Natixis Funds Trust II

N-Q 1 d213397dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

Natixis Distributors, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: December 31

Date of reporting period: September 30, 2011

ITEM 1

SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Certificates of Deposit – 68.2% of Net Assets
	$ 6,400,000	National Bank of Canada, 0.030%, 10/03/2011	$	6,400,000
	13,000,000	Bank of Montreal (IL), 0.080%, 10/03/2011		13,000,000
	17,000,000	BNP Paribas, 0.140%, 10/03/2011		17,000,000
	12,000,000	National Australia Bank, 0.200%, 10/05/2011		11,999,964
	6,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011(b)		6,000,084
	15,000,000	Mitsubishi UFJ Trust & Bank (NY), 0.270%, 10/11/2011		15,000,042
	12,000,000	Credit Agricole CIB (NY), 0.355%, 10/11/2011(c)		11,999,928
	15,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 10/14/2011		15,000,027
	12,000,000	Toronto Dominion Bank, 0.140%, 10/20/2011		12,000,468
	5,000,000	Canadian Imperial Bank of Commerce (NY), 0.275%, 10/24/2011(b)(d)		4,999,925
	16,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 11/14/2011		15,999,802
	13,000,000	Mizuho Corporate Bank, 0.300%, 11/15/2011		13,000,169
	12,000,000	Standard Chartered Bank (NY), 0.310%, 11/16/2011		12,000,624
	14,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.280%, 11/18/2011		14,000,000
	8,000,000	Royal Bank of Scotland PLC, 0.320%, 11/23/2011		8,000,840
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.277%, 11/28/2011(b)(d)		5,999,556
	12,000,000	Rabobank Nederland NV (NY), 0.290%, 11/30/2011		12,001,224
	3,000,000	Bank of Nova Scotia (TX), 0.295%, 12/05/2011		2,999,808
	15,000,000	Svenska Handelsbanken (NY), 0.310%, 12/15/2011		14,999,370
	16,000,000	Lloyds TSB Bank PLC (NY), 0.320%, 12/28/2011		15,999,216
	5,000,000	Nordea Bank Finland (NY), 0.330%, 12/28/2011(b)		5,000,495
	1,000,000	Skandinaviska Enskilda Banken (NY), 0.420%, 12/29/2011		1,000,225
	4,000,000	Rabobank Nederland NV (NY), 0.380%, 1/30/2012		3,999,864
	12,000,000	Westpac Banking Corp. (NY), 0.262%, 2/06/2012(b)(d)		12,000,000
	5,000,000	Barclays Bank PLC, 0.432%, 2/09/2012(b)(e)		4,995,930
	2,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012(b)		2,000,160


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
	$13,000,000	Bank of Nova Scotia (TX), 0.370%, 3/21/2012	$	12,991,901

		Total Certificates of Deposit (Identified Cost $270,401,404)		270,389,622

	Financial Company Commercial Paper – 19.7%
	3,000,000	ING (US) Funding LLC, 0.170%, 10/03/2011(f)		2,999,972
	17,000,000	Societe Generale North America, 0.250%, 10/03/2011(f)		16,999,764
	8,000,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/03/2011(f)		7,999,696
	12,000,000	ING (US) Funding LLC, 0.175%, 10/06/2011(f)		11,999,676
	12,000,000	General Electric Capital Corp., 0.140%, 10/20/2011(f)		11,999,868
	4,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/25/2011(f)		3,999,066
	11,000,000	Nordea North America, Inc., 0.280%, 11/23/2011(f)		10,995,974
	8,000,000	Royal Bank of Scotland PLC, 0.300%, 11/29/2011(f)		7,996,136
	3,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.450%, 12/12/2011(b)(f)		2,998,236

		Total Financial Company Commercial Paper (Identified Cost $77,986,301)		77,988,388

	Other Commercial Paper – 3.0%
	7,000,000	Grainger (WW), Inc., 0.070%, 10/04/2011(f)		6,999,959
	5,000,000	Grainger (WW), Inc., 0.100%, 10/11/2011(f)		4,999,785

		Total Other Commercial Paper (Identified Cost $11,999,820)		11,999,744

		Total Investments — 90.9% (Identified Cost $360,387,525)(a)		360,377,754
		Other assets less liabilities — 9.1%		35,917,474

		Net Assets — 100.0%	$	396,295,228

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2011, the value of the Fund’s investment in the Subsidiary was $10,980,611, representing 2.8% of the Fund’s net assets.

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

(a)	Federal Tax Information:

At September 30, 2011, the net unrealized depreciation on short term investments based on a cost of $360,387,525 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	5,720
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(15,491	)

Net unrealized depreciation	$	(9,771	)

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

At December 31, 2010 post-October capital loss deferrals were $14,494,432. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

(c)	Interest rate changes monthly based upon 1 Month Libor. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement.

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

(e)	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.

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

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies and to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies 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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 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		12/21/2011	Australian Dollar		65,100,000	$	62,416,213	$	(3,438,538	)
Sell		12/21/2011	Australian Dollar		64,300,000		61,649,194		4,011,586
Buy		12/21/2011	British Pound		84,062,500		130,988,765		(1,965,158	)
Sell		12/21/2011	British Pound		51,937,500		80,930,605		386,280
Buy		12/21/2011	Canadian Dollar		38,000,000		36,201,961		(2,270,441	)
Sell		12/21/2011	Canadian Dollar		61,900,000		58,971,089		3,437,541
Sell		12/21/2011	Euro		35,750,000		47,880,327		1,139,326
Buy		12/21/2011	Japanese Yen		4,187,500,000		54,354,060		(349,669	)
Buy		12/21/2011	New Zealand Dollar		121,000,000		91,738,660		(7,420,814	)
Sell		12/21/2011	New Zealand Dollar		140,400,000		106,447,173		7,805,110
Buy		12/21/2011	Norwegian Krone		196,000,000		33,263,397		(1,277,596	)
Sell		12/21/2011	Norwegian Krone		114,000,000		19,347,078		516,892
Buy		12/21/2011	Singapore Dollar		22,125,000		16,919,838		(892,451	)
Sell		12/21/2011	Singapore Dollar		22,750,000		17,397,799		827,904
Sell		12/21/2011	Swedish Krona		146,000,000		21,198,534		628,682
Buy		12/21/2011	Swiss Franc		16,250,000		17,957,256		(630,530	)
Buy		12/21/2011	Turkish Lira		2,100,000		1,116,807		(41,357	)
Sell		12/21/2011	Turkish Lira		2,700,000		1,435,894		41,052

Total								$	507,819

¹	Counterparty is UBS AG.

Futures Contracts

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

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200		12/15/2011		72	$	6,967,441	$	(156,453	)
E-mini Dow		12/16/2011		42		2,276,610		22,260
E-mini NASDAQ 100		12/16/2011		50		2,134,500		(27,250	)
E-mini S&P 500		12/16/2011		20		1,126,000		(16,000	)
Euribor		03/19/2012		1,038		343,684,319		(164,957	)
Euro Schatz		12/08/2011		954		140,114,053		(440,376	)
Eurodollar		03/19/2012		328		81,516,200		(68,487	)
German Euro BOBL		12/08/2011		337		55,141,169		(258,773	)
German Euro Bund		12/08/2011		304		55,590,187		(181,590	)
Hang Seng		10/28/2011		98		10,961,040		(232,183	)
Mini-Russell 2000		12/16/2011		15		962,250		(94,950	)
MSCI Taiwan		10/28/2011		43		1,100,800		18,060
S&P/TSX 60		12/15/2011		97		12,305,735		340,510
Sterling		03/21/2012		1,632		315,000,187		(277,729	)
UK Long Gilt		12/28/2011		248		50,271,211		(44,380	)
2 Year U.S. Treasury Note		12/30/2011		1,272		280,098,376		(358,796	)
3 Year Australia Government Bond		12/15/2011		633		65,382,794		(243,123	)
5 Year U.S. Treasury Note		12/30/2011		585		71,653,359		(43,086	)
10 Year Australia Government Bond		12/15/2011		128		14,153,858		8,483
10 Year Japan Government Bond		12/09/2011		79		145,678,335		(378,971	)
10 Year U.S. Treasury Note		12/20/2011		574		74,673,813		78,844
30 Year U.S. Treasury Bond		12/20/2011		125		17,828,125		755,531

Total							$	(1,763,416	)



Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011		19	$	1,023,031	$	(89,106	)
Brent Crude Oil		10/14/2011		60		6,165,600		(469,420	)
Cocoa		12/14/2011		89		2,321,120		(338,200	)
Coffee		12/19/2011		78		6,695,325		(849,000	)
Corn		12/14/2011		137		4,058,625		(1,049,387	)
Cotton		12/07/2011		47		2,354,465		(247,630	)
Gas Oil		11/10/2011		51		4,485,450		1,275
Gasoline		10/31/2011		21		2,238,604		(104,341	)
Gold		12/28/2011		63		10,220,490		(225,100	)
Heating Oil		10/31/2011		31		3,618,649		(102,467	)
Light Sweet Crude Oil		10/20/2011		23		1,821,600		(219,690	)
Live Cattle		12/30/2011		6		294,360		8,040
Nickel		12/21/2011		10		1,056,000		(229,290	)
Silver		12/28/2011		20		3,008,300		(1,330,400	)
Soybean		11/14/2011		91		5,364,450		(1,225,038	)
Soybean Meal		12/14/2011		116		3,579,760		(893,200	)
Soybean Oil		12/14/2011		201		6,055,326		(1,003,938	)
Sugar		02/29/2012		38		1,076,342		(55,832	)

Total							$	(8,422,724	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		10/21/2011		8	$	601,387	$	(10,397	)
DAX		12/16/2011		10		1,832,443		36,006
FTSE 100		12/16/2011		20		1,587,626		12,631
FTSE JSE Top 40		12/15/2011		194		6,363,354		64,631
MSCI Singapore		10/28/2011		1		46,945		61
Nikkei 225		12/09/2011		5		563,983		(13,613	)
OMXS30		10/21/2011		100		1,324,812		(64,463	)
SGX CNX Nifty		10/25/2011		554		5,463,548		(3,092	)
TOPIX		12/09/2011		161		15,811,941		(490,237	)
10 Year Canada Government Bond		12/19/2011		377		47,816,652		(83,033	)

Total							$	(551,506	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011		24	$	1,292,250	$	98,462
Copper		12/21/2011		19		3,333,075		763,087
Copper High Grade		12/28/2011		13		1,024,400		285,662
KC Wheat		12/14/2011		1		35,200		2,588
Natural Gas		10/27/2011		9		329,940		19,260
Nickel		12/21/2011		12		1,267,200		164,430
Wheat		12/14/2011		1		30,462		1,213
Zinc		12/21/2011		5		232,219		40,250

Total							$	1,374,952

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

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list below:

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Investments in Securities*	$	—	$	360,377,754	$	—	$	360,377,754
Forward Foreign Currency Contracts (unrealized appreciation)		—		18,794,373		—		18,794,373
Futures Contracts (unrealized appreciation)		2,721,284		—		—		2,721,284

Total	$	2,721,284	$	379,172,127	$	—	$	381,893,411

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(18,286,554	)	$	—	$	(18,286,554	)
Futures Contracts (unrealized depreciation)		(12,083,978	)		—			—		(12,083,978	)

Total	$	(12,083,978	)	$	(18,286,554	)	$	—	$	(30,370,532	)

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

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

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

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of September 30, 2011, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of September 30, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $18,794,373 and

the amount of loss that the Fund would incur after taking into account master netting arrangements is $507,819. These amounts do not take into account the value of collateral received by the Fund in the amount of $653,129.

