UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2011

Item 1. Reports to Stockholders.

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

ANNUAL REPORT

December 31, 2011

CGM Advisor Targeted Equity Fund

Harris Associates Large Cap Value Fund

Natixis Diversified Income Fund

Natixis U.S. Multi-Cap Equity Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

Westpeak ActiveBeta^® Equity Fund

TABLE OF CONTENTS

Management Discussion and Performance page 1

Portfolio of Investments page 39

Financial Statements page 87

CGM ADVISOR TARGETED EQUITY FUND

Management Discussion

Manager:

G. Kenneth Heebner, CFA

Capital Growth Management Limited Partnership

Objective:

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

Strategy:

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

Fund Inception:

November 27, 1968

Symbols:

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

Market Conditions

The year 2011 started strong, as investors grew more confident in a U.S. economic expansion. Midway through the period, investor optimism eroded as a host of factors stalled an economic recovery: elevated fuel prices, stubbornly high U.S. unemployment rates, further declines in U.S. home values, natural disasters, a Congressional showdown on the U.S. government debt ceiling, a U.S. debt rating downgrade and the lingering European sovereign debt crisis. Yet, as the period came to a close, positive data began to point towards a pickup in U.S. economic growth in the coming year.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of CGM Advisor Targeted Equity Fund returned -15.36% at net asset value. The fund underperformed its benchmark, the S&P 500 Index, which returned 2.11%, and the average fund in Morningstar’s Large Growth category, which returned -2.46%, for the same period.

Explanation of Fund Performance

The fund remained fully invested throughout 2011 in anticipation of significant global growth, particularly in the United States. Global economic trends, however, proved disappointing. U.S. economic growth rose slightly less than expected. Monetary restraint restricted business in India and China, while the European economy entered a recession with the application of fiscal restraint in a number of countries to support the euro. Global economic challenges caused many of the fund’s cyclical stocks (stocks whose profitability, and therefore share price, track the growth of the wider economy) to decline during the period, hurting the fund’s performance.

Detractors included Citigroup, Tata Motors and Halliburton. We believe that Citigroup, a leading global financial services company, has made strong progress in building its capital position and developing future earning power, particularly in emerging markets with significant growth potential. That said, Citigroup’s share price has been under pressure due to fears surrounding

1  |

the European debt crisis – fears that we believe are unjustified given the company’s limited exposure to European economies. We continue to hold Citigroup. Tata Motors, India’s leading truck manufacturer, recently expanded its product line by acquiring Jaguar-Land Rover, a major producer of premium sedans and SUVs, from Ford Motor Company. Unfortunately, earnings growth at Tata Motors suffered because India tightened its monetary policy. A difficult introduction of a new car in India, the Nano, also hurt Tata’s earnings. Halliburton, a major oil service provider, was hurt by fears of overcapacity in the oil well-stimulation business. We sold both Tata Motors and Halliburton.

Although many of the economically sensitive stocks in the fund lost ground during the period, several holdings posted healthy gains. CBS Broadcasting, Macy’s and Google all climbed, reflecting positive earnings growth and prospects. CBS, a major television network with extensive operations in radio and TV broadcasting, made the largest positive contribution to return. Shares rose as a result of strong increases in advertising pricing throughout its operations. The stock also fared well as the company began selling programming rights to new consumption formats, such as Netflix. Macy’s, a leading U.S. chain of mid- to high-range department stores, witnessed significant market share gains. Macy’s, a new addition to the portfolio, benefited from successful merchandising, particularly from its ability to successfully tailor its product lines to local tastes. Google, the dominant Internet search engine company, continues to benefit from a strong advertising environment. The stock, a new addition to the portfolio as well, has been further supported by the tendency for advertisers to move from more traditional media to Internet advertising.

Outlook

As the year came to a close, the U.S. economy began to show indications of faster growth. We have positioned the fund to benefit from this trend, focusing, as always, on a smaller number of stocks that we believe offer significant price appreciation potential.

What You Should Know

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

|  2

CGM ADVISOR TARGETED EQUITY FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares

December 31, 2001 through December 31, 2011

Average Annual Total Returns — December 31, 2011

	1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		-15.36	%		0.56	%		3.88	%
With 5.75% Maximum Sales Charge		-20.24			-0.62			3.27
Class B (Inception 2/28/97)
NAV		-15.98			-0.18			3.11
With CDSC1		-20.18			-0.53			3.11
Class C (Inception 9/1/98)
NAV		-15.96			-0.16			3.11
With CDSC1		-16.80			-0.16			3.11
Class Y (Inception 6/30/99)
NAV		-15.16			0.82			4.23
Comparative Performance
S&P 500 Index2		2.11			-0.25			2.92
Morningstar Large Growth Fund Avg.3		-2.46			0.79			2.29

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

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

3  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		98.5
Short-Term Investments and Other		1.5
Ten Largest Holdings	% of Net Assets as of 12/31/11
CBS Corp., Class B		7.8
Macy’s, Inc.		6.7
Philip Morris International, Inc.		6.3
United Continental Holdings, Inc.		6.1
Prudential Financial, Inc.		6.0
PNC Financial Services Group, Inc.		5.9
MasterCard, Inc., Class A		5.7
Citigroup, Inc.		5.7
JPMorgan Chase & Co.		5.5
Google, Inc., Class A		5.3

Five Largest Industries	% of Net Assets as of 12/31/11
Multiline Retail		11.3
Diversified Financial Services		11.2
Insurance		9.0
Textiles, Apparel & Luxury Goods		8.0
Media		7.8

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

|  4

HARRIS ASSOCIATES LARGE CAP VALUE FUND

Management Discussion

Managers:

Edward S. Loeb, CFA

Michael J. Mangan, CFA

Diane L. Mustain, CFA

Harris Associates L.P.

Objective:

Seeks opportunities for long-term capital growth and income

Strategy:

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

Fund Inception:

May 6, 1931

Symbols:

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

Market Conditions

Global equity markets in 2011 were marked by heightened volatility, driven in large measure by natural disasters and political events in both domestic and international markets, as well as confusing economic signals. While markets have posted solid recoveries from their 2008-2009 lows, investors continue to try to minimize any perceived risk in their portfolios. Evidence of this imperative is seen in the sizable flows from equities to fixed income despite historically low yields and tight bond-market spreads.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Harris Associates Large Cap Value Fund returned -1.56% at net asset value. The fund underperformed its benchmark, the Russell 1000 Value Index, which returned 0.39%, and the -1.27% average return of funds in its peer group, Morningstar’s Large Blend category.

Explanation of Fund Performance

The fund started and finished the year with strongly positive quarters, but these periods could not overcome a third quarter dragged down in large part by the volatility created by Europe’s growing sovereign debt crisis, which spread gloom and uncertainty to the U.S. market as well.

On a sector basis, the fund benefited from its significant overweights in information technology (IT) and industrials. Stock selection in the IT sector was also the fund’s leading contributor to return relative to the Russell 1000 Value Index. The fund also benefited relative to the benchmark from its stock selection and underweight position in financials, even though the sector was weak for the period. Energy and consumer discretionary holdings detracted from return relative to the index, both due mostly to stock selection.

The leading contributors to fund returns for the year were all in the IT sector: MasterCard, Intel and Visa. MasterCard and Visa, both U.S.-based processors of debit- and credit-card transactions, benefited from a

5  |

secular shift from paper to electronic payments. Intel, the world’s largest semiconductor maker and the largest holding in the fund at year-end, was the beneficiary of high gross margins and strong demand for its high-end server chips. All three companies remain top picks in the portfolio.

Among the largest detractors from fund returns for the year were Ultra Petroleum, Carnival and Applied Materials. Ultra Petroleum faced weak natural gas prices as more shale formations were developed. Energy prices and geopolitical issues created significant headwinds for Carnival, the world’s largest cruise-ship operator. Applied Materials was hurt by soft demand for semiconductor, LCD and solar equipment. While these companies did not perform well in 2011, each remains in the portfolio based on its longer-term prospects. Ultra Petroleum has high growth in production and cash flow from its world-class natural gas properties. Carnival is taking steps to make its operations more cost-efficient and we believe that Applied Materials is a dominant player in an industry that stands to benefit from economic recovery.

Outlook

Despite the many domestic and international challenges, we, as long-term, value-oriented investors, enter 2012 with a positive outlook for U.S. equities. The market was trading at around 12 times earnings as the new year began (compared to a historical average closer to 15), corporate profit margins are at record levels, and we believe corporate balance sheets are as healthy as they have been in more than four decades. That balance sheet strength has already benefited the fund in tangible ways in a risk-averse environment, as the vast majority of the companies we follow have increased dividends and/or repurchased stock in the past year. In our view, the biggest potential misstep we see for investors is being afraid of taking on reasonable portfolio risk by steering clear of the equity market.

What You Should Know

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

|  6

HARRIS ASSOCIATES LARGE CAP VALUE FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2001 through December 31, 2011

Average Annual Total Returns — December 31, 2011⁴

	1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		-1.56	%		-1.51	%		2.03	%
With 5.75% Maximum Sales Charge		-7.20			-2.68			1.43
Class B (Inception 9/13/93)
NAV		-2.34			-2.25			1.26
With CDSC1		-7.23			-2.64			1.26
Class C (Inception 5/1/95)
NAV		-2.28			-2.25			1.26
With CDSC1		-3.25			-2.25			1.26
Class Y (Inception 11/18/98)
NAV		-1.40			-1.20			2.40
Comparative Performance
Russell 1000 Value Index2		0.39			-2.64			3.89
Morningstar Large Blend Fund Avg.3		-1.27			-0.99			2.60

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

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

7  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		96.3
Short-Term Investments and Other		3.7
Ten Largest Holdings	% of Net Assets as of 12/31/11
Intel Corp.		6.7
Wells Fargo & Co.		4.8
MasterCard, Inc., Class A		3.8
Carnival Corp.		3.8
Visa, Inc., Class A		3.7
JPMorgan Chase & Co.		3.7
FedEx Corp.		3.7
Boeing Co. (The)		3.7
Comcast Corp., Special Class A		3.5
Illinois Tool Works, Inc.		3.3

Five Largest Industries	% of Net Assets as of 12/31/11
Semiconductors & Semiconductor Equipment		13.9
Hotels, Restaurants & Leisure		9.9
Media		8.0
IT Services		7.5
Diversified Financial Services		7.0

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

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

5 Before fee waivers and/or expense reimbursements.

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

|  8

NATIXIS DIVERSIFIED INCOME FUND

Management Discussion

Subadvisors:

AEW Capital Management, L.P.

Loomis, Sayles & Company, L.P.

Objective:

Seeks current income with a secondary objective of capital appreciation

Strategy:

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

Inception Date:

November 17, 2005

Symbols:

Class A	IIDPX
Class C	CIDPX

Market Conditions

Positive momentum carried the financial markets higher in the first months of 2011 before natural disasters in Japan, political unrest in the Middle East, Europe’s worsening debt crisis and weak economic data in the United States introduced uncertainty and volatility that turned investors risk averse for most of the year. However, a fourth quarter break to the upside in U.S. economic data, signs that Europe was committed to an orderly resolution of its debt problems and an improvement in growth prospects for emerging markets helped many riskier assets reverse course. Against this backdrop, income-oriented markets outperformed the equity markets for the year. Treasury Inflation Protected Securities (TIPS) and Treasury bonds led with double-digit gains, bolstered by modestly rising inflation and declining long-term interest rates, respectively. Real estate investment trusts (REITs) and high-yield bonds delivered solid returns as investors grew more confident about the economy in the year ahead.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Natixis Diversified Income Fund returned 7.21% at net asset value. The portfolio underperformed its primary benchmark, the Barclays Capital U.S. Aggregate Bond Index, which returned 7.84%. The portfolio’s secondary benchmark returned 10.28% for the period. This benchmark is a blended, unmanaged index composed of 40% Barclays Capital U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones Select Dividend Index and 15% Barclays Capital U.S. TIPS Index. The fund’s Morningstar peer group, the Conservative Allocation category, had an average return of 1.70% for the 12-month period.

Explanation of Fund Performance

Natixis Diversified Income Fund allows investors to participate in four income-oriented market segments, each featuring a different investment discipline. They are:

· Active Dividend Equity Segment, an indexed portfolio of dividend-paying common stocks,

9  |

based on the Dow Jones Select Dividend Index, and tracked by Active Investment Advisors (AIA), a division of NGAM Advisors, L.P.

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

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

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

Active Dividend Equity Segment

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

The Dow Jones Select Dividend Index returned 12.42% for the 12-month period ended December 31, 2011. Utilities, consumer discretionary and consumer staples sectors contributed positively to the index while financials, industrials and telecommunications dragged it down. As of December 31, 2011, the largest sectors in the index were utilities (33%), industrials (16%) and consumer staples (15%). Although industrials and consumer staples each gained one percentage point in weight over the prior year, the order of the largest sectors remained the same.

During the year, BancorpSouth was deleted because it reduced its dividend payment. It was replaced by CMS Energy. Dayton Power and Light and Nicor were deleted because they were acquired. They were replaced by Lockheed Martin and Olin. Caterpillar and VF Corporation were deleted and replaced by Avista and Cinemark Holdings.

AEW Diversified REIT Segment

For the 12 months ended December 31, 2011 the U.S. REIT sector returned 8.69%, as measured by the MSCI REIT Index. Despite a volatile year for the U.S. stock market, REITs benefited from growing confidence among investors surrounding the prospects for global economic stability and the diminished expectations of a possible “double-dip” recession. Performance was also helped by positive flows into the U.S. REIT sector and improving commercial property fundamentals, as well as attractive yields. The fund’s REIT segment benefited from solid security selection, particularly among its holdings in the office, regional mall, storage, healthcare and apartment sectors. These gains were partially offset by weak stock selection in the industrial and hotel sectors. Among the strongest contributors were regional mall REIT Simon Property Group, storage company Public Storage and apartment REIT Equity Residential. Main detractors from performance were Host Hotels & Resorts, Starwood Hotels & Resorts Worldwide and ProLogis.

Loomis Sayles Inflation Protected Securities Segment

U.S. government debt was a top-performing sector in 2011, as strong demand helped push yields on U.S. Treasuries decisively lower across the curve. Volatility persisted for much of the year, stemming from concerns over the European sovereign debt crisis and

|  10

the pace of U.S. economic growth. This prompted a flight to quality assets. Despite Standard & Poor’s downgrade of U.S. sovereign debt mid way through the year, investors flocked to Treasuries. Longer duration issues within the portfolio fared the best, with some issues generating total return of 20%+ for the calendar year. (Duration is a measure of interest-rate sensitivity.) However, shorter duration issues did not perform as well because the long end of the yield curve shifted more dramatically than the short end during the year. Real yields on the shorter tail of the TIPS curve have been pushed below zero, offering less room for further decline in rates going forward. Breakeven rates have remained attractive. A modest exposure to agency securities weighed slightly on performance, as the sector achieved positive returns, but trailed far behind the government sector. The overall effect was muted, as the allocation away from TIPS remains small.

Loomis Sayles Multi-Sector Bond Segment

The segment’s allocations to high-yield corporate bonds made the greatest contribution to performance in 2011, despite erratic returns during the year. Spreads widened amid increased volatility and decreased liquidity within the sector. Top-performing names came from the consumer cyclical and non-cyclical, communications and basic industry sectors. Investment-grade corporate credit posted positive total returns. The market for investment grade bonds faltered in the second and third quarters due to global growth concerns and the ongoing European sovereign debt crisis. Yet it finished the year on a strong note. A small allocation to municipal bonds also aided returns, as the sector proved to be a haven of relative safety and performance during 2011.

Convertible securities were a drag on returns as headline risks dominated the market, especially consumer cyclical, transportation and technology sectors. Exposure to foreign government debt and non-U.S. dollar bonds tended to weigh on performance as many commodity-linked countries came under pressure when global growth estimates were revised lower. Despite a debt downgrade, U.S. Treasuries were an investment of choice during 2011. The segment had no allocations to U.S. Treasuries and did not participate in the rally.

What You Should Know

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

11  |

NATIXIS DIVERSIFIED INCOME FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁶

November 17, 2005 (inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁶

	1 Year			5 Years			Since Inception5
Class A (Inception 11/17/05)
NAV		7.21	%		3.92	%		5.66	%
With 4.50% Maximum Sales Charge		2.39			2.96			4.87
Class C (Inception 11/17/05)
NAV		6.33			3.14			4.86
With CDSC1		5.33			3.14			4.86
Comparative Performance
Barclays Capital U.S. Aggregate Bond Index2		7.84			6.50			6.21
Blended Index3		10.28			4.41			5.96
Morningstar Conservative Allocation Fund Avg.4		1.70			2.73			3.71

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

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

See Notes to Charts on Page 13.

|  12

Fund Composition	% of Net Assets as of 12/31/11
Bonds and Notes		47.9
Common Stocks		45.0
Preferred Stocks		1.2
Short-Term Investments and Other		5.9
Largest Holdings	% of Net Assets as of 12/31/11
Equities
Simon Property Group, Inc.		2.7
Equity Residential		1.7
Public Storage		1.4
Boston Properties, Inc.		1.2
AvalonBay Communities, Inc.		1.2
Fixed-Income
Canada Housing Trust No. 1, 3.600%, 6/15/2013		1.7
U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		1.5
U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		1.2
Province of Ontario, Canada, 4.200%, 3/08/2018		1.1
UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1.1

Five Largest Industries	% of Net Assets as of 12/31/11
Treasuries		15.5
REITs - Apartments		4.0
REITs - Regional Malls		3.7
Multi Utilities		3.3
REITs - Healthcare		2.9

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

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

5 The since-inception comparative performance figures shown were calculated from 11/30/05.

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

7 Before fee waivers and/or expense reimbursements.

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

13  |

This Page Intentionally Left Blank

|  14

NATIXIS U.S. MULTI-CAP EQUITY FUND

Management Discussion

Subadvisors:

Harris Associates L.P.

Loomis, Sayles & Company, L.P.

Objective:

Seeks long-term growth of capital

Strategy:

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

Inception Date:

July 7, 1994

Symbols:

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

Effective June 1, 2011, Loomis, Sayles & Company, L.P. replaced BlackRock Investment Management, LLC as the manager of the large-cap segment of the fund.

Market Conditions

Positive momentum carried the financial markets higher in the first months of 2011 before natural disasters in Japan, political unrest in the Middle East, Europe’s worsening debt crisis and weak economic data in the United States introduced uncertainty and volatility that turned investors risk averse for most of the year. However, a fourth quarter break to the upside in U.S. economic data, signs that Europe was committed to an orderly resolution of its debt problems and an improvement in growth prospects for emerging markets helped many riskier assets reverse course. Against this backdrop, large, dividend-paying companies were the best performers, pushing the S&P 500 Index into modestly positive territory for the year. Mid- and small-cap stocks lagged large-caps and growth generally outperformed value.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Natixis U.S. Multi-Cap Equity Fund returned -2.79% at net asset value. For the same period, the S&P 500 Index returned 2.11%, the S&P MidCap 400 Index returned -1.73% and the Wilshire 4500 Index returned -4.10%. The portfolio also underperformed the average fund in its peer group, the Morningstar Large Growth category, which returned -2.46%.

Explanation of Fund Performance

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

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

· Loomis, Sayles & Company, L.P. manages three segments. One invests in mid-cap growth stocks, one invests in large-cap growth stocks and one focuses on small/mid-cap core stocks. The large-cap growth segment was managed by BlackRock Investment Management, LLC (BlackRock) until May 31, 2011.

15  |

Harris Associates Segment

The segment started and finished the year with positive quarters, but these periods could not overcome a third quarter dragged down in large part by the global volatility created by Europe’s sovereign debt crisis.

On a sector basis, the segment benefited from its overweights in information technology and industrials. Financials was the largest detractor from returns. Energy and consumer discretionary were also negative contributors.

Top contributors to returns were MasterCard, Intel and Visa. MasterCard and Visa are beneficiaries of a secular shift from paper to electronic payments. Intel, the world’s largest semiconductor maker, has been helped by high gross margins and strong demand for its high-end server chips.

The leading detractors from returns for the year were Ultra Petroleum, Carnival and Applied Materials. Ultra Petroleum faced weak natural gas prices as more shale formations are discovered and developed. Energy prices and geopolitical issues created significant headwinds for cruise-ship operator Carnival, while Applied Materials was hurt by soft demand for semiconductor, LCD and solar equipment. While these companies did not perform well in 2011, each remains in the portfolio based on longer-term prospects.

Loomis Sayles Mid Cap Growth Segment

Stock selection dragged down the Mid Cap Growth segment’s performance for the 12-month period. Materials stocks faced some stiff headwinds, particularly in the second half of the year, from a rising U.S. dollar, falling commodity prices and diminished expectations for global economic growth. This sector’s Rockwood Holdings, a specialty chemicals company, was among the weakest performers due to stagnating growth in its more cyclical end markets and high exposure to the slowing European economy. Rockwood was sold from the segment’s holdings during the period.

Technology stocks also lagged, as deteriorating macroeconomic conditions in the United States and Europe stifled spending by corporations and government entities. The portfolio’s holdings in communication equipment, software and services were notable drags on performance. Stock selection was also weak in financials, a sector that suffered for macroeconomic reasons rather than company-specific reasons. A position in SVB Financial, a bank holding company, detracted from performance due to slowing loan growth and net interest margin compression, a performance metric that measures the success of a company’s investment decisions relative to its debt position. SVB Financial was sold from the segment’s holdings before the period’s end.

The healthcare sector was among the greatest positive contributors to performance, primarily due to strong performance from two biotechnology stocks, Pharmasset and Alexion. Pharmasset agreed to be acquired by Gilead at a significant premium, while Alexion benefited from growing awareness of its blood disorder drug. In addition, several defensive stocks were strong contributors, specifically a holding in Dollar Tree. The discount retailer has consistently delivered strong earnings and revenue growth over the past several years.

The segment owned options (puts and calls) on several individual stocks and exchange-traded funds, primarily for hedging purposes but in some cases to express a directional view. The combined performance impact of these positions was negligible.

|  16

Loomis Sayles Small/Mid Cap Core Segment

After a volatile year driven by macroeconomic trends, the segment posted slightly negative performance. For the asset class, the strongest-performing sectors included those less sensitive to the economy and those positioned to benefit from interest rates remaining low for an extended period of time. These sectors included the utilities, financial services and consumer staples sectors. More economically sensitive sectors, such as producer durables, energy and materials, lagged for the period. Overall, stock selection was the main factor in the segment’s performance.

In terms of individual stock selection, WellCare, a government-sponsored managed-care provider, was among the leading contributors to performance, reporting strong earnings throughout the year on favorable utilization trends and solid cost controls. A position in Sally Beauty, a beauty products distributor and retailer, was a top performer as the company experienced accelerating sales growth and higher margins resulting in a steady increase in earnings expectations throughout the year. American Water Works, a water utility, also was a leading holding, benefitting from solid earnings growth, favorable regulatory developments and an increase in its dividend.

Chief detractors during the year included McDermott, an engineering and construction company, which experienced operational issues resulting in reduced earnings forecasts. Given the weak outlook, the portfolio exited the position. A position in PHH, an outsource provider of mortgages and vehicle fleet services, sold off sharply late in the year on a debt rating downgrade by Standard & Poor’s; we reduced the portfolio’s position accordingly. Last, GeoEye, a provider of high-resolution satellite images to government and commercial clients, was among the weakest holdings. Several factors weighed on the stock, including concerns about government spending levels and a weaker-than-expected earnings forecast.

Loomis Sayles Growth Segment

During the seven months Loomis Sayles managed the segment, Visa, Google and Cisco were strong performers. Visa, a payments technology company, was among the segment’s top performers. Visa shares were up during the period after the government announced less onerous guidelines for future regulation of debit card transactions. Consumers’ continued shift to card-based payments also benefited the stock. Internet search engine provider Google also was a top contributor, advancing on better-than-expected sales and successful results from new products and revenue streams. Networking company Cisco also was a leading contributor to the segment’s performance. The company beat quarterly profit and sales estimates, as it began to reap the benefits of reining in operating expenses and focusing on its more profitable business lines.

On a sector basis, technology was one of the best performers for the period. However, several individual technology investments were significant detractors from segment performance. Specifically, software company Oracle was one of the largest individual detractors as the company reported lower-than-expected sales and profits. Investment manager SEI Investments has been investing heavily in a new global wealth platform, which has hurt margins and ultimately share prices. Shares of FactSet Research Systems, a provider of financial and economic information to the investment industry, were pressured as the company faced a deceleration in revenue due to cyclical weakness in its financial-related markets.

17  |

BlackRock Segment

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

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

What You Should Know

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

|  18

NATIXIS U.S. MULTI-CAP EQUITY FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁶

December 31, 2001 through December 31, 2011

Average Annual Total Returns — December 31, 2011⁶

	1 Year			5 Years			10 Years
Class A (Inception 7/7/94)
NAV		-2.79	%		1.95	%		4.74	%
With 5.75% Maximum Sales Charge		-8.40			0.75			4.12
Class B (Inception 7/7/94)
NAV		-3.53			1.19			3.95
With CDSC1		-8.15			0.81			3.95
Class C (Inception 7/7/94)
NAV		-3.53			1.18			3.94
With CDSC1		-4.45			1.18			3.94
Class Y (Inception 11/15/94)
NAV		-2.56			2.22			5.16
Comparative Performance
S&P 500 Index2		2.11			-0.25			2.92
S&P MidCap 400 Index3		-1.73			3.32			7.04
Wilshire 4500 Index4		-4.10			1.63			6.74
Morningstar Large Growth Fund Avg.5		-2.46			0.79			2.29

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

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

19  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		97.3
Closed End Investment Companies		0.5
Short-Term Investments and Other		2.2
Ten Largest Holdings	% of Net Assets as of 12/31/11
Visa, Inc., Class A		2.1
Intel Corp.		2.0
Oracle Corp.		1.5
Wells Fargo & Co.		1.4
Google, Inc., Class A		1.2
MasterCard, Inc., Class A		1.2
Carnival Corp.		1.1
JPMorgan Chase & Co.		1.1
Boeing Co. (The)		1.1
FedEx Corp.		1.1

Five Largest Industries	% of Net Assets as of 12/31/11
Semiconductors & Semiconductor Equipment		6.5
Hotels, Restaurants & Leisure		5.8
Machinery		5.5
IT Services		5.3
Oil, Gas & Consumable Fuels		4.4

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

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

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

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

  7 Before fee waivers and/or expense reimbursements.

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

|  20

VAUGHAN NELSON SMALL CAP VALUE FUND

Management Discussion

Managers:

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment Management, L.P.

Objective:

Seeks capital appreciation

Strategy:

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

Fund Inception

December 31, 1996

Symbols:

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

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

Market Conditions

The steep rises and falls that characterized equity markets in 2011 essentially canceled each other out, leaving key indices little changed from year-earlier levels. Over the 12-month period ended December 31, 2011, small-cap stocks trailed midcaps, which in turn were weaker than large-cap issues. After a solid start for equities, Japan’s twin disasters disrupted markets and industrial supply lines. Europe’s sovereign debt crises persisted while ongoing deficit woes in the United States amid slowing economic data triggered a sharp sell-off in the summer. Then, when markets seemed gloomiest, coordinated efforts by the Federal Reserve and the European Central Bank to boost liquidity combined with modestly improved domestic data to ignite a strong year-end rally.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Vaughan Nelson Small Cap Value Fund returned -3.77% at net asset value. The fund held up better than its benchmark, the Russell 2000 Value Index, which returned -5.50% and outperformed the -4.07% average return of the funds in its peer group, the Morningstar Small Blend Category.

Explanation of Fund Performance

Good stock selection in the energy and consumer sectors keyed the period’s results. We booked solid profits in energy early in the year when turmoil in the Mideast drove oil prices higher, lifting the value of shares. In addition, fund holding Brigham Exploration was acquired by Norway’s Statoil at favorable terms.

PVH built on improving retail sales for its Calvin Klein and Tommy Hilfiger lines. Aaron’s, the rent-to-own retailer, continued the good results seen in the first half of the year. Our timely purchase at an attractive price of Choice Hotels, a franchisor whose brands include Econolodge and Comfort Inns, gave results a boost when the shares rebounded. Choice’s revenues are based on franchise fees, which are more stable than hotel revenues. The utilities sector produced strong returns led by good performance from Northwestern,

21  |

Cleco and El Paso Electric. In technology, the buyout of SRA International by a private equity firm aided results.

The portfolio’s financial stocks delivered unimpressive returns. Roiling financial markets pressured margins at Invesco Mortgage Capital, while Waddell and Reed suffered as uncertain equity markets made individual investors skittish. Both were sold. Results were also unsatisfactory among real estate investment trusts. Apollo Investment, which offers financing alternatives to mid-sized companies, fell due to eroding margins and concerns regarding the potential need to raise additional equity. This stock was sold.

In the tech sector, equipment maker Calix Communications suffered from delays in implementation of the federal broadband stimulus program. Also, a major Calix customer postponed outlays while working on a big acquisition. We retained Calix but sold TriQuint Semiconductor after earnings disappointed on reduced margins.

Outlook

Given our conviction that growth will remain sluggish, we are focusing on companies that can prosper in an uncertain economy. We have been actively seeking opportunities to reposition assets into more economically sensitive holdings and have added opportunistically to these positions. How much we extend that strategy will depend on our expectations for a recovery and its potential strength. In the meantime, volatility can be useful, as it allows us to add to attractive holdings at low prices and to trim those holdings back if prices exceed our expected valuations. We target companies with strong balance sheets, relatively stable earnings and the potential to grow at an above-average pace. As always, we are very sensitive to valuations as we assess investment candidates. In the meantime, we have a close eye on possible impacts that any recession in Europe might have on the United States and other world economies.

What You Should Know

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

|  22

VAUGHAN NELSON SMALL CAP VALUE FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁵

December 31, 2001 through December 31, 2011

Average Annual Total Returns — December 31, 2011⁵

	1 Year			5 Years			10 Years			Since Inception4
Class A (Inception 12/31/96)
NAV		-3.77	%		4.98	%		6.25	%		—
With 5.75% Maximum Sales Charge		-9.28			3.75			5.62			—
Class B (Inception 12/31/96)
NAV		-4.51			4.19			5.46			—
With CDSC1		-8.28			3.93			5.46			—
Class C (Inception 12/31/96)
NAV		-4.51			4.19			5.47			—
With CDSC1		-5.26			4.19			5.47			—
Class Y (Inception 8/31/06)
NAV		-3.54			5.27			—			6.81	%
Comparative Performance
Russell 2000 Value Index2		-5.50			-1.87			6.40			0.03
Morningstar Small Blend Fund Avg.3		-4.07			0.16			5.96			1.83

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

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

23  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		89.2
Exchange Traded Funds		4.5
Closed End investment Companies		2.6
Other Assets less Liabilities		3.7
Ten Largest Holdings	% of Net Assets as of 12/31/11
iShares Russell 2000 Value Index Fund		4.5
Silgan Holdings, Inc.		2.8
Ares Capital Corp.		2.5
HCC Insurance Holdings, Inc.		2.2
Teleflex, Inc.		2.2
Towers Watson & Co., Class A		2.1
Oil States International, Inc.		2.1
Scotts Miracle-Gro Co. (The), Class A		2.1
WESCO International, Inc.		2.1
Valmont Industries, Inc.		1.8

Five Largest Industries	% of Net Assets as of 12/31/11
Commercial Banks		5.5
Commercial Services & Supplies		5.4
Insurance		4.9
Chemicals		4.7
Exchange Traded Funds		4.5

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

4 The since-inception comparative performance figures shown are calculated from 8/31/06.

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

6 Before fee waivers and/or expense reimbursements.

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

|  24

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Management Discussion

Managers:

Dennis G. Alff, CFA

Chris D. Wallis, CFA

Scott J. Weber, CFA

Vaughan Nelson Investment

Management, L.P.

Objective:

Seeks long-term capital appreciation

Strategy:

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

Fund Inception:

October 31, 2008

Symbols:

Class A	VNVAX
Class C Class Y	VNVCX VNVYX

Market Conditions

Equity markets were very volatile in 2011, as stocks reacted sharply to events around the world. Still, major indices ended the year close to year-earlier levels. Optimism over the global economy vanished in the wake of Japan’s natural disasters and the resulting disruption of global supply lines. Stocks slowly recovered, only to plunge later in the summer as Europe’s debt crisis worsened and the United States faced a daunting deficit struggle amid discouraging economic data. The steep decline was reversed when the Federal Reserve and the European Central Bank began coordinated efforts to avert possible liquidity shortages resulting from the sovereign debt crisis, while U.S. economic news was improving modestly. The resulting rebound carried stocks higher into year end.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Vaughan Nelson Value Opportunities Fund returned -2.71% at net asset value. The fund underperformed its benchmark, the Russell Midcap Value Index, which returned -1.38%, but held up better than the -3.81% average return of the funds in its peer group, Morningstar’s Mid-Cap Blend category.

Explanation of Fund Performance

Best results for the period were found in the consumer and energy sectors, the latter benefiting particularly from the announced buyout of fund holding El Paso by Kinder Morgan. We took profits in Hansen Natural Beverages, a leader in energy drinks, when its valuation reached our target. Good earnings propelled shares of Dollar General, as consumers became more and more price conscious; we sold the stock as it reached our target valuation. Closeout chain Big Lots also performed well, as it announced deployment of cash to repurchase shares. Shares of CBS rose, reflecting the network’s increased top-line growth.

In technology, Nuance Communications, makers of speech recognition software, rose. Nuance supplies

25  |

speech software for many mobile devices and is expanding in high-growth areas such as healthcare and communications.

Although stock selection overall was a positive influence on performance, poor positioning in the strong utilities sector held results back over the period. Individual utility investments showed strong gains, but the fund was underweight compared to the benchmark, penalizing comparative returns. In the industrials sector, heavy equipment maker Navistar disappointed, but we think the company has the potential to benefit from an equipment replacement cycle that appears overdue. Other holdings in industrials also lagged. WABCO Holdings, a supplier of parts and systems for commercial trucks and buses, fell. We sold Swift Transportation, a transportation logistics company, when we concluded that it was not positioned as well as we had thought. We also sold McDermott International, an engineering and construction company in the energy sector, which is focused on offshore drilling rigs. Execution stumbles led to disappointing earnings. Digital River, a provider of outsourced e-commerce services, detracted from results as disappointing earnings raised concerns regarding long-term profitability. However, strong trends in online sales continue and we are holding the stock.

Outlook

Given our conviction that growth will remain sluggish, we are focusing on companies that can prosper in an uncertain economy. We have been actively seeking opportunities in companies that are more domestically focused, reducing our exposure to the euro zone, and have added companies with strong streams of recurring revenues. Market volatility is expected to continue, giving us the opportunity to add to attractive holdings at low prices and to trim those holdings back if prices exceed our expected valuations. We target companies with strong balance sheets and relatively stable earnings. These companies should also show the ability to grow at an above-average pace. As always, we are very sensitive to valuations as we assess investment candidates. In the meantime, we are keeping a close eye on the possible impact that any recession in Europe might have on the United States and other world economies.

What You Should Know

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

|  26

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁵

October 31, 2008 (Inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁵

	1 Year			Since Inception4
Class A (Inception 10/31/08)
NAV		-2.71	%		12.87	%
With 5.75% Maximum Sales Charge		-8.30			10.78
Class C (Inception 10/31/08)
NAV		-3.48			12.04
With CDSC1		-4.41			12.04
Class Y (Inception 10/31/08)
NAV		-2.53			13.14
Comparative Performance
Russell Midcap Value Index2		-1.38			14.99
Morningstar Mid-Cap Blend Fund Avg.3		-3.81			14.16

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

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

27  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		96.6
Closed End Investment Companies		1.6
Other Assets less Liabilities		1.8
Ten Largest Holdings	% of Net Assets as of 12/31/11
Crown Holdings, Inc.		2.4
Towers Watson & Co., Class A		2.4
Reinsurance Group of America, Inc., Class A		2.3
Willis Group Holdings PLC		2.0
NCR Corp.		1.9
Packaging Corp. of America		1.9
Great Plains Energy, Inc.		1.9
SEI Investments Co.		1.9
Life Technologies Corp.		1.9
Host Hotels & Resorts, Inc.		1.8

Five Largest Industries	% of Net Assets as of 12/31/11
Software		7.1
Electric Utilities		6.4
Insurance		6.0
Machinery		5.4
Chemicals		5.1

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

4 The since-inception comparative performance figures shown are calculated from 10/31/08.

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

6 Before fee waivers and/or expense reimbursements.

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

|  28

WESTPEAK ACTIVEBETA^® EQUITY FUND*

Management Discussion

Manager:

Khalid Ghayur, CFA

Stephen C. Platt, CFA

Westpeak Global Advisors LLC

Objective:

Seeks long-term growth of capital

Strategy:

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

Fund Inception:

July 30, 2010

Symbols:

Class A WABAX

Class C WABCX

Class Y WABYX

* Effective February 13, 2012, NGAM Distribution will no longer accept investments in the Westpeak ActiveBeta^® Equity Fund from new investors or accept additional investments in the Fund from current shareholders of the Fund.

Market Conditions

Despite a strong start and a modestly decent finish, the stock market was challenging for equity investors in calendar year 2011. Japan’s natural disasters, Europe’s recurring debt problems and weak spots in the U.S. economy marked the first half of the year, while political gridlock over raising the U.S. debt ceiling, Standard & Poor’s unprecedented downgrade of the credit rating of U.S. Treasury securities and Europe’s inability to settle on a satisfactory course of action weighed heavily on investors. These circumstances combined to send the S&P 500 Index down sharply in the third quarter, before a fourth-quarter rally that lifted the broad market into moderately positive territory for the year. Slightly better news from the domestic economy and an improved employment outlook helped lift investor confidence.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Westpeak ActiveBeta^® Equity Fund returned -2.57% at net asset value. The fund underperformed its benchmark, the S&P 500 Index, which returned 2.11%. The fund also underperformed the -1.27% average return of funds in its peer group, the Morningstar Large Blend category.

Explanation of Fund Performance

The fund is equally divided between a value-based portfolio and a momentum-based portfolio. As a result, performance for any given period depends on the relative contributions of these two market segments. During the first and fourth quarters of the year, when stocks rose, both the value and momentum components outperformed the S&P 500 Index. However, these gains were not enough to offset the downturn that occurred in the second and third quarters, when both the value and the momentum components underperformed the S&P 500 Index. In effect, the investor exodus from risk assets, which was widespread during the middle of the year, was sufficient to hurt actively managed funds whether they managed on a value or momentum basis.

29  |

For the calendar year, the momentum component of the portfolio lost less than 1.00%, while the value portion lost 3.82%.

Information technology was a particular drag on performance. An overweight in technology hurt performance in the first half of the year and stock selection in the sector was a drag in the second half. Industrials and consumer staples also detracted from performance for the year. The fund benefited from strong stock selection within the consumer discretionary sector and from an overweight position in the energy sector for both the value and momentum portfolios. Financials also made a slight positive contribution to return for the year. However, these gains were not enough to compensate for the third-quarter downdraft, and the fund ended the year in negative territory.

