since Inception4
Class A (Inception 7/30/10)
NAV		0.19	%		13.65	%
With 5.75% Maximum Sales Charge		-5.60			7.12
Class C (Inception 7/30/10)
NAV		-0.19			12.83
With CDSC1		-1.19			11.83
Class Y (Inception 7/30/10)
NAV		0.38			13.82
Comparative Performance
FTSE StableRisk Trend Composite Index2		3.64			20.32
Morningstar Managed Futures Fund Avg.3		-1.84			8.57

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 6/30/11
Certificates of Deposit		66.1
Financial Company Commercial Paper		19.9
Forward Foreign Currency Contracts		(1.0	)
Futures Contracts		0.3
Other Assets less Liabilities		14.7

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.88	%		1.72	%
C		2.63			2.47
Y		1.63			1.47

NOTES TO CHARTS

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

2 FTSE StableRisk Trend Composite Index is an unmanaged index based on a transparent trend-following strategy designed to provide long and/or short exposure to various asset classes at a targeted level of volatility.

3 Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

4 The since-inception comparative performance figures shown are calculated from 8/1/10.

5 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

6 Before fee waivers and/or expense reimbursements.

7 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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LOOMIS SAYLES ABSOLUTE STRATEGIES FUND

Management Discussion

Managers:

Matthew J. Eagan, CFA

Kevin Kearns

Todd P. Vandam, CFA

Loomis, Sayles & Company, L.P.

Objective:

Seeks to provide an attractive absolute total return, complemented by prudent management designed to manage risks and protect investor capital.

Strategy:

Seeks to generate positive total returns 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 strategies to mitigate downside risk.

Inception Date:

December 15, 2010

Symbols:

Class A	LABAX
Class C	LABCX
Class Y	LASYX

Market Conditions

The period started off on an optimistic note, driven by solid global growth projections and improving confidence. In this environment, investors favored higher-risk sectors and securities. Beginning late in the first quarter and extending through late June, a series of events caused market sentiment to shift. Specifically, a devastating earthquake in Japan, soaring oil prices stemming from political unrest in the Middle East and North Africa, projections for slower global growth, rising inflation and unemployment suppressed the financial markets. Concerns about debt-laden Greece, expectations for a political showdown over the U.S. debt ceiling and uncertainty about the financial markets’ response to the end of quantitative easing also contributed to the volatility. In this environment, investors staged a flight to safety, and higher-quality sectors and securities outperformed. Nevertheless, higher-risk securities performed the best for the six-month period, as high-yield and investment-grade corporate bonds outperformed Treasuries.

Performance Results

For the six months ended June 30, 2011, Class A shares of Loomis Sayles Absolute Strategies Fund returned 0.16% at net asset value. The fund performed in line with its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.16% for the period. The fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

The fund’s high-yield and investment-grade corporate bonds posted strong returns during the first quarter of 2011, as investors continued to reach for yield in the low-interest-rate environment. We focused on higher-risk/higher-reward-potential cyclical issues that we believed would outperform during the next phase of the economic recovery. In addition, the fund’s securities denominated in the Russian ruble and Mexican peso were strong contributors to performance, as commodity-based currencies benefited from strong global demand.

Within the fund’s Treasury component, we maintained a flat to short duration (a measure of a fund’s sensitivity to interest rate changes) to mitigate interest-rate risk. This strategy detracted from performance during the

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second quarter, when demand for high-quality securities pushed Treasury yields lower. (When rates decline, funds with longer durations experience greater price appreciation.) In addition, the fund’s commercial and residential mortgage-backed securities (CMBS and RMBS) faced strong technical headwinds that caused prices to decline, although fundamentals remained intact. Furthermore, convertible bonds lagged due to their market values moving in sync with falling equity markets late in the period.

During the period, we used a broad range of derivatives for hedging and investment purposes. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we consider the expected relative risks and returns of such investments and their related costs.

We used U.S. Treasury futures to hedge interest-rate risk by managing our exposure to the yield curve (a curve that shows the relationship between bond yields across the maturity spectrum) and by reducing duration. The curve strategy contributed positively to fund performance, while reducing duration detracted from performance. Additionally, we used credit default swaps (CDS) to manage global and industry-specific credit risks. On a net basis, the CDS detracted from fund performance, as we attempted to mitigate volatility. We also used forward foreign currency contracts to manage various currency exposures. During the period, our long position in the Australian dollar and our short position in the euro detracted from performance.

Outlook

Overall, we believe interest rates generally will trend upward with periodic volatility, as the struggling U.S. housing market and European sovereign-debt woes continue to worry investors.

We believe the market is in the expansion phase of the credit cycle and therefore remain optimistic toward credit-sensitive securities. Looking ahead, we believe individual security selection will become increasingly important. We remain optimistic about CMBS and RMBS, and continue to favor currencies from countries we believe can generate robust growth and do not have fiscal deficit concerns, including non-Japan Asia and countries with commodity-sensitive currencies.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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LOOMIS SAYLES ABSOLUTE STRATEGIES FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁶

December 15, 2010 (inception) through June 30, 2011

Total Returns — June 30, 2011⁶

	6 Months			Since  Inception5
Class A (Inception 12/15/10)
NAV		0.16	%		0.58	%
With 4.50% Maximum Sales Charge		-4.32			-3.94
Class C (Inception 12/15/10)
NAV		-0.28			0.03
With CDSC1		-1.26			-0.96
Class Y (Inception 12/15/10)
NAV		0.25			0.66
Comparative Performance
3-Month LIBOR2		0.16			0.16
3-Month LIBOR + 300 basis points3		1.67			1.67
Morningstar Multisector Bond Fund Avg.4		3.30			3.30

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 6/30/11
Bonds and Notes		66.3
Senior Loans		9.4
Preferred Stocks		2.9
Purchased Options		0.0
Credit Default Swap Agreements		0.0
Forward Foreign Currency Contracts		(0.1	)
Futures Contracts		(0.1	)
Short-Term Investments and Other		21.6

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio7			Net Expense  Ratio8
A		1.28	%		1.28	%
C		2.03	%		2.03	%
Y		1.03	%		1.03	%

NOTES TO CHARTS

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

2 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

3 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual percentage change of the 3-Month LIBOR.

4 Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

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

6 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

7 Before fee waivers and/or expense reimbursements.

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND

Management Discussion

Kevin Kearns

David Rolley, CFA

Laura Sarlo, CFA

Loomis, Sayles & Company, L.P.

Objective:

Seeks to maximize real returns consistent with prudent investment management.

Strategy:

Seeks to pursue its investment goal primarily through exposure to investments in fixed-income securities, equity securities, currencies and commodity-linked instruments.

Inception Date:

September 30, 2010

Symbols:

Class A:	MARAX
Class C:	MARCX
Class Y:	MARYX

Market Conditions

Securities offering higher risk and higher reward potential rallied through the start of the year amid positive macroeconomic data and continued strength in corporate earnings. Late in the first quarter and throughout most of the second quarter, volatility returned to the markets. Higher oil prices, supply-chain disruptions stemming from Japan’s earthquake, global growth concerns and Greece’s sovereign-debt crisis caused investors to seek the relative safety of Treasury securities. Yields declined across the U.S. Treasury yield curve (a curve that shows the relationship between bond yields across the maturity spectrum), except at the long end, where the 30-year Treasury bond yield increased slightly. Securities within the five- to ten-year maturity range experienced the largest yield declines. Throughout the period, corporate balance sheets remained strong and earnings continued to beat analyst expectations. The new-issue market for investment-grade and high-yield securities remains on track for another year of strong supply.

Performance Results

For the six months ended June 30, 2011, Class A shares of the Loomis Sayles Multi-Asset Real Return Fund returned -2.12% at net asset value. The fund underperformed its benchmark, the Barclays Capital U.S. TIPS Index, which returned 5.81% for the period. The fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

Allocations to high-yield and investment-grade corporate bonds contributed strongly to performance, until the flight to quality emerged. High-yield securities in the communications, energy and consumer non-cyclical sectors were among the top performers. In the investment-grade sector, the fund’s longer-duration (a measure of a fund’s sensitivity to interest rate changes) bonds offered yield advantages and benefited from the falling-rate environment. Selected issues in the banking, energy and communications industries made the largest contributions. Additionally, exposure

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to countries experiencing classic inflationary pressures, including the commodity-rich nations of Mexico, Russia, Colombia and South Africa, proved beneficial, due to their notable currency appreciation.

Equity exposure detracted from performance as stocks sold off late in June. Securities in the banking, oil and manufacturing industries had the greatest negative impact on performance. In addition, certain foreign-currency trades weighed on results. The U.S. dollar remained under pressure, as loose monetary policy, fiscal concerns and diversification away from U.S. dollar-denominated assets weighed on the greenback. Furthermore, our efforts to manage duration dragged down performance. We expected Treasury yields to increase on mounting inflation concerns. Yet, Treasury yields generally declined due to the flight to quality, and our shorter-duration strategy lagged.

During the period, we used a broad range of derivatives for hedging and investment purposes. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we consider the expected relative risks and returns of such investments and their related costs. In particular, we used commodity futures to gain exposure to various commodities, including precious metals, which contributed to performance, and energy, which detracted from performance. We used U.S. Treasury futures to manage interest rate risk. During the period, we sold these futures to reduce duration, which detracted from performance. Credit default swaps (CDS) were used to remove overall global and industry credit-market exposure while allowing the fund to hold specific selections. The use of CDS did not materially affect performance. Various forward foreign currency contracts helped us manage the fund’s overall exposure to currencies. During the period, some of the positions had more impact than others. The fund’s overall long position in the Australian dollar and Singapore dollar detracted from performance.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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Outlook

Looking ahead, we will continue to focus on identifying and categorizing economic regimes and maintaining a well-diversified portfolio. We remain concerned about inflation triggered by debt in developed countries and classic inflation in emerging markets. Inflationary pressures should continue to push emerging-market currencies higher. We expect certain commodities to outperform on strong global demand and the massive rebuilding effort in Japan.

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LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁶

September 30, 2010 (inception) through June 30, 2011

Total Returns — June 30, 2011⁶

	6 Months			Since Inception5
Class A (Inception 9/30/10)
NAV		-2.12	%		-0.07	%
With 4.50% Maximum Sales Charge		-6.54			-4.55
Class C (Inception 9/30/10)
NAV		-2.42			-0.58
With CDSC1		-3.39			-1.57
Class Y (Inception 9/30/10)
NAV		-2.02			0.06
Comparative Performance
Barclays Capital U.S. TIPS Index2		5.81			5.13
CPI + 300 basis points3		4.53			5.67
Morningstar Conservative Allocation Fund Avg.4		3.83			7.50

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

See Notes To Charts on page 23.

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Fund Composition	% of Net Assets as of 6/30/11
Bonds and Notes		40.6
Common Stocks		12.7
Exchange Traded Funds		8.7
Preferred Stocks		1.5
Senior Loans		1.0
Purchased Options		1.0
Written Options		(0.2	)
Credit Default Swap Agreements		0.1
Forward Foreign Currency Contracts		(0.1	)
Futures Contracts		(0.3	)
Short-Term Investments and Other		35.0

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio7			Net Expense  Ratio8
A		1.93	%		1.40	%
C		2.68			2.15
Y		1.68			1.15

NOTES TO CHARTS

1 Performance for Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

2 Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury.

3 CPI +300 basis points is created by adding 3.00% to the annual percentage change in the Consumer Price Index (CPI). The Consumer Price Index is an unmanaged index that represents the rate of inflation of U.S. consumer prices as determined by the U.S. Bureau of Labor Statistics.

4 Morningstar Fund Averages are the average performance without sales charges of funds with similar investment objectives, as calculated by Morningstar, Inc.

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

6 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

7 Before fee waivers and/or expense reimbursements.

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Before investing, consider each fund’s investment objectives, risks, charges and expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ga.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies during the 12-month period ended June 30, 2011 is available on the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2011 through June 30, 2011. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

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ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011  – 6/30/2011
Class A
Actual		$1,000.00		$972.40		$8.41
Hypothetical (5% return before expenses)		$1,000.00		$1,016.27		$8.60
Class C
Actual		$1,000.00		$969.20		$12.11
Hypothetical (5% return before expenses)		$1,000.00		$1,012.50		$12.37
Class Y
Actual		$1,000.00		$973.40		$7.24
Hypothetical (5% return before expenses)		$1,000.00		$1,017.46		$7.40

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.72%, 2.48% and 1.48% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011  – 6/30/2011
Class A
Actual		$1,000.00		$1,034.90		$8.12
Hypothetical (5% return before expenses)		$1,000.00		$1,016.81		$8.05
Class C
Actual		$1,000.00		$1,030.60		$11.88
Hypothetical (5% return before expenses)		$1,000.00		$1,013.09		$11.78
Class Y
Actual		$1,000.00		$1,036.60		$6.87
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$6.80

* Expenses are equal to the Fund’s annualized expense ratio, including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.61%, 2.36% and 1.36% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011  – 6/30/2011
Class A
Actual		$1,000.00		$1,001.90		$8.49
Hypothetical (5% return before expenses)		$1,000.00		$1,016.31		$8.55
Class C
Actual		$1,000.00		$998.10		$12.19
Hypothetical (5% return before expenses)		$1,000.00		$1,012.60		$12.28
Class Y
Actual		$1,000.00		$1,003.80		$7.25
Hypothetical (5% return before expenses)		$1,000.00		$1,017.55		$7.30

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.71%, 2.46% and 1.46% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

LOOMIS SAYLES ABSOLUTE STRATEGIES FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011  – 6/30/2011
Class A
Actual		$1,000.00		$1,001.60		$6.15
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.21
Class C
Actual		$1,000.00		$997.20		$9.80
Hypothetical (5% return before expenses)		$1,000.00		$1,014.98		$9.89
Class Y
Actual		$1,000.00		$1,002.50		$4.92
Hypothetical (5% return before expenses)		$1,000.00		$1,019.89		$4.96

* Expenses are equal to the Fund’s annualized expense ratio: 1.24%, 1.98% and 0.99% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011
Class A
Actual		$1,000.00		$978.80		$6.62
Hypothetical (5% return before expenses)		$1,000.00		$1,018.10		$6.76
Class C
Actual		$1,000.00		$975.80		$10.29
Hypothetical (5% return before expenses)		$1,000.00		$1,014.38		$10.49
Class Y
Actual		$1,000.00		$979.80		$5.40
Hypothetical (5% return before expenses)		$1,000.00		$1,019.34		$5.51

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements): 1.35%, 2.10% and 1.10% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS FOR ASG GLOBAL ALTERNATIVES FUND AND ASG DIVERSIFYING STRATEGIES FUND

The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser and sub-adviser (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) the Funds’ investment objectives and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds

29  |

for advisory and other services. This information generally includes, among other things, an internal performance rating for the Funds based on agreed-upon criteria, graphs showing performance and fee differentials against the Funds’ categories of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing the Funds against their categories. The portfolio management team for the Funds or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and if the Funds are identified as presenting possible performance concerns it may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Funds’ portfolios. The Trustees also receive periodic updates between meetings.

The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Funds.

The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of a peer group and category of funds and the Funds’ performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis. The Board noted that, given the recent commencement of operations of each Fund, the Funds have a limited operating history upon which to evaluate their performance.

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With respect to the Funds, the Board concluded that the Funds’ performance or other relevant factors supported the renewal of the Agreements.

The Trustees also considered each Adviser’s performance and reputation generally, the performance as a fund family generally (as noted by certain financial publications), and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense level of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating the Funds’ advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Funds and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed under these caps. The Trustees noted that the ASG Diversifying Strategies Fund had an advisory fee that was above the median of a peer group of funds. The Trustees considered management’s justification for the higher fee and also noted that the advisory fee rate was only slightly above the peer group median.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps.

31  |

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

• The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of the Funds.

• Whether each Fund has operated in accordance with its investment objectives and the Funds’ records of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

• The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services.

• So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of affiliated Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

• The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2012.

|  32

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Diversifying Strategies Fund

Principal Amount		Description	Value (†)
	Certificates of Deposit  — 69.1% of Net Assets
$	13,000,000	National Bank of Canada, 0.030%, 7/01/2011	$	13,000,000
	13,000,000	Citibank, 0.070%, 7/01/2011		13,000,000
	2,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		2,000,054
	4,500,000	Standard Chartered Bank (NY), 0.270%, 7/11/2011		4,500,126
	5,000,000	Credit Industriel et Commercial (NY), 0.460%, 7/11/2011(b)		5,000,430
	7,000,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011		7,000,271
	12,000,000	UniCredit Bank AG (NY), 0.270%, 7/18/2011		12,000,060
	5,000,000	Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011		5,000,100
	10,000,000	Toronto Dominion Bank, 0.200%, 7/20/2011		10,000,211
	13,000,000	Bank of Montreal (IL), 0.120%, 7/25/2011		13,000,000
	8,000,000	KBC Bank NV (NY), 0.490%, 7/29/2011		8,002,000
	5,000,000	Barclays Bank PLC, 1.000%, 7/29/2011		5,003,295
	12,000,000	Societe Generale, 0.200%, 8/01/2011		11,999,676
	4,500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		4,500,999
	12,000,000	Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c)		11,999,712
	5,000,000	Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011(b)		5,000,390
	1,000,000	Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011		999,971
	7,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011		7,003,367
	10,000,000	Svenska Handelsbanken (NY), 0.195%, 9/02/2011		9,999,020
	2,000,000	Svenska Handelsbanken (NY), 0.180%, 9/15/2011		1,999,700
	12,000,000	Bank of Nova Scotia (TX), 0.170%, 9/20/2011		11,999,724
	12,000,000	Skandinaviska Enskilda Banken (NY), 0.320%, 9/29/2011		12,002,124
	4,000,000	KBC Bank NV (NY), 0.430%, 9/29/2011		4,001,816
	6,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011		6,000,000
	12,000,000	Credit Agricole CIB (NY), 0.320%, 10/11/2011(d)		11,999,112
	5,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e)		4,999,440
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e)		5,998,812
	5,000,000	Barclays Bank PLC, 0.428%, 2/09/2012(f)		4,995,190
		Total Certificates of Deposit (Identified Cost $213,004,784)		213,005,600
	Financial Company Commercial Paper — 17.2%
	12,000,000	ING (US) Funding LLC, 0.210%, 7/05/2011(g)		11,999,796
	12,000,000	Intesa Funding LLC, 0.330%, 7/25/2011(g)		11,998,380
	8,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g)		7,997,448
	5,000,000	RBS Finance NV, 0.060%, 7/28/2011(g)		4,999,775
	12,000,000	Nordea North America, Inc., 0.145%, 8/23/2011(g)		11,996,832
	4,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g)		3,997,760
		Total Financial Company Commercial Paper (Identified Cost $52,988,187)		52,989,991
		Total Investments — 86.3% (Identified Cost $265,992,971)(a)		265,995,591
		Other assets less liabilities — 13.7%		42,338,717
		Net Assets — 100.0%	$	308,334,308
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $265,992,971 for federal income tax purposes was as follows:

See accompanying notes to financial statements.

33  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	13,248
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,628	)
	Net unrealized appreciation	$	2,620
	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)	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. The spread to 1 Month Libor changes each month. 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 changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement.
(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy		09/21/2011	Australian Dollar		10,100,000	$	10,726,968	$	80,114
Sell		09/21/2011	Australian Dollar		10,900,000		11,576,629		(332,047	)
Buy		09/21/2011	British Pound		18,062,500		28,961,890		(569,575	)
Sell		09/21/2011	British Pound		10,437,500		16,735,763		(9,388	)
Buy		09/21/2011	Canadian Dollar		16,200,000		16,764,507		274,850
Buy		09/21/2011	Canadian Dollar		2,600,000		2,690,600		(1,876	)
Sell		09/21/2011	Canadian Dollar		17,200,000		17,799,353		(278,173	)
Buy		09/21/2011	Euro		17,125,000		24,779,251		(112,279	)
Sell		09/21/2011	Euro		6,625,000		9,586,133		(64,167	)
Buy		09/21/2011	Japanese Yen		1,225,000,000		15,223,099		30,139
Buy		09/21/2011	Japanese Yen		2,312,500,000		28,737,484		(83,832	)
Sell		09/21/2011	Japanese Yen		1,512,500,000		18,795,868		(99,200	)
Buy		09/21/2011	New Zealand Dollar		31,900,000		26,291,055		355,955
Sell		09/21/2011	New Zealand Dollar		26,500,000		21,840,532		(391,984	)
Buy		09/21/2011	Norwegian Krone		48,000,000		8,852,359		(56,474	)
Buy		09/21/2011	Swedish Krona		104,000,000		16,367,743		(409,794	)
Buy		09/21/2011	Swiss Franc		10,375,000		12,346,315		64,836
Buy		09/21/2011	Swiss Franc		2,000,000		2,380,012		(13,191	)
Total								$	(1,616,086	)

¹ Counterparty is UBS AG.

See accompanying notes to financial statements.

|  34

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

At June 30, 2011, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
CAC 40		07/15/2011	16	$	923,339	$	51
DAX		09/16/2011	19		5,091,421		121,921
E-mini Dow		09/16/2011	112		6,913,200		168,000
E-mini NASDAQ 100		09/16/2011	1		46,420		900
E-mini S&P 500		09/16/2011	48		3,157,200		80,400
Euribor		12/19/2011	779		277,107,213		(76,804	)
Euro Schatz		09/08/2011	740		115,418,426		130,738
EURO STOXX 50		09/16/2011	4		165,201		—
Eurodollar		12/19/2011	875		217,831,250		(40,712	)
German Euro BOBL		09/08/2011	329		55,620,229		71,405
German Euro Bund		09/08/2011	244		44,399,406		(59,340	)
Mini-Russell 2000		09/16/2011	8		660,320		22,880
OMXS30		07/15/2011	45		793,256		(949	)
Sterling		12/21/2011	1,657		329,267,424		272,962
UK Long Gilt		09/28/2011	165		31,817,751		(58,163	)
2 Year U.S. Treasury Note		09/30/2011	1,032		226,362,750		148,422
3 Year Australia Government Bond		09/15/2011	752		83,375,798		119,859
5 Year U.S. Treasury Note		09/30/2011	469		55,902,602		42,961
10 Year Australia Government Bond		09/15/2011	276		31,395,433		(64,833	)
10 Year Canada Government Bond		09/21/2011	300		38,568,096		(91,378	)
10 Year Japan Government Bond		09/08/2011	60		105,116,452		301,472
10 Year U.S. Treasury Note		09/21/2011	304		37,187,750		(103,594	)
30 Year U.S. Treasury Bond		09/21/2011	155		19,069,844		(276,265	)
Total						$	709,933
Commodity Futures2	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		09/21/2011	49	$	3,100,475	$	(190,794	)
Brent Crude Oil		07/14/2011	40		4,499,200		(203,600	)
Cocoa		09/15/2011	1		31,510		1,180
Coffee		09/20/2011	9		896,400		16,538
Corn		12/14/2011	57		1,768,425		(180,950	)
Gas Oil		08/11/2011	60		5,577,000		88,500
Gasoline		07/29/2011	23		2,868,247		79,888
Gold		08/29/2011	102		15,328,560		(249,900	)
Heating Oil		07/29/2011	30		3,712,338		(65,016	)
Natural Gas		07/27/2011	54		2,361,960		(890	)
Silver		09/28/2011	20		3,483,200		(23,100	)
Soybean		11/14/2011	20		1,294,000		(83,000	)
Sugar		09/30/2011	64		1,888,051		29,254
Total						$	(781,890	)

See accompanying notes to financial statements.

35  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
AEX		07/15/2011	80	$	7,883,014	$	(177,498	)
ASX SPI 200		09/15/2011	44		5,428,286		(78,457	)
FTSE 100		09/16/2011	21		1,989,377		(74,991	)
FTSE JSE Top 40		09/15/2011	129		5,444,030		(77,863	)
FTSE MIB		09/16/2011	11		1,612,153		(46,100	)
Hang Seng		07/28/2011	47		6,773,044		(68,552	)
IBEX 35		07/15/2011	28		4,171,268		(197,133	)
MSCI Singapore		07/28/2011	7		410,779		(9,460	)
MSCI Taiwan		07/28/2011	29		858,980		(13,630	)
Nikkei 225		09/09/2011	21		2,561,580		(104,342	)
S&P/TSX 60		09/15/2011	17		2,687,003		(72,763	)
SGX CNX Nifty		07/28/2011	637		7,201,285		(135,681	)
TOPIX		09/09/2011	18		1,899,385		(95,025	)
Total						$	(1,151,495	)
Commodity Futures2	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		09/21/2011	68	$	4,302,700	$	(425	)
Copper		09/21/2011	15		3,537,000		(118,781	)
Copper High Grade		09/28/2011	11		1,177,688		(57,062	)
Cotton		12/07/2011	1		59,295		10
KC Wheat		09/14/2011	2		70,725		11,225
Live Cattle		08/31/2011	125		5,543,750		(309,000	)
Nickel		09/21/2011	1		140,562		(3,912	)
Soybean Meal		12/14/2011	18		595,620		2,160
Soybean Oil		12/14/2011	5		168,450		3,210
Wheat		09/14/2011	68		2,088,450		548,250
Zinc		09/21/2011	27		1,596,206		(57,544	)
Total						$	18,131

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

Investment Summary at June 30, 2011 (Unaudited)

Certificates of Deposit	69.1	%
Financial Company Commercial Paper	17.2
Total Investments	86.3
Other assets less liabilities (including open forward foreign currency and futures contracts)	13.7
Net Assets	100.0	%

See accompanying notes to financial statements.

|  36

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Global Alternatives Fund

Principal Amount		Description	Value (†)
	Certificates of Deposit — 68.0% of Net Assets
$	1,300,000	Commerzbank AG, 0.010%, 7/01/2011	$	1,300,000
	48,000,000	National Bank of Canada, 0.030%, 7/01/2011		48,000,000
	48,000,000	Citibank, 0.070%, 7/01/2011		48,000,000
	19,000,000	UniCredit Bank AG (NY), 0.310%, 7/06/2011		19,000,152
	13,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		13,000,351
	15,000,000	Standard Chartered Bank (NY), 0.270%, 7/11/2011(b)		15,000,420
	30,000,000	Credit Industriel et Commercial (NY), 0.460%, 7/11/2011		30,002,580
	20,000,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011		20,000,776
	21,000,000	UniCredit Bank AG (NY), 0.270%, 7/18/2011		21,000,105
	1,000,000	Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011		1,000,020
	22,000,000	Toronto Dominion Bank, 0.200%, 7/20/2011		22,000,464
	10,000,000	Toronto Dominion Bank, 0.120%, 7/21/2011		10,000,000
	47,000,000	Bank of Montreal (IL), 0.120%, 7/25/2011		47,000,000
	30,000,000	KBC Bank NV (NY), 0.490%, 7/29/2011		30,007,500
	8,000,000	Barclays Bank PLC, 1.000%, 7/29/2011		8,005,272
	43,000,000	Societe Generale, 0.200%, 8/01/2011		42,998,839
	17,000,000	Credit Agricole CIB (NY), 0.260%, 8/01/2011		17,000,612
	24,500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		24,505,439
	26,000,000	Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c)		25,999,376
	6,000,000	Credit Agricole CIB (NY), 0.225%, 8/04/2011		6,000,030
	15,000,000	Bank of Nova Scotia (TX), 0.170%, 8/15/2011(b)		15,000,570
	24,000,000	Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011		24,001,872
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011		14,999,565
	13,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011(b)		13,006,253
	13,000,000	Svenska Handelsbanken (NY), 0.195%, 9/02/2011		12,998,726
	8,000,000	Credit Industriel et Commercial (NY), 0.360%, 9/02/2011		8,001,560
	25,000,000	Svenska Handelsbanken (NY), 0.170%, 9/13/2011(b)		24,995,825
	10,000,000	Bank of Nova Scotia (TX), 0.170%, 9/20/2011		9,999,770
	11,000,000	KBC Bank NV (NY), 0.430%, 9/29/2011		11,004,994
	40,000,000	Skandinaviska Enskilda Banken (NY), 0.320%, 9/30/2011		40,007,160
	6,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011		6,000,000
	20,000,000	Credit Agricole CIB (NY), 0.320%, 10/11/2011(d)		19,998,520
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e)		14,998,320
	13,000,000	Lloyds TSB Bank PLC (NY), 0.335%, 10/25/2011		13,001,898
	7,000,000	Svenska Handelsbanken (NY), 0.295%, 10/28/2011		7,000,112
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e)		14,997,030
	20,000,000	Westpac Banking Corp. (NY), 0.230%, 12/09/2011		19,996,400
	10,000,000	Barclays Bank PLC, 0.428%, 2/09/2012(f)		9,990,380
		Total Certificates of Deposit (Identified Cost $729,811,260)		729,820,891
	Financial Company Commercial Paper — 23.1%
	30,000,000	ING (US) Funding LLC, 0.210%, 7/05/2011(g)		29,999,490
	14,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/20/2011(g)		13,996,514
	44,000,000	General Electric Capital Corp., 0.100%, 7/22/2011(g)		43,997,433
	40,000,000	Intesa Funding LLC, 0.330%, 7/25/2011(g)		39,994,600
	3,200,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g)		3,198,979
	20,000,000	RBS Finance NV, 0.060%, 7/28/2011(g)		19,999,100

See accompanying notes to financial statements.

37  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Global Alternatives Fund – (continued)

Principal Amount		Description	Value (†)
	Financial Company Commercial Paper — continued
$	25,000,000	Nordea North America, Inc., 0.145%, 8/23/2011(g)	$	24,993,400
	26,200,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/19/2011(g)		26,176,711
	15,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g)		14,991,600
	20,000,000	Bank of Nova Scotia (NY), 0.240%, 10/25/2011(g)		19,992,340
	10,000,000	Nordea North America, Inc., 0.260%, 11/07/2011(g)		9,990,970
		Total Financial Company Commercial Paper (Identified Cost $247,315,125)		247,331,137
		Total Investments — 91.1% (Identified Cost $977,126,385)(a)		977,152,028
		Other assets less liabilities — 8.9%		95,760,701
		Net Assets — 100.0%	$	1,072,912,729
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $977,126,385 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	$	55,009
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(29,366	)
		Net unrealized appreciation	$	25,643
		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)	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. The spread to 1 Month Libor changes each month. 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 changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement.
	(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

|  38

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy		09/21/2011	Australian Dollar		35,200,000	$	37,385,077	$	279,208
Buy		09/21/2011	British Pound		8,625,000		13,829,553		(271,977	)
Buy		09/21/2011	Canadian Dollar		20,400,000		21,110,861		346,107
Buy		09/21/2011	Euro		2,625,000		3,798,279		25,663
Buy		09/21/2011	Euro		15,875,000		22,970,547		(115,649	)
Buy		09/21/2011	Japanese Yen		300,000,000		3,728,106		24,650
Buy		09/21/2011	Japanese Yen		9,137,500,000		113,551,894		(122,765	)
Sell		09/21/2011	Japanese Yen		462,500,000		5,747,497		8,721
Sell		09/21/2011	Japanese Yen		887,500,000		11,028,980		(28,256	)
Buy		09/21/2011	Swedish Krona		36,000,000		5,665,757		(141,671	)
Buy		09/21/2011	Swiss Franc		5,125,000		6,098,782		32,028
Buy		09/21/2011	Swiss Franc		37,125,000		44,178,982		(242,980	)
Sell		09/21/2011	Swiss Franc		4,625,000		5,503,779		(51,998	)
Total								$	(258,919	)

¹ Counterparty is UBS AG.

At June 30, 2011, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
DAX		09/16/2011	239	$	64,044,718	$	1,533,642
E-mini S&P 500		09/16/2011	4,117		270,795,675		7,451,187
Eurodollar		12/19/2011	3,055		760,542,250		(22,925	)
FTSE 100		09/16/2011	555		52,576,388		1,264,862
German Euro Bund		09/08/2011	243		44,217,441		39,734
Hang Seng		07/28/2011	324		46,690,774		555,843
TOPIX		09/09/2011	486		51,283,399		2,534,352
UK Long Gilt		09/28/2011	492		94,874,750		(94,548	)
10 Year Japan Government Bond		09/08/2011	28		49,054,344		148,562
10 Year U.S. Treasury Note		09/21/2011	316		38,655,687		78,875
Total						$	13,489,584

See accompanying notes to financial statements.

39  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Global Alternatives Fund – (continued)

Commodity Futures2	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		09/21/2011	37	$	2,341,175	$	(1,619	)
Brent Crude Oil		07/14/2011	175		19,684,000		(913,670	)
Copper		09/21/2011	126		29,710,800		1,096,275
Gas Oil		08/11/2011	112		10,410,400		165,200
Gold		08/29/2011	223		33,512,440		(546,350	)
Heating Oil		07/29/2011	147		18,190,456		(318,578	)
Light Sweet Crude Oil		07/20/2011	158		15,076,360		(567,220	)
Nickel		09/21/2011	65		9,136,530		254,280
Zinc		09/21/2011	192		11,350,800		427,575
Total						$	(404,107	)

At June 30, 2011, open futures contracts sold were as follows:

Commodity Futures2	Expiration Date	Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum	09/21/2011	59	$	3,733,225	$	229,731
Copper	09/21/2011	9		2,122,200		(82,462	)
Total					$	147,269

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

Investment Summary at June 30, 2011 (Unaudited)

Certificates of Deposit	68.0	%
Financial Company Commercial Paper	23.1
Total Investments	91.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	8.9
Net Assets	100.0	%

See accompanying notes to financial statements.

|  40

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Certificates of Deposit — 66.1% of Net Assets
$	11,900,000	Commerzbank AG, 0.010%, 7/01/2011	$	11,900,000
	16,000,000	Royal Bank of Canada, 0.020%, 7/01/2011		16,000,000
	16,000,000	National Bank of Canada, 0.030%, 7/01/2011		16,000,000
	16,000,000	Citibank, 0.070%, 7/01/2011		16,000,000
	7,000,000	UniCredit Bank AG (NY), 0.310%, 7/06/2011		7,000,056
	11,000,000	Toronto Dominion Bank, 0.270%, 7/07/2011		11,000,297
	6,000,000	Credit Industriel et Commercial (NY), 0.460%, 7/11/2011(b)		6,000,516
	1,000,000	Banco Bilbao de Vizcaya Argentaria (NY), 0.510%, 7/11/2011		1,000,039
	9,000,000	UniCredit Bank AG (NY), 0.270%, 7/18/2011		9,000,045
	4,000,000	Lloyds TSB Bank PLC (NY), 0.230%, 7/19/2011		4,000,080
	4,000,000	Toronto Dominion Bank, 0.200%, 7/20/2011		4,000,084
	16,000,000	Bank of Montreal (IL), 0.120%, 7/25/2011		16,000,000
	8,000,000	KBC Bank NV (NY), 0.490%, 7/29/2011		8,002,000
	6,500,000	Barclays Bank PLC, 1.000%, 7/29/2011		6,504,284
	500,000	Lloyds TSB Bank PLC (NY), 0.470%, 8/01/2011		500,111
	5,000,000	Westpac Banking Corp. (NY), 0.210%, 8/04/2011(b)(c)		4,999,880
	3,000,000	Credit Agricole CIB (NY), 0.225%, 8/04/2011		3,000,015
	7,000,000	Bank of Nova Scotia (TX), 0.170%, 8/15/2011		7,000,266
	10,000,000	Landesbank Hessen Thueringen Girozentrale, 0.280%, 8/16/2011(b)		10,000,780
	7,000,000	Canadian Imperial Bank of Commerce (NY), 0.110%, 8/22/2011		6,999,797
	6,000,000	Royal Bank of Scotland PLC, 0.500%, 8/25/2011(b)		6,002,886
	2,000,000	Svenska Handelsbanken (NY), 0.180%, 9/15/2011		1,999,700
	14,000,000	Skandinaviska Enskilda Banken (NY), 0.320%, 9/29/2011		14,002,478
	6,000,000	KBC Bank NV (NY), 0.430%, 9/29/2011		6,002,724
	11,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011(b)		11,000,000
	14,000,000	Credit Agricole CIB (NY), 0.320%, 10/11/2011(d)		13,998,964
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 10/24/2011(b)(e)		5,999,328
	14,000,000	Svenska Handelsbanken (NY), 0.295%, 10/28/2011		14,000,224
	2,000,000	Canadian Imperial Bank of Commerce (NY), 0.226%, 11/28/2011(b)(e)		1,999,604
	10,000,000	Westpac Banking Corp. (NY), 0.230%, 12/09/2011		9,998,200
	5,000,000	Barclays Bank PLC, 0.428%, 2/09/2012(b)(f)		4,995,189
		Total Certificates of Deposit (Identified Cost $254,906,012)		254,907,547
	Financial Company Commercial Paper — 19.9%
	14,000,000	ING (US) Funding LLC, 0.210%, 7/05/2011(g)		13,999,762
	8,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/20/2011(g)		7,998,008
	15,000,000	General Electric Capital Corp., 0.100%, 7/22/2011(g)		14,999,125
	2,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.420%, 7/25/2011(g)		1,999,362
	10,000,000	RBS Finance NV, 0.060%, 7/28/2011(g)		9,999,550
	14,000,000	Nordea North America, Inc., 0.145%, 8/23/2011(g)		13,996,304
	6,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.400%, 9/26/2011(g)		5,996,640
	8,000,000	Bank of Nova Scotia (NY), 0.240%, 10/25/2011(g)		7,996,937
		Total Financial Company Commercial Paper (Identified Cost $76,981,040)		76,985,688

See accompanying notes to financial statements.

41  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

		Value (†)
	Total Investments — 86.0% (Identified Cost $331,887,052)(a)	$	331,893,235
	Other assets less liabilities — 14.0%		53,915,672
	Net Assets — 100.0%	$	385,808,907
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At June 30, 2011, the net unrealized appreciation on short term investments based on a cost of $331,887,052 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	$	16,971
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,788	)
	Net unrealized appreciation	$	6,183
	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)	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. The spread to 1 Month Libor changes each month. 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 changes quarterly based upon 3 Month Libor. The spread to 3 Month Libor changes each quarter. The rate shown is the rate in effect at the date of this statement.
(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

|  42

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy		09/21/2011	Australian Dollar		42,800,000	$	45,456,855	$	339,492
Sell		09/21/2011	Australian Dollar		45,100,000		47,899,630		(811,458	)
Buy		09/21/2011	British Pound		42,750,000		68,546,480		(1,348,060	)
Buy		09/21/2011	Canadian Dollar		51,500,000		53,294,575		873,751
Buy		09/21/2011	Canadian Dollar		30,300,000		31,355,838		(22,034	)
Sell		09/21/2011	Canadian Dollar		69,900,000		72,335,744		(1,393,345	)
Buy		09/21/2011	Euro		49,000,000		70,901,213		(350,111	)
Sell		09/21/2011	Euro		12,750,000		18,448,785		(469,513	)
Buy		09/21/2011	Japanese Yen		2,512,500,000		31,222,888		50,576
Buy		09/21/2011	Japanese Yen		5,450,000,000		67,727,258		(49,875	)
Sell		09/21/2011	Japanese Yen		2,700,000,000		33,552,954		(49,945	)
Buy		09/21/2011	New Zealand Dollar		64,600,000		53,241,447		357,032
Sell		09/21/2011	New Zealand Dollar		61,900,000		51,016,185		(882,852	)
Buy		09/21/2011	Norwegian Krone		90,000,000		16,598,173		254,921
Buy		09/21/2011	Norwegian Krone		140,000,000		25,819,381		(164,716	)
Buy		09/21/2011	Swedish Krona		110,000,000		17,312,036		382,609
Buy		09/21/2011	Swedish Krona		134,000,000		21,089,207		(527,329	)
Buy		09/21/2011	Swiss Franc		20,375,000		24,246,377		127,329
Buy		09/21/2011	Swiss Franc		4,375,000		5,206,277		(28,855	)
Total								$	(3,712,383	)

¹ Counterparty is UBS AG.

At June 30, 2011, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
CAC 40		07/15/2011	69	$	3,981,901	$	127,077
DAX		09/16/2011	51		13,666,446		377,184
E-mini Dow		09/16/2011	218		13,456,050		327,000
E-mini NASDAQ 100		09/16/2011	225		10,444,500		2,555
E-mini S&P 500		09/16/2011	140		9,208,500		162,600
Euribor		12/19/2011	559		198,848,436		(200,483	)
Euro Schatz		09/08/2011	1,663		259,379,517		103,265
EURO STOXX 50		09/16/2011	117		4,832,131		132,341
Eurodollar		12/19/2011	2,788		694,072,600		22,537
FTSE 100		09/16/2011	23		2,178,841		52,418
FTSE JSE Top 40		09/15/2011	1		42,202		(21	)
German Euro BOBL		09/08/2011	717		121,214,906		(276,515	)
German Euro Bund		09/08/2011	376		68,418,757		(90,910	)
IBEX 35		07/15/2011	21		3,128,451		1,088
Mini-Russell 2000		09/16/2011	121		9,987,340		212,520
MSCI Taiwan		07/28/2011	160		4,739,200		60,800
OMXS30		07/15/2011	20		352,558		12,648

See accompanying notes to financial statements.