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

The following is a summary of derivative instruments for the Fund, as of September 30, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	18,794,373		$	—		$	—		$	—
Futures (unrealized appreciation)		—			494,159			842,858			1,384,267

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	(18,286,554	)	$	—		$	—		$	—
Futures (unrealized depreciation)		—			(1,108,638	)		(2,543,301	)		(8,432,039	)

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

Investment Summary at September 30, 2011 (Unaudited)


Certificates of Deposit	68.2	%
Financial Company Commercial Paper	19.7
Other Commercial Paper	3.0

Total Investments	90.9
Other assets less liabilities (including open forward foreign currency and futures contracts)	9.1

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

ASG Global Alternatives Fund


Principal Amount	Description	Value (†)
Certificates of Deposit – 68.8% of Net Assets
$17,900,000	National Bank of Canada, 0.030%, 10/03/2011	$	17,900,000
60,000,000	Commerzbank AG, 0.040%, 10/03/2011		60,000,000
52,000,000	Bank of Montreal (IL), 0.080%, 10/03/2011		52,000,000
60,000,000	BNP Paribas, 0.140%, 10/03/2011		60,000,000
45,000,000	National Australia Bank, 0.200%, 10/05/2011		44,999,865
15,000,000	Toronto Dominion Bank, 0.155%, 10/07/2011(b)		15,000,255
6,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011		6,000,084
30,000,000	Mitsubishi UFJ Trust & Bank (NY), 0.270%, 10/11/2011		30,000,083
20,000,000	Credit Agricole CIB (NY), 0.355%, 10/11/2011(c)		19,999,880
50,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 10/14/2011		50,000,091
22,000,000	Toronto Dominion Bank, 0.140%, 10/20/2011		22,000,858
15,000,000	Canadian Imperial Bank of Commerce (NY), 0.275%, 10/24/2011(b)(d)		14,999,775
13,000,000	Lloyds TSB Bank PLC (NY), 0.335%, 10/25/2011		13,001,313
7,000,000	Svenska Handelsbanken (NY), 0.295%, 10/28/2011		7,000,406
30,000,000	Rabobank Nederland NV (NY), 0.180%, 11/07/2011		29,998,410
20,000,000	Mizuho Corporate Bank, 0.300%, 11/10/2011(b)		20,000,220
16,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 11/14/2011		16,000,395
20,000,000	Bank of Nova Scotia (TX), 0.240%, 11/15/2011(b)		19,999,240
32,000,000	Mizuho Corporate Bank, 0.300%, 11/15/2011		32,000,416
50,000,000	Standard Chartered Bank (NY), 0.310%, 11/16/2011		50,002,600
50,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.280%, 11/18/2011(b)		50,000,000
16,000,000	Royal Bank of Scotland PLC, 0.320%, 11/23/2011		16,001,680
15,000,000	Canadian Imperial Bank of Commerce (NY), 0.277%, 11/28/2011(b)(d)		14,998,890
22,000,000	Rabobank Nederland NV (NY), 0.290%, 11/30/2011		22,002,244
25,000,000	Svenska Handelsbanken (NY), 0.310%, 12/01/2011		24,999,125
5,000,000	Bank of Nova Scotia (TX), 0.295%, 12/05/2011		4,999,680
20,000,000	Westpac Banking Corp. (NY), 0.230%, 12/09/2011(b)		20,000,000


Principal Amount	Description	Value (†)
Certificates of Deposit – continued
$22,000,000	Svenska Handelsbanken (NY), 0.310%, 12/15/2011	$	21,999,076
46,000,000	Lloyds TSB Bank PLC (NY), 0.320%, 12/28/2011		45,997,746
7,000,000	Nordea Bank Finland (NY), 0.330%, 12/28/2011		7,000,693
44,000,000	Skandinaviska Enskilda Banken (NY), 0.420%, 12/29/2011		44,009,900
13,000,000	Toronto Dominion Bank, 0.260%, 1/09/2012		13,003,276
6,000,000	Rabobank Nederland NV (NY), 0.380%, 1/30/2012		5,999,796
28,500,000	Westpac Banking Corp. (NY), 0.262%, 2/06/2012(d)		28,500,000
10,000,000	Barclays Bank PLC, 0.432%, 2/09/2012(b)(e)		9,991,860
20,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012		20,001,600
12,000,000	Bank of Nova Scotia (TX), 0.370%, 3/21/2012		11,992,524

	Total Certificates of Deposit (Identified Cost $942,404,467)		942,401,981

Financial Company Commercial Paper – 24.4%
9,000,000	ING (US) Funding LLC, 0.170%, 10/03/2011(f)		8,999,914
10,000,000	Nordea North America, Inc., 0.195%, 10/03/2011(f)		9,999,892
60,000,000	Societe Generale North America, 0.250%, 10/03/2011(f)		59,999,167
9,800,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/03/2011(f)		9,799,628
45,000,000	ING (US) Funding LLC, 0.175%, 10/06/2011(f)		44,998,785
50,000,000	General Electric Capital Corp., 0.140%, 10/20/2011(f)		49,999,450
20,000,000	Bank of Nova Scotia (NY), 0.240%, 10/25/2011(f)		19,999,160
15,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/25/2011(f)		14,996,500
10,000,000	Nordea North America, Inc., 0.260%, 11/07/2011(f)		9,997,680
30,000,000	Nordea North America, Inc., 0.280%, 11/23/2011(f)		29,989,020
44,000,000	Royal Bank of Scotland PLC, 0.300%, 11/29/2011(f)		43,978,748
31,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.450%, 12/12/2011(f)		30,981,772

	Total Financial Company Commercial Paper (Identified Cost $333,722,722)		333,739,716

Other Commercial Paper – 3.6%
38,000,000	Grainger (WW), Inc., 0.070%, 10/04/2011(f)		37,999,778
12,000,000	Grainger (WW), Inc., 0.010%, 10/11/2011(f)		11,999,484

	Total Other Commercial Paper (Identified Cost $49,999,445)		49,999,262

	Total Investments — 96.8% (Identified Cost $1,326,126,634)(a)		1,326,140,959
	Other assets less liabilities — 3.2%		43,444,098

	Net Assets — 100.0%	$	1,369,585,057

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2011, the value of the Fund’s investment in the Subsidiary was $23,795,353, representing 1.7% of the Fund’s net assets.

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information:

At September 30, 2011, the net unrealized appreciation on short term investments based on a cost of $1,326,126,634 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	$	41,233
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(26,908	)

Net unrealized appreciation	$	14,325

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. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement.

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

(e)	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.

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

Forward Foreign Currency

Contracts The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies and to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies 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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 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		12/21/2011	Australian Dollar		25,800,000	$	24,736,379	$	(1,587,747	)
Buy		12/21/2011	British Pound		3,000,000		4,674,692		(70,132	)
Buy		12/21/2011	Canadian Dollar		21,800,000		20,768,493		(1,210,637	)
Buy		12/21/2011	Euro		5,625,000		7,533,618		(177,695	)
Buy		12/21/2011	Japanese Yen		2,825,000,000		36,668,709		(162,767	)
Sell		12/21/2011	Japanese Yen		887,500,000		11,519,816		78,792
Buy		12/21/2011	Swedish Krona		166,000,000		24,102,443		(681,771	)
Sell		12/21/2011	Swedish Krona		36,000,000		5,227,036		21,178
Buy		12/21/2011	Swiss Franc		7,875,000		8,702,363		(305,564	)
Sell		12/21/2011	Swiss Franc		1,750,000		1,933,858		8,413

Total								$	(4,087,930	)

¹	Counterparty is UBS AG.

Futures Contracts

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		12/16/2011		94	$	17,224,963	$	1,197,971
E-mini S&P 500		12/16/2011		1,082		60,916,600		(2,591,400	)
Eurodollar		03/19/2012		1,782		442,871,550		(396,837	)
FTSE 100		12/16/2011		231		18,337,078		(171,105	)
German Euro Bund		12/08/2011		124		22,674,944		(90,942	)
Hang Seng		10/28/2011		244		27,290,752		(578,088	)
TOPIX		12/09/2011		143		14,044,146		246,026
UK Long Gilt		12/28/2011		177		35,879,050		482,884
10 Year Japan Government Bond		12/09/2011		2		3,688,059		(9,594	)
10 Year U.S. Treasury Note		12/20/2011		157		20,424,719		79,984

Total							$	(1,831,101	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011		874	$	47,059,437	$	(4,249,169	)
Brent Crude Oil		10/14/2011		211		21,682,360		(1,777,310	)
Copper		12/21/2011		60		10,525,500		(2,409,750	)
Gas Oil		11/10/2011		60		5,277,000		1,500
Gold		12/28/2011		93		15,087,390		(1,266,180	)
Heating Oil		10/31/2011		35		4,085,571		(115,689	)
Light Sweet Crude Oil		10/20/2011		127		10,058,400		(1,185,700	)
Nickel		12/21/2011		34		3,590,400		(736,032	)
Zinc		12/21/2011		65		3,018,844		(523,250	)

Total							$	(12,261,580	)

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


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011		211	$	11,361,031	$	272,981
Copper		12/21/2011		16		2,806,800		137,700
Natural Gas		10/27/2011		64		2,346,240		136,960