Outlook

We take a positive view of the equity markets as we enter 2012. Specific risks remain, as the European debt situation is far from resolved and the United States enters an election season that has the potential to create even more gridlock and contentiousness than in the year gone by. Yet, corporate earnings are positioned to move higher, and investor sentiment toward equities has clearly improved from the flight-to-quality mindset that dominated during much of 2011.

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

What You Should Know

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

|  30

WESTPEAK ACTIVEBETA^® EQUITY FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁵

July 30, 2010 (Inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁵

	1 Year			Since Inception4
Class A (Inception 7/30/10)
NAV		-2.57	%		7.85	%
With 5.75% Maximum Sales Charge		-8.14			3.45
Class C (Inception 7/30/10)
NAV		-3.26			7.09
With CDSC1		-4.17			7.09
Class Y (Inception 7/30/10)
NAV		-2.31			8.13
Comparative Performance
S&P 500 Index2		2.11			12.14
Morningstar Large Blend Fund Avg.3		-1.27			9.43

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

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

31  |

Fund Composition	% of Net Assets as of 12/31/11
Common Stocks		100.4
Other Assets less Liabilities		(0.4	)
Ten Largest Holdings	% of Net Assets as of 12/31/11
ExxonMobil Corp.		3.8
Apple, Inc.		3.1
Chevron Corp.		2.2
International Business Machines Corp.		2.0
Pfizer, Inc.		1.8
General Electric Co.		1.8
Microsoft Corp.		1.6
AT&T, Inc.		1.3
ConocoPhillips		1.3
Procter & Gamble Co. (The)		1.2

Five Largest Industries	% of Net Assets as of 12/31/11
Oil, Gas & Consumable Fuels		13.0
Health Care Providers & Services		5.1
Pharmaceuticals		5.0
Computers & Peripherals		4.9
IT Services		4.9

Portfolio holdings and asset allocations will vary.

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

4 The since-inception comparative performance figures shown are calculated from 7/30/10.

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

6 Before fee waivers and/or expense reimbursements.

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

|  32

ADDITIONAL INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

33  |

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2011 through December 31, 2011. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

|  34

CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$877.20		$5.39
Hypothetical (5% return before expenses)		$1,000.00		$1,019.46		$5.80
Class B
Actual		$1,000.00		$874.20		$8.93
Hypothetical (5% return before expenses)		$1,000.00		$1,015.68		$9.60
Class C
Actual		$1,000.00		$874.60		$8.93
Hypothetical (5% return before expenses)		$1,000.00		$1,015.68		$9.60
Class Y
Actual		$1,000.00		$878.40		$4.21
Hypothetical (5% return before expenses)		$1,000.00		$1,020.72		$4.53

* Expenses are equal to the Fund’s annualized expense ratio: 1.14%, 1.89%, 1.89% and 0.89% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

HARRIS ASSOCIATES LARGE CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$934.00		$6.34
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.61
Class B
Actual		$1,000.00		$930.00		$9.97
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class C
Actual		$1,000.00		$930.50		$9.98
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class Y
Actual		$1,000.00		$934.80		$5.12
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35

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

35  |

NATIXIS DIVERSIFIED INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$1,000.80		$5.65
Hypothetical (5% return before expenses)		$1,000.00		$1,019.56		$5.70
Class C
Actual		$1,000.00		$996.10		$9.41
Hypothetical (5% return before expenses)		$1,000.00		$1,015.78		$9.50

* Expenses are equal to the Fund’s annualized expense ratio: 1.12% and 1.87% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

NATIXIS U.S. MULTI-CAP EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$906.20		$6.29
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.67
Class B
Actual		$1,000.00		$902.40		$9.93
Hypothetical (5% return before expenses)		$1,000.00		$1,014.77		$10.51
Class C
Actual		$1,000.00		$902.50		$9.88
Hypothetical (5% return before expenses)		$1,000.00		$1,014.82		$10.46
Class Y
Actual		$1,000.00		$907.20		$5.10
Hypothetical (5% return before expenses)		$1,000.00		$1,019.86		$5.40

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.31%, 2.07%, 2.06% and 1.06% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

|  36

VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$903.90		$6.53
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.92
Class B
Actual		$1,000.00		$900.20		$10.11
Hypothetical (5% return before expenses)		$1,000.00		$1,014.57		$10.71
Class C
Actual		$1,000.00		$900.70		$10.11
Hypothetical (5% return before expenses)		$1,000.00		$1,014.57		$10.71
Class Y
Actual		$1,000.00		$905.10		$5.33
Hypothetical (5% return before expenses)		$1,000.00		$1,019.61		$5.65

* Expenses are equal to the Fund’s annualized expense ratio: 1.36%, 2.11%, 2.11% and 1.11% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$874.50		$6.61
Hypothetical (5% return before expenses)		$1,000.00		$1,018.15		$7.12
Class C
Actual		$1,000.00		$871.10		$10.09
Hypothetical (5% return before expenses)		$1,000.00		$1,014.42		$10.87
Class Y
Actual		$1,000.00		$875.30		$5.44
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85

* Expenses are equal to the Fund’s annualized expense ratio: 1.40%, 2.14% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

37  |

WESTPEAK ACTIVEBETA® EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$919.00		$5.80
Hypothetical (5% return before expenses)		$1,000.00		$1,019.16		$6.11
Class C
Actual		$1,000.00		$915.50		$9.41
Hypothetical (5% return before expenses)		$1,000.00		$1,015.38		$9.91
Class Y
Actual		$1,000.00		$919.90		$4.60
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84

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

|  38

Portfolio of Investments – as of December 31, 2011

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 98.5% of Net Assets
		Airlines — 6.1%
	2,000,000	United Continental Holdings, Inc.(b)	$	37,740,000
		Commercial Banks — 5.9%
	630,000	PNC Financial Services Group, Inc.		36,332,100
		Diversified Financial Services — 11.2%
	1,325,000	Citigroup, Inc.		34,860,750
	1,010,000	JPMorgan Chase & Co.		33,582,500
				68,443,250
		Energy Equipment & Services — 7.2%
	360,000	National Oilwell Varco, Inc.		24,476,400
	290,000	Schlumberger Ltd.		19,809,900
				44,286,300
		Hotels, Restaurants & Leisure — 5.1%
	310,000	McDonald’s Corp.		31,102,300
		Insurance — 9.0%
	600,000	MetLife, Inc.		18,708,000
	730,000	Prudential Financial, Inc.		36,587,600
				55,295,600
		Internet Software & Services — 5.3%
	50,000	Google, Inc., Class A(b)		32,295,000
		IT Services — 5.7%
	94,000	MasterCard, Inc., Class A		35,045,080
		Machinery — 4.8%
	385,000	Deere & Co.		29,779,750
		Media — 7.8%
	1,760,000	CBS Corp., Class B		47,766,400
		Multiline Retail — 11.3%
	1,280,000	Macy’s, Inc.		41,190,400
	560,000	Nordstrom, Inc.		27,837,600
				69,028,000
		Oil, Gas & Consumable Fuels — 4.8%
	275,000	Chevron Corp.		29,260,000
		Textiles, Apparel & Luxury Goods — 8.0%
	295,000	Coach, Inc.		18,006,800
	320,000	NIKE, Inc., Class B		30,838,400
				48,845,200
		Tobacco — 6.3%
	490,000	Philip Morris International, Inc.		38,455,200
		Total Common Stocks (Identified Cost $589,254,024)		603,674,180

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2011

CGM Advisor Targeted Equity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.9%
$	11,400,000	American Express Credit Corp., Commercial Paper, 0.010%, 1/03/2012	$	11,400,000
	531,470	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $531,470 on 01/03/2012 collateralized by $515,000 Federal Home Loan Mortgage Corp., 2.500% due 5/27/2016 valued at $547,188 including accrued interest (Note 2 of Notes to Financial Statements)		531,470
		Total Short-Term Investments (Identified Cost $11,931,470)		11,931,470
		Total Investments — 100.4% (Identified Cost $601,185,494)(a)		615,605,650
		Other assets less liabilities — (0.4)%		(2,560,101	)
		Net Assets — 100.0%	$	613,045,549
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized appreciation on investments based on a cost of $609,322,849 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	$	38,330,794
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(32,047,993	)
		Net unrealized appreciation	$	6,282,801
	(b)	Non-income producing security.

Industry Summary at December 31, 2011 (Unaudited)

Multiline Retail	11.3	%
Diversified Financial Services	11.2
Insurance	9.0
Textiles, Apparel & Luxury Goods	8.0
Media	7.8
Energy Equipment & Services	7.2
Tobacco	6.3
Airlines	6.1
Commercial Banks	5.9
IT Services	5.7
Internet Software & Services	5.3
Hotels, Restaurants & Leisure	5.1
Machinery	4.8
Oil, Gas & Consumable Fuels	4.8
Short-Term Investments	1.9
Total Investments	100.4
Other assets less liabilities	(0.4	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2011

Harris Associates Large Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 96.3% of Net Assets
		Aerospace & Defense — 3.7%
	62,100	Boeing Co. (The)	$	4,555,035
		Air Freight & Logistics — 3.7%
	54,600	FedEx Corp.		4,559,646
		Auto Components — 1.2%
	45,000	TRW Automotive Holdings Corp.(b)		1,467,000
		Automobiles — 2.5%
	47,500	Toyota Motor Corp., Sponsored ADR		3,141,175
		Capital Markets — 2.6%
	33,700	Franklin Resources, Inc.		3,237,222
		Commercial Banks — 4.8%
	215,000	Wells Fargo & Co.		5,925,400
		Commercial Services & Supplies — 2.5%
	112,700	Republic Services, Inc.		3,104,885
		Consumer Finance — 0.8%
	41,250	Discover Financial Services		990,000
		Diversified Financial Services — 7.0%
	16,600	CME Group, Inc., Class A		4,044,922
	139,500	JPMorgan Chase & Co.		4,638,375
				8,683,297
		Electrical Equipment — 1.8%
	30,200	Rockwell Automation, Inc.		2,215,774
		Energy Equipment & Services — 2.3%
	42,000	National-Oilwell Varco, Inc.		2,855,580
		Health Care Equipment & Supplies — 5.3%
	65,100	Baxter International, Inc.		3,221,148
	87,000	Medtronic, Inc.		3,327,750
				6,548,898
		Hotels, Restaurants & Leisure — 9.9%
	143,200	Carnival Corp.		4,674,048
	117,500	Marriott International, Inc., Class A		3,427,475
	9,770	Marriott Vacations Worldwide Corp.(b)		167,653
	27,200	McDonald’s Corp.		2,728,976
	28,100	Starwood Hotels & Resorts Worldwide, Inc.		1,347,957
				12,346,109
		Independent Power Producers & Energy Traders — 0.8%
	62,000	Calpine Corp.(b)		1,012,460
		Insurance — 1.1%
	32,200	Aflac, Inc.		1,392,972
		IT Services — 7.5%
	12,800	MasterCard, Inc., Class A		4,772,096
	45,700	Visa, Inc., Class A		4,639,921
				9,412,017

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2011

Harris Associates Large Cap Value Fund – (continued)

Shares		Description	Value (†)
		Machinery — 6.7%
	23,200	Caterpillar, Inc.	$	2,101,920
	13,800	Cummins, Inc.		1,214,676
	88,800	Illinois Tool Works, Inc.		4,147,848
	12,000	Parker Hannifin Corp.		915,000
				8,379,444
		Media — 8.0%
	187,100	Comcast Corp., Special Class A		4,408,076
	58,400	Omnicom Group, Inc.		2,603,472
	39,900	Time Warner, Inc.		1,441,986
	38,900	Walt Disney Co. (The)		1,458,750
				9,912,284
		Oil, Gas & Consumable Fuels — 5.7%
	34,400	Apache Corp.		3,115,952
	25,700	Range Resources Corp.		1,591,858
	81,200	Ultra Petroleum Corp.(b)		2,405,956
				7,113,766
		Semiconductors & Semiconductor Equipment — 13.9%
	382,500	Applied Materials, Inc.		4,096,575
	341,000	Intel Corp.		8,269,250
	31,000	Lam Research Corp.(b)		1,147,620
	131,500	Texas Instruments, Inc.		3,827,965
				17,341,410
		Software — 2.2%
	109,100	Oracle Corp.		2,798,415
		Specialty Retail — 1.3%
	54,700	CarMax, Inc.(b)		1,667,256
		Textiles, Apparel & Luxury Goods — 1.0%
	13,400	NIKE, Inc., Class B		1,291,358
		Total Common Stocks (Identified Cost $114,336,216)		119,951,403
Principal Amount
	Short-Term Investments — 4.2%
$	5,164,116	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $5,164,116 on 1/03/2012 collateralized by $5,135,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $5,272,351 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,164,116)		5,164,116
		Total Investments — 100.5%
		(Identified Cost $119,500,332)(a)		125,115,519
		Other assets less liabilities — (0.5)%		(562,286	)
		Net Assets — 100.0%	$	124,553,233
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2011

Harris Associates Large Cap Value Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2011, the net unrealized appreciation on investments based on a cost of $120,672,718 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	$	12,445,309
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,002,508	)
	Net unrealized appreciation	$	4,442,801
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2011 (Unaudited)

Semiconductors & Semiconductor Equipment	13.9	%
Hotels, Restaurants & Leisure	9.9
Media	8.0
IT Services	7.5
Diversified Financial Services	7.0
Machinery	6.7
Oil, Gas & Consumable Fuels	5.7
Health Care Equipment & Supplies	5.3
Commercial Banks	4.8
Air Freight & Logistics	3.7
Aerospace & Defense	3.7
Capital Markets	2.6
Automobiles	2.5
Commercial Services & Supplies	2.5
Energy Equipment & Services	2.3
Software	2.2
Other Investments, less than 2% each	8.0
Short-Term Investments	4.2
Total Investments	100.5
Other assets less liabilities	(0.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 47.9% of Net Assets
	Non-Convertible Bonds — 45.0%
		ABS Home Equity — 0.4%
$	77,621	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A2, 2.250%, 8/25/2035(b)	$	66,237
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		19,533
	28,760	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.564%, 4/25/2035(b)		15,230
	16,019	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.891%, 12/25/2034(b)		10,930
	15,164	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.614%, 7/25/2045(b)		9,240
	25,000	JP Morgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M2, 0.764%, 6/25/2035(b)		12,179
	76,055	JP Morgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.813%, 7/25/2035(b)		64,752
	77,928	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.800%, 5/25/2036(b)		56,877
	13,808	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.018%, 12/25/2046(b)		8,132
	29,982	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.968%, 4/25/2047(b)		18,874
				281,984
		ABS Other – 0.0%
	11,069	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		11,088
		Aerospace & Defense — 0.2%
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		143,075
		Airlines — 1.3%
	32,852	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		34,699
	41,046	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		43,969
	13,942	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		14,516
	844,770	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		844,770
				937,954
		Automotive — 0.1%
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		38,800
		Banking — 2.3%
	100,000	Bank of America Corp., 6.500%, 9/15/2037		81,895
	200,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		174,785
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		88,068
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		21,418
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		17,300
	3,339,258,780	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		359,723
	300,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		231,280
	100,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		82,487

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034	$	76,736
	210,000	Morgan Stanley, 5.500%, 7/24/2020		190,938
	100,000	Morgan Stanley, 5.750%, 1/25/2021		93,281
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		99,349
	25,000	National Australia Bank Ltd., 6.500%, 11/05/2015, (AUD)		26,477
	200,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		169,935
				1,713,672
		Building Materials — 0.8%
	170,000	Masco Corp., 5.850%, 3/15/2017		169,697
	30,000	Masco Corp., 6.500%, 8/15/2032		26,833
	15,000	Masco Corp., 7.750%, 8/01/2029		14,560
	525,000	USG Corp., 6.300%, 11/15/2016		409,500
	10,000	USG Corp., 9.750%, 1/15/2018		8,450
				629,040
		Chemicals — 0.3%
	200,000	Hercules, Inc., 6.500%, 6/30/2029		153,500
	55,000	Methanex Corp., 6.000%, 8/15/2015		56,633
				210,133
		Collateralized Mortgage Obligations — 0.5%
	23,264	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.566%, 10/25/2034(b)		14,617
	16,429	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.926%, 2/25/2035(b)		13,450
	11,643	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.575%, 7/25/2034(b)		9,168
	83,906	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.566%, 3/25/2035(b)		63,975
	28,559	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.249%, 4/25/2035(b)		20,409
	85,722	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.594%, 12/25/2034(b)		65,019
	39,678	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.660%, 3/25/2035(b)		32,988
	60,843	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.454%, 1/25/2047(b)		32,250
	22,524	Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1, 0.574%, 11/25/2035(b)		18,133
	75,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		62,208
	20,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		21,116
				353,333

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — 1.1%
$	40,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class AM, 5.902%, 6/15/2039(b)	$	29,777
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		276,484
	200,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.728%, 11/10/2046, 144A(b)		164,142
	25,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		22,175
	185,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.984%, 8/10/2045(b)		150,528
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.984%, 8/12/2045, 144A(b)		98,236
	125,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)		99,932
				841,274
		Electric — 0.6%
	100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		76,280
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		63,667
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		47,634
	200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		160,969
	20,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		4,600
	35,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		29,706
	135,000	TXU Corp., Series Q, 6.500%, 11/15/2024		60,075
				442,931
		Financial Other — 0.1%
	110,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		103,640
		Food & Beverage — 0.1%
	50,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		51,421
		Gaming — 0.2%
	150,000	MGM Resorts International, 7.500%, 6/01/2016		143,625
		Government Guaranteed — 2.1%
	1,245,000	Canada Housing Trust No. 1, 3.600%, 6/15/2013, (CAD)		1,266,301
	170,000	Citigroup Funding, Inc. (FDIC insured), 1.875%, 10/22/2012		172,339
	165,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		146,897
				1,585,537
		Government Owned - No Guarantee — 0.4%
	320,000	DP World Ltd., 6.850%, 7/02/2037, 144A		289,600
		Government Sponsored — 0.1%
	105,000	Eksportfinans ASA, 2.000%, 9/15/2015		86,980
		Healthcare — 1.7%
	25,000	HCA, Inc., 7.050%, 12/01/2027		20,969
	5,000	HCA, Inc., 7.500%, 12/15/2023		4,475
	460,000	HCA, Inc., 7.500%, 11/06/2033		397,900

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	310,000	HCA, Inc., 7.690%, 6/15/2025	$	274,350
	20,000	HCA, Inc., 8.360%, 4/15/2024		18,900
	135,000	HCA, Inc., MTN, 7.580%, 9/15/2025		119,475
	30,000	HCA, Inc., MTN, 7.750%, 7/15/2036		26,137
	345,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		374,630
				1,236,836
		Home Construction — 0.8%
	125,000	KB Home, 6.250%, 6/15/2015		115,000
	105,000	KB Home, 7.250%, 6/15/2018		94,500
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		53,100
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		325,475
				588,075
		Hybrid ARMs — 0.0%
	50,721	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.554%, 4/25/2035(b)		34,756
		Independent Energy — 0.4%
	105,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		95,025
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		162,340
	75,000	SandRidge Energy, Inc., 8.000%, 6/01/2018, 144A		75,750
				333,115
		Life Insurance — 0.4%
	300,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		267,000
		Local Authorities — 2.3%
	170,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		174,935
	235,000	Province of Ontario, Canada, 2.950%, 2/05/2015		247,480
	780,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		856,748
	285,000	Province of Ontario, Canada, 4.750%, 1/19/2016		320,732
	140,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		120,317
				1,720,212
		Lodging — 0.2%
	35,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		34,300
	25,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		26,465
	60,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		64,704
	50,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		57,069
				182,538
		Media Cable — 0.0%
	20,000	CCO Holdings GS LLC, 7.375%, 6/01/2020		21,100
		Media Non-Cable — 0.1%
	110,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		106,700
		Metals & Mining — 0.6%
	15,000	ArcelorMittal, 5.500%, 3/01/2021		13,769
	125,000	ArcelorMittal, 6.125%, 6/01/2018		123,445

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Metals & Mining — continued
$	200,000	ArcelorMittal, 6.750%, 3/01/2041	$	179,846
	10,000	ArcelorMittal, 7.000%, 10/15/2039		9,293
	10,000	United States Steel Corp., 6.650%, 6/01/2037		7,800
	145,000	Xstrata Canada Financial Corp., 4.950%, 11/15/2021, 144A		148,136
				482,289
		Non-Captive Consumer — 1.0%
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		106,219
	55,000	Residential Capital LLC, 9.625%, 5/15/2015		38,500
	25,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		21,673
	87,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		64,895
	115,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		118,450
	505,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		363,600
				713,337
		Non-Captive Diversified — 1.1%
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		61,760
	800,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		618,302
	15,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		12,747
	85,000	International Lease Finance Corp., 6.250%, 5/15/2019		78,522
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		35,350
				806,681
		Paper — 0.3%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		201,821
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,945
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		31,489
				238,255
		Pharmaceuticals — 0.0%
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		14,475
	20,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		19,400
				33,875
		Pipelines — 0.1%
	100,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		106,676
		Property & Casualty Insurance — 0.7%
	520,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		545,401
		REITs - Warehouse/Industrials — 0.1%
	20,000	ProLogis LP, 6.625%, 5/15/2018		21,721
	30,000	ProLogis LP, 6.875%, 3/15/2020		33,310
				55,031
		Retailers — 2.5%
	221,709	CVS Pass-Through Trust, 7.507%, 1/10/2032, 144A		256,433
	400,000	Dillard’s, Inc., 6.625%, 1/15/2018		394,000
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		188,600
	100,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		106,611
	225,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		247,464
	725,000	Toys R Us, Inc., 7.375%, 10/15/2018		650,687
				1,843,795

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Supermarket — 0.3%
$	320,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	228,000
		Supranational — 1.7%
	560,000	Asian Development Bank, GMTN, 2.500%, 3/15/2016		594,208
	400,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		219,190
	921,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		90,937
	12,500,000	Inter-American Development Bank, EMTN, 2.500%, 3/11/2013, (INR)		223,755
	200,000,000	International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW)		173,090
				1,301,180
		Technology — 0.9%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		337,225
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		279,825
	30,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		30,000
	30,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		31,800
				678,850
		Treasuries — 15.5%
	600,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(f)		629,866
	255,000	Canadian Government, 3.500%, 6/01/2020, (CAD)		282,511
	5,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		1,283
	330,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		93,531
	25,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		25,577
	15,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		14,994
	165,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		168,123
	10,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		10,200
	15,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		16,032
	10,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		11,074
	5,300(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		48,854
	120,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		107,040
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		231,445
	80,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		51,739
	195,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		124,928
	305,000	U.S. Treasury Bond, 4.375%, 5/15/2041		397,406
	382,191	U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026(g)		469,797
	455,723	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040(g)		611,559
	564,597	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025(g)		717,832
	269,482	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027(g)		348,031
	727,149	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(g)		1,119,980
	120,560	U.S. Treasury Inflation Indexed Note, 0.625%, 7/15/2021(g)		128,971
	175,970	U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021(g)		196,248
	233,615	U.S. Treasury Inflation Indexed Note, 1.250%, 7/15/2020(g)		264,241
	806,392	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015(g)		869,706
	281,024	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018(g)		320,016
	209,590	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013(g)		219,168
	488,939	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015(g)		539,208
	514,697	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014(g)		545,056

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Treasuries — continued
$	558,591	U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014(g)	$	601,838
	302,331	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016(g)		337,925
	494,050	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017(g)		573,483
	639,107	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016(g)		739,167
	491,643	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017(g)		585,247
	94,454	U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012(g)		96,483
	230,000	U.S. Treasury STRIPS, Zero Coupon, 5/15/2040		97,233
				11,595,792
		Wireless — 1.3%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		274,340
	400,000	Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)		210,159
	420,000	Sprint Capital Corp., 6.875%, 11/15/2028		299,775
	10,000	Sprint Capital Corp., 6.900%, 5/01/2019		8,225
	70,000	Sprint Capital Corp., 8.750%, 3/15/2032		56,613
	125,000	Sprint Nextel Corp., 9.000%, 11/15/2018, 144A		131,250
				980,362
		Wirelines — 2.4%
	40,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		37,288
	95,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		93,220
	300,000	Embarq Corp., 7.995%, 6/01/2036		310,856
	225,000	Frontier Communications Corp., 7.125%, 3/15/2019		219,375
	70,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		68,950
	135,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		137,363
	45,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		46,013
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		15,450
	315,000	Qwest Corp., 7.250%, 10/15/2035		314,101
	169,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		125,224
	242,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		183,277
	40,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		33,038
	25,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		21,321
	75,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		70,449
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		71,570
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		73,130
				1,820,625
		Total Non-Convertible Bonds (Identified Cost $33,394,153)		33,784,568
	Convertible Bonds — 2.8%
		Automotive — 0.2%
	115,000	Ford Motor Co., 4.250%, 11/15/2016		164,881
		Diversified Manufacturing — 0.2%
	170,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		158,100
	20,000	Trinity Industries, Inc., 3.875%, 6/01/2036		19,550
				177,650
		Healthcare — 0.2%
	40,000	Hologic, Inc., (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(h)		43,750
	85,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		68,106
				111,856

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Home Construction — 0.4%
$	10,000	Lennar Corp., 2.000%, 12/01/2020, 144A	$	10,050
	5,000	Lennar Corp., 2.750%, 12/15/2020, 144A		5,575
	240,000	Lennar Corp., 3.250%, 11/15/2021, 144A		262,500
				278,125
		Independent Energy — 0.2%
	155,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		127,875
		Life Insurance — 0.1%
	90,000	Old Republic International Corp., 3.750%, 3/15/2018		79,088
		Pharmaceuticals — 0.2%
	165,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		147,262
	25,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		26,219
				173,481
		Technology — 1.3%
	250,000	Ciena Corp., 0.875%, 6/15/2017		189,375
	65,000	Ciena Corp., 3.750%, 10/15/2018, 144A		61,100
	535,000	Intel Corp., 2.950%, 12/15/2035		557,069
	95,000	Lam Research Corp., 1.250%, 5/15/2018, 144A		89,062
	55,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		48,400
				945,006
		Total Convertible Bonds (Identified Cost $2,095,204)		2,057,962
	Municipals — 0.1%
		California — 0.0%
	30,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046		30,267
		Michigan — 0.1%
	50,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		36,631
		Total Municipals (Identified Cost $75,945)		66,898
		Total Bonds and Notes (Identified Cost $35,565,302)		35,909,428
Shares
	Common Stocks — 45.0%
		Aerospace & Defense — 1.3%
	2,864	General Dynamics Corp.		190,198
	2,754	Honeywell International, Inc.		149,680
	5,110	Lockheed Martin Corp.		413,399
	3,542	Northrop Grumman Corp.		207,136
				960,413
		Automobiles — 0.1%
	10,180	Ford Motor Co.(d)		109,537
		Beverages — 0.3%
	2,779	Coca-Cola Co. (The)		194,447

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Building Products — 0.0%
	3,271	Masco Corp.	$	34,280
		Chemicals — 1.0%
	2,690	Eastman Chemical Co.		105,071
	2,290	International Flavors & Fragrances, Inc.		120,042
	4,367	Olin Corp.		85,812
	2,722	PPG Industries, Inc.		227,260
	3,701	RPM International, Inc.		90,860
	2,345	Sensient Technologies Corp.		88,875
				717,920
		Commercial Banks — 0.9%
	4,201	Bank of Hawaii Corp.		186,902
	2,737	BB&T Corp.		68,890
	4,461	F.N.B. Corp.		50,454
	3,603	First Niagara Financial Group, Inc.		31,094
	4,504	FirstMerit Corp.		68,146
	4,199	Trustmark Corp.		101,994
	4,416	United Bankshares, Inc.		124,840
	5,888	Valley National Bancorp		72,835
				705,155
		Commercial Services & Supplies — 0.9%
	3,692	Avery Dennison Corp.		105,886
	4,649	Deluxe Corp.		105,811
	7,840	Pitney Bowes, Inc.		145,354
	7,255	R.R. Donnelley & Sons Co.		104,690
	3,287	Republic Services, Inc.		90,557
	4,385	Waste Management, Inc.		143,433
				695,731
		Containers & Packaging — 0.2%
	3,619	Sonoco Products Co.		119,282
		Distributors — 0.3%
	3,048	Genuine Parts Co.		186,538
		Diversified Telecommunication Services — 0.8%
	5,875	AT&T, Inc.		177,660
	8,019	CenturyLink, Inc.		298,307
	7,493	Telefonica S.A., Sponsored ADR		128,804
				604,771
		Electric Utilities — 2.8%
	4,676	American Electric Power Co., Inc.		193,166
	3,465	Cleco Corp.		132,016
	3,273	Edison International		135,502
	4,640	Entergy Corp.		338,952
	4,816	Exelon Corp.		208,870
	4,841	FirstEnergy Corp.		214,456
	3,833	NextEra Energy, Inc.		233,353
	3,823	Northeast Utilities		137,896

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Electric Utilities — continued
	4,554	Pinnacle West Capital Corp.	$	219,412
	4,772	PPL Corp.		140,392
	4,560	Unisource Energy Corp.		168,355
				2,122,370
		Electrical Equipment — 0.4%
	3,095	Emerson Electric Co.		144,196
	2,355	Hubbell, Inc., Class B		157,455
				301,651
		Food & Staples Retailing — 0.1%
	3,577	Sysco Corp.		104,913
		Food Products — 0.6%
	2,986	General Mills, Inc.		120,664
	3,650	H.J. Heinz Co.		197,246
	3,161	Kraft Foods, Inc., Class A		118,095
	2,432	Sara Lee Corp.		46,014
				482,019
		Gas Utilities — 0.8%
	4,487	AGL Resources, Inc.		189,620
	3,084	New Jersey Resources Corp.		151,733
	2,727	Oneok, Inc.		236,404
				577,757
		Hotels, Restaurants & Leisure — 1.0%
	3,938	Darden Restaurants, Inc.		179,494
	2,854	McDonald’s Corp.		286,342
	5,800	Starwood Hotels & Resorts Worldwide, Inc.		278,226
				744,062
		Household Durables — 0.6%
	4,275	Garmin Ltd.		170,188
	10,525	KB Home		70,728
	4,917	Leggett & Platt, Inc.		113,288
	2,121	Tupperware Brands Corp.		118,712
				472,916
		Household Products — 0.7%
	3,646	Clorox Co. (The)		242,678
	3,957	Kimberly-Clark Corp.		291,077
				533,755
		Industrial Conglomerates — 0.1%
	3,626	General Electric Co.		64,942
		Insurance — 0.8%
	3,115	Allstate Corp. (The)		85,382
	4,029	Arthur J. Gallagher & Co.		134,730
	5,442	Cincinnati Financial Corp.		165,763
	5,366	Mercury General Corp.		244,797
				630,672

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Leisure Equipment & Products — 0.1%
	3,202	Mattel, Inc.	$	88,888
		Machinery — 0.2%
	2,816	Briggs & Stratton Corp.		43,620
	3,050	Eaton Corp.		132,766
				176,386
		Media — 0.2%
	4,189	Cinemark Holdings, Inc.		77,455
	2,351	McGraw-Hill Cos., Inc. (The)		105,724
				183,179
		Metals & Mining — 0.1%
	3,356	Commercial Metals Co.		46,414
		Multi Utilities — 3.3%
	4,029	Alliant Energy Corp.		177,719
	4,438	Avista Corp.		114,279
	4,486	Black Hills Corp.		150,640
	4,007	CenterPoint Energy, Inc.		80,501
	4,030	CMS Energy Corp.		88,982
	3,901	Dominion Resources, Inc.		207,065
	4,505	DTE Energy Co.		245,297
	5,328	Integrys Energy Group, Inc.		288,671
	4,148	NiSource, Inc.		98,764
	2,878	OGE Energy Corp.		163,211
	4,693	PG&E Corp.		193,446
	4,302	Public Service Enterprise Group, Inc.		142,009
	4,506	SCANA Corp.		203,040
	3,642	Sempra Energy		200,310
	4,729	TECO Energy, Inc.		90,513
				2,444,447
		Oil, Gas & Consumable Fuels — 0.4%
	3,126	Chevron Corp.		332,606
		Paper & Forest Products — 0.1%
	3,460	MeadWestvaco Corp.		103,627
		Personal Products — 0.1%
	5,480	Avon Products, Inc.		95,736
		Pharmaceuticals — 0.8%
	3,873	Bristol-Myers Squibb Co.		136,485
	5,004	Eli Lilly & Co.		207,966
	4,669	Merck & Co., Inc.		176,021
	3,905	Pfizer, Inc.		84,504
				604,976
		Real Estate Management & Development — 0.4%
	10,300	Brookfield Office Properties, Inc.		161,092
	10,800	Forest City Enterprises, Inc., Class A(d)		127,656
				288,748

See accompanying notes to financial statements.

|  54

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs — Apartments — 4.0%
	5,300	American Campus Communities, Inc.	$	222,388
	6,900	AvalonBay Communities, Inc.		901,140
	6,200	Camden Property Trust		385,888
	5,500	Campus Crest Communities, Inc.		55,330
	22,400	Equity Residential		1,277,472
	1,000	Essex Property Trust, Inc.		140,510
				2,982,728
		REITs — Diversified — 2.7%
	8,222	American Assets Trust, Inc.		168,633
	3,800	CoreSite Realty Corp.		67,716
	15,000	DuPont Fabros Technology, Inc.		363,300
	7,600	Entertainment Properties Trust		332,196
	10,700	Liberty Property Trust		330,416
	9,600	Vornado Realty Trust		737,856
				2,000,117
		REITs — Healthcare — 2.8%
	19,700	HCP, Inc.		816,171
	3,300	Health Care REIT, Inc.		179,949
	15,500	Omega Healthcare Investors, Inc.		299,925
	14,600	Ventas, Inc.		804,898
				2,100,943
		REITs — Hotels — 1.2%
	38,100	Host Hotels & Resorts, Inc.		562,737
	8,000	Pebblebrook Hotel Trust		153,440
	8,900	RLJ Lodging Trust		149,787
				865,964
		REITs — Manufactured Homes — 0.4%
	4,500	Equity Lifestyle Properties, Inc.		300,105
		REITs — Office Property — 2.9%
	5,100	Alexandria Real Estate Equities, Inc.		351,747
	16,700	BioMed Realty Trust, Inc.		301,936
	9,200	Boston Properties, Inc.		916,320
	12,300	Kilroy Realty Corp.		468,261
	6,900	Piedmont Office Realty Trust, Inc., Class A		117,576
				2,155,840
		REITs — Regional Malls — 3.7%
	14,800	Macerich Co. (The)		748,880
	16,000	Simon Property Group, Inc.		2,063,040
				2,811,920
		REITs — Shopping Centers — 2.2%
	25,200	DDR Corp.		306,684
	5,500	Federal Realty Investment Trust		499,125
	28,497	Kite Realty Group Trust		128,521
	9,800	Ramco-Gershenson Properties Trust		96,334
	10,900	Regency Centers Corp.		410,058
	14,700	Retail Opportunity Investments Corp.		174,048
				1,614,770

See accompanying notes to financial statements.

55  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs — Single Tenant — 0.2%
	6,200	National Retail Properties, Inc.	$	163,556
		REITs — Storage — 2.1%
	7,900	CubeSmart		84,056
	17,000	Extra Space Storage, Inc.		411,910
	7,800	Public Storage		1,048,788
				1,544,754
		REITs — Warehouse/Industrials — 1.4%
	10,300	DCT Industrial Trust, Inc.		52,736
	16,100	First Potomac Realty Trust		210,105
	26,600	ProLogis, Inc.		760,494
				1,023,335
		Specialty Retail — 0.1%
	2,507	Home Depot, Inc. (The)		105,394
		Thrifts & Mortgage Finance — 0.4%
	6,571	Astoria Financial Corp.		55,788
	5,495	Hudson City Bancorp, Inc.		34,343
	8,597	New York Community Bancorp, Inc.		106,345
	5,094	People’s United Financial, Inc.		65,458
				261,934
		Tobacco — 1.2%
	5,721	Altria Group, Inc.		169,628
	4,704	Lorillard, Inc.		536,256
	4,527	Universal Corp.		208,061
				913,945
		Trading Companies & Distributors — 0.3%
	3,477	Watsco, Inc.		228,300
		Total Common Stocks (Identified Cost $32,806,302)		33,801,743
	Preferred Stocks — 1.2%
	Convertible Preferred Stocks — 0.9%
		Automotive — 0.6%
	10,600	General Motors Co., Series B, 4.750%		363,050
	1,250	Goodyear Tire & Rubber Co. (The), 5.875%		60,812
				423,862
		Banking — 0.1%
	275	Sovereign Capital Trust IV, 4.375%		13,063
	70	Wells Fargo & Co., Series L, Class A, 7.500%		73,780
				86,843
		Construction Machinery — 0.0%
	145	United Rentals Trust I, 6.500%		6,815
		Consumer Products — 0.1%
	725	Newell Financial Trust I, 5.250%		30,631

See accompanying notes to financial statements.

|  56

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs - Healthcare — 0.1%
	1,600	Health Care REIT, Inc., Series I, 6.500%	$	81,872
		Total Convertible Preferred Stocks (Identified Cost $816,646)		630,023
	Non-Convertible Preferred Stocks — 0.3%
		Banking — 0.1%
	4,125	Countrywide Capital IV, 6.750%		81,923
		Non-Captive Diversified — 0.2%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		80,456
	129	Ally Financial, Inc., Series G, 7.000%, 144A		92,473
				172,929
		Total Non-Convertible Preferred Stocks (Identified Cost $215,036)		254,852
		Total Preferred Stocks (Identified Cost $1,031,682)		884,875
Principal Amount (‡)
	Short-Term Investments — 1.8%
$	1,325,401	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $1,325,401 on 1/03/2012 collateralized by $560,000 Federal Home Loan Mortgage Corp., 2.500% due 5/27/2016 valued at $595,000; $180,000 U.S. Treasury Note, 0.625% due 7/15/2014 valued at $181,783; $570,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $585,246 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,325,401)		1,325,401
		Total Investments — 95.9% (Identified Cost $70,728,687)(a)		71,921,447
		Other assets less liabilities — 4.1%		3,103,740
		Net Assets — 100.0%	$	75,025,187
	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized appreciation on investments based on a cost of $71,148,525 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	$	5,920,544
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,147,622	)
		Net unrealized appreciation	$	772,922

See accompanying notes to financial statements.