43  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
S&P/TSX 60		09/15/2011	8	$	1,264,472	$	18,995
Sterling		12/21/2011	5,030		999,526,339		710,632
UK Long Gilt		09/28/2011	340		65,563,851		173,880
2 Year U.S. Treasury Note		09/30/2011	2,065		452,944,844		272,640
3 Year Australia Government Bond		09/15/2011	1,477		163,758,049		248,307
5 Year U.S. Treasury Note		09/30/2011	872		103,938,313		234,790
10 Year Australia Government Bond		09/15/2011	564		64,155,884		(237,631	)
10 Year Canada Government Bond		09/21/2011	578		74,307,865		(68,464	)
10 Year Japan Government Bond		09/08/2011	140		245,271,722		508,043
10 Year U.S. Treasury Note		09/21/2011	507		62,020,359		(5,180	)
30 Year U.S. Treasury Bond		09/21/2011	263		32,357,219		(399,969	)
Total						$	2,482,147

Commodity Futures2	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		09/21/2011	154	$	9,744,350	$	(599,638	)
Brent Crude Oil		07/14/2011	59		6,636,320		(347,910	)
Cocoa		09/15/2011	18		567,180		5,760
Coffee		09/20/2011	3		298,800		5,513
Copper		09/21/2011	31		7,309,800		128,513
Corn		12/14/2011	136		4,219,400		(401,575	)
Gas Oil		08/11/2011	27		2,509,650		41,175
Gasoline		07/29/2011	52		6,484,733		180,625
Gold		08/29/2011	132		19,836,960		(421,680	)
Heating Oil		07/29/2011	30		3,712,338		(65,016	)
Silver		09/28/2011	26		4,528,160		(30,030	)
Sugar		09/30/2011	220		6,490,176		112,571
Total						$	(1,391,692	)

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Depreciation
AEX		07/15/2011	32	$	3,153,206	$	(63,067	)
ASX SPI 200		09/15/2011	39		4,811,435		(77,385	)
FTSE MIB		09/16/2011	30		4,396,781		(101,510	)
MSCI Singapore		07/28/2011	10		586,827		(13,515	)
Nikkei 225		09/09/2011	38		4,635,240		(113,285	)
SGX CNX Nifty		07/28/2011	878		9,925,790		(200,825	)
TOPIX		09/09/2011	45		4,748,463		(212,409	)
Total						$	(781,996	)

See accompanying notes to financial statements.

|  44

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

Commodity Futures2	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		09/21/2011	181	$	11,452,775	$	(112,600	)
Copper		09/21/2011	14		3,301,200		(112,988	)
Copper High Grade		09/28/2011	14		1,498,875		(72,625	)
Cotton		12/07/2011	28		1,660,260		82,400
KC Wheat		09/14/2011	80		2,829,000		444,113
Light Sweet Crude Oil		07/20/2011	8		763,360		(14,320	)
Live Cattle		08/31/2011	74		3,281,900		(207,020	)
Natural Gas		07/27/2011	38		1,662,120		(22,420	)
Nickel		09/21/2011	30		4,216,860		(117,360	)
Soybean		11/14/2011	4		258,800		9,150
Soybean Meal		12/14/2011	12		397,080		10,800
Soybean Oil		12/14/2011	121		4,076,490		109,914
Wheat		09/14/2011	104		3,194,100		838,475
Zinc		09/21/2011	75		4,433,906		(159,844	)
Total						$	675,675

² Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

Investment Summary at June 30, 2011 (Unaudited)

Certificates of Deposit	66.1	%
Financial Company Commercial Paper	19.9
Total Investments	86.0
Other assets less liabilities (including open forward foreign currency and futures contracts)	14.0
Net Assets	100.0	%

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 66.3% of Net Assets
	Non-Convertible Bonds — 62.5%
		ABS Car Loan — 0.2%
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	737,077
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		430,147
				1,167,224
		ABS Home Equity — 1.3%
	1,459,276	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.476%, 11/25/2045(b)		922,782
	4,373,607	Argent Securities, Inc., Series 2006-M2, Class A2C, 0.336%, 9/25/2036(b)		1,411,271
	2,500,000	Asset Backed Securities Corp. Home Equity, Series 2006-HE7, Class A4, 0.326%, 11/25/2036(b)		896,220
	803,215	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.336%, 11/25/2036(b)		289,697
	1,950,154	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.256%, 12/25/2046(b)		864,034
	400,820	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.506%, 7/25/2045(b)		259,285
	2,818,984	MASTER Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		2,368,158
	3,000,000	Novastar Home Equity Loan, Series 2007-1, Class A2C, 0.366%, 3/25/2037(b)		917,034
	358,597	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.088%, 12/25/2046(b)		247,971
				8,176,452
		ABS Other — 0.7%
	4,071,175	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		4,070,480
		Airlines — 0.4%
	208,442	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		206,087
	1,980,000	US Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,980,000
				2,186,087
		Automotive — 1.2%
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)		3,108,808
	4,050,000	Lear Corp., 8.125%, 3/15/2020		4,363,875
				7,472,683
		Banking — 0.5%
	2,431,377	Banco Votorantim SA, 6.250%, 5/16/2016, 144A, (BRL)		1,584,010
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,446,785
				3,030,795
		Building Materials — 0.2%
	1,000,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		993,750
		Chemicals — 2.2%
	1,600,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		1,610,080
	11,685,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		12,152,400
				13,762,480

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations — 4.9%
$	2,162,923	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.896%, 9/25/2045(b)	$	1,769,887
	806,129	Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.416%, 4/20/2035(b)		637,754
	2,308,418	Banc of America Funding Corp., Series 2005-H, Class 7A1, 2.696%, 11/20/2035(b)		1,262,651
	707,781	Banc of America Funding Corp., Series 2004-B, Class 4A2, 3.060%, 11/20/2034(b)		561,779
	1,777,863	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036(b)		1,578,961
	963,302	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1, 2.795%, 10/25/2036(b)		628,714
	770,936	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.456%, 2/22/2035(b)		443,472
	1,191,597	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.396%, 5/25/2035(b)		740,481
	283,066	Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.426%, 7/25/2035(b)		174,406
	494,913	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.486%, 5/25/2035(b)		338,500
	254,316	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.536%, 1/19/2035(b)		152,217
	208,965	Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 2.891%, 12/19/2035(b)		160,899
	2,968,330	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.296%, 5/25/2037(b)		1,376,952
	3,706,647	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.486%, 7/25/2035(b)		2,400,221
	843,447	Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.046%, 9/25/2034(b)		555,158
	2,441,705	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b)		2,007,948
	2,073,453	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.509%, 2/25/2036(b)		1,425,696
	1,220,056	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.346%, 12/25/2036(b)		635,764
	2,973,092	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.306%, 7/25/2037(b)(c)		1,204,102
	441,735	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.386%, 10/25/2046(b)		295,190
	829,355	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b)		476,951
	1,313,344	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.426%, 5/25/2037(b)		633,004
	1,526,305	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.921%, 12/25/2034(b)		1,257,246
	2,057,480	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,842,936
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		2,476,096

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	440,058	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.641%, 10/25/2035(b)	$	416,482
	2,463,600	Residential Accredit Loans, Inc., Series 2007-QA1, Class A3, 0.356%, 1/25/2037(b)		1,071,020
	2,428,309	Residential Accredit Loans, Inc., Series 2005-QA12, Class NB4, 4.092%, 12/25/2035(b)		1,465,783
	1,491,086	Sequoia Mortgage Trust, Series 2004-6, Class A1, 1.949%, 7/20/2034(b)		1,249,404
	992,212	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-4, Class 3A2, 2.586%, 4/25/2034(b)		865,818
	648,154	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.859%, 9/25/2046(b)		498,454
				30,603,946
		Commercial Mortgage-Backed Securities — 8.9%
	1,502,713	American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 1.896%, 9/25/2045(b)		1,253,373
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.552%, 4/15/2044, 144A(b)		4,162,555
	475,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		502,604
	1,400,000	Crown Castle Towers LLC, 4.883%, 8/15/2040, 144A		1,407,735
	350,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		381,892
	1,400,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,486,180
	7,409,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)		6,305,812
	2,805,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		2,800,289
	2,878,940	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.891%, 6/19/2035(b)		2,520,219
	1,400,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,502,270
	675,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		617,196
	3,600,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b)		3,165,756
	250,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.800%, 8/10/2045(b)		268,400
	2,373,291	Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.921%, 12/19/2035(b)		1,753,642
	4,060,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class D, 6.314%, 6/15/2043, 144A(b)		3,940,014
	2,500,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		2,639,383
	2,430,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		2,580,958
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.319%, 6/15/2044, 144A(b)		1,825,819
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class D, 5.256%, 9/15/2047, 144A(b)		1,182,689

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.256%, 9/15/2047, 144A(b)	$	1,124,539
	4,800,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.800%, 8/12/2045, 144A(b)		4,787,521
	1,000,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.800%, 8/15/2045, 144A(b)		995,003
	9,325,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b)		8,196,480
				55,400,329
		Diversified Manufacturing — 0.9%
	5,900,000	Votorantim Cimentos SA, 7.250%, 4/05/2041, 144A		5,826,250
		Electric — 4.7%
	1,400,000	Ameren Energy Generating Co., Series F, 7.950%, 6/01/2032		1,355,745
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		2,889,733
	7,655,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		7,082,835
	4,700,000,000	Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP)		2,773,239
	9,060,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020		9,662,128
	3,250,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		3,602,706
	2,000,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		1,965,000
				29,331,386
		Gaming — 4.8%
	4,335,000	Caesars Entertainment Operating Co., Inc., 5.625%, 6/01/2015		3,500,512
	8,600,000	Caesars Entertainment Operating Co., Inc., 11.250%, 6/01/2017		9,492,250
	2,400,000	Mandalay Resort Group, 7.625%, 7/15/2013		2,376,000
	8,135,000	MGM Resorts International, 5.875%, 2/27/2014		7,819,769
	1,000,000	MGM Resorts International, 6.750%, 4/01/2013		1,002,500
	500,000	MGM Resorts International, 6.875%, 4/01/2016		468,750
	250,000	MGM Resorts International, 7.500%, 6/01/2016		237,500
	2,000,000	MGM Resorts International, 7.625%, 1/15/2017		1,925,000
	2,500,000	MGM Resorts International, 9.000%, 3/15/2020		2,737,500
				29,559,781
		Government Owned – No Guarantee — 0.1%
	400,000	Petrobras International Finance Co., 6.750%, 1/27/2041		426,846
		Healthcare — 1.6%
	8,500,000	Biomet, Inc., 11.625%, 10/15/2017		9,413,750
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		472,404
				9,886,154
		Hybrid ARMs — 0.6%
	2,315,146	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.156%, 4/25/2035(b)		1,095,059
	1,498,091	Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.576%, 12/25/2034(b)		903,042
	1,204,661	Lehman XS Trust, Series 2006-4N, Class A2A, 0.406%, 4/25/2046(b)		680,147

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Hybrid ARMs — continued
$	1,277,220	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.446%, 4/25/2035(b)	$	962,950
				3,641,198
		Industrial Other — 0.1%
	750,000	Steelcase, Inc., 6.375%, 2/15/2021		780,352
		Life Insurance — 1.7%
	500,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		523,615
	3,870,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		4,228,362
	5,600,000	Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A		5,850,359
				10,602,336
		Media Cable — 0.2%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,485,582
		Media Non-Cable — 0.4%
	613,000	R. R. Donnelley & Sons Co., 6.125%, 1/15/2017		599,216
	2,000,000	R. R. Donnelley & Sons Co., 7.625%, 6/15/2020		1,976,608
				2,575,824
		Metals & Mining — 2.0%
	4,400,000	ArcelorMittal, 5.500%, 3/01/2021		4,406,868
	1,150,000	Boart Longyear Management Pty Ltd., 7.000%, 4/01/2021, 144A		1,175,875
	3,675,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		3,684,188
	3,360,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		3,385,200
				12,652,131
		Non-Captive Consumer — 6.4%
	15,975,000	Residential Capital LLC, 9.625%, 5/15/2015		15,855,187
	1,175,000	SLM Corp., MTN, 6.250%, 1/25/2016		1,219,063
	6,465,000	SLM Corp., MTN, 8.000%, 3/25/2020		6,942,143
	5,400,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		7,395,008
	3,100,000	Springleaf Finance Corp., 4.125%, 11/29/2013, (EUR)		4,186,248
	1,435,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		1,313,025
	2,200,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,963,500
	1,000,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		987,500
				39,861,674
		Non-Captive Diversified — 1.4%
	1,375,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,343,467
	7,000,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		7,490,000
				8,833,467
		Oil Field Services — 1.7%
	180,000	Basic Energy Services, Inc., 7.750%, 2/15/2019, 144A		180,900
	5,740,000	Complete Production Services, Inc., 8.000%, 12/15/2016		5,998,300
	4,040,000	OGX Petroleo e Gas Participacoes SA, 8.500%, 6/01/2018, 144A		4,155,140
	157,000	Parker Drilling Co., 9.125%, 4/01/2018		165,635
				10,499,975

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Packaging — 0.4%
	1,000,000	Beverage Packaging Holdings SA, 8.000%, 12/15/2016, 144A, (EUR)	$	1,366,766
	750,000	Packaging Dynamics Corp., 8.750%, 2/01/2016, 144A		761,250
	145,000	Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		135,575
				2,263,591
		Pharmaceuticals — 0.3%
	1,300,000	Valeant Pharmaceuticals International, 6.500%, 7/15/2016, 144A		1,285,375
	500,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		490,000
	200,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		194,000
				1,969,375
		Pipelines — 0.8%
	860,000	Tennessee Gas Pipeline Co., 7.000%, 3/15/2027		982,676
	1,140,000	Tennessee Gas Pipeline Co., 7.000%, 10/15/2028		1,312,475
	2,300,000	Tennessee Gas Pipeline Co., 8.375%, 6/15/2032		2,907,830
				5,202,981
		Refining — 0.3%
	1,900,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		1,957,000
		Retailers — 0.7%
	3,900,000	Rite Aid Corp., 10.375%, 7/15/2016		4,143,750
		Sovereigns — 2.0%
	1,260,000(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		10,753,568
	200,000(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)		1,808,370
				12,561,938
		Technology — 0.0%
	75,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		77,250
		Treasuries — 3.5%
	6,200,000	Canadian Government Bond, 1.750%, 3/01/2013, (CAD)		6,454,763
	20,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		12,283
	3,715,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		2,453,379
	240,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		218,392
	170,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		150,319
	11,525,000,000	Korea Treasury Bond, 3.750%, 6/10/2013, (KRW)		10,793,450
	990,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		823,186
	1,100,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		957,418
				21,863,190
		Wireless — 2.9%
	15,720,000	Clearwire Communications LLC/Clearwire Finance Inc., 12.000%, 12/01/2015, 144A		16,840,050
	1,005,000	Sprint Capital Corp., 6.875%, 11/15/2028		952,237
				17,792,287
		Wirelines — 4.5%
	8,525,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		8,770,094
	150,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		152,266

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
	1,200,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)	$	1,392,144
	3,500,000	Qwest Corp., 7.125%, 11/15/2043		3,325,000
	7,534,000	Qwest Corp., 7.200%, 11/10/2026		7,383,320
	5,165,000	Qwest Corp., 7.500%, 6/15/2023		5,171,456
	250,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		235,704
	1,250,000	Telecom Italia Capital SA, 7.721%, 6/04/2038		1,243,136
				27,673,120
		Total Non-Convertible Bonds (Identified Cost $394,698,348)		388,331,664
	Convertible Bonds — 3.6%
		Automotive — 0.7%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016		2,759,137
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015, 144A		1,594,938
				4,354,075
		Diversified Manufacturing — 1.0%
	3,510,000	EMC Corp., Series B, 1.750%, 12/01/2013		6,151,275
		Healthcare — 0.2%
	1,210,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(e)		1,382,425
		Metals & Mining — 0.4%
	2,250,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		2,632,500
		Pharmaceuticals — 0.4%
	2,010,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		2,530,087
		Technology — 0.9%
	1,715,000	Ciena Corp., 0.875%, 6/15/2017		1,451,319
	1,045,000	Intel Corp., 3.250%, 8/01/2039		1,274,900
	2,710,000	SanDisk Corp., 1.500%, 8/15/2017		2,865,825
				5,592,044
		Total Convertible Bonds (Identified Cost $23,006,637)		22,642,406
	Municipals — 0.2%
		California — 0.2%
	975,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 (Identified Cost $845,224)		922,633
		Total Bonds and Notes (Identified Cost $418,550,209)		411,896,703
	Senior Loans — 9.4%
		Airlines — 0.1%
	897,750	Allegiant Travel Company, Term Loan B, 5.750%, 3/10/2017(b)		902,239
		Automotive — 1.2%
	3,485,000	Chrysler Group LLC, Term Loan, 6.000%, 5/24/2017(b)		3,403,311
	1,875,000	KAR Auction Services, Inc., Term Loan B, 5.000%, 5/19/2017(b)		1,886,719

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	2,244,375	Metaldyne Company LLC, New Term Loan B, 5.250%, 5/18/2017(b)	$	2,244,375
				7,534,405
		Building Materials — 0.5%
	935,300	CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b)		934,131
	2,159,588	Nortek, Inc., Term Loan, 5.250%, 4/26/2017(f)		2,154,188
				3,088,319
		Chemicals — 0.7%
	74,491	Houghton International, Inc., New Term Loan B, 6.750%, 1/29/2016(b)		74,771
	3,840,000	PQ Corporation, 2nd Lien Term Loan, 7/30/2015(g)		3,759,283
	600,000	PQ Corporation, 2nd Lien Term Loan, 6.690%, 7/30/2015(b)		587,388
				4,421,442
		Consumer Cyclical Services — 0.2%
	335,000	Allied Security Holdings LLC, 2nd Lien Term Loan, 8.500%, 2/05/2018(b)		339,187
	94,443	Instant Web, Inc., Delayed Draw Term Loan, 3.561%, 8/07/2014(b)		85,707
	900,390	Instant Web, Inc., Term Loan B, 3.561%, 8/07/2014(b)		817,104
	183,331	Language Line, LLC, New Term Loan B, 6.250%, 6/20/2016(b)		183,447
				1,425,445
		Consumer Products — 0.3%
	1,731,300	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		1,720,168
		Electric — 0.6%
	4,096,488	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.690%, 10/10/2014(b)		3,461,532
		Healthcare — 0.3%
	1,745,625	HCR Healthcare, LLC, New Term Loan, 5.000%, 4/06/2018(b)		1,712,353
		Industrial Other — 0.4%
	2,010,000	Milacron LLC, Term Loan B, 7.500%, 4/11/2017(b)		1,989,900
	750,000	Potters Industries, 1st Lien Term Loan, 6.000%, 5/05/2017(b)		750,000
				2,739,900
		Media Non-Cable — 0.4%
	2,394,000	RBS International Direct Marketing, LLC, Term Loan B, 6.500%, 3/23/2017(b)		2,346,120
		Oil Field Services — 1.1%
	3,972,219	CCS Income Trust, Tranche B Term Loan, 3.246%, 11/14/2014(b)		3,770,788
	3,005,000	SemGroup Corporation, Term Loan B, 6/15/2018(g)		2,987,481
				6,758,269
		Pharmaceuticals — 0.8%
	4,890,000	Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b)		4,857,922
		Retailers — 0.6%
	1,106,595	Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 6.500%, 12/22/2017(b)		1,122,507
	300,000	J. Crew Operating Corp., New Term Loan B, 4.750%, 3/07/2018(b)		287,499
	2,650,000	Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(b)		2,605,295
				4,015,301
		Supermarket — 0.2%
	997,500	Sprouts Farmers Markets Holdings, LLC, Term Loan, 6.000%, 4/18/2018(b)		988,153

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Technology — 1.2%
$	1,400,000	Aeroflex Incorporated, Term Loan B, 4.250%, 5/09/2018(b)	$	1,395,100
	1,407,890	First Data Corporation, Term Loan B2, 2.936%, 9/24/2014(b)		1,302,833
	3,070,000	Lawson Software, Inc., 1st Lien Term Loan, 7/05/2017(g)		2,942,595
	1,820,000	Open Link Financial, Inc., New Term Loan B, 5.250%, 4/26/2018(b)		1,810,900
				7,451,428
		Wireless — 0.4%
	2,460,000	Asurion Corporation, New 2nd Lien Term Loan, 9.000%, 5/24/2019(b)		2,464,920
		Wirelines — 0.4%
	2,487,500	Global Tel*Link Corporation, New Term Loan B, 5.000%, 11/10/2016(b)		2,476,630
		Total Senior Loans (Identified Cost $58,595,077)		58,364,546
Shares
	Preferred Stocks — 2.9%
	Convertible Preferred Stocks — 1.9%
		Automotive — 0.6%
	72,200	General Motors Co., Series B, 4.750%		3,519,028
		Banking — 0.4%
	2,500	Wells Fargo & Co., Series L, Class A, 7.500%		2,650,000
		Independent Energy — 0.8%
	81,250	Apache Corp., Series D, 6.000%		5,356,000
		REITs –Healthcare — 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%		412,080
		Total Convertible Preferred Stocks (Identified Cost $12,041,130)		11,937,108
	Non-Convertible Preferred Stocks — 1.0%
		Non-Captive Diversified — 1.0%
	129,400	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		3,238,882
	275	Ally Financial, Inc., Series G, 7.000%, 144A		258,449
	102,000	Montpelier Re Holdings Ltd., 8.875%		2,631,600
		Total Non-Convertible Preferred Stocks (Identified Cost $6,040,062)		6,128,931
		Total Preferred Stocks (Identified Cost $18,081,192)		18,066,039
Par Value(‡)
	Purchased Options — 0.0%
		Options on Currency — 0.0%
$	6,000,000	AUD Put/USD Call, expiring September 27, 2011 at 1.0310(h)		90,912
	2,400,000	JPY Put/CAD Call, expiring July 13, 2011 at 87.1300(CAD)(h)		674
		Total Purchased Options (Identified Cost $238,168)		91,586

See accompanying notes to financial statements.

|  54

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 25.1%
$	63,449	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $63,449 on 7/01/2011 collateralized by $65,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $66,244 including accrued interest (Note 2 of Notes to Financial Statements)	$	63,449
	38,224,249	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $38,224,249 on 7/01/2011 collateralized by $39,010,000 Federal Home Loan Mortgage Corp. Discount Note, due 8/15/2011 valued at $38,990,495 including accrued interest (Note 2 of Notes to Financial Statements)		38,224,249
	118,000,000	U.S. Treasury Bills, 0.036%-0.165%, 9/22/2011(i)(j)(k)(l)		117,993,156
		Total Short-Term Investments (Identified Cost $156,267,581)		156,280,854
		Total Investments — 103.7% (Identified Cost $651,732,227)(a)		644,699,728
		Other assets less liabilities — (3.7)%		(23,163,672	)
		Net Assets — 100.0%	$	621,536,056
	(‡)	Principal amount/Par Value stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(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 June 30, 2011, the net unrealized depreciation on investments based on a cost of $652,359,754 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	$	3,684,007
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,344,033	)
		Net unrealized depreciation	$	(7,660,026	)
	(b)	Variable rate security. Rate as of June 30, 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 June 30, 2011, the value of this security amounted to $472,404 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 June 30, 2011.
	(g)	Position is unsettled. Contract rate was not determined at June 30, 2011 and does not take effect until settlement date.
	(h)	Counterparty is Credit Suisse.
	(i)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(j)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements and as initial margin for open futures contracts.
	(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.

See accompanying notes to financial statements.

55  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

(l)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
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 June 30, 2011, the value of Rule 144A holdings amounted to $121,557,970 or 19.5% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso

At June 30, 2011, the Fund had the following open credit default swap agreements:

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread1			Notional Value(‡)			Unamortized Up Front Payment Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
Morgan Stanley	Alcatel-Lucent	5.00%		09/20/2016		4.84	%		3,800,000	*	$	(1,515	)	$	38,058		$	39,573		$	8,419
UBS AG	Alcatel-Lucent	5.00%		06/20/2016		4.71	%		2,700,000	*		85,195			46,983			(38,212	)		5,982
UBS AG	General Electric Capital Corp.	1.00%		09/20/2016		1.33	%		18,500,000			(331,526	)		(298,001	)		33,525			5,653
Total														$	(212,960	)	$	34,886		$	20,054

(‡) Notional value stated in U.S. dollars unless otherwise noted.

*   Notional value denominated in euros.

¹      Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

See accompanying notes to financial statements.

|  56

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell2		07/27/2011	Brazilian Real		6,950,000	$	4,430,206	$	(103,223	)
Buy3		01/30/2012	Chinese Renminbi		23,015,000		3,586,241		10,541
Buy3		01/30/2012	Chinese Renminbi		5,425,000		845,334		(4,793	)
Sell3		01/30/2012	Chinese Renminbi		28,440,000		4,431,575		(53,160	)
Buy4		07/25/2011	Colombian Peso		4,970,000,000		2,807,961		4,802
Sell4		07/25/2011	Colombian Peso		4,970,000,000		2,807,961		(20,837	)
Sell2		07/06/2011	Euro		2,915,000		4,227,069		(18,756	)
Sell2		07/29/2011	Euro		1,622,000		2,350,573		(18,807	)
Sell2		07/18/2011	Euro		980,000		1,420,633		(20,899	)
Sell2		07/27/2011	Euro		6,085,000		8,818,761		(216,884	)
Buy2		10/03/2011	Malaysian Ringgit		17,500,000		5,757,314		12,451
Buy2		07/22/2011	Malaysian Ringgit		2,500,000		826,892		9,499
Buy2		07/05/2011	Malaysian Ringgit		17,500,000		5,795,661		(5,764	)
Buy2		07/22/2011	Malaysian Ringgit		13,945,000		4,612,409		(20,541	)
Sell2		07/05/2011	Malaysian Ringgit		17,500,000		5,795,661		(26,748	)
Sell2		07/22/2011	Malaysian Ringgit		16,445,000		5,439,301		(82,624	)
Buy2		07/01/2011	New Russian Ruble		170,000,000		6,087,572		29,665
Sell2		07/01/2011	New Russian Ruble		170,000,000		6,087,572		24,239
Buy2		07/05/2011	Singapore Dollar		14,500,000		11,804,934		25,414
Buy2		08/05/2011	Singapore Dollar		14,500,000		11,805,126		673
Sell2		07/05/2011	Singapore Dollar		14,500,000		11,804,934		(961	)
Buy4		07/25/2011	South Korean Won		6,600,000,000		6,174,153		(997	)
Sell4		07/25/2011	South Korean Won		6,600,000,000		6,174,153		(39,754	)
Total								$	(517,464	)

² Counterparty is Credit Suisse.

³ Counterparty is Morgan Stanley.

⁴ Counterparty is Bank of America.

At June 30, 2011, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation
30 Day Federal Funds		12/30/2011	779	$	324,041,234	$	242,762

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		09/16/2011	256	$	16,838,400	$	(632,297	)
German Euro BOBL		09/08/2011	9		1,521,526		(5,108	)
Ultra Long U.S. Treasury Bond		09/21/2011	31		3,913,750		54,669
2 Year U.S. Treasury Note		09/30/2011	904		198,286,750		(69,031	)
10 Year U.S. Treasury Note		09/21/2011	44		5,382,437		81,730

See accompanying notes to financial statements.

57  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund – (continued)

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
30 Day Federal Funds		01/31/2012	779	$	324,008,773	$	(294,927	)
30 Year U.S. Treasury Bond		09/21/2011	97		11,934,031		134,635
Total						$	(730,329	)

Industry Summary at June 30, 2011 (Unaudited)

Commercial Mortgage-Backed Securities	8.9	%
Non-Captive Consumer	6.4
Electric	5.3
Collateralized Mortgage Obligations	4.9
Wirelines	4.9
Gaming	4.8
Automotive	3.7
Treasuries	3.5
Wireless	3.3
Chemicals	2.9
Oil Field Services	2.8
Metals & Mining	2.4
Non-Captive Diversified	2.4
Technology	2.1
Healthcare	2.1
Sovereigns	2.0
Other Investments, less than 2% each	16.2
Short-Term Investments	25.1
Total Investments	103.7
Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts and futures contracts)	(3.7	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  58

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 40.6% of Net Assets
	Non-Convertible Bonds — 37.6%
		Airlines — 1.4%
$	750,000	Air Canada, 9.250%, 8/01/2015, 144A	$	767,812
	230,000	US Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		230,000
				997,812
		Automotive — 0.1%
	65,000	Navistar International Corp., 8.250%, 11/01/2021		69,550
		Banking — 0.6%
	653,056	Banco Votorantim SA, 6.250%, 5/16/2016, 144A, (BRL)		425,457
		Building Materials — 1.1%
	750,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		745,312
		Chemicals — 0.6%
	420,000	PolyOne Corp., 7.375%, 9/15/2020		439,950
		Collateralized Mortgage Obligations — 0.4%
	461,752	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.238%, 8/25/2046(b)		253,492
		Commercial Mortgage-Backed Securities — 0.9%
	700,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b)		615,564
		Construction Machinery — 1.1%
	125,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		124,375
	100,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.250%, 11/15/2019		109,500
	500,000	United Rentals North America, Inc., 8.375%, 9/15/2020		506,250
				740,125
		Distributors — 0.7%
	500,000	ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A		491,283
		Electric — 2.6%
	315,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		319,725
	500,000	AES Corp. (The), 8.000%, 10/15/2017		530,000
	400,000	Calpine Corp., 7.500%, 2/15/2021, 144A		408,000
	150,000,000	Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP)		91,187
	814,000,000	Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP)		480,302
				1,829,214
		Entertainment — 0.7%
	500,000	AMC Entertainment, Inc., 9.750%, 12/01/2020, 144A		511,250
		Food & Beverage — 0.5%
	400,000	Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		382,200
		Healthcare — 1.2%
	390,000	Biomet, Inc., 11.625%, 10/15/2017		431,925
	395,000	Omnicare, Inc., 7.750%, 6/01/2020		419,194
				851,119

See accompanying notes to financial statements.

59  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — 2.4%
$	1,000,000	Concho Resources, Inc., 6.500%, 1/15/2022	$	1,002,500
	625,000	QEP Resources, Inc., 6.875%, 3/01/2021		659,375
				1,661,875
		Media Cable — 1.2%
	750,000	Comcast Corp., 6.500%, 11/15/2035		813,935
		Media Non-Cable — 2.3%
	150,000	Intelsat Jackson Holdings SA, 7.500%, 4/01/2021, 144A		149,063
	1,350,000	Intelsat SA, 11.250%, 2/04/2017		1,449,562
				1,598,625
		Metals & Mining — 2.2%
	150,000	ArcelorMittal, 5.500%, 3/01/2021		150,234
	175,000	ArcelorMittal, 6.750%, 3/01/2041		173,453
	180,000	Arch Western Finance LLC, 6.750%, 7/01/2013		180,225
	1,000,000	Teck Resources Ltd., 4.750%, 1/15/2022		1,002,613
				1,506,525
		Non-Captive Consumer — 0.7%
	100,000	Residential Capital LLC, 9.625%, 5/15/2015		99,250
	420,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		417,900
				517,150
		Non-Captive Diversified — 1.0%
	120,000	Aircastle Ltd., 9.750%, 8/01/2018		132,300
	205,000	International Lease Finance Corp., 6.250%, 5/15/2019		200,299
	360,000	International Lease Finance Corp., 8.625%, 9/15/2015		390,150
				722,749
		Oil Field Services — 2.0%
	675,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		675,000
	190,000	Frac Tech Services LLC/Frac Tech Finance, Inc., 7.125%, 11/15/2018, 144A		192,850
	510,000	OGX Petroleo e Gas Participacoes SA, 8.500%, 6/01/2018, 144A		524,535
				1,392,385
		Packaging — 0.9%
	635,000	Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		593,725
		Paper — 1.0%
	220,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		277,948
	200,000	Sappi Papier Holding GmbH, 6.625%, 4/15/2021, 144A		194,500
	200,000	Weyerhaeuser Co., 7.375%, 3/15/2032		208,126
				680,574
		Property & Casualty Insurance — 1.9%
	350,000	Liberty Mutual Group, Inc., 5.000%, 6/01/2021, 144A		331,423
	1,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		955,505
				1,286,928

See accompanying notes to financial statements.

|  60

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Retailers — 1.5%
	610,000	Edcon Proprietary Ltd., 4.721%, 6/15/2014, (EUR)(b)	$	774,017
	250,000	Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A		235,000
				1,009,017
		Technology — 1.7%
	765,000	Audatex North America, Inc., 6.750%, 6/15/2018, 144A		768,825
	390,000	First Data Corp., 7.375%, 6/15/2019, 144A		392,925
				1,161,750
		Transportation Services — 0.3%
	200,000	Asciano Finance Ltd., 6.000%, 4/07/2023, 144A		204,930
		Treasuries — 2.5%
	540,000	Canadian Government, 2.000%, 3/01/2014, (CAD)		563,102
	85,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		697,739
	1,200,000	Poland Government Bond, 5.750%, 4/25/2014, (PLN)		447,068
				1,707,909
		Wireless — 2.2%
	1,500,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		1,509,375
		Wirelines — 1.9%
	400,000	Embarq Corp., 7.995%, 6/01/2036		409,845
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031		240,875
	700,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		703,500
				1,354,220
		Total Non-Convertible Bonds (Identified Cost $26,094,241)		26,074,000
	Convertible Bonds — 3.0%
		Media Non-Cable — 0.9%
	475,000	Interpublic Group of Cos., Inc. (The), 4.750%, 3/15/2023		600,875
		Metals & Mining — 0.2%
	125,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		146,250
		Retailers — 1.0%
	680,000	Best Buy Co., Inc., 2.250%, 1/15/2022		685,100
		Technology — 0.9%
	300,000	Intel Corp., 3.250%, 8/01/2039		366,000
	210,000	Nuance Communications, Inc., 2.750%, 8/15/2027		275,100
				641,100
		Total Convertible Bonds (Identified Cost $2,080,057)		2,073,325
		Total Bonds and Notes (Identified Cost $28,174,298)		28,147,325

See accompanying notes to financial statements.

61  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Senior Loans — 1.0%
		Chemicals — 0.1%
$	47,298	Arizona Chemical, Inc., New Term Loan B, 4.750%, 11/21/2016(b)	$	47,318
		Electric — 0.8%
	541,643	AES Corporation, New Term Loan, 4.250%, 6/01/2018(b)		541,740
		Wireless — 0.1%
	124,688	TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(b)		124,766
		Total Senior Loans (Identified Cost $710,336)		713,824
Shares
	Common Stocks — 12.7%
		Airlines — 0.5%
	36,500	Delta Air Lines, Inc.(c)		334,705
		Chemicals — 2.6%
	4,350	Agrium, Inc.		381,756
	5,650	Ashland, Inc.		365,103
	6,600	E.I. du Pont de Nemours & Co.		356,730
	5,000	Monsanto Co.		362,700
	6,500	Rockwood Holdings, Inc.(c)		359,385
				1,825,674
		Computers & Peripherals — 1.3%
	33,000	EMC Corp.(c)		909,150
		Diversified Telecommunication Services — 1.1%
	14,250	AT&T, Inc.		447,592
	8,200	CenturyLink, Inc.		331,526
				779,118
		Electric Utilities — 1.1%
	18,800	Duke Energy Corp.		354,004
	9,000	Southern Co.		363,420
				717,424
		Food Products — 1.0%
	10,000	Kraft Foods, Inc., Class A		352,300
	18,500	Tyson Foods, Inc., Class A		359,270
				711,570
		Internet Software & Services — 1.0%
	1,350	Google, Inc., Class A(c)		683,613
		Media — 1.3%
	7,200	DIRECTV, Class A(c)		365,904
	44,000	Interpublic Group of Cos., Inc. (The)		550,000
				915,904
		Metals & Mining — 0.5%
	6,800	Freeport-McMoRan Copper & Gold, Inc.		359,720
		Oil, Gas & Consumable Fuels — 0.5%
	6,000	Peabody Energy Corp.		353,460

See accompanying notes to financial statements.

|  62

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 0.5%
	12,000	Bristol-Myers Squibb Co.	$	347,520
		Software — 0.8%
	16,500	Oracle Corp.		543,015
		Tobacco — 0.5%
	12,500	Altria Group, Inc.		330,126
		Total Common Stocks (Identified Cost $8,677,190)		8,810,999
	Preferred Stocks — 1.5%
		Non-Captive Diversified — 1.5%
	18,000	GMAC Capital Trust I, Series 2, (fixed rate to 2/15/2016, variable rate thereafter), 8.125%		460,800
	22,000	Montpelier Re Holdings Ltd., 8.875%		567,600
		Total Preferred Stocks (Identified Cost $1,000,000)		1,028,400
	Exchange Traded Funds — 8.7%
	14,900	Health Care Select Sector SPDR Fund		529,248
	49,900	Industrial Select Sector SPDR Fund		1,858,276
	11,100	iShares Dow Jones U.S. Transportation Average Index Fund		1,087,356
	38,500	Materials Select Sector SPDR Trust		1,516,130
	42,000	Technology Select Sector SPDR Fund		1,079,400
		Total Exchange Traded Funds (Identified Cost $5,862,578)		6,070,410
Par Value(‡)/Contracts/ Shares (†††)
	Purchased Options — 1.0%
		Options on Currency — 0.1%
$	1,400,000	AUD Put, expiring September 27, 2011 at 1.0315(d)		21,213
	700,000	COP Put, expiring September 12, 2011 at 1779.5500(f)		11,550
	700,000	ILS Put, expiring September 09, 2011 at 3.4105(d)		11,735
	1,920,000	JPY Put/CAD Call, expiring July 12, 2011 at 86.6700(CAD)(e)		424
	1,400,000	JPY Put, expiring September 27, 2011 at 80.8000(e)		23,892
				68,814
		Options on Futures — 0.1%
	25	Cocoa Future, Put expiring August 05, 2011 at 3000(k)		15,250
	5	Cotton Future, Call expiring November 11, 2011 at 1500(k)		8,900
				24,150
		Options on Securities — 0.8%
	210,000	iShares MSCI Japan Index Fund, Call expiring December 17, 2011 at 10		165,900
	25,000	SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 127		177,625
	22,500	SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 128		143,100
	30,000	SPDR S&P 500 ETF Trust, Put expiring September 17, 2011 at 127		72,150

See accompanying notes to financial statements.

63  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Shares (†††)		Description	Value (†)
		Options on Securities — continued
	6,000	SPDR S&P 500 ETF Trust, Put expiring July 16, 2011 at 135	$	19,890
	38,000	U.S. Oil Fund LP, Call expiring July 16, 2011 at 50(k)		190
				578,855
		Total Purchased Options (Identified Cost $752,866)	$	671,819
Principal Amount (‡)
	Short-Term Investments — 39.3%
$	3,831,568	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $3,831,568 on 7/01/2011 collateralized by $5,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $5,096; $3,665,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $3,909,899 including accrued interest(k) (Note 2 of Notes to Financial Statements)		3,831,568
	5,177,965	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $5,177,965 on 7/01/2011 collateralized by $5,330,000 Federal National Mortgage Association, 0.750% due 10/25/2013 valued at $5,283,363 including accrued interest (Note 2 of Notes to Financial Statements)		5,177,965
	18,300,000	U.S. Treasury Bills, 0.036%-0.165%, 9/22/2011(g)(h)(i)(j)(k)		18,298,939
		Total Short-Term Investments (Identified Cost $27,305,469)		27,308,472
		Total Investments — 104.8% (Identified Cost $72,482,737)(a)		72,751,249
		Other assets less liabilities — (4.8)%		(3,338,329	)
		Net Assets — 100.0% $	$	69,412,920
Contracts/ Shares (†††)
	Written Options — (0.2%)
		Options on Futures — (0.0%)
	25	Cocoa Future, Put expiring August 05, 2011 at 2700(k)	$	(2,500	)
	5	Cotton Future, Call expiring November 11, 2011 at 2000(k)		(1,775	)
				(4,275	)
		Options on Securities — (0.2%)
	25,000	SPDR S&P 500 ETF Trust, Call expiring September 17, 2011 at 132		(92,000	)
	30,000	SPDR S&P 500 ETF Trust, Put expiring September 17, 2011 at 119		(31,200	)
	19,000	U.S. Oil Fund LP, Call expiring July 16, 2011 at 56(k)		(95	)
				(123,295	)
		Total Written Options (Premiums Received $148,939)	$	(127,570	)

See accompanying notes to financial statements.

|  64

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

(‡)	Principal amount/Par Value stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(†††)	Options on currency are expressed at par value. Options on futures are expressed as number of contracts. 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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $72,500,606 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	$	816,121
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(565,478	)
	Net unrealized appreciation	$	250,643
(b)	Variable rate security. Rate as of June 30, 2011 is disclosed.
(c)	Non-income producing security.
(d)	Counterparty is Credit Suisse.
(e)	Counterparty is UBS.
(f)	Counterparty is Barclays.
(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(h)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements and as initial margin for open futures contracts.
(i)	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.
(j)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
(k)	All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
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 June 30, 2011, the value of Rule 144A holdings amounted to $9,869,309 or 14.2% of net assets.
ETF	Exchange Traded Fund
MTN	Medium Term Note
SPDR	Standard & Poor’s Depositary Receipt
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
ILS	Israeli Shekel
JPY	Japanese Yen
MXN	Mexican Peso
PLN	Polish Zloty
USD	U.S. Dollar

See accompanying notes to financial statements.

65  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

At June 30, 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 Receivable/ (Payable)
Buy Protection
Citibank	Markit iTraxx Asia ex-Japan Index		(1.00	%)		06/20/2016	$	1,000,000	$	4,204	$	6,529	$	2,325		$	(306	)
Citibank	Masco Corp.		(1.00%)			06/20/2016		1,000,000		74,638		77,739		3,101			(306	)
Deutsche Bank	Russia Foreign Bond		(1.00%)			06/20/2016		1,000,000		20,005		18,098		(1,907	)		(306	)
JPMorgan Chase	Markit iTraxx Asia ex-Japan Index		(1.00%)			06/20/2016		1,000,000		2,836		6,529		3,693			(306	)
JPMorgan Chase	Socialist Republic of Vietnam		(1.00%)			06/20/2016		1,000,000		91,348		96,992		5,644			(306	)
Total											$	205,887	$	12,856		$	(1,530	)

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread1			Notional Value		Unamortized Up Front Payment Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
Bank of America	General Electric Capital Corp.	1.00%		06/20/2016		1.29	%	$	1,000,000	$	(18,620	)	$	(13,732	)	$	4,888		$	306
Deutsche Bank	KB Home	5.00%		09/20/2016		6.41	%		1,000,000		(36,670	)		(45,125	)		(8,455	)		1,528
JPMorgan Chase	Goodyear Tire & Rubber Co. (The)	5.00%		09/20/2016		4.41	%		500,000		3,002			13,218			10,216			764
JPMorgan Chase	KB Home	5.00%		06/20/2016		5.93	%		750,000		(27,944	)		(28,410	)		(466	)		1,146
UBS AG	General Electric Capital Corp.	1.00%		09/20/2016		1.33	%		1,000,000		(17,920	)		(16,108	)		1,812			306
UBS AG	Morgan Stanley	1.00%		09/20/2016		1.61	%		2,000,000		(73,299	)		(59,350	)		13,949			611
Total													$	(149,507	)	$	21,944		$	4,661

¹Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy2		07/28/2011	British Pound		860,000	$	1,379,869	$	5,520
Sell2		07/28/2011	British Pound		860,000		1,379,869		(5,675	)
Buy2		07/05/2011	Canadian Dollar		1,000,000		1,036,860		3,771

See accompanying notes to financial statements.

|  66

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy2		07/18/2011	Canadian Dollar		545,000	$	564,905	$	752
Buy2		08/05/2011	Canadian Dollar		1,000,000		1,036,055		1,426
Sell2		07/05/2011	Canadian Dollar		1,000,000		1,036,860		(16,119	)
Sell2		07/18/2011	Canadian Dollar		545,000		564,905		(14,616	)
Buy2		07/22/2011	Chinese Renminbi		9,100,000		1,407,696		(3,157	)
Buy3		10/12/2011	Chinese Renminbi		6,735,000		1,043,848		6,073
Buy3		12/14/2011	Chinese Renminbi		8,250,000		1,282,647		11,078
Sell2		07/22/2011	Chinese Renminbi		9,100,000		1,407,696		(5,538	)
Sell3		10/12/2011	Chinese Renminbi		6,735,000		1,043,848		(10,580	)
Sell3		12/14/2011	Chinese Renminbi		8,250,000		1,282,647		(1,868	)
Buy2		07/11/2011	Euro		715,000		1,036,684		(11,177	)
Sell2		07/11/2011	Euro		110,000		159,490		805
Sell2		07/11/2011	Euro		715,000		1,036,684		(291	)
Sell2		07/14/2011	Euro		500,000		724,893		(2,768	)
Buy2		07/11/2011	Indian Rupee		47,000,000		1,050,501		2,329
Sell2		07/11/2011	Indian Rupee		47,000,000		1,050,501		(8,603	)
Buy2		07/11/2011	Japanese Yen		113,000,000		1,403,680		(10,588	)
Sell2		07/11/2011	Japanese Yen		113,000,000		1,403,680		5,719
Buy2		07/11/2011	Malaysian Ringgit		3,160,000		1,046,058		(4,474	)
Buy3		09/06/2011	Malaysian Ringgit		3,150,000		1,038,336		(3,158	)
Sell2		07/11/2011	Malaysian Ringgit		3,160,000		1,046,058		(8,291	)
Buy2		07/27/2011	Mexican Peso		8,170,000		696,454		1,655
Sell2		07/27/2011	Mexican Peso		8,170,000		696,454		(10,677	)
Buy2		07/01/2011	New Russian Ruble		40,000,000		1,432,370		6,980
Buy4		07/25/2011	New Russian Ruble		39,500,000		1,411,644		12,324
Sell2		07/01/2011	New Russian Ruble		40,000,000		1,432,370		(7,868	)
Sell4		07/25/2011	New Russian Ruble		39,500,000		1,411,644		(18,015	)
Buy2		07/05/2011	Singapore Dollar		2,200,000		1,791,093		3,856
Sell2		07/05/2011	Singapore Dollar		2,200,000		1,791,093		(19,029	)
Total								$	(100,204	)

At June 30, 2011, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency		Receive2/In Exchange For		Unrealized Appreciation (Depreciation)
07/25/2011	Brazilian Real	1,100,000	Mexican Peso	8,125,480	$	(8,735	)
07/29/2011	Canadian Dollar	1,400,000	Mexican Peso	16,870,000		(12,892	)
07/15/2011	Canadian Dollar	1,348,780	New Zealand Dollar	1,700,000		9,353
07/25/2011	Euro	725,000	Norwegian Krone	5,700,095		4,457
07/27/2011	Euro	720,000	Swiss Franc	853,157		(28,584	)
07/25/2011	Mexican Peso	8,152,430	Brazilian Real	1,100,000		6,437
07/29/2011	Mexican Peso	16,907,100	Canadian Dollar	1,400,000		9,730
07/15/2011	New Zealand Dollar	1,700,000	Canadian Dollar	1,349,171		(8,948	)

See accompanying notes to financial statements.