Total							$	547,641

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Investments in Securities*	$	—	$	1,326,140,959	$	—	$	1,326,140,959
Forward Foreign Currency Contracts (unrealized appreciation)		—		108,383		—		108,383
Futures Contracts (unrealized appreciation)		2,556,006		—		—		2,556,006

Total	$	2,556,006	$	1,326,249,342	$	—	$	1,328,805,348

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(4,196,313	)	$	—	$	(4,196,313	)
Futures Contracts (unrealized depreciation)		(16,101,046	)		—			—		(16,101,046	)

Total		$ (16,101,046)			$ (4,196,313)			$ —		$ (20,297,359)

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

Derivatives

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

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. 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 September 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:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(4,087,930	)	$	7,320,000

The following is a summary of derivative instruments for the Fund, as of September 30, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	108,383		$	—		$	—		$	—
Futures (unrealized appreciation)		—			1,443,997			562,868			549,141

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	(4,196,313	)	$	—		$	—		$	—
Futures (unrealized depreciation)		—			(3,340,593	)		(497,374	)		(12,263,079	)

Investment Summary at September 30, 2011 (Unaudited)


Certificates of Deposit	68.8	%
Financial Company Commercial Paper	24.4
Other Commercial Paper	3.6

Total Investments	96.8
Other assets less liabilities (including open forward foreign currency and futures contracts)	3.2

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount	Description	Value (†)
Certificates of Deposit – 64.5% of Net Assets
$20,000,000	Bank of Montreal (IL), 0.080%, 10/03/2011	$	20,000,000
2,300,000	BNP Paribas, 0.140%, 10/03/2011		2,300,000
16,000,000	National Australia Bank, 0.200%, 10/05/2011		15,999,952
11,000,000	Toronto Dominion Bank, 0.155%, 10/07/2011		11,000,187
11,000,000	Credit Industriel et Commercial (NY), 0.290%, 10/07/2011(b)		11,000,154
22,000,000	Mitsubishi UFJ Trust & Bank (NY), 0.270%, 10/11/2011		22,000,061
14,000,000	Credit Agricole CIB (NY), 0.355%, 10/11/2011(c)		13,999,916
23,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 10/14/2011		23,000,042
3,000,000	Standard Chartered Bank (NY), 0.210%, 10/18/2011		2,999,986
6,000,000	Toronto Dominion Bank, 0.140%, 10/20/2011(b)		6,000,234
6,000,000	Canadian Imperial Bank of Commerce (NY), 0.275%, 10/24/2011(b)(d)		5,999,910
14,000,000	Svenska Handelsbanken (NY), 0.295%, 10/28/2011		14,000,812
16,000,000	Rabobank Nederland NV (NY), 0.180%, 11/07/2011		15,999,152
13,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 11/14/2011		13,000,135
9,000,000	Bank of Nova Scotia (TX), 0.240%, 11/15/2011		8,999,658
18,000,000	Mizuho Corporate Bank, 0.300%, 11/15/2011(b)		18,000,234
17,000,000	Standard Chartered Bank (NY), 0.310%, 11/16/2011		17,000,884
19,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.280%, 11/18/2011		19,000,000
10,000,000	Royal Bank of Scotland PLC, 0.320%, 11/23/2011		10,001,050
2,000,000	Canadian Imperial Bank of Commerce (NY), 0.277%, 11/28/2011(b)(d)		1,999,852
4,000,000	Rabobank Nederland NV (NY), 0.290%, 11/30/2011		4,000,408
6,000,000	Bank of Nova Scotia (TX), 0.295%, 12/05/2011		5,999,616
10,000,000	Westpac Banking Corp. (NY), 0.230%, 12/09/2011(b)		10,000,000
9,000,000	Svenska Handelsbanken (NY), 0.310%, 12/15/2011		8,999,622
22,000,000	Lloyds TSB Bank PLC (NY), 0.320%, 12/28/2011		21,998,922
4,000,000	Nordea Bank Finland (NY), 0.330%, 12/28/2011		4,000,396
10,000,000	Skandinaviska Enskilda Banken (NY), 0.420%, 12/29/2011		10,002,250


Principal Amount	Description	Value (†)
Certificates of Deposit – continued
$ 5,000,000	Toronto Dominion Bank, 0.260%, 1/09/2012	$	5,001,260
5,000,000	Westpac Banking Corp. (NY), 0.262%, 2/06/2012(b)(d)		5,000,000
5,000,000	Barclays Bank PLC, 0.432%, 2/09/2012(b)(e)		4,995,930
12,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012		12,000,960

	Total Certificates of Deposit (Identified Cost $344,301,425)		344,301,583

Financial Company Commercial Paper – 20.6%
6,000,000	ING (US) Funding LLC, 0.170%, 10/03/2011(f)		5,999,943
2,000,000	Nordea North America, Inc., 0.195%, 10/03/2011(b)(f)		1,999,978
15,000,000	Societe Generale North America, 0.250%, 10/03/2011(f)		14,999,792
11,900,000	Axis Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/03/2011(f)		11,899,548
16,000,000	ING (US) Funding LLC, 0.175%, 10/06/2011(f)		15,999,568
17,000,000	General Electric Capital Corp., 0.140%, 10/20/2011(f)		16,999,813
8,000,000	Bank of Nova Scotia (NY), 0.240%, 10/25/2011(f)		7,999,664
6,000,000	ICICI Bank Ltd., (Credit Support: Bank of America) 0.350%, 10/25/2011(f)		5,998,600
16,000,000	Nordea North America, Inc., 0.280%, 11/23/2011(f)		15,994,144
12,000,000	Royal Bank of Scotland PLC, 0.300%, 11/29/2011(f)		11,994,204

	Total Financial Company Commercial Paper (Identified Cost $109,882,661)		109,885,254

Other Commercial Paper – 3.2%
17,000,000	Grainger (WW), Inc., 0.100%, 10/11/2011(f) (Identified Cost $16,999,528)		16,999,269

	Total Investments — 88.3% (Identified Cost $471,183,614)(a)		471,186,106
	Other assets less liabilities — 11.7%		62,483,646

	Net Assets — 100.0%	$	533,669,752

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2011, the value of the Fund’s investment in the Subsidiary was $24,656,470, representing 4.6% of the Fund’s net assets.

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information:

At September 30, 2011, the net unrealized appreciation on short term investments based on a cost of $471,183,614 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	$	10,955
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,463	)

Net unrealized appreciation	$	2,492

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

At December 31, 2010 post-October capital loss deferrals and post-October currency loss deferrals were $974,676 and $5,139, respectively. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

(c)	Interest rate changes monthly based upon 1 Month Libor. The spread to 1 Month Libor changes each month. The rate shown is the rate in effect at the date of this statement.

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

(e)	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.

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

Forward Foreign Currency Contracts

At September 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		12/21/2011	Australian Dollar		105,500,000	$	101,150,699	$	(5,298,599	)
Sell		12/21/2011	Australian Dollar		97,200,000		93,192,872		6,063,781
Buy		12/21/2011	British Pound		122,062,500		190,201,530		(2,853,497	)
Sell		12/21/2011	British Pound		148,250,000		231,007,695		1,749,937
Buy		12/21/2011	Canadian Dollar		53,300,000		50,778,014		(3,034,877	)
Sell		12/21/2011	Canadian Dollar		83,900,000		79,930,119		4,659,285
Buy		12/21/2011	Euro		31,500,000		42,188,260		(1,072,544	)
Sell		12/21/2011	Euro		61,375,000		82,200,142		1,658,885
Buy		12/21/2011	Japanese Yen		7,712,500,000		100,108,821		(600,028	)
Sell		12/21/2011	Japanese Yen		3,012,500,000		39,102,473		227,038
Buy		12/21/2011	New Zealand Dollar		145,200,000		110,086,393		(8,884,389	)
Sell		12/21/2011	New Zealand Dollar		180,300,000		136,698,186		9,037,178
Buy		12/21/2011	Norwegian Krone		318,000,000		53,968,165		(2,072,835	)
Sell		12/21/2011	Norwegian Krone		414,000,000		70,260,441		2,678,699
Buy		12/21/2011	Singapore Dollar		53,375,000		40,817,913		(2,152,975	)
Sell		12/21/2011	Singapore Dollar		63,125,000		48,274,113		1,769,799
Buy		12/21/2011	Swedish Krona		136,000,000		19,746,580		(411,253	)
Sell		12/21/2011	Swedish Krona		334,000,000		48,495,277		1,438,218
Buy		12/21/2011	Swiss Franc		6,375,000		7,044,770		(247,362	)
Sell		12/21/2011	Turkish Lira		8,700,000		4,626,771		192,239

Total								$	2,846,700

¹	Counterparty is UBS AG.

Futures Contracts

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini NASDAQ 100		12/16/2011		40	$	1,707,600	$	(62,000	)
Euribor		03/19/2012		1,675		554,596,564		(524,646	)
Euro Schatz		12/08/2011		1,368		200,918,265		(574,739	)
Eurodollar		03/19/2012		1,359		337,745,475		(223,187	)
German Euro BOBL		12/08/2011		414		67,740,190		(260,688	)
German Euro Bund		12/08/2011		270		49,372,863		(155,545	)
Sterling		03/21/2012		3,025		583,869,832		(707,578	)
UK Long Gilt		12/28/2011		219		44,392,723		792,300
2 Year U.S. Treasury Note		12/30/2011		1,663		366,197,798		(512,608	)
3 Year Australia Government Bond		12/15/2011		770		79,533,573		(295,743	)
5 Year U.S. Treasury Note		12/30/2011		775		94,925,391		(68,188	)
10 Year Australia Government Bond		12/15/2011		301		33,283,680		(205,100	)
10 Year Canada Government Bond		12/19/2011		408		51,748,526		1,136,902
10 Year Japan Government Bond		12/09/2011		110		202,843,252		(527,681	)
10 Year U.S. Treasury Note		12/20/2011		429		55,810,219		452,461
30 Year U.S. Treasury Bond		12/20/2011		167		23,818,375		1,051,578

Total							$	(684,462	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		10/14/2011		63	$	6,473,880	$	(518,530	)
Coffee		12/19/2011		97		8,326,238		(1,286,850	)
Corn		12/14/2011		296		8,769,000		(2,174,275	)
Gas Oil		11/10/2011		148		13,016,600		5,025
Gasoline		10/31/2011		107		11,406,221		(531,640	)
Gold		12/28/2011		98		15,898,540		80,750
Heating Oil		10/31/2011		75		8,754,795		(247,611	)
Silver		12/28/2011		38		5,715,770		(2,392,680	)
Soybean		11/14/2011		150		8,842,500		(1,578,338	)
Soybean Meal		12/14/2011		232		7,159,520		(1,663,610	)
Sugar		02/29/2012		241		6,826,277		(285,925	)