57  |

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

(b)	Variable rate security. Rate as of December 31, 2011 is disclosed.
(c)	Illiquid security. At December 31, 2011, the value of these securities amounted to $415,861 or 0.6% of net assets.
(d)	Non-income producing security.
(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(f)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(g)	Treasury Inflation Protected Security (TIPS).
(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and 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 December 31, 2011, the value of Rule 144A holdings amounted to $4,603,903 or 6.1% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
EMTN	Euro Medium Term Note
FDIC	Federal Deposit Insurance Corporation
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
REMIC	Real Estate Mortgage Investment Conduit
STRIPS	Separate Trading of Registered Interest and Principal of Securities
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
IDR	Indonesian Rupiah
INR	Indian Rupee
KRW	South Korean Won
MXN	Mexican Peso
NZD	New Zealand Dollar
PHP	Philippine Peso
SGD	Singapore Dollar

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

Contract      to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell		01/31/2012	Euro		410,000	$	530,730	$	38,350

¹ Counterparty is Barclays.

See accompanying notes to financial statements.

|  58

Portfolio of Investments – as of December 31, 2011

Natixis Diversified Income Fund – (continued)

Industry Summary at December 31, 2011 (Unaudited)

Treasuries	15.5	%
REITs — Apartments	4.0
REITs — Regional Malls	3.7
Multi Utilities	3.3
REITs — Healthcare	2.9
REITs — Office Property	2.9
Electric Utilities	2.8
REITs — Diversified	2.7
Banking	2.5
Retailers	2.5
Wirelines	2.4
Local Authorities	2.3
Technology	2.2
REITs — Shopping Centers	2.2
Government Guaranteed	2.1
REITs — Storage	2.1
Other Investments, less than 2% each	38.0
Short-Term Investments	1.8
Total Investments	95.9
Other assets less liabilities (including open forward foreign currency contracts)	4.1
Net Assets	100.0	%

See accompanying notes to financial statements.

59  |

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund

Shares		Description	Value (†)
	Common Stocks — 97.3% of Net Assets
		Aerospace & Defense — 1.8%
	49,700	Boeing Co. (The)	$	3,645,495
	41,004	GeoEye, Inc.(b)		911,109
	14,076	TransDigm Group, Inc.(b)		1,346,792
				5,903,396
		Air Freight & Logistics — 2.3%
	38,017	Expeditors International of Washington, Inc.		1,557,176
	43,600	FedEx Corp.		3,641,036
	30,309	United Parcel Service, Inc., Class B		2,218,316
				7,416,528
		Auto Components — 0.8%
	38,448	Lear Corp.		1,530,230
	35,900	TRW Automotive Holdings Corp.(b)		1,170,340
				2,700,570
		Automobiles — 0.8%
	37,900	Toyota Motor Corp., Sponsored ADR		2,506,327
		Beverages — 1.5%
	19,800	Beam, Inc.		1,014,354
	21,011	Coca-Cola Co. (The)		1,470,140
	65,966	Coca-Cola Enterprises, Inc.		1,700,603
	10,318	Diageo PLC, Sponsored ADR		902,000
				5,087,097
		Biotechnology — 1.9%
	27,662	Alexion Pharmaceuticals, Inc.(b)		1,977,833
	38,893	Amgen, Inc.		2,497,320
	35,054	ARIAD Pharmaceuticals, Inc.(b)		429,412
	11,567	BioMarin Pharmaceutical, Inc.(b)		397,673
	33,478	Inhibitex, Inc.(b)		366,249
	8,001	Regeneron Pharmaceuticals, Inc.(b)		443,495
				6,111,982
		Building Products — 0.5%
	36,826	Armstrong World Industries, Inc.(b)		1,615,557
		Capital Markets — 3.5%
	17,309	Affiliated Managers Group, Inc.(b)		1,660,799
	34,421	Franklin Resources, Inc.		3,306,481
	25,462	Greenhill & Co., Inc.		926,053
	36,852	Legg Mason, Inc.		886,291
	47,039	Raymond James Financial, Inc.		1,456,327
	127,065	SEI Investments Co.		2,204,578
	14,050	Virtus Investment Partners, Inc.(b)		1,067,940
				11,508,469
		Chemicals — 0.5%
	32,322	Cytec Industries, Inc.		1,443,177
	8,131	Quaker Chemical Corp.		316,215
				1,759,392

See accompanying notes to financial statements.

|  60

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Commercial Banks — 2.2%
	172,680	KeyCorp	$	1,327,909
	29,257	Prosperity Bancshares, Inc.		1,180,520
	171,700	Wells Fargo & Co.		4,732,052
				7,240,481
		Commercial Services & Supplies — 1.3%
	90,000	Republic Services, Inc.		2,479,500
	23,803	Rollins, Inc.		528,903
	16,411	Stericycle, Inc.(b)		1,278,745
				4,287,148
		Communications Equipment — 3.1%
	182,112	Cisco Systems, Inc.		3,292,585
	117,126	Comverse Technology, Inc.(b)		803,484
	17,302	F5 Networks, Inc.(b)		1,836,088
	44,554	NETGEAR, Inc.(b)		1,495,678
	49,520	QUALCOMM, Inc.		2,708,744
				10,136,579
		Computers & Peripherals — 0.2%
	55,587	QLogic Corp.(b)		833,805
		Consumer Finance — 1.7%
	42,018	American Express Co.		1,981,989
	20,907	Cash America International, Inc.		974,893
	109,305	Discover Financial Services		2,623,320
				5,580,202
		Diversified Consumer Services — 0.1%
	8,210	Ascent Media Corp., Class A(b)		416,411
		Diversified Financial Services — 2.8%
	13,200	CME Group, Inc., Class A		3,216,444
	111,300	JPMorgan Chase & Co.		3,700,725
	89,971	NASDAQ OMX Group, Inc. (The)(b)		2,205,189
	23,466	PHH Corp.(b)		251,086
				9,373,444
		Electrical Equipment — 1.7%
	54,349	Babcock & Wilcox Co.(b)		1,311,985
	48,355	Rockwell Automation, Inc.		3,547,806
	15,489	Thomas & Betts Corp.(b)		845,700
				5,705,491
		Electronic Equipment, Instruments & Components — 0.9%
	32,885	Amphenol Corp., Class A		1,492,650
	45,461	Avnet, Inc.(b)		1,413,383
				2,906,033
		Energy Equipment & Services — 3.0%
	11,637	Dril-Quip, Inc.(b)		765,947
	37,710	Helix Energy Solutions Group, Inc.(b)		595,818

See accompanying notes to financial statements.

61  |

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Energy Equipment & Services — continued
	33,500	National Oilwell Varco, Inc.	$	2,277,665
	34,237	Noble Corp.(b)		1,034,642
	71,246	Oceaneering International, Inc.		3,286,578
	26,911	Schlumberger Ltd.		1,838,291
				9,798,941
		Food & Staples Retailing — 0.5%
	22,151	Whole Foods Market, Inc.		1,541,267
		Food Products — 2.3%
	24,960	Corn Products International, Inc.		1,312,646
	191,637	Danone S.A., Sponsored ADR		2,422,292
	38,829	J.M. Smucker Co. (The)		3,035,263
	11,678	TreeHouse Foods, Inc.(b)		763,508
				7,533,709
		Gas Utilities — 0.7%
	58,620	Questar Corp.		1,164,193
	44,542	UGI Corp.		1,309,535
				2,473,728
		Health Care Equipment & Supplies — 3.6%
	52,100	Baxter International, Inc.		2,577,908
	33,916	CareFusion Corp.(b)		861,806
	30,176	DENTSPLY International, Inc.		1,055,858
	3,866	Intuitive Surgical, Inc.(b)		1,789,997
	91,798	Medtronic, Inc.		3,511,273
	39,168	Zimmer Holdings, Inc.(b)		2,092,355
				11,889,197
		Health Care Providers & Services — 2.3%
	20,951	Catalyst Health Solutions, Inc.(b)		1,089,452
	24,565	HealthSouth Corp.(b)		434,064
	17,662	Humana, Inc.		1,547,368
	17,792	MEDNAX, Inc.(b)		1,281,202
	31,916	Universal Health Services, Inc., Class B		1,240,256
	36,165	WellCare Health Plans, Inc.(b)		1,898,662
				7,491,004
		Hotels, Restaurants & Leisure — 5.8%
	114,300	Carnival Corp.		3,730,752
	3,806	Chipotle Mexican Grill, Inc.(b)		1,285,438
	37,033	Interval Leisure Group, Inc.(b)		504,019
	93,800	Marriott International, Inc., Class A		2,736,146
	7,820	Marriott Vacations Worldwide Corp.(b)		134,191
	21,700	McDonald’s Corp.		2,177,161
	8,411	Panera Bread Co., Class A(b)		1,189,736
	24,574	Six Flags Entertainment Corp.		1,013,432
	49,929	Starwood Hotels & Resorts Worldwide, Inc.		2,395,094
	71,897	Wyndham Worldwide Corp.		2,719,864
	9,685	Wynn Resorts Ltd.		1,070,096
				18,955,929

See accompanying notes to financial statements.

|  62

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Household Products — 0.7%
	12,255	Clorox Co. (The)	$	815,693
	23,445	Procter & Gamble Co. (The)		1,564,016
				2,379,709
		Independent Power Producers & Energy Traders — 0.2%
	49,500	Calpine Corp.(b)		808,335
		Insurance — 0.3%
	25,700	Aflac, Inc.		1,111,782
		Internet & Catalog Retail — 2.0%
	16,673	Amazon.com, Inc.(b)		2,886,096
	19,019	Blue Nile, Inc.(b)		777,497
	24,932	Expedia, Inc.		723,526
	102,158	Liberty Interactive Corp., Class A(b)		1,656,492
	16,785	TripAdvisor, Inc.(b)		423,150
				6,466,761
		Internet Software & Services — 2.4%
	6,275	Google, Inc., Class A(b)		4,053,022
	31,880	IAC/InterActiveCorp		1,358,088
	8,744	MercadoLibre, Inc.		695,498
	45,622	Rackspace Hosting, Inc.(b)		1,962,202
				8,068,810
		IT Services — 5.3%
	14,868	Alliance Data Systems Corp.(b)		1,543,893
	16,679	Automatic Data Processing, Inc.		900,833
	40,154	Fidelity National Information Services, Inc.		1,067,695
	10,300	MasterCard, Inc., Class A		3,840,046
	27,475	Teradata Corp.(b)		1,332,812
	67,715	Visa, Inc., Class A		6,875,104
	33,860	Wright Express Corp.(b)		1,837,921
				17,398,304
		Life Sciences Tools & Services — 0.9%
	19,801	Mettler-Toledo International, Inc.(b)		2,924,806
		Machinery — 5.5%
	37,323	Actuant Corp., Class A		846,859
	18,600	Caterpillar, Inc.		1,685,160
	11,247	CLARCOR, Inc.		562,237
	23,815	Cummins, Inc.		2,096,196
	70,800	Illinois Tool Works, Inc.		3,307,068
	50,946	ITT Corp.		984,786
	41,120	John Bean Technologies Corp.		632,014
	19,587	Joy Global, Inc.		1,468,437
	26,883	Kadant, Inc.(b)		607,825
	9,294	Middleby Corp. (The)(b)		874,008
	9,500	Parker Hannifin Corp.		724,375
	29,667	Timken Co. (The)		1,148,410
	62,046	TriMas Corp.(b)		1,113,726
	22,082	WABCO Holdings, Inc.(b)		958,359
	43,215	Xylem, Inc.		1,110,193
				18,119,653

See accompanying notes to financial statements.

63  |

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Marine — 0.5%
	24,677	Kirby Corp.(b)	$	1,624,734
		Media — 3.2%
	149,400	Comcast Corp., Special Class A		3,519,864
	19,890	Liberty Media Corp. - Liberty Capital, Class A(b)		1,552,414
	71,784	Omnicom Group, Inc.		3,200,131
	31,900	Time Warner, Inc.		1,152,866
	31,100	Walt Disney Co. (The)		1,166,250
				10,591,525
		Metals & Mining — 1.4%
	17,374	Cliffs Natural Resources, Inc.		1,083,269
	40,372	Reliance Steel & Aluminum Co.		1,965,713
	107,541	Steel Dynamics, Inc.		1,414,164
				4,463,146
		Multi Utilities — 0.5%
	50,765	CMS Energy Corp.		1,120,891
	24,558	MDU Resources Group, Inc.		527,015
				1,647,906
		Multiline Retail — 1.1%
	29,296	Dollar General Corp.(b)		1,205,237
	27,604	Dollar Tree, Inc.(b)		2,294,169
	3,146	Target Corp.		161,138
				3,660,544
		Oil, Gas & Consumable Fuels — 4.4%
	27,400	Apache Corp.		2,481,892
	14,837	Cabot Oil & Gas Corp.		1,126,128
	12,411	Clayton Williams Energy, Inc.(b)		941,747
	70,900	Cloud Peak Energy, Inc.(b)		1,369,788
	19,826	Concho Resources, Inc.(b)		1,858,687
	44,393	QEP Resources, Inc.		1,300,715
	20,600	Range Resources Corp.		1,275,964
	26,357	Rosetta Resources, Inc.(b)		1,146,530
	15,954	SM Energy Co.		1,166,237
	64,800	Ultra Petroleum Corp.(b)		1,920,024
				14,587,712
		Personal Products — 0.3%
	85,609	Prestige Brands Holdings, Inc.(b)		964,813
		Pharmaceuticals — 1.7%
	32,076	Merck & Co., Inc.		1,209,265
	27,695	Mylan, Inc.(b)		594,335
	34,370	Novartis AG, ADR		1,964,933
	17,221	Perrigo Co.		1,675,603
				5,444,136

See accompanying notes to financial statements.

|  64

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Professional Services — 1.1%
	29,731	Robert Half International, Inc.	$	846,144
	69,274	Verisk Analytics, Inc., Class A(b)		2,779,966
				3,626,110
		Real Estate Management & Development — 0.5%
	99,477	CBRE Group, Inc.(b)		1,514,040
		REITs — Apartments — 0.4%
	9,492	AvalonBay Communities, Inc.		1,239,655
		REITs — Diversified — 0.8%
	22,836	Digital Realty Trust, Inc.		1,522,476
	35,715	Potlatch Corp.		1,111,094
				2,633,570
		REITs — Healthcare — 0.4%
	100,681	Sabra Healthcare REIT, Inc.		1,217,233
		Road & Rail — 1.5%
	97,492	Avis Budget Group, Inc.(b)		1,045,114
	47,193	Celadon Group, Inc.		557,350
	19,431	J.B. Hunt Transport Services, Inc.		875,755
	33,883	Kansas City Southern(b)		2,304,383
				4,782,602
		Semiconductors & Semiconductor Equipment — 6.5%
	6,674	Altera Corp.		247,605
	7,998	Analog Devices, Inc.		286,168
	305,100	Applied Materials, Inc.		3,267,621
	58,576	ARM Holdings PLC, Sponsored ADR		1,620,798
	31,287	Ceva, Inc.(b)		946,745
	92,614	Integrated Device Technology, Inc.(b)		505,672
	272,000	Intel Corp.		6,596,000
	90,390	Kulicke & Soffa Industries, Inc.(b)		836,108
	24,800	Lam Research Corp.(b)		918,096
	45,864	Maxim Integrated Products, Inc.		1,194,299
	47,786	Microchip Technology, Inc.		1,750,401
	105,300	Texas Instruments, Inc.		3,065,283
				21,234,796
		Software — 4.3%
	19,828	FactSet Research Systems, Inc.		1,730,588
	34,928	Fortinet, Inc.(b)		761,780
	29,009	MICROS Systems, Inc.(b)		1,351,239
	53,629	Microsoft Corp.		1,392,209
	47,615	Nuance Communications, Inc.(b)		1,197,993
	191,733	Oracle Corp.		4,917,952
	21,897	QLIK Technologies, Inc.(b)		529,907
	24,444	Sourcefire, Inc.(b)		791,497
	58,555	Synopsys, Inc.(b)		1,592,696
				14,265,861

See accompanying notes to financial statements.

65  |

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Specialty Retail — 3.7%
	43,600	CarMax, Inc.(b)	$	1,328,928
	22,124	Home Depot, Inc. (The)		930,093
	33,930	Lowe’s Cos., Inc.		861,143
	19,002	O’Reilly Automotive, Inc.(b)		1,519,210
	33,054	PetSmart, Inc.		1,695,340
	24,128	Ross Stores, Inc.		1,146,804
	114,657	Sally Beauty Holdings, Inc.(b)		2,422,702
	17,973	Tiffany & Co.		1,190,891
	17,697	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		1,148,889
				12,244,000
		Textiles, Apparel & Luxury Goods — 0.9%
	10,914	Fossil, Inc.(b)		866,135
	10,400	NIKE, Inc., Class B		1,002,248
	14,670	Under Armour, Inc., Class A(b)		1,053,159
				2,921,542
		Water Utilities — 0.8%
	86,719	American Water Works Co., Inc.		2,762,867
		Wireless Telecommunication Services — 0.2%
	29,917	NTELOS Holdings Corp.		609,708
		Total Common Stocks (Identified Cost $287,138,288)		320,087,347
	Closed End Investment Companies — 0.5%
	108,420	Ares Capital Corp. (Identified Cost $1,462,191)		1,675,089
Principal Amount
	Short-Term Investments — 2.3%
$	7,466,333	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $7,466,333 on 1/03/2011 collateralized by $3,700,000 U.S. Treasury Note, 0.625% due 7/15/2014 valued at $3,736,649; $390,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $400,432; $3,480,000 Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $3,488,700 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,466,333)		7,466,333
		Total Investments — 100.1% (Identified Cost $296,066,812)(a)		329,228,769
		Other assets less liabilities — (0.1)%		(433,130	)
		Net Assets — 100.0%	$	328,795,639
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

|  66

Portfolio of Investments – as of December 31, 2011

Natixis U.S. Multi-Cap Equity Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2011, the net unrealized appreciation on investments based on a cost of $297,720,663 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	44,703,153
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,195,047	)
	Net unrealized appreciation	$	31,508,106
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2011 (Unaudited)

Semiconductors & Semiconductor Equipment	6.5	%
Hotels, Restaurants & Leisure	5.8
Machinery	5.5
IT Services	5.3
Oil, Gas & Consumable Fuels	4.4
Software	4.3
Specialty Retail	3.7
Health Care Equipment & Supplies	3.6
Capital Markets	3.5
Media	3.2
Communications Equipment	3.1
Energy Equipment & Services	3.0
Diversified Financial Services	2.8
Internet Software & Services	2.4
Food Products	2.3
Health Care Providers & Services	2.3
Air Freight & Logistics	2.3
Commercial Banks	2.2
Internet & Catalog Retail	2.0
Other Investments, less than 2% each	29.6
Short-Term Investments	2.3
Total Investments	100.1
Other assets less liabilities	(0.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

67  |

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 89.2% of Net Assets
		Aerospace & Defense — 0.6%
	39,675	Alliant Techsystems, Inc.	$	2,267,823
		Building Products — 2.3%
	146,612	A.O. Smith Corp.		5,882,073
	91,400	Lennox International, Inc.		3,084,750
				8,966,823
		Capital Markets — 1.6%
	202,800	LPL Investment Holdings, Inc.(b)		6,193,512
		Chemicals — 4.7%
	88,750	Kraton Performance Polymers, Inc.(b)		1,801,625
	83,100	Olin Corp.		1,632,915
	174,675	Scotts Miracle-Gro Co. (The), Class A		8,155,575
	157,600	Sensient Technologies Corp.		5,973,040
	37,375	TPC Group, Inc.(b)		871,959
				18,435,114
		Commercial Banks — 5.5%
	430,525	Associated Banc-Corp		4,808,964
	100,925	Bank of Hawaii Corp.		4,490,153
	436,155	FirstMerit Corp.		6,599,025
	143,125	Prosperity Bancshares, Inc.		5,775,094
				21,673,236
		Commercial Services & Supplies — 5.4%
	81,700	Consolidated Graphics, Inc.(b)		3,944,476
	344,650	Corrections Corp. of America(b)		7,020,520
	367,150	KAR Auction Services, Inc.(b)		4,956,525
	147,400	McGrath Rentcorp		4,273,126
	35,978	Waste Connections, Inc.		1,192,311
				21,386,958
		Communications Equipment — 1.3%
	121,625	ADTRAN, Inc.		3,668,210
	218,250	Calix, Inc.(b)		1,412,078
				5,080,288
		Computers & Peripherals — 2.0%
	338,025	QLogic Corp.(b)		5,070,375
	181,425	Super Micro Computer, Inc.(b)		2,844,744
				7,915,119
		Construction & Engineering — 1.7%
	249,850	MasTec, Inc.(b)		4,339,895
	117,800	MYR Group, Inc.(b)		2,254,692
				6,594,587
		Construction Materials — 0.8%
	115,675	Eagle Materials, Inc.		2,968,221

See accompanying notes to financial statements.

|  68

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Consumer Finance — 0.8%
	89,450	First Cash Financial Services, Inc.(b)	$	3,138,801
		Containers & Packaging — 3.6%
	140,075	Packaging Corp. of America		3,535,493
	280,075	Silgan Holdings, Inc.		10,822,098
				14,357,591
		Electric Utilities — 3.7%
	128,600	Cleco Corp.		4,899,660
	135,075	El Paso Electric Co.		4,678,998
	233,225	Great Plains Energy, Inc.		5,079,640
				14,658,298
		Electrical Equipment — 1.7%
	124,675	Thomas & Betts Corp.(b)		6,807,255
		Electronic Equipment, Instruments & Components — 0.8%
	83,625	ScanSource, Inc.(b)		3,010,500
		Energy Equipment & Services — 3.4%
	106,905	Oil States International, Inc.(b)		8,164,335
	109,400	Unit Corp.(b)		5,076,160
				13,240,495
		Gas Utilities — 2.4%
	177,675	Atmos Energy Corp.		5,925,461
	59,100	South Jersey Industries, Inc.		3,357,471
				9,282,932
		Health Care Equipment & Supplies — 3.3%
	137,825	Teleflex, Inc.		8,447,294
	119,375	West Pharmaceutical Services, Inc.		4,530,281
				12,977,575
		Health Care Providers & Services — 1.1%
	76,125	LifePoint Hospitals, Inc.(b)		2,828,044
	52,300	Owens & Minor, Inc.		1,453,417
				4,281,461
		Hotels, Restaurants & Leisure — 1.5%
	156,625	Choice Hotels International, Inc.		5,959,581
		Household Products — 0.7%
	71,450	WD-40 Co.		2,887,295
		Insurance — 4.9%
	841,725	CNO Financial Group, Inc.(b)		5,311,285
	311,162	HCC Insurance Holdings, Inc.		8,556,955
	278,300	Tower Group, Inc.		5,613,311
				19,481,551
		IT Services — 2.6%
	264,150	Broadridge Financial Solutions, Inc.		5,956,583
	74,800	CACI International, Inc., Class A(b)		4,182,816
				10,139,399

See accompanying notes to financial statements.

69  |

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Machinery — 3.5%
	297,425	Actuant Corp., Class A	$	6,748,573
	78,075	Valmont Industries, Inc.		7,088,429
				13,837,002
		Media — 1.6%
	140,075	John Wiley & Sons, Inc., Class A		6,219,330
		Multi Utilities — 1.3%
	140,750	NorthWestern Corp.		5,037,443
		Oil, Gas & Consumable Fuels — 1.3%
	179,164	Oasis Petroleum, Inc.(b)		5,211,881
		Professional Services — 2.1%
	136,850	Towers Watson & Co., Class A		8,201,421
		REITs — Healthcare — 1.4%
	565,350	Medical Properties Trust, Inc.		5,580,005
		REITs — Hotels — 0.6%
	98,425	LaSalle Hotel Properties		2,382,869
		REITs — Office Property — 2.6%
	193,800	Government Properties Income Trust		4,370,190
	199,450	Highwoods Properties, Inc.		5,917,681
				10,287,871
		Road & Rail — 1.0%
	166,600	Werner Enterprises, Inc.		4,015,060
		Semiconductors & Semiconductor Equipment — 4.4%
	49,200	Cymer, Inc.(b)		2,448,192
	259,825	Microsemi Corp.(b)		4,352,069
	745,250	RF Micro Devices, Inc.(b)		4,024,350
	115,100	Silicon Laboratories, Inc.(b)		4,997,642
	75,825	Veeco Instruments, Inc.(b)		1,577,160
				17,399,413
		Software — 1.2%
	168,900	Verint Systems, Inc.(b)		4,651,506
		Specialty Retail — 4.0%
	241,322	Aaron’s, Inc.		6,438,471
	80,375	DSW, Inc., Class A		3,553,379
	21,050	Group 1 Automotive, Inc.		1,090,390
	246,050	Penske Automotive Group, Inc.		4,736,462
				15,818,702
		Textiles, Apparel & Luxury Goods — 2.2%
	57,425	PVH Corp.		4,047,888
	128,525	Wolverine World Wide, Inc.		4,580,631
				8,628,519
		Thrifts & Mortgage Finance — 2.9%
	526,650	Capitol Federal Financial, Inc.		6,077,541
	374,475	Washington Federal, Inc.		5,238,905
				11,316,446

See accompanying notes to financial statements.

|  70

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Trading Companies & Distributors — 2.7%
	93,600	United Rentals, Inc.(b)	$	2,765,880
	151,825	WESCO International, Inc.(b)		8,048,243
				10,814,123
		Total Common Stocks (Identified Cost $337,551,930)		351,106,006
	Exchange Traded Funds — 4.5%
	271,025	iShares Russell 2000 Value Index Fund (Identified Cost $17,551,478)		17,790,081
	Closed End Investment Companies — 2.6%
	643,550	Ares Capital Corp. (Identified Cost $9,991,374)		9,942,847
		Total Investments — 96.3% (Identified Cost $365,094,782)(a)		378,838,934
		Other assets less liabilities — 3.7%		14,662,836
		Net Assets — 100.0%	$	393,501,770
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized appreciation on investments based on a cost of $369,036,461 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	$	25,865,668
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(16,063,195	)
		Net unrealized appreciation	$	9,802,473
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

71  |

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at December 31, 2011 (Unaudited)

Commercial Banks	5.5	%
Commercial Services & Supplies	5.4
Insurance	4.9
Chemicals	4.7
Exchange Traded Funds	4.5
Semiconductors & Semiconductor Equipment	4.4
Specialty Retail	4.0
Electric Utilities	3.7
Containers & Packaging	3.6
Machinery	3.5
Energy Equipment & Services	3.4
Health Care Equipment & Supplies	3.3
Thrifts & Mortgage Finance	2.9
Trading Companies & Distributors	2.7
REITs - Office Property	2.6
IT Services	2.6
Closed End Investment Companies	2.6
Gas Utilities	2.4
Building Products	2.3
Textiles, Apparel & Luxury Goods	2.2
Professional Services	2.1
Computers & Peripherals	2.0
Other Investments, less than 2% each	21.0
Total Investments	96.3
Other assets less liabilities	3.7
Net Assets	100.0	%

See accompanying notes to financial statements.

|  72

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 96.6% of Net Assets
		Auto Components — 1.5%
	25,100	Autoliv, Inc.	$	1,342,599
	22,325	Tenneco, Inc.(b)		664,839
				2,007,438
		Capital Markets — 2.9%
	216,175	Apollo Investment Corp.		1,392,167
	142,250	SEI Investments Co.		2,468,038
				3,860,205
		Chemicals — 5.1%
	27,050	Airgas, Inc.		2,112,064
	27,900	Celanese Corp., Series A		1,235,133
	21,750	FMC Corp.		1,871,370
	28,450	International Flavors & Fragrances, Inc.		1,491,349
				6,709,916
		Commercial Banks — 4.3%
	49,925	Comerica, Inc.		1,288,065
	234,575	First Niagara Financial Group, Inc.		2,024,382
	423,975	Huntington Bancshares, Inc.		2,327,623
				5,640,070
		Computers & Peripherals — 1.9%
	153,700	NCR Corp.(b)		2,529,902
		Consumer Finance — 1.8%
	90,100	Ezcorp, Inc., Class A(b)		2,375,937
		Containers & Packaging — 4.3%
	95,400	Crown Holdings, Inc.(b)		3,203,532
	99,575	Packaging Corp. of America		2,513,273
				5,716,805
		Electric Utilities — 6.4%
	52,150	Edison International		2,159,010
	114,375	Great Plains Energy, Inc.		2,491,087
	98,175	N.V. Energy, Inc.		1,605,161
	77,275	PPL Corp.		2,273,431
				8,528,689
		Electrical Equipment — 0.5%
	12,275	Cooper Industries PLC		664,691
		Energy Equipment & Services — 1.1%
	51,325	Superior Energy Services, Inc.(b)		1,459,683
		Food Products — 4.0%
	24,275	Corn Products International, Inc.		1,276,622
	28,450	J.M. Smucker Co. (The)		2,223,937
	21,750	Ralcorp Holdings, Inc.(b)		1,859,625
				5,360,184

See accompanying notes to financial statements.

73  |

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — 0.5%
	16,175	Sirona Dental Systems, Inc.(b)	$	712,347
		Health Care Providers & Services — 3.8%
	90,650	HCA Holdings, Inc.(b)		1,997,020
	12,275	Laboratory Corp. of America Holdings(b)		1,055,282
	82,575	PSS World Medical, Inc.(b)		1,997,489
				5,049,791
		Health Care Technology — 1.1%
	80,600	Allscripts Healthcare Solutions, Inc.(b)		1,526,564
		Hotels, Restaurants & Leisure — 0.7%
	21,750	Darden Restaurants, Inc.		991,365
		Household Durables — 1.5%
	65,000	Jarden Corp.		1,942,200
		Insurance — 6.0%
	58,300	Reinsurance Group of America, Inc., Class A		3,046,175
	66,950	Willis Group Holdings PLC		2,597,660
	116,600	XL Group PLC		2,305,182
				7,949,017
		Internet Software & Services — 1.0%
	88,700	Digital River, Inc.(b)		1,332,274
		IT Services — 2.9%
	81,175	Broadridge Financial Solutions, Inc.		1,830,496
	33,750	Fiserv, Inc.(b)		1,982,475
				3,812,971
		Leisure Equipment & Products — 1.4%
	56,350	Hasbro, Inc.		1,797,002
		Life Sciences Tools & Services — 2.8%
	35,975	Agilent Technologies, Inc.(b)		1,256,607
	63,050	Life Technologies Corp.(b)		2,453,275
				3,709,882
		Machinery — 5.4%
	26,500	AGCO Corp.(b)		1,138,705
	14,225	Flowserve Corp.		1,412,827
	46,850	Navistar International Corp.(b)		1,774,678
	25,650	Snap-on, Inc.		1,298,403
	34,600	WABCO Holdings, Inc.(b)		1,501,640
				7,126,253
		Media — 3.3%
	86,200	CBS Corp., Class B		2,339,468
	48,525	Discovery Communications, Inc., Class A(b)		1,988,069
				4,327,537
		Multi Utilities — 1.4%
	83,950	CMS Energy Corp.		1,853,616

See accompanying notes to financial statements.

|  74

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Multiline Retail — 1.6%
	56,350	Big Lots, Inc.(b)	$	2,127,776
		Oil, Gas & Consumable Fuels — 2.8%
	61,650	El Paso Corp.		1,638,040
	12,825	Noble Energy, Inc.		1,210,552
	9,475	Pioneer Natural Resources Co.		847,823
				3,696,415
		Pharmaceuticals — 2.6%
	32,661	Valeant Pharmaceuticals International, Inc.(b)		1,524,942
	130,825	Warner Chilcott PLC, Class A(b)		1,979,382
				3,504,324
		Professional Services — 3.4%
	52,450	Towers Watson & Co., Class A		3,143,328
	33,750	Verisk Analytics, Inc., Class A(b)		1,354,388
				4,497,716
		REITs — Apartments — 1.7%
	96,225	Apartment Investment & Management Co., Class A		2,204,515
		REITs — Hotels — 1.8%
	161,198	Host Hotels & Resorts, Inc.		2,380,894
		REITs — Office Property — 1.4%
	27,050	SL Green Realty Corp.		1,802,612
		REITs — Shopping Centers — 1.2%
	99,300	Kimco Realty Corp.		1,612,632
		Semiconductors & Semiconductor Equipment — 2.3%
	44,625	Altera Corp.		1,655,587
	47,975	Avago Technologies Ltd.		1,384,559
				3,040,146
		Software — 7.1%
	47,975	BMC Software, Inc.(b)		1,572,620
	29,850	Intuit, Inc.		1,569,812
	52,150	Nuance Communications, Inc.(b)		1,312,094
	105,725	Parametric Technology Corp.(b)		1,930,538
	69,175	Rovi Corp.(b)		1,700,321
	28,725	Solera Holdings, Inc.		1,279,412
				9,364,797
		Specialty Retail — 1.1%
	33,475	Signet Jewelers Ltd.		1,471,561
		Textiles, Apparel & Luxury Goods — 1.1%
	20,350	PVH Corp.		1,434,472
		Tobacco — 1.7%
	19,525	Lorillard, Inc.		2,225,850
		Trading Companies & Distributors — 1.2%
	31,250	WESCO International, Inc.(b)		1,656,563
		Total Common Stocks (Identified Cost $128,977,518)		128,004,612

See accompanying notes to financial statements.

75  |

Portfolio of Investments – as of December 31, 2011

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
	Closed End Investment Companies — 1.6%
	136,125	Ares Capital Corp. (Identified Cost $2,003,271)	$	2,103,131
		Total Investments — 98.2% (Identified Cost $130,980,789)(a)		130,107,743
		Other assets less liabilities — 1.8%		2,441,396
		Net Assets — 100.0%	$	132,549,139
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized depreciation on investments based on a cost of $131,527,848 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	6,754,636
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,174,741	)
		Net unrealized depreciation	$	(1,420,105	)
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2011 (Unaudited)

Software	7.1	%
Electric Utilities	6.4
Insurance	6.0
Machinery	5.4
Chemicals	5.1
Containers & Packaging	4.3
Commercial Banks	4.3
Food Products	4.0
Health Care Providers & Services	3.8
Professional Services	3.4
Media	3.3
Capital Markets	2.9
IT Services	2.9
Life Sciences Tools & Services	2.8
Oil, Gas & Consumable Fuels	2.8
Pharmaceuticals	2.6
Semiconductors & Semiconductor Equipment	2.3
Other Investments, less than 2% each	28.8
Total Investments	98.2
Other assets less liabilities	1.8
Net Assets	100.0	%

See accompanying notes to financial statements.

|  76

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund

Shares		Description	Value (†)
	Common Stocks — 100.4% of Net Assets
		Aerospace & Defense — 2.5%
	79	Boeing Co. (The)	$	5,795
	317	General Dynamics Corp.		21,052
	157	Honeywell International, Inc.		8,533
	306	L-3 Communications Holdings, Inc.		20,404
	75	Lockheed Martin Corp.		6,067
	333	Northrop Grumman Corp.		19,474
	74	Precision Castparts Corp.		12,194
	128	Raytheon Co.		6,193
	1,051	Textron, Inc.		19,433
	254	United Technologies Corp.		18,565
				137,710
		Air Freight & Logistics — 0.1%
	98	United Parcel Service, Inc., Class B		7,173
		Airlines — 0.3%
	2,054	Southwest Airlines Co.		17,582
		Auto Components — 0.2%
	721	Goodyear Tire & Rubber Co. (The)(b)		10,217
		Automobiles — 0.6%
	2,041	Ford Motor Co.(b)		21,961
	247	Harley-Davidson, Inc.		9,601
				31,562
		Beverages — 2.0%
	90	Brown-Forman Corp., Class B		7,246
	720	Coca-Cola Co. (The)		50,378
	466	Coca-Cola Enterprises, Inc.		12,013
	831	Constellation Brands, Inc., Class A(b)		17,177
	247	Dr Pepper Snapple Group, Inc.		9,752
	259	PepsiCo, Inc.		17,185
				113,751
		Biotechnology — 0.8%
	198	Amgen, Inc.		12,714
	289	Biogen Idec, Inc.(b)		31,804
				44,518
		Capital Markets — 1.0%
	466	Bank of New York Mellon Corp.		9,278
	219	Goldman Sachs Group, Inc. (The)		19,804
	1,590	Morgan Stanley		24,057
				53,139
		Chemicals — 1.1%
	73	Airgas, Inc.		5,700
	139	CF Industries Holdings, Inc.		20,152
	288	Dow Chemical Co. (The)		8,283
	102	Ecolab, Inc.		5,897
	335	Monsanto Co.		23,473
				63,505

See accompanying notes to financial statements.

77  |

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Commercial Banks — 1.9%
	1,056	Huntington Bancshares, Inc.	$	5,797
	2,901	KeyCorp		22,309
	164	PNC Financial Services Group, Inc.		9,458
	3,060	Regions Financial Corp.		13,158
	407	SunTrust Banks, Inc.		7,204
	1,734	Wells Fargo & Co.		47,789
				105,715
		Commercial Services & Supplies — 0.9%
	485	Iron Mountain, Inc.		14,938
	515	Pitney Bowes, Inc.		9,548
	302	Republic Services, Inc.		8,320
	1,255	RR Donnelley & Sons Co.		18,110
				50,916
		Communications Equipment — 1.3%
	1,393	Cisco Systems, Inc.		25,185
	409	Motorola Solutions, Inc.		18,933
	487	QUALCOMM, Inc.		26,639
				70,757
		Computers & Peripherals — 4.9%
	429	Apple, Inc.(b)		173,745
	1,160	Dell, Inc.(b)		16,971
	581	EMC Corp.(b)		12,515
	1,335	Hewlett-Packard Co.		34,389
	378	Lexmark International, Inc., Class A		12,500
	171	SanDisk Corp.(b)		8,415
	528	Western Digital Corp.(b)		16,342
				274,877
		Construction & Engineering — 0.2%
	267	Fluor Corp.		13,417
		Consumer Finance — 1.1%
	218	American Express Co.		10,283
	609	Capital One Financial Corp.		25,755
	1,079	Discover Financial Services		25,896
				61,934
		Containers & Packaging — 0.4%
	284	Bemis Co., Inc.		8,543
	889	Sealed Air Corp.		15,299
				23,842
		Distributors — 0.1%
	108	Genuine Parts Co.		6,610
		Diversified Consumer Services — 0.7%
	294	Apollo Group, Inc., Class A(b)		15,838
	318	DeVry, Inc.		12,230
	656	H&R Block, Inc.		10,712
				38,780

See accompanying notes to financial statements.

|  78

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Diversified Financial Services — 2.4%
	2,179	Bank of America Corp.	$	12,115
	1,194	Citigroup, Inc.		31,414
	1,652	JPMorgan Chase & Co.		54,929
	336	Leucadia National Corp.		7,641
	506	Moody’s Corp.		17,042
	405	NASDAQ OMX Group, Inc. (The)(b)		9,927
				133,068
		Diversified Telecommunication Services — 2.4%
	2,442	AT&T, Inc.		73,846
	1,476	Verizon Communications, Inc.		59,217
				133,063
		Electric Utilities — 1.2%
	226	American Electric Power Co., Inc.		9,336
	395	Duke Energy Corp.		8,690
	129	Exelon Corp.		5,595
	371	FirstEnergy Corp.		16,435
	99	NextEra Energy, Inc.		6,027
	121	Pinnacle West Capital Corp.		5,830
	208	PPL Corp.		6,120
	218	Southern Co. (The)		10,091
				68,124
		Electronic Equipment, Instruments & Components — 0.2%
	614	Jabil Circuit, Inc.		12,071
		Energy Equipment & Services — 1.4%
	244	FMC Technologies, Inc.(b)		12,744
	166	Halliburton Co.		5,728
	114	Helmerich & Payne, Inc.		6,653
	425	National Oilwell Varco, Inc.		28,896
	383	Schlumberger Ltd.		26,163
				80,184
		Food & Staples Retailing — 2.7%
	205	Costco Wholesale Corp.		17,081
	847	CVS Caremark Corp.		34,541
	243	Kroger Co. (The)		5,885
	682	Safeway, Inc.		14,349
	2,092	SUPERVALU, Inc.		16,987
	533	Wal-Mart Stores, Inc.		31,852
	371	Walgreen Co.		12,265
	288	Whole Foods Market, Inc.		20,039
				152,999
		Food Products — 3.0%
	978	ConAgra Foods, Inc.		25,819
	2,429	Dean Foods Co.(b)		27,205
	140	General Mills, Inc.		5,657
	171	Hershey Co. (The)		10,564

See accompanying notes to financial statements.