67  |

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Settlement Date	Deliver/Units of Currency		Receive2/In Exchange For		Unrealized Appreciation (Depreciation)
07/25/2011	Norwegian Krone	5,679,143	Euro	725,000	$	(579	)
07/27/2011	Swiss Franc	852,905	Euro	720,000		28,883
Total					$	(878	)

² Counterparty is Credit Suisse.

³ Counterparty is Morgan Stanley.

⁴ Counterparty is Barclays.

At June 30, 2011, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation
E-mini NASDAQ 100		09/16/2011	35	$	1,624,700	$	45,845
Commodity Futures5	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011	22	$	1,405,250	$	(27,775	)
Copper		12/21/2011	9		2,123,325		79,075
Corn		12/14/2011	22		682,550		(15,275	)
Gold		08/29/2011	8		1,202,240		(38,040	)
Heating Oil		11/30/2011	6		759,629		(20,485	)
Lead		07/20/2011	4		267,700		4,200
Natural Gas		07/27/2011	10		437,400		7,070
Natural Gas		02/27/2012	15		718,500		(21,440	)
Nickel		12/21/2011	4		562,392		11,112
Zinc		07/20/2011	11		645,700		5,800
Total						$	(15,758	)

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		09/16/2011	104	$	6,840,600	$	(266,263	)
5 Year U.S. Treasury Note		09/30/2011	136		16,210,563		8,251
10 Year U.S. Treasury Note		09/21/2011	27		3,302,859		45,076
30 Year U.S. Treasury Bond		09/21/2011	15		1,845,469		31,082
Total						$	(181,854	)
Commodity Futures5	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011	22	$	1,405,250	$	37,675
Brent Crude Oil		07/14/2011	3		337,440		(14,040	)
Copper		12/21/2011	7		1,651,475		(78,400	)
Gasoline		11/30/2011	6		693,630		22,907

See accompanying notes to financial statements.

|  68

Consolidated Portfolio of Investments – as of June 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund – (continued)

Commodity Futures5	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Lead		07/20/2011	4	$	267,700	$	(14,000	)
Natural Gas		03/28/2012	15		701,550		17,425
Zinc		07/20/2011	11		645,700		17,900
Zinc		12/21/2011	6		357,712		(17,213	)
Total						$	(27,746	)

⁵ Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

Industry Summary at June 30, 2011 (Unaudited)

Exchange Traded Funds	8.7	%
Electric	3.4
Chemicals	3.3
Media Non-Cable	3.2
Metals & Mining	2.9
Technology	2.6
Non-Captive Diversified	2.5
Treasuries	2.5
Retailers	2.5
Independent Energy	2.4
Wireless	2.3
Oil Field Services	2.0
Other Investments, less than 2% each	27.2
Short-Term Investments	39.3
Total Investments	104.8
Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts, futures contracts and written options)	(4.8	)
Net Assets	100.0	%

See accompanying notes to financial statements.

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|  70

Consolidated* Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

	ASG Diversifying Strategies Fund			ASG Global     Alternatives Fund			ASG Managed Futures  Strategy Fund
ASSETS
Investments at cost	$	265,992,971		$	977,126,385		$	331,887,052
Net unrealized appreciation		2,620			25,643			6,183
Investments at value		265,995,591			977,152,028			331,893,235
Cash		19,234,344			13,311,954			5,260,797
Due from brokers (including variation margin on futures contracts) (Note 2)		25,641,826			60,679,813			47,104,912
Receivable for Fund shares sold		969,705			10,733,185			5,009,568
Interest receivable		127,487			404,772			125,815
Unrealized appreciation on forward foreign currency contracts (Note 2)		805,894			716,377			2,385,710
Unrealized appreciation on futures contracts (Note 2)		2,262,186			15,780,118			5,730,329
TOTAL ASSETS		315,037,033			1,078,778,247			397,510,366
LIABILITIES
Payable for Fund shares redeemed		425,319			1,124,251			266,614
Unrealized depreciation on forward foreign currency contracts (Note 2)		2,421,980			975,296			6,098,093
Unrealized depreciation on futures contracts (Note 2)		3,467,507			2,547,372			4,746,195
Management fees payable (Note 6)		280,311			980,807			405,113
Deferred Trustees’ fees (Note 6)		20,376			31,578			8,903
Administrative fees payable (Note 6)		22,454			49,388			25,142
Other accounts payable and accrued expenses		64,778			156,826			151,399
TOTAL LIABILITIES		6,702,725			5,865,518			11,701,459
NET ASSETS	$	308,334,308		$	1,072,912,729		$	385,808,907
NET ASSETS CONSIST OF:
Paid-in capital	$	330,947,286		$	1,040,910,116		$	389,218,894
Distributions in excess of net investment income/Accumulated net investment (loss)		(2,045,094	)		(4,923,843	)		(2,071,819	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(17,746,661	)		23,927,746			1,395,226
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(2,821,223	)		12,998,710			(2,733,394	)
NET ASSETS	$	308,334,308		$	1,072,912,729		$	385,808,907

* Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

71  |

	ASG Diversifying Strategies Fund		ASG Global Alternatives Fund		ASG Managed Futures  Strategy Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	86,290,261	$	282,391,534	$	277,058,470
Shares of beneficial interest		8,495,568		25,717,856		26,061,333
Net asset value and redemption price per share	$	10.16	$	10.98	$	10.63
Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.78	$	11.65	$	11.28
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	23,627,656	$	93,766,251	$	8,737,656
Shares of beneficial interest		2,358,242		8,687,823		827,896
Net asset value and offering price per share	$	10.02	$	10.79	$	10.55
Class Y shares:
Net assets	$	198,416,391	$	696,754,944	$	100,012,781
Shares of beneficial interest		19,482,466		63,076,219		9,403,669
Net asset value, offering and redemption price per share	$	10.18	$	11.05	$	10.64

See accompanying notes to financial statements.

|  72

Consolidated* Statements of Assets and Liabilities (continued)

June 30, 2011 (Unaudited)

	Loomis Sayles Absolute  Strategies Fund			Loomis Sayles Multi-Asset Real Return Fund
ASSETS
Investments at cost	$	613,444,529		$	63,473,204
Repurchase agreement(s) at cost		38,287,698			9,009,533
Net unrealized appreciation (depreciation)		(7,032,499	)		268,512
Investments at value		644,699,728			72,751,249
Cash		160,504			190,437
Due from brokers (Note 2)		200,097			202,408
Foreign currency at value (identified cost $2,378,377 and $467,043)		2,403,682			468,753
Receivable for Fund shares sold		5,929,499			86,810
Receivable for securities sold		610,846			4,379,193
Collateral received for open options and forward foreign currency contracts (Notes 2 and 4)		—			291,992
Collateral received for swap agreements (Notes 2 and 4)		110,000			—
Dividends and interest receivable		4,937,335			433,790
Unrealized appreciation on swap agreements (Note 2)		73,098			45,628
Unrealized appreciation on forward foreign currency contracts (Note 2)		117,284			121,148
Tax reclaims receivable		17,777			5,952
Upfront payments receivable on swap agreements (Note 2)		—			68,989
Receivable for closed swap agreements		—			282,399
Upfront payments paid on swap agreements (Note 2)		85,195			196,033
Fees receivable on swap agreements (Note 2)		20,054			4,661
TOTAL ASSETS		659,365,099			79,529,442
LIABILITIES
Options written, at value (premiums received $0 and $148,939) (Note 2)		—			127,570
Payable for securities purchased		31,436,407			8,963,143
Unrealized depreciation on swap agreements (Note 2)		38,212			10,828
Payable for Fund shares redeemed		1,871,396			50,000
Unrealized depreciation on forward foreign currency contracts (Note 2)		634,748			222,230
Upfront payments received on swap agreements (Note 2)		333,041			174,453
Due to brokers (Note 2)		110,000			291,992
Payable for variation margin on futures contracts (Note 2)		71,254			135,616
Management fees payable (Note 6)		357,421			33,986
Deferred Trustees’ fees (Note 6)		6,161			6,041
Administrative fees payable (Note 6)		8,004			18,832
Payable for closed swap agreements		2,735,709			—
Fees payable on swap agreements (Note 2)		—			1,530
Other accounts payable and accrued expenses		226,690			80,301
TOTAL LIABILITIES		37,829,043			10,116,522
NET ASSETS	$	621,536,056		$	69,412,920

* Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

73  |

	Loomis Sayles Absolute  Strategies Fund			Loomis Sayles Multi-Asset Real  Return Fund
NET ASSETS CONSIST OF:
Paid-in capital	$	635,053,701		$	70,911,738
Undistributed net investment income (Distributions in excess of net investment income)		(49,701	)		546,442
Accumulated net realized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions		(5,553,884	)		(2,098,575	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		(7,914,060	)		53,315
NET ASSETS	$	621,536,056		$	69,412,920
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	238,740,873		$	3,331,143
Shares of beneficial interest		23,987,156			336,963
Net asset value and redemption price per share	$	9.95		$	9.89
Offering price per share (100/95.50 of net asset value) (Note 1)	$	10.42		$	10.36
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	95,285,919		$	134,158
Shares of beneficial interest		9,603,285			13,647
Net asset value and offering price per share	$	9.92		$	9.83
Class Y shares:
Net assets	$	287,509,264		$	65,947,619
Shares of beneficial interest		28,900,397			6,665,843
Net asset value, offering and redemption price per share	$	9.95		$	9.89

See accompanying notes to financial statements.

|  74

Consolidated* Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	ASG Diversifying Strategies Fund			ASG Global     Alternatives     Fund			ASG Managed Futures Strategy Fund
INVESTMENT INCOME
Interest	$	438,479		$	1,265,382		$	412,509
Expenses
Management fees (Note 6)		1,905,012			4,620,356			1,857,953
Service and distribution fees (Note 6)		217,407			699,740			302,048
Administrative fees (Note 6)		104,823			218,313			119,531
Trustees’ and directors’ fees and expenses (Note 6)		16,564			20,028			16,256
Transfer agent fees and expenses (Note 6)		171,748			300,783			152,704
Audit and tax services fees		33,266			32,705			30,361
Custodian fees and expenses		35,648			20,990			20,698
Interest expense (Note 9)		38,947			40,065			17,578
Legal fees		2,385			5,524			1,867
Registration fees		51,547			102,373			69,976
Shareholder reporting expenses		29,681			65,053			24,002
Miscellaneous expenses		6,184			11,519			5,296
Total expenses		2,613,212			6,137,449			2,618,270
Fee/expense recovery (Note 6)		—			26,252			—
Less waiver and/or expense reimbursement (Note 6)		(147,043	)		—			(143,419	)
Net expenses		2,466,169			6,163,701			2,474,851
Net investment loss		(2,027,690	)		(4,898,319	)		(2,062,342	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		3,072			12,848			6,856
Futures contracts		(6,120,846	)		13,185,768			(7,715,154	)
Foreign currency transactions		4,230,382			15,369,817			9,588,694
Net change in unrealized appreciation (depreciation) on:
Investments		(4,882	)		4,905			4,434
Futures contracts		(3,000,894	)		6,390,316			272,100
Foreign currency translations		(1,282,945	)		(2,583,930	)		(3,422,393	)
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(6,176,113	)		32,379,724			(1,265,463	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(8,203,803	)	$	27,481,405		$	(3,327,805	)

* Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

75  |

	Loomis Sayles Absolute Strategies Fund			Loomis Sayles Multi-Asset  Real Return Fund
INVESTMENT INCOME
Interest	$	7,681,092		$	627,690
Dividends		215,297			139,642
Less net foreign taxes withheld		(30,780	)		(3,305	)
		7,865,609			764,027
Expenses
Management fees (Note 6)		1,243,686			171,893
Service and distribution fees (Note 6)		438,504			3,636
Administrative fees (Note 6)		49,589			83,104
Trustees’ fees and expenses (Note 6)		13,911			14,351
Transfer agent fees and expenses (Note 6)		160,737			5,017
Audit and tax services fees		21,246			32,718
Custodian fees and expenses		67,626			84,911
Legal fees		1,735			727
Registration fees		162,271			44,991
Shareholder reporting expenses		26,479			9,776
Miscellaneous expenses		7,786			6,010
Total expenses		2,193,570			457,134
Fee/expense recovery (Note 6)		1,565			—
Less waiver and/or expense reimbursement (Note 6)		—			(201,388	)
Net expenses		2,195,135			255,746
Net investment income		5,670,474			508,281
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(660,726	)		(815,721	)
Futures contracts		(3,150,606	)		(950,384	)
Options written		—			192,445
Swap agreements		(832,139	)		(161,291	)
Foreign currency transactions		(913,770	)		(313,313	)
Net change in unrealized appreciation (depreciation) on:
Investments		(7,177,951	)		198,534
Futures contracts		(484,217	)		(299,522	)
Options written		—			(70,131	)
Swap agreements		89,414			68,610
Foreign currency translations		(464,265	)		(63,061	)
Net realized and unrealized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions		(13,594,260	)		(2,213,834	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(7,923,786	)	$	(1,705,553	)

See accompanying notes to financial statements.

|  76

Consolidated* Statements of Changes in Net Assets

	ASG Diversifying Strategies Fund						ASG Global Alternatives Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010			Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(2,027,690	)	$	(1,154,824	)	$	(4,898,319	)	$	(4,956,445	)
Net realized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions		(1,887,392	)		(1,557,542	)		28,568,433			28,594,085
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		(4,288,721	)		1,521,452			3,811,291			9,310,778
Net increase (decrease) in net assets resulting from operations		(8,203,803	)		(1,190,914	)		27,481,405			32,948,418
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(15,101	)		(835,421	)		—			(1,247	)
Class C		(4,580	)		(260,881	)		—			(405	)
Class Y		(38,247	)		(2,409,388	)		—			(1,590	)
Net realized capital gains
Class A		—			(2,259,801	)		(1,381,664	)		(8,146,057	)
Class C		—			(764,976	)		(473,432	)		(2,692,430	)
Class Y		—			(6,309,043	)		(2,791,215	)		(13,799,395	)
Total distributions		(57,928	)		(12,839,510	)		(4,646,311	)		(24,641,124	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		61,408,957			246,650,678			435,697,469			388,954,360
Net increase in net assets		53,147,226			232,620,254			458,532,563			397,261,654
NET ASSETS
Beginning of the period		255,187,082			22,566,828			614,380,166			217,118,512
End of the period	$	308,334,308		$	255,187,082		$	1,072,912,729		$	614,380,166
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(2,045,094	)	$	40,524		$	(4,923,843	)	$	(25,524	)

* Consolidated, where applicable. See Notes 1 and 2 of the Notes to Financial Statements.

(a) From commencement of operations on July 30, 2010 through December 31, 2010.

(b) From commencement of operations on December 15, 2010 through December 31, 2010.

(c) From commencement of operations on September 30, 2010 through December 31, 2010.

See accompanying notes to financial statements.

77  |

ASG Managed Futures Strategy Fund						Loomis Sayles Absolute Strategies Fund						Loomis Sayles Multi-Asset Real Return  Fund
Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 (a)			Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 (b)			Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010 (c)
$	(2,062,342	)	$	(209,592	)	$	5,670,474		$	891		$	508,281		$	148,815
	1,880,396			3,577,234			(5,557,241	)		33,232			(2,048,264	)		181,393
	(3,145,859	)		412,465			(8,037,019	)		122,959			(165,570	)		218,885
	(3,327,805	)		3,780,107			(7,923,786	)		157,082			(1,705,553	)		549,093
	—			(197,385	)		(2,216,153	)		(172	)		—			(8,526	)
	—			(70,810	)		(676,275	)		(16	)		—			(94	)
	—			(1,531,141	)		(2,847,557	)		(3,127	)		—			(219,897	)
	—			(230,244	)		(3,236	)		—			(7,538	)		—
	—			(85,058	)		(1,305	)		—			(358	)		—
	—			(1,758,520	)		(3,755	)		—			(108,932	)		—
	—			(3,873,158	)		(5,748,281	)		(3,315	)		(116,828	)		(228,517	)
	330,466,404			58,763,359			605,421,949			29,632,407			42,555,681			28,359,044
	327,138,599			58,670,308			591,749,882			29,786,174			40,733,300			28,679,620
	58,670,308			—			29,786,174			—			28,679,620			—
$	385,808,907		$	58,670,308		$	621,536,056		$	29,786,174		$	69,412,920		$	28,679,620
$	(2,071,819	)	$	(9,477	)	$	(49,701	)	$	19,810		$	546,442		$	38,161

See accompanying notes to financial statements.

|  78

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
ASG DIVERSIFYING STRATEGIES FUND
Class A
6/30/2011(h)	$	10.45	$	(0.07	)	$	(0.22	)	$	(0.29	)	$	(0.00	)	$	—		$	(0.00	)
12/31/2010		10.19		(0.16	)		1.02	(i)		0.86			(0.15	)		(0.45	)		(0.60	)
12/31/2009(j)		10.00		(0.07	)		0.80			0.73			(0.10	)		(0.44	)		(0.54	)
Class C
6/30/2011(h)		10.34		(0.11	)		(0.21	)		(0.32	)		(0.00	)		—			(0.00	)
12/31/2010		10.16		(0.24	)		1.01	(i)		0.77			(0.14	)		(0.45	)		(0.59	)
12/31/2009(j)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
6/30/2011(h)		10.46		(0.06	)		(0.22	)		(0.28	)		(0.00	)		—			(0.00	)
12/31/2010		10.19		(0.13	)		1.01	(i)		0.88			(0.16	)		(0.45	)		(0.61	)
12/31/2009(j)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)
ASG GLOBAL ALTERNATIVES FUND
Class A
6/30/2011(h)	$	10.67	$	(0.07	)	$	0.44		$	0.37		$	—		$	(0.06	)	$	(0.06	)
12/31/2010		10.39		(0.14	)		0.86			0.72			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.69		(0.14	)		1.01			0.87			(0.12	)		(0.05	)		(0.17	)
12/31/2008(l)		10.00		0.03			(0.30	)		(0.27	)		(0.04	)		—			(0.04	)
Class C
6/30/2011(h)		10.53		(0.11	)		0.43			0.32			—			(0.06	)		(0.06	)
12/31/2010		10.33		(0.21	)		0.85			0.64			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
12/31/2008(l)		10.00		0.02			(0.31	)		(0.29	)		(0.01	)		—			(0.01	)
Class Y*
6/30/2011(h)		10.72		(0.06	)		0.45			0.39			—			(0.06	)		(0.06	)
12/31/2010		10.41		(0.11	)		0.86			0.75			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)
12/31/2008(l)		10.00		0.04			(0.30	)		(0.26	)		(0.04	)		—			(0.04	)

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

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

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

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

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

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

See accompanying notes to financial statements.

79  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%) (e)(f)			Gross expenses, excluding interest expense (%) (f)			Net expenses including interest expense (%) (e)(f)			Gross expenses including interest expense (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%) (g)
	$10.16		(2.76	)	$	86,290		1.70			1.80			1.72			1.83			(1.44	)		—
	10.45		8.46			61,411		1.70			2.02			1.74			2.05			(1.45	)		—
	10.19		7.26			2,887		1.70			4.87			1.71			4.88			(1.48	)		—
	10.02		(3.08	)		23,628		2.45			2.55			2.48			2.57			(2.19	)		—
	10.34		7.58			20,742		2.45			2.68			2.49			2.72			(2.20	)		—
	10.16		6.90			131		2.45			5.75			2.47			5.76			(2.23	)		—
	10.18		(2.66	)		198,416		1.45			1.54			1.48			1.57			(1.19	)		—
	10.46		8.63			173,034		1.45			1.91			1.49			1.94			(1.21	)		—
	10.19		7.29			19,549		1.45			5.09			1.47			5.11			(1.22	)		—
	$10.98		3.49		$	282,392		1.60	(k)		1.60	(k)		1.61	(k)		1.61	(k)		(1.29	)		—
	10.67		6.94			204,313		1.60			1.66			1.61			1.67			(1.28	)		—
	10.39		8.95			82,160		1.60			1.92			1.61			1.92			(1.33	)		—
	9.69		(2.73	)		6		1.60			61.52			1.62			61.54			1.36			—
	10.79		3.06			93,766		2.35	(k)		2.35	(k)		2.36	(k)		2.36	(k)		(2.05	)		—
	10.53		6.21			66,832		2.35			2.42			2.36			2.42			(2.03	)		—
	10.33		8.09			22,367		2.35			2.64			2.36			2.65			(2.08	)		—
	9.70		(2.88	)		1		2.35			62.35			2.39			62.38			0.62			—
	11.05		3.66			696,755		1.35	(k)		1.35	(k)		1.36	(k)		1.36	(k)		(1.05	)		—
	10.72		7.22			343,236		1.35			1.41			1.36			1.42			(1.03	)		—
	10.41		9.10			112,591		1.35			1.98			1.36			2.00			(0.90	)		—
	9.70		(2.60	)		24,523		1.35			4.43			1.39			4.46			1.59			—

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

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

(h) For the six months ended June 30, 2011 (Unaudited).

(i) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

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

(k) Includes fee/expense recovery of 0.01%, 0.01% and less than 0.01% for Class A, Class C and Class Y, respectively.

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

See accompanying notes to financial statements.

|  80

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
ASG MANAGED FUTURES STRATEGY FUND
Class A
6/30/2011(g)	$	10.61	$	(0.08	)	$	0.10	(h)	$	0.02		$	—		$	—		$	—
12/31/2010(i)		10.00		(0.07	)		1.41			1.34			(0.33	)		(0.40	)		(0.73	)
Class C
6/30/2011(g)		10.58		(0.12	)		0.09	(h)		(0.03	)		—			—			—
12/31/2010(i)		10.00		(0.10	)		1.40			1.30			(0.32	)		(0.40	)		(0.72	)
Class Y
6/30/2011(g)		10.60		(0.06	)		0.10	(h)		0.04			—			—			—
12/31/2010(i)		10.00		(0.06	)		1.40			1.34			(0.34	)		(0.40	)		(0.74	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2011 (Unaudited).

(h) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(i) For the period July 30, 2010 (inception) through December 31, 2010.

See accompanying notes to financial statements.

81  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%) (d)(e)		Gross expenses, excluding interest expense (%) (e)		Net expenses including interest expense (%) (d)(e)		Gross expenses including interest expense (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate(%) (f)
	$10.63		0.19		$	277,058		1.70		1.79		1.71		1.81		(1.43	)		—
	10.61		13.44			6,511		1.70		2.75		1.73		2.78		(1.43	)		—
	10.55		(0.19	)		8,738		2.45		2.55		2.46		2.57		(2.19	)		—
	10.58		13.04			2,357		2.45		3.29		2.47		3.31		(2.17	)		—
	10.64		0.38			100,013		1.45		1.56		1.46		1.57		(1.18	)		—
	10.60		13.39			49,803		1.45		2.65		1.48		2.68		(1.20	)		—

See accompanying notes to financial statements.

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Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)(b)		Net realized and unrealized gain (loss)			Total from investment operations (b)			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
LOOMIS SAYLES ABSOLUTE STRATEGIES FUND
Class A
6/30/2011(g)	$	10.06	$	0.16	$	(0.16	)	$	(0.00	)	$	(0.11	)	$	(0.00	)	$	(0.11	)
12/31/2010(i)		10.00		0.00		0.06			0.06			(0.00	)		—			(0.00	)
Class C
6/30/2011(g)		10.05		0.12		(0.17	)		(0.05	)		(0.08	)		(0.00	)		(0.08	)
12/31/2010(i)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
Class Y
6/30/2011(g)		10.05		0.17		(0.15	)		0.02			(0.12	)		(0.00	)		(0.12	)
12/31/2010(i)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Class A
6/30/2011(g)	$	10.13	$	0.10	$	(0.31	)	$	(0.21	)	$	—		$	(0.03	)	$	(0.03	)
12/31/2010(j)		10.00		0.07		0.14			0.21			(0.08	)		—			(0.08	)
Class C
6/30/2011(g)		10.11		0.06		(0.31	)		(0.25	)		—			(0.03	)		(0.03	)
12/31/2010(j)		10.00		0.05		0.14			0.19			(0.08	)		—			(0.08	)
Class Y
6/30/2011(g)		10.13		0.11		(0.32	)		(0.21	)		—			(0.03	)		(0.03	)
12/31/2010(j)		10.00		0.06		0.15			0.21			(0.08	)		—			(0.08	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2011 (Unaudited).

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

(i) For the period December 15, 2010 (inception) through December 31, 2010.

(j) For the period September 30, 2010 (inception) through December 31, 2010.

See accompanying notes to financial statements.

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							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (%) (f)		Portfolio turnover rate (%)
$	9.95		0.16		$	238,741		1.24	(h)		1.24	(h)		3.20		65
	10.06		0.41			2,465		1.30			6.98			0.86		39
	9.92		(0.28	)		95,286		1.98	(h)		1.98	(h)		2.48		65
	10.05		0.31			563		2.05			8.68			0.24		39
	9.95		0.25			287,509		0.99	(h)		0.99	(h)		3.42		65
	10.05		0.41			26,758		1.05			5.37			0.06		39
$	9.89		(2.12	)	$	3,331		1.35			2.34			1.92		409
	10.13		2.10			1,139		1.35			2.91			2.82		139
	9.83		(2.42	)		134		2.10			2.86			1.20		409
	10.11		1.88			12		2.10			3.90			1.86		139
	9.89		(2.02	)		65,948		1.10			1.97			2.24		409
	10.13		2.12			27,528		1.10			2.98			2.25		139

See accompanying notes to financial statements.

|  84

Notes to Financial Statements

June 30, 2011 (Unaudited)

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

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

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

ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

Loomis Sayles Absolute Strategies Fund (the “Absolute Strategies Fund”)

Loomis Sayles Multi-Asset Real Return Fund (the “Multi-Asset Real Return Fund”)

Each Fund is a diversified investment company, except for Absolute Strategies Fund and Multi-Asset Real Return Fund, which are non-diversified investment companies.

Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Absolute Strategies Fund and Multi-Asset Real Return Fund which are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum

investment amount as outlined in the Funds’ prospectus.

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Each Fund, except Absolute Strategies Fund, invests in commodity-related instruments through investments in wholly-owned subsidiaries organized under the laws of the Cayman Islands. ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd., ASG Managed Futures Strategy Cayman Fund Ltd. and Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd. are wholly-owned subsidiaries (individually, a “Subsidiary”

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

and collectively, the “Subsidiaries”) of Diversifying Strategies Fund, Global Alternatives Fund, Managed Futures Strategy Fund and Multi-Asset Real Return Fund, respectively. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of June 30, 2011, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Commencement Date of Subsidiary		Investment in Subsidiary		Percentage of Net Assets
Diversifying Strategies Fund		August 3, 2009	$	26,529,569		8.6	%
Global Alternatives Fund		January 29, 2009		31,567,253		2.9	%
Managed Futures Strategy Fund		July 30, 2010		16,727,644		4.3	%
Multi-Asset Real Return Fund		October 1, 2010		10,119,872		14.6	%

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its consolidated financial statements. The Funds’ consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Consolidation.  Each Fund’s financial statements, except Absolute Strategies Fund, have been consolidated and include all accounts of the Funds and the respective Subsidiaries. Accordingly, all inter-fund transactions and balances (including investments in Subsidiaries) have been eliminated.

b.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds or notes, 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. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

evaluated bids furnished to the Funds 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. Senior loans shall be priced at bid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. 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 ask quotations. Options on futures contracts are valued using the current settlement price. Over-the-counter options contracts are valued based on quotations obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

c.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an

accrual basis. Interest income is increased by the accretion of discount and decreased

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Consolidated Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement

date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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 Funds’ or counterparty’s net obligations under the contracts.

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

When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker 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 a Fund or a 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Consolidated Statements of Assets and Liabilities as an asset (liability) and in the Consolidated Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

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

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

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. 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

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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 Funds 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.

h.  Swap Agreements.  The Funds 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 Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have 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 fees paid by the protection buyer. 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 Funds 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.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms 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

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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 Funds 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 Funds 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 Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. Due from brokers’ balances in the Consolidated Statements of Assets and Liabilities for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Fund represent cash, foreign currency and any initial and/or variation margin applicable to open futures contracts and/or cash pledged as collateral for forward foreign currency contracts. Due from brokers’ balances in the Consolidated Statements of Assets and Liabilities for Absolute Strategies Fund and Multi-Asset Real Return Fund represent cash pledged as collateral for forward foreign currency contracts, option contracts and swap agreements. Due to brokers’ balances in the Consolidated Statements of Assets and Liabilities for Absolute Strategies Fund and Multi-Asset Real Return Fund represent cash received as collateral for swap agreements and securities received as collateral for forward foreign currency contracts and option contracts, respectively. In certain circumstances the Funds’ or the Subsidiaries’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net realized gains on commodity futures, start up expenses, dividend redesignations, ordinary loss netting to reduce short-term capital gains, return of capital distributions, Subsidiary dividends, foreign currency transactions and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, contingent payment debt instruments, futures, options and forward contracts mark to market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2010 was as follows:

	2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Diversifying Strategies Fund	$	9,242,065	$	3,597,445	$	12,839,510
Global Alternatives Fund		13,304,573		11,336,551		24,641,124
Managed Futures Strategy Fund		3,020,960		852,198		3,873,158
Absolute Strategies Fund		3,315		—		3,315
Multi-Asset Real Return Fund		228,517		—		228,517

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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

As of December 31, 2010, the post-October losses were as follows:

	Diversifying Strategies Fund			Global Alternatives Fund		Managed Futures Strategy Fund			Absolute Strategies Fund		Multi-Asset Real Return Fund
Deferred net capital losses (post-October 2010)	$	(14,494,432	)	$	—	$	(974,676	)	$	—	$	—
Deferred net currency losses (post-October 2010)	$	—		$	—	$	(5,139	)	$	—	$	—

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 previously 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 any, may expire unused.

l.  Repurchase Agreements.  It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. 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.

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

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

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

• 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 each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2011, at value:

Diversifying Strategies Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Investments in Securities(a)	$	—	$	265,995,591	$	—	$	265,995,591
Forward Foreign Currency Contracts (unrealized appreciation)		—		805,894		—		805,894
Futures Contracts (unrealized appreciation)		2,262,186		—		—		2,262,186
Total	$	2,262,186	$	266,801,485	$	—	$	269,063,671

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,421,980	)	$	—	$	(2,421,980	)
Futures Contracts (unrealized depreciation)		(3,467,507	)		—			—		(3,467,507	)
Total	$	(3,467,507	)	$	(2,421,980	)	$	—	$	(5,889,487	)

(a) Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Global Alternatives Fund
Asset Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Investments in Securities(a)	$	—		$	977,152,028		$	—	$	977,152,028
Forward Foreign Currency Contracts (unrealized appreciation)		—			716,377			—		716,377
Futures Contracts (unrealized appreciation)		15,780,118			—			—		15,780,118
Total	$	15,780,118		$	977,868,405		$	—	$	993,648,523
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(975,296	)	$	—	$	(975,296	)
Futures Contracts (unrealized depreciation)		(2,547,372	)		—			—		(2,547,372	)
Total	$	(2,547,372	)	$	(975,296	)	$	—	$	(3,522,668	)
(a)    Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.
Managed Futures Strategy Fund
Asset Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Investments in Securities(a)	$	—		$	331,893,235		$	—	$	331,893,235
Forward Foreign Currency Contracts (unrealized appreciation)		—			2,385,710			—		2,385,710
Futures Contracts (unrealized appreciation)		5,730,329			—			—		5,730,329
Total	$	5,730,329		$	334,278,945		$	—	$	340,009,274
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(6,098,093	)	$	—	$	(6,098,093	)
Futures Contracts (unrealized depreciation)		(4,746,195	)		—			—		(4,746,195	)
Total	$	(4,746,195	)	$	(6,098,093	)	$	—	$	(10,844,288	)

(a) Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

95  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Absolute Strategies Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	29,399,844	$	1,204,102	$	30,603,946
Treasuries		—		11,069,740		10,793,450		21,863,190
All Other Non-Convertible Bonds(a)		—		335,864,528		—		335,864,528
Total Non-Convertible Bonds		—		376,334,112		11,997,552		388,331,664
Convertible Bonds(a)		—		22,642,406		—		22,642,406
Municipals		—		922,633		—		922,633
Total Bonds and Notes		—		399,899,151		11,997,552		411,896,703
Senior Loans(a)		—		58,364,546		—		58,364,546
Preferred Stocks(a)		17,807,590		258,449		—		18,066,039
Purchased Options(a)		—		—		91,586		91,586
Short-Term Investments		—		156,280,854		—		156,280,854
Total		17,807,590		614,803,000		12,089,138		644,699,728
Forward Foreign Currency Contracts (unrealized appreciation)		—		117,284		—		117,284
Credit Default Swap Agreements (unrealized appreciation)		—		73,098		—		73,098
Futures Contracts (unrealized appreciation)		513,796		—		—		513,796
Total	$	18,321,386	$	614,993,382	$	12,089,138	$	645,403,906

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Credit Default Swap Agreements (unrealized depreciation)	$	—		$	(38,212	)	$	—	$	(38,212	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(634,748	)		—		(634,748	)
Futures Contracts (unrealized depreciation)		(1,001,363	)		—			—		(1,001,363	)
Total	$	(1,001,363	)	$	(672,960	)	$	—	$	(1,674,323	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

|  96

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Multi-Asset Real Return Fund

Asset Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Bonds and Notes(a)	$	—		$	28,147,325		$	—	$	28,147,325
Senior Loans(a)		—			713,824			—		713,824
Common Stocks(a)		8,810,999			—			—		8,810,999
Preferred Stocks(a)		1,028,400			—			—		1,028,400
Exchange Traded Funds		6,070,410			—			—		6,070,410
Purchased Options(a)		603,005			—			68,814		671,819
Short-Term Investments		—			27,308,472			—		27,308,472
Total Investments		16,512,814			56,169,621			68,814		72,751,249
Credit Default Swap Agreements (unrealized appreciation)		—			45,628			—		45,628
Forward Foreign Currency Contracts (unrealized appreciation)		—			121,148			—		121,148
Futures Contracts (unrealized appreciation)		333,418			—			—		333,418
Total	$	16,846,232		$	56,336,397		$	68,814	$	73,251,443
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(127,570	)	$	—		$	—	$	(127,570	)
Credit Default Swap Agreements (unrealized depreciation)		—			(10,828	)		—		(10,828	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(222,230	)		—		(222,230	)
Futures Contracts (unrealized depreciation)		(512,931	)		—			—		(512,931	)
Total	$	(640,501	)	$	(233,058	)	$	—	$	(873,559	)

(a) Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

97  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

Absolute Strategies Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2010			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bond and Notes
Non-Convertible Bonds Collateralized Mortgage Obligations	$	—		$	—	$	(13,427	)	$	(53,702	)	$	1,343,682
Treasuries		—			—		—			4,624			10,788,826
Total Bond and Notes		—			—		(13,427	)		(49,078	)		12,132,508
Purchased Options		—			—		—			(146,582	)		238,168
Total	$	—		$	—	$	(13,427	)	$	(195,660	)	$	12,370,676
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2011			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bond and Notes
Non-Convertible Bonds Collateralized Mortgage Obligations	$	(72,451	)		—	$	—		$	1,204,102		$	(53,702	)
Treasuries		—			—		—			10,793,450			4,624
Total Bond and Notes	$	(72,451	)		—		—			11,997,552			(49,078	)
Purchased Options		—			—		—			91,586			(146,582	)
Total	$	(72,451	)		—		—		$	12,089,138		$	(195,660	)

|  98

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Multi-Asset Real Return Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2010			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Purchased Options	$	9,180		$	—	$	(32,819	)	$	(46,506	)	$	142,803
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2011			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Purchased Options	$	(3,844	)	$	—	$	—		$	68,814		$	(46,506	)

4.  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 Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements (including credit default swaps).

Diversifying Strategies 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 six months ended June 30, 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.

Global Alternatives 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

99  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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 six months ended June 30, 2011, the Fund used long contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, and short-term interest rates, and long and short contracts on commodities (through investments in the Subsidiary) and foreign currencies.

Managed Futures Strategy 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 six months ended June 30, 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 in accordance with these objectives.

Absolute Strategies 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 six months ended June 30, 2011, the Fund used forward foreign currency, futures, option contracts and swap agreements to gain investment

exposures in accordance with its objective.

Multi-Asset Real Return 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 six months ended June 30, 2011, the Fund used forward foreign currency,

futures, options contracts and swap agreements to gain investment exposures in accordance with its objective.

|  100

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The Funds are 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 Funds may enter into forward foreign currency exchange contracts for hedging

purposes to protect the value of the Funds’ holdings of foreign securities. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in forward foreign currency transactions for hedging purposes.

The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. Absolute Strategies Fund and Multi-Asset Real Return Fund may use credit default swaps, as a protection buyer, to hedge their credit exposure to issuers of bonds they hold without having to sell the bonds. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.

Certain Funds are 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. Absolute Strategies Fund and Multi-Asset Real Return 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 Funds may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in option transactions for hedging purposes.

Certain Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A 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. Absolute Strategies Fund and Multi-Asset Real Return Fund may use futures contracts to hedge against changes in interest rates and to

manage their duration without having to buy or sell portfolio securities. During the six months ended June 30, 2011, Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in futures contracts for hedging purposes and to manage duration.

Each 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 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 June 30, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

101  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Fund	Counterparty	Derivatives			Collateral Pledged
Diversifying Strategies Fund	UBS AG	$	(1,616,086	)	$	4,330,000
Global Alternatives Fund	UBS AG		(258,919	)		10,000,000
Managed Futures Strategy Fund	UBS AG		(3,712,383	)		13,000,000
Absolute Strategies Fund	Credit Suisse		(321,680	)		78,719
	Bank of America		(1,979,388	)		1,574,000
	Morgan Stanley		(1,267,282	)		1,281,378
Multi-Asset Real Return Fund	Credit Suisse		(52,638	)		—
	Deutsche Bank		(27,027	)		—
	Bank of America		(13,732	)		30,000

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 Funds have 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. The maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting arrangements, are as follows as of June 30, 2011:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Diversifying Strategies Fund	$	805,894	$	—
Global Alternatives Fund		716,377		—
Managed Futures Strategy Fund		2,385,710		—
Absolute Strategies Fund		1,390,830		193,802
Multi-Asset Real Return Fund		786,239		483,947

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

|  102

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a summary of derivative instruments for Diversifying Strategies Fund as of June 30, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	805,894		$	—		$	—		$	—
Unrealized appreciation on futures contracts		—			394,152			1,087,819			780,215
Liabilities
Unrealized depreciation on forward foreign currency contracts		(2,421,980	)		—			—			—
Unrealized depreciation on futures contracts		—			(1,152,444	)		(771,089	)		(1,543,974	)
Transactions in derivative instruments for Diversifying Strategies Fund during the six months ended June 30, 2011 were as follows:
Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	4,267,876		$	—		$	—		$	—
Futures contracts		—			(12,850,818	)		3,220,282			3,509,690
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		(1,275,750	)		—			—			—
Futures contracts		—			(128,735	)		348,085			(3,220,244	)

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

103  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts		Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	716,377		$	—	$	—		$	—
Unrealized appreciation on futures contracts		—			13,339,886		267,171			2,173,061
Liabilities
Unrealized depreciation on forward foreign currency contracts		(975,296	)		—		—			—
Unrealized depreciation on futures contracts		—			—		(117,473	)		(2,429,899	)

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	15,421,069		$	—		$	—	$	—
Futures contracts		—			(2,579,942	)		5,572,362		10,193,348
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		(2,583,192	)		—			—		—
Futures contracts		—			11,202,610			737,446		(5,549,740	)

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

|  104

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	2,385,710		$	—		$	—		$	—
Unrealized appreciation on futures contracts		—			1,487,225			2,274,095			1,969,009
Liabilities
Unrealized depreciation on forward foreign currency contracts		(6,098,093	)		—			—			—
Unrealized depreciation on futures contracts		—			(782,017	)		(1,279,152	)		(2,685,026	)

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	9,643,668		$	—		$	—	$	—
Futures contracts		—			(9,321,944	)		4,579,464		(2,972,674	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		(3,407,397	)		—			—		—
Futures contracts		—			605,569			896,145		(1,229,614	)

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

105  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a summary of derivative instruments for Absolute Strategies Fund as of June 30, 2011:

Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts
Assets
Investments at value*	$	91,586		$	—		$	—		$	—
Unrealized appreciation on forward foreign currency contracts		117,284			—			—			—
Unrealized appreciation on futures contracts**		—			—			—			513,796
Unrealized appreciation on swap agreements		—			—			73,098			—
Liabilities
Unrealized depreciation on forward foreign currency contracts		(634,748	)		—			—			—
Unrealized depreciation on futures contracts**		—			(632,297	)		—			(369,066	)
Unrealized depreciation on swap agreements		—			—			(38,212	)		—

* Represents purchased options, at value.

** Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Absolute Strategies Fund during the six months ended June 30, 2011 were as follows:

Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts			Commodity Contracts
Net Realized Gain (Loss) on:
Investments*	$	(52,474	)	$	(204,969	)	$	—		$	(9,785	)	$	—
Foreign currency transactions**		(949,956	)		—			—			—			—
Futures contracts		—			611,082			—			(3,761,688	)		—
Swap agreements		—			—			(832,139	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments*		(146,582	)		—			—			—			—
Foreign currency translations**		(497,503	)		—			—			—			—
Futures contracts		—			(635,594	)		—			151,377			—
Swap agreements		—			—			89,414			—			—

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

** Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

|  106

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The following is a summary of derivative instruments for Multi-Asset Real Return Fund as of June 30, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts		Commodity Contracts
Assets
Investments at value*	$	68,814		$	578,665		$	—		$	—	$	24,340
Unrealized appreciation on forward foreign currency contracts		121,148			—			—			—		—
Unrealized appreciation on futures contracts**		—			45,845			—			84,409		203,164
Unrealized appreciation on swap agreements		—			—			45,628			—		—
Liabilities
Options written, at value		—			(123,200	)		—			—		(4,370	)
Unrealized depreciation on forward foreign currency contracts		(222,230	)		—			—			—		—
Unrealized depreciation on futures contracts**		—			(266,263	)		—			—		(246,668	)
Unrealized depreciation on swap agreements		—			—			(10,828	)		—		—

* Represents purchased options, at value.

** Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Consolidated Statements of Assets and Liabilities as Receivable or Payable for variation margin, as applicable.