Total							$	(10,593,684	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		10/21/2011		129	$	9,697,364	$	(438,982	)
ASX SPI 200		12/15/2011		61		5,902,971		138,164
DAX		12/16/2011		7		1,282,710		(89,797	)
E-mini Dow		12/16/2011		2		108,410		(610	)
E-mini S&P 500		12/16/2011		4		225,200		10,800
FTSE 100		12/16/2011		88		6,985,554		55,577
FTSE JSE Top 40		12/15/2011		3		98,402		3,102
Hang Seng		10/28/2011		52		5,816,062		117,170
Mini-Russell 2000		12/16/2011		13		833,950		(8,450	)
MSCI Singapore		10/28/2011		7		328,618		4,282
MSCI Taiwan		10/28/2011		308		7,884,800		(123,200	)
Nikkei 225		12/09/2011		70		7,895,760		(45,378	)
OMXS30		10/21/2011		503		6,663,805		(232,757	)
S&P/TSX 60		12/15/2011		71		9,007,291		757,790
SGX CNX Nifty		10/25/2011		164		1,617,368		(2,788	)
TOPIX		12/09/2011		51		5,008,752		(97,861	)

Total							$	47,062


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum		12/21/2011		248	$	13,353,250	$	1,216,750
Cocoa		12/14/2011		15		391,200		30,300
Copper		12/21/2011		49		8,595,825		1,967,962
Copper High Grade		12/28/2011		2		157,600		45,200
Cotton		12/07/2011		1		50,095		1,015
KC Wheat		12/14/2011		5		176,000		22,575
Light Sweet Crude Oil		10/20/2011		70		5,544,000		697,200
Live Cattle		12/30/2011		101		4,955,060		(136,680	)
Natural Gas		10/27/2011		336		12,317,760		749,760
Nickel		12/21/2011		81		8,553,600		1,753,488
Soybean Oil		12/14/2011		283		8,525,658		491,400
Wheat		12/14/2011		290		8,834,125		1,432,788
Zinc		12/21/2011		202		9,381,637		1,626,100

Total							$	9,897,858

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Investments in Securities*	$	—	$	471,186,106	$	—	$	471,186,106
Forward Foreign Currency Contracts (unrealized appreciation)		—		29,475,059		—		29,475,059
Futures Contracts (unrealized appreciation)		14,640,439		—		—		14,640,439

Total	$	14,640,439	$	500,661,165	$	—	$	515,301,604

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(26,628,359	)	$	—	$	(26,628,359	)
Futures Contracts (unrealized depreciation)		(15,973,665	)		—			—		(15,973,665	)

Total	$	(15,973,665	)	$	(26,628,359	)	$	—	$	(42,602,024	)

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

Derivatives

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

The following is a summary of derivative instruments for the Fund, as of September 30, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	29,475,059		$	—		$	—		$	—
Futures (unrealized appreciation)		—			1,086,884			3,433,242			10,120,313

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	(26,628,359	)	$	—		$	—		$	—
Futures (unrealized depreciation)		—			(1,101,823	)		(4,055,703	)		(10,816,139	)

Investment Summary at September 30, 2011 (Unaudited)


Certificates of Deposit	64.5	%
Financial Company Commercial Paper	20.6
Other Commercial Paper	3.2

Total Investments	88.3
Other assets less liabilities (including open forward foreign currency and futures contracts)	11.7

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 99.7% of Net Assets
		Aerospace & Defense – 4.1%
	63,600	Boeing Co. (The)	$	3,848,436
	13,800	General Dynamics Corp.		785,082

				4,633,518

		Air Freight & Logistics – 2.5%
	41,400	FedEx Corp.		2,801,952

		Automobiles – 2.1%
	34,900	Toyota Motor Corp., Sponsored ADR		2,382,274

		Capital Markets – 2.9%
	34,600	Franklin Resources, Inc.		3,309,144

		Commercial Banks – 4.3%
	203,000	Wells Fargo & Co.		4,896,360

		Commercial Services & Supplies – 2.9%
	117,000	Republic Services, Inc.		3,283,020

		Consumer Finance – 0.8%
	42,150	Discover Financial Services		966,921

		Diversified Financial Services – 6.8%
	15,900	CME Group, Inc., Class A		3,917,760
	126,200	JPMorgan Chase & Co.		3,801,144

				7,718,904

		Electrical Equipment – 1.6%
	32,200	Rockwell Automation, Inc.		1,803,200

		Energy Equipment & Services – 3.9%
	43,500	National-Oilwell Varco, Inc.		2,228,070
	46,600	Transocean Ltd.		2,224,684

				4,452,754

		Health Care Equipment & Supplies – 7.0%
	88,300	Baxter International, Inc.		4,957,162
	92,100	Medtronic, Inc.		3,061,404

				8,018,566

		Hotels, Restaurants & Leisure – 9.3%
	148,400	Carnival Corp.		4,496,520
	101,100	Marriott International, Inc., Class A		2,753,964
	28,100	McDonald’s Corp.		2,467,742
	21,500	Starwood Hotels & Resorts Worldwide, Inc.		834,630

				10,552,856

		Independent Power Producers & Energy Traders – 0.8%
	69,300	Calpine Corp.(b)		975,744

		Insurance – 3.4%
	34,300	Aflac, Inc.		1,198,785


Shares		Description	Value (†)
	Common Stocks – continued
		Insurance – continued
	111,100	Allstate Corp. (The)	$	2,631,959

				3,830,744

		IT Services – 7.2%
	13,200	MasterCard, Inc., Class A		4,186,512
	46,900	Visa, Inc., Class A		4,020,268

				8,206,780

		Machinery – 4.4%
	23,500	Caterpillar, Inc.		1,735,240
	78,400	Illinois Tool Works, Inc.		3,261,440

				4,996,680

		Media – 7.7%
	192,400	Comcast Corp., Special Class A		3,980,756
	61,200	Omnicom Group, Inc.		2,254,608
	41,800	Time Warner, Inc.		1,252,746
	42,600	Walt Disney Co. (The)		1,284,816

				8,772,926

		Oil, Gas & Consumable Fuels – 9.5%
	32,700	Apache Corp.		2,623,848
	38,600	Range Resources Corp.		2,256,556
	82,200	Ultra Petroleum Corp.(b)		2,278,584
	153,400	Williams Cos., Inc. (The)		3,733,756

				10,892,744

		Semiconductors & Semiconductor Equipment – 14.0%
	404,700	Applied Materials, Inc.		4,188,645
	356,200	Intel Corp.		7,597,746
	16,500	Lam Research Corp.(b)		626,670
	134,700	Texas Instruments, Inc.		3,589,755

				16,002,816

		Software – 2.3%
	91,100	Oracle Corp.		2,618,214

		Specialty Retail – 1.2%
	56,800	CarMax, Inc.(b)		1,354,680

		Textiles, Apparel & Luxury Goods – 1.0%
	13,500	NIKE, Inc., Class B		1,154,385

		Total Common Stocks (Identified Cost $121,269,125)		113,625,182


Principal Amount
	Short-Term Investments – 2.4%
$	2,802,290	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $2,802,290 on 10/03/2011, collateralized by $2,810,000 Federal Home Loan Mortgage Corp., 2.125% due 9/21/2012 valued at $2,862,688 including accrued interest(c) (Identified Cost $2,802,290)		2,802,290

		Total Investments – 102.1% (Identified Cost $124,071,415)(a)		116,427,472
		Other assets less liabilities – (2.1)%		(2,428,982	)

		Net Assets – 100.0%	$	113,998,490

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. 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.

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

At September 30, 2011, the net unrealized depreciation on investments based on a cost of $124,071,415 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	$	7,274,303
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,918,246	)

Net unrealized depreciation	$	(7,643,943	)

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

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the 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.

(b)	Non-income producing security.

(c)

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


ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	113,625,182	$	—	$	—	$	113,625,182
Short-Term Investments		—		2,802,290		—		2,802,290

Total	$	113,625,182	$	2,802,290	$	—	$	116,427,472

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Industry Summary at September 30, 2011 (Unaudited)


Semiconductors & Semiconductor Equipment	14.0	%
Oil, Gas & Consumable Fuels	9.5
Hotels, Restaurants & Leisure	9.3
Media	7.7
IT Services	7.2
Health Care Equipment & Supplies	7.0
Diversified Financial Services	6.8
Machinery	4.4
Commercial Banks	4.3
Aerospace & Defense	4.1
Energy Equipment & Services	3.9
Insurance	3.4
Capital Markets	2.9
Commercial Services & Supplies	2.9
Air Freight & Logistics	2.5
Software	2.3
Automobiles	2.1
Other Investments, less than 2% each	5.4
Short-Term Investments	2.4

Total Investments	102.1
Other assets less liabilities	(2.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

Loomis Sayles Absolute Strategies Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 66.4% of Net Assets
	Non-Convertible Bonds – 63.7%
		ABS Car Loan – 0.2%
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	742,199
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		432,721

				1,174,920

		ABS Home Equity – 2.2%
	1,427,868	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.525%, 11/25/2045(b)		844,651
	4,317,710	Argent Securities, Inc., Series 2006-M2, Class A2C, 0.385%, 9/25/2036(b)		1,265,512
	2,500,000	Asset Backed Securities Corp. Home Equity, Series 2006-HE7, Class A4, 0.375%, 11/25/2036(b)		827,470
	650,721	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.505%, 4/25/2035(b)		369,180
	2,622,755	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.385%, 11/25/2036(b)		851,805
	3,082,552	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.305%, 12/25/2046(b)		1,288,769
	449,274	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.039%, 12/25/2034(b)		307,584
	1,495,485	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 5.403%, 7/25/2035(b)		1,266,855
	391,864	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.555%, 7/25/2045(b)		235,538
	2,760,263	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		2,288,512
	3,000,000	Novastar Home Equity Loan, Series 2007-1, Class A2C, 0.415%, 3/25/2037(b)		812,601
	351,751	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.052%, 12/25/2046(b)		230,082
	678,868	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 1.002%, 4/25/2047(b)		451,581
	980,117	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		983,020

				12,023,160

		ABS Other – 0.7%
	3,760,500	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		3,791,878

		Aerospace & Defense – 0.5%
	2,250,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,933,072
	800,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		768,118