79  |

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Food Products — continued
	498	Hormel Foods Corp.	$	14,587
	76	J.M. Smucker Co. (The)		5,941
	780	Kraft Foods, Inc., Class A		29,141
	180	Mead Johnson Nutrition Co.		12,371
	345	Sara Lee Corp.		6,527
	1,332	Tyson Foods, Inc., Class A		27,493
				165,305
		Gas Utilities — 0.4%
	84	AGL Resources, Inc.		3,550
	245	Oneok, Inc.		21,239
				24,789
		Health Care Equipment & Supplies — 0.7%
	122	Baxter International, Inc.		6,037
	1,004	Boston Scientific Corp.(b)		5,361
	147	Covidien PLC		6,617
	40	Intuitive Surgical, Inc.(b)		18,520
				36,535
		Health Care Providers & Services — 5.1%
	733	Aetna, Inc.		30,925
	428	AmerisourceBergen Corp.		15,917
	295	Cardinal Health, Inc.		11,980
	467	CIGNA Corp.		19,614
	1,070	Coventry Health Care, Inc.(b)		32,496
	614	Humana, Inc.		53,792
	301	McKesson Corp.		23,451
	1,173	UnitedHealth Group, Inc.		59,448
	527	WellPoint, Inc.		34,914
				282,537
		Health Care Technology — 0.3%
	262	Cerner Corp.(b)		16,047
		Hotels, Restaurants & Leisure — 2.4%
	81	Chipotle Mexican Grill, Inc.(b)		27,357
	312	McDonald’s Corp.		31,303
	541	Starbucks Corp.		24,891
	696	Wyndham Worldwide Corp.		26,330
	140	Wynn Resorts Ltd.		15,469
	98	Yum! Brands, Inc.		5,783
				131,133
		Household Durables — 0.9%
	527	Harman International Industries, Inc.		20,047
	538	Leggett & Platt, Inc.		12,396
	1,207	Newell Rubbermaid, Inc.		19,493
				51,936

See accompanying notes to financial statements.

|  80

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Household Products — 1.6%
	197	Colgate-Palmolive Co.	$	18,201
	88	Kimberly-Clark Corp.		6,473
	987	Procter & Gamble Co. (The)		65,843
				90,517
		Independent Power Producers & Energy Traders — 0.8%
	1,792	AES Corp. (The)(b)		21,217
	599	Constellation Energy Group, Inc.		23,763
				44,980
		Industrial Conglomerates — 2.1%
	5,520	General Electric Co.		98,863
	356	Tyco International Ltd.		16,629
				115,492
		Insurance — 2.6%
	120	ACE Ltd.		8,414
	796	American International Group, Inc.(b)		18,467
	219	Berkshire Hathaway, Inc., Class B(b)		16,710
	1,102	Hartford Financial Services Group, Inc. (The)		17,908
	1,112	Lincoln National Corp.		21,595
	196	Loews Corp.		7,379
	271	Marsh & McLennan Cos., Inc.		8,569
	767	MetLife, Inc.		23,915
	297	Prudential Financial, Inc.		14,886
	404	Unum Group		8,512
				146,355
		Internet & Catalog Retail — 0.5%
	94	Amazon.com, Inc.(b)		16,271
	25	Priceline.com, Inc.(b)		11,693
				27,964
		Internet Software & Services — 1.1%
	376	eBay, Inc.(b)		11,404
	67	Google, Inc., Class A(b)		43,275
	1,132	Monster Worldwide, Inc.(b)		8,977
				63,656
		IT Services — 4.9%
	321	Accenture PLC, Class A		17,087
	175	Automatic Data Processing, Inc.		9,452
	645	Computer Sciences Corp.		15,286
	601	Fidelity National Information Services, Inc.		15,981
	196	Fiserv, Inc.(b)		11,513
	607	International Business Machines Corp.		111,615
	71	MasterCard, Inc., Class A		26,470
	1,379	SAIC, Inc.(b)		16,948
	375	Teradata Corp.(b)		18,191
	595	Total System Services, Inc.		11,638
	175	Visa, Inc., Class A		17,768
				271,949

See accompanying notes to financial statements.

81  |

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Leisure Equipment & Products — 0.1%
	230	Mattel, Inc.	$	6,385
		Life Sciences Tools & Services — 0.6%
	281	Life Technologies Corp.(b)		10,934
	463	Thermo Fisher Scientific, Inc.(b)		20,821
				31,755
		Machinery — 0.4%
	107	Caterpillar, Inc.		9,694
	207	Ingersoll-Rand PLC		6,307
	99	Parker Hannifin Corp.		7,549
				23,550
		Media — 3.1%
	1,489	CBS Corp., Class B		40,412
	2,193	Comcast Corp., Class A		51,996
	120	DIRECTV, Class A(b)		5,131
	1,924	Gannett Co., Inc.		25,724
	168	McGraw-Hill Cos., Inc. (The)		7,555
	830	News Corp., Class A		14,807
	202	Time Warner Cable, Inc.		12,841
	163	Time Warner, Inc.		5,891
	168	Viacom, Inc., Class B		7,629
				171,986
		Metals & Mining —1.0%
	2,185	Alcoa, Inc.		18,900
	153	Cliffs Natural Resources, Inc.		9,539
	277	Freeport-McMoRan Copper & Gold, Inc.		10,191
	410	Nucor Corp.		16,224
				54,854
		Multi Utilities — 1.8%
	624	Ameren Corp.		20,673
	674	CenterPoint Energy, Inc.		13,541
	179	Consolidated Edison, Inc.		11,103
	206	Dominion Resources, Inc.		10,934
	270	DTE Energy Co.		14,702
	321	Integrys Energy Group, Inc.		17,392
	510	NiSource, Inc.		12,143
				100,488
		Multiline Retail — 1.3%
	234	Big Lots, Inc.(b)		8,836
	205	J.C. Penney Co., Inc.		7,206
	177	Kohl’s Corp.		8,735
	1,187	Macy’s, Inc.		38,197
	149	Nordstrom, Inc.		7,407
				70,381

See accompanying notes to financial statements.

|  82

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Office Electronics — 0.3%
	2,096	Xerox Corp.	$	16,684
		Oil, Gas & Consumable Fuels — 13.0%
	464	Alpha Natural Resources, Inc.(b)		9,479
	238	Anadarko Petroleum Corp.		18,167
	79	Apache Corp.		7,156
	343	Cabot Oil & Gas Corp.		26,034
	288	Chesapeake Energy Corp.		6,419
	1,165	Chevron Corp.		123,956
	963	ConocoPhillips		70,174
	1,036	El Paso Corp.		27,526
	299	EQT Corp.		16,382
	2,515	ExxonMobil Corp.		213,171
	100	Hess Corp.		5,680
	1,128	Marathon Oil Corp.		33,017
	444	Marathon Petroleum Corp.		14,781
	138	Murphy Oil Corp.		7,692
	224	Occidental Petroleum Corp.		20,989
	284	Range Resources Corp.		17,591
	390	Spectra Energy Corp.		11,992
	1,871	Tesoro Corp.(b)		43,707
	1,476	Valero Energy Corp.		31,070
	599	Williams Cos., Inc. (The)		19,779
				724,762
		Paper & Forest Products — 0.5%
	984	International Paper Co.		29,126
		Personal Products — 0.5%
	231	Estee Lauder Cos., Inc. (The), Class A		25,946
		Pharmaceuticals — 5.0%
	398	Abbott Laboratories		22,380
	88	Allergan, Inc.		7,721
	650	Bristol-Myers Squibb Co.		22,906
	569	Eli Lilly & Co.		23,648
	589	Forest Laboratories, Inc.(b)		17,823
	888	Johnson & Johnson		58,235
	307	Merck & Co., Inc.		11,574
	4,739	Pfizer, Inc.		102,552
	242	Watson Pharmaceuticals, Inc.(b)		14,602
				281,441
		Real Estate Management & Development — 0.1%
	480	CBRE Group, Inc.(b)		7,306
		REITs — Apartments — 0.1%
	48	AvalonBay Communities, Inc.		6,269
		REITs — Diversified — 0.6%
	178	Vornado Realty Trust		13,681
	1,156	Weyerhaeuser Co.		21,583
				35,264

See accompanying notes to financial statements.

83  |

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		REITs — Healthcare — 0.2%
	290	HCP, Inc.	$	12,015
		REITs — Regional Malls — 0.3%
	129	Simon Property Group, Inc.		16,633
		REITs — Storage — 0.3%
	114	Public Storage		15,328
		REITs — Warehouse/Industrials — 0.1%
	228	ProLogis, Inc.		6,518
		Road & Rail — 0.5%
	111	Norfolk Southern Corp.		8,087
	105	Ryder System, Inc.		5,580
	119	Union Pacific Corp.		12,607
				26,274
		Semiconductors & Semiconductor Equipment — 2.5%
	1,955	Applied Materials, Inc.		20,938
	185	Broadcom Corp., Class A(b)		5,432
	1,983	Intel Corp.		48,088
	235	KLA-Tencor Corp.		11,339
	1,305	LSI Corp.(b)		7,765
	345	Novellus Systems, Inc.(b)		14,245
	453	NVIDIA Corp.(b)		6,278
	1,390	Teradyne, Inc.(b)		18,946
	175	Xilinx, Inc.		5,610
				138,641
		Software — 3.1%
	487	CA, Inc.		9,845
	706	Compuware Corp.(b)		5,874
	613	Electronic Arts, Inc.(b)		12,628
	103	Intuit, Inc.		5,417
	3,438	Microsoft Corp.		89,250
	1,439	Oracle Corp.		36,910
	1,006	Symantec Corp.(b)		15,744
				175,668
		Specialty Retail — 4.2%
	628	AutoNation, Inc.(b)		23,154
	39	AutoZone, Inc.(b)		12,674
	263	Bed Bath & Beyond, Inc.(b)		15,246
	711	Best Buy Co., Inc.		16,616
	1,129	GameStop Corp., Class A(b)		27,243
	321	Gap, Inc. (The)		5,955
	636	Home Depot, Inc. (The)		26,737
	661	Limited Brands, Inc.		26,671
	570	Lowe’s Cos., Inc.		14,467
	155	O’Reilly Automotive, Inc.(b)		12,392
	420	Ross Stores, Inc.		19,963
	1,046	Staples, Inc.		14,529
	311	TJX Cos., Inc. (The)		20,075
				235,722

See accompanying notes to financial statements.

|  84

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Shares		Description	Value (†)
		Textiles, Apparel & Luxury Goods — 1.0%
	148	Coach, Inc.	$	9,034
	79	NIKE, Inc., Class B		7,613
	143	Ralph Lauren Corp.		19,745
	143	VF Corp.		18,160
				54,552
		Tobacco — 2.0%
	728	Altria Group, Inc.		21,585
	162	Lorillard, Inc.		18,468
	703	Philip Morris International, Inc.		55,171
	392	Reynolds American, Inc.		16,237
				111,461
		Trading Companies & Distributors — 0.7%
	497	Fastenal Co.		21,674
	95	W.W. Grainger, Inc.		17,783
				39,457
		Wireless Telecommunication Services — 0.3%
	7,460	Sprint Nextel Corp.(b)		17,456
		Total Common Stocks (Identified Cost $5,342,387)		5,610,631
		Total Investments — 100.4% (Identified Cost $5,342,387)(a)		5,610,631
		Other assets less liabilities — (0.4)%		(20,262	)
		Net Assets — 100.0%	$	5,590,369
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized appreciation on investments based on a cost of $5,363,373 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	$	580,065
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(332,807	)
		Net unrealized appreciation	$	247,258
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

85  |

Portfolio of Investments – as of December 31, 2011

Westpeak ActiveBeta^® Equity Fund – (continued)

Industry Summary at December 31, 2011 (Unaudited)

Oil, Gas & Consumable Fuels	13.0	%
Health Care Providers & Services	5.1
Pharmaceuticals	5.0
Computers & Peripherals	4.9
IT Services	4.9
Specialty Retail	4.2
Software	3.1
Media	3.1
Food Products	3.0
Food & Staples Retailing	2.7
Insurance	2.6
Semiconductors & Semiconductor Equipment	2.5
Aerospace & Defense	2.5
Diversified Financial Services	2.4
Diversified Telecommunication Services	2.4
Hotels, Restaurants & Leisure	2.4
Industrial Conglomerates	2.1
Beverages	2.0
Tobacco	2.0
Other Investments, less than 2% each	30.5
Total Investments	100.4
Other assets less liabilities	(0.4	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  86

Statements of Assets and Liabilities

December 31, 2011

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Diversified Income Fund
ASSETS
Investments at cost	$	601,185,494		$	119,500,332		$	70,728,687
Net unrealized appreciation		14,420,156			5,615,187			1,192,760
Investments at value		615,605,650			125,115,519			71,921,447
Cash		—			67,400			—
Foreign currency at value (identified cost $0, $0 and $29,921)		—			—			28,745
Receivable for Fund shares sold		474,311			11,615			2,668,850
Receivable for securities sold		2,860,677			—			141,560
Dividends and interest receivable		1,180,931			162,895			565,701
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			38,350
Tax reclaims receivable		—			—			462
TOTAL ASSETS		620,121,569			125,357,429			75,365,115
LIABILITIES
Payable for securities purchased		4,484,857			189,981			55,354
Payable for Fund shares redeemed		1,352,119			73,457			102,001
Payable to custodian bank (Note 9)		—			—			41,742
Dividends payable		37			—			—
Management fees payable (Note 6)		370,677			86,847			33,319
Deferred Trustees’ fees (Note 6)		663,506			347,645			51,510
Administrative fees payable (Note 6)		24,413			4,928			2,819
Other accounts payable and accrued expenses		180,411			101,338			53,183
TOTAL LIABILITIES		7,076,020			804,196			339,928
NET ASSETS	$	613,045,549		$	124,553,233		$	75,025,187
NET ASSETS CONSIST OF:
Paid-in capital	$	627,100,983		$	130,454,718		$	93,901,561
Distributions in excess of net investment income		(663,505	)		(347,644	)		(112,482	)
Accumulated net realized loss on investments and foreign currency transactions		(27,812,085	)		(11,169,028	)		(19,988,229	)
Net unrealized appreciation on investments and foreign currency translations		14,420,156			5,615,187			1,224,337
NET ASSETS	$	613,045,549		$	124,553,233		$	75,025,187

See accompanying notes to financial statements.

87  |

	CGM Advisor Targeted Equity Fund		Harris Associates Large Cap Value Fund		Natixis Diversified Income Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	503,330,445	$	107,978,171	$	45,211,251
Shares of beneficial interest		53,751,150		7,791,787		4,209,234
Net asset value and redemption price per share	$	9.36	$	13.86	$	10.74
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	9.93	$	14.71	$	11.25
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	5,295,911	$	3,341,153	$	—
Shares of beneficial interest		629,776		261,791		—
Net asset value and offering price per share	$	8.41	$	12.76	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	47,415,928	$	5,667,126	$	29,813,936
Shares of beneficial interest		5,666,992		445,594		2,782,529
Net asset value and offering price per share	$	8.37	$	12.72	$	10.71
Class Y shares:
Net assets	$	57,003,265	$	7,566,783	$	—
Shares of beneficial interest		5,943,852		528,284		—
Net asset value, offering and redemption price per share	$	9.59	$	14.32	$	—

See accompanying notes to financial statements.

|  88

Statements of Assets and Liabilities (continued)

December 31, 2011

	Natixis U.S. Multi-Cap Equity Fund			Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund			Westpeak ActiveBeta® Equity Fund
ASSETS
Investments at cost	$	296,066,812		$	365,094,782		$	130,980,789		$	5,342,387
Net unrealized appreciation (depreciation)		33,161,957			13,744,152			(873,046	)		268,244
Investments at value		329,228,769			378,838,934			130,107,743			5,610,631
Cash		68,958			—			—			24,042
Receivable for Fund shares sold		110,984			277,745			671,672			—
Receivable from investment adviser (Note 6)		—			—			—			6,308
Receivable for securities sold		1,704,934			31,901,958			2,797,612			—
Dividends receivable		293,308			607,464			288,621			6,986
Tax reclaims receivable		—			—			—			64
TOTAL ASSETS		331,406,953			411,626,101			133,865,648			5,648,031
LIABILITIES
Payable for securities purchased		1,518,470			—			—			—
Payable for Fund shares redeemed		305,134			1,681,086			452,345			—
Payable to custodian bank (Note 9)		—			15,846,616			676,489			—
Management fees payable (Note 6)		191,708			323,695			102,786			—
Deferred Trustees’ fees (Note 6)		387,492			145,562			27,627			10,642
Administrative fees payable (Note 6)		13,083			16,739			5,305			218
Other accounts payable and accrued expenses		195,427			110,633			51,957			46,802
TOTAL LIABILITIES		2,611,314			18,124,331			1,316,509			57,662
NET ASSETS	$	328,795,639		$	393,501,770		$	132,549,139		$	5,590,369
NET ASSETS CONSIST OF:
Paid-in capital	$	298,019,995		$	378,223,086		$	134,411,294		$	5,373,499
Distributions in excess of net investment income/Accumulated net investment (loss)		(387,492	)		(145,563	)		(27,627	)		(10,642	)
Accumulated net realized gain (loss) on investments, options written and foreign currency transactions		(1,998,821	)		1,680,095			(961,482	)		(40,732	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		33,161,957			13,744,152			(873,046	)		268,244
NET ASSETS	$	328,795,639		$	393,501,770		$	132,549,139		$	5,590,369

See accompanying notes to financial statements.

89  |

	Natixis U.S. Multi-Cap Equity Fund		Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund		Westpeak ActiveBeta® Equity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	281,467,027	$	228,445,117	$	21,308,215	$	1,115
Shares of beneficial interest		11,947,233		12,878,778		1,540,794		107
Net asset value and redemption price per share	$	23.56	$	17.74	$	13.83	$	10.42
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	25.00	$	18.82	$	14.67	$	11.06
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	16,819,510	$	4,656,757	$	—	$	—
Shares of beneficial interest		843,800		313,768		—		—
Net asset value and offering price per share	$	19.93	$	14.84	$	—	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	28,461,662	$	30,284,481	$	1,822,329	$	1,106
Shares of beneficial interest		1,427,215		2,039,770		133,988		106
Net asset value and offering price per share	$	19.94	$	14.85	$	13.60	$	10.43
Class Y shares:
Net assets	$	2,047,440	$	130,115,415	$	109,418,595	$	5,588,148
Shares of beneficial interest		80,214		7,233,494		7,875,024		536,235
Net asset value, offering and redemption price per share	$	25.52	$	17.99	$	13.89	$	10.42

See accompanying notes to financial statements.

|  90

Statements of Operations

For the Year Ended December 31, 2011

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Diversified Income Fund
INVESTMENT INCOME
Dividends	$	12,899,668		$	2,519,321		$	956,535
Interest		6,274			—			1,954,055
Less net foreign taxes withheld		(246,466	)		(1,970	)		(2,165	)
		12,659,476			2,517,351			2,908,425
Expenses
Management fees (Note 6)		5,606,397			943,175			372,393
Service and distribution fees (Note 6)		2,295,898			397,144			382,142
Administrative fees (Note 6)		375,325			62,532			31,422
Trustees’ fees and expenses (Note 6)		13,911			9,698			15,636
Transfer agent fees and expenses (Note 6)		862,520			227,161			39,086
Audit and tax services fees		49,368			44,294			48,565
Custodian fees and expenses		69,224			22,614			39,125
Legal fees		10,885			1,745			921
Registration fees		63,070			61,612			37,734
Shareholder reporting expenses		7,781			17,219			1,152
Miscellaneous expenses		25,437			10,477			9,688
Total expenses		9,379,816			1,797,671			977,864
Fee/expense recovery (Note 6)		—			12,722			—
Net expenses		9,379,816			1,810,393			977,864
Net investment income		3,279,660			706,958			1,930,561
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		100,088,779			2,453,610			1,493,030
Foreign currency transactions		—			—			15,970
Net change in unrealized appreciation (depreciation) on:
Investments		(243,921,485	)		(5,021,499	)		789,044
Foreign currency translations		—			—			35,679
Net realized and unrealized gain (loss) on investments and foreign currency transactions		(143,832,706	)		(2,567,889	)		2,333,723
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(140,553,046	)	$	(1,860,931	)	$	4,264,284

See accompanying notes to financial statements.

91  |

	Natixis U.S. Multi-Cap Equity Fund			Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund			Westpeak ActiveBeta® Equity Fund
INVESTMENT INCOME
Dividends	$	4,338,223		$	9,247,606		$	1,284,883		$	108,200
Interest		386			670			—			—
Less net foreign taxes withheld		(1,507	)		—			—			(39	)
		4,337,102			9,248,276			1,284,883			108,161
Expenses
Management fees (Note 6)		3,067,347			4,683,409			751,591			34,511
Service and distribution fees (Note 6)		1,302,102			1,113,065			63,403			14
Administrative fees (Note 6)		168,613			241,496			43,591			58,959
Trustees’ fees and expenses (Note 6)		12,952			21,085			16,574			15,521
Transfer agent fees and expenses (Note 6)		590,812			605,056			80,716			131
Audit and tax services fees		58,093			42,279			41,083			42,657
Custodian fees and expenses		47,129			34,928			28,347			17,704
Legal fees		5,150			6,856			1,081			79
Registration fees		71,411			67,847			79,111			54,572
Shareholder reporting expenses		63,995			21,240			15,926			3,319
Miscellaneous expenses		23,119			27,953			10,575			6,639
Total expenses		5,410,723			6,865,214			1,131,998			234,106
Fee/expense recovery (Note 6)		—			—			11,599			—
Less waiver and/or expense reimbursement (Note 6)		(130,628	)		—			—			(179,450	)
Net expenses		5,280,095			6,865,214			1,143,597			54,656
Net investment income (loss)		(942,993	)		2,383,062			141,286			53,505
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		50,091,819			70,526,494			4,262,752			205,202
Options written		(1,415,833	)		—			—			—
Foreign currency transactions		4,555			—			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		(57,781,932	)		(91,520,839	)		(8,855,945	)		(390,800	)
Foreign currency translations		(99	)		—			—			—
Net realized and unrealized loss on investments, options written and foreign currency transactions		(9,101,490	)		(20,994,345	)		(4,593,193	)		(185,598	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(10,044,483	)	$	(18,611,283	)	$	(4,451,907	)	$	(132,093	)

See accompanying notes to financial statements.

|  92

Statements of Changes in Net Assets

	CGM Advisor Targeted Equity Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income	$	3,279,660		$	4,542,096
Net realized gain on investments		100,088,779			145,665,093
Net change in unrealized appreciation (depreciation) on investments		(243,921,485	)		3,002,654
Net increase (decrease) in net assets resulting from operations		(140,553,046	)		153,209,843
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(2,783,146	)		(3,682,006	)
Class B		—			(375	)
Class C		—			(2,612	)
Class Y		(488,284	)		(963,306	)
Total distributions		(3,271,430	)		(4,648,299	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(225,503,135	)		(212,514,662	)
Net decrease in net assets		(369,327,611	)		(63,953,118	)
NET ASSETS
Beginning of the year		982,373,160			1,046,326,278
End of the year	$	613,045,549		$	982,373,160
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(663,505	)	$	(680,128	)

See accompanying notes to financial statements.

93  |

	Harris Associates Large Cap Value Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income	$	706,958		$	401,990
Net realized gain (loss) on investments		2,453,610			(1,313,526	)
Net change in unrealized appreciation (depreciation) on investments		(5,021,499	)		17,456,589
Net increase (decrease) in net assets resulting from operations		(1,860,931	)		16,545,053
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(683,171	)		(471,512	)
Class B		(1,388	)		(7,875	)
Class C		(2,052	)		(8,448	)
Class Y		(65,626	)		(58,296	)
Total distributions		(752,237	)		(546,131	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(14,370,952	)		(10,294,109	)
Net increase (decrease) in net assets		(16,984,120	)		5,704,813
NET ASSETS
Beginning of the year		141,537,353			135,832,540
End of the year	$	124,553,233		$	141,537,353
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(347,644	)	$	(316,203	)

See accompanying notes to financial statements.

|  94

Statements of Changes in Net Assets (continued)

	Natixis Diversified Income Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income	$	1,930,561		$	1,898,058
Net realized gain on investments and foreign currency transactions		1,509,000			966,526
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		824,723			6,183,219
Net increase in net assets resulting from operations		4,264,284			9,047,803
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,534,282	)		(1,156,917	)
Class C		(889,904	)		(644,276	)
Total distributions		(2,424,186	)		(1,801,193	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		10,043,167			(3,201,800	)
Net increase in net assets		11,883,265			4,044,810
NET ASSETS
Beginning of the year		63,141,922			59,097,112
End of the year	$	75,025,187		$	63,141,922
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(112,482	)	$	95,062

See accompanying notes to financial statements.

95  |

	Natixis U.S. Multi-Cap Equity Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(942,993	)	$	4,989
Net realized gain on investments, options written and foreign currency transactions		48,680,541			40,357,533
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(57,782,031	)		28,130,781
Net increase (decrease) in net assets resulting from operations		(10,044,483	)		68,493,303
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(487,074	)
Class Y		—			(4,611	)
Net realized capital gains
Class A		(10,196,143	)		—
Class B		(713,254	)		—
Class C		(1,213,844	)		—
Class Y		(68,334	)		—
Total distributions		(12,191,575	)		(491,685	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(24,368,296	)		(44,819,314	)
Increase from regulatory settlements		—			61,116
Net increase (decrease) in net assets		(46,604,354	)		23,243,420
NET ASSETS
Beginning of the year		375,399,993			352,156,573
End of the year	$	328,795,639		$	375,399,993
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT INCOME (LOSS)	$	(387,492	)	$	(396,189	)

See accompanying notes to financial statements.

|  96

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income	$	2,383,062		$	91,305
Net realized gain on investments		70,526,494			119,759,809
Net change in unrealized appreciation (depreciation) on investments		(91,520,839	)		(2,048,591	)
Net increase (decrease) in net assets resulting from operations		(18,611,283	)		117,802,523
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,089,250	)		—
Class B		(280	)		—
Class Y		(986,874	)		—
Net realized capital gains
Class A		(49,424,710	)		(49,985,276	)
Class B		(1,141,557	)		(1,639,642	)
Class C		(7,191,157	)		(7,933,438	)
Class Y		(29,760,594	)		(40,435,533	)
Total distributions		(89,594,422	)		(99,993,889	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(29,639,917	)		(92,687,439	)
Increase from regulatory settlements		—			493,744
Net decrease in net assets		(137,845,622	)		(74,385,061	)
NET ASSETS
Beginning of the year		531,347,392			605,732,453
End of the year	$	393,501,770		$	531,347,392
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(145,563	)	$	(142,132	)

See accompanying notes to financial statements.

97  |

	Vaughan Nelson Value Opportunity Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income	$	141,286		$	293,964
Net realized gain (loss) on investments		4,262,752			(366,346	)
Net change in unrealized appreciation (depreciation) on investments		(8,855,945	)		7,380,666
Net increase (decrease) in net assets resulting from operations		(4,451,907	)		7,308,284
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(53,709	)
Class C		—			(2,143	)
Class Y		(112,793	)		(226,813	)
Net realized capital gains
Class A		(786,318	)		(13,079	)
Class C		(66,223	)		(823	)
Class Y		(4,052,804	)		(51,747	)
Distributions from paid-in capital
Class A		—			(44,021	)
Class C		—			(1,747	)
Class Y		—			(186,046	)
Total distributions		(5,018,138	)		(580,128	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		89,212,415			33,438,367
Net increase in net assets		79,742,370			40,166,523
NET ASSETS
Beginning of the year		52,806,769			12,640,246
End of the year	$	132,549,139		$	52,806,769
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(27,627	)	$	(21,416	)

See accompanying notes to financial statements.

|  98

Statements of Changes in Net Assets (continued)

	Westpeak ActiveBeta® Equity Fund
	Year Ended December 31, 2011			Period Ended December 31, 2010 (a)
FROM OPERATIONS:
Net investment income	$	53,505		$	25,178
Net realized gain on investments		205,202			36,238
Net change in unrealized appreciation (depreciation) on investments		(390,800	)		659,044
Net increase (decrease) in net assets resulting from operations		(132,093	)		720,460
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(9	)		(5	)
Class C		—	(b)		(1	)
Class Y		(59,771	)		(29,250	)
Net realized capital gains
Class A		(57	)		—
Class C		(57	)		—
Class Y		(285,292	)		—
Total distributions		(345,186	)		(29,256	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		345,186			5,031,258
Net increase (decrease) in net assets		(132,093	)		5,722,462
NET ASSETS
Beginning of the year		5,722,462			—
End of the year	$	5,590,369		$	5,722,462
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(10,642	)	$	(2,678	)

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

(b) Amount rounds to less than $1.00.

See accompanying notes to financial statements.

99  |

This Page Intentionally Left Blank

|  100

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
12/31/2011	$	11.12	$	0.05		$	(1.76	)	$	(1.71	)	$	(0.05	)	$	—		$	(0.05	)
12/31/2010		9.54		0.05	(g)		1.58			1.63			(0.05	)		—			(0.05	)
12/31/2009		7.66		0.05			1.88			1.93			(0.05	)		—			(0.05	)
12/31/2008		13.01		0.09			(4.94	)		(4.85	)		(0.06	)		(0.44	)		(0.50	)
12/31/2007		10.70		0.05			3.54			3.59			(0.13	)		(1.15	)		(1.28	)
Class B
12/31/2011		10.01		(0.03	)		(1.57	)		(1.60	)		—			—			—
12/31/2010		8.61		(0.02	)(g)		1.42			1.40			(0.00	)		—			(0.00	)
12/31/2009		6.92		(0.01	)		1.70			1.69			—			—			—
12/31/2008		11.81		(0.00	)		(4.45	)		(4.45	)		(0.00	)		(0.44	)		(0.44	)
12/31/2007		9.84		(0.04	)		3.24			3.20			(0.08	)		(1.15	)		(1.23	)
Class C
12/31/2011		9.96		(0.03	)		(1.56	)		(1.59	)		—			—			—
12/31/2010		8.57		(0.02	)(g)		1.41			1.39			(0.00	)		—			(0.00	)
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		—			(0.00	)
12/31/2008		11.79		0.02			(4.46	)		(4.44	)		(0.02	)		(0.44	)		(0.46	)
12/31/2007		9.84		(0.03	)		3.22			3.19			(0.09	)		(1.15	)		(1.24	)
Class Y
12/31/2011		11.40		0.07			(1.80	)		(1.73	)		(0.08	)		—			(0.08	)
12/31/2010		9.78		0.07	(g)		1.63			1.70			(0.08	)		—			(0.08	)
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		—			(0.08	)
12/31/2008		13.32		0.13			(5.09	)		(4.96	)		(0.08	)		(0.44	)		(0.52	)
12/31/2007		10.93		0.09			3.61			3.70			(0.16	)		(1.15	)		(1.31	)

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

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

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

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

See accompanying notes to financial statements.

101  |

										Ratios to Average Net Assets:
Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$  —		$	9.36		(15.36	)	$	503,330		1.13		1.13		0.45			236
	—			11.12		17.14			753,518		1.16		1.16		0.52	(g)		146
	—			9.54		25.19			693,386		1.19		1.19		0.69			170
	0.00	(h)		7.66		(38.36	)		796,146		1.10		1.10		0.83			211
	0.00			13.01		34.42			826,867		1.17		1.17		0.45			179
	—			8.41		(15.98	)		5,296		1.88		1.88		(0.32	)		236
	—			10.01		16.26			9,934		1.91		1.91		(0.28	)(g)		146
	—			8.61		24.42			12,401		1.94		1.94		(0.11	)		170
	0.00	(h)		6.92		(38.90	)		13,971		1.85		1.85		(0.03	)		211
	0.00			11.81		33.41			32,297		1.92		1.92		(0.34	)		179
	—			8.37		(15.96	)		47,416		1.88		1.88		(0.32	)		236
	—			9.96		16.22			81,291		1.91		1.91		(0.23	)(g)		146
	—			8.57		24.42			75,098		1.95		1.95		(0.14	)		170
	0.00	(h)		6.89		(38.85	)		59,544		1.85		1.85		0.17			211
	0.00			11.79		33.47			19,753		1.93		1.93		(0.24	)		179
	—			9.59		(15.16	)		57,003		0.87		0.87		0.62			236
	—			11.40		17.39			137,631		0.91		0.91		0.69	(g)		146
	—			9.78		25.75			265,441		0.94		0.94		0.64			170
	0.00	(h)		7.84		(38.28	)		44,240		0.85		0.85		1.21			211
	0.00			13.32		34.75			17,520		0.90		0.90		0.74			179

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

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

(g) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  102

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)  (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Class A
12/31/2011	$	14.17	$	0.08		$	(0.30	)	$	(0.22	)	$	(0.09	)	$	—		$	(0.09	)
12/31/2010		12.58		0.05			1.60			1.65			(0.06	)		—			(0.06	)
12/31/2009		8.77		0.05	(h)		3.81			3.86			(0.05	)		—			(0.05	)
12/31/2008		14.97		0.13			(6.20	)		(6.07	)		(0.13	)		—			(0.13	)
12/31/2007		15.49		0.05			(0.48	)(i)		(0.43	)		(0.09	)		—			(0.09	)
Class B
12/31/2011		13.07		(0.03	)		(0.28	)		(0.31	)		(0.00	)		—			(0.00	)
12/31/2010		11.65		(0.05	)		1.48			1.43			(0.01	)		—			(0.01	)
12/31/2009		8.16		(0.02	)(h)		3.52			3.50			(0.01	)		—			(0.01	)
12/31/2008		13.84		0.03			(5.70	)		(5.67	)		(0.01	)		—			(0.01	)
12/31/2007		14.39		(0.06	)		(0.45	)(i)		(0.51	)		(0.04	)		—			(0.04	)
Class C
12/31/2011		13.02		(0.03	)		(0.27	)		(0.30	)		(0.00	)		—			(0.00	)
12/31/2010		11.61		(0.05	)		1.47			1.42			(0.01	)		—			(0.01	)
12/31/2009		8.13		(0.02	)(h)		3.51			3.49			(0.01	)		—			(0.01	)
12/31/2008		13.82		0.03			(5.69	)		(5.66	)		(0.03	)		—			(0.03	)
12/31/2007		14.37		(0.06	)		(0.45	)(i)		(0.51	)		(0.04	)		—			(0.04	)
Class Y
12/31/2011		14.65		0.12			(0.33	)		(0.21	)		(0.12	)		—			(0.12	)
12/31/2010		12.99		0.08			1.67			1.75			(0.09	)		—			(0.09	)
12/31/2009		9.05		0.08	(h)		3.93			4.01			(0.07	)		—			(0.07	)
12/31/2008		15.47		0.19			(6.42	)		(6.23	)		(0.19	)		—			(0.19	)
12/31/2007		16.01		0.12			(0.51	)(i)		(0.39	)		(0.15	)		—			(0.15	)
NATIXIS DIVERSIFIED INCOME FUND
Class A
12/31/2011	$	10.41	$	0.34		$	0.40		$	0.74		$	(0.41	)	$	—		$	(0.41	)
12/31/2010		9.22		0.34			1.18			1.52			(0.33	)		—			(0.33	)
12/31/2009		7.18		0.36			1.97			2.33			(0.29	)		—			(0.29	)
12/31/2008		10.26		0.47			(2.96	)		(2.49	)		(0.49	)		(0.10	)		(0.59	)
12/31/2007		11.15		0.41			(0.71	)		(0.30	)		(0.45	)		(0.14	)		(0.59	)
Class C
12/31/2011		10.39		0.26			0.39			0.65			(0.33	)		—			(0.33	)
12/31/2010		9.20		0.27			1.17			1.44			(0.25	)		—			(0.25	)
12/31/2009		7.17		0.30			1.97			2.27			(0.24	)		—			(0.24	)
12/31/2008		10.24		0.40			(2.95	)		(2.55	)		(0.42	)		(0.10	)		(0.52	)
12/31/2007		11.12		0.33			(0.70	)		(0.37	)		(0.37	)		(0.14	)		(0.51	)

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

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

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

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

See accompanying notes to financial statements.

103  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	13.86		(1.56	)	$	107,978		1.30	(g)		1.30	(g)		0.57			36
	—		14.17		13.08			118,938		1.30			1.39			0.36			32
	0.00		12.58		44.03			113,309		1.30			1.50			0.53			131
	—		8.77		(40.45	)		85,761		1.28			1.28			1.04			38
	—		14.97		(2.94	)		172,468		1.28	(j)(k)		1.28	(j)		0.35			30
	—		12.76		(2.34	)		3,341		2.05	(g)		2.05	(g)		(0.21	)		36
	—		13.07		12.31			5,614		2.05			2.13			(0.40	)		32
	0.00		11.65		42.88			7,864		2.05			2.25			(0.22	)		131
	—		8.16		(40.87	)		8,191		2.03			2.04			0.25			38
	—		13.84		(3.68	)		23,916		2.04	(j)(k)		2.04	(j)		(0.44	)		30
	—		12.72		(2.28	)		5,667		2.05	(g)		2.05	(g)		(0.19	)		36
	—		13.02		12.26			7,399		2.05			2.14			(0.39	)		32
	0.00		11.61		42.91			7,208		2.05			2.25			(0.22	)		131
	—		8.13		(40.90	)		6,222		2.03			2.03			0.26			38
	—		13.82		(3.69	)		15,616		2.04	(j)(k)		2.04	(j)		(0.41	)		30
	—		14.32		(1.40	)		7,567		1.05	(g)		1.05	(g)		0.80			36
	—		14.65		13.47			9,586		1.05			1.14			0.61			32
	0.00		12.99		44.39			7,450		1.05			1.12			0.77			131
	—		9.05		(40.18	)		5,842		0.84			0.84			1.47			38
	—		15.47		(2.59	)		11,840		0.91	(k)		0.91			0.72			30
$	—	$	10.74		7.21		$	45,211		1.13			1.13			3.17			20
	—		10.41		16.73			35,787		1.19			1.19			3.51			28
	—		9.22		33.32			33,796		1.21			1.21			4.67			22
	—		7.18		(25.26	)		31,709		1.09			1.10			5.10			23
	—		10.26		(2.80	)		54,733		1.08	(g)		1.09	(g)		3.76			50
	—		10.71		6.33			29,814		1.88			1.88			2.42			20
	—		10.39		15.90			27,355		1.94			1.94			2.76			28
	—		9.20		32.24			25,301		1.96			1.96			3.90			22
	—		7.17		(25.78	)		30,336		1.84			1.84			4.30			23
	—		10.24		(3.52	)		70,179		1.83	(g)		1.84	(g)		3.00			50

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

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

(g) Includes fee/expense recovery of 0.01%.