107  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Transactions in derivative instruments for Multi-Asset Real Return Fund during the six months ended June 30, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts			Commodity Contracts
Net Realized Gain (Loss) on:
Investments*	$	(89,125	)	$	(194,719	)	$	—		$	—		$	—
Foreign currency transactions**		(328,839	)		—			—			—			—
Futures contracts		—			(97,149	)		—			(689,422	)		(163,813	)
Options written		—			176,377			—			—			16,068
Swap agreements		—			—			(161,291	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments*		(46,506	)		169,092			—			—			(61,710	)
Foreign currency translations**		(62,900	)		—			—			—			—
Futures contracts		—			(220,578	)		—			45,300			(124,244	)
Options written		—			(88,841	)		—			—			18,710
Swap agreements		—			—			68,610			—			—

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

** Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Consolidated Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

Volume of forwards, futures and swaps activity, as a percentage of net assets, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:

Diversifying Strategies Fund	Forwards		Futures
Average Notional Amount Outstanding		180.28%		381.63%
Highest Notional Amount Outstanding		303.17%		584.17%
Lowest Notional Amount Outstanding		94.20%		302.08%
Notional Amount Outstanding as of June 30, 2011		94.20%		584.17%

|  108

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Global Alternatives Fund	Forwards		Futures
Average Notional Amount Outstanding		33.61%		161.94%
Highest Notional Amount Outstanding		51.67%		194.45%
Lowest Notional Amount Outstanding		21.91%		148.81%
Notional Amount Outstanding as of June 30, 2011		27.46%		151.74%
Managed Futures Strategy Fund	Forwards		Futures
Average Notional Amount Outstanding		200.94%		613.33%
Highest Notional Amount Outstanding		246.44%		992.90%
Lowest Notional Amount Outstanding		135.71%		387.94%
Notional Amount Outstanding as of June 30, 2011		195.76%		992.90%
Absolute Strategies Fund	Forwards		Futures		Swaps
Average Notional Amount Outstanding		23.68%		137.86%		2.78%
Highest Notional Amount Outstanding		36.96%		182.13%		8.36%
Lowest Notional Amount Outstanding		9.24%		19.43%		0.46%
Notional Amount Outstanding as of June 30, 2011		19.93%		142.54%		4.02%
Multi-Asset Real Return Fund	Forwards		Futures		Swaps
Average Notional Amount Outstanding		97.49%		69.93%		12.74%
Highest Notional Amount Outstanding		155.91%		99.71%		27.64%
Lowest Notional Amount Outstanding		60.67%		40.18%		0.00%
Notional Amount Outstanding as of June 30, 2011		84.47%		64.38%		16.21%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Consolidated Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the financial statements, and therefore are not included in the Funds’ net assets. Derivative positions for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund are scaled to achieve a target level of volatility for the overall portfolio.

Volume of options activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:

Absolute Strategies Fund*	Call Options Purchased			Put Options Purchased
Average Market Value of Underlying Instruments		2.12	%		1.13	%
Highest Market Value of Underlying Instruments		5.68	%		3.23	%
Lowest Market Value of Underlying Instruments		0.44	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2011		1.49	%		0.00	%

109  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Multi-Asset Real Return Fund*	Call Options Purchased			Put Options Purchased			Call Options Written			Put Options Written
Average Market Value of Underlying Instruments		11.41	%		9.66	%		2.07	%		4.34	%
Highest Market Value of Underlying Instruments		23.91	%		12.69	%		6.20	%		9.60	%
Lowest Market Value of Underlying Instruments		3.38	%		1.38	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2011		23.91	%		7.98	%		6.20	%		6.84	%

* Market value of underlying instruments is determined for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate, and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

The following is a summary of Multi-Asset Real Return Fund’s written option activity:

	Number of Contracts			Premiums
Outstanding at 12/31/2010		400		$	150,100
Options written		1,683			269,884
Options terminated in closing purchase transactions		(1,305	)		(258,527	)
Options exercised		—			—
Options expired		(8	)		(12,518	)
Outstanding at 6/30/2011		770		$	148,939

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2011, purchases and proceeds from sales or maturities of short-term obligations were as follows:

Fund	Purchases		Sales/Maturities
Diversifying Strategies Fund	$	2,445,193,376	$	2,393,754,357
Global Alternatives Fund		6,117,529,670		5,708,829,087
Managed Futures Strategy Fund		4,183,305,965		3,904,402,031

For the six months ended June 30, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

	U.S. Government/ Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Absolute Strategies Fund	$	—	$	—	$	659,755,742	$	178,002,004
Multi-Asset Real Return Fund		8,081,856		8,142,727		137,688,057		110,799,204

|  110

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US’’) serves as investment adviser to Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Loomis Sayles is the investment adviser to Absolute Strategies Fund and Multi-Asset Real Return Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets, less the net asset value of each Subsidiary, where applicable:

Fund	Percentage of Average Daily Net Assets
Diversifying Strategies Fund		1.25	%
Global Alternatives Fund		1.15	%
Managed Futures Strategy Fund		1.25	%
Absolute Strategies Fund		0.70	%
Multi-Asset Real Return Fund		0.75	%

AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.25%, 1.15% and 1.25%, respectively, of its average daily net assets.

Loomis Sayles also serves as investment adviser to the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., which pays Loomis Sayles a management fee at the annual rate of 0.75% of its average daily net assets.

AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang.

AlphaSimplex and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2012 and are reevaluated on an annual basis. Management fees payables, as reflected on the Consolidated Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

111  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class Y
Diversifying Strategies Fund		1.70	%		2.45	%		1.45	%
Global Alternatives Fund		1.60	%		2.35	%		1.35	%
Managed Futures Strategy Fund		1.70	%		2.45	%		1.45	%
Absolute Strategies Fund		1.30	%		2.05	%		1.05	%
Multi-Asset Real Return Fund		1.35	%		2.10	%		1.10	%

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

For the six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Diversifying Strategies Fund	$	1,905,012	$	147,043	$	1,757,969		1.25	%		1.15	%
Global Alternatives Fund		4,620,356		—		4,620,356		1.15	%		1.15	%
Managed Futures Strategy Fund		1,857,953		143,419		1,714,534		1.25	%		1.15	%
Absolute Strategies Fund		1,243,686		—		1,243,686		0.70	%		0.70	%
Multi-Asset Real Return Fund		171,893		171,893		—		0.75	%		—

¹Management fee waivers are subject to possible recovery until December 31, 2012.

For the six months ended June 30, 2011 expenses have been reimbursed as follows:

Fund	Reimbursement2
Multi-Asset Real Return Fund	$	29,495

²Expense reimbursements are subject to possible recovery until December 31, 2012.

|  112

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A		Class C		Class Y		Total
Global Alternatives Fund	$	12,502	$	3,847	$	9,903	$	26,252
Absolute Strategies Fund		612		233		720		1,565

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

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

Under the Class A Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distributors in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

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

For the six months ended June 30, 2011, the Funds paid the following service and distribution fees:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Diversifying Strategies Fund	$	99,550	$	29,464	$	88,393
Global Alternatives Fund		301,227		99,628		298,885
Managed Futures Strategy Fund		278,082		5,991		17,975
Absolute Strategies Fund		173,618		66,222		198,664
Multi-Asset Real Return Fund		3,251		96		289

113  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

c.  Administrative Fees.  Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. Funds that commenced operations prior to July 1, 2011 are subject to a new fund fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. Managed Futures Strategy Fund, Absolute Strategies Fund and Multi-Asset Real Return Fund were subject to the new fund fee during the period.

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

For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees
Diversifying Strategies Fund	$	70,722
Global Alternatives Fund		186,319
Managed Futures Strategy Fund		86,780
Absolute Strategies Fund		49,589
Multi-Asset Real Return Fund		49,692

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

|  114

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the six months ended June 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations:

Fund	Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	121,110
Global Alternatives Fund		242,836
Managed Futures Strategy Fund		81,793
Absolute Strategies Fund		88,727
Multi-Asset Real Return Fund		3,971

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011 were as follows:

Fund	Commissions
Diversifying Strategies Fund	$	56,577
Global Alternatives Fund		161,634
Managed Futures Strategy Fund		104,608
Absolute Strategies Fund		438,900
Multi-Asset Real Return Fund		440

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

115  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

Prior to April 21, 2011, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2011, none of the Funds had borrowings under these agreements.

8.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

The Absolute Strategies Fund and Multi-Asset Real Return Fund are non-diversified, which means that they are not limited under the 1940 Act to a percentage of assets that they may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.

|  116

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The Funds’ (excluding Absolute Strategies Fund) investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

9.  Interest Expense.  Each Fund is charged interest expense on cash and foreign currency overdrafts, if any, for accounts held at the brokers. Interest expense amounts incurred for the six months ended June 30, 2011 are reflected on the Consolidated Statements of Operations.

10.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of June 30, 2011, Natixis US and its affiliates owned shares equating to 18.00% of Multi-Asset Real Return Fund’s net assets. As of June 30, 2011, Loomis Sayles owned shares equating to 18.00% of Multi-Asset Real Return Fund’s net assets.

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

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Diversifying Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	5,015,989		$	52,051,111		6,868,047		$	76,325,925
Issued in connection with the reinvestment of distributions	1,201			12,520		269,796			2,819,124
Redeemed	(2,400,180	)		(25,065,386	)	(1,542,636	)		(16,842,718	)
Net change	2,617,010		$	26,998,245		5,595,207		$	62,302,331
Class C
Issued from the sale of shares	766,737		$	7,889,552		1,966,693		$	21,804,276
Issued in connection with the reinvestment of distributions	271			2,793		60,248			622,968
Redeemed	(414,046	)		(4,231,467	)	(34,556	)		(372,226	)
Net change	352,962		$	3,660,878		1,992,385		$	22,055,018
Class Y
Issued from the sale of shares	10,318,034		$	107,368,993		18,919,749		$	210,401,836
Issued in connection with the reinvestment of distributions	2,361			24,676		594,595			6,218,402
Redeemed	(7,376,448	)		(76,643,835	)	(4,894,148	)		(54,326,909	)
Net change	2,943,947		$	30,749,834		14,620,196		$	162,293,329
Increase (decrease) from capital share transactions	5,913,919		$	61,408,957		22,207,788		$	246,650,678

117  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	10,610,349		$	115,008,426		16,474,144		$	173,739,848
Issued in connection with the reinvestment of distributions	113,753			1,233,164		684,600			7,304,687
Redeemed	(4,151,400	)		(45,042,626	)	(5,921,122	)		(62,165,090	)
Net change	6,572,702		$	71,198,964		11,237,622		$	118,879,445
Class C
Issued from the sale of shares	2,976,636		$	31,757,362		4,616,546		$	48,071,695
Issued in connection with the reinvestment of distributions	23,940			255,455		137,136			1,444,059
Redeemed	(659,838	)		(7,037,267	)	(570,902	)		(5,944,306	)
Net change	2,340,738		$	24,975,550		4,182,780		$	43,571,448
Class Y
Issued from the sale of shares	37,429,213		$	408,775,307		30,671,718		$	324,891,330
Issued in connection with the reinvestment of distributions	172,489			1,880,156		796,278			8,536,092
Redeemed	(6,537,546	)		(71,132,508	)	(10,269,317	)		(106,923,955	)
Net change	31,064,156		$	339,522,955		21,198,679		$	226,503,467
Increase (decrease) from capital share transactions	39,977,596		$	435,697,469		36,619,081		$	388,954,360
	Six Months Ended June 30, 2011					Period Ended December 31, 2010*
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	32,571,634		$	349,113,773		684,094		$	7,510,763
Issued in connection with the reinvestment of distributions	(291	)		(3,087	)	23,882			253,386
Redeemed	(7,123,835	)		(77,324,791	)	(94,151	)		(1,065,967	)
Net change	25,447,508		$	271,785,895		613,825		$	6,698,182
Class C
Issued from the sale of shares	627,616		$	6,848,631		220,422		$	2,495,747
Issued in connection with the reinvestment of distributions	(23	)		(240	)	4,729			50,030
Redeemed	(22,527	)		(246,637	)	(2,321	)		(25,634	)
Net change	605,066		$	6,601,754		222,830		$	2,520,143
Class Y
Issued from the sale of shares	8,139,116		$	89,112,812		4,571,067		$	48,282,728
Issued in connection with the reinvestment of distributions	—			—		236,842			2,510,528
Redeemed	(3,432,104	)		(37,034,057	)	(111,252	)		(1,248,222	)
Net change	4,707,012		$	52,078,755		4,696,657		$	49,545,034
Increase (decrease) from capital share transactions	30,759,586		$	330,466,404		5,533,312		$	58,763,359

* From commencement of operations on July 30, 2010 through December 31, 2010.

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011					Period Ended December 31, 2010*
Absolute Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	26,293,207		$	267,463,184		245,018		$	2,456,047
Issued in connection with the reinvestment of distributions	196,896			1,967,008		15			151
Redeemed	(2,747,979	)		(27,816,446	)	(1	)		(10	)
Net change	23,742,124		$	241,613,746		245,032		$	2,456,188
Class C
Issued from the sale of shares	9,826,456		$	99,692,188		56,025		$	561,320
Issued in connection with the reinvestment of distributions	43,633			434,432		1			14
Redeemed	(322,830	)		(3,253,849	)	—			—
Net change	9,547,259		$	96,872,771		56,026		$	561,334
Class Y
Issued from the sale of shares	31,058,523		$	315,840,464		2,660,897		$	26,611,782
Issued in connection with the reinvestment of distributions	188,511			1,881,369		309			3,103
Redeemed	(5,007,843	)		(50,786,401	)	—			—
Net change	26,239,191		$	266,935,432		2,661,206		$	26,614,885
Increase (decrease) from capital share transactions	59,528,574		$	605,421,949		2,962,264		$	29,632,407
* From commencement of operations on December 15, 2010 through December 31, 2010.
	Six Months Ended June 30, 2011					Period Ended December 31, 2010*
Multi-Asset Real Return Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	293,548		$	2,974,048		144,843		$	1,463,375
Issued in connection with the reinvestment of distributions	715			7,249		778			7,886
Redeemed	(69,763	)		(699,644	)	(33,158	)		(335,249	)
Net change	224,500		$	2,281,653		112,463		$	1,136,012
Class C
Issued from the sale of shares	12,897		$	131,319		1,211		$	12,251
Issued in connection with the reinvestment of distributions	28			281		9			94
Redeemed	(498	)		(5,046	)	—			—
Net change	12,427		$	126,554		1,220		$	12,345
Class Y
Issued from the sale of shares	4,193,310		$	42,618,771		2,699,768		$	27,018,115
Issued in connection with the reinvestment of distributions	10,645			108,046		21,488			217,677
Redeemed	(256,887	)		(2,579,343	)	(2,481	)		(25,105	)
Net change	3,947,068		$	40,147,474		2,718,775		$	27,210,687
Increase (decrease) from capital share transactions	4,183,995		$	42,555,681		2,832,458		$	28,359,044

* From commencement of operations on September 30, 2010 through December 31, 2010.

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SEMIANNUAL REPORT

June 30, 2011

CGM Advisor Targeted Equity Fund

Harris Associates Large Cap Value Fund

Natixis Diversified Income Fund

(Formerly Natixis Income Diversified Portfolio)

Natixis U.S. Multi-Cap Equity Fund

(Formerly Natixis U.S. Diversified Portfolio)

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

Westpeak ActiveBeta^® Equity Fund

TABLE OF CONTENTS

Management Discussion and Performance page 1

Portfolio of Investments page 44

Financial Statements page 93

CGM ADVISOR TARGETED EQUITY FUND

Management Discussion

Manager:

G. Kenneth Heebner, CFA

Capital Growth Management Limited Partnership

Objective:

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

Strategy:

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

Fund Inception:

November 27, 1968

Symbols:

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

Market Conditions

The year 2011 began auspiciously, with the U.S. economy growing at a moderate rate. Midway through the period, however, growth sputtered due to stubbornly high unemployment, a stagnant housing market, higher oil prices, the impact of Japan’s devastating earthquake and tsunami, deadly tornados and historic flooding in the United States and a general lack of consumer confidence. At the tail end of the period, economic growth rebounded somewhat, with expectations for the pace of recovery to pick up over coming quarters.

Performance Results

For the six months ended June 30, 2011, Class A shares of CGM Advisor Targeted Equity Fund returned -3.51% at net asset value. The fund lagged its benchmark, the S&P 500 Index, which returned 6.02%, and the average fund in Morningstar’s Large Growth category, which returned 5.65%, for the same period.

Explanation of Fund Performance

The fund’s exposure to cyclical issues dampened performance for the period. Companies whose profitability, and therefore share prices, track the growth of the wider economy struggled as concerns over global growth mounted.

The fund remained fully invested for the first six months of 2011 in anticipation of continued global growth. While the U.S. economy continued to grow, the pace of the expansion slowed somewhat during the first half of the year. In addition, concerns about the impact of the Greek debt crisis on European nations raised further questions about the future of the global economy.

These challenges caused many of the fund’s economically sensitive stocks to decline during the first half of the year, hurting the fund’s performance. Most notable were losses in Ford Motor Company. Sales of their highly profitable pick-up trucks were hurt by high gasoline prices. The fund sustained another sizeable loss for the period from hotel giant Marriott. Marriott’s share price declined because of fears that sluggish global

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growth would hurt the hotel business. Freeport-McMoRan, one of the world’s largest copper producers and a major gold producer, also proved disappointing. Its share price came under pressure because of fears of a global economic slowdown. Tata Motors, India’s leading truck manufacturer, was another significant detractor from fund performance. The firm recently expanded its product line by acquiring Jaguar-Land Rover, a major producer of premium sedans and SUVs, from Ford Motor Company. Unfortunately, earnings growth at Tata Motors suffered because India tightened its monetary policy. A difficult new car introduction, the Nano, in India also hurt Tata’s earnings. We continued to hold Tata and Ford, but sold Marriott and Freeport-McMoRan before period end.

Although many of the cyclical stocks in the fund lost ground during the period, Baidu, CBS Broadcasting and CSX climbed. These stocks also reflected positive earnings growth and prospects and made positive contributions to performance. Baidu, a major Chinese web services company, and the dominant search engine for the Chinese Internet market, benefited from Internet expansion and the development of the search engine business in China. A new addition to the portfolio, Baidu’s stock price increased as Google, its primary competitor, largely withdrew from the Chinese market. Shares of CBS, a major television network with extensive operations in radio and TV broadcasting, rose as a result of strong increases in advertising pricing throughout its operations. CSX, one of the nation’s leading rail services companies, benefited from increased grain and coal exports and the attendant growth in demand for transport. In addition, the firm benefited from significant pricing flexibility due to the industry’s cost advantage relative to trucks in a rising oil price environment.

Outlook

We believe that the global economy will continue to expand and provide a positive backdrop for well-positioned companies. As always, we will follow a focused investment strategy, emphasizing a smaller number of companies we believe offer superior growth potential.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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CGM ADVISOR TARGETED EQUITY FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares

June 30, 2001 through June 30, 2011

Average Annual Total Returns — June 30, 2011

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		-3.51	%		26.26	%		4.03	%		4.68	%
With 5.75% Maximum Sales Charge		-9.07			19.01			2.80			4.06
Class B (Inception 2/28/97)
NAV		-3.90			25.26			3.26			3.90
With CDSC1		-8.70			20.26			2.91			3.90
Class C (Inception 9/1/98)
NAV		-3.92			25.26			3.25			3.89
With CDSC1		-4.88			24.26			3.25			3.89
Class Y (Inception 6/30/99)
NAV		-3.42			26.57			4.32			5.04
Comparative Performance
S&P 500 Index2		6.02			30.69			2.94			2.72
Morningstar Large Growth Fund Avg.3		5.65			33.08			4.07			2.24

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		98.8
Short-Term Investments and Other		1.2
Ten Largest Holdings	% of Net Assets as of 6/30/11
CBS Corp., Class B		6.7
CSX Corp.		6.2
Baidu, Inc., Sponsored ADR		5.6
Citigroup, Inc.		5.4
National Oilwell Varco, Inc.		5.4
EMC Corp.		5.0
Ford Motor Co.		5.0
PNC Financial Services Group, Inc.		5.0
Schlumberger Ltd.		5.0
Occidental Petroleum Corp.		5.0

Five Largest Industries	% of Net Assets as of 6/30/11
Diversified Financial Services		14.2
Energy Equipment & Services		10.4
Machinery		8.6
Health Care Providers & Services		8.6
Oil, Gas & Consumable Fuels		8.0

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense Ratio			Net Expense Ratio
A		1.16	%		1.16	%
B		1.91			1.91
C		1.91			1.91
Y		0.91			0.91

NOTES TO CHARTS

1 Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

2 S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors.

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

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

Management Discussion

Managers:

Edward S. Loeb, CFA

Michael J. Mangan, CFA

Diane L. Mustain, CFA

Harris Associates L.P.

Objective:

Seeks opportunities for long-term capital growth and income

Strategy:

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

Fund Inception:

May 6, 1931

Symbols:

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

Market Conditions

Strong momentum, fueled by solid earnings growth, extended the stock market’s upward trend into the first quarter of 2011. The rally stumbled in March, however, on news of Japan’s earthquake and nuclear disaster. Questions also arose about poor jobs data and the durability of the economic recovery, Europe’s sovereign debt crisis and Washington’s budgetary standoff. As a result, stocks backtracked during the spring months before rebounding in the last week of June.

Performance Results

For the six months ended June 30, 2011, Class A shares of Harris Associates Large Cap Value Fund returned 5.39% at net asset value. The fund modestly trailed its benchmark, the Russell 1000 Value Index, which returned 5.92%, and performed nearly in line with the 5.45% average return of funds in its peer group, Morningstar’s Large Blend category.

Explanation of Fund Performance

Most sectors contributed positively to performance, with the biggest gains relative to the Russell index coming from financials. Although disappointing global economic data and the European debt crisis undercut major banks in the portfolio, including JPMorgan Chase, Wells Fargo and Bank of New York Mellon, the fund benefited from having an underweight in the lackluster financials sector. In addition, positive contributors included credit card issuer Discover Financial, which showed strong improvements in delinquency rates, and Franklin Resources, a mutual fund company that experienced good inflows as financial markets improved.

The fund lost ground from security selection in the consumer discretionary sector and an underweight in the strong performing healthcare sector. In consumer discretionary, rising fuel costs ate into results at Carnival Cruise Lines, which has been profitable throughout the economic slowdown and enjoys an exceptionally strong market position. The soft economy also hurt results at Marriott. By contrast, Comcast continued to exploit opportunities arising from its growing links with NBC en route to acquiring the network. Better advertising

5  |

markets and securing of Olympic broadcast rights came amid good cash flows from the core cable business.

Elsewhere, energy stocks improved even as prices retreated late in the period. Williams Companies, a natural gas distributor, and Range Resources, an exploration and production company, benefited from positive expectations for gas prices. Increased demand for gas is likely as EPA regulations force the closing of coal-burning plants.

In the technology sector, MasterCard was a top performer. The company rebounded as investors digested the impact of financial reforms. There were three significant sales in the tech sector. We exited Hewlett- Packard in January on increasing discomfort with new management and the composition of the board. Competitive challenges weakened Cisco’s earnings outlook, and we sold Cisco despite a relatively short investment period. We also sold Microsoft because of some strategic choices that we viewed as dubious and the company’s failure to deploy its massive cash horde to benefit shareholders.

Among more recent acquisitions, a post-tsunami drop in Toyota Motor created an attractive buying opportunity. Toyota’s rebound is exceeding forecasts. Sales potential in China, India and Latin America is robust, and the company is benefiting from reductions in industry capacity in recent years. We also added used car retailer Carmax. Consumers have responded positively to Carmax’s no-haggle, value pricing policy. Profitability is impressive and market share is expanding.

Outlook

Business fundamentals are in good shape despite the current soft spell in the U.S. economy. In addition, we believe that the key concerns that have clouded the markets will resolve themselves before too long. As uncertainty fades, consumer confidence should rebound and help sustain a moderate growth path for the economy. We believe that the portfolio holds a number of dominant businesses whose current valuations understate their potential future value. But expectations remain low, with very little discussion of positive outcomes. This environment restrains prices and opens up potential opportunities for those with a long-term view.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁴

June 30, 2001 through June 30, 2011

Average Annual Total Returns — June 30, 2011⁴

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		5.39	%		30.02	%		2.75	%		1.87	%
With 5.75% Maximum Sales Charge		-0.64			22.57			1.54			1.27
Class B (Inception 9/13/93)
NAV		5.00			29.11			1.99			1.11
With CDSC1		0.00			24.11			1.62			1.11
Class C (Inception 5/1/95)
NAV		5.02			29.00			1.99			1.11
With CDSC1		4.02			28.00			1.99			1.11
Class Y (Inception 11/18/98)
NAV		5.49			30.43			3.12			2.27
Comparative Performance
Russell 1000 Value Index2		5.92			28.94			1.15			3.99
Morningstar Large Blend Fund Avg.3		5.45			29.68			2.49			2.68

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

7  |

Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		96.0
Short-Term Investments and Other		4.0
Ten Largest Holdings	% of Net Assets as of 6/30/11
Intel Corp.		5.7
Carnival Corp.		4.1
Wells Fargo & Co.		4.1
Williams Cos., Inc. (The)		4.0
Baxter International, Inc.		3.8
JPMorgan Chase & Co.		3.7
Applied Materials, Inc.		3.5
MasterCard, Inc., Class A		3.5
Comcast Corp., Special Class A		3.4
Boeing Co. (The)		3.3

Five Largest Industries	% of Net Assets as of 6/30/11
Semiconductors & Semiconductor Equipment		12.2
Oil, Gas & Consumable Fuels		11.4
Hotels, Restaurants & Leisure		8.8
Diversified Financial Services		6.9
Media		6.6

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio5			Net Expense  Ratio6
A		1.39	%		1.30	%
B		2.13			2.05
C		2.14			2.05
Y		1.14			1.05

NOTES TO CHARTS

1 Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

2 Russell 1000 Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.

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

4 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

5 Before fee waivers and/or expense reimbursements.

6 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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NATIXIS DIVERSIFIED INCOME FUND*

Management Discussion

Subadvisors:

AEW Capital Management, L.P.

Loomis, Sayles & Company, L.P.

Objective:

Seeks current income with a secondary objective of capital appreciation

Strategy:

Focuses on fixed-income and equity securities through a diversified portfolio of complementary income-producing investment disciplines from specialized money managers

Inception Date:

November 17, 2005

Symbols:

Class A	IIDPX
Class C	CIDPX

* Effective August 1, 2011, Natixis Income Diversified Portfolio changed its name to Natixis Diversified Income Fund.

Market Conditions

Momentum in the U.S. financial markets carried over from 2010 into the first months of 2011 before several major global events introduced uncertainty and volatility. In February and March, turmoil in the Middle East and North Africa and natural disasters and a nuclear plant crisis in Japan made investors fearful. In April and May, investors turned their focus to a potential default in Greece, China’s move toward more restrictive monetary policy, weaker U.S. economic data and Washington’s struggle with a rising budget deficit and debt limits. However, in the last week of the quarter, investors managed to shake off their fears as Greece announced an austerity program that gave some hope of resolving its debt crisis, corporate profits remained strong and Congress and the administration continued working to address the nation’s financial woes. Against this backdrop, income-oriented markets outperformed most segments of the equity markets. Real estate investment trusts (REITs) delivered solid returns as did Treasury bonds and Treasury Inflation Protected Securities (TIPS). High yield bonds lost ground as investors grew wary of risk, but managed to eke out a modest positive return by the end of the period.

Performance Results

For the six months ended June 30, 2011, Class A shares of Natixis Diversified Income Fund returned 7.12% at net asset value. The fund outperformed its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which returned 2.72%. The fund’s secondary benchmark returned 6.23% for the period. This benchmark is a blended, unmanaged index composed of 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index and 15% Barclays Capital U.S. TIPS Index. The fund’s Morningstar peer group, the Conservative Allocation category, had an average return of 3.83% for the six-month period.

Explanation of Fund Performance

Natixis Diversified Income Fund allows investors to participate in four income-oriented market segments,

9  |

each featuring a different investment discipline. They are:

· Active Dividend Equity Segment, an indexed portfolio of dividend-paying common stocks, based on the Dow Jones Select Dividend Index, and tracked by Active Investment Advisors (AIA), a division of Natixis Asset Management Advisors, L.P.

· AEW Diversified REIT Segment, composed of REITs. The segment is managed by AEW Capital Management, LP (“AEW”), a specialist in this income-producing equity field.

· Loomis Sayles Inflation Protected Securities Segment, a portfolio of TIPS. The segment is managed by Loomis Sayles and Company, L.P. (“Loomis Sayles”).

· Loomis Sayles Multi-Sector Bond Segment, a portfolio composed of domestic and foreign bonds also managed by Loomis Sayles.

Active Dividend Equity Segment

This segment is designed to replicate the Dow Jones Select Dividend Index by holding substantially all of the securities in the index in the same proportions. The index is composed of 100 of the highest dividend-paying equity securities (other than REITs) in the Dow Jones U.S. Total Market Index – a broad based index designed to represent the total market for U.S. equity securities.

The Dow Jones Select Dividend Index returned 8.39% for the six-month period ended June 30, 2011. At the beginning of the year, utilities made up 34% of the segment, with 15% in industrials and 14% in consumer staples. At the end of the period, utilities remained the most heavily weighted sector, at 35% of the portfolio, followed by a 15% weight in both industrials and consumer staples. During the period, there was one addition and one deletion to the index. In June, BancorpSouth was deleted because of a reduction in its

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

|  10

dividend payment. CMS Energy was added to the index to replace BancorpSouth. These changes were also made in the portfolio.

AEW Diversified REIT Segment

During the six-month period, the U.S. REIT sector posted solid performance, rising more than 10% as measured by the MSCI U.S. REIT Index. Positive performance was fueled largely by continued positive fund flows into the sector and improving prospects for commercial property. Attractive yields also aided sector returns. The segment benefited from solid security selection, particularly among its holdings in the apartment, office, regional mall and storage sectors. However, stock selection in the industrial and hotel sectors detracted from returns. Among the main contributors to the segment’s returns were regional mall REIT Simon Property Group, apartment REIT Equity Residential and office REIT Boston Properties. Host Hotels & Resorts, Starwood Hotels & Resorts Worldwide and First Potomac Realty were the main detractors from the segment’s performance.

REITs have had an impressive performance run against a backdrop of a slowly expanding economy and gradually improving commercial property fundamentals. While we believe that a recovery in REIT business fundamentals will continue and that at least some of that improvement is already reflected in REIT prices, incrementally positive news will likely provide continued support. However, a quick and substantial rise in interest rates looms as a potential risk over the coming months. Higher interest rates would make REIT dividend yields less competitive and would increase borrowing costs. A sustained run of disappointing job growth numbers is another potential risk, because it would indicate that the economy is not growing fast enough to bring vacancy rates down, particularly in the office, industrial and retail property sectors.

Loomis Sayles Inflation Protected Securities Segment

Higher prices for energy and imported goods contributed to mounting inflationary pressures during the six-month period, and TIPS were among the fixed-income market’s top performers. In addition, supply chain disruptions resulting from earthquake-recovery efforts in Japan, combined with renewed sovereign debt concerns in Europe, sparked a flight to quality in May. This benefited U.S. government securities, including TIPS. For the six months ended June 30, 2011, TIPS breakeven rates (the difference in yield between TIPS and traditional Treasuries of the same maturity, and an indication of longer-term inflation expectations) widened, while real yields rallied lower.

In this environment, TIPS contributed favorably to the segment’s performance. Furthermore, a “barbelled” maturity structure (overweighting securities at the short and long ends of the maturity spectrum and underweighting intermediate-term securities) helped overall TIPS performance.

A small allocation to a Temporary Liquidity Guarantee Program (TLGP) bond detracted slightly from performance. (TLGP bonds were created in 2008, when the Federal Deposit Insurance Corporation increased its insurance coverage for depository accounts held at certain financial institutions and also lent its guarantee to short-term bonds issued by financial institutions.)

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Loomis Sayles Multi-Sector Bond Segment

Riskier fixed-income sectors generally outperformed Treasuries during the six-month period. Corporate balance sheets remained strong and earnings continued to beat analyst expectations.

This backdrop, combined with strong security selection, led to favorable results for the investment-grade corporate bond component. In addition, an allocation to high-yield corporates contributed favorably to the segment’s performance, particularly within the technology, communication and consumer cyclical industries. Commodity-linked currencies also continued to perform well, with non-dollar holdings in Brazil, Canada, Australia, New Zealand and Mexico contributing nicely to the segment’s performance.

An allocation to equity-sensitive convertible bonds detracted from performance during the period. These securities mirrored the swings in the stock market, which sold off in May and June. Holdings in the automotive, technology and manufacturing industries suffered the most. In addition, a modest position in commercial mortgage-backed securities (CMBS) weighed on performance, as lower-quality holdings declined during May’s flight to quality.

|  12

NATIXIS DIVERSIFIED INCOME FUND*

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A shares⁶

November 17, 2005 (inception) through June 30, 2011

Average Annual Total Returns — June 30, 2011⁶

	6 Months			1 Year			5 Years			Since Inception5
Class A (Inception 11/17/05)
NAV		7.12	%		19.72	%		5.90	%		6.17	%
With 4.50% Maximum Sales Charge		2.31			14.28			4.92			5.30
Class C (Inception 11/17/05)
NAV		6.74			18.87			5.15			5.38
With CDSC1		5.74			17.87			5.15			5.38
Comparative Performance
Barclays Capital U.S. Aggregate Bond Index2		2.72			3.90			6.52			5.86
Blended Index3		6.23			16.73			5.61			5.80
Morningstar Conservative Allocation Fund Avg.4		3.83			14.45			4.42			4.35

* Formerly Natixis Income Diversified Portfolio

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

13  |

Fund Composition	% of Net Assets as of 6/30/2011
Bonds and Notes		47.2
Common Stocks		46.0
Preferred Stocks		1.7
Short-Term Investments and Other		5.1
Largest Holdings	% of Net Assets as of 6/30/2011
Equities
Simon Property Group, Inc.		2.8
Equity Residential		1.9
Boston Properties, Inc.		1.4
AvalonBay Communities, Inc.		1.3
Public Storage		1.3
Fixed-Income
U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		1.4
UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1.3
U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		1.3
U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016		1.1
Toys R Us, Inc., 7.375%, 10/15/2018		1.0

Five Largest Industries	% of Net Assets as of 6/30/2011
Treasuries		15.4
REITs—Apartments		4.4
REITs—Regional Malls		3.8
REITs—Diversified		3.2
REITs—Office Property		3.2

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio7			Net Expense  Ratio8
A		1.19	%		1.19	%
C		1.94			1.94

NOTES TO CHARTS

1 Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

2 Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

3 Blended Index is an unmanaged, blended index composed of the following weights: 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index, and 15% Barclays Capital U.S. TIPS Index. The four indices composing the Blended Index measure, respectively, the performance of investment-grade fixed-income securities, equity REIT securities, dividend-yielding equity securities, and Treasury inflation-protected securities. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancings of the fund’s investment portfolio, and the relative weightings of the asset classes in the fund will generally differ to some extent from the weightings in the Blended Index.

4 Morningstar Conservative Allocation Fund Average is the average performance without sales charges of funds with similar current investment objectives, as calculated by Morningstar, Inc.

5 The since-inception comparative performance figures shown were calculated from 12/1/05.

6 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

7 Before fee waivers and/or expense reimbursements.

8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

|  14

NATIXIS U.S. MULTI-CAP EQUITY FUND*

Management Discussion

Subadvisors:

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

Objective:

Seeks long-term growth of capital

Strategy:

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

Inception Date:

July 7, 1994

Symbols:

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

* Effective June 1, 2011 Natixis U.S. Diversified Portfolio changed its name to Natixis U.S. Multi-Cap Equity Fund. In addition, Loomis, Sayles & Company replaced BlackRock as the manager of the large-cap segment of the fund.

Market Conditions

Momentum in the U.S. equity markets carried over from 2010 into the first months of 2011 before several major global events led to widespread uncertainty and volatility. Turmoil in the Middle East and North Africa and natural disasters and a nuclear plant crisis in Japan introduced significant fear into U.S. stock markets in February and March. In April and May, investors turned their focus to a potential default in Greece, China’s move toward more restrictive monetary policy, weaker U.S. economic data and Washington’s struggle with a rising budget deficit and debt limits. However, in the last week of the quarter, investors managed to shake off their fears as Greece announced an austerity program that gave some hope of resolving its debt crisis, corporate profits remained strong and stock market valuations had become attractive. The rally that lifted stocks in the final days of the period was broad based across small-, mid- and large-cap stocks. However, small- and midcaps fared somewhat better than large caps, and growth generally outperformed value.

Performance Results

For the six months ended June 30, 2011, Class A shares of Natixis U.S. Multi-Cap Equity Fund returned 7.27% at net asset value. For the same period, the S&P 500 Index returned 6.02%, the S&P MidCap 400 Index returned 8.56% and the Wilshire 4500 Index returned 7.02%. The fund outperformed the 5.65% average return of funds in Morningstar’s Large Growth category.

Explanation of Fund Performance

Each of the fund’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks and strategies:

· Harris Associates invests primarily in common stocks of large- and mid-cap companies that Harris Associates believes are trading at a substantial discount to their “true business value.”

· Loomis Sayles manages three segments. One invests in mid-cap growth stocks, one invests in

15  |

large-cap growth stocks, and one focuses on small/mid-cap core stocks. The large-cap growth segment was managed by BlackRock until May 31, 2011.

Harris Associates Segment

Portfolio holdings performed well across most sectors. Among the top names for the period were Discover Financial and Franklin Resources in the financials sector; Rockwell Automation and Northrop Grumman in the industrials sector; and MasterCard and Visa in the technology sector. Discover Financial reported the lowest 30-day delinquency rate in its 25-year history, along with solid quarterly earnings results.

Consumer discretionary holdings were the exception to this positive trend. Carnival, Marriott International and Starwood Hotels & Resorts all lost ground during the period. Carnival was hurt by market concerns about a potential slowdown in leisure travel spending, compounded by rising fuel prices and slower international bookings, which were a result of unrest in the Middle East and Northern Africa. However, Harris Associates believes all these issues are temporary and continues to hold the stock. In the financials sector, Bank of New York Mellon reported soft revenue, due chiefly to lower net interest and income from currency transactions and trading. Wells Fargo’s revenue was weak due primarily to lower net interest income. Harris sold Bank of New York Mellon but held onto Wells Fargo on the belief that improvements are ongoing and the company remains a solid investment.

Loomis Sayles Mid Cap Growth Segment

Strong stock selection, particularly in the consumer discretionary, technology and healthcare sectors, lifted the Mid Cap Growth segment’s performance. In the consumer discretionary sector, top performers included high-end apparel and accessory retailers Lululemon Athletica and Fossil. In the technology sector, the portfolio continued to focus on leading franchises in areas of secular growth, including data mobility, cloud computing and software as a service, which led to

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

|  16

areas of secular growth, including data mobility, cloud computing and software as a service, which led to particularly strong performance in the first calendar quarter. Performance in the healthcare sector was broad-based, with strong results in the biotech, healthcare services and pharmaceuticals industries.

While all sectors made positive contributions to performance, the energy sector was the weakest. The shortfall occurred in the second quarter of 2011 when commodity prices took a downturn. Holdings with above-average sensitivity to changes in oil prices suffered the most. On an individual basis, Finisar, a manufacturer of optical components and subsystems for high-speed communication networks, was among the largest performance detractors. A position in clothing retailer Abercrombie & Fitch also drove down results.

The portfolio used options (bought puts or sold calls) to hedge the stock-specific risks associated with three individual holdings and also purchased calls on one stock to express a directional view. The combined impact of these derivatives was a slight drag on performance.

Loomis Sayles Small/Mid Cap Core Segment

Robust stock selection, combined with a generally defensive posture, led to strong results for the Small/Mid Cap Core segment. In particular, stocks in the technology, consumer discretionary and financial services sectors made the greatest contributions to performance. In terms of individual contributors, WellCare Health Plans, a managed care provider, was among the top performers. The company reported strong earnings during the period and remained upbeat for the rest of the year on improving utilization trends and solid cost controls. Discover Financial Services, a credit card issuer and electronic payments provider, also was among the top performers. The company reported higher-than-expected earnings.

While all sectors made positive contributions to performance during the period, the energy and utilities sectors were the weakest. Individual laggards included commercial bank First Horizon National and energy transportation and storage provider SemGroup. First Horizon declined due to lower expectations for intermediate-term loan growth and credit improvement, and the position was exited. SemGroup reported a modestly disappointing cash-flow outlook and was sold.

Loomis Sayles Large Cap Growth Segment

Effective June 1, 2011, the investment strategy of the fund’s Large Cap Growth segment changed. New portfolio manager Aziz V. Hamzaogullari employs a disciplined, bottom-up approach that seeks to identify high quality stocks offering robust growth potential and attractive valuations.

During the one-month period in which Mr. Hamzaogullari managed the Large Cap Growth segment, performance was hindered by the stock market downturn. From a sector perspective, the technology and healthcare sectors were the largest negative contributors to performance. The consumer discretionary and energy sectors contributed positively to performance.

In terms of individual holdings, positions in Amazon.com, an Internet-based retailer, and Visa, a leading credit card processor, contributed the most to performance. On the negative side, positions in Cisco Systems, a network designer, and FactSet Research, a

17  |

provider of economic and market information to investment companies, were the largest detractors from performance.

BlackRock Segment

During the five months that BlackRock managed the Large Cap Growth segment, financials and healthcare stocks delivered solid performance. In the financials sector, bond rating agency Moody’s was a standout, as the company reported better-than-expected results for the last quarter of 2010 and the first quarter of 2011.

Stock selection in the consumer discretionary, industrials and information technology sectors yielded some disappointing results. In consumer discretionary, rising energy costs hurt General Motors, whose mix of products is currently weighted toward less fuel efficient trucks and sport utility vehicles. Cree, a pioneer in energy efficient LED lighting, fell sharply in January after a disappointing earnings report. General Motors and Cree were sold.

|  18

NATIXIS U.S. MULTI-CAP EQUITY FUND*

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁶

June 30, 2001 through June 30, 2011

Average Annual Total Returns — June 30, 2011⁶

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 7/7/94)
NAV		7.27	%		38.39	%		5.71	%		5.36	%
With 5.75% Maximum Sales Charge		1.09			30.45			4.46			4.74
Class B (Inception 7/7/94)
NAV		6.90			37.36			4.93			4.58
With CDSC1		1.90			32.36			4.60			4.58
Class C (Inception 7/7/94)
NAV		6.90			37.34			4.92			4.57
With CDSC1		5.90			36.34			4.92			4.57
Class Y (Inception 11/15/94)
NAV		7.41			38.74			6.02			5.81
Comparative Performance
S&P 500 Index2		6.02			30.69			2.94			2.72
S&P MidCap 400 Index3		8.56			39.38			6.60			7.94
Wilshire 4500 Index4		7.02			38.97			5.74			7.30
Morningstar Large Growth Fund Avg.5		5.65			33.08			4.07			2.24

* Formerly Natixis U.S. Diversified Portfolio

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

19  |

Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		97.3
Closed End Investment Companies		0.4
Short-Term Investments and Other		2.3
Written Options		(0.0	)
Ten Largest Holdings	% of Net Assets as of 6/30/11
Visa, Inc., Class A		1.9
Intel Corp.		1.6
Franklin Resources, Inc.		1.2
Carnival Corp.		1.2
Wells Fargo & Co.		1.2
Wiliams Cos., Inc. (The)		1.1
Amazon.com, Inc.		1.1
Baxter International, Inc.		1.1
JPMorgan Chase & Co.		1.1
Applied Materials, Inc.		1.0

Five Largest Industries	% of Net Assets as of 6/30/11
Oil, Gas & Consumable Fuels		5.5
Semiconductors & Semiconductor Equipment		5.4
IT Services		4.9
Software		4.7
Hotels, Restaurants & Leisure		4.3

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio7			Net Expense  Ratio8
A		1.44	%		1.34	%
B		2.19			2.09
C		2.19			2.09
Y		1.18			1.09

NOTES TO CHARTS

  1 Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

  2 S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors.

  3 S&P MidCap 400 Index is an unmanaged index that measures the performance of the mid-cap segment of the U.S. equities market.