				2,701,190

		Airlines – 0.4%
	207,257	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		197,930


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	1,980,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025	$	1,881,000

				2,078,930

		Automotive – 3.4%
	6,280,000	American Axle & Manufacturing, Inc., 7.875%, 3/01/2017		5,903,200
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)		2,852,104
	4,050,000	Lear Corp., 8.125%, 3/15/2020		4,252,500
	5,500,000	Volkswagen Financial Services NV, 6.250%, 7/15/2015, (AUD)		5,451,790

				18,459,594

		Banking – 0.5%
	2,447,941	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		1,300,706
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,253,389

				2,554,095

		Building Materials – 0.2%
	1,000,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		930,000

		Chemicals – 0.6%
	2,245,000	Braskem America Finance Co., 144A 7.125%, 7/22/2041		2,048,563
	1,600,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		1,460,160

				3,508,723

		Collateralized Mortgage Obligations – 5.3%
	2,104,982	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.037%, 9/25/2045(b)		1,630,239
	702,228	Banc of America Funding Corp., Series 2004-B, Class 4A2, 2.807%, 11/20/2034(b)		527,858
	786,014	Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.461%, 4/20/2035(b)		553,274
	1,714,055	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036(b)		1,430,900
	751,279	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.502%, 2/22/2035(b)		400,988
	1,176,089	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.445%, 5/25/2035(b)		664,224
	548,234	Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.475%, 7/25/2035(b)		314,813
	484,037	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.535%, 5/25/2035(b)		308,571
	246,716	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.580%, 1/19/2035(b)		139,659
	200,847	Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 2.766%, 12/19/2035(b)		141,733


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
$	2,291,138	Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.763%, 12/19/2035(b)	$	1,541,397
	2,910,821	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.345%, 5/25/2037(b)		1,430,823
	829,184	Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.095%, 9/25/2034(b)		515,073
	3,846,073	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.583%, 3/25/2035(b)		2,929,819
	3,609,117	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.535%, 7/25/2035(b)		2,197,898
	2,042,161	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.433%, 2/25/2036(b)		1,309,101
	1,193,754	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.395%, 12/25/2036(b)		571,174
	2,781,112	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.355%, 7/25/2037(b)(c)		1,104,683
	1,127,286	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.435%, 10/25/2046(b)		683,492
	1,470,439	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.877%, 12/25/2034(b)		1,128,035
	808,789	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.395%, 1/25/2047(b)		437,856
	1,269,124	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.475%, 5/25/2037(b)		546,798
	1,962,276	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,742,068
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		2,352,020
	421,867	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.641%, 10/25/2035(b)		385,645
	2,411,759	Residential Accredit Loans, Inc., Series 2005-QA12, Class NB4, 4.068%, 12/25/2035(b)		1,344,607
	1,534,159	Sequoia Mortgage Trust, Series 2004-6, Class A1, 1.940%, 7/20/2034(b)		1,211,501
	978,715	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-4, Class 3A2, 2.483%, 4/25/2034(b)		796,040
	622,920	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.850%, 9/25/2046(b)		443,219

				28,783,508

		Commercial Mortgage-Backed Securities – 9.2%
	1,462,458	American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 2.037%, 9/25/2045(b)		1,159,804
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.552%, 4/15/2044, 144A(b)		3,896,762
	475,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.714%, 6/15/2039(b)		494,657
	1,400,000	Crown Castle Towers LLC, 4.883%, 8/15/2040, 144A		1,457,099
	350,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		393,400
	1,400,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,483,488
	7,409,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)		5,818,984


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	2,805,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A	$	2,637,993
	2,856,368	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.867%, 6/19/2035(b)		2,412,671
	1,400,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,453,330
	675,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		543,899
	250,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		259,729
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.790%, 8/10/2045(b)		3,157,919
	4,060,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class D, 6.314%, 6/15/2043, 144A(b)		3,575,906
	2,500,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		2,532,927
	2,430,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		2,492,961
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class D, 5.256%, 9/15/2047, 144A(b)		1,004,724
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.256%, 9/15/2047, 144A(b)		926,673
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.319%, 6/15/2044, 144A(b)		1,505,433
	4,800,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.790%, 8/12/2045, 144A(b)		4,479,374
	1,000,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.790%, 8/15/2045, 144A(b)		935,342
	9,325,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b)		7,547,814

				50,170,889

		Diversified Manufacturing – 1.0%
	5,900,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		5,516,500

		Electric – 3.2%
	1,400,000	Ameren Energy Generating Co., Series F, 7.950%, 6/01/2032		1,358,000
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		2,258,769
	7,655,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		6,066,526
	4,700,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		2,414,290
	1,700,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,433,046
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		746,670
	3,250,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		3,339,375

				17,616,676


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Gaming – 0.9%
$	2,400,000	Mandalay Resort Group, 7.625%, 7/15/2013	$	2,340,000
	500,000	MGM Resorts International, 6.875%, 4/01/2016		425,000
	250,000	MGM Resorts International, 7.500%, 6/01/2016		216,875
	2,000,000	MGM Resorts International, 7.625%, 1/15/2017		1,715,000

				4,696,875

		Government Owned - No Guarantee – 0.1%
	400,000	Petrobras International Finance Co., 6.750%, 1/27/2041		414,000

		Healthcare – 2.0%
	6,660,000	Biomet, Inc., 11.625%, 10/15/2017		6,909,750
	3,870,000	HCA, Inc., 7.500%, 2/15/2022		3,570,075
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		483,962

				10,963,787

		Hybrid ARMs – 0.6%
	2,288,228	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.030%, 4/25/2035(b)		1,012,003
	1,472,609	Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.625%, 12/25/2034(b)		821,551
	1,171,238	Lehman XS Trust, Series 2006-4N, Class A2A, 0.455%, 4/25/2046(b)		565,402
	1,232,267	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.495%, 4/25/2035(b)		867,108

				3,266,064

		Industrial Other – 0.1%
	750,000	Steelcase, Inc., 6.375%, 2/15/2021		803,292

		Life Insurance – 2.1%
	500,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		467,602
	6,200,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		5,471,500
	5,600,000	Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A		5,516,000

				11,455,102

		Media Cable – 0.3%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,463,040

		Media Non-Cable – 0.4%
	613,000	R. R. Donnelley & Sons Co., 6.125%, 1/15/2017		531,778


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Non-Cable – continued
$	2,000,000	R. R. Donnelley & Sons Co., 7.625%, 6/15/2020	$	1,775,000

				2,306,778

		Metals & Mining – 1.7%
	6,100,000	ArcelorMittal, 5.500%, 3/01/2021		5,465,905
	1,150,000	Boart Longyear Management Pty Ltd., 7.000%, 4/01/2021, 144A		1,138,500
	3,360,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		2,587,200

				9,191,605

		Non-Captive Consumer – 3.1%
	8,675,000	Residential Capital LLC, 9.625%, 5/15/2015		6,723,125
	4,250,000	SLM Corp., MTN, 8.000%, 3/25/2020		4,195,587
	3,100,000	Springleaf Finance Corp., 4.125%, 11/29/2013, (EUR)		3,645,290
	1,435,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		1,047,550
	2,200,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,606,000

				17,217,552

		Non-Captive Diversified – 0.6%
	3,260,000	CIT Group, Inc., 7.000%, 5/01/2015		3,235,550

		Oil Field Services – 0.7%
	180,000	Basic Energy Services, Inc., 7.750%, 2/15/2019, 144A		171,000
	4,040,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		3,615,800
	157,000	Parker Drilling Co., 9.125%, 4/01/2018		158,570

				3,945,370

		Packaging – 0.5%
	1,000,000	Beverage Packaging Holdings S.A., 8.000%, 12/15/2016, 144A, (EUR)		1,031,607
	750,000	Packaging Dynamics Corp., 8.750%, 2/01/2016, 144A		735,000
	840,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 7.875%, 8/15/2019, 144A		810,600
	145,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A		114,550

				2,691,757

		Pharmaceuticals – 0.8%
	2,620,000	Valeant Pharmaceuticals International, 6.500%, 7/15/2016, 144A		2,436,600


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Pharmaceuticals – continued
$	500,000		Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A	$	460,625
	1,400,000		Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		1,212,750
	200,000		Valeant Pharmaceuticals International, 7.000%, 10/01/2020, 144A		177,000
	300,000		Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		263,250

					4,550,225

			Refining – 0.3%
	1,900,000		Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		1,767,000

			REITs - Warehouse/Industrials – 1.1%
	5,800,000		ProLogis LP, 6.625%, 5/15/2018		6,014,490

			Sovereigns – 4.5%
	1,260,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		9,357,295
	725,000	(††)	Mexican Fixed Rate Bonds, Series M, 7.500%, 6/21/2012, (MXN)		5,337,940
	200,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)		1,538,077
	325,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		2,692,669
	180,000,000		Russian Foreign Bond, 7.850%, 3/10/2018, (RUB)		5,488,214

					24,414,195

			Technology – 0.0%
	75,000		CommScope, Inc., 8.250%, 1/15/2019, 144A		73,125

			Treasuries – 10.3%
	25,200,000		Canadian Government Bond, 1.750%, 3/01/2013, (CAD)(e)		24,345,331
	20,000		Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		8,363
	3,715,000		Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,568,306
	52,000,000,000		Indonesia Treasury Bond, 8.375%, 9/15/2026, (IDR)		6,578,757
	240,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		264,663
	30,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		33,504
	610,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		676,681
	11,525,000,000		Korea Treasury Bond, 3.750%, 6/10/2013, (KRW)		9,803,804
	17,640,000		Malaysia Government Bond, 3.434%, 8/15/2014, (MYR)		5,548,160


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	280,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)	$	6,062,984
	1,015,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		786,399
	1,225,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		968,304

				56,645,256

		Wireless – 2.4%
	12,200,000	Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)		5,904,534
	4,815,000	Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		4,080,712
	2,725,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		2,650,063
	1,005,000	Sprint Capital Corp., 6.875%, 11/15/2028		751,238

				13,386,547

		Wirelines – 3.8%
	544,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		473,736
	1,560,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,557,057
	3,500,000	Qwest Corp., 7.125%, 11/15/2043		3,395,000
	7,534,000	Qwest Corp., 7.200%, 11/10/2026		7,157,300
	5,165,000	Qwest Corp., 7.500%, 6/15/2023		5,094,394
	1,100,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		899,894
	250,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		228,534
	1,250,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		1,191,809
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		232,837
	450,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		427,311
	355,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		354,741