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

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

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

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

See accompanying notes to financial statements.

|  104

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
NATIXIS U.S. MULTI-CAP EQUITY FUND
Class A
12/31/2011	$	25.17	$	(0.04	)	$	(0.69	)	$	(0.73	)	$	—		$	(0.88	)	$	(0.88	)
12/31/2010		20.68		0.03	(h)		4.50			4.53			(0.04	)		—			(0.04	)
12/31/2009		15.16		(0.01	)		5.53			5.52			—			—			—
12/31/2008		25.76		0.02	(i)		(10.20	)		(10.18	)		—			(0.42	)		(0.42	)
12/31/2007		22.94		(0.06	)		3.19			3.13			—			(0.31	)		(0.31	)
Class B
12/31/2011		21.60		(0.21	)		(0.58	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.85		(0.12	)(h)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.78			4.66			—			—			—
12/31/2008		22.63		(0.13	)(i)		(8.89	)		(9.02	)		—			(0.42	)		(0.42	)
12/31/2007		20.33		(0.22	)		2.83			2.61			—			(0.31	)		(0.31	)
Class C
12/31/2011		21.61		(0.20	)		(0.59	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.86		(0.12	)(h)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.79			4.67			—			—			—
12/31/2008		22.65		(0.13	)(i)		(8.91	)		(9.04	)		—			(0.42	)		(0.42	)
12/31/2007		20.36		(0.22	)		2.82			2.60			—			(0.31	)		(0.31	)
Class Y
12/31/2011		27.12		0.04			(0.76	)		(0.72	)		—			(0.88	)		(0.88	)
12/31/2010		22.27		0.05	(h)		4.90			4.95			(0.10	)		—			(0.10	)
12/31/2009		16.29		0.04			5.94			5.98			—			—			—
12/31/2008		27.58		0.07	(i)		(10.94	)		(10.87	)		—			(0.42	)		(0.42	)
12/31/2007		24.45		0.03			3.41			3.44			—			(0.31	)		(0.31	)

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

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

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

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

See accompanying notes to financial statements.

105  |

								Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period	Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$23.56		(2.79	)	$	281,467		1.34	(g)		1.38		(0.15	)		97
	0.00	25.17		21.90			314,384		1.40			1.50		0.14	(h)		79
	—	20.68		36.41			280,846		1.40			1.56		(0.05	)		115
	—	15.16		(40.05	)		228,549		1.43			1.43		0.08			110
	—	25.76		13.69			407,228		1.47			1.47		(0.24	)		82
	—	19.93		(3.53	)		16,820		2.10	(g)		2.13		(0.94	)		97
	0.00	21.60		21.01			28,787		2.15			2.25		(0.66	)(h)		79
	—	17.85		35.33			37,406		2.15			2.31		(0.80	)		115
	—	13.19		(40.47	)		40,868		2.18			2.19		(0.70	)		110
	—	22.63		12.83			119,028		2.21			2.21		(1.00	)		82
	—	19.94		(3.53	)		28,462		2.09	(g)		2.13		(0.90	)		97
	0.00	21.61		21.00			30,912		2.15			2.25		(0.62	)(h)		79
	—	17.86		35.41			28,580		2.15			2.31		(0.80	)		115
	—	13.19		(40.53	)		24,079		2.18			2.18		(0.68	)		110
	—	22.65		12.82			47,239		2.22			2.22		(0.99	)		82
	—	25.52		(2.56	)		2,047		1.09	(g)		1.14		0.16			97
	0.00	27.12		22.21			1,317		1.15			1.24		0.22	(h)		79
	—	22.27		36.71			5,325		1.15			1.22		0.20			115
	—	16.29		(39.89	)		5,611		1.17			1.23		0.31			110
	—	27.58		14.02			16,649		1.12			1.12		0.10			82

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

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

(g) Effective June 1, 2011, the expense limit decreased to 1.30%, 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively.

(h) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  106

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
12/31/2011	$	22.69	$	0.10		$	(0.83	)	$	(0.73	)	$	(0.09	)	$	(4.13	)	$	(4.22	)
12/31/2010		22.31		(0.01	)		5.27			5.26			—			(4.90	)		(4.90	)
12/31/2009		17.42		0.05	(g)		4.88			4.93			(0.04	)		—			(0.04	)
12/31/2008		22.11		0.03			(4.69	)		(4.66	)		—			(0.03	)		(0.03	)
12/31/2007		20.90		(0.02	)		1.23			1.21			—			—			—
Class B
12/31/2011		19.73		(0.07	)		(0.69	)		(0.76	)		(0.00	)		(4.13	)		(4.13	)
12/31/2010		20.06		(0.17	)		4.72			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.09	)(g)		4.39			4.30			—			—			—
12/31/2008		20.15		(0.14	)		(4.22	)		(4.36	)		—			(0.03	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.13			0.96			—			—			—
Class C
12/31/2011		19.74		(0.06	)		(0.70	)		(0.76	)		—			(4.13	)		(4.13	)
12/31/2010		20.07		(0.16	)		4.71			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.08	)(g)		4.39			4.31			—			—			—
12/31/2008		20.16		(0.13	)		(4.24	)		(4.37	)		—			(0.03	)		(0.03	)
12/31/2007		19.19		(0.17	)		1.14			0.97			—			—			—
Class Y
12/31/2011		22.96		0.15			(0.84	)		(0.69	)		(0.15	)		(4.13	)		(4.28	)
12/31/2010		22.47		0.06			5.31			5.37			—			(4.90	)		(4.90	)
12/31/2009		17.55		0.12	(g)		4.90			5.02			(0.10	)		—			(0.10	)
12/31/2008		22.20		0.12			(4.74	)		(4.62	)		—			(0.03	)		(0.03	)
12/31/2007		20.91		0.04			1.25			1.29			—			—			—

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

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

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

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

See accompanying notes to financial statements.

107  |

												Ratios to Average Net Assets:
Increase from regulatory settlements		Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	—		$	17.74		(3.77	)	$	228,445		1.36			1.36			0.44			88
	0.02		—			22.69		23.67			267,192		1.41			1.41			(0.03	)		80
	—		—			22.31		28.30			322,961		1.45			1.49			0.27			102
	—		0.00	(h)		17.42		(21.11	)		171,875		1.45			1.51			0.13			124
	—		0.00			22.11		5.84			103,719		1.49			1.57			(0.11	)		78
	—		—			14.84		(4.51	)		4,657		2.11			2.11			(0.38	)		88
	0.02		—			19.73		22.78			7,996		2.16			2.16			(0.78	)		80
	—		—			20.06		27.28			10,630		2.20			2.24			(0.56	)		102
	—		0.00	(h)		15.76		(21.67	)		11,788		2.20			2.26			(0.78	)		124
	—		0.00			20.15		5.06			25,076		2.24			2.31			(0.84	)		78
	—		—			14.85		(4.51	)		30,284		2.11			2.11			(0.33	)		88
	0.02		—			19.74		22.78			38,855		2.16			2.16			(0.76	)		80
	—		—			20.07		27.35			39,238		2.20			2.24			(0.48	)		102
	—		0.00	(h)		15.76		(21.71	)		21,861		2.20			2.26			(0.68	)		124
	—		0.00			20.16		5.05			21,765		2.24			2.32			(0.85	)		78
	—		—			17.99		(3.54	)		130,115		1.10			1.10			0.65			88
	0.02		—			22.96		24.00			217,305		1.16			1.16			0.24			80
	—		—			22.47		28.61			232,903		1.18	(i)		1.18	(i)		0.60			102
	—		0.00	(h)		17.55		(20.81	)		71,568		1.20			1.21			0.65			124
	—		0.00			22.20		6.12			1,241		1.19	(j)		1.19	(j)		0.17			78

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

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

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

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

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

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

See accompanying notes to financial statements.

|  108

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Distributions from paid-in capital
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
12/31/2011	$	14.75	$	(0.01	)	$	(0.39	)	$	(0.40	)	$	—		$	(0.52	)	$	—
12/31/2010		12.46		0.08	(h)		2.36			2.44			(0.07	)		(0.02	)		(0.06	)
12/31/2009		9.60		0.09			2.88			2.97			(0.04	)		(0.07	)		—
12/31/2008(i)		10.00		0.03			(0.41	)		(0.38	)		(0.02	)		—			—
Class C
12/31/2011		14.63		(0.12	)		(0.39	)		(0.51	)		—			(0.52	)		—
12/31/2010		12.39		(0.03	)(h)		2.36			2.33			(0.04	)		(0.02	)		(0.03	)
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		—
12/31/2008(i)		10.00		0.02			(0.41	)		(0.39	)		(0.02	)		—			—
Class Y
12/31/2011		14.80		0.03			(0.41	)		(0.38	)		(0.01	)		(0.52	)		—
12/31/2010		12.49		0.12	(h)		2.37			2.49			(0.09	)		(0.02	)		(0.07	)
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		—
12/31/2008(i)		10.00		0.03			(0.40	)		(0.37	)		(0.03	)		—			—

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

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

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

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

See accompanying notes to financial statements.

109  |

										Ratios to Average Net Assets:
Total distributions			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	(0.52	)	$	13.83		(2.71	)	$	21,308		1.40	(g)		1.40	(g)		(0.07	)		75
	(0.15	)		14.75		19.64			11,268		1.40			1.69			0.62	(h)		143
	(0.11	)		12.46		30.98			3,645		1.40			5.24			0.79			45
	(0.02	)		9.60		(3.75	)		16		1.40			39.61			1.92			12
	(0.52	)		13.60		(3.48	)		1,822		2.15	(g)		2.15	(g)		(0.83	)		75
	(0.09	)		14.63		18.85			824		2.15			2.46			(0.23	)(h)		143
	(0.07	)		12.39		30.01			370		2.15			8.54			(0.14	)		45
	(0.02	)		9.59		(3.90	)		41		2.15			40.36			1.62			12
	(0.53	)		13.89		(2.53	)		109,419		1.15	(g)		1.15	(g)		0.23			75
	(0.18	)		14.80		19.96			40,715		1.15			1.43			0.92	(h)		143
	(0.11	)		12.49		31.37			8,626		1.15			7.22			0.90			45
	(0.03	)		9.60		(3.74	)		960		1.15			38.91			1.41			12

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

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

(g) Includes fee/expense recovery of 0.01%.

(h) Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively.

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

See accompanying notes to financial statements.

|  110

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
WESTPEAK ACTIVEBETA® EQUITY FUND
Class A
12/31/2011	$	11.38	$	0.08		$	(0.39	)	$	(0.31	)	$	(0.09	)	$	(0.56	)	$	(0.65	)
12/31/2010(g)		10.00		0.04			1.39			1.43			(0.05	)		—			(0.05	)
Class C
12/31/2011		11.38		(0.01	)		(0.38	)		(0.39	)		(0.00	)		(0.56	)		(0.56	)
12/31/2010(g)		10.00		0.01			1.38			1.39			(0.01	)		—			(0.01	)
Class Y
12/31/2011		11.38		0.11			(0.39	)		(0.28	)		(0.12	)		(0.56	)		(0.68	)
12/31/2010(g)		10.00		0.05			1.39			1.44			(0.06	)		—			(0.06	)

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

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

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

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

See accompanying notes to financial statements.

111  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	10.42		(2.57	)	$	1		1.20		4.14		0.68			72
	11.38		14.28			1		1.20		5.55		0.90			34
	10.43		(3.26	)		1		1.95		4.91		(0.07	)		72
	11.38		13.94			1		1.95		6.31		0.14			34
	10.42		(2.31	)		5,588		0.95		4.07		0.93			72
	11.38		14.39			5,720		0.95		5.34		1.13			34

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

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

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

See accompanying notes to financial statements.

|  112

Notes to Financial Statements

December 31, 2011

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

Natixis Funds Trust I:

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

Natixis Diversified Income Fund (formerly Natixis Income Diversified Portfolio) (the “Diversified Income Fund”)

Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) (the “U.S. Multi-Cap Equity Fund”)

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

Natixis Funds Trust II:

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

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

Westpeak ActiveBeta^® Equity Fund (the “ActiveBeta Equity Fund”)

Each Fund is a diversified investment company.

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

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

Effective February 13, 2012, the ActiveBeta Equity Fund was closed to new investors and for additional investments from current shareholders of the Fund.

Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Diversified Income Fund which is sold with a maximum front-end sales charge of 4.50%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions.

113  |

Notes to Financial Statements (continued)

December 31, 2011

Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

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

a.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Forward foreign

|  114

Notes to Financial Statements (continued)

December 31, 2011

currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

115  |

Notes to Financial Statements (continued)

December 31, 2011

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

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

|  116

Notes to Financial Statements (continued)

December 31, 2011

instrument or closing sale transaction to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the equity underlying the written option.

Exchange-traded options are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. For the year ended December 31, 2011, the Funds were not party to any over-the-counter options.

f.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

g.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the

117  |

Notes to Financial Statements (continued)

December 31, 2011

United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, net operating losses, distribution redesignations, return of capital and capital gain distributions from REITs, foreign currency transactions, distributions in excess of current earnings, trust preferred securities, contingent payment debt instruments, premium amortization, defaulted bonds, non-deductible expenses and expiring capital loss carryforwards. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, defaulted bond adjustments, REIT basis adjustments, contingent payment debt instruments, premium amortization, forward foreign currency contract mark to market and trust preferred securities. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2011 and 2010 was as follows:

	2011 Distributions Paid From:						2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Target Equity Fund	$	3,271,430	$	—	$	3,271,430	$	4,648,299	$	—	$	—	$	4,648,299
Large Cap Value Fund		752,237		—		752,237		546,131		—		—		546,131
Diversified Income Fund		2,424,186		—		2,424,186		1,801,193		—		—		1,801,193
U.S. Multi-Cap Equity Fund		—		12,191,575		12,191,575		491,685		—		—		491,685
Small Cap Value Fund		9,887,166		79,707,256		89,594,422		40,800,424		59,193,465		—		99,993,889
Value Opportunity Fund		2,390,222		2,627,916		5,018,138		332,097		16,217		231,814		580,128
ActiveBeta Equity Fund		291,494		53,692		345,186		29,256		—		—		29,256

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

|  118

Notes to Financial Statements (continued)

December 31, 2011

As of December 31, 2011, the components of distributable earnings on a tax basis were as follows:

	Targeted Equity Fund			Large Cap Value Fund			Diversified Income Fund			U.S. Multi-Cap Equity Fund			Small Cap Value Fund		Value Opportunity Fund			ActiveBeta Equity Fund
Undistributed ordinary income	$	—		$	—		$	35,997		$	—		$	713,621	$	—		$	—
Undistributed long-term capital gains		—			—			—			—			4,908,152		370,813			—
Total undistributed earnings		—			—			35,997			—			5,621,773		370,813			—
Capital loss carryforward:
Short-term:
Expires December 31, 2016		—			—			(5,390,183	)		—			—		—			—
Expires December 31, 2017		(15,907,430	)		(9,206,549	)		(14,198,082	)		—			—		—			—
Expires December 31, 2018		—			(790,094	)		—			—			—		—			—
Total capital loss carryforward		(15,907,430	)		(9,996,643	)		(19,588,265	)		—			—		—			—
Post-October loss deferrals		(3,767,300	)		—			(36,756	)		(344,971	)		—		(785,235	)		(19,746	)
Unrealized appreciation (depreciation)		6,282,801			4,442,801			766,149			31,508,106			9,802,473		(1,420,105	)		247,258
Total accumulated earnings (losses)	$	(13,391,929	)	$	(5,553,842	)	$	(18,822,875	)	$	31,163,135		$	15,424,246	$	(1,834,527	)	$	227,512
Capital loss carryforward utilized in the current year	$	111,493,486		$	1,822,951		$	1,333,648		$	35,513,808		$	—	$	279,086		$	—

The Large Cap Value Fund had $8,142,515 of capital loss carryforwards expire in the current year.

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

119  |

Notes to Financial Statements (continued)

December 31, 2011

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. Additionally, capital losses realized in taxable years beginning after effective date of the Act are carried over in the character (short-term or long-term) realized. Rules in effect previously treated all capital loss carryforwards as short-term.

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

i.  Delayed Delivery Commitments.  The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no delayed delivery securities held by the Funds as of December 31, 2011.

j.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and

|  120

Notes to Financial Statements (continued)

December 31, 2011

U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended December 31, 2011, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

121  |

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2011, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	603,674,180	$	—	$	—	$	603,674,180
Short-Term Investments		—		11,931,470		—		11,931,470
Total	$	603,674,180	$	11,931,470	$	—	$	615,605,650

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

Large Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	119,951,403	$	—	$	—	$	119,951,403
Short-Term Investments		—		5,164,116		—		5,164,116
Total	$	119,951,403	$	5,164,116	$	—	$	125,115,519

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

|  122

Notes to Financial Statements (continued)

December 31, 2011

Diversified Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	11,500,978	$	94,814	$	11,595,792
All Other Non-Convertible Bonds(a)		—		22,188,776		—		22,188,776
Total Non-Convertible Bonds		—		33,689,754		94,814		33,784,568
Convertible Bonds(a)		—		2,057,962		—		2,057,962
Municipals(a)		—		66,898		—		66,898
Total Bonds and Notes		—		35,814,614		94,814		35,909,428
Common Stocks(a)		33,801,743		—		—		33,801,743
Preferred Stocks
Convertible Preferred Stocks
Banking		73,780		13,063		—		86,843
Construction Machinery		—		6,815		—		6,815
Consumer Products		—		30,631		—		30,631
All Other Convertible Preferred Stocks(a)		505,734		—		—		505,734
Total Convertible Preferred Stocks		579,514		50,509		—		630,023
Non-Convertible Preferred Stocks(a)		162,379		92,473		—		254,852
Total Preferred Stocks		741,893		142,982		—		884,875
Short-Term Investments		—		1,325,401		—		1,325,401
Total Investments		34,543,636		37,282,997		94,814		71,921,447
Forward Foreign Currency Contracts (unrealized appreciation)		—		38,350		—		38,350
Total	$	34,543,636	$	37,321,347	$	94,814	$	71,959,797

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

123  |

Notes to Financial Statements (continued)

December 31, 2011

U.S. Multi-Cap Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	320,087,347	$	—	$	—	$	320,087,347
Closed End Investment Companies		1,675,089		—		—		1,675,089
Short-Term Investments		—		7,466,333		—		7,466,333
Total	$	321,762,436	$	7,466,333	$	—	$	329,228,769

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

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	351,106,006	$	—	$	—	$	351,106,006
Exchange Traded Funds		17,790,081		—		—		17,790,081
Closed End Investment Companies		9,942,847		—		—		9,942,847
Total	$	378,838,934	$	—	$	—	$	378,838,934

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

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	128,004,612	$	—	$	—	$	128,004,612
Closed End Investment Companies		2,103,131		—		—		2,103,131
Total	$	130,107,743	$	—	$	—	$	130,107,743

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

ActiveBeta Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	5,610,631	$	—	$	—	$	5,610,631

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

|  124

Notes to Financial Statements (continued)

December 31, 2011

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

Diversified Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds Treasuries	$	—	$	4,941	$	—	$	(169,573	)	$	259,446
Investments in Securities	Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2011			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds Treasuries	$	—	$	—	$	—	$	94,814		$	(169,573	)

In May, 2011, Accounting Standard Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of March 31, 2012 for the Funds, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Funds’ financial statements.

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

125  |

Notes to Financial Statements (continued)

December 31, 2011

The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. Certain Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended December 31, 2011, Diversified Income Fund engaged in forward foreign currency transactions for hedging purposes.

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. U.S. Multi-Cap Equity Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of option contracts used for hedging purposes. The Fund may also use purchased call options to gain exposure to an equity security without committing the capital required to buy it, while also limiting the downside risk associated with owning it. During the year ended December 31, 2011, the Fund engaged in purchased put and written call options for hedging purposes, in written put options to offset the cost of options used for hedging purposes, and in purchased call options to gain exposure to equity securities.

Certain Funds are party to agreements with counterparties that govern transactions in forward foreign currency contracts and over-the-counter options. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, none of the Funds held derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty.

Forward foreign currency contracts and over-the-counter option contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. Certain Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that Diversified Income Fund would incur if counterparties failed to meet their obligations and the amount of loss that the Fund would incur after taking into account master netting arrangements is $38,350.

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

|  126

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Diversified Income Fund as of December 31, 2011:

Statements of Assets and Liabilities Caption	Foreign Exchange Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	38,350

Transactions in derivative instruments for Diversified Income Fund during the year ended December 31, 2011 were as follows:

Statements of Operations Caption	Foreign Exchange Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	20,342
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*	$	40,409

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

Transactions in derivative instruments for U.S. Multi-Cap Equity Fund during the year ended December 31, 2011 were as follows:

Statements of Operations Caption	Equity Contracts
Net Realized Gain (Loss) on:
Investments*	$	701,993
Options written		(1,415,833	)

* Represents realized gain for purchased options during the period.

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

The volume of forwards activity, as a percentage of net assets, for Diversified Income Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2011:

Diversified Income Fund	Forwards
Average Notional Amount Outstanding	0.60%

127  |

Notes to Financial Statements (continued)

December 31, 2011

Diversified Income Fund	Forwards
Highest Notional Amount Outstanding	1.02%
Lowest Notional Amount Outstanding	0.30%
Notional Amount Outstanding as of December 31, 2011	0.71%

The volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on the month-end market values of equity securities underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2011:

U.S. Multi-Cap Equity Fund*	Put Options Purchased			Call Options Written
Average Market Value of Underlying Securities		0.06	%		0.05	%
Highest Market Value of Underlying Securities		0.44	%		0.36	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of December 31, 2011		0.00	%		0.00	%

The volume of options activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2011:

U.S. Multi-Cap Equity Fund*	Call Options Purchased			Put Options Written
Average Market Value of Underlying Securities		0.00	%(+)		0.01	%
Highest Market Value of Underlying Securities		0.42	%		0.60	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of December 31, 2011		0.00	%		0.00	%

(+) Amount is less than 0.01%.

* Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

Market value of underlying securities and notional amounts outstanding at the end of the prior period are included in the averages above.

The following is a summary of U.S. Multi-Cap Equity Fund’s written option activity:

	Number of Contracts			Premiums
Outstanding at December 31, 2010		—		$	—
Options written		37,967			2,504,133
Options terminated in closing purchase transactions		(37,967	)		(2,504,133	)

|  128

Notes to Financial Statements (continued)

December 31, 2011

	Number of Contracts		Premiums
Options exercised		—		—
Options expired		—		—
Outstanding at December 31, 2011		—	$	—

5.  Purchases and Sales of Securities.  For the year ended December 31, 2011, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	1,895,563,891	$	2,113,397,514
Large Cap Value Fund		46,634,967		57,281,336
Diversified Income Fund		21,431,312		12,846,261
U.S. Multi-Cap Equity Fund		344,456,018		378,763,366
Small Cap Value Fund		445,401,129		564,966,616
Value Opportunity Fund		152,785,504		68,100,330
ActiveBeta Equity Fund		4,255,216		4,201,038

For the year ended December 31, 2011, purchases and sales of U.S. Government/Agency securities by the Diversified Income Fund were $1,218,855 and $409,957, respectively.

6.  Management Fees and Other Transactions with Affiliates.

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

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $300 million			Next $500 million			Next $1 billion			Over $2 billion
Targeted Equity Fund		0.75	%		0.70	%		0.65	%		0.65	%		0.60	%
Large Cap Value Fund		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Diversified Income Fund		0.55	%		0.55	%		0.55	%		0.50	%		0.50	%
U.S. Multi-Cap Equity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Value Opportunity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%
ActiveBeta Equity Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%

Prior to June 1, 2011, U.S. Multi-Cap Equity Fund paid a management fee at an annual rate of 0.90% for the first billion and 0.80% thereafter, calculated daily and payable monthly, based on the Fund’s average daily net assets.

129  |

Notes to Financial Statements (continued)

December 31, 2011

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

Large Cap Value Fund	Harris Associates L.P. (“Harris”)
Diversified Income Fund	AEW Capital Management, L.P. (“AEW”)
	Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Multi-Cap Equity Fund	Harris
	Loomis Sayles
Small Cap Value Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund	Vaughan Nelson
ActiveBeta Equity Fund	Westpeak Global Advisors, L.P. (“Westpeak”)

Prior to June 1, 2011, a segment of U.S. Multi-Cap Equity Fund was subadvised by BlackRock Investment Management, LLC. This segment is now subadvised by Loomis Sayles.

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

NGAM Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the period from January 1, 2011 to December 31, 2011 (June 1, 2011 to December 31, 2011 for U.S. Multi-Cap Equity Fund), the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Large Cap Value Fund		1.30	%		2.05	%		2.05	%		1.05	%
Diversified Income Fund		1.25	%		—			2.00	%		—
U.S. Multi-Cap Equity Fund		1.30	%		2.05	%		2.05	%		1.05	%
Small Cap Value Fund		1.45	%		2.20	%		2.20	%		1.20	%
Value Opportunity Fund		1.40	%		—			2.15	%		1.15	%
ActiveBeta Equity Fund		1.20	%		—			1.95	%		0.95	%

|  130

Notes to Financial Statements (continued)

December 31, 2011

Prior to June 1, 2011 the expense limits as a percentage of average daily net assets under the expense limitation agreement for U.S. Multi-Cap Equity Fund were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
U.S. Multi-Cap Equity Fund		1.40	%		2.15	%		2.15	%		1.15	%

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

For the year ended December 31, 2011, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Targeted Equity Fund	$	5,606,397	$	—	$	5,606,397		0.69	%		0.69	%
Large Cap Value Fund		943,175		—		943,175		0.70	%		0.70	%
Diversified Income Fund		372,393		—		372,393		0.55	%		0.55	%
U.S. Multi-Cap Equity Fund		3,067,347		130,628		2,936,719		0.84	%		0.81	%
Small Cap Value Fund		4,683,409		—		4,683,409		0.90	%		0.90	%
Value Opportunity Fund		751,591		—		751,591		0.80	%		0.80	%
ActiveBeta Equity Fund		34,511		34,511		—		0.60	%		—

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

For the year ended December 31, 2011, expenses have been reimbursed as follows:

Fund	Reimbursement2
ActiveBeta Equity Fund	$	144,939

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

131  |

Notes to Financial Statements (continued)

December 31, 2011

For the year ended December 31, 2011, management fee waivers related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A		Class B		Class C		Class Y		Total
Large Cap Value Fund	$	10,877	$	416	$	618	$	811	$	12,722
Value Opportunity Fund		2,358		—		223		9,018		11,599

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

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

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

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

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

Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.

|  132

Notes to Financial Statements (continued)

December 31, 2011

For the year ended December 31, 2011, the Funds paid the following service and distribution fees:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	1,568,124	$	18,384	$	163,559	$	55,153	$	490,678
Large Cap Value Fund		288,182		10,927		16,313		32,782		48,940
Diversified Income Fund		98,311		—		70,958		—		212,873
U.S. Multi-Cap Equity Fund		771,121		56,185		76,560		168,556		229,680
Small Cap Value Fund		696,003		15,626		88,640		46,876		265,920
Value Opportunity Fund		46,394		—		4,252		—		12,757
ActiveBeta Equity Fund		3		—		3		—		8

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

For the year ended December 31, 2011, each Fund paid the following administrative fees to NGAM Advisors:

Fund	Administrative Fees
Targeted Equity Fund	$	375,325
Large Cap Value Fund		62,532
Diversified Income Fund		31,422
U.S. Multi-Cap Equity Fund		168,613
Small Cap Value Fund		241,496
Value Opportunity Fund		43,591
ActiveBeta Equity Fund		58,959

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder

133  |

Notes to Financial Statements (continued)

December 31, 2011

communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Funds held by the intermediaries (which generally are a percentage of the value of shares held) not to exceed what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. NGAM Distribution pays the remainder of the fees.

For the year ended December 31, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	431,088
Large Cap Value Fund		36,681
Diversified Income Fund		33,928
U.S. Multi-Cap Equity Fund		108,998
Small Cap Value Fund		424,404
Value Opportunity Fund		69,849

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2011, were as follows:

Fund	Commissions
Targeted Equity Fund	$	228,335
Large Cap Value Fund		33,145
Diversified Income Fund		45,319
U.S. Multi-Cap Equity Fund		237,721
Small Cap Value Fund		39,405
Value Opportunity Fund		20,056

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and

|  134

Notes to Financial Statements (continued)

December 31, 2011

Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2012, the Chairperson of the Board receives a retainer fee at the annual rate of $265,000. The Chairperson does not receive any meeting attendance fees for the Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in aggregate, a retainer fee at the annual rate of $95,000. All other Trustee fees remain unchanged.

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

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 21, 2011, the commitment fee was 0.15% per annum.

For the year ended December 31, 2011, none of the Funds had borrowings under these agreements.

8.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such

135  |

Notes to Financial Statements (continued)

December 31, 2011

agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2011, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	551,289
Diversified Income Fund		546
U.S. Multi-Cap Equity Fund		35,162
Small Cap Value Fund		54,772

9.  Payable to Custodian Bank.  The Funds’ custodian bank, State Street Bank, provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts bear interest at a rate per annum equal to the Federal Funds rate plus 2.00%. At December 31, 2011, certain Funds had payables to the custodian bank for overdrafts and incurred interest in connection with these overdrafts as follows:

Fund	Payable to Custodian Bank		Interest Incurred on Overdrafts
Diversified Income Fund	$	41,742	$	14
Small Cap Value Fund		15,846,616		3,674
Value Opportunity Fund		676,489		244

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

11.  Concentration of Ownership.  From time to time, the Funds may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of December 31, 2011, certain Funds had shareholders that owned more than 5% of the Funds’ total outstanding shares. The number of shareholders owning more than 5% of total outstanding shares of a fund, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:

Fund	Number of 5% Shareholders		Percentage of Ownership
Large Cap Value Fund		1		5.52	%
Small Cap Value Fund		2		21.78	%
Value Opportunity Fund		1		20.59	%

Shares held in omnibus accounts may be beneficially held by one or more individuals or entities other than the owner of record. As of December 31, 2011, a Fund had omnibus accounts representing ownership of more than 25% of the Fund’s total outstanding shares. The number of omnibus accounts representing ownership of more than 25% of

|  136

Notes to Financial Statements (continued)

December 31, 2011

total outstanding shares of the fund, based on accounts that represent more than 25% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:

Fund	Number of 25% Omnibus Accounts		Percentage of Ownership
Diversified Income Fund		2		60.81	%

As of December 31, 2011, Natixis US and its affiliates owned shares equating to 99.99% of ActiveBeta Equity Fund’s net assets.

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

	Year Ended December 31, 2011					Year Ended December 31, 2010
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,184,509		$	33,232,138		7,738,827		$	76,552,424
Issued in connection with the reinvestment of distributions	282,978			2,637,355		311,600			3,451,189
Redeemed	(17,448,381	)		(176,294,304	)	(12,966,098	)		(127,132,727	)
Net change	(13,980,894	)	$	(140,424,811	)	(4,915,671	)	$	(47,129,114	)
Class B
Issued from the sale of shares	22,290		$	209,108		30,077		$	270,580
Issued in connection with the reinvestment of distributions	—			—		38			356
Redeemed	(384,942	)		(3,528,090	)	(478,236	)		(4,192,463	)
Net change	(362,652	)	$	(3,318,982	)	(448,121	)	$	(3,921,527	)
Class C
Issued from the sale of shares	896,423		$	8,494,213		2,115,687		$	18,787,778
Issued in connection with the reinvestment of distributions	—			—		170			1,588
Redeemed	(3,391,034	)		(30,547,401	)	(2,720,024	)		(23,660,824	)
Net change	(2,494,611	)	$	(22,053,188	)	(604,167	)	$	(4,871,458	)
Class Y
Issued from the sale of shares	3,063,998		$	33,665,698		5,946,373		$	59,945,503
Issued in connection with the reinvestment of distributions	24,987			238,628		22,586			256,277
Redeemed	(9,218,830	)		(93,610,480	)	(21,046,408	)		(216,794,343	)
Net change	(6,129,845	)	$	(59,706,154	)	(15,077,449	)	$	(156,592,563	)
Increase (decrease) from capital share transactions	(22,968,002	)	$	(225,503,135	)	(21,045,408	)	$	(212,514,662	)

137  |

Notes to Financial Statements (continued)

December 31, 2011

12.  Capital Shares (continued).

	Year Ended December 31, 2011					Year Ended December 31, 2010
Large Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	362,434		$	5,194,882		584,698		$	7,591,609
Issued in connection with the reinvestment of distributions	42,241			582,465		28,036			394,129
Redeemed	(1,006,523	)		(14,401,573	)	(1,229,322	)		(15,876,577	)
Net change	(601,848	)	$	(8,624,226	)	(616,588	)	$	(7,890,839	)
Class B
Issued from the sale of shares	4,821		$	64,740		13,200		$	158,473
Issued in connection with the reinvestment of distributions	95			1,299		582			7,425
Redeemed	(172,664	)		(2,279,597	)	(259,196	)		(3,105,680	)
Net change	(167,748	)	$	(2,213,558	)	(245,414	)	$	(2,939,782	)
Class C
Issued from the sale of shares	14,556		$	192,169		81,762		$	989,577
Issued in connection with the reinvestment of distributions	74			1,019		322			4,092
Redeemed	(137,075	)		(1,793,043	)	(134,778	)		(1,585,523	)
Net change	(122,445	)	$	(1,599,855	)	(52,694	)	$	(591,854	)
Class Y
Issued from the sale of shares	52,358		$	787,377		195,195		$	2,647,773
Issued in connection with the reinvestment of distributions	4,200			59,792		3,104			45,227
Redeemed	(182,830	)		(2,780,482	)	(117,144	)		(1,564,634	)
Net change	(126,272	)	$	(1,933,313	)	81,155		$	1,128,366
Increase (decrease) from capital share transactions	(1,018,313	)	$	(14,370,952	)	(833,541	)	$	(10,294,109	)
Diversified Income Fund
Class A
Issued from the sale of shares	1,529,920		$	16,499,405		676,041		$	6,828,409
Issued in connection with the reinvestment of distributions	119,006			1,274,902		100,890			990,220
Redeemed	(876,123	)		(9,358,069	)	(1,007,048	)		(10,074,179	)
Net change	772,803		$	8,416,238		(230,117	)	$	(2,255,550	)
Class C
Issued from the sale of shares	777,802		$	8,318,664		612,602		$	6,157,456
Issued in connection with the reinvestment of distributions	38,746			414,491		29,035			284,425
Redeemed	(666,925	)		(7,106,226	)	(759,919	)		(7,388,131	)
Net change	149,623		$	1,626,929		(118,282	)	$	(946,250	)
Increase (decrease) from capital share transactions	922,426		$	10,043,167		(348,399	)	$	(3,201,800	)

|  138

Notes to Financial Statements (continued)

December 31, 2011

12.  Capital Shares (continued).

	Year Ended December 31, 2011					Year Ended December 31, 2010
U.S. Multi-Cap Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,001,650		$	25,954,270		911,448		$	20,451,387
Issued in connection with the reinvestment of distributions	436,000			9,962,606		18,717			466,442
Redeemed	(1,980,283	)		(50,206,150	)	(2,022,798	)		(44,172,568	)
Net change	(542,633	)	$	(14,289,274	)	(1,092,633	)	$	(23,254,739	)
Class B
Issued from the sale of shares	23,243		$	504,601		28,907		$	535,647
Issued in connection with the reinvestment of distributions	36,272			701,492		—			—
Redeemed	(548,210	)		(12,060,361	)	(791,810	)		(14,786,760	)
Net change	(488,695	)	$	(10,854,268	)	(762,903	)	$	(14,251,113	)
Class C
Issued from the sale of shares	207,100		$	4,562,054		85,590		$	1,613,257
Issued in connection with the reinvestment of distributions	54,243			1,049,602		—			—
Redeemed	(264,427	)		(5,782,658	)	(255,548	)		(4,769,722	)
Net change	(3,084	)	$	(171,002	)	(169,958	)	$	(3,156,465	)
Class Y
Issued from the sale of shares	116,639		$	3,317,946		10,018		$	239,190
Issued in connection with the reinvestment of distributions	2,297			56,868		134			3,603
Redeemed	(87,289	)		(2,428,566	)	(200,693	)		(4,399,790	)
Net change	31,647		$	946,248		(190,541	)	$	(4,156,997	)
Increase (decrease) from capital share transactions	(1,002,765	)	$	(24,368,296	)	(2,216,035	)	$	(44,819,314	)

139  |

Notes to Financial Statements (continued)

December 31, 2011

12.  Capital Shares (continued).

	Year Ended December 31, 2011					Year Ended December 31, 2010
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,643,470		$	82,393,516		1,568,273		$	37,116,627
Issued in connection with the reinvestment of distributions	1,590,219			30,259,390		1,686,885			38,516,551
Redeemed	(4,129,370	)		(90,649,356	)	(5,956,654	)		(142,473,851	)
Net change	1,104,319		$	22,003,550		(2,701,496	)	$	(66,840,673	)
Class B
Issued from the sale of shares	19,113		$	365,516		18,984		$	406,070
Issued in connection with the reinvestment of distributions	70,308			1,130,787		79,966			1,589,861
Redeemed	(180,896	)		(3,487,616	)	(223,637	)		(4,732,199	)
Net change	(91,475	)	$	(1,991,313	)	(124,687	)	$	(2,736,268	)
Class C
Issued from the sale of shares	183,324		$	3,193,176		186,557		$	3,849,819
Issued in connection with the reinvestment of distributions	325,308			5,194,638		282,744			5,618,352
Redeemed	(437,680	)		(8,311,014	)	(455,474	)		(9,570,079	)
Net change	70,952		$	76,800		13,827		$	(101,908	)
Class Y
Issued from the sale of shares	1,970,543		$	45,319,180		1,291,230		$	30,400,662
Issued in connection with the reinvestment of distributions	1,227,435			23,963,566		1,369,166			31,615,425
Redeemed	(5,430,354	)		(119,011,700	)	(3,559,389	)		(85,024,677	)
Net change	(2,232,376	)	$	(49,728,954	)	(898,993	)	$	(23,008,590	)
Increase (decrease) from capital share transactions	(1,148,580	)	$	(29,639,917	)	(3,711,349	)	$	(92,687,439	)

|  140

Notes to Financial Statements (continued)

December 31, 2011

12.  Capital Shares (continued).

	Year Ended December 31, 2011					Year Ended December 31, 2010
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,293,700		$	20,064,791		845,322		$	10,950,063
Issued in connection with the reinvestment of distributions	55,637			775,015		7,026			102,623
Redeemed	(572,243	)		(8,442,798	)	(381,175	)		(4,994,591	)
Net change	777,094		$	12,397,008		471,173		$	6,058,095
Class C
Issued from the sale of shares	121,179		$	1,857,011		33,713		$	447,990
Issued in connection with the reinvestment of distributions	4,804			65,821		313			4,512
Redeemed	(48,298	)		(678,464	)	(7,556	)		(94,316	)
Net change	77,685		$	1,244,368		26,470		$	358,186
Class Y
Issued from the sale of shares	6,640,679		$	97,980,918		2,494,934		$	32,571,037
Issued in connection with the reinvestment of distributions	196,859			2,756,032		21,928			321,089
Redeemed	(1,713,518	)		(25,165,911	)	(456,608	)		(5,870,040	)
Net change	5,124,020		$	75,571,039		2,060,254		$	27,022,086
Increase (decrease) from capital share transactions	5,978,799		$	89,212,415		2,557,897		$	33,438,367

141  |

Notes to Financial Statements (continued)

December 31, 2011

12.  Capital Shares (continued).

	Year Ended   December 31, 2011			Period Ended December 31, 2010*
ActiveBeta Equity Fund	Shares		Amount	Shares			Amount
Class A
Issued from the sale of shares	—	$	—	100		$	1,001
Issued in connection with the reinvestment of distributions	7		66	—	(a)		5
Redeemed	—		—	—			—
Net change	7	$	66	100		$	1,006
Class C
Issued from the sale of shares	—	$	—	100		$	1,001
Issued in connection with the reinvestment of distributions	6		57	—	(a)		1
Redeemed	—		—	—			—
Net change	6	$	57	100		$	1,002
Class Y
Issued from the sale of shares	—	$	—	500,000		$	5,000,000
Issued in connection with the reinvestment of distributions	33,634		345,063	2,601			29,250
Redeemed	—		—	—			—
Net change	33,634	$	345,063	502,601		$	5,029,250
Increase (decrease) from capital share transactions	33,647	$	345,186	502,801		$	5,031,258

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

(a) Amount rounds to less than one share.