  4 Wilshire 4500 Index is an unmanaged index that measures the performance of U.S. small- and mid-cap stocks.

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

  6 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

  7 Before fee waivers and/or expense reimbursements.

  8 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

|  20

VAUGHAN NELSON SMALL CAP VALUE FUND

Management Discussion

Managers:

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment Management, L.P.

Objective:

Seeks capital appreciation

Strategy:

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

Fund Inception

December 31, 1996

Symbols:

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

Market Conditions

The market’s trajectory over the past six months – a first-quarter uptrend cut short by a series of headwinds – came amid a business cycle that continues to inch ahead. Turmoil in the Mideast and rising energy prices, Japan’s twin disasters and discouraging jobs and housing data weighed on investors, along with Europe’s sovereign debt crisis. The market’s reversal affected smaller companies more than mid- and large-cap companies. Stocks strengthened modestly in late June as investors began to shed their extreme risk aversion.

Performance Results

For the six months ended June 30, 2011, Class A shares of Vaughan Nelson Small Cap Value Fund returned 6.47% at net asset value. The fund outperformed its benchmark, the Russell 2000 Value Index, which returned 3.77%, and the 6.36% average return of funds in its peer group, Morningstar’s Small Blend category.

Explanation of Fund Performance

Strong results occurred in the energy sector, where stocks climbed in response to growing demand and supply fears engendered by unrest in the Mideast and Northern Africa. We trimmed positions in some of the best performers to take advantage of rising share prices. Among these were natural gas contract driller Unit Corporation and Oil States International, which offers well-site services and products as well as worker accommodations in remote areas. We also reduced the fund’s weight in Brigham Exploration, which operates in the Bakken shale formation of the Williston Basin. However, we did not eliminate any positions.

Aaron’s, a rent-to-own retailer, led the fund’s consumer holdings, the top contributors to relative performance. Aaron’s sales and market share are growing. Shoe manufacturer Wolverine World Wide also contributed to positive performance. The company’s brands are performing well, backlogs are robust, pricing is firm and growth is solid outside the United States. In technology, SRA International, a provider of software and technology services primarily to government entities,

21  |

rose on news of its agreement to be taken private. In the financials sector, pawn shop operator First Cash Financial enjoyed good results in the United States and in Mexico despite legislative threats to its payday loan operations, a diminishing part of the business. The fund was underweight in real estate investment trusts (REITs), a strong contributor to benchmark results, and our choices lagged the group. We had no exposure to health maintenance organizations or senior living providers, which enjoyed a significant first half rally. However, we offset that disadvantage by being well underweight in the weak commercial bank sector.

Among individual detractors, Thompson Creek Metals, a molybdenum miner, faced increased operating costs and unanticipated capital outlays that pressured earnings. We took gains in property and casualty insurer Hanover Group, which disappointed during this period. Corrections Corporation of America, which operates private prisons for federal and state governments, weakened over concerns that budget cuts could hurt its business. We believe that threat is overstated and continue to hold the stock. We increased the fund’s stake in Ohio-based First Merit Bank when shares declined. First Merit enjoys ample excess capital and good management and is seeing pockets of loan growth. It has also acquired some other institutions via FDIC-assisted transactions.

Outlook

We expect neither a double-dip recession nor a sharp economic rebound in the second half of the year. Instead, we think the current sluggish pattern will continue for quite a while, with gross domestic product (GDP) growing at the 1-2% level, which is not enough to help reduce unemployment. These conditions favor research-based stock-specific approaches. As always, we are looking for companies with the potential to grow even in a lackluster economy on the belief that investors will pay more for growth when it is hard to come by.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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

|  22

VAUGHAN NELSON SMALL CAP VALUE FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁵

June 30, 2001 through June 30, 2011

Average Annual Total Returns — June 30, 2011⁵

	6 Months			1 Year			5 Years			10 Years			Since Inception4
Class A (Inception 12/31/96)
NAV		6.47	%		35.03	%		8.86	%		6.45	%		—	%
With 5.75% Maximum Sales Charge		0.37			27.27			7.57			5.82			—
Class B (Inception 12/31/96)
NAV		6.07			34.07			8.04			5.66			—
With CDSC1		1.07			29.07			7.75			5.66			—
Class C (Inception 12/31/96)
NAV		6.01			34.00			8.03			5.66			—
With CDSC1		5.01			33.00			8.03			5.66			—
Class Y (Inception 8/31/06)
NAV		6.57			35.38			—			—			9.79
Comparative Performance
Russell 2000 Value Index2		3.77			31.35			2.24			7.53			1.99
Morningstar Small Blend Fund Avg.3		6.36			36.82			3.72			6.97			4.24

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

23  |

Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		91.4
Exchange Traded Funds		4.0
Closed End Investment Companies		1.9
Short-Term Investments and Other		2.7
Ten Largest Holdings	% of Net Assets as of 6/30/11
iShares Russell 2000 Value Index Fund		4.0
Silgan Holdings, Inc.		2.6
Phillips-Van Heusen Corp.		2.3
HCC Insurance Holdings, Inc.		2.3
CACI International, Inc., Class A		2.3
Towers Watson & Co., Class A		2.1
Scotts Miracle-Gro Co. (The), Class A		2.0
Oil States International, Inc.		2.0
CNO Financial Group, Inc.		2.0
Teleflex, Inc.		1.9

Five Largest Industries	% of Net Assets as of 6/30/11
Commercial Banks		5.9
Insurance		5.8
Commercial Services & Supplies		5.6
Textiles, Apparel & Luxury Goods		5.1
Capital Markets		4.4

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.43	%		1.43	%
B		2.18			2.18
C		2.18			2.18
Y		1.18			1.18

NOTES TO CHARTS

1 Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

2 Russell 2000 Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

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

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

5 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

6 Before fee waivers and/or expense reimbursements.

7 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

|  24

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Management Discussion

Managers:

Dennis G. Alff, CFA

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment

Management, L.P.

Objective:

Seeks long-term capital appreciation

Strategy:

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

Fund Inception:

October 31, 2008

Symbols:

Class A	VNVAX
Class C Class Y	VNVCX VNVYX

Market Conditions

Following a strong first quarter, stocks changed direction when Japan’s earthquake and tsunami led to downticks in some industrial production data and disrupted supply chains in autos and other sectors. Adding to uncertainty were turmoil in the Mideast and Northern Africa and its threat to oil supplies, domestic woes that included weak jobs data and a very soft housing market as well as the reemergence of Europe’s sovereign debt crisis. Still, the U.S. economy maintained a weak growth trend and stocks were recovering as the period ended.

Performance Results

For the six months ended June 30, 2011, Class A shares of Vaughan Nelson Value Opportunity Fund returned 11.25% at net asset value. The fund significantly outperformed its benchmark, the Russell Midcap Value Index, which returned 6.69%, and the 7.08% return of funds in its peer group, Morningstar’s Mid-Cap Blend category.

Explanation of Fund Performance

Most of the fund’s outperformance is traceable to good stock selection. We took advantage of higher prices to trim energy holdings as rising oil prices drove shares higher. El Paso Energy stood out, as investors welcomed the decision to split the company into two entities in hopes of enhancing shareholder value. Although we significantly reduced exposure to energy companies, the fund’s weight remains near that of the benchmark. We also recorded gains in utilities when valuations rose, but this move proved premature as stocks in the sector continued to move higher.

Valeant Pharmaceuticals was a major contributor to positive performance. Valeant has grown quickly, thanks to its strategy of acquiring drug makers that lack resources to market and distribute their FDA-approved drugs in order to realize their full sales potential. These acquisitions also give Valeant access to future drug development through the research capacity that comes with the acquired companies. In technology, Altera and Avago Technologies rose thanks to the growth in

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wireless applications and smartphones that utilize their specialized semiconductors.

Among consumer issues, Hansen Natural’s leadership position in energy drinks helped boost earnings. Hansen, maker of a variety of beverages, is generating strong growth as it expands internationally. Ralcorp, which markets private label grocery products and owns the Post Cereal brand, received an unsolicited buyout offer. Ralcorp declined the offer but rumors of other potential suitors have buoyed the stock. Broadcaster CBS enjoyed good results thanks to attractive content, improving ad revenues and firmer pricing. CBS is also garnering greater revenues from recurring sources such as license fees and subscriptions.

By contrast, Collective Brands disappointed. Collective owns the Payless shoe chain and wholesales other brands. Positioning at the lower end of the price scale made Collective vulnerable to a range of retail pressures, including high gasoline costs and severe weather that kept consumers away. We continue to hold this stock. Skyworks Solutions was another laggard, as it weakened on unconfirmed reports of possible share loss in Apple products. In our view, the current valuation of Skyworks reflects these risks and we continue to hold this stock based on its superior product line. A new position in Navistar, manufacturer of International brand trucks, detracted from results due to disappointing earnings from margin pressure, but we anticipate improved margins going forward with rising truck demand.

Outlook

We expect neither a double-dip recession nor a sharp economic rebound in the second half of the year. Instead, we think the current sluggish pattern will continue for quite a while with GDP growing at the 1-2% level, which is not enough to help reduce unemployment. These conditions favor research-based, stock-specific approaches. As always, we are looking for good companies with potential to grow even in a lackluster economy on the belief that investors will pay more for growth at a time when it is hard to come by.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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VAUGHAN NELSON VALUE OPPORTUNITY FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provide a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁵

October 31, 2008 (inception) through June 30, 2011

Average Annual Total Returns — June 30, 2011⁵

	6 Months			1 Year			Since Inception4
Class A (Inception 10/31/08)
NAV		11.25	%		43.33	%		21.45	%
With 5.75% Maximum Sales Charge		4.86			35.14			18.78
Class C (Inception 10/31/08)
NAV		10.80			42.24			20.56
With CDSC1		9.80			41.24			20.56
Class Y (Inception 10/31/08)
NAV		11.35			43.56			21.76
Comparative Performance
Russell Midcap Value Index2		6.69			34.28			21.58
Morningstar Mid-Cap Blend Fund Avg.3		7.08			35.49			21.88

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		92.6
Closed End Investment Companies		1.4
Short-Term Investments and Other		6.0
Ten Largest Holdings	% of Net Assets as of 6/30/11
CBS Corp., Class B		2.4
Towers Watson & Co., Class A		2.4
Crown Holdings, Inc.		2.4
Celanese Corp., Series A		2.3
Nuance Communications, Inc.		2.3
Reinsurance Group of America, Inc., Class A		2.3
Jarden Corp.		2.0
International Flavors & Fragrances, Inc.		1.9
Life Technologies Corp.		1.9
Avago Technologies Ltd.		1.8

Five Largest Industries	% of Net Assets as of 6/30/11
Machinery		8.0
Chemicals		7.7
Insurance		6.9
Capital Markets		5.5
Software		4.8

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.71	%		1.42	%
C		2.48			2.17
Y		1.45			1.17

NOTES TO CHARTS

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

2 Russell Midcap Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values.

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

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

5 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

6 Before fee waivers and/or expense reimbursements.

7 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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WESTPEAK ACTIVEBETA^® EQUITY FUND

Management Discussion

Manager:

Khalid Ghayur, CFA

Stephen C. Platt, CFA

Westpeak Global Advisors, L.P.

Objective:

Seeks long-term growth of capital.

Strategy:

Invests primarily in equity securities of large- and mid-cap U.S. companies.

Fund Inception:

July 30, 2010

Symbols:

Class A WABAX

Class C WABCX

Class Y WABYX

Market Conditions

The first half of 2011 was a choppy ride for equity investors. After rising more than 7.0% between the end of 2010 and mid-February, the S&P 500 Index essentially gave back all of those gains and then recovered twice, finishing with a 6.02% net gain at the mid-year mark. The volatility of the market was largely the result of mixed macroeconomic reports, which caused investors to be uncertain about the strength of the economic recovery. The economy expanded modestly in the first quarter even as weakness persisted in the housing markets. However, the Federal Reserve Board eventually lowered its full-year forecast for the growth in gross domestic product, from 3.2% to 2.8%, citing prolonged difficulties resulting from the financial crisis. The available evidence suggests that consumer spending continues to be constrained by high levels of household debt.

Performance Results

For the six months ended June 30, 2011, Class A shares of Westpeak ActiveBeta^® Equity Fund returned 6.02% at net asset value. The fund performed precisely in line with its benchmark, the S&P 500 Index, which also returned 6.02%, and outperformed the 5.45% average return of funds in its peer group, the Morningstar Large Blend category.

Explanation of Fund Performance

The fund is equally divided between a value-based portfolio and a momentum-based portfolio. As a result, performance for any given period depends on the relative contributions of these two market segments. During the first quarter of the year, when stocks as a whole were rising, both the value and the momentum components outperformed the S&P 500 Index. The reverse was true during the second quarter, during which time the S&P 500 hovered just above breakeven. Both value and momentum produced negative returns for the second quarter, with value stocks giving up greater ground in an environment of economic uncertainty. However, the fund completed the six-month period in positive territory.

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The fund’s performance relative to its benchmark was aided by its underweight position in financial and healthcare stocks, both of which underperformed during the six-month period. The fund’s commitment to each of these sectors is several percentage points lower than that sector’s weight within the benchmark. The fund’s overweight position in the consumer discretionary sector also enhanced performance because of a rebound during the latter half of the period. On the negative side, the fund was hurt by its overweight position in the information technology sector. This sector is the biggest component of the S&P 500 and the fund, and it lagged the broader market during the period, especially during the second quarter. The energy sector also underperformed during the second quarter. Energy stocks were overweighted within the value component of the fund during this time, and that was a drag on relative performance.

Outlook

Although the pace of economic recovery during the first half of 2011 was slower than expected, some of this sluggishness reflected temporary factors, including the supply chain disruptions associated with the tragic events in Japan in March. Higher food and energy prices also had a dampening effect on consumer spending. We expect the economy, as well as the U.S. equity markets, to be on firmer ground in the second half of the year, barring any unforeseen events.

Independent of the precise trajectory of the economy, the fund’s strategy will be to add incremental returns by its balance of value and momentum strategies. Both strategies are capable of providing superior returns over the long term, but because value and momentum stocks tend to be negatively correlated, we believe that a 50-50 combination provides the investor with diversification and a cushion of protection should either strategy fall out of investor favor in the short term.

What You Should Know:

Investments in the Fund are subject to a number of risks. Please see the “Principal Risks” section of the Fund’s prospectus. The purchase of Fund shares should be seen as a long-term investment.

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WESTPEAK ACTIVEBETA^® EQUITY FUND

Investment Results through June 30, 2011

The charts comparing the fund’s performance to an index provides a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁵

July 30, 2010 (Inception) through June 30, 2011

Total Returns — June 30, 2011⁵

	6 Months			Since Inception4
Class A (Inception 7/30/10)
NAV		6.02	%		21.16	%
With 5.75% Maximum Sales Charge		-0.04			14.20
Class C (Inception 7/30/10)
NAV		5.67			20.41
With CDSC1		4.67			19.41
Class Y (Inception 7/30/10)
NAV		6.20			21.48
Comparative Performance
S&P 500 Index2		6.02			22.13
Morningstar Large Blend Fund Avg.3		5.45			21.38

Performance data quoted represents past performance and is no guarantee of future results. Investment return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ga.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Class Y shares are not available for purchase by all investors.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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Fund Composition	% of Net Assets as of 6/30/11
Common Stocks		99.7
Other Assets less Liabilities		0.3
Ten Largest Holdings	% of Net Assets as of 6/30/11
ExxonMobil Corp.		3.3
Apple, Inc.		2.2
Chevron Corp.		2.0
General Electric Co.		1.8
International Business Machines Corp.		1.7
Pfizer, Inc.		1.5
ConocoPhillips		1.3
AT&T, Inc.		1.3
JPMorgan Chase & Co.		1.1
Microsoft		1.1

Five Largest Industries	% of Net Assets as of 6/30/11
Oil, Gas & Consumable Fuels		11.3
Health Care Providers & Services		4.8
Software		4.3
Computer & Peripherals		4.2
Media		3.9

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense Ratio6			Net Expense Ratio7
A		2.23	%		1.20	%
C		2.98			1.95
Y		1.98			0.95

NOTES TO CHARTS

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

2 S&P 500 Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors.

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

4 The since-inception comparative performance figures shown are calculated from 8/1/10.

5 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

6 Before fee waivers and/or expense reimbursements.

7 After fee waivers and/or expense reimbursements. Waivers/reimbursements are contractual and are set to expire on 4/30/12. Contracts are reevaluated on an annual basis.

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Before investing, consider the fund’s investment objectives, risks, charges and other expenses. Visit ga.natixis.com or call 800-225-5478 for a prospectus and/or a summary prospectus, both of which contain this and other information. Read it carefully.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ga.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2011 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public

Reference Room may be obtained by calling 800-SEC-0330.

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2011 through June 30, 2011. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

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CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011
Class A
Actual		$1,000.00		$964.90		$5.41
Hypothetical (5% return before expenses)		$1,000.00		$1,019.29		$5.56
Class B
Actual		$1,000.00		$961.00		$9.04
Hypothetical (5% return before expenses)		$1,000.00		$1,015.57		$9.30
Class C
Actual		$1,000.00		$960.80		$9.04
Hypothetical (5% return before expenses)		$1,000.00		$1,015.57		$9.30
Class Y
Actual		$1,000.00		$965.80		$4.19
Hypothetical (5% return before expenses)		$1,000.00		$1,020.53		$4.31

* Expenses are equal to the Fund’s annualized expense ratio: 1.11%, 1.86%, 1.86% and 0.86% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

HARRIS ASSOCIATES LARGE CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011
Class A
Actual		$1,000.00		$1,053.90		$6.62
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class B
Actual		$1,000.00		$1,050.00		$10.42
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class C
Actual		$1,000.00		$1,050.20		$10.42
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class Y
Actual		$1,000.00		$1,054.90		$5.35
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26

* Expenses are equal to the Fund’s annualized expense ratio: 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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NATIXIS DIVERSIFIED INCOME FUND**	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011
Class A
Actual		$1,000.00		$1,071.20		$5.85
Hypothetical (5% return before expenses)		$1,000.00		$1,019.14		$5.71
Class C
Actual		$1,000.00		$1,067.40		$9.69
Hypothetical (5% return before expenses)		$1,000.00		$1,015.42		$9.44

* Expenses are equal to the Fund’s annualized expense ratio: 1.14% and 1.89% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

** Formerly Natixis Income Diversified Portfolio.

NATIXIS U.S. MULTI-CAP EQUITY FUND**	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 - 6/30/2011
Class A
Actual		$1,000.00		$1,072.70		$7.04
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$6.85
Class B
Actual		$1,000.00		$1,069.00		$10.93
Hypothetical (5% return before expenses)		$1,000.00		$1,014.23		$10.64
Class C
Actual		$1,000.00		$1,069.00		$10.88
Hypothetical (5% return before expenses)		$1,000.00		$1,014.28		$10.59
Class Y
Actual		$1,000.00		$1,074.10		$5.76
Hypothetical (5% return before expenses)		$1,000.00		$1,019.24		$5.61

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.13%, 2.12% and 1.12% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

** Formerly Natixis U.S. Diversified Portfolio.

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011  – 6/30/2011
Class A
Actual		$1,000.00		$1,064.70		$6.91
Hypothetical (5% return before expenses)		$1,000.00		$1,018.10		$6.76
Class B
Actual		$1,000.00		$1,060.70		$10.73
Hypothetical (5% return before expenses)		$1,000.00		$1,014.38		$10.49
Class C
Actual		$1,000.00		$1,060.10		$10.73
Hypothetical (5% return before expenses)		$1,000.00		$1,014.38		$10.49
Class Y
Actual		$1,000.00		$1,065.70		$5.63
Hypothetical (5% return before expenses)		$1,000.00		$1,019.34		$5.51

* Expenses are equal to the Fund’s annualized expense ratio: 1.35%, 2.10%, 2.10% and 1.10% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 - 6/30/2011
Class A
Actual		$1,000.00		$1,112.50		$7.33
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.00
Class C
Actual		$1,000.00		$1,108.00		$11.24
Hypothetical (5% return before expenses)		$1,000.00		$1,014.13		$10.74
Class Y
Actual		$1,000.00		$1,113.50		$6.03
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76

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

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WESTPEAK ACTIVEBETA® EQUITY FUND	BEGINNING ACCOUNT VALUE 1/1/2011		ENDING ACCOUNT VALUE 6/30/2011		EXPENSES PAID DURING PERIOD* 1/1/2011 – 6/30/2011
Class A
Actual		$1,000.00		$1,060.20		$6.13
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,056.70		$9.94
Hypothetical (5% return before expenses)		$1,000.00		$1,015.12		$9.74
Class Y
Actual		$1,000.00		$1,062.00		$4.86
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things,

39  |

an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple sub-advisers) based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its category. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.

|  40

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain recent periods, was stronger over the long term; (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (4) that the Fund had a limited operating history.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally (as noted by certain financial publications), and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that, as of December 31, 2010, six of the seven Natixis Equity Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Advisers under these caps. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the circumstances that accounted for such relatively higher fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s advisory fee rate was only slightly above its peer group median; (2) that although the Fund’s advisory fee rate was above its peer group median, it is subject to an

41  |

expense cap which resulted in the reduction of the advisory fee; and (3) that the Fund’s investment discipline was capacity restrained. The Trustees also noted that although the Natixis U.S. Multi-Cap Equity Fund’s advisory fees were above the median of a peer group of funds, that difference is due at least in part to the fact that the Fund employs a more complex multiple manager structure, whereas its peer group consists of mostly large cap growth strategies. Furthermore, the Trustees noted that effective June 1, 2011, the investment advisory fee, sub-investment advisory fee and expense cap were reduced for the Fund.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that three Funds had breakpoints in their advisory fees and that the remaining four Funds were subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

· The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund.

· Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

|  42

· The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services.

· So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of affiliated Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

· Plans for maintaining continuity of portfolio management where that was thought to be a potential issue.

· The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2012.

43  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 98.8% of Net Assets
		Air Freight & Logistics — 3.5%
	320,000	FedEx Corp.	$	30,352,000
		Automobiles — 5.0%
	3,120,000	Ford Motor Co.(b)		43,024,800
		Commercial Banks — 5.0%
	720,000	PNC Financial Services Group, Inc.		42,919,200
		Computers & Peripherals — 5.0%
	1,570,000	EMC Corp.(b)		43,253,500
		Diversified Financial Services — 14.2%
	1,120,000	Citigroup, Inc.		46,636,800
	980,000	JPMorgan Chase & Co.		40,121,200
	900,000	Moody’s Corp.		34,515,000
				121,273,000
		Energy Equipment & Services — 10.4%
	590,000	National-Oilwell Varco, Inc.		46,143,900
	495,000	Schlumberger Ltd.		42,768,000
				88,911,900
		Health Care Providers & Services — 8.6%
	740,000	UnitedHealth Group, Inc.		38,169,200
	450,000	WellPoint, Inc.		35,446,500
				73,615,700
		Insurance — 3.2%
	620,000	MetLife, Inc.		27,199,400
		Internet Software & Services — 5.6%
	345,000	Baidu, Inc., Sponsored ADR(b)		48,344,850
		Machinery — 8.6%
	380,000	Cummins, Inc.		39,326,200
	1,536,600	Tata Motors Ltd., Sponsored ADR		34,588,866
				73,915,066
		Media — 6.7%
	2,000,000	CBS Corp., Class B		56,980,000
		Multiline Retail — 4.8%
	1,400,000	Macy’s, Inc.		40,936,000
		Oil, Gas & Consumable Fuels — 8.0%
	250,000	Chevron Corp.		25,710,000
	410,000	Occidental Petroleum Corp.		42,656,400
				68,366,400
		Road & Rail — 6.2%
	2,040,000	CSX Corp.		53,488,800
		Textiles, Apparel & Luxury Goods — 4.0%
	530,000	Coach, Inc.		33,882,900
		Total Common Stocks (Identified Cost $818,105,916)		846,463,516

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2011 (Unaudited)

CGM Advisor Targeted Equity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.7%
$	14,000,000	American Express Credit Corp., Commercial Paper, 0.030%, 7/01/2011	$	14,000,000
	608,293	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $608,293 on 7/01/2011 collateralized by $615,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $623,456 including accrued interest (Note 2 of Notes to Financial Statements)		608,293
		Total Short-Term Investments (Identified Cost $14,608,293)		14,608,293
		Total Investments — 100.5% (Identified Cost $832,714,209)(a)		861,071,809
		Other assets less liabilities — (0.5)%		(4,065,109	)
		Net Assets — 100.0%	$	857,006,700
	(†)	See Note 2 of Notes to Financial Statements.
	(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $832,714,209 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	$	57,928,531
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(29,570,931	)
		Net unrealized appreciation	$	28,357,600
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

CGM Advisor Targeted Equity Fund – (continued)

Industry Summary at June 30, 2011 (Unaudited)

Diversified Financial Services	14.2	%
Energy Equipment & Services	10.4
Machinery	8.6
Health Care Providers & Services	8.6
Oil, Gas & Consumable Fuels	8.0
Media	6.7
Road & Rail	6.2
Internet Software & Services	5.6
Computers & Peripherals	5.0
Automobiles	5.0
Commercial Banks	5.0
Multiline Retail	4.8
Textiles, Apparel & Luxury Goods	4.0
Air Freight & Logistics	3.5
Insurance	3.2
Short-Term Investments	1.7
Total Investments	100.5
Other assets less liabilities	(0.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Harris Associates Large Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 96.0% of Net Assets
		Aerospace & Defense — 5.2%
	63,600	Boeing Co. (The)	$	4,701,948
	15,800	General Dynamics Corp.		1,177,416
	20,600	Northrop Grumman Corp.		1,428,610
				7,307,974
		Air Freight & Logistics — 2.2%
	32,000	FedEx Corp.		3,035,200
		Automobiles — 1.7%
	28,700	Toyota Motor Corp., Sponsored ADR		2,365,454
		Capital Markets — 3.3%
	35,800	Franklin Resources, Inc.		4,700,182
		Commercial Banks — 4.1%
	203,900	Wells Fargo & Co.		5,721,434
		Commercial Services & Supplies — 2.6%
	118,500	Republic Services, Inc.		3,655,725
		Consumer Finance — 0.8%
	43,150	Discover Financial Services		1,154,262
		Diversified Financial Services — 6.9%
	15,200	CME Group, Inc., Class A		4,432,168
	128,200	JPMorgan Chase & Co.		5,248,508
				9,680,676
		Electrical Equipment — 2.0%
	32,900	Rockwell Automation, Inc.		2,854,404
		Energy Equipment & Services — 4.1%
	39,000	National-Oilwell Varco, Inc.		3,050,190
	43,100	Transocean Ltd.		2,782,536
				5,832,726
		Food & Staples Retailing — 1.0%
	33,200	Walgreen Co.		1,409,672
		Health Care Equipment & Supplies — 6.2%
	90,700	Baxter International, Inc.		5,413,883
	87,000	Medtronic, Inc.		3,352,110
				8,765,993
		Hotels, Restaurants & Leisure — 8.8%
	154,600	Carnival Corp.		5,817,598
	82,300	Marriott International, Inc., Class A		2,920,827
	28,900	McDonald’s Corp.		2,436,848
	21,700	Starwood Hotels & Resorts Worldwide, Inc.		1,216,068
				12,391,341
		Household Products — 1.6%
	26,600	Colgate-Palmolive Co.		2,325,106

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Harris Associates Large Cap Value Fund – (continued)

Shares		Description	Value (†)
		Independent Power Producers & Energy Traders — 0.8%
	69,300	Calpine Corp.(b)	$	1,117,809
		Insurance — 2.2%
	103,700	Allstate Corp. (The)		3,165,961
		IT Services — 6.3%
	16,200	MasterCard, Inc., Class A		4,881,708
	48,000	Visa, Inc., Class A		4,044,480
				8,926,188
		Machinery — 3.9%
	11,700	Caterpillar, Inc.		1,245,582
	74,900	Illinois Tool Works, Inc.		4,231,101
				5,476,683
		Media — 6.6%
	198,700	Comcast Corp., Special Class A		4,814,501
	62,900	Omnicom Group, Inc.		3,029,264
	37,200	Walt Disney Co. (The)		1,452,288
				9,296,053
		Oil, Gas & Consumable Fuels — 11.4%
	31,500	Apache Corp.		3,886,785
	61,100	Range Resources Corp.		3,391,050
	69,800	Ultra Petroleum Corp.(b)		3,196,840
	185,300	Williams Cos., Inc. (The)		5,605,325
				16,080,000
		Semiconductors & Semiconductor Equipment — 12.2%
	376,100	Applied Materials, Inc.		4,893,061
	362,400	Intel Corp.		8,030,784
	130,700	Texas Instruments, Inc.		4,290,881
				17,214,726
		Specialty Retail — 1.2%
	50,200	CarMax, Inc.(b)		1,660,114
		Textiles, Apparel & Luxury Goods — 0.9%
	13,500	NIKE, Inc., Class B		1,214,730
		Total Common Stocks (Identified Cost $118,438,034)		135,352,413
Principal Amount
	Short-Term Investments — 3.4%
$	4,762,475	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,762,475 on 7/01/2011, collateralized by $4,795,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $4,860,931 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,762,475)		4,762,475

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2011 (Unaudited)

Harris Associates Large Cap Value Fund – (continued)

	Description	Value (†)
	Total Investments — 99.4% (Identified Cost $123,200,509)(a)	$	140,114,888
	Other assets less liabilities — 0.6%		879,811
	Net Assets — 100.0%	$	140,994,699
(†)	See Note 2 of Notes to Financial Statements.
(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $123,200,509 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	$	19,455,548
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,541,169	)
	Net unrealized appreciation	$	16,914,379
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2011 (Unaudited)

Semiconductors & Semiconductor Equipment	12.2	%
Oil, Gas & Consumable Fuels	11.4
Hotels, Restaurants & Leisure	8.8
Diversified Financial Services	6.9
Media	6.6
IT Services	6.3
Health Care Equipment & Supplies	6.2
Aerospace & Defense	5.2
Energy Equipment & Services	4.1
Commercial Banks	4.1
Machinery	3.9
Capital Markets	3.3
Commercial Services & Supplies	2.6
Insurance	2.2
Air Freight & Logistics	2.2
Electrical Equipment	2.0
Other Investments, less than 2% each	8.0
Short-Term Investments	3.4
Total Investments	99.4
Other assets less liabilities	0.6
Net Assets	100.0	%

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund*

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes  —  47.2% of Net Assets
	Non-Convertible Bonds — 44.7%
		ABS Home Equity — 0.1%
$	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	20,682
	15,756	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.506%, 7/25/2045(b)		10,192
	25,000	JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.656%, 6/25/2035(b)		14,168
	14,553	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.088%, 12/25/2046(b)		10,064
				55,106
		ABS Other — 0.0%
	23,491	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		23,847
		Airlines — 1.4%
	34,283	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		39,597
	41,190	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		44,073
	14,205	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		14,613
	894,828	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		884,010
				982,293
		Automotive — 1.0%
	115,000	Cummins, Inc., 7.125%, 3/01/2028		128,934
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		38,200
	480,000	Harley-Davidson Funding Corp., 6.800%, 6/15/2018, 144A		542,493
				709,627
		Banking — 2.5%
	200,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		184,670
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		98,711
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		23,909
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		19,221
	437,254	HSBC Bank USA, Zero Coupon, 11/28/2011, 144A		429,558
	3,339,258,780	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		373,508
	100,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		93,760
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		96,566
	110,000	Morgan Stanley, 5.500%, 7/24/2020		111,341
	100,000	Morgan Stanley, 5.750%, 1/25/2021		101,183
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		109,240
	25,000	National Australia Bank Ltd., 6.500%, 11/05/2015, (AUD)		26,815
				1,668,482
		Building Materials — 1.0%
	170,000	Masco Corp., 5.850%, 3/15/2017		169,147
	30,000	Masco Corp., 6.500%, 8/15/2032		26,892

See accompanying notes to financial statements.

|  54

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
		Building Materials — continued
$	10,000	Masco Corp., 7.750%, 8/01/2029	$	9,933
	525,000	USG Corp., 6.300%, 11/15/2016		462,000
	10,000	USG Corp., 9.750%, 1/15/2018		9,850
				677,822
		Chemicals — 0.3%
	200,000	Hercules, Inc., 6.500%, 6/30/2029		169,000
	55,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		55,961
				224,961
		Collateralized Mortgage Obligations — 0.5%
	23,699	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.230%, 10/25/2034(b)		18,652
	17,720	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.880%, 2/25/2035(b)		15,292
	12,420	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.575%, 7/25/2034(b)		10,481
	27,130	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b)		22,310
	29,784	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.942%, 4/25/2035(b)		23,533
	86,269	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.921%, 12/25/2034(b)		71,062
	43,181	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.631%, 3/25/2035(b)		37,523
	63,797	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b)		36,688
	24,136	Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1, 0.466%, 11/25/2035(b)		20,569
	75,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		66,324
	20,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		19,963
				342,397
		Commercial Mortgage-Backed Securities — 1.4%
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		280,913
	200,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		218,224
	200,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)		170,220
	25,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		22,859
	25,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.800%, 8/10/2045(b)		21,985
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.800%, 8/12/2045, 144A(b)		99,740
	125,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b)		109,872
				923,813

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
		Consumer Products — 0.1%
$	75,000	Fortune Brands, Inc., 5.875%, 1/15/2036	$	71,169
		Electric — 0.6%
	120,000	Calpine Corp., 7.500%, 2/15/2021, 144A		122,400
	100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		85,672
	115,000,000	Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP)		69,910
	88,000,000	Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP)		51,924
	20,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(h)		7,800
	35,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		34,388
	135,000	TXU Corp., Series Q, 6.500%, 11/15/2024		67,500
				439,594
		Food & Beverage — 0.1%
	50,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		54,814
		Government Guaranteed — 0.3%
	170,000	Citigroup Funding, Inc., (FDIC insured), 1.875%, 10/22/2012		173,306
		Government Owned — No Guarantee — 0.4%
	320,000	DP World Ltd., 6.850%, 7/02/2037, 144A		305,600
		Healthcare — 1.9%
	25,000	HCA, Inc., 7.050%, 12/01/2027		21,687
	5,000	HCA, Inc., 7.500%, 12/15/2023		4,713
	460,000	HCA, Inc., 7.500%, 11/06/2033		416,300
	310,000	HCA, Inc., 7.690%, 6/15/2025		289,850
	20,000	HCA, Inc., 8.360%, 4/15/2024		19,900
	135,000	HCA, Inc., MTN, 7.580%, 9/15/2025		125,550
	30,000	HCA, Inc., MTN, 7.750%, 7/15/2036		27,450
	345,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		362,177
				1,267,627
		Home Construction — 1.0%
	125,000	KB Home, 6.250%, 6/15/2015		119,375
	105,000	KB Home, 7.250%, 6/15/2018		94,894
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		62,400
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		387,750
				664,419
		Hybrid ARMs — 0.1%
	55,371	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.446%, 4/25/2035(b)		41,746
		Independent Energy — 0.5%
	105,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		99,750
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		148,751
	75,000	SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A		76,500
				325,001
		Life Insurance — 0.4%
	240,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		262,224

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
		Local Authorities — 1.3%
	170,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)	$	184,049
	375,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		412,078
	140,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		124,610
	165,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		149,685
				870,422
		Lodging — 0.3%
	35,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		35,437
	25,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		25,815
	60,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		63,719
	50,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		55,444
				180,415
		Media Non-Cable — 0.2%
	110,000	RR Donnelley & Sons Co., 7.250%, 5/15/2018		110,000
		Metals & Mining — 0.0%
	10,000	United States Steel Corp., 6.650%, 6/01/2037		8,775
		Non-Captive Consumer — 1.0%
	25,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		23,666
	87,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		73,059
	115,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		126,226
	505,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		463,337
				686,288
		Non-Captive Diversified — 1.3%
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		69,280
	45,000	CIT Group, Inc., 7.000%, 5/01/2017		44,887
	800,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		661,953
	15,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		13,427
	75,000	International Lease Finance Corp., 6.250%, 5/15/2019		73,280
	45,000	International Lease Finance Corp., 8.250%, 12/15/2020		48,600
				911,427
		Paper — 0.4%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		206,297
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,138
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		31,219
				242,654
		Pharmaceuticals — 0.0%
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		14,250
	20,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		19,400
				33,650
		Pipelines — 0.2%
	100,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		105,497
		Property & Casualty Insurance — 0.8%
	520,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		539,193

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
		REITs — Warehouse/Industrials — 0.1%
$	20,000	ProLogis LP, 6.625%, 5/15/2018	$	22,113
	30,000	ProLogis LP, 6.875%, 3/15/2020		33,126
				55,239
		Retailers — 2.8%
	224,088	CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A		265,514
	400,000	Dillard’s, Inc., 6.625%, 1/15/2018		400,000
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		188,600
	100,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		109,480
	225,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		249,010
	725,000	Toys R Us, Inc., 7.375%, 10/15/2018		704,156
				1,916,760
		Sovereigns — 0.6%
	5,300(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		55,785
	500,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		349,214
				404,999
		Supermarket — 0.4%
	320,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		242,400
		Supranational — 1.4%
	400,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		256,542
	921,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		96,938
	18,000,000	Inter-American Development Bank, EMTN, 2.500%, 3/11/2013, (INR)		382,328
	200,000,000	International Bank for Reconstruction & Development, EMTN, 2.300%, 2/26/2013, (KRW)		187,683
				923,491
		Technology — 1.2%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		423,000
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		350,025
	30,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		30,900
	40,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		30,200
				834,125
		Transportation Services — 0.5%
	10,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		10,711
	275,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		302,590
				313,301
		Treasuries — 15.4%
	600,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		642,148
	180,000	Canadian Government, 3.500%, 6/01/2013, (CAD)(e)		193,372
	255,000	Canadian Government, 3.500%, 6/01/2020, (CAD)		274,293
	5,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		3,071
	330,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		217,932
	25,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		23,358
	15,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		13,650
	115,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		101,686

See accompanying notes to financial statements.

|  58

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
		Treasuries — continued
	120,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)	$	106,775
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		224,991
	75,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		62,363
	155,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		134,909
	379,525	U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026(f)		414,690
	182,060	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(f)		198,118
	560,663	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025(f)		644,412
	267,602	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027(f)		305,150
	722,082	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(f)		955,235
	174,745	U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021(f)		181,462
	231,989	U.S. Treasury Inflation Indexed Note, 1.250%, 7/15/2020(f)		245,400
	800,775	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015(f)		868,591
	279,066	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018(f)		306,885
	293,830	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013(f)		312,194
	485,528	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015(f)		535,371
	511,111	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014(f)		550,642
	387,693	U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014(f)		422,797
	300,221	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016(f)		333,668
	490,604	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017(f)		559,672
	634,655	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016(f)		726,284
	488,219	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017(f)		567,935
	193,843	U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012(f)		202,263
	230,000	U.S. Treasury STRIPS, Zero Coupon, 5/15/2040		59,037
				10,388,354
		Wireless — 0.9%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		313,492
	350,000	Sprint Capital Corp., 6.875%, 11/15/2028		331,625
				645,117
		Wirelines — 2.3%
	40,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		37,764
	95,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		91,379
	300,000	Embarq Corp., 7.995%, 6/01/2036		307,384
	225,000	Frontier Communications Corp., 7.125%, 3/15/2019		230,625
	70,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		70,350
	135,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		137,700
	45,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		46,294
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,051
	315,000	Qwest Corp., 7.250%, 10/15/2035		311,850
	59,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		50,071
	197,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		175,673
	40,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		37,713
	25,000	Telecom Italia Capital SA, 7.721%, 6/04/2038		24,863
				1,537,717
		Total Non-Convertible Bonds (Identified Cost $28,578,351)		30,163,672

See accompanying notes to financial statements.

55  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Principal Amount (‡)		Description	Value (†)
	Convertible Bonds — 2.2%
		Airlines — 0.1%
$	40,000	AMR Corp., 6.250%, 10/15/2014	$	38,800
		Diversified Manufacturing — 0.2%
	130,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		128,050
		Healthcare — 0.1%
	5,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(g)		4,850
	40,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(g)		45,700
				50,550
		Home Construction — 0.0%
	10,000	Lennar Corp., 2.000%, 12/01/2020, 144A		10,038
		Independent Energy — 0.4%
	155,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		140,469
	105,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		110,512
				250,981
		Pharmaceuticals — 0.0%
	25,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		31,469
		Technology — 1.4%
	235,000	Ciena Corp., 0.875%, 6/15/2017		198,869
	40,000	Ciena Corp., 3.750%, 10/15/2018, 144A		47,000
	630,000	Intel Corp., 2.950%, 12/15/2035		651,262
	40,000	Micron Technology, Inc., 1.875%, 6/01/2014		39,000
				936,131
		Total Convertible Bonds (Identified Cost $1,394,730)		1,446,019
	Municipals — 0.3%
		California — 0.0%
	30,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046		28,389
		Illinois — 0.2%
	170,000	State of Illinois, 5.100%, 6/01/2033		144,622
		Michigan — 0.1%
	50,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		36,322
		Total Municipals (Identified Cost $206,070)		209,333
		Total Bonds and Notes (Identified Cost $30,179,151)		31,819,024

See accompanying notes to financial statements.

|  60

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
	Common Stocks — 46.0%
		Aerospace & Defense — 0.7%
	2,164	General Dynamics Corp.	$	161,261
	2,091	Honeywell International, Inc.		124,603
	2,623	Northrop Grumman Corp.		181,905
				467,769
		Automobiles — 0.2%
	10,180	Ford Motor Co.(h)		140,382
		Beverages — 0.2%
	2,409	Coca-Cola Co. (The)		162,102
		Building Products — 0.0%
	1,975	Masco Corp.		23,759
		Chemicals — 1.0%
	1,918	Eastman Chemical Co.		195,770
	1,745	International Flavors & Fragrances, Inc.		112,099
	2,439	PPG Industries, Inc.		221,437
	3,614	RPM International, Inc.		83,194
	1,993	Sensient Technologies Corp.		73,881
				686,381
		Commercial Banks — 0.8%
	3,436	Bank of Hawaii Corp.		159,843
	1,954	BB&T Corp.		52,445
	4,436	F.N.B. Corp.		45,913
	2,999	FirstMerit Corp.		49,513
	3,389	Trustmark Corp.		79,337
	3,856	United Bankshares, Inc.		94,395
	4,886	Valley National Bancorp		66,498
				547,944
		Commercial Services & Supplies — 0.9%
	1,721	Avery Dennison Corp.		66,482
	4,009	Deluxe Corp.		99,062
	5,587	Pitney Bowes, Inc.		128,445
	5,280	R. R. Donnelley & Sons Co.		103,541
	2,393	Republic Services, Inc.		73,824
	3,176	Waste Management, Inc.		118,370
				589,724
		Containers & Packaging — 0.2%
	3,020	Sonoco Products Co.		107,331
		Distributors — 0.2%
	2,888	Genuine Parts Co.		157,107
		Diversified Telecommunication Services — 0.6%
	5,173	AT&T, Inc.		162,484
	5,830	CenturyLink, Inc.		235,707
				398,191

See accompanying notes to financial statements.