				21,012,613

		Total Non-Convertible Bonds (Identified Cost $386,134,665)		348,824,286

	Convertible Bonds – 2.5%
		Auto Components – 0.2%
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,021,138

		Automotive – 0.4%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016		2,090,987


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Healthcare – 0.2%
$	1,210,000	Hologic, Inc., (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(f)	$	1,250,838

		Metals & Mining – 0.9%
	2,250,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		2,134,687
	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066		2,603,025

				4,737,712

		Pharmaceuticals – 0.4%
	2,010,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		2,306,475

		Technology – 0.4%
	1,715,000	Ciena Corp., 0.875%, 6/15/2017		1,251,950
	1,045,000	Intel Corp., 3.250%, 8/01/2039		1,229,181

				2,481,131

		Total Convertible Bonds (Identified Cost $17,084,368)		13,888,281

	Municipals – 0.2%
		California – 0.2%
	975,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 (Identified Cost $845,485)		986,261

		Total Bonds and Notes (Identified Cost $404,064,518)		363,698,828

	Senior Loans – 6.8%
		Airlines – 0.2%
	895,500	Allegiant Travel Company, Term Loan B, 5.750%, 3/10/2017(b)		884,306

		Automotive – 0.6%
	3,476,288	Chrysler Group LLC, Term Loan, 6.000%, 5/24/2017(b)		3,021,902
	520,000	Stackpole Powertrain International USA LLC, Term Loan B, 7.500%, 8/02/2017(b)		494,000

				3,515,902

		Building Materials – 0.5%
	932,950	CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b)		886,303
	2,159,588	Nortek, Inc., Term Loan, 5.253%, 4/26/2017(g)		2,008,416

				2,894,719

		Chemicals – 0.5%
	74,303	Houghton International, Inc., New Term Loan B, 6.750%, 1/29/2016(b)		73,313


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Chemicals – continued
$	3,010,000	PQ Corporation, 2nd Lien Term Loan, 6.740%, 7/30/2015(b)	$	2,650,937

				2,724,250

		Consumer Cyclical Services – 0.2%
	335,000	Allied Security Holdings LLC, 2nd Lien Term Loan, 8.500%, 2/05/2018(b)		323,694
	94,199	Instant Web, Inc., Delayed Draw Term Loan, 3.614%, 8/07/2014(b)		84,779
	898,051	Instant Web, Inc., Term Loan B, 3.614%, 8/07/2014(b)		808,246

				1,216,719

		Industrial Other – 0.5%
	1,984,875	Milacron LLC, Term Loan B, 7.500%, 5/15/2017(b)		1,930,291
	748,125	Potters Industries, 1st Lien Term Loan, 6.000%, 5/05/2017(b)		718,200

				2,648,491

		Media Cable – 0.6%
	1,270,000	Cumulus Media, Inc., Term Loan, 5.750%, 9/17/2018(b)		1,194,194
	2,388,000	RBS International Direct Marketing LLC, Term Loan B, 6.500%, 3/23/2017(b)		2,125,320

				3,319,514

		Oil Field Services – 0.6%
	2,997,488	SemGroup Corporation, Term Loan B, 5.750%, 6/15/2018(b)		2,982,500

		Pharmaceuticals – 0.8%
	4,877,775	Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b)		4,576,962

		Retailers – 0.5%
	2,643,375	Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(b)		2,444,012

		Supermarket – 0.2%
	995,000	Sprouts Farmers Markets Holdings LLC, Term Loan, 6.000%, 4/18/2018(b)		937,787

		Technology – 1.2%
	1,396,500	Aeroflex Incorporated, Term Loan B, 4.250%, 5/09/2018(b)		1,343,266
	645,000	Inmar, Inc., New Term Loan B, 6.500%, 8/04/2017(b)		636,131
	3,070,000	Lawson Software, Inc., 1st Lien Term Loan, 6.750%, 7/05/2017(b)		2,901,150
	1,815,450	Open Link Financial, Inc., New Term Loan B, 5.250%, 4/27/2018(b)		1,774,602

				6,655,149


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wireless – 0.4%
$	2,460,000	Asurion Corporation, New 2nd Lien Term Loan, 9.000%, 5/24/2019(b)	$	2,334,540

		Total Senior Loans (Identified Cost $39,132,998)		37,134,851


Shares
	Preferred Stocks – 2.6%
	Convertible Preferred Stocks – 2.1%
		Automotive – 0.5%
	72,200	General Motors Co., Series B, 4.750%		2,532,776

		Banking – 0.8%
	4,370	Wells Fargo & Co., Series L, Class A, 7.500%		4,514,472

		Independent Energy – 0.7%
	81,250	Apache Corp., Series D, 6.000%		4,157,563

		REITs - Healthcare – 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%		370,400

		Total Convertible Preferred Stocks (Identified Cost $13,943,930)		11,575,211

	Non-Convertible Preferred Stocks – 0.5%
		Non-Captive Diversified – 0.5%
	275	Ally Financial, Inc., Series G, 7.000%, 144A		165,000
	102,000	Montpelier Re Holdings Ltd., 8.875%		2,617,320

		Total Non-Convertible Preferred Stocks (Identified Cost $2,805,062)		2,782,320

		Total Preferred Stocks (Identified Cost $16,748,992)		14,357,531

	Common Stocks – 1.9%
		Diversified Telecommunication Services – 1.4%
	106,745	AT&T, Inc.		3,044,368
	157,778	Telefonica S.A., Sponsored ADR		3,016,715
	47,543	Verizon Communications, Inc.		1,749,582

				7,810,665

		Oil, Gas & Consumable Fuels – 0.2%
	21,700	Royal Dutch Shell PLC, ADR		1,334,984

		Tobacco – 0.3%
	57,114	Altria Group, Inc.		1,531,226


Principal Amount (‡)		Description	Value (†)
	Common Stocks – continued
		Total Common Stocks (Identified Cost $10,612,924)	$	10,676,875

	Short-Term Investments – 19.0%
$	266,438	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2011 at 0.000% to be repurchased at $266,438 on 10/03/2011 collateralized by $270,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $276,190 including accrued interest(h)		266,438
	66,102,035	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $66,102,035 on 10/03/2011 collateralized by $67,425,000 Federal Home Loan Mortgage Corp., 0.500% due 8/23/2013 valued at $67,425,000 including accrued interest(e)(h)		66,102,035
	38,000,000	U.S. Treasury Bill, 0.020%, 3/22/2012(e)(i)(j)		37,990,994

		Total Short-Term Investments (Identified Cost $104,364,912)		104,359,467

		Total Investments – 96.7% (Identified Cost $574,924,344)(a)		530,227,552
		Other assets less liabilities – 3.3%		17,938,586

		Net Assets – 100.0%	$	548,166,138

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Senior loans shall be priced at bid prices supplied by a pricing service, if available.

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers.

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.

Other exchange-traded options are valued at the average of the closing bid and asked quotations.

Options on futures contracts are valued using the current settlement price.

Over-the-counter option contracts are valued based on quotations obtained from broker-dealers.

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 Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

(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 September 30, 2011, the net unrealized depreciation on investments based on a cost of $575,506,782 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,377,640
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(46,656,870	)

Net unrealized depreciation	$	(45,279,230	)

(b)	Variable rate security. Rate as of September 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 September 30, 2011, the value of this security amounted to $483,962 or 0.1% of net assets.

(e)	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.

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

(g)	Variable rate security. Rate shown represents the weighted average rate at September 30, 2011.

(h)

(i)	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.

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


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 September 30, 2011, the value of Rule 144A holdings amounted to $101,622,950 or 18.5% of net assets.
ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
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
IDR		Indonesian Rupiah
KRW		South Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
PHP		Philippine Peso
RUB		New Russian Ruble

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of 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 Fund may also make or receive upfront payments. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the 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.

Credit default swaps are marked to market daily. Fluctuations in the value of credit default swaps are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as realized gain or loss when received or paid. Upfront fees paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

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

At September 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
Bank of America	Bono Y Obligaciones del Estado		(1.00	%)		12/20/2016		5,600,000		$	686,881		$	694,031		$	7,150		$	(2,022	)
Bank of America	CDX 15 EM 500		(5.00	%)		06/20/2016		24,800,000			(1,922,073	)		(1,482,603	)		439,470			(37,889	)
Bank of America	CDX 16 EM 500		(5.00	%)		12/20/2016		17,300,000			(888,126	)		(1,030,975	)		(142,849	)		(26,431	)
Bank of America	Republic of Italy		(1.00	%)		09/20/2016		6,000,000			886,607			908,654			22,047			(1,833	)
Bank of America	Westvaco Corp.		(1.00	%)		09/20/2016		6,300,000			233,182			304,373			71,191			(1,925	)
Bank of America	Weyerhaeuser Co.		(1.00	%)		09/20/2016		6,300,000			263,552			362,149			98,597			(1,925	)
UBS Securities	CDX 16 EM 500		(5.00	%)		12/20/2016		17,300,000			(1,344,913	)		(1,030,975	)		313,938			(26,431	)
UBS Securities	CDX 16 HY 500		(5.00	%)		06/20/2016		17,400,000			1,171,256			1,567,007			395,751			(21,750	)
UBS Securities	ITRX Eur SUB FIN S16 500		(5.00	%)		12/20/2016		10,200,000	*		25,625			169,534			143,909			(26,572	)

Total													$	461,195		$	1,349,204		$	(146,778	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^{^}			Notional Value(‡)			Unamortized Up Front Payment Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
UBS Securities	Alcatel-Lucent		5.00	%		06/20/2016		9.71	%		2,700,000	*	$	80,982		$	(569,632	)	$	(650,614	)	$	5,526
Morgan Stanley	Alcatel-Lucent		5.00	%		09/20/2016		9.79	%		3,800,000	*		(1,443	)		(841,278	)		(839,835	)		7,778
Deutsche Bank Securities, Inc.	Alcatel-Lucent		5.00	%		09/20/2016		9.79	%		4,400,000	*		(542,122	)		(974,111	)		(431,989	)		9,006
Citigroup Global Markets	MGM Resorts International		5.00	%		09/20/2016		10.71	%		3,200,000			(514,442	)		(643,182	)		(128,740	)		4,889
Bank of America	NRG Energy, Inc.		5.00	%		09/20/2016		6.57	%		1,500,000			(67,891	)		(94,926	)		(27,035	)		2,292

Total																	$ (3,123,129)		$	(2,078,213	)	$	29,491

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

*	Notional value denominated in euros.