13.  Subsequent Events.  Effective January 1, 2012, the name of the adviser to the Funds, except the Targeted Equity Fund, changed from Natixis Asset Management Advisors, L.P. to NGAM Advisors, L.P. and the name of the Funds’ distributor changed from Natixis Distributors, L.P. to NGAM Distribution, L.P.

Effective February 13, 2012, NGAM Distribution will no longer accept investments in the ActiveBeta Equity Fund from new investors or accept additional investments in the Fund from current shareholders of the Fund.

|  142

Report of Independent Registered Public Accounting Firm

To the Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of CGM Advisor Targeted Equity Fund, Harris Associates Large Cap Value Fund, Natixis Diversified Income Fund (formerly Natixis Income Diversified Portfolio) , Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) , Vaughan Nelson Small Cap Value Fund, Vaughan Nelson Value Opportunity Fund and Westpeak ActiveBeta^® Equity Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, Natixis Diversified Income Fund (formerly Natixis Income Diversified Portfolio) , Natixis U.S. Multi-Cap Equity Fund (formerly Natixis U.S. Diversified Portfolio) and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; and the Harris Associates Large Cap Value Fund, Vaughan Nelson Value Opportunity Fund and Westpeak ActiveBeta^® Equity Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 23, 2012

143  |

2011 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2011, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Targeted Equity		100.00	%
Large Cap Value		100.00	%
Diversified Income		24.60	%
Small Cap Value		52.22	%
Value Opportunity		43.36	%
ActiveBeta Equity		43.55	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2011.

Fund	Amount
U.S. Multi-Cap Equity	$	12,191,575
Small Cap Value		79,707,256
Value Opportunity		2,627,916
ActiveBeta Equity		53,692

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2011 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. These percentages are noted below:

Fund	Qualifying Percentage
Targeted Equity		100.00	%
Large Cap Value		100.00	%
Diversified Income		23.70	%
Small Cap Value		72.25	%
Value Opportunity		44.64	%
ActiveBeta Equity		34.77	%

|  144

Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Graham T. Allison, Jr. (1940)	Trustee from 1984 to 1993 and since 1995 for Natixis Funds Trust I (including its predecessors) and since 1995 for Natixis Funds Trust II Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on the Board and on the board of other business organizations (including a real estate investment trust); government experience (including as Assistant Secretary of Defense under President Clinton); academic experience
Charles D. Baker (1956)	Trustee from 2005 to 2009 and since 2011 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health care organization)	44 None	Significant experience on the Board; executive experience (including president and chief executive officer of a health care organization and executive officer of a venture capital and growth equity firm)

145  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Daniel M. Cain (1945)	Trustee since 1996 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Contract Review and Governance Committee	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee since 2008 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Audit Committee	Retired	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

|  146

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Wendell J. Knox (1948)	Trustee since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a commercial bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a consulting company)
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 1982 for Natixis Funds Trust I (including its predecessors) and since 1993 for Natixis Funds Trust II Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

147  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee since 2005 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

|  148

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee since 2003 for Natixis Funds Trust I and Natixis Funds Trust II	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on the Board; continuing service as president, chairman, and chief executive officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee since 2011 for Natixis Funds Trust I and Natixis Funds Trust II President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2003	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company.	44 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

149  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES continued
John T. Hailer5 (1960)	Trustee since 2000 for Natixis Funds Trust I and Natixis Funds Trust II	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 72. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two year term as the Chairperson of the Board on November 18, 2011.

²  The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

³  Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴  Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P

⁵ Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

|  150

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts	Term of Office1 and Length of Time Served	Principal Occupation During Past 5 Years2
OFFICERS OF THE TRUSTS
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer, since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

151  |

ANNUAL REPORT

December 31, 2011

ASG Diversifying Strategies Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

Loomis Sayles Absolute Strategies Fund

Loomis Sayles Multi-Asset Real Return Fund

TABLE OF CONTENTS

Management Discussion and Investment Results page 1

Consolidated Portfolio of Investments page 26

Consolidated Financial Statements page 65

ASG DIVERSIFYING STRATEGIES FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

Philippe P. Lüdi

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

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

Strategy:

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

Inception Date:

August 3, 2009

Symbols:

Class A	DSFAX
Class C	DSFCX
Class Y	DSFYX

Market Conditions

Financial markets started 2011 on a positive note, with equities posting strong gains despite Japan’s natural disasters. By the end of April, the MSCI World Stock Index had gained 9.4%. Optimism that the U.S. Federal Reserve Board’s (the Fed’s) second round of quantitative easing would strengthen prospects for stronger U.S. economic growth and hope that the European debt crisis would be contained drove positive momentum. However, the early-year rally in risky assets began to falter as Europe’s debt crisis worsened, the U.S. Congress wrangled over the debt ceiling and long-term U.S. debt was downgraded. The MSCI Europe Index declined sharply and a flight to safety pushed global bond yields lower. As 2011 drew to a close, the Fed initiated a new program to help push long-term interest rates lower and U.S. economic data improved. Investors expressed hope that emerging market countries would be able to offset slower growth by relaxing monetary policy, and the financial markets stabilized in the final weeks of the year.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of ASG Diversifying Strategies Fund returned -2.75% at net asset value. The fund underperformed its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.27%. The fund follows an absolute return strategy and does not seek to track any index. Consequently, we believe its most appropriate benchmark is 3-month LIBOR.

Explanation of Fund Performance

The fund uses multiple quantitative investment models and strategies, which may involve a broad range of market exposures, including exposure to the returns of equity and fixed-income securities, currencies and commodities. The fund typically makes extensive use of derivative instruments, such as futures and forward contracts, to capture these exposures, while also managing volatility and correlation.

1  |

For the year, the fund’s investments based on mean-reversion models, which benefited from increasing bond prices, made the largest positive contribution to fund performance. The fundamental belief behind our mean-reversion models is that short-term deviations in asset prices will revert to their long-term averages. These gains were offset by negative performance from investments based on models focused on relative valuation of foreign currencies and commodities. In order to help investors achieve diversification benefits across their overall portfolios, the fund seeks to maintain a consistently low-to-negative correlation with global equity markets. When the trailing 12-month equity correlation of its holdings would otherwise be too high, as it was during the first eight months of the year, the fund takes short positions in futures on global stock indexes to lower the correlation. (Such short positions decline in value when stock indexes rise.) In this case the correlation control mechanism had a positive impact on performance overall, as losses during the first two months were more than offset by gains in May and August, when equity markets declined sharply. The correlation with the S&P 500 Index, for example, was 10% in 2011 and 17% since inception, which is in line with the fund’s objectives.

The biggest positive contributors during 2011 were Canadian 10-year government bonds, gold, and the euro. Conversely, the biggest detractors to performance were the Indian stock index, the British pound, and the Norwegian krona.

We continued to scale the size of the fund’s positions to keep total portfolio risk at or below its target. As market volatility increased, positions were reduced, and as market volatility decreased, positions were increased. The fund’s realized annualized volatility in 2011 was 8%, just over one third that of the S&P 500’s volatility of approximately 23%. Given low interest rates, the fund’s money market allocation made only a marginal contribution to overall 2011 performance.

Outlook

In 2012, investors will face the difficult task of assessing Europe’s progress toward resolving its debt crisis and considering its ramifications in the context of the wider global economy. Europe teeters on the brink of recession as government spending contracts in response to the debt crisis. Meanwhile, the U.S. enters a critical election year on a mildly positive economic note. And emerging Asia may be in a position to relax monetary policy to offset any slower growth. Against this discordant backdrop, the markets may remain range-bound until the trajectory of the global economy becomes clearer. If European austerity measures succeed in allaying fears about the creditworthiness of its debt, risk assets could see a substantial rally. However, political dysfunction in the United States or Europe, interruption of the supply of oil from the Middle East or social instability stemming from a possible economic slowdown in China could spark renewed market turbulence and dim the prospects for global economic growth.

What You Should Know

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

|  2

ASG DIVERSIFYING STRATEGIES FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁵

August 3, 2009 (inception) through December 31, 2011

Average Annual Total Returns—December 31, 2011⁵

	1 Year			Since Inception
Class A (Inception 8/3/09)
NAV		-2.75	%		5.25	%
With 5.75% Maximum Sales Charge		-8.36			2.70
Class C (Inception 8/3/09)
NAV		-3.43			4.44
With CDSC1		-4.37			4.44
Class Y (Inception 8/3/09)
NAV		-2.48			5.46
Comparative Performance
3-Month LIBOR2		0.27			0.33
HFRI Fund of Funds Composite Index3		-5.51			1.73
Morningstar Multialternative Fund Avg.4		-2.79			3.32

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

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

3  |

PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 12/31/11
Certificates of Deposit		66.8
Financial Company Commercial Paper		15.6
Commercial Paper		10.0
Forward Foreign Currency Contracts		0.2
Futures Contracts		0.7
Other Assets less Liabilities		6.7

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.99	%		1.74	%
C		2.66			2.49
Y		1.83			1.49

NOTES TO CHARTS

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

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

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

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

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

6 Before fee waivers and/or expense reimbursements.

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

|  4

ASG GLOBAL ALTERNATIVES FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

Peter A. Lee

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

Seeks capital appreciation consistent with the return and risk characteristics of a diversified portfolio of hedge funds while maintaining less volatility than major equity indices.

Strategy:

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

Inception Date:

September 30, 2008

Symbols:

Class A	GAFAX
Class C	GAFCX
Class Y	GAFYX

Market Conditions

Financial markets started 2011 on a positive note, with equities posting strong gains despite Japan’s natural disasters. By the end of April, the MSCI World Stock Index had gained 9.4%. Optimism that the U.S. Federal Reserve Board’s (the Fed’s) second round of quantitative easing would strengthen prospects for stronger U.S. economic growth and hope that the European debt crisis would be contained drove positive momentum. However, the early-year rally in risky assets began to falter as Europe’s debt crisis worsened, the U.S. Congress wrangled over the debt ceiling and long-term U.S. debt was downgraded. The MSCI Europe Index declined sharply and a flight to safety pushed global bond yields lower. As 2011 drew to a close, the Fed initiated a new program to help push long-term interest rates lower and U.S. economic data improved. Investors expressed hope that emerging market countries would be able to offset slower growth by relaxing monetary policy, and the financial markets stabilized in the final weeks of the year.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of ASG Global Alternatives Fund returned -3.29% at net asset value. Although the fund follows an absolute return strategy and does not seek to track an index, its benchmark is the HFRI Fund of Funds Composite Index, which returned -5.51% for the same period. Like its benchmark, the fund saw its largest gains in April and its largest losses in August and September. There are important differences between the fund and the benchmark.

Explanation of Fund Performance

The fund’s strategy is to take on the exposures that best reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary, statistical process. When the fund takes on a “long” exposure to a market, it profits as prices rise; when it takes on a “short” exposure, it profits as prices fall. In taking on these exposures, the fund typically makes extensive use of futures and forward contracts on global stock indices,

5  |

fixed-income securities, currencies and commodities. As market events unfold, these various market exposures result in a profit or loss for the fund.

In 2011, the fund’s largest gains came from bonds, foreign currencies and precious metals. Meanwhile, performance was hurt by losses that resulted from exposure to stocks and base metals. At a finer level of detail, the strongest contributors to performance were U.K. bonds, the Japanese yen, the Swiss franc, German bonds, U.S. Treasury bonds, and gold. The largest single-asset detractors from performance were U.S. stocks, aluminum, German stocks, Hong Kong stocks and Japanese stocks. At times during this period the fund held short positions in Japanese government bonds, the euro, aluminum, copper, heating oil and natural gas; overall, these short positions contributed positively to the fund’s returns. Short-term interest rates remained low, so the contribution from the fund’s money market allocation was small.

During the fourth quarter we enhanced the strategy by applying our beta replication algorithms to daily Commodity Trading Advisors (CTA) index data and including the resulting betas in the portfolio. CTAs constitute a category of managers who are likely to change their betas faster than other managers. This change is designed to better capture the short-term tactical insights of these managers.

The fund’s portfolio is adjusted on a monthly basis to incorporate new information about hedge fund exposures and, on a daily basis, as necessary to control risk. Over the course of 2011, the fund generally reduced its positions to compensate for increased market volatility. The risk control mechanism is designed to target an average annual volatility of 8%, greater than the typical volatility of bonds but less than the typical volatility of stocks. On any given day the fund may target up to 9% annualized volatility, but if the fund has recently experienced losses it may target a lower volatility. The fund’s realized volatility was 7.8%, which is in line with our risk management expectations.

Outlook

In 2012, investors will face the difficult task of assessing Europe’s progress toward resolving its debt crisis and considering its ramifications in the context of the wider global economy. Europe teeters on the brink of recession as government spending contracts in response to the debt crisis. Meanwhile, the U.S. enters a critical election year on a mildly positive economic note. And emerging Asia may be in a position to relax monetary policy to offset any slower growth. Against this discordant backdrop, the markets may remain range-bound until the trajectory of the global economy becomes clearer. If European austerity measures succeed in allaying fears about the creditworthiness of its debt, risk assets could see a substantial rally. However, political dysfunction in the United States or Europe, interruption of the supply of oil from the Middle East or social instability stemming from a possible economic slowdown in China could spark renewed market turbulence and dim the prospects for global economic growth.

What You Should Know

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

|  6

ASG GLOBAL ALTERNATIVES FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁴

September 30, 2008 (inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁴

	1 Year			Since Inception
Class A (Inception 9/30/08)
NAV	-	3.29	%		2.86	%
With 5.75% Maximum Sales Charge	-	8.85			1.00
Class C (Inception 9/30/08)
NAV	-	4.00			2.11
With CDSC1	-	4.96			2.11
Class Y (Inception 9/30/08)
NAV	-	3.00			3.12
Comparative Performance
HFRI Fund of Funds Composite Index2	-	5.51			0.04
Morningstar Multialternative Fund Avg.3	-	2.79			1.38

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

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

7  |

PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 12/31/11
Certificates of Deposit		71.7
Financial Company Commercial Paper		15.3
Commercial Paper		7.0
Forward Foreign Currency Contracts		0.2
Futures Contracts		0.2
Other Assets less Liabilities		5.6

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio5			Net Expense  Ratio6
A		1.67	%		1.61	%
C		2.42			2.36
Y		1.42			1.36

NOTES TO CHARTS

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

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

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

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

5 Before fee waivers and/or expense reimbursements.

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

|  8

ASG MANAGED FUTURES STRATEGY FUND

Management Discussion

Managers:

Andrew W. Lo

Jeremiah H. Chafkin

AlphaSimplex Group, LLC

(Adviser)

Robert S. Rickard

Reich & Tang Asset Management, LLC

(Subadviser)

Objective:

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

Strategy:

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

Inception Date:

July 30, 2010

Symbols:

Class A	AMFAX
Class C	ASFCX
Class Y	ASFYX

Market Conditions

Financial markets started 2011 on a positive note, with equities posting strong gains despite Japan’s natural disasters. By the end of April, the MSCI World Stock Index had gained 9.4%. Optimism that the U.S. Federal Reserve Board’s (the Fed’s) second round of quantitative easing would strengthen prospects for stronger U.S. economic growth and hope that the European debt crisis would be contained drove positive momentum. However, the early-year rally in risky assets began to falter as Europe’s debt crisis worsened, the U.S. Congress wrangled over the debt ceiling and long-term U.S. debt was downgraded. The MSCI Europe Index declined sharply and a flight to safety pushed global bond yields lower. As 2011 drew to a close, the Fed initiated a new program to help push long-term interest rates lower and U.S. economic data improved. Investors expressed hope that emerging market countries would be able to offset slower growth by relaxing monetary policy, and the financial markets stabilized in the final weeks of the year.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of ASG Managed Futures Strategy Fund returned 0.25% at net asset value. Although the fund follows an absolute return strategy and does not seek to track an index, its returns are expected be similar to those of the FTSE StableRisk Trend Composite Index, which returned 2.12% in 2011. It is important to note that there are material differences between the fund and the benchmark in terms of risk management. Specifically, the ASG Managed Futures Strategy Fund will gradually scale down positions after experiencing losses and scale them back up after experiencing gains, whereas the benchmark index does not.

Explanation of Fund Performance

The difference in performance between the fund and the benchmark was principally due to the fund’s risk management mechanism, which reduces target portfolio risk in the event of a drawdown. In general, the lower volatility helps mitigate the impact of continued losses, but at the cost of muting potential gains. The fund reduced its exposures following the

9  |

high volatility around the Japanese earthquake and around the end of the second quarter in response to losses experienced by trend-following strategies, and remained lower for most of the remainder of the year.

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

During 2011, all of our trend strategies that trade fixed-income assets profited from the continued decline in bond yields across all maturities. However, commodity returns from trend-following were negative for the year. Investments based on currency trends were very profitable in the first half of the year. However, market gyrations during the second half offset these gains. Investments based on equity trends were negative throughout the year. The biggest positive contributors during 2011 were the German 5-year government bond, the Canadian 10-year government bond, and the German Bund futures. The largest losses were realized in the Canadian dollar, the NASDAQ equity index, and the New Zealand dollar. Across our trend strategies, we found that two general patterns emerged. The high volatility and multiple shorter-term trend reversals this year led to underperformance of our shorter-term trend strategies and to outperformance of our longer-term trend strategies. Consistent with our research, the set of trend strategies designed to adapt to changing environments navigated the volatile market conditions and outperformed even in the challenging 2011 market climate.

We continued to scale portfolio positions to keep total portfolio risk at or below its target in 2011. As market volatility increased, positions were reduced, and as market volatility decreased, positions were increased. The fund’s realized annualized volatility in 2011 was 11%. The correlation of daily returns was 4% with the S&P 500 Index and 16% with the JP Morgan Global Bond Index, underlining the possible diversification benefits of the fund. Given low interest rates, the fund’s money market position contributed only marginally to performance during the year.

Outlook

In 2012, investors will face the difficult task of assessing Europe’s progress toward resolving its debt crisis and considering its ramifications in the context of the wider global economy. Europe teeters on the brink of recession as government spending contracts in response to the debt crisis. Meanwhile, the U.S. enters a critical election year on a mildly positive economic note. And emerging Asia may be in a position to relax monetary policy to offset any slower growth. Against this discordant backdrop, the markets may remain range-bound until the trajectory of the global economy becomes clearer. If European austerity measures succeed in allaying fears about the creditworthiness of its debt, risk assets could see a substantial rally. However, political dysfunction in the United States or Europe, interruption of the supply of oil from the Middle East or social instability stemming from a possible economic slowdown in China could spark renewed market turbulence and dim the prospects for global economic growth.

What You Should Know

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

|  10

ASG MANAGED FUTURES STRATEGY FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁴

July 30, 2010 (inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁴

	1 Year			Since Inception
Class A (Inception 7/30/10)
NAV		0.25	%		9.47	%
With 5.75% Maximum Sales Charge		-5.53			5.00
Class C (Inception 7/30/10)
NAV		-0.51			8.61
With CDSC1		-1.48			8.61
Class Y (Inception 7/30/10)
NAV		0.57			9.68
Comparative Performance
FTSE StableRisk Trend Composite Index2		2.12			16.01
Morningstar Managed Futures Fund Avg.3		-6.92			0.87

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

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

11  |

PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 12/31/11
Certificates of Deposit		62.0
Financial Company Commercial Paper		17.1
Commercial Paper		8.6
Forward Foreign Currency Contracts		(0.0	)
Futures Contracts		1.7
Other Assets less Liabilities		10.6

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio5			Net Expense  Ratio6
A		1.88	%		1.72	%
C		2.63			2.47
Y		1.63			1.47

NOTES TO CHARTS

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

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

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

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

5 Before fee waivers and/or expense reimbursements.

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

|  12

LOOMIS SAYLES ABSOLUTE STRATEGIES FUND

Management Discussion

Managers:

Matthew J. Eagan, CFA

Kevin Kearns

Todd P. Vandam, CFA

Loomis, Sayles & Company, L.P.

Objective:

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

Strategy:

Seeks to generate positive total returns by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates while employing risk management strategies to mitigate downside risk.

Inception Date:

December 15, 2010

Symbols:

Class A	LABAX
Class C	LABCX
Class Y	LASYX

Market Conditions

Europe remained a focal point during the year, as weaker euro zone economies and the region’s banking sector dragged down the entire European Union. This descent had a negative effect on global markets, as European leaders struggled to push countries in fragile fiscal and political situations to accept austerity measures. A lack of confidence developed, as investors wondered whether assets on bank balance sheets were toxic or unfairly valued, causing a lack of liquidity in the financial sector not seen since 2008. In the United States, the nation reached its impending debt ceiling in late July, and the resulting political showdown added volatility and uncertainty to the markets. Despite acrimonious debt ceiling negotiations and a debt downgrade in the U.S., Treasuries represented a relative safe haven for investors and became an investment of choice. A second round of quantitative easing (QE2) – a U.S. Federal Reserve Board (the Fed) program aimed at injecting liquidity into the financial system and at stimulating economic growth – concluded midway through the year, and the Fed did not immediately issue a QE3. Instead, the Fed left the option on the table if further stimulus is needed in the future. Given the uncertain environment, the Fed pledged to keep interest rates artificially low at least through mid-2013.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Loomis Sayles Absolute Strategies Fund returned -3.90% at net asset value. The fund underperformed its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.27% for the period. The fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

The use of interest-rate derivatives and positioning within U.S. Treasuries detracted from performance, as the sharp swings in the markets were difficult to anticipate. We used U.S. Treasury futures to hedge interest-rate risk by managing the fund’s exposure to the yield curve (a curve that shows the relationship

13  |

among bond yields across the maturity spectrum) and by reducing duration, a measure of interest rate sensitivity. These derivatives detracted from performance due to the sharp volatility that characterized the period. Treasury positioning was particularly weak in September, when the fund’s net short position lagged as the Treasury market rallied. Additionally, the fund’s securitized positions performed well, but a small number of credits lagged significantly, which brought down the entire sector.

Investment-grade corporate credits performed well during the period, as domestic corporate balance sheets continued to improve despite global growth concerns. In addition, default rates fell and remained below historical averages, which supported solid performance among the fund’s high-yield corporates. The Fed’s choice to keep rates artificially low, coupled with its “Operation Twist” stimulus program, designed to lower long-term rates while keeping short-term rates at current levels or higher, led investors to higher-yielding sectors of the market.

In addition to the U.S. Treasury futures described above, we used a broad range of derivatives for hedging and investment purposes during the period. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we considered the expected relative risks and returns of such investments and their related costs. We used credit default swaps (CDS) to help manage global and industry-specific credit risks. On a net basis, the CDS mitigated volatility but slightly detracted from performance, particularly in the banking and consumer sectors. Forward foreign currency contracts were used to manage various currency exposures and detracted from performance for the period. Specifically, we typically held forwards to gain long exposure to Asian countries and to hedge exposure to developed countries. We also used these instruments to tactically manage our commodity-country exposure due to the slowing growth of China.

Outlook

As unemployment remains high, the election season ramps up and new fiscal-year budget talks approach, we expect a continued slow domestic recovery with periods of persistent volatility. We believe the corporate sector remains a bright spot, and we plan to take advantage of opportunities in the sector. Europe likely will continue to fuel uncertainty until the member states get their fiscal houses in order. Finally, we believe emerging markets will continue to outperform their developed counterparts, but growth expectations may lessen.

What You Should Know

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

|  14

LOOMIS SAYLES ABSOLUTE STRATEGIES FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁶

December 15, 2010 (inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁶

	1 Year			Since  Inception5
Class A (Inception 12/15/10)
NAV		-3.90	%		-3.36	%
With 4.50% Maximum Sales Charge		-8.20			-7.52
Class C (Inception 12/15/10)
NAV		-4.69			-4.22
With CDSC1		-5.62			-4.22
Class Y (Inception 12/15/10)
NAV		-3.78			-3.24
Comparative Performance
3-Month LIBOR2		0.27			0.27
3-Month LIBOR + 300 basis points3		3.32			3.32
Morningstar Nontraditional Bond Fund Avg.4		-1.29			-1.29

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

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

15  |

PORTFOLIO FACTS

Fund Composition	% of Net Assets as of 12/31/11
Bonds and Notes		71.6
Senior Loans		5.5
Preferred Stocks		3.6
Common Stocks		2.9
Purchased Options		0.3
Written Options		(0.1	)
Credit Default Swap Agreements		(0.8	)
Forward Foreign Currency Contracts		0.1
Futures Contracts		(0.0	)
Short-Term Investments and Other		16.9

Expense Ratios

as stated in the most recent prospectus

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

NOTES TO CHARTS

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

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

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

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

5 The since-inception comparative performance figures shown are calculated from 12/31/10.

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

7 Before fee waivers and/or expense reimbursements.

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

|  16

LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND

Management Discussion

Kevin Kearns

Maura Murphy, CFA

Laura Sarlo, CFA

Loomis, Sayles & Company, L.P.

Objective:

Seeks to maximize real returns consistent with prudent investment management.

Strategy:

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

Inception Date:

September 30, 2010

Symbols:

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

Market Conditions

Securities offering higher risk and higher reward potential rallied in the early months of the year, as the U.S. government suppressed yields and kept volatility in check via its quantitative easing program. A series of events, including the U.S. sovereign-debt downgrade in early August and the ongoing European sovereign-debt crisis, rattled investors and created volatility for the rest of the period. U.S. Treasuries benefited as fears over slowing global growth mounted and investors became more risk averse. Yields fell across the U.S. Treasury yield curve (a curve that shows the relationship among bond yields across the maturity spectrum), with intermediate- and long-term bonds experiencing the largest declines.

Performance Results

For the 12 months ended December 31, 2011, Class A shares of Loomis Sayles Multi-Asset Real Return Fund returned -5.76% at net asset value. The fund underperformed its benchmark, the Barclays Capital U.S. TIPS (Treasury Inflation-Protected Securities) Index, which returned 13.56% for the period. The fund follows an absolute strategy and is not managed to an index.

Explanation of Fund Performance

Allocations to commodities detracted from performance, as global growth concerns caused prices to tumble in the second half of the period. Falling commodity prices also hurt the performance of government debt issued by commodity-rich countries. Futures used to gain exposure to various commodities produced mixed results. Energy and agricultural commodities detracted from performance, while base metal commodities aided performance. Markets continued to move in response to macroeconomic data and perceived market risks; as such, equity markets, which struggled overall, had a strong finish to the year. Within the fund’s equity allocation, the energy, basic industry and technology sectors lagged, while the communications and consumer non-cyclical sectors added to performance.

17  |

Convertibles faced headwinds stemming from the equity-market volatility. The fund’s allocations to names within the consumer cyclical, basic industry and technology sectors were the main detractors.

Allocations to high-yield corporate bonds made the greatest contributions to performance, despite their erratic returns. Top-performing names came from the energy, basic industry and electric utilities sectors. The fund’s investment-grade corporate credit positions also posted positive total returns throughout the year, despite some mid-year challenges due to global growth and European debt concerns. In addition, small allocations to bank loans and securitized assets made modest positive contributions to performance.

In addition to the commodity futures described above, we used a broad range of derivatives for hedging and investment purposes during the period. Derivatives can be useful tools for expressing macroeconomic views, reducing overall market exposure and keeping fund volatility in check. When contemplating the use of derivatives, we considered the expected relative risks and returns of such investments and their related costs. U.S. Treasury futures were used to manage interest rate risk. During the period, we sold these futures to reduce duration (price sensitivity to interest rate changes), which detracted from performance. We employed forward foreign currency contracts to help manage the fund’s overall exposure to various currencies; these positions generally detracted from performance. We also used futures to short the equity market, which contributed positively to performance. In aggregate, options modestly contributed to performance. Credit default swaps (CDS) helped manage credit risk and reduce global and industry-specific credit exposure. These positions had mixed results during the year and little impact overall.

Outlook

We believe the overall economic slowdown has mitigated the inflationary conditions in the developing nations. We see signs of recession/disinflation in Europe, while recent economic data suggest potential for moderate growth in the United States. China seems focused on stimulating its economy and appears willing to keep monetary policy accommodative; this is generally a good sign for riskier assets in the near term. We believe the fund is well positioned for slow global growth. Asset classes such as higher-quality high-yield securities and dividend-paying equities should benefit in this environment. Although we view emerging countries as long-term outperformers, the current geopolitical situation in Europe and the Middle East could trigger a further selloff and flight to quality.

What You Should Know

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

|  18

LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND

Investment Results through December 31, 2011

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

Growth of $10,000 Investment in Class A Shares⁵

September 30, 2010 (inception) through December 31, 2011

Average Annual Total Returns — December 31, 2011⁵

	1 Year			Since Inception
Class A (Inception 9/30/10)
NAV		-5.76	%		-3.04	%
With 4.50% Maximum Sales Charge		-10.02			-6.53
Class C (Inception 9/30/10)
NAV		-6.44			-3.76
With CDSC1		-7.36			-3.76
Class Y (Inception 9/30/10)
NAV		-5.52			-2.82
Comparative Performance
Barclays Capital U.S. TIPS Index2		13.56			10.14
CPI + 300 basis points3		6.09			5.75
Morningstar Conservative Allocation Fund Avg.4		1.70			4.09

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

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

19  |

Fund Composition	% of Net Assets as of 12/31/11
Bonds and Notes		38.6
Common Stocks		13.0
Exchange Traded Funds		3.6
Senior Loans		2.9
Preferred Stocks		2.0
Purchased Options		1.3
Written Options		(0.5	)
Credit Default Swap Agreements		(0.7	)
Total Return Swap Agreements		0.0
Forward Foreign Currency Contracts		0.2
Futures Contracts		(0.2	)
Short-Term Investments and Other		39.8

Expense Ratios

as stated in the most recent prospectus

Share Class	Gross Expense  Ratio6			Net Expense  Ratio7
A		1.93	%		1.40	%
C		2.68			2.15
Y		1.68			1.15

NOTES TO CHARTS

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

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

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

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

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

6 Before fee waivers and/or expense reimbursements.

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

|  20

ADDITIONAL INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

21  |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2011 through December 31, 2011. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

|  22

ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011  – 12/31/2011
Class A
Actual		$1,000.00		$1,000.10		$8.67
Hypothetical (5% return before expenses)		$1,000.00		$1,016.53		$8.74
Class C
Actual		$1,000.00		$996.30		$12.38
Hypothetical (5% return before expenses)		$1,000.00		$1,012.80		$12.48
Class Y
Actual		$1,000.00		$1,001.90		$7.37
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.43

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.72%, 2.46% and 1.46% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011  – 12/31/2011
Class A
Actual		$1,000.00		$934.40		$7.85
Hypothetical (5% return before expenses)		$1,000.00		$1,017.09		$8.19
Class C
Actual		$1,000.00		$931.40		$11.49
Hypothetical (5% return before expenses)		$1,000.00		$1,013.31		$11.98
Class Y
Actual		$1,000.00		$935.70		$6.64
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.92

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

23  |

ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011  – 12/31/2011
Class A
Actual		$1,000.00		$1,000.60		$8.62
Hypothetical (5% return before expenses)		$1,000.00		$1,016.59		$8.69
Class C
Actual		$1,000.00		$996.70		$12.38
Hypothetical (5% return before expenses)		$1,000.00		$1,012.80		$12.48
Class Y
Actual		$1,000.00		$1,001.90		$7.37
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.43

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

LOOMIS SAYLES ABSOLUTE STRATEGIES FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011  – 12/31/2011
Class A
Actual		$1,000.00		$959.40		$5.38
Hypothetical (5% return before expenses)		$1,000.00		$1,019.71		$5.55
Class C
Actual		$1,000.00		$955.70		$9.07
Hypothetical (5% return before expenses)		$1,000.00		$1,015.93		$9.35
Class Y
Actual		$1,000.00		$959.80		$4.15
Hypothetical (5% return before expenses)		$1,000.00		$1,020.97		$4.28

* Expenses are equal to the Fund’s annualized expense ratio: 1.09%, 1.84% and 0.84% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

|  24

LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND	BEGINNING ACCOUNT VALUE 7/1/2011		ENDING ACCOUNT VALUE 12/31/2011		EXPENSES PAID DURING PERIOD* 7/1/2011 – 12/31/2011
Class A
Actual		$1,000.00		$962.80		$6.68
Hypothetical (5% return before expenses)		$1,000.00		$1,018.40		$6.87
Class C
Actual		$1,000.00		$958.80		$10.37
Hypothetical (5% return before expenses)		$1,000.00		$1,014.62		$10.66
Class Y
Actual		$1,000.00		$964.20		$5.45
Hypothetical (5% return before expenses)		$1,000.00		$1,019.66		$5.60

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

25  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Diversifying Strategies Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 92.4% of Net Assets
		Certificates of Deposit — 66.8%
$	8,100,000	BNP Paribas, 0.120%, 1/03/2012	$	8,100,000
	17,000,000	Bank of Montreal (IL), 0.200%, 1/11/2012		17,000,391
	17,000,000	Sumitomo Mitsui Bank (NY), 0.350%, 1/12/2012		17,000,544
	2,000,000	Bank of Nova Scotia (TX), 0.290%, 1/17/2012		2,000,220
	12,000,000	Standard Chartered Bank (NY), 0.350%, 1/17/2012		12,000,720
	2,000,000	Lloyds TSB Bank PLC (NY), 0.210%, 1/18/2012		2,000,000
	12,000,000	Toronto Dominion Bank, 0.180%, 1/19/2012		12,000,600
	13,000,000	Barclays Bank PLC, 0.280%, 1/23/2012		13,000,520
	8,000,000	Royal Bank of Scotland PLC, 0.150%, 1/30/2012		8,000,000
	16,000,000	Lloyds TSB Bank PLC (NY), 0.220%, 1/30/2012		16,000,000
	4,000,000	Rabobank Nederland NV (NY), 0.380%, 1/30/2012		4,000,172
	1,000,000	Nordea Bank Finland ( NY), 0.340%, 1/31/2012		1,000,033
	17,000,000	National Australia Bank, 0.270%, 2/02/2012		17,000,323
	1,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 2/03/2012		1,000,000
	10,000,000	Royal Bank of Scotland PLC, 0.440%, 2/03/2012(b)		10,000,480
	5,000,000	Toronto Dominion Bank, 0.160%, 2/06/2012		5,000,265
	12,000,000	Westpac Banking Corp. (NY), 0.310%, 2/06/2012(b)(c)		11,999,976
	2,000,000	Rabobank Nederland NV (NY), 0.370%, 2/07/2012		1,999,956
	6,000,000	Standard Chartered Bank (NY), 0.415%, 2/09/2012		6,000,240
	5,000,000	Barclays Bank PLC, 0.601%, 2/09/2012(b)(c)		4,998,000
	17,000,000	Skandinaviska Enskilda Banken (NY), 0.510%, 2/13/2012		17,002,329
	1,000,000	Toronto Dominion Bank, 0.210%, 2/15/2012		1,000,131
	3,000,000	Bank of Nova Scotia (TX), 0.270%, 2/16/2012		3,000,558
	3,000,000	Svenska Handelsbanken (NY), 0.450%, 2/16/2012		3,000,198
	2,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012(b)		1,999,940
	6,000,000	Nordea Bank Finland (NY), 0.250%, 2/28/2012		5,999,802
	15,000,000	Svenska Handelsbanken (NY), 0.485%, 3/07/2012(b)		14,998,725
	1,000,000	Westpac Banking Corp. (NY), 0.250%, 3/12/2012		999,959
	13,000,000	Bank of Nova Scotia (TX), 0.370%, 3/21/2012		13,004,134
	18,000,000	ANZ Banking, 0.210%, 4/10/2012		17,991,342
	5,000,000	Westpac Banking Corp. (NY), 0.411%, 5/02/2012(b)(c)		5,000,170
	10,000,000	Canadian Imperial Bank of Commerce (NY), 0.384%, 7/25/2012(b)(c)		9,999,740
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.439%, 8/24/2012(c)		5,999,730
				270,099,198
		Financial Company Commercial Paper — 15.6%
	17,000,000	ING (US) Funding LLC, 0.350%, 1/03/2012(d)		16,999,660
	11,000,000	Axis Bank Ltd., (Credit Support: Bank of America), 0.480%, 1/17/2012(d)		10,997,653
	17,000,000	General Electric Capital Corp., 0.170%, 1/18/2012(d)		16,999,813
	11,000,000	Nordea North America, Inc., 0.250%, 1/23/2012(d)		10,998,383
	7,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.500%, 1/30/2012(d)		6,997,181
				62,992,690

See accompanying notes to financial statements.

|  26

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Diversifying Strategies Fund – (continued)

Principal Amount		Description	Value (†)
		Commercial Paper — 10.0%
$	18,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.620%, 1/03/2012(d)	$	17,999,380
	12,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 1/05/2012(d)		11,999,534
	6,500,000	Grainger (WW), Inc., 0.060%, 1/13/2012(d)		6,499,870
	4,000,000	Grainger (WW), Inc., 0.060%, 1/17/2012(d)		3,999,893
				40,498,677
		Total Short-Term Investments (Identified Cost $373,591,588)		373,590,565
		Total Investments — 92.4% (Identified Cost $373,591,588)(a)		373,590,565
		Other assets less liabilities — 7.6%		30,894,018
		Net Assets — 100.0%	$	404,484,583
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized depreciation on short-term investments based on a cost of $373,591,588 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	$	12,453
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,476	)
		Net unrealized depreciation	$	(1,023	)
		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 and futures contracts.
	(c)	Variable rate security. Rate as of December 31, 2011 is disclosed.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

27  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Diversifying Strategies Fund – (continued)

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

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell		03/21/2012	Australian Dollar		22,600,000	$	22,918,506	$	(200,376	)
Buy		03/21/2012	British Pound		7,312,500		11,347,893		(72,082	)
Buy		03/21/2012	Canadian Dollar		70,600,000		69,181,937		710,143
Sell		03/21/2012	Canadian Dollar		40,200,000		39,392,548		(227,904	)
Sell		03/21/2012	Euro		99,000,000		128,218,436		1,155,436
Buy		03/21/2012	Japanese Yen		6,087,500,000		79,199,026		761,442
Sell		03/21/2012	Japanese Yen		2,662,500,000		34,639,410		(411,454	)
Sell		03/21/2012	New Zealand Dollar		50,700,000		39,261,695		(708,401	)
Buy		03/21/2012	Norwegian Krone		60,000,000		10,004,317		(32,615	)
Sell		03/21/2012	Norwegian Krone		4,000,000		666,954		13,680
Buy		03/21/2012	Singapore Dollar		6,000,000		4,625,841		(21,755	)
Sell		03/21/2012	Singapore Dollar		11,250,000		8,673,453		(21,750	)
Sell		03/21/2012	Swedish Krona		164,000,000		23,746,689		136,608
Buy		03/21/2012	Swiss Franc		24,875,000		26,525,694		(95,667	)
Buy		03/21/2012	Turkish Lira		5,400,000		2,801,428		(26,982	)
Sell		03/21/2012	Turkish Lira		5,700,000		2,957,062		4,338
Total								$	962,661

¹ Counterparty is UBS AG.