61  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
		Electric Utilities — 3.0%
	4,617	American Electric Power Co., Inc.	$	173,969
	2,933	Cleco Corp.		102,215
	4,217	DPL, Inc.		127,185
	2,967	Edison International		114,971
	4,220	Entergy Corp.		288,142
	4,705	Exelon Corp.		201,562
	5,485	FirstEnergy Corp.		242,163
	3,475	NextEra Energy, Inc.		199,673
	2,904	Northeast Utilities		102,134
	4,599	Pinnacle West Capital Corp.		205,023
	4,932	PPL Corp.		137,258
	3,831	Unisource Energy Corp.		143,011
				2,037,306
		Electrical Equipment — 0.4%
	2,165	Emerson Electric Co.		121,781
	2,116	Hubbell, Inc., Class B		137,434
				259,215
		Food & Staples Retailing — 0.1%
	3,142	Sysco Corp.		97,968
		Food Products — 0.7%
	2,798	General Mills, Inc.		104,142
	3,235	H.J. Heinz Co.		172,361
	3,324	Kraft Foods, Inc., Class A		117,104
	2,562	Sara Lee Corp.		48,652
				442,259
		Gas Utilities — 1.1%
	4,368	AGL Resources, Inc.		177,821
	3,004	New Jersey Resources Corp.		134,008
	3,318	Nicor, Inc.		181,627
	3,145	Oneok, Inc.		232,762
				726,218
		Hotels, Restaurants & Leisure — 0.9%
	2,298	Darden Restaurants, Inc.		114,348
	2,790	McDonald’s Corp.		235,253
	4,500	Starwood Hotels & Resorts Worldwide, Inc.		252,180
				601,781
		Household Durables — 0.6%
	901	Brookfield Residential Properties, Inc.(h)		8,938
	4,437	Garmin Ltd.		146,554
	375	KB Home		3,667
	4,326	Leggett & Platt, Inc.		105,468
	2,248	Tupperware Brands Corp.		151,628
				416,255

See accompanying notes to financial statements.

|  62

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
		Household Products — 0.7%
	3,134	Clorox Co. (The)	$	211,357
	3,780	Kimberly-Clark Corp.		251,597
				462,954
		Industrial Conglomerates — 0.1%
	2,483	General Electric Co.		46,829
		Insurance — 0.7%
	2,323	Allstate Corp. (The)		70,921
	3,909	Arthur J. Gallagher & Co.		111,563
	4,522	Cincinnati Financial Corp.		131,952
	4,845	Mercury General Corp.		191,329
				505,765
		Leisure Equipment & Products — 0.1%
	2,904	Mattel, Inc.		79,831
		Machinery — 0.6%
	1,999	Briggs & Stratton Corp.		39,700
	1,741	Caterpillar, Inc.		185,347
	4,144	Eaton Corp.		213,209
				438,256
		Media — 0.1%
	2,311	McGraw-Hill Cos., Inc. (The)		96,854
		Metals & Mining — 0.1%
	2,519	Commercial Metals Co.		36,148
		Multi Utilities — 3.0%
	3,852	Alliant Energy Corp.		156,622
	4,161	Black Hills Corp.		125,205
	4,390	CenterPoint Energy, Inc.		84,947
	4,247	CMS Energy Corp.		83,623
	3,888	Dominion Resources, Inc.		187,674
	4,353	DTE Energy Co.		217,737
	4,974	Integrys Energy Group, Inc.		257,852
	4,772	NiSource, Inc.		96,633
	2,864	OGE Energy Corp.		144,117
	3,448	PG&E Corp.		144,919
	3,885	Public Service Enterprise Group, Inc.		126,806
	4,196	SCANA Corp.		165,197
	2,696	Sempra Energy		142,564
	4,265	TECO Energy, Inc.		80,566
				2,014,462
		Oil, Gas & Consumable Fuels — 0.4%
	2,950	Chevron Corp.		303,378
		Paper & Forest Products — 0.2%
	3,450	MeadWestvaco Corp.		114,919
		Personal Products — 0.1%
	2,676	Avon Products, Inc.		74,928

See accompanying notes to financial statements.

63  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 0.8%
	4,404	Bristol-Myers Squibb Co.	$	127,540
	5,017	Eli Lilly & Co.		188,288
	3,781	Merck & Co., Inc.		133,431
	3,808	Pfizer, Inc.		78,445
				527,704
		Real Estate Management & Development — 0.3%
	8,800	Brookfield Office Properties, Inc.		169,664
		REITs — Apartments — 4.4%
	2,500	American Campus Communities, Inc.		88,800
	6,900	AvalonBay Communities, Inc.		885,960
	6,900	Camden Property Trust		438,978
	7,800	Campus Crest Communities, Inc.		100,932
	21,000	Equity Residential		1,260,000
	1,200	Essex Property Trust, Inc.		162,348
				2,937,018
		REITs — Diversified — 3.2%
	5,022	American Assets Trust, Inc.		112,744
	3,600	CoreSite Realty Corp.		59,040
	1,700	Digital Realty Trust, Inc.		105,026
	13,700	DuPont Fabros Technology, Inc.		345,240
	6,100	Entertainment Properties Trust		284,870
	13,500	Liberty Property Trust		439,830
	8,900	Vornado Realty Trust		829,302
				2,176,052
		REITs — Healthcare — 2.6%
	18,700	HCP, Inc.		686,103
	3,400	Health Care REIT, Inc.		178,262
	14,800	Nationwide Health Properties, Inc.		612,868
	14,400	Omega Healthcare Investors, Inc.		302,544
				1,779,777
		REITs — Hotels — 1.3%
	32,600	Host Hotels & Resorts, Inc.		552,570
	7,700	Pebblebrook Hotel Trust		155,463
	8,500	RLJ Lodging Trust		147,645
				855,678
		REITs — Manufactured Homes — 0.3%
	3,100	Equity Lifestyle Properties, Inc.		193,564
		REITs — Office Property — 3.2%
	3,000	Alexandria Real Estate Equities, Inc.		232,260
	14,600	BioMed Realty Trust, Inc.		280,904
	9,000	Boston Properties, Inc.		955,440
	2,100	Corporate Office Properties Trust		65,331
	11,700	Kilroy Realty Corp.		462,033
	6,600	Piedmont Office Realty Trust, Inc., Class A		134,574
				2,130,542

See accompanying notes to financial statements.

|  64

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
		REITs — Regional Malls — 3.8%
	11,400	Macerich Co. (The)	$	609,900
	16,000	Simon Property Group, Inc.		1,859,680
	1,100	Taubman Centers, Inc.		65,120
				2,534,700
		REITs — Shopping Centers — 2.3%
	19,500	Developers Diversified Realty Corp.		274,950
	6,000	Federal Realty Investment Trust		511,080
	25,600	Kite Realty Group Trust		127,488
	9,400	Ramco-Gershenson Properties Trust		116,372
	9,300	Regency Centers Corp.		408,921
	12,200	Retail Opportunity Investments Corp.		131,272
				1,570,083
		REITs — Single Tenant — 0.3%
	6,200	National Retail Properties, Inc.		151,962
	1,600	Realty Income Corp.		53,584
				205,546
		REITs — Storage — 1.9%
	20,500	Extra Space Storage, Inc.		437,265
	7,500	Public Storage		855,075
				1,292,340
		REITs — Warehouse/Industrials — 1.4%
	32,000	DCT Industrial Trust, Inc.		167,360
	15,400	First Potomac Realty Trust		235,774
	15,800	ProLogis, Inc.		566,272
				969,406
		Specialty Retail — 0.1%
	2,440	Home Depot, Inc. (The)		88,377
		Textiles, Apparel & Luxury Goods — 0.4%
	2,613	VF Corp.		283,667
		Thrifts & Mortgage Finance — 0.4%
	3,396	Astoria Financial Corp.		43,435
	4,017	First Niagara Financial Group, Inc.		53,024
	4,303	Hudson City Bancorp, Inc.		35,242
	5,025	New York Community Bancorp, Inc.		75,325
	4,084	People’s United Financial, Inc.		54,889
				261,915
		Tobacco — 1.3%
	5,485	Altria Group, Inc.		144,859
	4,948	Lorillard, Inc.		538,689
	4,312	Universal Corp.		162,433
				845,981
		Trading Companies & Distributors — 0.3%
	2,965	Watsco, Inc.		201,590
		Total Common Stocks (Identified Cost $29,797,543)		31,059,620

See accompanying notes to financial statements.

65  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

Shares		Description	Value (†)
	Preferred Stocks — 1.7%
	Convertible Preferred Stocks — 1.2%
		Automotive — 0.9%
	10,600	General Motors Co., Series B, 4.750%	$	516,644
	1,250	Goodyear Tire & Rubber Co. (The), 5.875%		69,525
				586,169
		Banking — 0.1%
	275	Sovereign Capital Trust IV, 4.375%		13,612
	70	Wells Fargo & Co., Series L, Class A, 7.500%		74,200
				87,812
		Construction Machinery — 0.0%
	150	United Rentals Trust I, 6.500%		6,788
		Consumer Products — 0.1%
	725	Newell Financial Trust I, 5.250%		34,075
		REITs — Healthcare — 0.1%
	1,450	Health Care REIT, Inc., Series I, 6.500%		74,689
		Total Convertible Preferred Stocks (Identified Cost $810,126)		789,533
	Non-Convertible Preferred Stocks — 0.5%
		Banking — 0.2%
	4,125	Countrywide Capital IV, 6.750%		102,094
		Non-Captive Diversified — 0.3%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		109,506
	129	Ally Financial, Inc., Series G, 7.000%, 144A		121,236
				230,742
		Total Non-Convertible Preferred Stocks (Identified Cost $215,036)		332,836
		Total Preferred Stocks (Identified Cost $1,025,162)		1,122,369
Principal Amount (‡)
	Short-Term Investments — 3.8%
$	2,579,324	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $2,579,324 on 7/01/2011 collateralized by $2,190,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $2,220,113; $410,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $419,632 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,579,324)		2,579,324
		Total Investments — 98.7% (Identified Cost $63,581,180)(a)		66,580,337
		Other assets less liabilities —1.3%		874,397
		Net Assets — 100.0%	$	67,454,734

See accompanying notes to financial statements.

|  66

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

*	Formerly Natixis Income Diversified Portfolio.
(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $63,636,049 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	6,220,013
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,275,725	)
	Net unrealized appreciation	$	2,944,288
(b)	Variable rate security. Rate as of June 30, 2011 is disclosed.
(c)	Illiquid security. At June 30, 2011, the value of these securities amounted to $406,299 or 0.6% of net assets.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(f)	Treasury Inflation Protected Security (TIPS).
(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(h)	Non-income producing security.
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 June 30, 2011, the value of Rule 144A holdings amounted to $4,779,772 or 7.1% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
EMTN	Euro Medium Term Note
FDIC	Federal Deposit Insurance Corporation
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
STRIPS	Separate Trading of Registered Interest and Principal of Securities
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
IDR	Indonesian Rupiah
INR	Indian Rupee
KRW	South Korean Won

See accompanying notes to financial statements.

67  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis Diversified Income Fund* – (continued)

MXN	Mexican Peso
NZD	New Zealand Dollar
PHP	Philippine Peso
SGD	Singapore Dollar

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell		07/29/2011	Euro		210,000	$	304,328	$	3,000
Sell		07/29/2011	Euro		115,000		166,656		(2,512	)
Total								$	488

¹ Counterparty is Barclays.

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	15.4	%
REITs — Apartments	4.4
REITs — Regional Malls	3.8
REITs — Diversified	3.2
REITs — Office Property	3.2
Electric Utilities	3.0
Multi Utilities	3.0
Retailers	2.8
Banking	2.8
REITs — Healthcare	2.7
Technology	2.6
REITs — Shopping Centers	2.3
Wirelines	2.3
Healthcare	2.0
Other Investments, less than 2% each	41.4
Short-Term Investments	3.8
Total Investments	98.7
Other assets less liabilities (including open forward foreign currency contracts)	1.3
Net Assets	100.0	%

See accompanying notes to financial statements.

|  64

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund*

Shares		Description	Value (†)
	Common Stocks — 97.3% of Net Assets
		Aerospace & Defense — 2.4%
	50,100	Boeing Co. (The)	$	3,703,893
	12,300	General Dynamics Corp.		916,596
	54,111	GeoEye, Inc.(b)		2,023,751
	16,300	Northrop Grumman Corp.		1,130,405
	15,036	TransDigm Group, Inc.(b)		1,371,133
				9,145,778
		Air Freight & Logistics — 1.8%
	41,782	Expeditors International of Washington, Inc.		2,138,821
	25,100	FedEx Corp.		2,380,735
	33,327	United Parcel Service, Inc., Class B		2,430,538
				6,950,094
		Auto Components — 0.7%
	52,138	Lear Corp.		2,788,340
		Automobiles — 0.5%
	22,300	Toyota Motor Corp., Sponsored ADR		1,837,966
		Beverages — 1.1%
	23,093	Coca-Cola Co. (The)		1,553,928
	55,597	Coca-Cola Enterprises, Inc.		1,622,320
	11,339	Diageo PLC, Sponsored ADR		928,324
				4,104,572
		Biotechnology — 1.8%
	30,056	Alexion Pharmaceuticals, Inc.(b)		1,413,534
	42,746	Amgen, Inc.(b)		2,494,229
	7,524	Biogen Idec, Inc.(b)		804,466
	5,703	Pharmasset, Inc.(b)		639,877
	12,924	Regeneron Pharmaceuticals, Inc.(b)		732,920
	18,959	Vertex Pharmaceuticals, Inc.(b)		985,678
				7,070,704
		Building Products — 0.3%
	23,337	Armstrong World Industries, Inc.		1,063,234
		Capital Markets — 3.4%
	36,368	Franklin Resources, Inc.		4,774,755
	11,925	Greenhill & Co., Inc.		641,803
	77,914	Legg Mason, Inc.		2,552,463
	51,400	Raymond James Financial, Inc.		1,652,510
	114,564	SEI Investments Co.		2,578,836
	17,128	Virtus Investment Partners, Inc.(b)		1,039,669
				13,240,036
		Chemicals — 1.8%
	97,633	Chemtura Corp.(b)		1,776,921
	35,622	Cytec Industries, Inc.		2,037,222
	43,976	Kronos Worldwide, Inc.		1,383,045
	8,131	Quaker Chemical Corp.		349,714
	26,720	Rockwood Holdings, Inc.(b)		1,477,349
				7,024,251

See accompanying notes to financial statements.

69  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		Commercial Banks — 2.2%
	188,398	KeyCorp	$	1,569,355
	21,093	Prosperity Bancshares, Inc.		924,295
	25,125	SVB Financial Group(b)		1,500,214
	159,300	Wells Fargo & Co.		4,469,958
				8,463,822
		Commercial Services & Supplies — 1.5%
	93,600	Republic Services, Inc.		2,887,560
	31,612	Rollins, Inc.		644,253
	19,937	Stericycle, Inc.(b)		1,776,785
	25,696	Viad Corp.		572,764
				5,881,362
		Communications Equipment — 2.8%
	22,920	Acme Packet, Inc.(b)		1,607,380
	194,864	Cisco Systems, Inc.		3,041,827
	37,110	NETGEAR, Inc.(b)		1,622,449
	54,423	Qualcomm, Inc.		3,090,682
	35,830	Riverbed Technology, Inc.(b)		1,418,510
				10,780,848
		Computers & Peripherals — 0.3%
	29,795	Western Digital Corp.(b)		1,083,942
		Consumer Finance — 1.6%
	53,557	American Express Co.		2,768,897
	127,712	Discover Financial Services		3,416,296
				6,185,193
		Containers & Packaging — 0.7%
	34,893	Crown Holdings, Inc.(b)		1,354,547
	41,226	Temple-Inland, Inc.		1,226,061
				2,580,608
		Diversified Consumer Services — 0.1%
	8,090	Ascent Media Corp., Class A(b)		428,527
		Diversified Financial Services — 2.9%
	11,900	CME Group, Inc., Class A		3,469,921
	99,400	JPMorgan Chase & Co.(b)		4,069,436
	94,971	NASDAQ OMX Group, Inc. (The)(b)		2,402,766
	62,586	PHH Corp.(b)		1,284,265
				11,226,388
		Electrical Equipment — 1.4%
	46,775	Babcock & Wilcox Co.(b)		1,296,135
	26,121	Polypore International, Inc.(b)		1,772,049
	25,900	Rockwell Automation, Inc.		2,247,084
				5,315,268
		Electronic Equipment, Instruments & Components — 0.5%
	35,803	Amphenol Corp., Class A		1,933,004

See accompanying notes to financial statements.

|  70

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		Energy Equipment & Services — 3.4%
	9,154	CARBO Ceramics, Inc.	$	1,491,644
	19,162	Dresser-Rand Group, Inc.(b)		1,029,957
	24,239	Helix Energy Solutions Group, Inc.(b)		401,398
	16,835	Lufkin Industries, Inc.		1,448,652
	106,628	McDermott International, Inc.(b)		2,112,301
	30,700	National-Oilwell Varco, Inc.		2,401,047
	22,096	Schlumberger Ltd.		1,909,094
	33,900	Transocean Ltd.		2,188,584
				12,982,677
		Food & Staples Retailing — 0.3%
	26,300	Walgreen Co.		1,116,698
		Food Products — 2.6%
	35,790	Corn Products International, Inc.		1,978,471
	144,575	Danone SA, Sponsored ADR		2,161,396
	20,623	Diamond Foods, Inc.		1,574,360
	39,933	J.M. Smucker Co. (The)		3,052,478
	16,903	McCormick & Co., Inc.		837,882
	8,827	Mead Johnson Nutrition Co.		596,264
				10,200,851
		Gas Utilities — 0.9%
	58,620	Questar Corp.		1,038,160
	73,740	UGI Corp.		2,351,569
				3,389,729
		Health Care Equipment & Supplies — 4.1%
	37,421	Alere, Inc.(b)		1,370,357
	71,500	Baxter International, Inc.		4,267,835
	73,502	CareFusion Corp.(b)		1,997,049
	30,176	DENTSPLY International, Inc.		1,149,102
	16,059	Edwards Lifesciences Corp.(b)		1,400,024
	93,616	Medtronic, Inc.		3,607,025
	30,975	Zimmer Holdings, Inc.(b)		1,957,620
				15,749,012
		Health Care Providers & Services — 2.6%
	28,764	Healthspring, Inc.(b)		1,326,308
	15,936	HMS Holdings Corp.(b)		1,225,001
	24,202	Humana, Inc.		1,949,229
	36,119	Lincare Holdings, Inc.		1,057,203
	13,621	MEDNAX, Inc.(b)		983,300
	25,004	Universal Health Services, Inc., Class B		1,288,456
	43,532	WellCare Health Plans, Inc.(b)		2,237,980
				10,067,477
		Health Care Technology — 0.5%
	32,428	SXC Health Solutions Corp.(b)		1,910,658

See accompanying notes to financial statements.

71  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		Hotels, Restaurants & Leisure — 4.3%
	40,771	Arcos Dorados Holdings, Inc., Class A	$	859,860
	121,600	Carnival Corp.		4,575,808
	37,033	Interval Leisure Group, Inc.(b)		506,982
	64,800	Marriott International, Inc., Class A		2,299,752
	22,500	McDonald’s Corp.		1,897,200
	20,252	Six Flags Entertainment Corp.		758,438
	17,100	Starwood Hotels & Resorts Worldwide, Inc.		958,284
	86,720	Wyndham Worldwide Corp.		2,918,128
	13,063	Wynn Resorts Ltd.		1,875,063
				16,649,515
		Household Durables — 0.7%
	19,800	Fortune Brands, Inc.		1,262,646
	23,801	Tempur-Pedic International, Inc.(b)		1,614,184
				2,876,830
		Household Products — 1.1%
	13,471	Clorox Co. (The)		908,484
	21,000	Colgate-Palmolive Co.		1,835,610
	25,768	Procter & Gamble Co. (The)		1,638,072
				4,382,166
		Independent Power Producers & Energy Traders — 0.2%
	54,800	Calpine Corp.(b)		883,924
		Insurance — 0.9%
	81,700	Allstate Corp. (The)		2,494,301
	83,959	Old Republic International Corp.		986,518
				3,480,819
		Internet & Catalog Retail — 3.2%
	21,161	Amazon.com, Inc.(b)		4,327,213
	18,882	Blue Nile, Inc.(b)		830,430
	60,864	Expedia, Inc.		1,764,447
	109,858	Liberty Media Corp. - Interactive, Class A(b)		1,842,319
	7,916	Netflix, Inc.(b)		2,079,454
	3,127	Priceline.com, Inc.(b)		1,600,805
				12,444,668
		Internet Software & Services — 2.8%
	26,392	Ancestry.com, Inc.(b)		1,092,365
	6,898	Google, Inc., Class A(b)		3,493,009
	48,137	IAC/InterActiveCorp(b)		1,837,389
	18,399	MercadoLibre, Inc.		1,459,777
	41,686	Rackspace Hosting, Inc.(b)		1,781,659
	9,517	SINA Corp.(b)(c)		990,720
				10,654,919
		IT Services — 4.9%
	20,711	Alliance Data Systems Corp.(b)		1,948,284
	18,332	Automatic Data Processing, Inc.		965,730

See accompanying notes to financial statements.

|  72

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		IT Services — continued
	29,567	Fidelity National Information Services, Inc.	$	910,368
	12,600	MasterCard, Inc., Class A		3,796,884
	34,534	Teradata Corp.(b)		2,078,947
	85,341	Visa, Inc., Class A		7,190,832
	36,260	Wright Express Corp.(b)		1,888,058
				18,779,103
		Life Sciences Tools & Services — 1.7%
	28,503	Illumina, Inc.(b)		2,142,000
	14,298	Mettler-Toledo International, Inc.(b)		2,411,644
	34,664	PerkinElmer, Inc.		932,808
	33,046	Pharmaceutical Product Development, Inc.		886,955
				6,373,407
		Machinery — 3.5%
	71,409	Actuant Corp., Class A		1,915,903
	9,300	Caterpillar, Inc.		990,078
	59,300	Illinois Tool Works, Inc.		3,349,857
	54,121	John Bean Technologies Corp.		1,045,618
	26,883	Kadant, Inc.(b)		847,083
	9,294	Middleby Corp. (The)(b)		874,008
	23,828	SPX Corp.		1,969,622
	35,102	TriMas Corp.(b)		868,775
	23,361	WABCO Holdings, Inc.(b)		1,613,311
				13,474,255
		Marine — 0.4%
	26,826	Kirby Corp.(b)		1,520,229
		Media — 3.1%
	156,100	Comcast Corp., Special Class A		3,782,303
	32,351	Liberty Media-Starz, Series A(b)		2,434,089
	30,746	Madison Square Garden, Inc., Class A(b)		846,437
	77,085	Omnicom Group, Inc.		3,712,414
	29,300	Walt Disney Co. (The)		1,143,872
				11,919,115
		Metals & Mining — 0.6%
	43,572	Reliance Steel & Aluminum Co.		2,163,350
		Multi Utilities — 0.3%
	51,956	MDU Resources Group, Inc.		1,169,010
		Multiline Retail — 0.8%
	8,002	Big Lots, Inc.(b)		265,266
	37,579	Dollar Tree, Inc.(b)		2,503,513
	3,457	Target Corp.		162,168
				2,930,947
		Oil, Gas & Consumable Fuels — 5.5%
	24,800	Apache Corp.		3,060,072
	41,003	Brigham Exploration Co.(b)		1,227,220

See accompanying notes to financial statements.

73  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	77,400	Cloud Peak Energy, Inc.(b)	$	1,648,620
	16,352	Concho Resources, Inc.(b)		1,501,931
	55,889	QEP Resources, Inc.		2,337,837
	48,400	Range Resources Corp.		2,686,200
	19,998	SemGroup Corp., Class A(b)		513,348
	19,406	SM Energy Co.		1,425,953
	55,100	Ultra Petroleum Corp.(b)		2,523,580
	146,300	Williams Cos., Inc. (The)		4,425,575
				21,350,336
		Personal Products — 0.7%
	16,466	Estee Lauder Cos., Inc. (The), Class A		1,732,059
	76,498	Prestige Brands Holdings, Inc.(b)		982,234
				2,714,293
		Pharmaceuticals — 1.9%
	35,251	Merck & Co., Inc.		1,244,008
	35,472	Novartis AG, ADR		2,167,694
	21,856	Perrigo Co.		1,920,487
	41,848	Valeant Pharmaceuticals International, Inc.		2,174,422
				7,506,611
		Professional Services — 0.3%
	35,231	Verisk Analytics, Inc., Class A(b)		1,219,697
		Real Estate Management & Development — 0.7%
	63,218	CB Richard Ellis Group, Inc., Class A(b)		1,587,404
	13,540	Jones Lang LaSalle, Inc.		1,276,822
				2,864,226
		REITs — Diversified — 0.8%
	17,585	Digital Realty Trust, Inc.		1,086,401
	39,115	Potlatch Corp.		1,379,586
	27,294	Weyerhaeuser Co.		596,647
				3,062,634
		REITs — Healthcare — 0.3%
	71,405	Sabra Healthcare REIT, Inc.		1,193,178
		Road & Rail — 1.1%
	97,492	Avis Budget Group, Inc.(b)		1,666,138
	78,106	Celadon Group, Inc.(b)		1,090,360
	27,368	Kansas City Southern(b)		1,623,744
				4,380,242
		Semiconductors & Semiconductor Equipment — 5.4%
	24,665	Altera Corp.		1,143,223
	16,998	Analog Devices, Inc.		665,302
	295,500	Applied Materials, Inc.		3,844,455
	62,107	ARM Holdings PLC, Sponsored ADR		1,765,702
	23,749	Avago Technologies Ltd.		902,462

See accompanying notes to financial statements.

|  74

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — continued
	204,441	Integrated Device Technology, Inc.(b)	$	1,606,906
	280,600	Intel Corp.		6,218,096
	33,349	Microchip Technology, Inc.		1,264,260
	103,000	Texas Instruments, Inc.		3,381,490
				20,791,896
		Software — 4.7%
	17,399	Citrix Systems, Inc.(b)		1,391,920
	21,791	FactSet Research Systems, Inc.		2,229,655
	65,201	Fortinet, Inc.(b)		1,779,335
	41,632	Informatica Corp.(b)		2,432,558
	28,714	MICROS Systems, Inc.(b)		1,427,373
	45,126	Microsoft Corp.		1,173,276
	106,016	Oracle Corp.		3,488,986
	31,993	QLIK Technologies, Inc.(b)		1,089,682
	12,113	Salesforce.com, Inc.(b)		1,804,595
	50,659	Synopsys, Inc.(b)		1,302,443
				18,119,823
		Specialty Retail — 2.2%
	18,389	Abercrombie & Fitch Co., Class A		1,230,592
	4,611	AutoZone, Inc.(b)		1,359,553
	39,500	CarMax, Inc.(b)		1,306,265
	24,316	Home Depot, Inc. (The)		880,726
	16,620	Lowe’s Cos., Inc.		387,412
	32,955	PetSmart, Inc.		1,495,168
	108,718	Sally Beauty Holdings, Inc.(b)		1,859,078
				8,518,794
		Textiles, Apparel & Luxury Goods — 1.8%
	29,383	Fossil, Inc.(b)		3,458,967
	22,864	Lululemon Athletica, Inc.(b)		2,556,652
	10,400	NIKE, Inc., Class B		935,792
				6,951,411
		Water Utilities — 0.9%
	110,863	American Water Works Co., Inc.		3,264,915
		Wireless Telecommunication Services — 0.3%
	59,835	NTELOS Holdings Corp.		1,221,831
		Total Common Stocks (Identified Cost $300,726,805)		375,383,183
	Closed End Investment Companies — 0.4%
	93,158	Ares Capital Corp. (Identified Cost $1,239,646)		1,497,049

See accompanying notes to financial statements.

75  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 3.0%
$	11,463,991	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $11,463,991 on 7/01/2011 collateralized by $2,040,000 Federal Farm Credit Bank, 2.750% due 5/16/2017 valued at $2,050,200; $5,610,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $5,687,138; $3,970,000 Federal Home Loan Mortgage Corp., 2.000% due 12/03/2015 valued at $3,970,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,463,991)	$	11,463,991
		Total Investments — 100.7% (Identified Cost $313,430,442)(a)		388,344,223
		Other assets less liabilities — (0.7)%		(2,520,175	)
		Net Assets — 100.0%	$	385,824,048
Shares
	Written Options — (0.0%)
		Options on Securities — (0.0%)
	9,400	SINA Corp., Call expiring August 20, 2011 at 105 (Premiums Received $59,875)	$	(108,570	)
	*	Formerly Natixis U.S. Diversified Portfolio.
	(†)	See Note 2 of Notes to Financial Statements.
	(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $313,430,442 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	78,569,175
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,655,394	)
		Net unrealized appreciation	$	74,913,781
	(b)	Non-income producing security.
	(c)	All or a portion of this security has been pledged as collateral for outstanding options.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

|  72

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Natixis U.S. Multi-Cap Equity Fund* – (continued)

Industry Summary at June 30, 2011 (Unaudited)

Oil, Gas & Consumable Fuels	5.5	%
Semiconductors & Semiconductor Equipment	5.4
IT Services	4.9
Software	4.7
Hotels, Restaurants & Leisure	4.3
Health Care Equipment & Supplies	4.1
Machinery	3.5
Capital Markets	3.4
Energy Equipment & Services	3.4
Internet & Catalog Retail	3.2
Media	3.1
Diversified Financial Services	2.9
Communications Equipment	2.8
Internet Software & Services	2.8
Food Products	2.6
Health Care Providers & Services	2.6
Aerospace & Defense	2.4
Specialty Retail	2.2
Commercial Banks	2.2
Other Investments, less than 2% each	31.7
Short-Term Investments	3.0
Total Investments	100.7
Other assets less liabilities (including written options)	(0.7	)
Net Assets	100.0	%

See accompanying notes to financial statements.

73  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 91.4% of Net Assets
		Aerospace & Defense — 0.6%
	49,625	Alliant Techsystems, Inc.	$	3,539,751
		Auto Components — 1.8%
	218,475	Tenneco, Inc.(b)		9,628,193
		Building Products — 2.3%
	144,587	A.O. Smith Corp.		6,116,030
	150,625	Lennox International, Inc.		6,487,419
				12,603,449
		Capital Markets — 4.4%
	789,550	Apollo Investment Corp.		8,061,305
	419,150	Fifth Street Finance Corp.		4,862,140
	120,925	KBW, Inc.		2,261,298
	233,675	Waddell & Reed Financial, Inc., Class A		8,494,086
				23,678,829
		Chemicals — 4.2%
	213,075	Scotts Miracle-Gro Co. (The), Class A		10,932,878
	262,425	Sensient Technologies Corp.		9,728,095
	82,500	Solutia, Inc.(b)		1,885,125
				22,546,098
		Commercial Banks — 5.9%
	538,300	Associated Banc-Corp		7,482,370
	102,425	Bank of Hawaii Corp.		4,764,811
	569,480	FirstMerit Corp.		9,402,115
	232,725	Prosperity Bancshares, Inc.		10,198,009
				31,847,305
		Commercial Services & Supplies — 5.6%
	97,550	Consolidated Graphics, Inc.(b)		5,360,372
	397,600	Corrections Corp. of America(b)		8,608,040
	246,325	KAR Auction Services, Inc.(b)		4,658,006
	184,325	McGrath Rentcorp		5,175,846
	203,403	Waste Connections, Inc.		6,453,977
				30,256,241
		Communications Equipment — 0.4%
	103,275	Calix, Inc.(b)		2,150,186
		Computers & Peripherals — 1.8%
	422,650	QLogic Corp.(b)		6,728,588
	185,325	Super Micro Computer, Inc.(b)		2,981,879
				9,710,467
		Construction & Engineering — 1.4%
	219,150	MasTec, Inc.(b)		4,321,638
	147,325	MYR Group, Inc.(b)		3,447,405
				7,769,043

See accompanying notes to financial statements.

|  78

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Construction Materials — 0.7%
	137,725	Eagle Materials, Inc.	$	3,838,396
		Consumer Finance — 1.3%
	169,525	First Cash Financial Services, Inc.(b)		7,118,355
		Containers & Packaging — 3.9%
	240,500	Packaging Corp. of America		6,731,595
	350,200	Silgan Holdings, Inc.		14,347,694
				21,079,289
		Electric Utilities — 3.0%
	228,600	Cleco Corp.		7,966,710
	250,125	El Paso Electric Co.		8,079,038
				16,045,748
		Electrical Equipment — 2.3%
	159,675	EnerSys(b)		5,496,013
	133,475	Thomas & Betts Corp.(b)		7,187,629
				12,683,642
		Electronic Equipment, Instruments & Components — 1.2%
	25,100	ScanSource, Inc.(b)		940,748
	116,475	Tech Data Corp.(b)		5,694,463
				6,635,211
		Energy Equipment & Services — 3.6%
	136,050	Oil States International, Inc.(b)		10,871,755
	144,150	Unit Corp.(b)		8,783,060
				19,654,815
		Gas Utilities — 0.6%
	94,525	Atmos Energy Corp.		3,142,956
		Health Care Equipment & Supplies — 3.1%
	172,300	Teleflex, Inc.		10,520,638
	143,125	West Pharmaceutical Services, Inc.		6,263,150
				16,783,788
		Household Products — 0.0%
	325	WD-40 Co.		12,688
		Insurance — 5.8%
	1,360,050	CNO Financial Group, Inc.(b)		10,757,995
	389,037	HCC Insurance Holdings, Inc.		12,254,665
	347,975	Tower Group, Inc.		8,288,765
				31,301,425
		IT Services — 2.3%
	193,700	CACI International, Inc., Class A(b)		12,218,596
		Machinery — 4.1%
	358,975	Actuant Corp., Class A		9,631,299
	788,400	Mueller Water Products, Inc., Class A		3,137,832

See accompanying notes to financial statements.

79  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Machinery — continued
	97,625	Valmont Industries, Inc.	$	9,410,074
				22,179,205
		Media — 1.7%
	175,125	John Wiley & Sons, Inc., Class A		9,108,251
		Multi Utilities — 1.7%
	283,700	NorthWestern Corp.		9,393,307
		Oil, Gas & Consumable Fuels — 3.0%
	225,075	Brigham Exploration Co.(b)		6,736,495
	188,089	Oasis Petroleum, Inc.(b)		5,582,481
	240,900	Resolute Energy Corp.(b)		3,892,944
				16,211,920
		Professional Services — 2.1%
	171,075	Towers Watson & Co., Class A		11,241,338
		REITs — Healthcare — 1.3%
	615,350	Medical Properties Trust, Inc.		7,076,525
		REITs — Hotels — 0.9%
	184,725	LaSalle Hotel Properties		4,865,657
		REITs — Mortgage — 0.9%
	230,025	Invesco Mortgage Capital, Inc.		4,860,428
		REITs — Office Property — 1.5%
	298,825	Government Properties Income Trust		8,074,252
		Road & Rail — 1.0%
	208,300	Werner Enterprises, Inc.		5,217,915
		Semiconductors & Semiconductor Equipment — 1.7%
	134,700	Silicon Laboratories, Inc.(b)		5,557,722
	373,725	TriQuint Semiconductor, Inc.(b)		3,808,258
				9,365,980
		Software — 1.2%
	42,800	Tyler Technologies, Inc.(b)		1,146,184
	147,725	Verint Systems, Inc.(b)		5,471,734
				6,617,918
		Specialty Retail — 3.9%
	301,722	Aaron’s, Inc.		8,526,664
	122,400	DSW, Inc., Class A(b)		6,194,664
	198,700	Penske Automotive Group, Inc.		4,518,438
	195,050	PEP Boys-Manny Moe & Jack		2,131,896
				21,371,662
		Textiles, Apparel & Luxury Goods — 5.1%
	256,625	Hanesbrands, Inc.(b)		7,326,644
	187,750	Phillips-Van Heusen Corp.		12,291,992
	196,550	Wolverine World Wide, Inc.		8,205,963
				27,824,599

See accompanying notes to financial statements.

|  80

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Thrifts & Mortgage Finance — 3.0%
	593,400	Capitol Federal Financial, Inc.	$	6,978,384
	566,525	Washington Federal, Inc.		9,308,006
				16,286,390
		Trading Companies & Distributors — 2.1%
	76,825	United Rentals, Inc.(b)		1,951,355
	179,250	WESCO International, Inc.(b)		9,695,633
				11,646,988
		Total Common Stocks (Identified Cost $422,287,397)		495,586,806
	Exchange Traded Funds — 4.0%
	292,450	iShares Russell 2000 Value Index Fund (Identified Cost $20,964,040)		21,468,754
	Closed End Investment Companies — 1.9%
	651,750	Ares Capital Corp. (Identified Cost $9,910,005)		10,473,622
Principal Amount
	Short-Term Investments — 3.1%
$	16,856,805	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $16,856,805 on 7/01/2011 collateralized by $14,855,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $17,194,663 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,856,805)		16,856,805
		Total Investments — 100.4% (Identified Cost $470,018,247)(a)		544,385,987
		Other assets less liabilities — (0.4)%		(2,331,475	)
		Net Assets — 100.0%	$	542,054,512
	(†)	See Note 2 of Notes to Financial Statements.
	(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $470,018,247 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	$	79,853,100
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,485,360	)
		Net unrealized appreciation	$	74,367,740
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

81  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at June 30, 2011 (Unaudited)

Commercial Banks	5.9	%
Insurance	5.8
Commercial Services & Supplies	5.6
Textiles, Apparel & Luxury Goods	5.1
Capital Markets	4.4
Chemicals	4.2
Machinery	4.1
Exchange Traded Funds	4.0
Specialty Retail	3.9
Containers & Packaging	3.9
Energy Equipment & Services	3.6
Health Care Equipment & Supplies	3.1
Thrifts & Mortgage Finance	3.0
Oil, Gas & Consumable Fuels	3.0
Electric Utilities	3.0
Electrical Equipment	2.3
Building Products	2.3
IT Services	2.3
Trading Companies & Distributors	2.1
Professional Services	2.1
Other Investments, less than 2% each	23.6
Short-Term Investments	3.1
Total Investments	100.4
Other assets less liabilities	(0.4	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  82

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 92.6% of Net Assets
		Auto Components — 2.2%
	15,275	Autoliv, Inc.	$	1,198,324
	20,575	Tenneco, Inc.(b)		906,740
				2,105,064
		Beverages — 1.6%
	19,325	Hansen Natural Corp.(b)		1,564,359
		Capital Markets — 5.5%
	13,950	Affiliated Managers Group, Inc.(b)		1,415,227
	131,650	Apollo Investment Corp.		1,344,147
	55,700	Invesco Ltd.		1,303,380
	53,600	SEI Investments Co.		1,206,536
				5,269,290
		Chemicals — 7.7%
	15,100	Airgas, Inc.		1,057,604
	41,300	Celanese Corp., Series A		2,201,703
	17,775	FMC Corp.		1,529,005
	28,500	International Flavors & Fragrances, Inc.		1,830,840
	33,800	Solutia, Inc.(b)		772,330
				7,391,482
		Computers & Peripherals — 1.8%
	90,975	NCR Corp.(b)		1,718,518
		Construction & Engineering — 0.9%
	13,225	Fluor Corp.		855,129
		Consumer Finance — 1.5%
	40,200	Ezcorp, Inc., Class A(b)		1,430,115
		Containers & Packaging — 4.1%
	58,175	Crown Holdings, Inc.(b)		2,258,354
	60,675	Packaging Corp. of America		1,698,293
				3,956,647
		Electrical Equipment — 1.8%
	16,125	Cooper Industries PLC		962,179
	11,875	Hubbell, Inc., Class B		771,281
				1,733,460
		Electronic Equipment, Instruments & Components — 1.3%
	30,525	Arrow Electronics, Inc.(b)		1,266,788
		Energy Equipment & Services — 3.4%
	18,800	Dresser-Rand Group, Inc.(b)		1,010,500
	61,425	McDermott International, Inc.(b)		1,216,829
	27,625	Superior Energy Services, Inc.(b)		1,025,993
				3,253,322
		Food Products — 2.6%
	17,525	J.M. Smucker Co. (The)		1,339,611

See accompanying notes to financial statements.

83  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Food Products — continued
	12,925	Ralcorp Holdings, Inc.(b)	$	1,119,046
				2,458,657
		Household Durables — 2.0%
	55,850	Jarden Corp.		1,927,383
		Insurance — 6.9%
	58,925	Lincoln National Corp.		1,678,773
	35,400	Reinsurance Group of America, Inc., Class A		2,154,444
	40,850	Willis Group Holdings PLC		1,679,344
	47,450	XL Group PLC		1,042,951
				6,555,512
		Internet Software & Services — 1.6%
	47,025	Digital River, Inc.(b)		1,512,324
		Life Sciences Tools & Services — 3.5%
	29,250	Agilent Technologies, Inc.(b)		1,494,967
	34,700	Life Technologies Corp.(b)		1,806,829
				3,301,796
		Machinery — 8.0%
	14,100	AGCO Corp.(b)		695,976
	13,675	Flowserve Corp.		1,502,746
	14,675	Ingersoll-Rand PLC		666,392
	24,875	Kennametal, Inc.		1,049,974
	28,750	Navistar International Corp.(b)		1,623,225
	7,975	SPX Corp.		659,213
	21,275	WABCO Holdings, Inc.(b)		1,469,251
				7,666,777
		Media — 3.7%
	81,250	CBS Corp., Class B		2,314,812
	29,250	Discovery Communications, Inc., Class A(b)		1,198,080
				3,512,892
		Metals & Mining — 0.6%
	5,150	Walter Energy, Inc.		596,370
		Multiline Retail — 2.3%
	37,750	Big Lots, Inc.(b)		1,251,412
	26,450	Dollar General Corp.(b)		896,391
				2,147,803
		Oil, Gas & Consumable Fuels — 3.6%
	8,975	Cimarex Energy Co.		807,032
	37,475	El Paso Corp.		756,995
	10,575	Noble Energy, Inc.		947,837
	9,850	Pioneer Natural Resources Co.		882,265
				3,394,129
		Pharmaceuticals — 1.4%
	14,886	Valeant Pharmaceuticals International, Inc.		773,477
	25,100	Warner Chilcott PLC, Class A		605,663
				1,379,140

See accompanying notes to financial statements.

|  84

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Professional Services — 2.4%
	34,825	Towers Watson & Co., Class A	$	2,288,351
		REITs — Apartments — 1.5%
	55,475	Apartment Investment & Management Co., Class A		1,416,277
		REITs — Hotels — 1.6%
	89,923	Host Hotels & Resorts, Inc.		1,524,195
		Road & Rail — 1.8%
	124,550	Swift Transportation Co.(b)		1,687,652
		Semiconductors & Semiconductor Equipment — 4.7%
	30,550	Altera Corp.		1,415,992
	46,150	Avago Technologies Ltd.		1,753,700
	59,075	Skyworks Solutions, Inc.(b)		1,357,544
				4,527,236
		Software — 4.8%
	22,325	Adobe Systems, Inc.(b)		702,121
	11,175	Intuit, Inc.(b)		579,536
	101,525	Nuance Communications, Inc.(b)		2,179,742
	47,925	Parametric Technology Corp.(b)		1,098,920
				4,560,319
		Specialty Retail — 1.9%
	37,175	Collective Brands, Inc.(b)		546,101
	30,275	Guess?, Inc.		1,273,366
				1,819,467
		Textiles, Apparel & Luxury Goods — 2.6%
	26,000	Phillips-Van Heusen Corp.		1,702,220
	6,900	VF Corp.		749,064
				2,451,284
		Tobacco — 1.7%
	14,850	Lorillard, Inc.		1,616,720
		Trading Companies & Distributors — 1.6%
	28,425	WESCO International, Inc.(b)		1,537,508
		Total Common Stocks (Identified Cost $80,383,235)		88,425,966
	Closed End Investment Companies — 1.4%
	82,875	Ares Capital Corp. (Identified Cost $1,235,427)		1,331,801
Principal Amount
	Short-Term Investments — 4.2%
$	4,059,678	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $4,059,678 on 7/01/2011 collateralized by $4,050,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $4,145,145 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,059,678)		4,059,678

See accompanying notes to financial statements.