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.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge a Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 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)
Buy¹	10/24/2011	Australian Dollar		11,200,000	$	10,812,467	$	(312,941	)
Buy¹	10/25/2011	Australian Dollar		11,305,000		10,912,468		(124,491	)
Buy²	10/25/2011	Australian Dollar		8,700,000		8,397,919		(206,033	)
Sell²	10/17/2011	Australian Dollar		5,600,000		5,410,974		303,882
Sell³	10/18/2011	Australian Dollar		6,300,000		6,086,583		331,919
Sell³	10/19/2011	Australian Dollar		6,600,000		6,375,622		347,798
Sell¹	10/24/2011	Australian Dollar		11,200,000		10,812,467		482,173
Sell¹	10/25/2011	Australian Dollar		11,305,000		10,912,468		486,658
Sell²	10/25/2011	Australian Dollar		17,300,000		16,699,309		121,486
Buy²	10/14/2011	Brazilian Real		19,370,000		10,276,082		(1,024,968	)
Buy²	10/24/2011	Brazilian Real		19,200,000		10,160,508		(429,674	)
Sell²	10/14/2011	Brazilian Real		19,370,000		10,276,082		1,128,098
Sell²	10/24/2011	Brazilian Real		19,200,000		10,160,508		155,884
Buy²	10/13/2011	Canadian Dollar		13,650,000		13,022,845		(829,117	)
Buy³	10/24/2011	Canadian Dollar		5,700,000		5,436,639		(155,160	)
Sell²	10/13/2011	Canadian Dollar		13,650,000		13,022,845		666,992
Sell³	10/24/2011	Canadian Dollar		30,575,000		29,162,321		1,289,350
Buy¹	01/30/2012	Chinese Renminbi		28,440,000		4,461,516		35,688
Sell¹	01/30/2012	Chinese Renminbi		28,440,000		4,461,516		(83,100	)
Sell²	10/14/2011	Columbian Peso		5,240,000,000		2,713,439		176,799
Buy²	10/06/2011	Euro		4,200,000		5,626,865		(188,875	)
Buy²	10/11/2011	Euro		4,200,000		5,626,655		(188,791	)
Buy²	10/12/2011	Euro		4,200,000		5,626,613		(128,647	)
Buy²	10/13/2011	Euro		8,600,000		11,521,075		(214,485	)
Buy²	10/14/2011	Euro		12,700,000		17,013,553		(389,130	)
Buy²	10/17/2011	Euro		4,200,000		5,626,403		(128,773	)
Buy²	10/21/2011	Euro		4,240,000		5,679,818		(48,718	)
Sell²	10/06/2011	Euro		7,115,000		9,532,178		578,224
Sell²	10/11/2011	Euro		4,200,000		5,626,655		333,859
Sell²	10/12/2011	Euro		4,200,000		5,626,613		272,917
Sell²	10/13/2011	Euro		8,600,000		11,521,075		425,873
Sell²	10/14/2011	Euro		12,700,000		17,013,553		411,355


Sell²	10/17/2011	Euro	4,200,000	5,626,403		117,307
Sell²	10/19/2011	Euro	980,000	1,312,808		43,218
Sell²	10/21/2011	Euro	12,590,000	16,865,310		196,909
Sell²	10/28/2011	Euro	6,085,000	8,150,917		122,857
Sell²	10/31/2011	Euro	1,622,000	2,172,636		150,392
Buy²	10/03/2011	Malaysian Ringgit	17,500,000	5,481,597		(263,265	)
Buy²	10/19/2011	Malaysian Ringgit	9,100,000	2,848,660		(51,276	)
Sell²	10/03/2011	Malaysian Ringgit	17,500,000	5,481,597		335,255
Sell²	10/19/2011	Malaysian Ringgit	17,800,000	5,572,105		174,465
Buy²	10/14/2011	Mexican Peso	193,500,000	13,938,753		(1,048,119	)
Buy²	10/21/2011	Mexican Peso	268,000,000	19,292,017		(775,073	)
Sell²	10/14/2011	Mexican Peso	193,500,000	13,938,753		1,213,355
Sell²	10/21/2011	Mexican Peso	268,000,000	19,292,017		934,818
Buy²	10/13/2011	New Russian Ruble	188,000,000	5,830,686		(338,811	)
Sell²	10/13/2011	New Russian Ruble	188,000,000	5,830,686		358,615
Buy²	10/06/2011	Singapore Dollar	14,500,000	11,086,513		(958,678	)
Buy²	10/17/2011	South Korean Won	11,710,000,000	9,932,491		(643,260	)
Buy³	10/21/2011	South Korean Won	5,800,000,000	4,918,330		(60,211	)
Sell²	10/17/2011	South Korean Won	11,710,000,000	9,932,491		722,650
Sell³	10/21/2011	South Korean Won	11,650,000,000	9,879,059		277,872

Total					$	3,605,072

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


Settlement Date	Deliver/Units of Currency		Receive²/Units of Currency		Unrealized Appreciation (Depreciation)
10/04/2011	Australian Dollar	5,334,915	Euro	4,070,000	$	290,184
10/04/2011	Euro	4,070,000	Australian Dollar	5,534,455		(97,089	)

Total					$	193,095

¹	Counterparty is Morgan Stanley

²	Counterparty is Credit Suisse.

³	Counterparty is Bank of America.

Futures Contracts

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

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash, or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund, depending on the price fluctuations in the fair value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		12/20/2011		233	$	36,959,625	$	693,025

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		12/16/2011		333	$	18,747,900	$	540,268
German Euro BOBL		12/08/2011		9		1,472,613		3,480
30 Year U.S. Treasury Bond		12/20/2011		367		52,343,375		152,433

Total							$	696,181

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	46,841,452	$	9,803,804	$	56,645,256
All Other Non-Convertible Bonds*		—		292,179,030		—		292,179,030

Total Non-Convertible Bonds		—		339,020,482		9,803,804		348,824,286

Convertible Bonds*		—		13,888,281		—		13,888,281
Municipals*		—		986,261		—		986,261

Total Bonds and Notes		—		353,895,024		9,803,804		363,698,828

Senior Loans*		—		37,134,851		—		37,134,851
Preferred Stocks*		14,192,531		—		165,000		14,357,531
Common Stocks*		10,676,875		—		—		10,676,875
Short-Term Investments		—		104,359,467		—		104,359,467

Total		24,869,406		495,389,342		9,968,804		530,227,552

Credit Default Swap Agreements (unrealized appreciation)		—		1,492,053		—		1,492,053
Forward Foreign Currency Contracts (unrealized appreciation)		—		12,486,852		—		12,486,852
Futures Contracts (unrealized appreciation)		1,389,206		—		—		1,389,206

Total	$	26,258,612	$	509,368,247	$	9,968,804	$	545,595,663

Liability Valuation Inputs

		00000000		00000000			00000000		00000000
Description	Level 1		Level 2			Level 3		Total
Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(2,221,062	)	$	—	$	(2,221,062	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(8,688,685	)		—		(8,688,685	)

Total	$	—	$	(10,909,747	)	$	—	$	(10,909,747	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2010		Accrued Discounts (Premiums)			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	(4,777	)	$	—	$	(814,996	)	$	10,623,577	$	—	$	—	$	—	$	9,803,804	$	(814,996	)
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		—			—		(94,901	)		—		—		259,901		—		165,000		(94,901	)

Total	$	—	$	(4,777	)	$	—	$	(909,897	)	$	10,623,577	$	—	$	259,901	$	—	$	9,968,804	$	(909,897	)

A preferred stock valued at $259,901 was transferred from Level 2 to Level 3 during the period ended September 30, 2011. At December 31, 2010, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the period ended September 30, 2011, the Fund used forward foreign currency, futures and option contracts and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund holdings of foreign securities. During the period ended September 30, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet its obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended September 30, 2011, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended September 30, 2011, the Fund engaged in option transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended September 30, 2011, the Fund engaged in futures contracts for hedging purposes and to manage duration.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of September 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:


Counterparty	Derivatives			Collateral Pledged
Deutsche Bank	$	(974,111	)	$	—
Citibank		(643,182	)		490,884
Morgan Stanley		(357,291	)		—

Forward foreign currency contracts, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of September 30, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $17,444,471 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $3,418,948. These amounts do not take into account the value of collateral received by the Fund in the amount of $1,120,000.

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

The following is a summary of derivative instruments for the Fund, as of September 30, 2011:


Asset Derivatives	Foreign Exchange Contracts			Equity Contracts		Credit Contracts			Interest Rate Contracts
Forwards (unrealized appreciation)	$	12,486,852		$	—	$	—		$	—
Futures (unrealized appreciation)		—			540,268		—			848,938
Swaps (unrealized appreciation)		—			—		1,492,053			—

Liability Derivatives	Foreign Exchange Contracts			Equity Contracts		Credit Contracts			Interest Rate Contracts
Forwards (unrealized depreciation)	$	(8,688,685	)	$	—	$	—		$	—
Swaps (unrealized depreciation)		—			—		(2,221,062	)		—

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	10.3	%
Commercial Mortgage-Backed Securities	9.2
Collateralized Mortgage Obligations	5.3
Automotive	4.9
Sovereigns	4.5
Wirelines	3.8
Electric	3.2
Non-Captive Consumer	3.1
Wireless	2.8
Metals & Mining	2.6
Healthcare	2.2
ABS Home Equity	2.2
Life Insurance	2.1
Pharmaceuticals	2.0
Other Investments, less than 2% each	19.5
Short-Term Investments	19.0

Total Investments	96.7
Other assets less liabilities (including open credit default swap agreements, forward foreign currency contracts and futures contracts)	3.3

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2011 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 31.8% of Net Assets
	Non-Convertible Bonds – 30.0%
		Airlines – 1.6%
$	750,000	Air Canada, 9.250%, 8/01/2015, 144A	$	712,500
	415,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		427,450

				1,139,950

		Automotive – 0.1%
	65,000	Navistar International Corp., 8.250%, 11/01/2021		66,706

		Chemicals – 0.6%
	420,000	PolyOne Corp., 7.375%, 9/15/2020		422,100

		Collateralized Mortgage Obligations – 0.3%
	452,290	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.202%, 8/25/2046(b)		204,240

		Commercial Mortgage-Backed Securities – 0.7%
	700,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.790%, 8/10/2045(b)		509,342

		Construction Machinery – 0.9%
	125,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		108,125
	100,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.250%, 11/15/2019		98,000
	500,000	United Rentals North America, Inc., 8.375%, 9/15/2020		458,750