See accompanying notes to financial statements.

|  28

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Diversifying Strategies Fund – (continued)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		01/20/2012		10	$	810,848	$	14,366
ASX SPI 200		03/15/2012		112		11,509,776		(123,810	)
DAX		03/16/2012		3		572,706		194
E-mini Dow		03/16/2012		24		1,458,000		(720	)
E-mini NASDAQ 100		03/16/2012		70		3,184,300		(66,670	)
Euribor		06/18/2012		1,221		391,356,284		355,725
Euro Schatz		03/08/2012		1,521		217,210,347		607,644
Eurodollar		06/18/2012		133		33,015,587		(13,338	)
FTSE JSE Top 40		03/15/2012		8		283,331		(297	)
German Euro BOBL		03/08/2012		409		66,226,781		865,193
German Euro Bund		03/08/2012		161		28,972,365		357,317
Hang Seng		01/30/2012		2		237,633		2,910
Mini-Russell 2000		03/16/2012		47		3,472,360		93,295
MSCI Singapore		01/30/2012		148		6,853,151		(70,745	)
Nikkei 225		03/09/2012		19		2,085,878		2,468
S&P/TSX 60		03/15/2012		20		2,665,620		35,318
SGX CNX Nifty		01/25/2012		1,987		18,383,724		(646,194	)
Sterling		06/20/2012		425		81,603,841		(24,751	)
2 Year U.S. Treasury Note		03/30/2012		1,602		353,316,095		123,454
3 Year Australia Government Bond		03/15/2012		629		69,697,313		(48,064	)
5 Year U.S. Treasury Note		03/30/2012		692		85,294,407		302,656
10 Year Australia Government Bond		03/15/2012		133		16,173,570		229,630
10 Year Canada Government Bond		03/21/2012		659		86,577,237		215,578
10 Year Japan Government Bond		03/09/2012		144		266,428,998		1,047,681
10 Year U.S. Treasury Note		03/21/2012		384		50,352,000		434,109
30 Year U.S. Treasury Bond		03/21/2012		105		15,205,312		125,508
Total							$	3,818,457

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012		4	$	201,850	$	1,415
Brent Crude Oil		01/16/2012		49		5,261,620		(153,860	)
Cocoa		03/15/2012		9		189,810		(52,200	)
Coffee		03/20/2012		78		6,635,363		(465,075	)
Corn		03/14/2012		93		3,006,225		111,600
Cotton		03/08/2012		17		780,300		(73,780	)
Gas Oil		02/10/2012		92		8,445,600		144,900
Gasoline		01/31/2012		34		3,794,767		69,905
Gold		02/27/2012		63		9,870,840		(723,870	)
Heating Oil		01/31/2012		58		7,098,991		200,239
Light Sweet Crude Oil		01/20/2012		52		5,139,160		(77,480	)
Live Cattle		02/29/2012		5		242,900		700
Nickel		03/21/2012		5		561,450		12,135
Silver		03/28/2012		20		2,791,500		(328,000	)
Soybean		03/14/2012		32		1,932,400		139,200
Soybean Meal		03/14/2012		11		344,410		18,520
Soybean Oil		03/14/2012		49		1,541,148		90,288
Zinc		03/21/2012		7		322,656		(12,731	)
Total							$	(1,098,094	)

See accompanying notes to financial statements.

29  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Diversifying Strategies Fund – (continued)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		03/16/2012		206	$	12,901,780	$	(230,720	)
FTSE 100		03/16/2012		50		4,298,704		(20,966	)
MSCI Taiwan		01/30/2012		110		2,788,500		17,600
OMXS30		01/20/2012		9		129,336		(5,427	)
TOPIX		03/09/2012		157		14,849,422		275,367
UK Long Gilt		03/28/2012		84		15,256,362		(77,712	)
Total							$	(41,858	)
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012		6	$	302,775	$	(4,881	)
Copper High Grade		03/28/2012		13		1,116,700		(11,538	)
Copper LME		03/21/2012		2		380,050		43
Natural Gas		01/27/2012		11		328,790		20,680
Sugar		02/29/2012		5		130,480		9,520
Wheat		03/14/2012		1		32,637		(2,175	)
Zinc		03/21/2012		12		553,125		(10,620	)
Total							$	1,029

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

Investment Summary at December 31, 2011 (Unaudited)

Certificates of Deposit	66.8	%
Financial Company Commercial Paper	15.6
Commercial Paper	10.0
Total Investments	92.4
Other assets less liabilities (including open forward foreign currency and futures contracts)	7.6
Net Assets	100.0	%

See accompanying notes to financial statements.

|  30

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Global Alternatives Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 94.0% of Net Assets
		Certificates of Deposit — 71.7%
$	2,300,000	BNP Paribas, 0.120%, 1/03/2012	$	2,300,000
	13,000,000	Toronto Dominion Bank, 0.260%, 1/09/2012		13,000,611
	7,000,000	Rabobank Nederland NV (NY), 0.360%, 1/09/2012		7,000,056
	65,000,000	Bank of Montreal (IL), 0.200%, 1/11/2012		65,001,150
	67,000,000	Sumitomo Mitsui Bank (NY), 0.350%, 1/12/2012		67,002,144
	20,800,000	Bank of Nova Scotia (TX), 0.290%, 1/17/2012		20,802,288
	50,000,000	Standard Chartered Bank (NY), 0.350%, 1/17/2012		50,003,000
	21,000,000	Lloyds TSB Bank PLC (NY), 0.210%, 1/18/2012		21,000,000
	24,000,000	Toronto Dominion Bank, 0.180%, 1/19/2012		24,001,200
	58,000,000	Barclays Bank PLC, 0.280%, 1/23/2012		58,002,320
	20,000,000	Svenska Handelsbanken (NY), 0.385%, 1/23/2012(b)		20,001,400
	20,000,000	Bank of Nova Scotia (TX), 0.290%, 1/25/2012(b)		20,003,180
	43,000,000	Royal Bank of Scotland PLC, 0.150%, 1/30/2012		43,000,000
	46,000,000	Lloyds TSB Bank PLC (NY), 0.220%, 1/30/2012		46,000,000
	6,000,000	Rabobank Nederland NV (NY), 0.380%, 1/30/2012		6,000,258
	13,000,000	Nordea Bank Finland (NY), 0.340%, 1/31/2012		13,002,197
	65,000,000	National Australia Bank, 0.270%, 2/02/2012		65,001,235
	43,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 2/03/2012		43,000,000
	24,000,000	Royal Bank of Scotland PLC, 0.440%, 2/03/2012		24,001,152
	30,000,000	Toronto Dominion Bank, 0.160%, 2/06/2012(b)		30,001,590
	28,500,000	Westpac Banking Corp. (NY), 0.310%, 2/06/2012(c)		28,499,943
	32,000,000	Rabobank Nederland NV (NY), 0.370%, 2/07/2012		31,999,296
	35,000,000	Mizuho Corporate Bank, 0.420%, 2/08/2012		35,002,310
	17,000,000	Standard Chartered Bank (NY), 0.415%, 2/09/2012		17,000,680
	10,000,000	Barclays Bank PLC, 0.601%, 2/09/2012(b)(c)		9,996,000
	24,000,000	Skandinaviska Enskilda Banken (NY), 0.510%, 2/13/2012(b)		24,003,288
	1,000,000	Toronto Dominion Bank, 0.210%, 2/15/2012		1,000,131
	15,000,000	Bank of Nova Scotia (TX), 0.270%, 2/16/2012		15,002,790
	25,000,000	Svenska Handelsbanken (NY), 0.450%, 2/16/2012		25,001,650
	20,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012(b)		19,999,400
	22,000,000	Nordea Bank Finland (NY), 0.250%, 2/28/2012		21,999,274
	20,000,000	Svenska Handelsbanken (NY), 0.485%, 3/07/2012		19,998,300
	22,000,000	Westpac Banking Corp. (NY), 0.250%, 3/12/2012		21,999,098
	12,000,000	Bank of Nova Scotia (TX), 0.370%, 3/21/2012		12,003,816
	50,000,000	ANZ Banking, 0.210%, 4/10/2012		49,975,950
	17,750,000	Westpac Banking Corp. (NY), 0.411%, 5/02/2012(c)		17,750,603
	30,000,000	Canadian Imperial Bank of Commerce (NY), 0.384%, 7/25/2012(b)(c)		29,999,220
	17,000,000	Canadian Imperial Bank of Commerce (NY), 0.439%, 8/24/2012(b)(c)		16,999,235
				1,036,354,765
		Financial Company Commercial Paper — 15.3%
	65,000,000	ING (US) Funding LLC, 0.350%, 1/03/2012(d)		64,998,700
	9,500,000	Axis Bank Ltd., (Credit Support: Bank of America), 0.480%, 1/17/2012(d)		9,497,973
	67,000,000	General Electric Capital Corp., 0.170%, 1/18/2012(d)		66,999,263
	30,000,000	Nordea North America, Inc., 0.250%, 1/23/2012(d)		29,995,590
	48,730,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.500%, 1/30/2012(d)		48,710,373
				220,201,899

See accompanying notes to financial statements.

31  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Global Alternatives Fund – (continued)

Principal Amount		Description	Value (†)
		Commercial Paper — 7.0%
$	67,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.620%, 1/03/2012(d)	$	66,997,692
	22,720,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 1/05/2012(d)		22,719,117
	11,730,000	Grainger (WW), Inc., 0.060%, 1/17/2012(d)		11,729,687
				101,446,496
		Total Short-Term Investments (Identified Cost $1,358,000,253)		1,358,003,160
		Total Investments — 94.0% (Identified Cost $1,358,000,253)(a)		1,358,003,160
		Other assets less liabilities — 6.0%		86,801,980
		Net Assets — 100.0%	$	1,444,805,140
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized appreciation on short-term investments based on a cost of $1,358,000,253 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	39,330
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(36,423	)
		Net unrealized appreciation	$	2,907
		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 and futures contracts.
	(c)	Variable rate security. Rate as of December 31, 2011 is disclosed.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

|  32

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Global Alternatives Fund – (continued)

At December 31, 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		03/21/2012	Australian Dollar		25,800,000	$	26,163,604	$	228,747
Buy		03/21/2012	British Pound		3,625,000		5,625,451		7,401
Buy		03/21/2012	British Pound		26,875,000		41,705,932		(125,790	)
Buy		03/21/2012	Canadian Dollar		21,100,000		20,676,188		119,621
Buy		03/21/2012	Euro		8,000,000		10,361,086		36,022
Buy		03/21/2012	Euro		12,125,000		15,703,521		(147,031	)
Sell		03/21/2012	Euro		85,875,000		111,219,780		1,330,345
Buy		03/21/2012	Japanese Yen		15,075,000,000		196,127,361		2,356,722
Sell		03/21/2012	Japanese Yen		3,650,000,000		47,486,890		(524,336	)
Buy		03/21/2012	Swedish Krona		100,000,000		14,479,688		(6,900	)
Buy		03/21/2012	Swiss Franc		1,125,000		1,199,655		(4,327	)
Total								$	3,270,474

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		03/16/2012		225	$	42,952,936	$	1,177,703
E-mini S&P 500		03/16/2012		464		29,060,320		721,845
Eurodollar		06/18/2012		1,417		351,752,538		(83,775	)
FTSE 100		03/16/2012		474		40,751,714		1,106,256
German Euro Bund		03/08/2012		272		48,947,101		1,334,437
Hang Seng		01/30/2012		619		73,547,395		698,652
TOPIX		03/09/2012		293		27,712,615		(441,601	)
UK Long Gilt		03/28/2012		289		52,489,149		811,645
10 Year U.S. Treasury Note		03/21/2012		625		81,953,125		577,469
Total							$	5,902,631
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012		2,704	$	136,450,600	$	(4,530	)
Brent Crude Oil		01/16/2012		293		31,462,340		(763,140	)
Copper LME		03/21/2012		39		7,410,975		(41,584	)
Gas Oil		02/10/2012		119		10,924,200		126,850
Gold		02/27/2012		353		55,308,040		(3,302,670	)
Light Sweet Crude Oil		01/20/2012		269		26,585,270		(400,810	)
Nickel		03/21/2012		185		20,773,650		578,250
Zinc		03/21/2012		157		7,236,719		(225,090	)
Total							$	(4,032,724	)

See accompanying notes to financial statements.

33  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Global Alternatives Fund – (continued)

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

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012		283	$	14,280,888	$	(216,836	)
Copper LME		03/21/2012		100		19,002,500		(507,951	)
Heating Oil		01/31/2012		6		734,378		(20,715	)
Natural Gas		01/27/2012		631		18,860,590		1,072,270
Total							$	326,768

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

Investment Summary at December 31, 2011 (Unaudited)

Certificates of Deposit	71.7	%
Financial Company Commercial Paper	15.3
Commercial Paper	7.0
Total Investments	94.0
Other assets less liabilities (including open forward foreign currency and futures contracts)	6.0
Net Assets	100.0	%

See accompanying notes to financial statements.

|  34

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 87.7% of Net Assets
		Certificates of Deposit — 62.0%
$	10,900,000	BNP Paribas, 0.120%, 1/03/2012	$	10,900,000
	5,000,000	Toronto Dominion Bank, 0.260%, 1/09/2012(b)		5,000,235
	23,000,000	Bank of Montreal (IL), 0.200%, 1/11/2012		23,000,529
	25,000,000	Sumitomo Mitsui Bank (NY), 0.350%, 1/12/2012		25,000,800
	5,000,000	Rabobank Nederland NV (NY), 0.360%, 1/13/2012		5,000,267
	13,000,000	Bank of Nova Scotia (TX), 0.290%, 1/17/2012		13,001,430
	22,000,000	Standard Chartered Bank (NY), 0.350%, 1/17/2012		22,001,320
	9,000,000	Lloyds TSB Bank PLC (NY), 0.210%, 1/18/2012		9,000,000
	9,000,000	Toronto Dominion Bank, 0.180%, 1/19/2012		9,000,450
	25,000,000	Barclays Bank PLC, 0.280%, 1/23/2012		25,001,000
	15,000,000	Svenska Handelsbanken (NY), 0.385%, 1/23/2012		15,001,050
	10,000,000	Bank of Nova Scotia (TX), 0.290%, 1/25/2012(b)		10,001,590
	13,000,000	Royal Bank of Scotland PLC, 0.150%, 1/30/2012		13,000,000
	22,000,000	Lloyds TSB Bank PLC (NY), 0.220%, 1/30/2012		22,000,000
	5,000,000	Nordea Bank Finland ( NY), 0.340%, 1/31/2012		5,000,845
	22,000,000	National Australia Bank, 0.270%, 2/02/2012(b)		22,000,418
	13,000,000	Skandinaviska Enskilda Banken (NY), 0.300%, 2/03/2012		13,000,000
	19,000,000	Royal Bank of Scotland PLC, 0.440%, 2/03/2012		19,000,912
	11,000,000	Toronto Dominion Bank, 0.160%, 2/06/2012(b)		11,000,583
	5,000,000	Westpac Banking Corp. (NY), 0.310%, 2/06/2012(b)(c)		4,999,990
	21,000,000	Rabobank Nederland NV (NY), 0.370%, 2/07/2012		20,999,538
	8,000,000	Standard Chartered Bank (NY), 0.415%, 2/09/2012		8,000,320
	5,000,000	Barclays Bank PLC, 0.601%, 2/09/2012(b)(c)		4,998,000
	19,000,000	Skandinaviska Enskilda Banken (NY), 0.510%, 2/13/2012		19,002,603
	5,000,000	Toronto Dominion Bank, 0.210%, 2/15/2012		5,000,655
	8,000,000	Bank of Nova Scotia (TX), 0.270%, 2/16/2012		8,001,488
	7,000,000	Svenska Handelsbanken (NY), 0.450%, 2/16/2012		7,000,462
	12,000,000	Canadian Imperial Bank of Commerce (NY), 0.230%, 2/21/2012(b)		11,999,640
	10,000,000	Nordea Bank Finland (NY), 0.250%, 2/28/2012		9,999,670
	10,000,000	Svenska Handelsbanken (NY), 0.485%, 3/07/2012		9,999,150
	16,000,000	Westpac Banking Corp. (NY), 0.250%, 3/12/2012		15,999,344
	31,000,000	ANZ Banking, 0.210%, 4/10/2012		30,985,089
	10,000,000	Westpac Banking Corp. (NY), 0.411%, 5/02/2012(b)(c)		10,000,340
	11,000,000	Canadian Imperial Bank of Commerce (NY), 0.384%, 7/25/2012(c)		10,999,714
	8,000,000	Canadian Imperial Bank of Commerce (NY), 0.439%, 8/24/2012(b)(c)		7,999,640
				462,897,072
		Financial Company Commercial Paper — 17.1%
	32,000,000	Societe Generale North America, 0.240%, 1/03/2012(d)		31,999,573
	23,000,000	ING (US) Funding LLC, 0.350%, 1/03/2012(d)		22,999,540
	19,000,000	Axis Bank Ltd., (Credit Support: Bank of America), 0.480%, 1/17/2012(d)		18,995,946
	25,000,000	General Electric Capital Corp., 0.170%, 1/18/2012(d)		24,999,725
	17,000,000	Nordea North America, Inc., 0.250%, 1/23/2012(d)		16,997,403
	12,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.500%, 1/30/2012(d)		11,995,167
				127,987,354

See accompanying notes to financial statements.

35  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Managed Futures Strategy Fund – (continued)

Principal Amount		Description	Value (†)
		Commercial Paper — 8.6%
$	32,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.620%, 1/03/2012(d)	$	31,998,898
	5,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 1/05/2012(d)		4,999,805
	17,000,000	Grainger (WW), Inc., 0.060%, 1/17/2012(d)		16,999,547
	3,240,000	Tennessee State School Bond Authority, 0.200%, 3/12/2012		3,240,000
	7,000,000	General Electric Co., 0.130%, 3/30/2012(d)		6,997,823
				64,236,073
		Total Short-Term Investments (Identified Cost $655,125,200)		655,120,499
		Total Investments — 87.7% (Identified Cost $655,125,200)(a)		655,120,499
		Other assets less liabilities — 12.3%		91,982,288
		Net Assets — 100.0%	$	747,102,787
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized depreciation on short-term investments based on a cost of $655,125,200 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	16,761
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,462	)
		Net unrealized depreciation	$	(4,701	)
		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 and futures contracts.
	(c)	Variable rate security. Rate as of December 31, 2011 is disclosed.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

|  36

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Managed Futures Strategy Fund – (continued)

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

Contract to Buy/Sell1	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell		03/21/2012	Australian Dollar		46,800,000	$	47,459,561	$	(414,937	)
Sell		03/21/2012	British Pound		44,062,500		68,378,330		166,793
Sell		03/21/2012	Canadian Dollar		73,400,000		71,925,697		(416,124	)
Sell		03/21/2012	Euro		52,250,000		67,670,841		1,254,067
Buy		03/21/2012	Japanese Yen		775,000,000		10,082,833		139,992
Sell		03/21/2012	Japanese Yen		2,200,000,000		28,622,235		(291,763	)
Sell		03/21/2012	New Zealand Dollar		32,000,000		24,780,557		(447,117	)
Sell		03/21/2012	Norwegian Krone		320,000,000		53,356,360		296,693
Buy		03/21/2012	Singapore Dollar		32,500,000		25,056,641		19,758
Sell		03/21/2012	Singapore Dollar		33,375,000		25,731,243		(206,317	)
Sell		03/21/2012	Swedish Krona		18,000,000		2,606,344		1,446
Sell		03/21/2012	Swedish Krona		200,000,000		28,959,377		(205,802	)
Buy		03/21/2012	Swiss Franc		23,500,000		25,059,450		(73,085	)
Sell		03/21/2012	Swiss Franc		34,125,000		36,389,520		131,242
Sell		03/21/2012	Turkish Lira		2,400,000		1,245,079		11,992
Sell		03/21/2012	Turkish Lira		18,000,000		9,338,092		(40,067	)
Total								$	(73,229	)

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		01/20/2012		31	$	2,513,628	$	125,180
E-mini Dow		03/16/2012		328		19,926,000		336,200
E-mini NASDAQ 100		03/16/2012		443		20,152,070		(23,609	)
E-mini S&P 500		03/16/2012		265		16,596,950		95,350
Euribor		06/18/2012		3,716		1,191,056,471		1,382,777
Euro Schatz		03/08/2012		4,123		588,795,700		1,493,966
FTSE 100		03/16/2012		13		1,117,663		36,037
FTSE JSE Top 40		03/15/2012		645		22,843,525		(220,284	)
German Euro BOBL		03/08/2012		1,096		177,468,343		2,233,436
German Euro Bund		03/08/2012		474		85,297,522		1,512,409
Mini-Russell 2000		03/16/2012		226		16,696,880		146,610
OMXS30		01/20/2012		118		1,695,745		66,448
Sterling		06/20/2012		3,908		750,371,322		(308,523	)
UK Long Gilt		03/28/2012		384		69,743,367		1,079,801
2 Year U.S. Treasury Note		03/30/2012		3,143		693,178,831		337,453
3 Year Australia Government Bond		03/15/2012		1,806		200,116,610		(143,231	)
5 Year U.S. Treasury Note		03/30/2012		1,642		202,389,329		786,734
10 Year Australia Government Bond		03/15/2012		609		74,057,924		901,854
10 Year Canada Government Bond		03/21/2012		728		95,642,228		895,352
10 Year Japan Government Bond		03/09/2012		269		497,704,171		1,679,486
10 Year U.S. Treasury Note		03/21/2012		800		104,900,000		879,877
30 Year U.S. Treasury Bond		03/21/2012		264		38,230,500		208,061
Total							$	13,501,384

See accompanying notes to financial statements.

37  |

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Managed Futures Strategy Fund – (continued)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		01/16/2012		157	$	16,858,660	$	(375,790	)
Gas Oil		02/10/2012		242		22,215,600		384,500
Gold		02/27/2012		20		3,133,600		(229,800	)
Light Sweet Crude Oil		01/20/2012		202		19,963,660		(317,750	)
Live Cattle		02/29/2012		502		24,387,160		(313,420	)
Nickel		03/21/2012		54		6,063,660		(84,564	)
Total							$	(936,824	)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200		03/15/2012		20	$	2,055,317	$	26,107
Eurodollar		06/18/2012		1,554		385,761,075		89,100
Hang Seng		01/30/2012		10		1,188,165		(13,391	)
MSCI Singapore		01/30/2012		246		11,391,049		181,489
MSCI Taiwan		01/30/2012		408		10,342,800		65,280
Nikkei 225		03/09/2012		70		7,684,812		145,511
S&P/TSX 60		03/15/2012		5		666,405		(6,488	)
SGX CNX Nifty		01/25/2012		12		111,024		3,980
TOPIX		03/09/2012		166		15,700,662		42,549
Total							$	534,137
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012		248	$	12,514,700	$	24,800
Cocoa		03/15/2012		232		4,892,880		61,960
Coffee		03/20/2012		84		7,145,775		203,400
Copper High Grade		03/28/2012		1		85,900		113
Copper LME		03/21/2012		45		8,551,125		(377	)
Corn		03/14/2012		265		8,566,125		(604,763	)
Cotton		03/08/2012		78		3,580,200		275,730
Gasoline		01/31/2012		4		446,443		1,344
Heating Oil		01/31/2012		24		2,937,514		(66,562	)
KC Wheat		03/14/2012		84		3,011,400		(247,512	)
Natural Gas		01/27/2012		370		11,059,300		695,600
Nickel		03/21/2012		81		9,095,490		(201,690	)
Silver		03/28/2012		30		4,187,250		656,650
Soybean		03/14/2012		81		4,891,387		(352,350	)
Soybean Meal		03/14/2012		169		5,291,390		(458,350	)
Soybean Oil		03/14/2012		293		9,215,436		(541,464	)
Sugar		02/29/2012		410		10,699,360		404,096
Wheat		03/14/2012		246		8,028,825		(605,963	)
Zinc		03/21/2012		97		4,471,094		176,419
Total							$	(578,919	)

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

See accompanying notes to financial statements.

|  38

Consolidated Portfolio of Investments – as of December 31, 2011

ASG Managed Futures Strategy Fund – (continued)

Investment Summary at December 31, 2011 (Unaudited)

Certificates of Deposit	62.0	%
Financial Company Commercial Paper	17.1
Commercial Paper	8.6
Total Investments	87.7
Other assets less liabilities (including open forward foreign currency and futures contracts)	12.3
Net Assets	100.0	%

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 71.6% of Net Assets
	Non-Convertible Bonds — 67.9%
		ABS Car Loan — 0.2%
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	739,345
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		430,952
				1,170,297
		ABS Home Equity — 2.4%
	1,390,767	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.584%, 11/25/2045(b)		792,818
	4,276,632	Argent Securities, Inc., Series 2006-M2, Class A2C, 0.444%, 9/25/2036(b)		1,211,767
	2,500,000	Asset Backed Securities Corp. Home Equity, Series 2006-HE7, Class A4, 0.434%, 11/25/2036(b)		829,670
	637,519	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.564%, 4/25/2035(b)		337,597
	2,609,346	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.444%, 11/25/2036(b)		837,242
	3,005,377	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.364%, 12/25/2046(b)		1,165,642
	424,449	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.891%, 12/25/2034(b)		289,609
	1,317,558	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 5.416%, 7/25/2035(b)		1,025,258
	385,763	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.614%, 7/25/2045(b)		235,054
	2,673,279	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		2,290,677
	3,000,000	Novastar Home Equity Loan, Series 2007-1, Class A2C, 0.474%, 3/25/2037(b)		801,714
	341,882	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 1.018%, 12/25/2046(b)		201,360
	659,615	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.968%, 4/25/2047(b)		415,226
	945,009	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		943,939
				11,377,573
		ABS Other — 0.7%
	3,468,310	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		3,488,931
		Aerospace & Defense – 0.5%
	2,250,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,609,594
	800,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		600,739
				2,210,333
		Airlines — 0.4%
	207,257	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		198,179
	1,980,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,881,000
				2,079,179

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Automotive — 3.4%
$	2,470,000	American Axle & Manufacturing, Inc., 7.875%, 3/01/2017	$	2,445,300
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)		2,959,833
	800,000	Hyundai Capital America, 4.000%, 6/08/2017, 144A		791,597
	4,050,000	Lear Corp., 8.125%, 3/15/2020		4,455,000
	5,500,000	Volkswagen Financial Services NV, 6.250%, 7/15/2015, (AUD)(c)		5,826,566
				16,478,296
		Banking — 1.2%
	2,484,353	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		1,306,233
	700,000	Merrill Lynch & Co., Inc., EMTN, 4.875%, 5/30/2014, (EUR)		863,032
	2,400,000	Morgan Stanley, 2.875%, 1/24/2014		2,298,701
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,192,341
				5,660,307
		Building Materials — 0.2%
	1,000,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		1,002,500
		Chemicals — 1.3%
	2,245,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		2,158,006
	1,600,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		1,588,000
	2,980,000	Hercules, Inc., 6.500%, 6/30/2029		2,287,150
				6,033,156
		Collateralized Mortgage Obligations — 5.6%
	2,032,517	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.301%, 9/25/2045(b)		1,457,335
	690,710	Banc of America Funding Corp., Series 2004-B, Class 4A2, 2.700%, 11/20/2034(b)		511,838
	767,934	Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.515%, 4/20/2035(b)		523,270
	1,666,810	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036(b)		1,387,708
	748,817	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.561%, 2/22/2035(b)		395,751
	1,143,498	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.504%, 5/25/2035(b)		602,724
	532,847	Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.534%, 7/25/2035(b)		285,938
	472,530	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.594%, 5/25/2035(b)		271,810
	238,690	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.635%, 1/19/2035(b)		126,019
	190,844	Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 2.773%, 12/19/2035(b)		129,766
	2,261,232	Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.774%, 12/19/2035(b)		1,394,586
	2,849,842	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.404%, 5/25/2037(b)		1,179,946
	796,827	Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.154%, 9/25/2034(b)		478,753

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	3,749,956	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.566%, 3/25/2035(b)	$	2,859,180
	3,567,881	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.594%, 7/25/2035(b)		1,997,806
	1,928,187	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.320%, 2/25/2036(b)		1,148,473
	1,172,501	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.454%, 12/25/2036(b)		470,614
	2,649,624	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.414%, 7/25/2037(b)(d)		1,019,527
	1,093,036	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.494%, 10/25/2046(b)		611,642
	1,408,282	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.594%, 12/25/2034(b)		1,068,166
	790,960	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.454%, 1/25/2047(b)		419,250
	1,226,090	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.534%, 5/25/2037(b)		493,212
	1,895,081	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,667,923
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		2,322,438
	412,033	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.640%, 10/25/2035(b)		376,359
	2,398,327	Residential Accredit Loans, Inc., Series 2005-QA12, Class NB4, 4.052%, 12/25/2035(b)		1,283,031
	1,424,279	Sequoia Mortgage Trust, Series 2004-6, Class A1, 2.038%, 7/20/2034(b)		1,109,329
	965,616	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-4, Class 3A2, 2.496%, 4/25/2034(b)		786,786
	602,959	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.718%, 9/25/2046(b)		407,101
				26,786,281
		Commercial Mortgage-Backed Securities — 10.3%
	1,412,112	American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 2.301%, 9/25/2045(b)		1,029,351
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.736%, 4/15/2044, 144A(b)		3,898,149
	475,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.902%, 6/15/2039(b)		498,664
	1,400,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,504,521
	7,409,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.728%, 11/10/2046, 144A(b)		6,080,626
	2,805,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		2,815,283
	2,841,230	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.866%, 6/19/2035(b)		2,406,749

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	1,400,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049	$	1,510,291
	675,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		598,732
	250,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.984%, 8/10/2045(b)		271,496
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.984%, 8/10/2045(b)		3,531,306
	4,060,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class D, 6.524%, 6/15/2043, 144A(b)		3,573,433
	2,500,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		2,586,140
	2,430,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		2,555,884
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class D, 5.422%, 9/15/2047, 144A(b)		1,087,061
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.422%, 9/15/2047, 144A(b)		1,022,865
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.496%, 6/15/2044, 144A(b)		1,664,825
	4,800,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.984%, 8/12/2045, 144A(b)(c)		4,715,328
	1,000,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.984%, 8/15/2045, 144A(b)		986,790
	9,325,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)		7,454,946
				49,792,440
		Diversified Manufacturing — 1.2%
	5,900,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		5,708,250
		Electric — 3.8%
	1,200,000	Centrais Eletricas Brasileiras, S.A., 5.750%, 10/27/2021, 144A		1,246,800
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		2,355,837
	7,655,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		6,439,256
	4,700,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		2,544,086
	1,700,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,368,238
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		694,773
	3,250,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		3,510,000
				18,158,990
		Gaming — 1.0%
	2,400,000	Mandalay Resort Group, 7.625%, 7/15/2013		2,400,000
	500,000	MGM Resorts International, 6.875%, 4/01/2016		462,500
	250,000	MGM Resorts International, 7.500%, 6/01/2016		239,375
	2,000,000	MGM Resorts International, 7.625%, 1/15/2017		1,905,000
				5,006,875

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Government Owned - No Guarantee — 1.1%
$	400,000	Petrobras International Finance Co., 6.750%, 1/27/2041	$	459,653
	70,000,000	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		4,966,069
				5,425,722
		Government Sponsored — 0.3%
	1,510,000	Eksportfinans ASA, 2.000%, 9/15/2015		1,250,854
		Healthcare — 1.8%
	3,660,000	Biomet, Inc., 11.625%, 10/15/2017		3,971,100
	3,870,000	HCA, Inc., 7.500%, 2/15/2022		3,957,075
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016(e)		488,648
				8,416,823
		Hybrid ARMs — 0.6%
	2,216,573	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.968%, 4/25/2035(b)		951,173
	1,438,586	Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.684%, 12/25/2034(b)		739,958
	1,149,217	Lehman XS Trust, Series 2006-4N, Class A2A, 0.514%, 4/25/2046(b)		532,787
	1,169,964	Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.554%, 4/25/2035(b)		801,701
				3,025,619
		Independent Energy — 0.8%
	3,850,000	WPX Energy, Inc., 6.000%, 1/15/2022, 144A		3,941,437
		Industrial Other — 0.2%
	750,000	Steelcase, Inc., 6.375%, 2/15/2021		797,007
		Life Insurance — 2.6%
	500,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		485,889
	6,200,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		5,518,000
	700,000	AXA, S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		455,000
	5,600,000	Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A		5,810,000
				12,268,889
		Media Cable — 0.8%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,522,130
	2,300,000	Virgin Media Secured Finance PLC, 6.500%, 1/15/2018		2,443,750
				3,965,880
		Metals & Mining — 2.5%
	6,100,000	ArcelorMittal, 5.500%, 3/01/2021		5,599,245
	3,700,000	Peabody Energy Corp., 6.000%, 11/15/2018, 144A		3,774,000
	3,360,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		2,604,000
				11,977,245

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Captive Consumer — 3.2%
$	4,070,000	International Lease Finance Corp., 8.625%, 1/15/2022	$	4,117,240
	1,945,000	Residential Capital LLC, 9.625%, 5/15/2015		1,361,500
	4,250,000	SLM Corp., MTN, 8.000%, 3/25/2020		4,292,500
	3,100,000	Springleaf Finance Corp., 4.125%, 11/29/2013, (EUR)		3,168,857
	1,435,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		1,043,963
	2,200,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,551,000
				15,535,060
		Oil Field Services — 0.8%
	4,040,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		3,959,200
		Packaging — 0.4%
	1,000,000	Beverage Packaging Holdings S.A., 8.000%, 12/15/2016, 144A, (EUR)		1,100,113
	750,000	Packaging Dynamics Corp., 8.750%, 2/01/2016, 144A		750,000
	145,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A		128,325
				1,978,438
		Pharmaceuticals — 1.0%
	2,620,000	Valeant Pharmaceuticals International, 6.500%, 7/15/2016, 144A		2,616,725
	500,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		499,375
	1,400,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		1,351,000
	200,000	Valeant Pharmaceuticals International, 7.000%, 10/01/2020, 144A		197,500
	300,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		291,000
				4,955,600
		Refining — 0.4%
	1,900,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		1,843,000
		REITs - Warehouse/Industrials — 0.8%
	3,740,000	ProLogis LP, 6.625%, 5/15/2018		4,061,778
		Treasuries — 12.4%
	25,200,000	Canadian Government, 1.750%, 3/01/2013, (CAD)(c)		24,955,606
	20,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		5,133
	3,715,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,052,935
	240,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		239,908
	30,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		31,440
	610,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		621,544
	11,525,000,000	Korea Treasury Bond, 3.750%, 6/10/2013, (KRW)(c)		10,044,041
	1,260,000(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		9,246,314
	725,000(††)	Mexican Fixed Rate Bonds, Series M, 7.500%, 6/21/2012, (MXN)(c)		5,264,668
	200,000(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)		1,515,280
	325,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		2,673,895
	102,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		2,360,734
	1,015,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		656,438
	1,225,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		784,801
				59,452,737

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wireless — 2.6%
	12,200,000	Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)	$	6,409,865
	3,025,000	Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		2,896,437
	2,725,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		2,711,375
	1,005,000	Sprint Capital Corp., 6.875%, 11/15/2028		717,319
				12,734,996
		Wirelines — 3.4%
	544,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		419,627
	1,560,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,397,573
	3,500,000	Qwest Corp., 7.125%, 11/15/2043		3,392,298
	7,534,000	Qwest Corp., 7.200%, 11/10/2026		7,516,687
	1,100,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		815,070
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		702,056
	1,250,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		1,066,057
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		234,830
	450,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		429,420
	355,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		346,150
				16,319,768
		Total Non-Convertible Bonds (Identified Cost $355,361,191)		326,863,461
	Convertible Bonds — 3.5%
		Automotive — 0.7%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016		2,308,337
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,017,363
				3,325,700
		Diversified Manufacturing — 0.3%
	900,000	EMC Corp., Series B, 1.750%, 12/01/2013		1,291,500
		Healthcare — 0.3%
	1,210,000	Hologic, Inc., (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(f)		1,323,438
		Metals & Mining — 1.0%
	2,250,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		2,092,500
	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066		2,565,300
				4,657,800
		Pharmaceuticals — 0.4%
	2,010,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		2,107,987
		Technology — 0.8%
	1,715,000	Ciena Corp., 0.875%, 6/15/2017		1,299,113
	1,045,000	Intel Corp., 3.250%, 8/01/2039		1,308,862
	1,650,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		1,452,000
				4,059,975
		Total Convertible Bonds (Identified Cost $19,789,039)		16,766,400