81  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

	Description	Value (†)
	Total Investments — 98.2% (Identified Cost $85,678,340)(a)	$	93,817,445
	Other assets less liabilities — 1.8%		1,689,440
	Net Assets — 100.0%	$	95,506,885
(†)	See Note 2 of Notes to Financial Statements.
(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $85,678,340 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	$	9,767,592
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,628,487	)
	Net unrealized appreciation	$	8,139,105
(b)	Non-income producing security.
REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2011 (Unaudited)

Machinery	8.0	%
Chemicals	7.7
Insurance	6.9
Capital Markets	5.5
Software	4.8
Semiconductors & Semiconductor Equipment	4.7
Containers & Packaging	4.1
Media	3.7
Oil, Gas & Consumable Fuels	3.6
Life Sciences Tools & Services	3.5
Energy Equipment & Services	3.4
Food Products	2.6
Textiles, Apparel & Luxury Goods	2.6
Professional Services	2.4
Multiline Retail	2.3
Auto Components	2.2
Household Durables	2.0
Other Investments, less than 2% each	24.0
Short-Term Investments	4.2
Total Investments	98.2
Other assets less liabilities	1.8
Net Assets	100.0	%

See accompanying notes to financial statements.

|  82

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund

Shares		Description	Value (†)
	Common Stocks — 99.7% of Net Assets
		Aerospace & Defense — 2.9%
	276	General Dynamics Corp.	$	20,567
	338	Honeywell International, Inc.		20,141
	220	ITT Corp.		12,965
	306	L-3 Communications Holdings, Inc.		26,760
	95	Lockheed Martin Corp.		7,692
	333	Northrop Grumman Corp.		23,094
	31	Precision Castparts Corp.		5,104
	323	Raytheon Co.		16,102
	817	Textron, Inc.		19,289
	255	United Technologies Corp.		22,570
				174,284
		Air Freight & Logistics — 0.2%
	98	C.H. Robinson Worldwide, Inc.		7,726
	81	United Parcel Service, Inc., Class B		5,908
				13,634
		Airlines — 0.3%
	1,737	Southwest Airlines Co.		19,837
		Auto Components — 0.1%
	113	Johnson Controls, Inc.		4,708
		Automobiles — 0.5%
	2,146	Ford Motor Co.(b)		29,593
		Beverages — 1.9%
	558	Coca-Cola Co. (The)		37,548
	1,277	Coca-Cola Enterprises, Inc.		37,263
	831	Constellation Brands, Inc., Class A(b)		17,301
	247	Dr Pepper Snapple Group, Inc.		10,357
	188	PepsiCo, Inc.		13,241
				115,710
		Biotechnology — 1.1%
	198	Amgen, Inc.(b)		11,553
	289	Biogen Idec, Inc.(b)		30,900
	289	Cephalon, Inc.(b)		23,091
				65,544
		Building Products — 0.1%
	618	Masco Corp.		7,435
		Capital Markets — 1.2%
	230	Ameriprise Financial, Inc.		13,267
	219	Goldman Sachs Group, Inc. (The)		29,147
	1,225	Morgan Stanley		28,187
	102	State Street Corp.		4,599
				75,200
		Chemicals — 1.4%
	431	Dow Chemical Co. (The)		15,516

See accompanying notes to financial statements.

87  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Chemicals — continued
	424	E. I. du Pont de Nemours & Co.	$	22,917
	183	Eastman Chemical Co.		18,679
	68	International Flavors & Fragrances, Inc.		4,368
	131	Monsanto Co.		9,503
	123	PPG Industries, Inc.		11,167
				82,150
		Commercial Banks — 1.8%
	1,230	Fifth Third Bancorp		15,682
	2,494	KeyCorp		20,775
	319	PNC Financial Services Group, Inc.		19,016
	126	SunTrust Banks, Inc.		3,251
	1,780	Wells Fargo & Co.		49,947
				108,671
		Commercial Services & Supplies — 0.7%
	319	Avery Dennison Corp.		12,323
	1,255	R. R. Donnelley & Sons Co.		24,611
	92	Stericycle, Inc.(b)		8,199
				45,133
		Communications Equipment — 2.1%
	972	Cisco Systems, Inc.		15,173
	201	F5 Networks, Inc.(b)		22,160
	1,338	JDS Uniphase Corp.(b)		22,291
	569	Motorola Solutions, Inc.(b)		26,197
	750	Qualcomm, Inc.		42,593
				128,414
		Computers & Peripherals — 4.2%
	402	Apple, Inc.(b)		134,939
	664	Dell, Inc.(b)		11,069
	1,112	EMC Corp.(b)		30,636
	862	Hewlett-Packard Co.		31,377
	747	Lexmark International, Inc., Class A(b)		21,857
	190	SanDisk Corp.(b)		7,885
	412	Western Digital Corp.(b)		14,988
				252,751
		Construction & Engineering — 0.3%
	270	Fluor Corp.		17,458
		Consumer Finance — 1.0%
	609	Capital One Financial Corp.		31,467
	1,079	Discover Financial Services		28,863
				60,330
		Containers & Packaging — 0.7%
	435	Ball Corp.		16,730
	275	Bemis Co., Inc.		9,289

See accompanying notes to financial statements.

|  88

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Containers & Packaging — continued
	734	Sealed Air Corp.	$	17,462
				43,481
		Diversified Consumer Services — 0.8%
	555	Apollo Group, Inc., Class A(b)		24,242
	212	DeVry, Inc.		12,536
	789	H&R Block, Inc.		12,656
				49,434
		Diversified Financial Services — 3.3%
	2,550	Bank of America Corp.		27,948
	1,287	Citigroup, Inc.		53,591
	1,652	JPMorgan Chase & Co.		67,633
	525	Leucadia National Corp.		17,902
	560	Moody’s Corp.		21,476
	382	NASDAQ OMX Group, Inc. (The)(b)		9,665
				198,215
		Diversified Telecommunication Services — 2.5%
	2,524	AT&T, Inc.		79,279
	112	CenturyLink, Inc.		4,528
	1,762	Verizon Communications, Inc.		65,599
				149,406
		Electric Utilities — 0.4%
	113	Entergy Corp.		7,716
	173	FirstEnergy Corp.		7,638
	105	Northeast Utilities		3,693
	205	Pepco Holdings, Inc.		4,024
				23,071
		Electrical Equipment — 0.5%
	253	Rockwell Automation, Inc.		21,950
	124	Roper Industries, Inc.		10,329
				32,279
		Electronic Equipment, Instruments & Components — 0.2%
	614	Jabil Circuit, Inc.		12,403
		Energy Equipment & Services — 3.6%
	362	Baker Hughes, Inc.		26,267
	350	FMC Technologies, Inc.(b)		15,676
	677	Halliburton Co.		34,527
	326	Helmerich & Payne, Inc.		21,555
	559	Nabors Industries Ltd.(b)		13,774
	618	National-Oilwell Varco, Inc.		48,334
	286	Rowan Cos., Inc.(b)		11,099
	537	Schlumberger Ltd.		46,397
				217,629
		Food & Staples Retailing — 1.9%
	123	Costco Wholesale Corp.		9,992

See accompanying notes to financial statements.

89  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Food & Staples Retailing — continued
	509	CVS Caremark Corp.	$	19,128
	601	Safeway, Inc.		14,045
	376	SUPERVALU, Inc.		3,538
	448	Wal-Mart Stores, Inc.		23,807
	708	Walgreen Co.		30,062
	257	Whole Foods Market, Inc.		16,307
				116,879
		Food Products — 1.4%
	281	ConAgra Foods, Inc.		7,253
	2,429	Dean Foods Co.(b)		29,804
	376	Hormel Foods Corp.		11,209
	103	J.M. Smucker Co. (The)		7,873
	267	Sara Lee Corp.		5,070
	1,332	Tyson Foods, Inc., Class A		25,867
				87,076
		Gas Utilities — 0.3%
	245	Oneok, Inc.		18,132
		Health Care Equipment & Supplies — 0.6%
	282	Baxter International, Inc.		16,833
	240	Edwards Lifesciences Corp.(b)		20,923
				37,756
		Health Care Providers & Services — 4.8%
	529	Aetna, Inc.		23,324
	499	AmerisourceBergen Corp.		20,658
	279	Cardinal Health, Inc.		12,672
	484	CIGNA Corp.		24,892
	900	Coventry Health Care, Inc.(b)		32,823
	39	DaVita, Inc.(b)		3,378
	681	Humana, Inc.		54,848
	161	McKesson Corp.		13,468
	91	Quest Diagnostics, Inc.		5,378
	1,173	UnitedHealth Group, Inc.		60,503
	527	WellPoint, Inc.		41,512
				293,456
		Health Care Technology — 0.2%
	180	Cerner Corp.(b)		11,000
		Hotels, Restaurants & Leisure — 1.9%
	81	Chipotle Mexican Grill, Inc.(b)		24,963
	93	Darden Restaurants, Inc.		4,628
	135	McDonald’s Corp.		11,383
	261	Starbucks Corp.		10,307
	741	Wyndham Worldwide Corp.		24,935
	223	Wynn Resorts Ltd.		32,009
	171	Yum! Brands, Inc.		9,446
				117,671

See accompanying notes to financial statements.

|  86

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Household Durables — 0.8%
	1,864	D.R. Horton, Inc.	$	21,473
	303	Harman International Industries, Inc.		13,808
	326	Lennar Corp., Class A		5,917
	416	Newell Rubbermaid, Inc.		6,564
				47,762
		Household Products — 0.9%
	816	Procter & Gamble Co. (The)		51,873
		Independent Power Producers & Energy Traders — 1.0%
	1,526	AES Corp. (The)(b)		19,441
	496	Constellation Energy Group, Inc.		18,828
	965	NRG Energy, Inc.(b)		23,720
				61,989
		Industrial Conglomerates — 2.0%
	5,651	General Electric Co.		106,578
	356	Tyco International Ltd.		17,597
				124,175
		Insurance — 2.1%
	576	American International Group, Inc.(b)		16,888
	262	Berkshire Hathaway, Inc., Class B(b)		20,276
	911	Hartford Financial Services Group, Inc. (The)		24,023
	441	Lincoln National Corp.		12,564
	276	Marsh & McLennan Cos., Inc.		8,609
	229	Prudential Financial, Inc.		14,562
	222	Travelers Cos., Inc. (The)		12,960
	728	Unum Group		18,550
				128,432
		Internet & Catalog Retail — 1.0%
	174	Amazon.com, Inc.(b)		35,581
	101	Netflix, Inc.(b)		26,532
				62,113
		Internet Software & Services — 0.9%
	605	eBay, Inc.(b)		19,524
	53	Google, Inc., Class A(b)		26,838
	268	VeriSign, Inc.		8,967
				55,329
		IT Services — 3.9%
	263	Cognizant Technology Solutions Corp., Class A(b)		19,289
	554	Computer Sciences Corp.		21,030
	680	Fidelity National Information Services, Inc.		20,937
	248	Fiserv, Inc.(b)		15,532
	606	International Business Machines Corp.		103,959
	1,097	SAIC, Inc.(b)		18,452
	442	Teradata Corp.(b)		26,608

See accompanying notes to financial statements.

91  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		IT Services — continued
	627	Total System Services, Inc.	$	11,650
				237,457
		Life Sciences Tools & Services — 0.5%
	385	Agilent Technologies, Inc.(b)		19,677
	215	Thermo Fisher Scientific, Inc.(b)		13,844
				33,521
		Machinery — 2.6%
	353	Caterpillar, Inc.		37,580
	76	Cummins, Inc.		7,865
	278	Deere & Co.		22,921
	136	Dover Corp.		9,221
	219	Eaton Corp.		11,268
	280	Joy Global, Inc.		26,667
	241	Pall Corp.		13,551
	231	Parker Hannifin Corp.		20,730
	97	Snap-on, Inc.		6,061
				155,864
		Media — 3.9%
	453	Cablevision Systems Corp., Class A		16,403
	1,589	CBS Corp., Class B		45,271
	1,692	Comcast Corp., Class A		42,875
	148	DIRECTV, Class A(b)		7,521
	1,577	Gannett Co., Inc.		22,583
	1,559	Interpublic Group of Cos., Inc. (The)		19,488
	288	McGraw-Hill Cos., Inc. (The)		12,070
	124	Omnicom Group, Inc.		5,972
	307	Time Warner Cable, Inc.		23,958
	413	Viacom, Inc., Class B		21,063
	187	Walt Disney Co. (The)		7,301
	31	Washington Post Co. (The), Class B		12,987
				237,492
		Metals & Mining — 1.5%
	1,505	Alcoa, Inc.		23,869
	201	Cliffs Natural Resources, Inc.		18,583
	802	Freeport-McMoRan Copper & Gold, Inc.		42,426
	85	Newmont Mining Corp.		4,587
				89,465
		Multi Utilities — 1.2%
	624	Ameren Corp.		17,996
	674	CenterPoint Energy, Inc.		13,042
	172	CMS Energy Corp.		3,387
	353	DTE Energy Co.		17,657
	387	Integrys Energy Group, Inc.		20,062
				72,144

See accompanying notes to financial statements.

|  92

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Multiline Retail — 1.0%
	234	Big Lots, Inc.(b)	$	7,757
	120	Family Dollar Stores, Inc.		6,307
	71	Kohl’s Corp.		3,551
	910	Macy’s, Inc.		26,609
	363	Target Corp.		17,028
				61,252
		Office Electronics — 0.4%
	2,096	Xerox Corp.		21,819
		Oil, Gas & Consumable Fuels — 11.3%
	31	Apache Corp.		3,825
	248	Cabot Oil & Gas Corp.		16,445
	1,191	Chevron Corp.		122,482
	1,059	ConocoPhillips		79,626
	1,036	El Paso Corp.		20,927
	2,471	ExxonMobil Corp.		201,090
	101	Hess Corp.		7,551
	1,089	Marathon Oil Corp.		57,368
	266	Murphy Oil Corp.		17,466
	324	Occidental Petroleum Corp.		33,709
	228	Peabody Energy Corp.		13,431
	430	Sunoco, Inc.		17,935
	1,871	Tesoro Corp.(b)		42,865
	1,452	Valero Energy Corp.		37,128
	499	Williams Cos., Inc. (The)		15,095
				686,943
		Paper & Forest Products — 0.6%
	860	International Paper Co.		25,645
	262	MeadWestvaco Corp.		8,727
				34,372
		Personal Products — 0.4%
	231	Estee Lauder Cos., Inc. (The), Class A		24,299
		Pharmaceuticals — 3.8%
	216	Abbott Laboratories		11,366
	481	Eli Lilly & Co.		18,052
	828	Forest Laboratories, Inc.(b)		32,574
	786	Johnson & Johnson		52,285
	307	Merck & Co., Inc.		10,834
	4,314	Pfizer, Inc.		88,868
	252	Watson Pharmaceuticals, Inc.(b)		17,320
				231,299
		Real Estate Management & Development — 0.4%
	978	CB Richard Ellis Group, Inc., Class A(b)		24,558
		REITs — Apartments — 0.3%
	26	AvalonBay Communities, Inc.		3,338

See accompanying notes to financial statements.

93  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		REITs — Apartments — continued
	253	Equity Residential	$	15,180
				18,518
		REITs — Diversified — 0.8%
	193	Plum Creek Timber Co., Inc.		7,824
	160	Vornado Realty Trust		14,909
	1,169	Weyerhaeuser Co.		25,554
				48,287
		REITs — Office Property — 0.1%
	47	Boston Properties, Inc.		4,990
		REITs — Regional Malls — 0.2%
	107	Simon Property Group, Inc.		12,437
		REITs — Shopping Centers — 0.1%
	283	Kimco Realty Corp.		5,275
		Road & Rail — 0.9%
	891	CSX Corp.		23,362
	73	Norfolk Southern Corp.		5,470
	236	Union Pacific Corp.		24,638
				53,470
		Semiconductors & Semiconductor Equipment — 3.1%
	591	Altera Corp.		27,393
	165	Analog Devices, Inc.		6,458
	1,057	Applied Materials, Inc.		13,751
	1,413	Intel Corp.		31,312
	175	KLA-Tencor Corp.		7,084
	993	LSI Corp.(b)		7,070
	188	Microchip Technology, Inc.		7,127
	2,799	Micron Technology, Inc.(b)		20,936
	345	Novellus Systems, Inc.(b)		12,468
	699	NVIDIA Corp.(b)		11,139
	1,577	Teradyne, Inc.(b)		23,340
	449	Texas Instruments, Inc.		14,741
	91	Xilinx, Inc.		3,319
				186,138
		Software — 4.3%
	183	Autodesk, Inc.(b)		7,064
	164	BMC Software, Inc.(b)		8,971
	487	CA, Inc.		11,123
	336	Citrix Systems, Inc.(b)		26,880
	706	Compuware Corp.(b)		6,890
	277	Electronic Arts, Inc.(b)		6,537
	370	Intuit, Inc.(b)		19,188
	2,576	Microsoft Corp.		66,976
	1,678	Oracle Corp.		55,223
	154	Red Hat, Inc.(b)		7,069
	158	Salesforce.com, Inc.(b)		23,539

See accompanying notes to financial statements.

|  94

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Software — continued
	1,006	Symantec Corp.(b)	$	19,838
				259,298
		Specialty Retail — 3.5%
	331	Abercrombie & Fitch Co., Class A		22,150
	628	AutoNation, Inc.(b)		22,991
	81	AutoZone, Inc.(b)		23,883
	136	Best Buy Co., Inc.		4,272
	179	CarMax, Inc.(b)		5,920
	934	GameStop Corp., Class A(b)		24,910
	321	Gap, Inc. (The)		5,810
	861	Limited Brands, Inc.		33,105
	363	Lowe’s Cos., Inc.		8,462
	1,323	RadioShack Corp.		17,609
	119	Ross Stores, Inc.		9,534
	855	Staples, Inc.		13,509
	283	Tiffany & Co.		22,221
				214,376
		Textiles, Apparel & Luxury Goods — 0.4%
	197	Coach, Inc.		12,594
	107	Polo Ralph Lauren Corp.		14,189
				26,783
		Tobacco — 1.8%
	781	Altria Group, Inc.		20,626
	123	Lorillard, Inc.		13,391
	876	Philip Morris International, Inc.		58,491
	436	Reynolds American, Inc.		16,154
				108,662
		Trading Companies & Distributors — 0.1%
	41	W.W. Grainger, Inc.		6,300
		Wireless Telecommunication Services — 1.0%
	1,795	MetroPCS Communications, Inc.(b)		30,892
	5,924	Sprint Nextel Corp.(b)		31,930
				62,822
		Total Common Stocks (Identified Cost $5,331,738)		6,058,254
		Total Investments — 99.7% (Identified Cost $5,331,738)(a)		6,058,254
		Other assets less liabilities — 0.3%		17,754
		Net Assets — 100.0%	$	6,076,008

See accompanying notes to financial statements.

91  |

Portfolio of Investments – as of June 30, 2011 (Unaudited)

Westpeak ActiveBeta^® Equity Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(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 June 30, 2011, the net unrealized appreciation on investments based on a cost of $5,331,738 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	$	806,977
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(80,461	)
	Net unrealized appreciation	$	726,516
(b)	Non-income producing security.
REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2011 (Unaudited)

Oil, Gas & Consumable Fuels	11.3	%
Health Care Providers & Services	4.8
Software	4.3
Computers & Peripherals	4.2
Media	3.9
IT Services	3.9
Pharmaceuticals	3.8
Energy Equipment & Services	3.6
Specialty Retail	3.5
Diversified Financial Services	3.3
Semiconductors & Semiconductor Equipment	3.1
Aerospace & Defense	2.9
Machinery	2.6
Diversified Telecommunication Services	2.5
Insurance	2.1
Communications Equipment	2.1
Industrial Conglomerates	2.0
Other Investments, less than 2% each	35.8
Total Investments	99.7
Other assets less liabilities	0.3
Net Assets	100.0	%

See accompanying notes to financial statements.

|  92

Statements of Assets & Liabilities

June 30, 2011 (Unaudited)

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Diversified Income Fund*
ASSETS
Investments at cost	$	832,714,209		$	123,200,509		$	63,581,180
Net unrealized appreciation		28,357,600			16,914,379			2,999,157
Investments at value		861,071,809			140,114,888			66,580,337
Cash		103,462			9,397			33,338
Foreign currency at value (identified cost $0, $0 and $21,692)		—			—			22,001
Receivable for Fund shares sold		551,777			6,701			436,517
Receivable for securities sold		16,938,743			1,854,639			426,342
Dividends and interest receivable		608,512			140,402			476,635
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			3,000
Tax reclaims receivable		—			—			2,298
TOTAL ASSETS		879,274,303			142,126,027			67,980,468
LIABILITIES
Payable for securities purchased		18,259,544			525,445			91,300
Payable for Fund shares redeemed		2,580,236			48,652			300,768
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			2,512
Management fees payable (Note 6)		475,428			90,643			30,275
Deferred Trustees’ fees (Note 6)		692,727			362,201			50,963
Administrative fees payable (Note 6)		31,711			5,191			2,538
Other accounts payable and accrued expenses		227,957			99,196			47,378
TOTAL LIABILITIES		22,267,603			1,131,328			525,734
NET ASSETS	$	857,006,700		$	140,994,699		$	67,454,734
NET ASSETS CONSIST OF:
Paid-in capital	$	760,916,287		$	144,908,050		$	84,847,619
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)		(358,716	)		(105,476	)		195,097
Accumulated net realized gain (loss) on investments and foreign currency transactions		68,091,529			(20,722,254	)		(20,589,609	)
Net unrealized appreciation on investments and foreign currency translations		28,357,600			16,914,379			3,001,627
NET ASSETS	$	857,006,700		$	140,994,699		$	67,454,734

* Formerly Natixis Income Diversified Portfolio.

See accompanying notes to financial statements.

93  |

	Natixis U.S. Multi-Cap Equity Fund**			Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund			Westpeak ActiveBeta® Equity Fund
ASSETS
Investments at cost	$	313,430,442		$	470,018,247	$	85,678,340		$	5,331,738
Net unrealized appreciation		74,913,781			74,367,740		8,139,105			726,516
Investments at value		388,344,223			544,385,987		93,817,445			6,058,254
Cash		7,048			—		—			14,723
Receivable for Fund shares sold		142,423			93,046		1,776,482			—
Receivable from investment adviser (Note 6)		—			—		—			38,089
Receivable for securities sold		2,402,112			—		350,447			—
Dividends and interest receivable		255,865			960,648		103,911			6,083
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—		—			—
Tax reclaims receivable		—			—		—			46
TOTAL ASSETS		391,151,671			545,439,681		96,048,285			6,117,195
LIABILITIES
Options written, at value (premiums received $59,875, $0, $0 and $0) (Note 2)		108,570			—		—			—
Payable for securities purchased		4,042,045			2,073,194		312,677			—
Payable for Fund shares redeemed		337,005			559,189		106,175			—
Management fees payable (Note 6)		245,231			412,383		64,429			—
Deferred Trustees’ fees (Note 6)		403,290			148,891		25,728			8,182
Administrative fees payable (Note 6)		14,139			21,130		3,427			8,082
Other accounts payable and accrued expenses		177,343			170,382		28,964			24,923
TOTAL LIABILITIES		5,327,623			3,385,169		541,400			41,187
NET ASSETS	$	385,824,048		$	542,054,512	$	95,506,885		$	6,076,008
NET ASSETS CONSIST OF:
Paid-in capital	$	307,268,811		$	406,239,830	$	81,589,962		$	5,071,076
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)		(1,242,140	)		515,426		(74,644	)		19,548
Accumulated net realized gain (loss) on investments, options written and foreign currency transactions		4,932,291			60,931,516		5,852,462			258,868
Net unrealized appreciation on investments, options written and foreign currency translations		74,865,086			74,367,740		8,139,105			726,516
NET ASSETS	$	385,824,048		$	542,054,512	$	95,506,885		$	6,076,008

** Formerly Natixis U.S. Diversified Portfolio.

See accompanying notes to financial statements.

|  94

Statements of Assets & Liabilities (continued)

June 30, 2011 (Unaudited)

	CGM Advisor Targeted  Equity Fund		Harris Associates Large Cap  Value Fund		Natixis Diversified Income Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	663,945,562	$	120,575,649	$	38,237,115
Shares of beneficial interest		61,859,111		8,074,156		3,487,850
Net asset value and redemption price per share	$	10.73	$	14.93	$	10.96
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	11.38	$	15.84	$	11.48
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	7,660,126	$	4,504,379	$	—
Shares of beneficial interest		796,108		328,252		—
Net asset value and offering price per share	$	9.62	$	13.72	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	68,339,258	$	6,813,221	$	29,217,619
Shares of beneficial interest		7,138,293		498,236		2,671,555
Net asset value and offering price per share	$	9.57	$	13.67	$	10.94
Class Y shares:
Net assets	$	117,061,754	$	9,101,450	$	—
Shares of beneficial interest		10,631,139		588,968		—
Net asset value, offering and redemption price per share	$	11.01	$	15.45	$	—

See accompanying notes to financial statements.

95  |

	Natixis U.S. Multi-Cap Equity Fund		Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund		Westpeak ActiveBeta® Equity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	328,384,248	$	297,231,977	$	20,093,899	$	1,210
Shares of beneficial interest		12,162,521		12,774,067		1,224,472		101
Net asset value and redemption price per share	$	27.00	$	23.27	$	16.41	$	11.98
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	28.65	$	24.69	$	17.41	$	12.71
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	23,127,860	$	6,538,407	$	—	$	—
Shares of beneficial interest		1,001,846		326,284		—		—
Net asset value and offering price per share	$	23.09	$	20.04	$	—	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	32,585,864	$	37,874,377	$	2,093,824	$	1,206
Shares of beneficial interest		1,410,931		1,889,587		129,178		101
Net asset value and offering price per share	$	23.10	$	20.04	$	16.21	$	11.94
Class Y shares:
Net assets	$	1,726,076	$	200,409,751	$	73,319,162	$	6,073,592
Shares of beneficial interest		59,252		8,499,043		4,448,792		506,181
Net asset value, offering and redemption price per share	$	29.13	$	23.58	$	16.48	$	12.00

See accompanying notes to financial statements.

|  96

Statements of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Diversified Income Fund*
INVESTMENT INCOME
Dividends	$	5,874,941		$	1,212,107		$	572,102
Interest		4,816			—			1,046,282
Less net foreign taxes withheld		(222,466	)		(707	)		(1,704	)
		5,657,291			1,211,400			1,616,680
Expenses
Management fees (Note 6)		3,202,331			500,036			179,211
Service and distribution fees (Note 6)		1,315,187			212,526			186,885
Administrative fees (Note 6)		216,352			33,160			15,123
Trustees’ fees and expenses (Note 6)		34,144			18,709			9,897
Transfer agent fees and expenses (Note 6)		438,226			118,427			18,014
Audit and tax services fees		25,003			21,340			23,396
Custodian fees and expenses		23,934			11,845			18,547
Legal fees		8,146			1,201			571
Registration fees		37,475			29,526			19,062
Shareholder reporting expenses		18,001			6,202			1,036
Miscellaneous expenses		17,080			5,793			5,057
Total expenses		5,335,879			958,765			476,799
Fee/expense recovery (Note 6)		—			3,824			—
Net expenses		5,335,879			962,589			476,799
Net investment income (loss)		321,412			248,811			1,139,881
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		195,992,393			1,042,899			626,076
Foreign currency transactions		—			—			(4,543	)
Net change in unrealized appreciation (depreciation) on:
Investments		(229,984,041	)		6,277,693			2,595,441
Foreign currency translations		—			—			6,572
Net realized and unrealized gain (loss) on investments and foreign currency transactions		(33,991,648	)		7,320,592			3,223,546
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(33,670,236	)	$	7,569,403		$	4,363,427

* Formerly Natixis Income Diversified Portfolio.

See accompanying notes to financial statements.

97  |

	Natixis U.S. Multi-Cap Equity Fund**			Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund			Westpeak ActiveBeta® Equity Fund
INVESTMENT INCOME
Dividends	$	1,997,138		$	4,465,083		$	400,692		$	51,825
Less net foreign taxes withheld		(502	)		—			—			(26	)
		1,996,636			4,465,083			400,692			51,799
Expenses
Management fees (Note 6)		1,691,522			2,618,280			295,720			17,879
Service and distribution fees (Note 6)		693,687			605,268			28,758			7
Administrative fees (Note 6)		88,822			135,033			17,141			49,589
Trustees’ fees and expenses (Note 6)		21,777			16,616			9,175			8,200
Transfer agent fees and expenses (Note 6)		291,462			329,000			24,297			66
Audit and tax services fees		30,353			20,390			19,725			20,489
Custodian fees and expenses		27,075			18,089			12,562			8,884
Legal fees		3,407			4,633			499			51
Registration fees		29,056			34,920			29,070			40,144
Shareholder reporting expenses		13,122			14,013			7,429			1,500
Miscellaneous expenses		11,595			11,283			4,629			1,630
Total expenses		2,901,878			3,807,525			449,005			148,439
Fee/expense recovery (Note 6)		—			—			4,915			—
Less waiver and/or expense reimbursement (Note 6)		(59,291	)		—			—			(120,123	)
Net expenses		2,842,587			3,807,525			453,920			28,316
Net investment income (loss)		(845,951	)		657,558			(53,228	)		23,483
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		43,549,940			64,899,400			6,206,055			262,591
Options written		(52,633	)		—			—			—
Foreign currency transactions		4,555			—			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		(16,030,108	)		(30,897,251	)		156,206			67,472
Options written		(48,695	)		—			—			—
Foreign currency translations		(99	)		—			—			—
Net realized and unrealized gain (loss) on investments, options written and foreign currency transactions		27,422,960			34,002,149			6,362,261			330,063
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	26,577,009		$	34,659,707		$	6,309,033		$	353,546

** Formerly Natixis U.S. Diversified Portfolio.

See accompanying notes to financial statements.

|  98

Statements of Changes In Net Assets

	CGM Advisor Targeted Equity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	321,412		$	4,542,096
Net realized gain (loss) on investments		195,992,393			145,665,093
Net change in unrealized appreciation (depreciation) on investments		(229,984,041	)		3,002,654
Net increase (decrease) in net assets resulting from operations		(33,670,236	)		153,209,843
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(3,682,006	)
Class B		—			(375	)
Class C		—			(2,612	)
Class Y		—			(963,306	)
Total distributions		—			(4,648,299	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(91,696,224	)		(212,514,662	)
Net increase (decrease) in net assets		(125,366,460	)		(63,953,118	)
NET ASSETS
Beginning of the period		982,373,160			1,046,326,278
End of the period	$	857,006,700		$	982,373,160
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(358,716	)	$	(680,128	)

See accompanying notes to financial statements.

99  |

	Harris Associates Large Cap Value Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	248,811		$	401,990
Net realized gain (loss) on investments		1,042,899			(1,313,526	)
Net change in unrealized appreciation (depreciation) on investments		6,277,693			17,456,589
Net increase (decrease) in net assets resulting from operations		7,569,403			16,545,053
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(32,259	)		(471,512	)
Class B		(1,388	)		(7,875	)
Class C		(2,052	)		(8,448	)
Class Y		(2,385	)		(58,296	)
Total distributions		(38,084	)		(546,131	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(8,073,973	)		(10,294,109	)
Net increase (decrease) in net assets		(542,654	)		5,704,813
NET ASSETS
Beginning of the period		141,537,353			135,832,540
End of the period	$	140,994,699		$	141,537,353
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(105,476	)	$	(316,203	)

See accompanying notes to financial statements.

|  100

Statements of Changes In Net Assets (continued)

	Natixis Diversified Income Fund*
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	1,139,881		$	1,898,058
Net realized gain (loss) on investments and foreign currency transactions		621,533			966,526
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		2,602,013			6,183,219
Net increase (decrease) in net assets resulting from operations		4,363,427			9,047,803
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(651,728	)		(1,156,917	)
Class C		(388,118	)		(644,276	)
Total distributions		(1,039,846	)		(1,801,193	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		989,231			(3,201,800	)
Net increase (decrease) in net assets		4,312,812			4,044,810
NET ASSETS
Beginning of the period		63,141,922			59,097,112
End of the period	$	67,454,734		$	63,141,922
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	195,097		$	95,062

* Formerly Natixis Income Diversified Portfolio.

See accompanying notes to financial statements.

101  |

	Natixis U.S. Multi-Cap Equity Fund**
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(845,951	)	$	4,989
Net realized gain (loss) on investments, options written and foreign currency transactions		43,501,862			40,357,533
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations		(16,078,902	)		28,130,781
Net increase (decrease) in net assets resulting from operations		26,577,009			68,493,303
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(487,074	)
Class Y		—			(4,611	)
Total distributions		—			(491,685	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(16,152,954	)		(44,819,314	)
Increase from regulatory settlements		—			61,116
Net increase (decrease) in net assets		10,424,055			23,243,420
NET ASSETS
Beginning of the period		375,399,993			352,156,573
End of the period	$	385,824,048		$	375,399,993
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(1,242,140	)	$	(396,189	)

** Formerly Natixis U.S. Diversified Portfolio.

See accompanying notes to financial statements.

|  102

Statements of Changes In Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	657,558		$	91,305
Net realized gain (loss) on investments		64,899,400			119,759,809
Net change in unrealized appreciation (depreciation) on investments		(30,897,251	)		(2,048,591	)
Net increase (decrease) in net assets resulting from operations		34,659,707			117,802,523
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(11,541,362	)		(49,985,276	)
Class B		(302,541	)		(1,639,642	)
Class C		(1,676,130	)		(7,933,438	)
Class Y		(8,809,381	)		(40,435,533	)
Total distributions		(22,329,414	)		(99,993,889	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(1,623,173	)		(92,687,439	)
Increase from regulatory settlements		—			493,744
Net increase (decrease) in net assets		10,707,120			(74,385,061	)
NET ASSETS
Beginning of the period		531,347,392			605,732,453
End of the period	$	542,054,512		$	531,347,392
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	515,426		$	(142,132	)

See accompanying notes to financial statements.

103  |

	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(53,228	)	$	293,964
Net realized gain (loss) on investments		6,206,055			(366,346	)
Net change in unrealized appreciation (depreciation) on investments		156,206			7,380,666
Net increase (decrease) in net assets resulting from operations		6,309,033			7,308,284
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(53,709	)
Class C		—			(2,143	)
Class Y		—			(226,813	)
Net realized capital gains
Class A		—			(13,079	)
Class C		—			(823	)
Class Y		—			(51,747	)
Distributions from paid-in capital
Class A		—			(44,021	)
Class C		—			(1,747	)
Class Y		—			(186,046	)
Total distributions		—			(580,128	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		36,391,083			33,438,367
Net increase (decrease) in net assets		42,700,116			40,166,523
NET ASSETS
Beginning of the period		52,806,769			12,640,246
End of the period	$	95,506,885		$	52,806,769
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(74,644	)	$	(21,416	)

See accompanying notes to financial statements.

|  104

Statements of Changes In Net Assets (continued)

	Westpeak ActiveBeta® Equity Fund
	Six Months Ended June 30, 2011 (Unaudited)			Period Ended December 31, 2010(a)
FROM OPERATIONS:
Net investment income (loss)	$	23,483		$	25,178
Net realized gain (loss) on investments		262,591			36,238
Net change in unrealized appreciation (depreciation) on investments		67,472			659,044
Net increase (decrease) in net assets resulting from operations		353,546			720,460
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—	(b)		(5	)
Class C		—	(b)		(1	)
Class Y		(1,257	)		(29,250	)
Net realized capital gains
Class A		(8	)		—
Class C		(8	)		—
Class Y		(41,465	)		—
Total distributions		(42,738	)		(29,256	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		42,738			5,031,258
Net increase (decrease) in net assets		353,546			5,722,462
NET ASSETS
Beginning of the period		5,722,462			—
End of the period	$	6,076,008		$	5,722,462
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	19,548		$	(2,678	)

(a) From commencement of operations on July 30, 2010 through December 31, 2010.

(b) Amount rounds to less than $1.00.

See accompanying notes to financial statements.

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|  106

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
6/30/2011(g)	$	11.12	$	0.01		$	(0.40	)	$	(0.39	)	$	—		$	—		$	—
12/31/2010		9.54		0.05	(h)		1.58			1.63			(0.05	)		—			(0.05	)
12/31/2009		7.66		0.05			1.88			1.93			(0.05	)		—			(0.05	)
12/31/2008		13.01		0.09			(4.94	)		(4.85	)		(0.06	)		(0.44	)		(0.50	)
12/31/2007		10.70		0.05			3.54			3.59			(0.13	)		(1.15	)		(1.28	)
12/31/2006		10.22		0.08			0.78			0.86			(0.07	)		(0.31	)		(0.38	)
Class B
6/30/2011(g)		10.01		(0.03	)		(0.36	)		(0.39	)		—			—			—
12/31/2010		8.61		(0.02	)(h)		1.42			1.40			(0.00	)		—			(0.00	)
12/31/2009		6.92		(0.01	)		1.70			1.69			—			—			—
12/31/2008		11.81		(0.00	)		(4.45	)		(4.45	)		(0.00	)		(0.44	)		(0.44	)
12/31/2007		9.84		(0.04	)		3.24			3.20			(0.08	)		(1.15	)		(1.23	)
12/31/2006		9.48		0.00			0.74			0.74			(0.07	)		(0.31	)		(0.38	)
Class C
6/30/2011(g)		9.96		(0.03	)		(0.36	)		(0.39	)		—			—			—
12/31/2010		8.57		(0.02	)(h)		1.41			1.39			(0.00	)		—			(0.00	)
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		—			(0.00	)
12/31/2008		11.79		0.02			(4.46	)		(4.44	)		(0.02	)		(0.44	)		(0.46	)
12/31/2007		9.84		(0.03	)		3.22			3.19			(0.09	)		(1.15	)		(1.24	)
12/31/2006		9.48		0.00			0.74			0.74			(0.07	)		(0.31	)		(0.38	)
Class Y
6/30/2011(g)		11.40		0.02			(0.41	)		(0.39	)		—			—			—
12/31/2010		9.78		0.07	(h)		1.63			1.70			(0.08	)		—			(0.08	)
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		—			(0.08	)
12/31/2008		13.32		0.13			(5.09	)		(4.96	)		(0.08	)		(0.44	)		(0.52	)
12/31/2007		10.93		0.09			3.61			3.70			(0.16	)		(1.15	)		(1.31	)
12/31/2006		10.42		0.11			0.82			0.93			(0.11	)		(0.31	)		(0.42	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2011 (Unaudited).

See accompanying notes to financial statements.

107  |

										Ratios to  Average Net Assets:
Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—		$	10.73		(3.51	)	$	663,946		1.11		1.11		0.10			118
	—			11.12		17.14			753,518		1.16		1.16		0.52	(h)		146
	—			9.54		25.19			693,386		1.19		1.19		0.69			170
	0.00	(i)		7.66		(38.36	)		796,146		1.10		1.10		0.83			211
	0.00			13.01		34.42			826,867		1.17		1.17		0.45			179
	0.00			10.70		8.52			679,897		1.16		1.16		0.76			171
	—			9.62		(3.90	)		7,660		1.86		1.86		(0.65	)		118
	—			10.01		16.26			9,934		1.91		1.91		(0.28	)(h)		146
	—			8.61		24.42			12,401		1.94		1.94		(0.11	)		170
	0.00	(i)		6.92		(38.90	)		13,971		1.85		1.85		(0.03	)		211
	0.00			11.81		33.41			32,297		1.92		1.92		(0.34	)		179
	0.00			9.84		7.83			43,032		1.91		1.91		0.02			171
	—			9.57		(3.92	)		68,339		1.86		1.86		(0.65	)		118
	—			9.96		16.22			81,291		1.91		1.91		(0.23	)(h)		146
	—			8.57		24.42			75,098		1.95		1.95		(0.14	)		170
	0.00	(i)		6.89		(38.85	)		59,544		1.85		1.85		0.17			211
	0.00			11.79		33.47			19,753		1.93		1.93		(0.24	)		179
	0.00			9.84		7.72			8,688		1.90		1.90		0.04			171
	—			11.01		(3.42	)		117,062		0.86		0.86		0.35			118
	—			11.40		17.39			137,631		0.91		0.91		0.69	(h)		146
	—			9.78		25.75			265,441		0.94		0.94		0.64			170
	0.00	(i)		7.84		(38.28	)		44,240		0.85		0.85		1.21			211
	0.00			13.32		34.75			17,520		0.90		0.90		0.74			179
	0.00			10.93		8.99			11,714		0.87		0.87		1.05			171

(h) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  108

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains		Total distributions (b)
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Class A
6/30/2011(g)	$	14.17	$	0.03		$	0.73		$	0.76		$	(0.00	)	$	—	$	(0.00	)
12/31/2010		12.58		0.05			1.60			1.65			(0.06	)		—		(0.06	)
12/31/2009		8.77		0.05	(i)		3.81			3.86			(0.05	)		—		(0.05	)
12/31/2008		14.97		0.13			(6.20	)		(6.07	)		(0.13	)		—		(0.13	)
12/31/2007		15.49		0.05			(0.48	)(j)		(0.43	)		(0.09	)		—		(0.09	)
12/31/2006		13.33		0.06			2.13			2.19			(0.03	)		—		(0.03	)
Class B
6/30/2011(g)		13.07		(0.02	)		0.67			0.65			(0.00	)		—		(0.00	)
12/31/2010		11.65		(0.05	)		1.48			1.43			(0.01	)		—		(0.01	)
12/31/2009		8.16		(0.02	)(i)		3.52			3.50			(0.01	)		—		(0.01	)
12/31/2008		13.84		0.03			(5.70	)		(5.67	)		(0.01	)		—		(0.01	)
12/31/2007		14.39		(0.06	)		(0.45	)(j)		(0.51	)		(0.04	)		—		(0.04	)
12/31/2006		12.48		(0.04	)		1.98			1.94			(0.03	)		—		(0.03	)
Class C
6/30/2011(g)		13.02		(0.02	)		0.67			0.65			(0.00	)		—		(0.00	)
12/31/2010		11.61		(0.05	)		1.47			1.42			(0.01	)		—		(0.01	)
12/31/2009		8.13		(0.02	)(i)		3.51			3.49			(0.01	)		—		(0.01	)
12/31/2008		13.82		0.03			(5.69	)		(5.66	)		(0.03	)		—		(0.03	)
12/31/2007		14.37		(0.06	)		(0.45	)(j)		(0.51	)		(0.04	)		—		(0.04	)
12/31/2006		12.46		(0.04	)		1.98			1.94			(0.03	)		—		(0.03	)
Class Y
6/30/2011(g)		14.65		0.05			0.75			0.80			(0.00	)		—		(0.00	)
12/31/2010		12.99		0.08			1.67			1.75			(0.09	)		—		(0.09	)
12/31/2009		9.05		0.08	(i)		3.93			4.01			(0.07	)		—		(0.07	)
12/31/2008		15.47		0.19			(6.42	)		(6.23	)		(0.19	)		—		(0.19	)
12/31/2007		16.01		0.12			(0.51	)(j)		(0.39	)		(0.15	)		—		(0.15	)
12/31/2006		13.72		0.12			2.20			2.32			(0.03	)		—		(0.03	)

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

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

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

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

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

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

See accompanying notes to financial statements.