				664,875

		Consumer Cyclical Services – 0.6%
	500,000	AMC Entertainment, Inc., 9.750%, 12/01/2020		452,500

		Consumer Products – 0.4%
	345,000	Visant Corp., 10.000%, 10/01/2017		319,125

		Distributors – 0.7%
	500,000	ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A		483,411

		Electric – 1.6%
	315,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		297,675
	500,000	AES Corp. (The), 8.000%, 10/15/2017		502,500


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	400,000	Calpine Corp., 7.500%, 2/15/2021, 144A	$	382,000

				1,182,175

		Food & Beverage – 0.4%
	400,000	Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		252,000

		Healthcare – 1.3%
	390,000	Biomet, Inc., 11.625%, 10/15/2017		404,625
	565,000	HCA, Inc., 7.500%, 2/15/2022		521,212

				925,837

		Independent Energy – 2.3%
	1,000,000	Concho Resources, Inc., 6.500%, 1/15/2022		985,000
	625,000	QEP Resources, Inc., 6.875%, 3/01/2021		653,125

				1,638,125

		Media Non-Cable – 1.8%
	150,000	Intelsat Jackson Holdings S.A., 7.500%, 4/01/2021, 144A		139,500
	1,350,000	Intelsat S.A., 11.250%, 2/04/2017		1,171,125

				1,310,625

		Metals & Mining – 1.7%
	180,000	Arch Western Finance LLC, 6.750%, 7/01/2013		179,550
	1,000,000	Teck Resources Ltd., 4.750%, 1/15/2022		1,018,001

				1,197,551

		Non-Captive Consumer – 0.6%
	100,000	Residential Capital LLC, 9.625%, 5/15/2015		77,500
	420,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		386,400

				463,900

		Non-Captive Diversified – 1.6%
	120,000	Aircastle Ltd., 9.750%, 8/01/2018		123,600
	360,000	International Lease Finance Corp., 8.625%, 9/15/2015		357,300
	700,000	International Lease Finance Corp., Series R, MTN, 6.625%, 11/15/2013		679,000

				1,159,900

		Oil Field Services – 2.4%
	675,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		641,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	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 S.A., 8.500%, 6/01/2018, 144A		456,450
	475,000	Precision Drilling Corp., 6.500%, 12/15/2021, 144A		467,875

				1,758,425

		Packaging – 1.3%
	460,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A. 7.875%, 8/15/2019, 144A		443,900
	635,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A. 8.250%, 2/15/2021, 144A		501,650

				945,550

		Paper – 0.9%
	220,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		274,583
	200,000	Sappi Papier Holding GmbH, 6.625%, 4/15/2021, 144A		170,000
	200,000	Weyerhaeuser Co., 7.375%, 3/15/2032		199,464

				644,047

		Property & Casualty Insurance – 0.5%
	350,000	Liberty Mutual Group, Inc., 5.000%, 6/01/2021, 144A		332,518

		Refining – 0.4%
	295,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		271,400

		Retailers – 1.1%
	610,000	Edcon Proprietary Ltd., 4.778%, 6/15/2014, (EUR)(b)		604,763
	250,000	Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A		202,500

				807,263

		Technology – 1.5%
	765,000	Audatex North America, Inc., 6.750%, 6/15/2018, 144A		759,262
	390,000	First Data Corp., 7.375%, 6/15/2019, 144A		346,125

				1,105,387

		Transportation Services – 0.3%
	200,000	Asciano Finance Ltd., 6.000%, 4/07/2023, 144A		211,449

		Wireless – 2.0%
	1,500,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		1,458,750


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – 2.4%
$	550,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039	$	494,735
	400,000	Embarq Corp., 7.995%, 6/01/2036		375,318
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031		200,337
	700,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		618,625

				1,689,015

		Total Non-Convertible Bonds (Identified Cost $23,519,918)		21,616,166

	Convertible Bonds – 1.8%
		Media Non-Cable – 0.3%
	225,000	Interpublic Group of Cos., Inc. (The), 4.750%, 3/15/2023		239,063

		Retailers – 1.0%
	680,000	Best Buy Co., Inc., 2.250%, 1/15/2022		678,300

		Technology – 0.5%
	300,000	Intel Corp., 3.250%, 8/01/2039		352,875

		Total Convertible Bonds (Identified Cost $1,347,950)		1,270,238

		Total Bonds and Notes (Identified Cost $24,867,868)		22,886,404

	Senior Loans – 1.8%
		Automotive – 0.9%
	410,000	Chrysler Group LLC, Term Loan, 5/24/2017(c)		356,409
	339,150	Chrysler Group LLC, Term Loan, 6.000%, 5/24/2017(b)		294,820

				651,229

		Chemicals – 0.1%
	38,447	Arizona Chemical, Inc., New Term Loan B, 4.750%, 11/21/2016(b)		37,646

		Electric – 0.7%
	540,285	AES Corporation, New Term Loan, 4.250%, 6/01/2018(b)		527,550

		Wireless – 0.1%
	124,375	TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(b)		120,955

		Total Senior Loans (Identified Cost $1,434,527)		1,337,380


Shares		Description	Value (†)
	Common Stocks – 10.5%
		Airlines – 0.5%
	22,100	Delta Air Lines, Inc.(d)	$	165,750
	10,000	United Continental Holdings, Inc.(d)		193,800

				359,550

		Beverages – 0.5%
	5,900	PepsiCo, Inc.		365,210

		Commercial Services & Supplies – 0.5%
	11,500	Waste Management, Inc.		374,440

		Communications Equipment – 1.1%
	50,500	Cisco Systems, Inc.		782,245

		Computers & Peripherals – 1.1%
	19,100	SanDisk Corp.(d)		770,685

		Diversified Telecommunication Services – 1.1%
	13,400	AT&T, Inc.		382,168
	11,000	Verizon Communications, Inc.		404,800

				786,968

		Machinery – 0.5%
	8,600	Illinois Tool Works, Inc.		357,760

		Oil, Gas & Consumable Fuels – 0.4%
	12,000	Chesapeake Energy Corp.		306,600

		Pharmaceuticals – 0.5%
	10,400	Eli Lilly & Co.		384,488

		Semiconductors & Semiconductor Equipment – 1.2%
	10,300	Broadcom Corp., Class A(d)		342,887
	45,600	Teradyne, Inc.(d)		502,056

				844,943

		Software – 0.6%
	14,300	Oracle Corp.		410,982

		Specialty Retail – 1.0%
	11,100	Home Depot, Inc. (The)		364,857
	18,800	Lowe’s Cos., Inc.		363,592

				728,449

		Tobacco – 0.5%
	5,400	Philip Morris International, Inc.		336,852

		Trading Companies & Distributors – 0.5%
	23,000	United Rentals, Inc.(d)		387,320

		Wireless Telecommunication Services – 0.5%
	13,900	Vodafone Group PLC, Sponsored ADR		356,535

		Total Common Stocks (Identified Cost $7,686,106)		7,553,027


Shares		Description	Value (†)
	Preferred Stocks – 1.0%
		Non-Captive Diversified – 1.0%
	18,000	GMAC Capital Trust I, Series 2, (fixed rate to 2/15/2016, variable rate thereafter), 8.125%	$	328,500
	16,500	Montpelier Re Holdings Ltd., 8.875%		423,390

		Total Preferred Stocks (Identified Cost $862,500)		751,890

	Exchange Traded Funds – 2.1%
	32,100	Technology Select Sector SPDR Fund		756,597
	23,000	Utilities Select Sector SPDR Fund		773,720

		Total Exchange Traded Funds (Identified Cost $1,500,100)		1,530,317


Par Value(‡)/Contracts/ Shares(††)
	Purchased Options – 0.2%
		Over-the-Counter Options on Currency – 0.1%
	1,300,000	EUR Put/SGD Call, expiring June 04, 2012 at 1.7000(EUR)(e)(f)	58,311

		Options on Futures Contracts – 0.0%
	5	Cotton Future, Call expiring November 11, 2011 at 1500(f)(k)	100
	15	Gold 100 oz Future, Call expiring November 22, 2011 at 1900(f)(k)	17,400

			17,500

		Options on Securities – 0.1%
	210,000	iShares MSCI Japan Index Fund, Call expiring December 17, 2011 at 10(f)	53,550
	11,000	SPDR S&P 500 ETF Trust, Call expiring October 22, 2011 at 130(f)	715

			54,265

		Total Purchased Options (Identified Cost $364,351)	130,076


Principal Amount (‡)
	Short-Term Investments – 40.9%
$	353,853	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2011 at 0.000% to be repurchased at $353,853 on 10/03/2011 collateralized by $360,000 Federal Home Loan Mortgage Corp., 0.900% due 9/12/2014 valued at $360,529; $5,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $5,115 including accrued interest(g)(k)		353,853
	9,113,898	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $9,113,898 on 10/03/2011 collateralized by $9,300,000 Federal Home Loan Mortgage Corp., 0.500% due 8/23/2013 valued at $9,300,000 including accrued interest(g)		9,113,898
	6,500,000	U.S. Treasury Bills, 0.001%-0.032%, 11/17/2011(h)(i)(j)(k)(m)		6,499,896
	13,500,000	U.S. Treasury Bills, 0.020%, 3/22/2012(h)(i)(j)(k)(l)		13,496,800

		Total Short-Term Investments (Identified Cost $29,466,354)		29,464,447

		Total Investments – 88.3% (Identified Cost $66,181,806)(a)		63,653,541
		Other assets less liabilities – 11.7%		8,398,957

		Net Assets – 100.0%	$	72,052,498


Par Value(‡)/Contracts/ Shares(††)		Description	Value (†)
	Written Options – (0.1)%
		Over-the-Counter Options on Currency – (0.1)%
	1,300,000	EUR Put/SGD Call, expiring June 04, 2012 at 1.6000(EUR)(e)(f)	$	(32,451	)

		Options on Futures Contracts – 0.0%
	5	Cotton Future, Call expiring November 11, 2011 at 2000(f)(k)		(25	)
	15	Gold 100 oz Future, Call expiring November 22, 2011 at 2000(f)(k)		(8,550	)

				(8,575	)

		Options on Securities – 0.0%
	11,000	SPDR S&P 500 ETF Trust, Call expiring October 22, 2011 at 137(f)		(110	)

		Total Written Options (Premiums Received $97,445)	$	(41,136	)

Consolidation

The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2011, the value of the Fund’s investment in the subsidiary was $10,101,302, representing 14.0% of the Fund’s net assets.

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