109  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$   —	$	14.93		5.39		$	120,576		1.30	(h)		1.30	(h)		0.40			19
	—		14.17		13.08			118,938		1.30			1.39			0.36			32
	0.00		12.58		44.03			113,309		1.30			1.50			0.53			131
	—		8.77		(40.45	)		85,761		1.28			1.28			1.04			38
	—		14.97		(2.94	)		172,468		1.28	(k)(l)		1.28	(k)		0.35			30
	—		15.49		16.50			195,714		1.30			1.30			0.44			23
	—		13.72		5.00			4,504		2.05	(h)		2.05	(h)		(0.37	)		19
	—		13.07		12.31			5,614		2.05			2.13			(0.40	)		32
	0.00		11.65		42.88			7,864		2.05			2.25			(0.22	)		131
	—		8.16		(40.87	)		8,191		2.03			2.04			0.25			38
	—		13.84		(3.68	)		23,916		2.04	(k)(l)		2.04	(k)		(0.44	)		30
	—		14.39		15.61			42,894		2.05			2.07			(0.33	)		23
	—		13.67		5.02			6,813		2.05	(h)		2.05	(h)		(0.36	)		19
	—		13.02		12.26			7,399		2.05			2.14			(0.39	)		32
	0.00		11.61		42.91			7,208		2.05			2.25			(0.22	)		131
	—		8.13		(40.90	)		6,222		2.03			2.03			0.26			38
	—		13.82		(3.69	)		15,616		2.04	(k)(l)		2.04	(k)		(0.41	)		30
	—		14.37		15.64			18,089		2.05			2.06			(0.32	)		23
	—		15.45		5.49			9,101		1.05	(h)		1.05	(h)		0.64			19
	—		14.65		13.47			9,586		1.05			1.14			0.61			32
	0.00		12.99		44.39			7,450		1.05			1.12			0.77			131
	—		9.05		(40.18	)		5,842		0.84			0.84			1.47			38
	—		15.47		(2.59	)		11,840		0.91	(l)		0.91			0.72			30
	—		16.01		16.97			14,057		0.91	(k)		0.91	(k)		0.82			23

(g) For the six months ended June 30, 2011 (Unaudited).

(h) Includes fee/expense recovery of 0.01%, less than 0.01%, 0.01% and 0.01% for Class A, B, C and Y, respectively.

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

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

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

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

See accompanying notes to financial statements.

|  110

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
NATIXIS DIVERSIFIED INCOME FUND*
Class A
6/30/2011(f)	$	10.41	$	0.20	$	0.54		$	0.74		$	(0.19	)	$	—		$	(0.19	)
12/31/2010		9.22		0.34		1.18			1.52			(0.33	)		—			(0.33	)
12/31/2009		7.18		0.36		1.97			2.33			(0.29	)		—			(0.29	)
12/31/2008		10.26		0.47		(2.96	)		(2.49	)		(0.49	)		(0.10	)		(0.59	)
12/31/2007		11.15		0.41		(0.71	)		(0.30	)		(0.45	)		(0.14	)		(0.59	)
12/31/2006		10.07		0.29		1.12			1.41			(0.32	)		(0.01	)		(0.33	)
Class C
6/30/2011(f)		10.39		0.16		0.54			0.70			(0.15	)		—			(0.15	)
12/31/2010		9.20		0.27		1.17			1.44			(0.25	)		—			(0.25	)
12/31/2009		7.17		0.30		1.97			2.27			(0.24	)		—			(0.24	)
12/31/2008		10.24		0.40		(2.95	)		(2.55	)		(0.42	)		(0.10	)		(0.52	)
12/31/2007		11.12		0.33		(0.70	)		(0.37	)		(0.37	)		(0.14	)		(0.51	)
12/31/2006		10.07		0.22		1.09			1.31			(0.25	)		(0.01	)		(0.26	)

* Formerly Natixis Income Diversified Portfolio.

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

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

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

See accompanying notes to financial statements.

111  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)			Net assets, end of the period (000’s)		Net expenses (%) (d)(e)			Gross expenses (%) (e)			Net investment income (%) (e)		Portfolio turnover rate (%)
$	10.96		7.12		$	38,237		1.14			1.14			3.82		10
	10.41		16.73			35,787		1.19			1.19			3.51		28
	9.22		33.32			33,796		1.21			1.21			4.67		22
	7.18		(25.26	)		31,709		1.09			1.10			5.10		23
	10.26		(2.80	)		54,733		1.08	(g)		1.09	(g)		3.76		50
	11.15		14.24			37,117		1.25			1.30			2.72		52
	10.94		6.74			29,218		1.89			1.89			3.07		10
	10.39		15.90			27,355		1.94			1.94			2.76		28
	9.20		32.24			25,301		1.96			1.96			3.90		22
	7.17		(25.78	)		30,336		1.84			1.84			4.30		23
	10.24		(3.52	)		70,179		1.83	(g)		1.84	(g)		3.00		50
	11.12		13.33			49,027		2.00			2.05			2.02		52

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

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

 (f) For the six months ended June 30, 2011 (Unaudited).

(g) Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

|  112

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
NATIXIS U.S. MULTI-CAP EQUITY FUND*
Class A
6/30/2011(g)	$	25.17	$	(0.04	)	$	1.87		$	1.83		$	—		$	—		$	—
12/31/2010		20.68		0.03	(i)		4.50			4.53			(0.04	)		—			(0.04	)
12/31/2009		15.16		(0.01	)		5.53			5.52			—			—			—
12/31/2008		25.76		0.02	(j)		(10.20	)		(10.18	)		—			(0.42	)		(0.42	)
12/31/2007		22.94		(0.06	)		3.19			3.13			—			(0.31	)		(0.31	)
12/31/2006		20.17		0.04			2.73			2.77			—			—			—
Class B
6/30/2011(g)		21.60		(0.12	)		1.61			1.49			—			—			—
12/31/2010		17.85		(0.12	)(i)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.78			4.66			—			—			—
12/31/2008		22.63		(0.13	)(j)		(8.89	)		(9.02	)		—			(0.42	)		(0.42	)
12/31/2007		20.33		(0.22	)		2.83			2.61			—			(0.31	)		(0.31	)
12/31/2006		18.01		(0.11	)		2.43			2.32			—			—			—
Class C
6/30/2011(g)		21.61		(0.12	)		1.61			1.49			—			—			—
12/31/2010		17.86		(0.12	)(i)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.79			4.67			—			—			—
12/31/2008		22.65		(0.13	)(j)		(8.91	)		(9.04	)		—			(0.42	)		(0.42	)
12/31/2007		20.36		(0.22	)		2.82			2.60			—			(0.31	)		(0.31	)
12/31/2006		18.03		(0.11	)		2.44			2.33			—			—			—
Class Y
6/30/2011(g)		27.12		(0.01	)		2.02			2.01			—			—			—
12/31/2010		22.27		0.05	(i)		4.90			4.95			(0.10	)		—			(0.10	)
12/31/2009		16.29		0.04			5.94			5.98			—			—			—
12/31/2008		27.58		0.07	(j)		(10.94	)		(10.87	)		—			(0.42	)		(0.42	)
12/31/2007		24.45		0.03			3.41			3.44			—			(0.31	)		(0.31	)
12/31/2006		21.41		0.14			2.90			3.04			—			—			—

* Formerly Natixis U.S. Diversified Portfolio.

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

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

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

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

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

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

See accompanying notes to financial statements.

113  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
$	—	$	27.00		7.27		$	328,384		1.37	(h)		1.40		(0.33	)		55
	0.00		25.17		21.90			314,384		1.40			1.50		0.14	(i)		79
	—		20.68		36.41			280,846		1.40			1.56		(0.05	)		115
	—		15.16		(40.05	)		228,549		1.43			1.43		0.08			110
	—		25.76		13.69			407,228		1.47			1.47		(0.24	)		82
	—		22.94		13.68			393,430		1.46			1.46		0.17			83
	—		23.09		6.90			23,128		2.13	(h)		2.16		(1.10	)		55
	0.00		21.60		21.01			28,787		2.15			2.25		(0.66	)(i)		79
	—		17.85		35.33			37,406		2.15			2.31		(0.80	)		115
	—		13.19		(40.47	)		40,868		2.18			2.19		(0.70	)		110
	—		22.63		12.83			119,028		2.21			2.21		(1.00	)		82
	—		20.33		12.88			147,819		2.22			2.22		(0.60	)		83
	—		23.10		6.90			32,586		2.12	(h)		2.15		(1.08	)		55
	0.00		21.61		21.00			30,912		2.15			2.25		(0.62	)(i)		79
	—		17.86		35.41			28,580		2.15			2.31		(0.80	)		115
	—		13.19		(40.53	)		24,079		2.18			2.18		(0.68	)		110
	—		22.65		12.82			47,239		2.22			2.22		(0.99	)		82
	—		20.36		12.87			46,064		2.22			2.22		(0.59	)		83
	—		29.13		7.41			1,726		1.12	(h)		1.17		(0.06	)		55
	0.00		27.12		22.21			1,317		1.15			1.24		0.22	(i)		79
	—		22.27		36.71			5,325		1.15			1.22		0.20			115
	—		16.29		(39.89	)		5,611		1.17			1.23		0.31			110
	—		27.58		14.02			16,649		1.12			1.12		0.10			82
	—		24.45		14.20			21,155		1.03			1.03		0.60			83

(g) For the six months ended June 30, 2011 (Unaudited).

(h) Effective June 1, 2011, the expense limit decreased to 1.30%. 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively.

(i) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  114

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
6/30/2011(g)	$	22.69	$	0.02		$	1.45		$	1.47		$	—		$	(0.89	)	$	(0.89	)
12/31/2010		22.31		(0.01	)		5.27			5.26			—			(4.90	)		(4.90	)
12/31/2009		17.42		0.05	(h)		4.88			4.93			(0.04	)		—			(0.04	)
12/31/2008		22.11		0.03			(4.69	)		(4.66	)		—			(0.03	)		(0.03	)
12/31/2007		20.90		(0.02	)		1.23			1.21			—			—			—
12/31/2006		17.69		(0.05	)		3.26			3.21			—			—			—
Class B
6/30/2011(g)		19.73		(0.06	)		1.26			1.20			—			(0.89	)		(0.89	)
12/31/2010		20.06		(0.17	)		4.72			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.09	)(h)		4.39			4.30			—			—			—
12/31/2008		20.15		(0.14	)		(4.22	)		(4.36	)		—			(0.03	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.13			0.96			—			—			—
12/31/2006		16.36		(0.20	)		3.03			2.83			—			—			—
Class C
6/30/2011(g)		19.74		(0.06	)		1.25			1.19			—			(0.89	)		(0.89	)
12/31/2010		20.07		(0.16	)		4.71			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.08	)(h)		4.39			4.31			—			—			—
12/31/2008		20.16		(0.13	)		(4.24	)		(4.37	)		—			(0.30	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.14			0.97			—			—			—
12/31/2006		16.37		(0.19	)		3.01			2.82			—			—			—
Class Y
6/30/2011(g)		22.96		0.05			1.46			1.51			—			(0.89	)		(0.89	)
12/31/2010		22.47		0.06			5.31			5.37			—			(4.90	)		(4.90	)
12/31/2009		17.55		0.12	(h)		4.90			5.02			(0.10	)		—			(0.10	)
12/31/2008		22.20		0.12			(4.74	)		(4.62	)		—			(0.03	)		(0.03	)
12/31/2007		20.91		0.04			1.25			1.29			—			—			—
12/31/2006(l)		19.02		0.02			1.87			1.89			—			—			—

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

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

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

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

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

See accompanying notes to financial statements.

115  |

												Ratios to Average Net Assets:
Increase from regulatory settlements		Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	—		$	23.27		6.47		$	297,232		1.35			1.35			0.19			48
	0.02		—			22.69		23.67			267,192		1.41			1.41			(0.03	)		80
	—		—			22.31		28.30			322,961		1.45			1.49			0.27			102
	—		0.00	(i)		17.42		(21.11	)		171,875		1.45			1.51			0.13			124
	—		0.00			22.11		5.84			103,719		1.49			1.57			(0.11	)		78
	—		0.00			20.90		18.09			85,285		1.59			1.59			(0.28	)		88
	—		—			20.04		6.07			6,538		2.10			2.10			(0.63	)		48
	0.02		—			19.73		22.78			7,996		2.16			2.16			(0.78	)		80
	—		—			20.06		27.28			10,630		2.20			2.24			(0.56	)		102
	—		0.00	(i)		15.76		(21.67	)		11,788		2.20			2.26			(0.78	)		124
	—		0.00			20.15		5.06			25,076		2.24			2.31			(0.84	)		78
	—		0.00			19.19		17.24			32,606		2.37			2.37			(1.10	)		88
	—		—			20.04		6.01			37,874		2.10			2.10			(0.58	)		48
	0.02		—			19.74		22.78			38,855		2.16			2.16			(0.76	)		80
	—		—			20.07		27.35			39,238		2.20			2.24			(0.48	)		102
	—		0.00	(i)		15.76		(21.71	)		21,861		2.20			2.26			(0.68	)		124
	—		0.00			20.16		5.05			21,765		2.24			2.32			(0.85	)		78
	—		0.00			19.19		17.23			18,186		2.35			2.35			(1.04	)		88
	—		—			23.58		6.57			200,410		1.10			1.10			0.43			48
	0.02		—			22.96		24.00			217,305		1.16			1.16			0.24			80
	—		—			22.47		28.61			232,903		1.18	(j)		1.18	(j)		0.60			102
	—		0.00	(i)		17.55		(20.81	)		71,568		1.20			1.21			0.65			124
	—		0.00			22.20		6.12			1,241		1.19	(k)		1.19	(k)		0.17			78
	—		0.00			20.91		9.94			427		1.35			1.90			0.35			88

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

(g) For the six months ended June 30, 2011 (Unaudited).

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

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

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

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

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

See accompanying notes to financial statements.

|  116

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Distributions from paid-in capital			Total distributions
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
6/30/2011(g)	$	14.75	$	(0.03	)	$	1.69		$	1.66		$	—		$	—		$	—		$	—
12/31/2010		12.46		0.08	(i)		2.36			2.44			(0.07	)		(0.02	)		(0.06	)		(0.15	)
12/31/2009		9.60		0.09			2.88			2.97			(0.04	)		(0.07	)		—			(0.11	)
12/31/2008(j)		10.00		0.03			(0.41	)		(0.38	)		(0.02	)		—			—			(0.02	)
Class C
6/30/2011(g)		14.63		(0.08	)		1.66			1.58			—			—			—			—
12/31/2010		12.39		(0.03	)(i)		2.36			2.33			(0.04	)		(0.02	)		(0.03	)		(0.09	)
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		—			(0.07	)
12/31/2008(j)		10.00		0.02			(0.41	)		(0.39	)		(0.02	)		—			—			(0.02	)
Class Y
6/30/2011(g)		14.80		(0.01	)		1.69			1.68			—			—			—			—
12/31/2010		12.49		0.12	(i)		2.37			2.49			(0.09	)		(0.02	)		(0.07	)		(0.18	)
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		—			(0.11	)
12/31/2008(j)		10.00		0.03			(0.40	)		(0.37	)		(0.03	)		—			—			(0.03	)

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

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

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

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

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

See accompanying notes to financial statements.

117  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	16.41		11.25		$	20,094		1.40	(h)		1.40	(h)		(0.32	)		36
	14.75		19.64			11,268		1.40			1.69			0.62	(i)		143
	12.46		30.98			3,645		1.40			5.24			0.79			45
	9.60		(3.75	)		16		1.40			39.61			1.92			12
	16.21		10.80			2,094		2.15	(h)		2.15	(h)		(1.04	)		36
	14.63		18.85			824		2.15			2.46			(0.23	)(i)		143
	12.39		30.01			370		2.15			8.54			(0.14	)		45
	9.59		(3.90	)		41		2.15			40.36			1.62			12
	16.48		11.35			73,319		1.15	(h)		1.15	(h)		(0.07	)		36
	14.80		19.96			40,715		1.15			1.43			0.92	(i)		143
	12.49		31.37			8,626		1.15			7.22			0.90			45
	9.60		(3.74	)		960		1.15			38.91			1.41			12

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

(g) For the six months ended June 30, 2011 (Unaudited).

(h) Includes fee/expense recovery of 0.01%.

(i) Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  118

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:							Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain		Total from investment operations		Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
WESTPEAK ACTIVEBETA® EQUITY FUND
Class A
6/30/2011(g)	$	11.38	$	0.03		$	0.65	$	0.68	$	(0.00	)	$	(0.08	)	$	(0.08	)
12/31/2010(h)		10.00		0.04			1.39		1.43		(0.05	)		—			(0.05	)
Class C
6/30/2011(g)		11.38		(0.02	)		0.66		0.64		(0.00	)		(0.08	)		(0.08	)
12/31/2010(h)		10.00		0.01			1.38		1.39		(0.01	)		—			(0.01	)
Class Y
6/30/2011(g)		11.38		0.05			0.65		0.70		(0.00	)		(0.08	)		(0.08	)
12/31/2010(h)		10.00		0.05			1.39		1.44		(0.06	)		—			(0.06	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2011 (Unaudited).

(h) For the period July 30, 2010 (inception) through December 31, 2010.

See accompanying notes to financial statements.

119  |

						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)		Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
$	11.98		6.02	$	1		1.20		5.04		0.54			40
	11.38		14.28		1		1.20		5.55		0.90			34
	11.94		5.67		1		1.95		5.91		(0.20	)		40
	11.38		13.94		1		1.95		6.31		0.14			34
	12.00		6.20		6,074		0.95		4.98		0.79			40
	11.38		14.39		5,720		0.95		5.34		1.13			34

See accompanying notes to financial statements.

|  120

Notes to Financial Statements

June 30, 2011 (Unaudited)

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

Natixis Funds Trust I:

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

Natixis Diversified Income Fund (formerly Natixis Income Diversified Portfolio) (the “Diversified Income Fund”)

Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) (the “U.S. Multi-Cap Equity Fund”)

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

Natixis Funds Trust II:

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

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

Westpeak ActiveBeta^® Equity Fund (the “ActiveBeta Equity Fund”)

Each Fund is a diversified investment company.

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

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

Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Diversified Income Fund which is sold with a maximum front-end sales charge of 4.50%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

121  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Most expenses of the Trusts can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent

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pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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c.  Foreign Currency Translation.  The books and records of the Funds 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies the 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 Funds’ or counterparty’s net obligations under the contracts.

e.  Option Contracts.  Certain Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as

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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 or closing sale transaction to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. 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 equity 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 Funds 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. For the six months ended June 30, 2011, the Funds were not party to any over-the-counter options.

f.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

g.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations,

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June 30, 2011 (Unaudited)

which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, ordinary loss netting to reduce short term capital gains, distribution redesignations, return of capital and capital gain distributions from REITs, foreign currency transactions, distributions in excess of ordinary earnings, premium amortization, non-deductible expenses, and regulatory settlements. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, securities lending collateral gain/loss adjustment, straddle loss deferrals, wash sales, defaulted bond adjustments, return of capital distributions from REITs, contingent payment debt instruments, premium amortization, forward foreign currency contract mark to market and trust preferred securities. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2010 was as follows:

	2010 Distributions Paid From:
Fund		Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Target Equity Fund		$	4,648,299	$	—	$	—	$	4,648,299
Large Cap Value Fund			546,131		—		—		546,131
Diversified Income Fund			1,801,193		—		—		1,801,193
U.S. Multi-Cap Equity Fund			491,685		—		—		491,685
Small Cap Value Fund			40,800,424		59,193,465		—		99,993,889
Value Opportunity Fund			332,097		16,217		231,814		580,128
ActiveBeta Equity Fund			29,256		—		—		29,256

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

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June 30, 2011 (Unaudited)

As of December 31, 2010, the capital loss carryforwards and post-October losses were as follows:

	Targeted Equity Fund			Large Cap Value Fund			Diversified Income Fund			U.S. Multi-Cap Equity Fund			Small Cap Value Fund		Value Opportunity Fund			ActiveBeta Equity Fund
Capital loss carryforward:
Expires December 31, 2011	$	—		$	(9,965,466	)	$	—		$	—		$	—	$	—		$	—
Expires December 31, 2016		—			—			(6,715,998	)		—			—		—			—
Expires December 31, 2017		(127,400,916	)		(9,206,549	)		(14,198,082	)		(35,486,708	)		—		—			—
Expires December 31, 2018		—			(790,094	)		—			—			—		(279,086	)		—
Total capital loss carryfoward	$	(127,400,916	)	$	(19,962,109	)	$	(20,914,080	)	$	(35,486,708	)	$	—	$	(279,086	)	$	—
Deferred net capital losses (post-October 2010)	$	—		$	(618,746	)	$	—		$	—		$	—	$	—		$	—
Deferred net currency losses (post-October 2010)	$	—		$	—		$	—		$	(1,327	)	$	—	$	—		$	—

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 previously 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 any, may expire unused.

h.   Repurchase Agreements.   It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. 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.

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i.   Delayed Delivery Commitments.   The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in its portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no delayed delivery securities held by the Funds as of June 30, 2011.

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

For the six months ended June 30, 2011, none of the Funds had loaned securities under this agreement.

k.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses.

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The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

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

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

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

• Level 3 – prices determined using significant unobservable inputs 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 each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2011, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	846,463,516	$	—	$	—	$	846,463,516
Short-Term Investments		—		14,608,293		—		14,608,293
Total	$	846,463,516	$	14,608,293	$	—	$	861,071,809

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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Large Cap Value Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	135,352,413	$	—	$	—	$	135,352,413
Short-Term Investments		—		4,762,475		—		4,762,475
Total	$	135,352,413	$	4,762,475	$	—	$	140,114,888

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Diversified Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Bonds and Notes(a)	$	—	$	31,819,024		$	—	$	31,819,024
Common Stocks(a)		31,059,620		—			—		31,059,620
Preferred Stocks
Convertible Preferred Stocks
Automotive		586,169		—			—		586,169
Banking		74,200		13,612			—		87,812
Construction Machinery		—		6,788			—		6,788
Consumer Products		—		34,075			—		34,075
REITs - Healthcare		74,689		—			—		74,689
Total Convertible Preferred Stocks		735,058		54,475			—		789,533
Non-Convertible Preferred Stocks(a)		211,600		121,236			—		332,836
Total Preferred Stocks		946,658		175,711			—		1,122,369
Short-Term Investments		—		2,579,324			—		2,579,324
Total Investments		32,006,278		34,574,059			—		66,580,337
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,000			—		3,000
Total	$	32,006,278	$	34,577,059		$	—	$	66,583,337
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(2,512	)	$	—	$	(2,512	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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U.S. Multi-Cap Equity Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	375,383,183	$	—	$	—	$	375,383,183
Closed End Investment Companies		1,497,049		—		—		1,497,049
Short-Term Investments		—		11,463,991		—		11,463,991
Total	$	376,880,232	$	11,463,991	$	—	$	388,344,223

Liability Valuation Inputs

Description(a)	Level 1			Level 2		Level 3		Total
Written Options	$	(108,570	)	$	—	$	—	$	(108,570	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Small Cap Value Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	495,586,806	$	—	$	—	$	495,586,806
Exchange Traded Funds		21,468,754		—		—		21,468,754
Closed End Investment Companies		10,473,622		—		—		10,473,622
Short-Term Investments		—		16,856,805		—		16,856,805
Total	$	527,529,182	$	16,856,805	$	—	$	544,385,987

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Value Opportunity Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	88,425,966	$	—	$	—	$	88,425,966
Closed End Investment Companies		1,331,801		—		—		1,331,801
Short-Term Investments		—		4,059,678		—		4,059,678
Total	$	89,757,767	$	4,059,678	$	—	$	93,817,445

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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ActiveBeta Equity Fund

Asset Valuation Inputs

Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	6,058,254	$	—	$	—	$	6,058,254

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

4.   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 Funds used during the period include forward foreign currency contracts and option contracts.

The Funds are 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. Certain Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2011, Diversified Income Fund engaged in forward foreign currency transactions for hedging purposes.

The Funds are 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. U.S. Multi-Cap Equity Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of option contracts used for hedging purposes. The Fund may also use purchased call options to gain exposure to an equity security without committing the capital required to buy it, while also limiting the downside risk associated with owning it. During the six months ended June 30, 2011, the Fund engaged in purchased put and written call options for hedging purposes, in written put options to offset the cost of options used for hedging purposes, and in purchased call options to gain exposure to equity securities.

Certain Funds are 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 June 30, 2011, there were no Funds that held derivative positions subject to credit-risk-related contingent features that were in a net liability position (unrealized depreciation) by counterparty.

Forward foreign currency contracts and over-the-counter option contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. Certain Funds have mitigated this risk by entering into master netting

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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 June 30, 2011, the maximum amount of loss that Diversified Income 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 $3,000 and the amount of loss that Diversified Income Fund would incur after taking into account master netting arrangements is $488.

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

The following is a summary of derivative instruments for Diversified Income Fund as of June 30, 2011:

Statements of Assets and Liabilities Caption	Foreign Exchange Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	3,000
Liabilities
Unrealized depreciation on forward foreign currency contracts		(2,512	)

Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2011 were as follows:

Statements of Operations Caption	Foreign Exchange Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	(4,356	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		2,547

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

The following is a summary of derivative instruments for U.S. Multi-Cap Equity Fund as of June 30, 2011:

Statements of Assets and Liabilities Caption	Equity Contracts
Liabilities
Options written, at value	$	(108,570	)

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Transactions in derivative instruments for U.S. Multi-Cap Equity Fund during the six months ended June 30, 2011 were as follows:

Statements of Operations Caption	Equity Contracts
Net Realized Gain (Loss) on:
Investments*	$	(124,924	)
Options written		(52,633	)
Net Change in Unrealized Appreciation (Depreciation) on:
Options written		(48,695	)

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

Volume of forwards activity, as a percentage of net assets, for Diversified Income Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2011:

Diversified Income Fund	Forwards
Average Notional Amount Outstanding		0.40	%
Highest Notional Amount Outstanding		0.70	%
Lowest Notional Amount Outstanding		0.30	%
Notional Amount Outstanding as of June 30, 2011		0.70	%

Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on the month-end market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:

U.S. Multi-Cap Equity Fund*	Put Options Purchased			Call Options Written
Average Market Value of Underlying Securities		0.06	%		0.04	%
Highest Market Value of Underlying Securities		0.44	%		0.25	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of June 30, 2011		0.00	%		0.25	%

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Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2011:

U.S. Multi-Cap Equity Fund*	Call Options Purchased			Put Options Written
Average Market Value of Underlying Securities		0.00	%(+)		0.00	%(+)
Highest Market Value of Underlying Securities		0.42	%		0.23	%
Lowest Market Value of Underlying Securities		0.00	%		0.60	%
Market Value of Underlying Securities as of June 30, 2011		0.00	%		0.00	%

(+) Amount is less than 0.01%.

 * Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

Market value of underlying securities and notional amounts outstanding at the end of the prior period are included in the averages above.

The following is a summary of U.S. Multi-Cap Equity Fund’s written option activity:

	Number of Contracts			Premiums
Outstanding at 12/31/2010		—		$	—
Options written		299			98,771
Options terminated in closing purchase transactions		(205	)		(38,896	)
Options exercised		—			—
Options expired		—			—
Outstanding at 6/30/2011		94		$	59,875

5.   Purchases and Sales of Securities.   For the six months ended June 30, 2011, purchases and sales of securities (excluding short-term investments and U.S. Government/agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	1,096,530,474	$	1,181,697,035
Large Cap Value Fund		26,087,164		31,221,004
Diversified Income Fund		7,559,647		5,946,846
U.S. Multi-Cap Equity Fund		206,131,311		221,746,756
Small Cap Value Fund		270,557,646		296,459,815
Value Opportunity Fund		59,190,078		25,810,334
ActiveBeta Equity Fund		2,413,941		2,427,802

For the six months ended June 30, 2011, purchases and sales of U.S. Government/agency securities by the Diversified Income Fund were $236,929 and $216,071, respectively.

135  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

6.   Management Fees and Other Transactions with Affiliates.

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

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $300 million			Next $500 million			Next $1 billion			Over $2 billion
Targeted Equity Fund		0.75	%		0.70	%		0.65	%		0.65	%		0.60	%
Large Cap Value Fund		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Diversified Income Fund		0.55	%		0.55	%		0.55	%		0.50	%		0.50	%
U.S. Multi-Cap Equity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Value Opportunity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%
ActiveBeta Equity Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%

Prior to June 1, 2011, U.S. Multi-Cap Equity Fund paid a management fee at an annual rate of 0.90% on the first $1 billion and 0.80% thereafter, calculated daily and payable monthly, based on the Fund’s average daily net assets.

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

Large Cap Value Fund	Harris Associates L.P. (“Harris”)
Diversified Income Fund	AEW Capital Management, L.P. (“AEW”)
	Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Multi-Cap Equity Fund	Harris
	Loomis Sayles
Small Cap Value Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund	Vaughan Nelson
ActiveBeta Equity Fund	Westpeak Global Advisors, L.P. (“Westpeak”)

Prior to June 1, 2011, a segment of U.S. Multi-Cap Equity Fund was subadvised by BlackRock Investment Management, LLC. This segment is now subadvised by Loomis Sayles.

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

|  136

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Natixis Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the period from June 1, 2011 to June 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Large Cap Value Fund		1.30	%		2.05	%		2.05	%		1.05	%
Diversified Income Fund		1.25	%		—			2.00	%		—
U.S. Multi-Cap Equity Fund		1.30	%		2.05	%		2.05	%		1.05	%
Small Cap Value Fund		1.45	%		2.20	%		2.20	%		1.20	%
Value Opportunity Fund		1.40	%		—			2.15	%		1.15	%
ActiveBeta Equity Fund		1.20	%		—			1.95	%		0.95	%

Prior to June 1, 2011 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Large Cap Value Fund		1.30	%		2.05	%		2.05	%		1.05	%
Diversified Income Fund		1.25	%		—			2.00	%		—
U.S. Multi-Cap Equity Fund		1.40	%		2.15	%		2.15	%		1.15	%
Small Cap Value Fund		1.45	%		2.20	%		2.20	%		1.20	%
Value Opportunity Fund		1.40	%		—			2.15	%		1.15	%
ActiveBeta Equity Fund		1.20	%		—			1.95	%		0.95	%

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

137  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees 1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Targeted Equity Fund	$	3,202,331	$	—	$	3,202,331		0.69	%		0.69	%
Large Cap Value Fund		500,036		—		500,036		0.70	%		0.70	%
Diversified Income Fund		179,211		—		179,211		0.55	%		0.55	%
U.S. Multi-Cap Equity Fund		1,691,522		59,291		1,632,231		0.88	%		0.85	%
Small Cap Value Fund		2,618,280		—		2,618,280		0.90	%		0.90	%
Value Opportunity Fund		295,720		—		295,720		0.80	%		0.80	%
ActiveBeta Equity Fund		17,879		17,879		—		0.60	%		—

¹  Management fee waivers are subject to possible recovery until December 31, 2012.

For the six months ended June 30, 2011, expenses have been reimbursed as follows:

Fund	Reimbursement 2
ActiveBeta Equity Fund	$	102,244

²  Expense reimbursements are subject to possible recovery until December 31, 2012.

For the six months ended June 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:

		Recovered Expenses
Fund	Class A		Class B		Class C		Class Y		Total
Large Cap Value Fund	$3,241		$	124	$	194	$	265	$	3,824
Value Opportunity Fund	1,143			—		114		3,658		4,915

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

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

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

|  138

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Under the Class A Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B (if applicable) and Class C Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class B (if applicable) and Class C shares, as compensation for services provided by Natixis Distributors in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

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

For the six months ended June 30, 2011, the Funds paid the following service and distribution fees:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	889,568	$	10,882	$	95,523	$	32,645	$	286,569
Large Cap Value Fund		151,571		6,308		8,931		18,923		26,793
Diversified Income Fund		46,317		—		35,142		—		105,426
U.S. Multi-Cap Equity Fund		403,976		32,415		40,012		97,247		120,037
Small Cap Value Fund		373,640		9,127		48,780		27,381		146,340
Value Opportunity Fund		20,974		—		1,946		—		5,838
ActiveBeta Equity Fund		1		—		1		—		5

c.    Administrative Fees.    Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. Funds that commenced operations prior to July 1, 2011 are subject to a new fund fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers. ActiveBeta Equity Fund was subject to the new fund fee during the peroid.

139  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

For the six months ended June 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:

Fund	Administrative Fees
Targeted Equity Fund	$	216,352
Large Cap Value Fund		33,160
Diversified Income Fund		15,123
U.S. Multi-Cap Equity Fund		88,822
Small Cap Value Fund		135,033
Value Opportunity Fund		17,141
ActiveBeta Equity Fund		49,589

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

For the six months ended June 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	228,794
Large Cap Value Fund		17,398
Diversified Income Fund		13,961
U.S. Multi-Cap Equity Fund		47,432
Small Cap Value Fund		214,657
Value Opportunity Fund		23,500

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the six months ended June 30, 2011, were as follows:

Fund	Commissions
Targeted Equity Fund	$	168,148
Large Cap Value Fund		22,658
Diversified Income Fund		18,295
U.S. Multi-Cap Equity Fund		164,717
Small Cap Value Fund		28,427
Value Opportunity Fund		16,693

|  140

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

141  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

Prior to April 21, 2011, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2011, none of the Funds had borrowings under these agreements.

8.  Brokerage Commission Recapture.  Certain Fund have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2011, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	271,555
Diversified Income Fund		405
U.S. Multi-Cap Equity Fund		17,168
Small Cap Value Fund		27,719

9.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10.  Concentration of Ownership.  From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of June 30, 2011, Natixis US and its affiliates owned shares equating to 100% of ActiveBeta Equity Fund’s net assets. As of June 30, 2011, certain Funds had shareholders that held greater than 5% of the fund’s outstanding shares. Such ownership may be beneficially held by multiple individuals or entities other than the owner of record. The number of greater than 5% shareholders and the aggregate percentage of net assets represented by such ownership was as follows:

Fund	Number of Greater Than 5% Shareholders		Percentage of Ownership
Small Cap Value Fund		1		13.74	%
Value Opportunity Fund		2		19.53	%

|  142

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

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

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,991,792		$	22,003,758		7,738,827		$	76,552,424
Issued in connection with the reinvestment of distributions	—			—		311,600			3,451,189
Redeemed	(7,864,725	)		(86,141,314	)	(12,966,098	)		(127,132,727	)
Net change	(5,872,933	)	$	(64,137,556	)	(4,915,671	)	$	(47,129,114	)
Class B
Issued from the sale of shares	15,722		$	157,057		30,077		$	270,580
Issued in connection with the reinvestment of distributions	—			—		38			356
Redeemed	(212,042	)		(2,101,417	)	(478,236	)		(4,192,463	)
Net change	(196,320	)	$	(1,944,360	)	(448,121	)	$	(3,921,527	)
Class C
Issued from the sale of shares	630,474		$	6,255,384		2,115,687		$	18,787,778
Issued in connection with the reinvestment of distributions	—			—		170			1,588
Redeemed	(1,653,784	)		(16,191,871	)	(2,720,024	)		(23,660,824	)
Net change	(1,023,310	)	$	(9,936,487	)	(604,167	)	$	(4,871,458	)
Class Y
Issued from the sale of shares	2,068,519		$	23,537,265		5,946,373		$	59,945,503
Issued in connection with the reinvestment of distributions	—			—		22,586			256,277
Redeemed	(3,511,077	)		(39,215,086	)	(21,046,408	)		(216,794,343	)
Net change	(1,442,558	)	$	(15,677,821	)	(15,077,449	)	$	(156,592,563	)
Increase (decrease) from capital share transactions	(8,535,121	)	$	(91,696,224	)	(21,045,408	)	$	(212,514,662	)

143  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Large Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	185,078		$	2,749,920		584,698		$	7,591,609
Issued in connection with the reinvestment of distributions	1,804			26,867		28,036			394,129
Redeemed	(506,361	)		(7,509,367	)	(1,229,322	)		(15,876,577	)
Net change	(319,479	)	$	(4,732,580	)	(616,588	)	$	(7,890,839	)
Class B
Issued from the sale of shares	3,164		$	43,552		13,200		$	158,473
Issued in connection with the reinvestment of distributions	95			1,299		582			7,425
Redeemed	(104,546	)		(1,427,287	)	(259,196	)		(3,105,680	)
Net change	(101,287	)	$	(1,382,436	)	(245,414	)	$	(2,939,782	)
Class C
Issued from the sale of shares	9,770		$	132,072		81,762		$	989,577
Issued in connection with the reinvestment of distributions	75			1,019		322			4,092
Redeemed	(79,648	)		(1,079,403	)	(134,778	)		(1,585,523	)
Net change	(69,803	)	$	(946,312	)	(52,694	)	$	(591,854	)
Class Y
Issued from the sale of shares	33,325		$	512,902		195,195		$	2,647,773
Issued in connection with the reinvestment of distributions	131			2,022		3,104			45,227
Redeemed	(99,044	)		(1,527,569	)	(117,144	)		(1,564,634	)
Net change	(65,588	)	$	(1,012,645	)	81,155		$	1,128,366
Increase (decrease) from capital share transactions	(556,157	)	$	(8,073,973	)	(833,541	)	$	(10,294,109	)
	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Diversified Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	397,068		$	4,277,979		676,041		$	6,828,409
Issued in connection with the reinvestment of distributions	50,278			541,470		100,890			990,220
Redeemed	(395,927	)		(4,256,915	)	(1,007,048	)		(10,074,179	)
Net change	51,419		$	562,534		(230,117	)	$	(2,255,550	)
Class C
Issued from the sale of shares	384,675		$	4,132,421		612,602		$	6,157,456
Issued in connection with the reinvestment of distributions	15,932			171,370		29,035			284,425
Redeemed	(361,958	)		(3,877,094	)	(759,919	)		(7,388,131	)
Net change	38,649		$	426,697		(118,282	)	$	(946,250	)
Increase (decrease) from capital share transactions	90,068		$	989,231		(348,399	)	$	(3,201,800	)

|  144

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
U.S. Multi-Cap Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	672,349		$	17,840,234		911,448		$	20,451,387
Issued in connection with the reinvestment of distributions	—			—		18,717			466,442
Redeemed	(999,694	)		(26,394,215	)	(2,022,798	)		(44,172,568	)
Net change	(327,345	)	$	(8,553,981	)	(1,092,633	)	$	(23,254,739	)
Class B
Issued from the sale of shares	12,414		$	282,414		28,907		$	535,647
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(343,063	)		(7,789,686	)	(791,810	)		(14,786,760	)
Net change	(330,649	)	$	(7,507,272	)	(762,903	)	$	(14,251,113	)
Class C
Issued from the sale of shares	124,629		$	2,837,445		85,590		$	1,613,257
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(143,997	)		(3,298,011	)	(255,548	)		(4,769,722	)
Net change	(19,368	)	$	(460,566	)	(169,958	)	$	(3,156,465	)
Class Y
Issued from the sale of shares	81,346		$	2,361,782		10,018		$	239,190
Issued in connection with the reinvestment of distributions	—			—		134			3,603
Redeemed	(70,661	)		(1,992,917	)	(200,693	)		(4,399,790	)
Net change	10,685		$	368,865		(190,541	)	$	(4,156,997	)
Increase (decrease) from capital share transactions	(666,677	)	$	(16,152,954	)	(2,216,035	)	$	(44,819,314	)

145  |

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,788,065		$	65,400,688		1,568,273		$	37,116,627
Issued in connection with the reinvestment of distributions	317,575			7,389,980		1,686,885			38,516,551
Redeemed	(2,106,032	)		(49,305,459	)	(5,956,654	)		(142,473,851	)
Net change	999,608		$	23,485,209		(2,701,496	)	$	(66,840,673	)
Class B
Issued from the sale of shares	10,577		$	217,041		18,984		$	406,070
Issued in connection with the reinvestment of distributions	14,666			294,492		79,966			1,589,861
Redeemed	(104,202	)		(2,133,246	)	(223,637	)		(4,732,199	)
Net change	(78,959	)	$	(1,621,713	)	(124,687	)	$	(2,736,268	)
Class C
Issued from the sale of shares	68,223		$	1,388,881		186,557		$	3,849,819
Issued in connection with the reinvestment of distributions	59,922			1,203,224		282,744			5,618,352
Redeemed	(207,376	)		(4,236,662	)	(455,474	)		(9,570,079	)
Net change	(79,231	)	$	(1,644,557	)	13,827		$	(101,908	)
Class Y
Issued from the sale of shares	1,454,225		$	34,463,876		1,291,230		$	30,400,662
Issued in connection with the reinvestment of distributions	299,009			7,047,654		1,369,166			31,615,425
Redeemed	(2,720,061	)		(63,353,642	)	(3,559,389	)		(85,024,677	)
Net change	(966,827	)	$	(21,842,112	)	(898,993	)	$	(23,008,590	)
Increase (decrease) from capital share transactions	(125,409	)	$	(1,623,173	)	(3,711,349	)	$	(92,687,439	)
	Six Months Ended June 30, 2011					Year Ended December 31, 2010
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	700,637		$	11,258,252		845,322		$	10,950,063
Issued in connection with the reinvestment of distributions	—			—		7,026			102,623
Redeemed	(239,865	)		(3,827,606	)	(381,175	)		(4,994,591	)
Net change	460,772		$	7,430,646		471,173		$	6,058,095
Class C
Issued from the sale of shares	80,533		$	1,285,635		33,713		$	447,990
Issued in connection with the reinvestment of distributions	—			—		313			4,512
Redeemed	(7,658	)		(123,556	)	(7,556	)		(94,316	)
Net change	72,875		$	1,162,079		26,470		$	358,186
Class Y
Issued from the sale of shares	2,215,082		$	36,091,080		2,494,934		$	32,571,037
Issued in connection with the reinvestment of distributions	—			—		21,928			321,089
Redeemed	(517,294	)		(8,292,722	)	(456,608	)		(5,870,040	)
Net change	1,697,788		$	27,798,358		2,060,254		$	27,022,086
Increase (decrease) from capital share transactions	2,231,435		$	36,391,083		2,557,897		$	33,438,367

|  146

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

11.  Capital Shares (continued).

	Six Months Ended June 30, 2011			Period Ended December 31, 2010*
ActiveBeta Equity Fund	Shares		Amount	Shares			Amount
Class A
Issued from the sale of shares	—	$	—	100		$	1,001
Issued in connection with the reinvestment of distributions	1		8	—	(a)		5
Redeemed	—		—	—			—
Net change	1	$	8	100		$	1,006
Class C
Issued from the sale of shares	—	$	—	100		$	1,001
Issued in connection with the reinvestment of distributions	1		8	—	(a)		1
Redeemed	—		—	—			—
Net change	1	$	8	100		$	1,002
Class Y
Issued from the sale of shares	—	$	—	500,000		$	5,000,000
Issued in connection with the reinvestment of distributions	3,580		42,722	2,601			29,250
Redeemed	—		—	—			—
Net change	3,580	$	42,722	502,601		$	5,029,250
Increase (decrease) from capital share transactions	3,582	$	42,738	502,801		$	5,031,258

* From commencement of operations on July 30, 2010 through December 31, 2010.

(a) Amount rounds to less than one share.

147  |

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a) (1)	Not applicable
(a) (2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a) (3)	Not applicable.
(b)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name: David L. Giunta
Title:   President and Chief Executive Officer
Date:   August 23, 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:   August 23, 2011

By:	/s/ Michael C. Kardok
Name: Michael C. Kardok
Title:   Treasurer
Date:   August 23, 2011

EX-99.(CERT)

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 23, 2011

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 23, 2011

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.(906CT)

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended June 30, 2011 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

By:	By:
President and Chief Executive Officer Natixis Funds Trust II	Treasurer Natixis Funds Trust II
/s/ David L. Giunta	/s/ Michael C. Kardok
David L. Giunta	Michael C. Kardok
Date: August 23, 2011	Date: August 23, 2011

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Natixis Funds Trust II, and will be retained by the Natixis Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request.