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Municipals — 0.2%
		California — 0.2%
$	975,000	California Health Facilities Financing Authority, Series A, 5.250%, 11/15/2046 (Identified Cost $845,752)	$	983,668
		Total Bonds and Notes (Identified Cost $375,995,982)		344,613,529
	Senior Loans — 5.5%
		Airlines — 0.2%
	893,250	Allegiant Travel Company, Term Loan B, 5.750%, 3/10/2017(b)		878,360
		Automotive — 0.4%
	1,562,362	Chrysler Group LLC, Term Loan B, 6.000%, 5/24/2017(b)		1,475,260
	518,700	Stackpole Powertrain International USA LLC, Term Loan B, 7.500%, 8/02/2017(b)		508,326
				1,983,586
		Building Materials — 0.6%
	930,600	CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b)		865,458
	2,148,763	Nortek, Inc., Term Loan, 5.251%, 4/26/2017(g)		2,093,260
				2,958,718
		Chemicals — 0.7%
	765,000	AZ Chem US Inc., Recap Term Loan, 12/22/2017(h)		759,982
	3,010,000	PQ Corporation, 2nd Lien Term Loan, 6.800%, 7/30/2015(b)		2,651,930
				3,411,912
		Consumer Cyclical Services — 0.3%
	335,000	Allied Security Holdings LLC, 2nd Lien Term Loan, 8.500%, 2/05/2018(b)		323,275
	93,954	Instant Web, Inc., Delayed Draw Term Loan, 3.671%, 8/07/2014(b)		88,082
	895,713	Instant Web, Inc., Term Loan B, 3.671%, 8/07/2014(b)		839,730
				1,251,087
		Healthcare — 0.2%
	950,000	Datatel, Inc., Term Loan B, 7/19/2018(h)		949,411
		Industrial Other — 0.6%
	1,959,750	Milacron LLC, Term Loan B, 7.500%, 5/15/2017(b)		1,930,354
	748,125	Potters Industries, 1st Lien Term Loan, 6.000%, 5/05/2017(b)		736,922
				2,667,276
		Media Cable — 0.4%
	2,382,000	RBS International Direct Marketing LLC, Term Loan B, 6.500%, 3/23/2017(b)		1,857,960
		Oil Field Services — 0.3%
	160,000	Frac Tech International LLC, Term Loan B, 5/06/2016(h)		157,509
	1,390,000	Frac Tech International LLC, Term Loan B, 6.250%, 5/06/2016(b)		1,368,357
				1,525,866
		Pharmaceuticals — 0.2%
	967,045	Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b)		946,254

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Retailers — 0.5%
$	2,636,750	Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(b)	$	2,506,574
		Supermarket — 0.2%
	992,500	Sprouts Farmers Markets Holdings LLC, Term Loan, 6.000%, 4/18/2018(b)		961,901
		Technology — 0.2%
	642,508	Inmar Inc., New Term Loan B, 6.500%, 8/04/2017(b)		639,566
	445,000	Kronos, Inc., Incremental Term Loan, 12/28/2017(h)		436,100
				1,075,666
		Wireless — 0.7%
	2,460,000	Asurion LLC, New 2nd Lien Term Loan, 9.000%, 5/24/2019(b)		2,417,983
	1,000,000	Level 3 Financing Inc., Term Loan B3, 8/31/2018(h)		984,250
				3,402,233
		Total Senior Loans (Identified Cost $27,505,571)		26,376,804
Shares
	Preferred Stocks — 3.6%
	Convertible Preferred Stocks — 2.5%
		Automotive — 0.5%
	72,200	General Motors Co., Series B, 4.750%		2,472,850
		Banking — 1.0%
	4,370	Wells Fargo & Co., Series L, Class A, 7.500%		4,605,980
		Independent Energy — 0.9%
	81,250	Apache Corp., Series D, 6.000%		4,410,250
		REITs - Healthcare — 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%		409,360
		Total Convertible Preferred Stocks (Identified Cost $13,943,930)		11,898,440
	Non-Convertible Preferred Stocks — 1.1%
		Non-Captive Diversified — 1.1%
	3,775	Ally Financial, Inc., Series G, 7.000%, 144A		2,706,085
	102,000	Montpelier Re Holdings Ltd., 8.875%		2,779,500
				5,485,585
		Total Non-Convertible Preferred Stocks (Identified Cost $5,272,562)		5,485,585
		Total Preferred Stocks (Identified Cost $19,216,492)		17,384,025

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Shares		Description	Value (†)
	Common Stocks — 2.9%
		Diversified Telecommunication Services — 1.6%
	106,745	AT&T, Inc.	$	3,227,969
	157,778	Telefonica S.A., Sponsored ADR		2,712,204
	47,543	Verizon Communications, Inc.		1,907,425
				7,847,598
		Oil, Gas & Consumable Fuels — 0.6%
	21,700	Royal Dutch Shell PLC, ADR		1,586,053
	24,900	Total S.A., Sponsored ADR		1,272,639
				2,858,692
		Tobacco — 0.5%
	57,114	Altria Group, Inc.		1,693,430
	7,500	Philip Morris International, Inc.		588,600
				2,282,030
		Wireless Telecommunication Services — 0.2%
	37,300	Vodafone Group PLC, Sponsored ADR		1,045,519
		Total Common Stocks (Identified Cost $13,508,103)		14,033,839
Par Value(‡)
	Purchased Options — 0.3%
		Over-the-Counter Options on Currency — 0.3%
$	26,000,000	AUD Put, expiring August 16, 2012 at 0.9902(i) (Identified Cost $1,649,310)		1,262,976
Principal Amount (‡)
	Short-Term Investments — 16.8%
	221,075	Repurchase Agreement with Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $221,075 on 1/03/2012 collateralized by $230,000 U.S. Treasury Bill, due 3/08/2012 valued at $229,992 including accrued interest (Note 2 of Notes to Financial Statements)		221,075
	34,737,432	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $34,737,432 on 1/03/2012 collateralized by $34,385,000 U.S. Treasury Note, 1.375% due 11/30/2015 valued at 35,433,811 including accrued interest (Note 2 of Notes to Financial Statements)		34,737,432
	46,000,000	U.S. Treasury Bills 0.017%-0.020%, 3/22/2012 (c)(j)(k)(l)		45,998,252
		Total Short-Term Investments (Identified Cost $80,956,534)		80,956,759
		Total Investments — 100.7% (Identified Cost $518,831,992)(a)		484,627,932
		Other assets less liabilities — (0.7)%		(3,232,660	)
		Net Assets — 100.0%	$	481,395,272

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Par Value(‡)		Description	Value (†)
	Written Options — (0.1%)
		Over-the-Counter Options on Currency – (0.1)%
$	26,000,000	AUD Put, expiring August 16, 2012 at 0.8500(i) (Premiums Received $748,930)	$	(456,482	)
	(‡)	Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At December 31, 2011, the net unrealized depreciation on investments based on a cost of $520,084,308 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	3,057,625
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(38,514,001	)
		Net unrealized depreciation	$	(35,456,376	)
	(b)	Variable rate security. Rate as of December 31, 2011 is disclosed.
	(c)	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.
	(d)	The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued.
	(e)	Illiquid security. At December 31, 2011, the value of this security amounted to $488,648 or 0.1% of net assets.
	(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 of underlying contracts at December 31, 2011.
	(h)	Position is unsettled. Contract rate was not determined at December 31, 2011 and does not take effect until settlement date.
	(i)	Counterparty is Credit Suisse.
	(j)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(k)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements and as initial margin for open futures contracts.
	(l)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $118,633,574 or 24.6% 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.
	ARMs	Adjustable Rate Mortgages
	EMTN	Euro Medium Term Note
	GMTN	Global Medium Term Note
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
KRW	South Korean Won
MXN	Mexican Peso
PHP	Philippine Peso

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

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value
Buy Protection
Bank of America	CDX 16 EM 500	(5.00%)		12/20/2016	$	10,700,000
Bank of America	CDX 16 EM 500	(5.00%)		12/20/2016		15,000,000
Bank of America	Eastman Chemical Co.	(1.00%)		12/20/2016		10,200,000
Bank of America	Westvaco Corp.	(1.00%)		09/20/2016		6,300,000
Morgan Stanley	CDX 16 EM 500	(5.00%)		12/20/2016		25,000,000

Counterparty	Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Buy Protection — continued
Bank of America	$	(930,299	)	$	(917,864	)	$	12,435		$	(17,833	)
Bank of America		(1,380,835	)		(1,286,726)			94,109			(25,000	)
Bank of America		58,627			10,256			(48,371	)		(3,400	)
Bank of America		221,369			93,057			(128,312	)		(2,100	)
Morgan Stanley		(2,046,453	)		(2,144,543	)		(98,090	)		(41,667	)
Total				$	(4,245,820	)	$	(168,229	)	$	(90,000	)

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^
Sell Protection
Bank of America	CDX 17 IG100	1.00%		12/20/2016		1.20	%
Bank of America	Dow Chemical Co. (The)	1.00%		12/20/2016		2.01	%
Bank of America	NRG Energy, Inc.	5.00%		09/20/2016		5.96	%
Citigroup Global Markets	MGM Resorts International	5.00%		09/20/2016		8.13	%
Deutsche Bank Securities, Inc.	Alcatel-Lucent	5.00%		09/20/2016		17.16	%
Morgan Stanley	Alcatel-Lucent	5.00%		09/20/2016		17.16	%
UBS Securities	Alcatel-Lucent	5.00%		06/20/2016		17.17	%

Counterparty	Notional Value(‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection — continued
Bank of America	$	5,100,000		$	(61,321	)	$	(47,857	)	$	13,464		$	1,700
Bank of America		5,100,000			(264,676	)		(238,275	)		26,401			1,700
Bank of America		1,500,000			(64,452	)		(56,288	)		8,164			2,500
Citigroup Global Markets		3,200,000			(488,380	)		(368,977	)		119,403			5,333
Deutsche Bank Securities, Inc.		4,400,000	*		(516,296	)		(1,816,489	)		(1,300,193	)		9,550
Morgan Stanley		3,800,000	*		(1,375	)		(1,568,787	)		(1,567,412	)		8,248
UBS Securities		2,700,000	*		76,966			(1,090,112	)		(1,167,078	)		5,860
Total							$	(5,186,785	)	$	(3,867,251	)	$	34,891

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

^{^} 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.

* Notional value denominated in euros.

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

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

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		01/05/2012	Australian Dollar		5,700,000	$	5,829,299	$	(19,289	)
Sell2		01/19/2012	Brazilian Real		18,940,000		10,118,381		(122,603	)
Sell2		01/17/2012	Canadian Dollar		25,250,000		24,777,478		(213,736	)
Buy3		01/30/2012	Chinese Renminbi		28,440,000		4,515,763		89,935
Sell3		01/30/2012	Chinese Renminbi		28,440,000		4,515,763		(137,347	)
Sell2		01/17/2012	Columbian Peso		5,300,000,000		2,739,361		(1,758	)
Buy2		01/04/2012	Euro		6,085,000		7,875,514		(19,774	)
Sell2		01/04/2012	Euro		6,085,000		7,875,514		326,439
Sell2		01/09/2012	Euro		2,915,000		3,772,855		151,213
Sell2		01/23/2012	Euro		1,425,000		1,844,520		10,117
Sell2		01/31/2012	Euro		2,602,000		3,368,193		160,240
Sell2		02/03/2012	Euro		680,000		880,251		7,027
Sell2		02/08/2012	Euro		6,085,000		7,877,261		19,609
Buy2		01/17/2012	Mexican Peso		44,000,000		3,149,780		7,619
Sell1		01/05/2012	Mexican Peso		70,000,000		5,015,829		111,061
Sell2		01/17/2012	Mexican Peso		202,500,000		14,496,147		5,948
Sell1		01/24/2012	Philippine Peso		105,000,000		2,392,270		1,711
Sell2		01/27/2012	South Korean Won		11,575,000,000		10,031,660		(31,660	)
Total								$	344,752

¹ Counterparty is Bank of America.

² Counterparty is Credit Suisse.

³ Counterparty is Morgan Stanley.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		03/16/2012		168	$	10,521,840	$	(6,165	)
German Euro BOBL		03/08/2012		9		1,457,313		(22,148	)
Total							$	(28,313	)

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of December 31, 2011

Loomis Sayles Absolute Strategies Fund – (continued)

Industry Summary at December 31, 2011 (Unaudited)

Treasuries	12.4	%
Commercial Mortgage-Backed Securities	10.3
Collateralized Mortgage Obligations	5.6
Automotive	5.0
Electric	3.8
Metals & Mining	3.5
Wirelines	3.4
Wireless	3.3
Non-Captive Consumer	3.2
Life Insurance	2.6
ABS Home Equity	2.4
Healthcare	2.3
Banking	2.2
Chemicals	2.0
Other Investments, less than 2% each	21.9
Short-Term Investments	16.8
Total Investments	100.7
Other assets less liabilities (including open written options, credit default swap agreements, forward foreign currency contracts and futures contracts)	(0.7	)
Net Assets	100.0	%

Currency Exposure December 31, 2011 (Unaudited)

United States Dollar	80.8	%
Canadian Dollar	6.2
Mexican Peso	4.9
Euro	2.4
Brazilian Real	2.1
South Korean Won	2.1
Other, less than 2% each	2.2
Total Investments	100.7
Other assets less liabilities (including open written options, credit default swap agreements, forward foreign currency contracts and futures contracts)	(0.7	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  54

Consolidated Portfolio of Investments – as of December 31, 2011

Loomis Sayles Multi-Asset Real Return Fund

	Principal Amount (‡)	Description		Value (†)
	Bonds and Notes — 38.6% of Net Assets
	Non-Convertible Bonds — 36.1%
		Airlines — 1.0%
$	300,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A	$	306,750
		Banking — 1.1%
	50,000	Merrill Lynch & Co., Inc., EMTN, 4.875%, 5/30/2014, (EUR)		61,645
	300,000	Morgan Stanley, 2.875%, 1/24/2014		287,338
				348,983
		Chemicals — 1.4%
	420,000	PolyOne Corp., 7.375%, 9/15/2020		433,650
		Collateralized Mortgage Obligations — 0.6%
	445,963	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.168%, 8/25/2046(b)		181,662
		Commercial Mortgage-Backed Securities — 1.9%
	700,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.984%, 8/10/2045(b)		569,565
		Construction Machinery — 0.8%
	125,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		126,563
	100,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 10.250%, 11/15/2019		109,000
				235,563
		Electric — 1.8%
	500,000	AES Corp. (The), 8.000%, 10/15/2017		550,000
		Food & Beverage — 1.0%
	400,000	Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		294,000
		Independent Energy — 6.8%
	1,000,000	Concho Resources, Inc., 6.500%, 1/15/2022		1,045,000
	625,000	QEP Resources, Inc., 6.875%, 3/01/2021		673,437
	335,000	SM Energy Co., 6.500%, 11/15/2021, 144A		345,050
				2,063,487
		Metals & Mining — 0.6%
	180,000	Arch Western Finance LLC, 6.750%, 7/01/2013		180,900
		Non-Captive Consumer — 1.1%
	270,000	International Lease Finance Corp., 8.625%, 1/15/2022		273,134
	100,000	Residential Capital LLC, 9.625%, 5/15/2015		70,000
				343,134
		Non-Captive Diversified — 2.7%
	120,000	Aircastle Ltd., 9.750%, 8/01/2018		125,700
	700,000	International Lease Finance Corp., Series R, MTN, 6.625%, 11/15/2013		696,500
				822,200

See accompanying notes to financial statements.

55  |

Consolidated Portfolio of Investments – as of December 31, 2011

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

	Principal Amount (‡)	Description		Value (†)
		Oil Field Services — 5.2%
$	675,000	Basic Energy Services, Inc., 7.125%, 4/15/2016	$	676,687
	190,000	Frac Tech Services LLC/Frac Tech Finance, Inc., 7.625%, 11/15/2018, 144A		199,025
	510,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		499,800
	200,000	Pioneer Drilling Co., 9.875%, 3/15/2018, 144A		209,000
				1,584,512
		Paper — 0.6%
	200,000	Sappi Papier Holding GmbH, 6.625%, 4/15/2021, 144A		171,500
		Refining — 0.9%
	295,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		283,200
		Retailers — 1.6%
	310,000	Edcon Proprietary Ltd., 4.676%, 6/15/2014, (EUR)(b)		295,898
	250,000	Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A		195,000
				490,898
		Technology — 2.5%
	765,000	Audatex North America, Inc., 6.750%, 6/15/2018, 144A		772,650
		Wireless — 0.7%
	225,000	NII Capital Corp., 7.625%, 4/01/2021		223,313
		Wirelines — 3.8%
	550,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		539,696
	400,000	Embarq Corp., 7.995%, 6/01/2036		414,475
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031		214,437
				1,168,608
		Total Non-Convertible Bonds (Identified Cost $11,423,100)		11,024,575
	Convertible Bonds — 2.5%
		Independent Energy — 1.0%
	330,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		294,112
		Media Non-Cable — 1.0%
	300,000	Interpublic Group of Cos., Inc. (The), 4.250%, 3/15/2023		303,375
		Technology — 0.5%
	150,000	Nuance Communications, Inc., 2.750%, 11/01/2031, 144A		161,063
		Total Convertible Bonds (Identified Cost $768,301)		758,550
		Total Bonds and Notes (Identified Cost $12,191,401)		11,783,125
	Senior Loans — 2.9%
		Automotive — 0.8%
	246,250	Chrysler Group LLC, Term Loan, 6.000%, 5/24/2017(b)		232,521
		Electric — 1.7%
	538,928	AES Corporation, New Term Loan, 4.250%, 6/01/2018(b)		536,438

See accompanying notes to financial statements.

|  56

Consolidated Portfolio of Investments – as of December 31, 2011

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

	Principal Amount (‡)	Description		Value (†)
		Wireless — 0.4%
$	124,063	TowerCo Finance LLC, Term Loan B, 5.250%, 2/02/2017(b)	$	123,545
		Total Senior Loans (Identified Cost $901,514)		892,504
Shares
	Common Stocks — 13.0%
		Aerospace & Defense — 0.5%
	1,000	Precision Castparts Corp.		164,790
		Beverages — 0.6%
	2,500	PepsiCo, Inc.		165,875
		Chemicals — 1.5%
	2,400	Agrium, Inc.		161,064
	4,000	Eastman Chemical Co.		156,240
	3,700	Potash Corp. of Saskatchewan, Inc.		152,736
				470,040
		Commercial Services & Supplies — 0.5%
	8,700	Pitney Bowes, Inc.		161,298
		Communications Equipment — 1.1%
	14,000	Ciena Corp.(c)		169,400
	16,100	JDS Uniphase Corp.(c)		168,084
				337,484
		Diversified Telecommunication Services — 1.1%
	4,200	CenturyLink, Inc.		156,240
	4,200	Verizon Communications, Inc.		168,504
				324,744
		Energy Equipment & Services — 1.1%
	4,900	Halliburton Co.		169,099
	2,300	National Oilwell Varco, Inc.		156,377
				325,476
		Food Products — 0.5%
	5,600	Archer-Daniels-Midland Co.		160,160
		Household Durables — 0.5%
	13,100	D.R. Horton, Inc.		165,191
		Household Products — 1.1%
	2,200	Kimberly-Clark Corp.		161,832
	2,450	Procter & Gamble Co. (The)		163,440
				325,272
		Industrial Conglomerates — 0.6%
	10,400	General Electric Co.		186,264

See accompanying notes to financial statements.

57  |

Consolidated Portfolio of Investments – as of December 31, 2011

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

Shares		Description	Value (†)
		Machinery — 1.1%
	3,800	Eaton Corp.	$	165,414
	2,400	Stanley Black & Decker, Inc.		162,240
				327,654
		Oil, Gas & Consumable Fuels — 1.6%
	2,000	Cabot Oil & Gas Corp.		151,800
	1,600	EOG Resources, Inc.		157,616
	2,100	ExxonMobil Corp.		177,996
				487,412
		Pharmaceuticals — 0.6%
	8,500	Pfizer, Inc.		183,940
		Tobacco — 0.6%
	2,400	Philip Morris International, Inc.		188,352
		Total Common Stocks (Identified Cost $3,759,711)		3,973,952
	Preferred Stocks — 2.0%
	Non-Convertible Preferred Stock — 1.5%
		Non-Captive Diversified — 1.5%
	16,500	Montpelier Re Holdings Ltd., 8.875% (Identified Cost $412,500)		449,625
	Convertible Preferred Stock — 0.5%
		Automotive — 0.5%
	4,500	General Motors Co., Series B, 4.750% (Identified Cost $150,283)		154,125
		Total Preferred Stocks (Identified Cost $562,783)		603,750
	Exchange Traded Funds — 3.6%
	13,200	Market Vectors Agribusiness ETF		622,380
	2,800	Oil Services Holders Trust ETF		320,600
	9,000	SPDR S&P Homebuilders ETF		153,900
		Total Exchange Traded Funds (Identified Cost $1,107,288)		1,096,880
Par Value(‡)
	Purchased Options — 1.3%
		Over-the-Counter Options on Currency — 1.3%
$	3,100,000	AUD Put, expiring August 16, 2012 at 0.9902(d)		150,586
	1,000,000	EUR Put, expiring August 14, 2012 at 1.3650(d)		72,743
	700,000	JPY Call, expiring August 14, 2012 at 104.4700(EUR)(d)		68,344
	700,000	NOK Call, expiring August 14, 2012 at 7.8780(EUR)(d)		29,107
	1,300,000	SGD Call, expiring June 04, 2012 at 1.7000(EUR)(e)		52,983
	1,000,000	PEN Put, expiring September 25, 2012 at 2.7350(f)		29,702
		Total Purchased Options (Identified Cost $439,868)		403,465

See accompanying notes to financial statements.

|  58

Consolidated Portfolio of Investments – as of December 31, 2011

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

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 33.1%
$	346,895	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $346,895 on 1/03/2012 collateralized by $5,000 U.S. Treasury Bill, due 3/08/2012 valued at $5,000; $355,000 Federal National Mortgage Association, 1.000% due 12/05/2014 valued at $355,444 including accrued interest (Note 2 of Notes to Financial Statements)(g)	$	346,895
	733,308	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $733,308 on 1/03/2012 collateralized by $750,000 Federal National Mortgage Association Discount Note, due 6/06/2012 valued at $749,625 including accrued interest (Note 2 of Notes to Financial Statements)		733,308
	9,000,000	U.S. Treasury Bills, 0.007%-0.029%, 3/22/2012(g)(h)(i)(j)(k)		8,999,658
		Total Short-Term Investments (Identified Cost $10,079,792)		10,079,861
		Total Investments — 94.5% (Identified Cost $29,042,357)(a)		28,833,537
		Other assets less liabilities — 5.5%		1,686,345
		Net Assets — 100.0%	$	30,519,882

Par Value(‡)
	Written Options — (0.5%)
		Over-the-Counter Options on Currency — (0.5)%
	3,100,000	AUD Put, expiring August 16, 2012 at 0.8500(d)		(54,427	)
	1,000,000	EUR Put, expiring August 14, 2012 at 1.2000(d)		(24,150	)
	700,000	JPY Call, expiring August 14, 2012 at 95.0000(EUR)(d)		(29,232	)
	700,000	NOK Call, expiring August 14, 2012 at 7.4000(EUR)(d)		(7,918	)
	1,300,000	SGD Call, expiring June 04, 2012 at 1.6000(EUR)(e)		(16,139	)
	1,000,000	PEN Put, expiring September 25, 2012 at 3.2000(f)		(6,044	)
		Total Written Options (Premiums Received $191,546)	$	(137,910	)

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

(†) See Note 2 of Notes to Financial Statements.

(a) Federal Tax Information:

At December 31, 2011, the net unrealized depreciation on investments based on a cost of $29,071,808 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	$	438,763
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(677,034	)
Net unrealized depreciation	$	(238,271	)

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

(c) Non-income producing security.

(d) Counterparty is Credit Suisse.

(e) Counterparty is UBS AG.

See accompanying notes to financial statements.

59  |

Consolidated Portfolio of Investments – as of December 31, 2011

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

(f) Counterparty is Bank of America.

(g) A portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

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

(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) 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.

(k) The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $3,437,038 or 11.3% of net assets.

EMTN Euro Medium Term Note

ETF Exchange Traded Fund

MTN Medium Term Note

SPDR Standard & Poor’s Depositary Receipt

AUD Australian Dollar

EUR Euro

JPY Japanese Yen

NOK Norwegian Krone

PEN Peruvian Nuevo Sol

SGD Singapore Dollar

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

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value
Buy Protection
Bank of America	ITRX SOVXCE Series 6 100	(1.00%)		12/20/2016	$	1,000,000
Morgan Stanley	CDX 16 EM 500	(5.00%)		12/20/2016		2,000,000
Morgan Stanley	State Bank of India	(1.00%)		12/20/2016		250,000

Counterparty	Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)		Fees Receivable/ (Payable)
Buy Protection — continued
Bank of America	$	109,189		$	109,968		$	779	$	(2,861	)
Morgan Stanley		(182,889	)		(171,564	)		11,325		(3,333	)
Morgan Stanley		26,149			29,615			3,466		(83	)
Total				$	(31,981	)	$	15,570	$	(6,277	)

See accompanying notes to financial statements.

|  60

Consolidated Portfolio of Investments – as of December 31, 2011

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

Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value
Sell Protection
UBS Securities	CDX 17 HY 500		5.00	%		12/20/2016		6.80	%	$	1,000,000
UBS Securities	ITRX SOVXWE Series 6 100		1.00	%		12/20/2016		3.54	%		1,000,000

Counterparty	Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)		Fees Receivable/ (Payable)
Sell Protection — continued
UBS Securities	$	(74,219	)	$	(70,159	)	$	4,060	$	1,667
UBS Securities		(108,213	)		(108,180	)		33		2,861
Total				$	(178,339	)	$	4,093	$	4,528

^{^} 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.

At December 31, 2011, the Fund had the following open total return swap agreements¹:

Counterparty	Fund Pays	Fund Receives	Expiration Date		Notional Value		Market Value2
Citibank	0.30%	Dow Jones-UBS Commodity Index 3 month Forward		01/30/2012	$	2,500,000	$	—
Citibank	Dow Jones-UBS Commodity Index	0.00%		01/30/2012		2,400,000		—
Total							$	—

¹ Total return swap agreements are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

² There are no upfront payments on total return swap agreements therefore; unrealized gain (loss) is equal to market value.

See accompanying notes to financial statements.

61  |

Consolidated Portfolio of Investments – as of December 31, 2011

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

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

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy3		07/25/2012	Chinese Renminbi		24,300,000	$	3,850,394	$	43,839
Sell3		07/25/2012	Chinese Renminbi		12,150,000		1,925,197		9,054
Sell3		07/25/2012	Chinese Renminbi		12,150,000		1,925,197		(21,107	)
Buy4		01/17/2012	Euro		470,000		608,346		(1,977	)
Sell4		01/17/2012	Euro		470,000		608,346		14,085
Sell4		01/23/2012	Euro		250,000		323,600		855
Sell4		02/03/2012	Euro		50,000		64,724		517
Buy5		01/23/2012	Mexican Peso		8,450,000		604,611		(7,588	)
Sell5		01/23/2012	Mexican Peso		8,450,000		604,611		4,069
Buy5		01/27/2012	New Russian Ruble		19,400,000		601,129		(11,825	)
Sell5		01/27/2012	New Russian Ruble		19,400,000		601,129		7,403
Total								$	37,325

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

Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
01/17/2012	British Pound	394,811	Euro4	470,000	$	(4,727	)
01/17/2012	Euro	470,000	British Pound4	398,913		11,096
01/30/2012	Euro	470,000	Canadian Dollar6	628,061		7,734
01/10/2012	Euro	465,000	Japanese Yen5	48,263,280		25,238
01/10/2012	Japanese Yen	48,227,057	Euro5	465,000		(24,767	)
Total					$	14,574

³ Counterparty is UBS AG.

⁴ Counterparty is Credit Suisse.

⁵ Counterparty is Bank of America.

⁶ Counterparty is Morgan Stanley.

See accompanying notes to financial statements.

|  62

Consolidated Portfolio of Investments – as of December 31, 2011

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

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

Commodity Futures7	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		03/21/2012	7	$	353,238	$	(2,231	)
Brent Crude Oil		11/15/2012	10		1,038,900		(10,872	)
Heating Oil		02/29/2012	3		366,143		12,072
Light Sweet Crude Oil		11/20/2013	10		947,600		28,896
Light Sweet Crude Oil		11/20/2015	10		906,200		3,161
Soybean		03/14/2012	18		1,086,975		69,128
Tin		03/21/2012	3		287,925		(33,094	)
Wheat		07/13/2012	20		686,250		37,183
Total						$	104,243

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

Financial Futures	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		03/16/2012	56	$	3,507,280	$	(62,015	)
10 Year U.S. Treasury Note		03/21/2012	1		131,125		(1,689	)
Total						$	(63,704	)

Commodity Futures7	Expiration Date		Contracts	Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		11/14/2013	10	$	993,000	$	3,008
Corn		03/14/2012	29		937,425		(75,134	)
Corn		07/13/2012	20		661,250		(33,317	)
Light Sweet Crude Oil		11/16/2012	10		981,100		1,561
Light Sweet Crude Oil		02/21/2012	8		792,000		8,789
Total						$	(95,093	)

⁷ Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

See accompanying notes to financial statements.

63  |

Consolidated Portfolio of Investments – as of December 31, 2011

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

Industry Summary at December 31, 2011 (Unaudited)

Independent Energy	7.8	%
Oil Field Services	5.2
Non-Captive Diversified	4.2
Wirelines	3.8
Exchange Traded Funds	3.6
Electric	3.5
Technology	3.0
Chemicals	2.9
Other Investments, less than 2% each	27.4
Short-Term Investments	33.1
Total Investments	94.5
Other assets less liabilities (including open written options, swap agreements, forward foreign currency contracts and futures contracts)	5.5
Net Assets	100.0	%

See accompanying notes to financial statements.

|  64

Consolidated* Statements of Assets and Liabilities

December 31, 2011

	ASG Diversifying Strategies Fund			ASG Global Alternatives Fund			ASG Managed Futures Strategy Fund
ASSETS
Investments at cost	$	373,591,588		$	1,358,000,253		$	655,125,200
Net unrealized appreciation (depreciation)		(1,023	)		2,907			(4,701	)
Investments at value		373,590,565			1,358,003,160			655,120,499
Cash		7,373,801			12,599,976			12,332,675
Due from brokers (including variation margin on futures contracts) (Note 2)		27,154,558			68,219,752			61,484,067
Receivable for Fund shares sold		4,414,757			7,396,672			16,324,416
Interest receivable		112,048			429,962			185,276
Unrealized appreciation on forward foreign currency contracts (Note 2)		2,781,647			4,078,858			2,021,983
Unrealized appreciation on futures contracts (Note 2)		5,925,158			8,205,377			17,635,659
TOTAL ASSETS		421,352,534			1,458,933,757			765,104,575
LIABILITIES
Payable for Fund shares redeemed		6,688,644			5,603,337			3,529,617
Unrealized depreciation on forward foreign currency contracts (Note 2)		1,818,986			808,384			2,095,212
Unrealized depreciation on futures contracts (Note 2)		3,245,624			6,008,702			5,115,881
Distributions payable		4,524,160			—			6,389,677
Management fees payable (Note 6)		420,825			1,324,813			582,589
Deferred Trustees’ fees (Note 6)		23,239			36,399			12,864
Administrative fees payable (Note 6)		26,416			66,428			39,129
Other accounts payable and accrued expenses		120,057			280,554			236,819
TOTAL LIABILITIES		16,867,951			14,128,617			18,001,788
NET ASSETS	$	404,484,583		$	1,444,805,140		$	747,102,787
NET ASSETS CONSIST OF:
Paid-in capital	$	449,778,972		$	1,488,898,276		$	777,204,555
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)		(264,580	)		(36,398	)		4,468,427
Accumulated net realized loss on investments, futures contracts and foreign currency transactions		(48,671,789	)		(49,527,021	)		(47,010,707	)
Net unrealized appreciation on investments, futures contracts and foreign currency translations		3,641,980			5,470,283			12,440,512
NET ASSETS	$	404,484,583		$	1,444,805,140		$	747,102,787

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

See accompanying notes to financial statements.

65  |

	ASG Diversifying Strategies Fund		ASG Global Alternatives Fund		ASG Managed Futures Strategy Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	134,758,180	$	280,352,602	$	312,098,434
Shares of beneficial interest		13,822,354		27,313,404		30,176,191
Net asset value and redemption price per share	$	9.75	$	10.26	$	10.34
Offering price per share (100/94.25 of net asset value) (Note 1)	$	10.34	$	10.89	$	10.97
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	26,031,637	$	92,540,043	$	24,838,002
Shares of beneficial interest		2,697,521		9,206,894		2,423,461
Net asset value and offering price per share	$	9.65	$	10.05	$	10.25
Class Y shares:
Net assets	$	243,694,766	$	1,071,912,495	$	410,166,351
Shares of beneficial interest		24,940,337		103,674,177		39,670,926
Net asset value, offering and redemption price per share	$	9.77	$	10.34	$	10.34

See accompanying notes to financial statements.

|  66

Consolidated* Statements of Assets and Liabilities (continued)

December 31, 2011

	Loomis Sayles Absolute Strategies Fund			Loomis Sayles Multi-Asset Real Return Fund
ASSETS
Investments at cost	$	518,831,992		$	29,042,357
Net unrealized depreciation		(34,204,060	)		(208,820	)
Investments at value		484,627,932			28,833,537
Cash		32,593			250,364
Foreign currency at value (identified cost $4,753,201 and $845,948)		4,668,969			847,181
Receivable for Fund shares sold		2,322,374			7
Receivable from investment adviser (Note 6)		—			6,523
Receivable for securities sold		1,996,327			789,464
Collateral received for open forward foreign currency and option contracts (Notes 2 and 4)		1,480,153			263,026
Dividends and interest receivable		4,219,020			231,794
Unrealized appreciation on swap agreements (Note 2)		273,976			19,663
Unrealized appreciation on forward foreign currency contracts (Note 2)		890,919			123,890
Tax reclaims receivable		2,011			3,998
Receivable for variation margin on futures contracts (Note 2)		38,196			—
Receivable for closed swap agreements		—			1,976
Upfront premiums paid on swap agreements (Note 2)		356,962			135,338
Fees receivable on swap agreements (Note 2)		34,891			4,528
TOTAL ASSETS		500,944,323			31,511,289
LIABILITIES
Options written, at value (premiums received $748,930 and $191,546) (Note 2)		456,482			137,910
Payable for securities purchased		3,263,350			—
Unrealized depreciation on swap agreements (Note 2)		4,309,456			—
Payable for Fund shares redeemed		3,186,084			4,265
Unrealized depreciation on forward foreign currency contracts (Note 2)		546,167			71,991
Payable for variation margin on futures contracts (Note 2)		—			31,366
Upfront premiums received on swap agreements (Note 2)		5,754,087			365,321
Due to brokers (Note 2)		1,480,153			263,026
Distributions payable		—			4,827
Management fees payable (Note 6)		295,284			—
Deferred Trustees’ fees (Note 6)		8,924			8,745
Administrative fees payable (Note 6)		14,046			11,827
Fees payable on swap agreements (Note 2)		90,000			6,277
Other accounts payable and accrued expenses		145,018			85,852
TOTAL LIABILITIES		19,549,051			991,407
NET ASSETS	$	481,395,272		$	30,519,882
NET ASSETS CONSIST OF:
Paid-in capital	$	531,850,798		$	35,885,497
Undistributed net investment income (Distributions in excess of net investment income)		835,620			(277,032	)
Accumulated net realized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions		(13,469,493	)		(4,948,914	)
Net unrealized depreciation on investments, futures contracts, options written, swap agreements and foreign currency translations		(37,821,653	)		(139,669	)
NET ASSETS	$	481,395,272		$	30,519,882

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

See accompanying notes to financial statements.

67  |

	Loomis Sayles Absolute Strategies Fund		Loomis Sayles Multi-Asset Real Return Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	130,662,177	$	1,870,962
Shares of beneficial interest		13,988,975		200,223
Net asset value and redemption price per share	$	9.34	$	9.34
Offering price per share (100/95.50 of net asset value) (Note 1)	$	9.78	$	9.78
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	77,397,934	$	99,368
Shares of beneficial interest		8,312,761		10,670
Net asset value and offering price per share	$	9.31	$	9.31
Class Y shares:
Net assets	$	273,335,161	$	28,549,552
Shares of beneficial interest		29,284,990		3,059,543
Net asset value, offering and redemption price per share	$	9.33	$	9.33

See accompanying notes to financial statements.

|  68

Consolidated* Statements of Operations

For the Year Ended December 31, 2011

	ASG Diversifying Strategies Fund			ASG Global Alternatives Fund			ASG Managed Futures Strategy Fund
INVESTMENT INCOME
Interest	$	874,066		$	2,872,440		$	1,052,801
Expenses
Management fees (Note 6)		4,288,281			12,111,408			5,434,646
Service and distribution fees (Note 6)		492,653			1,533,736			797,273
Administrative fees (Note 6)		227,801			550,658			289,322
Trustees’ and directors’ fees and expenses (Note 6)		34,043			45,510			35,251
Transfer agent fees and expenses (Note 6)		351,358			1,040,420			507,970
Audit and tax services fees		69,405			69,402			63,484
Custodian fees and expenses		70,668			53,276			61,250
Interest expense (Note 9)		67,036			102,082			54,730
Legal fees		6,784			17,343			7,560
Registration fees		133,538			255,473			172,760
Shareholder reporting expenses		46,471			115,851			58,229
Miscellaneous expenses		18,867			43,489			19,833
Total expenses		5,806,905			15,938,648			7,502,308
Less waiver and/or expense reimbursement (Note 6)		(272,811	)		(85,091	)		(346,116	)
Net expenses		5,534,094			15,853,557			7,156,192
Net investment loss		(4,660,028	)		(12,981,117	)		(6,103,391	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		3,132			13,159			7,411
Futures contracts		2,419,341			(47,646,242	)		7,103,437
Foreign currency transactions		(13,941,960	)		14,908,061			(21,449,535	)
Net change in unrealized appreciation (depreciation) on:
Investments		(8,525	)		(17,831	)		(6,450	)
Futures contracts		883,961			(4,645,755	)		11,807,744
Foreign currency translations		1,299,046			946,450			226,753
Net realized and unrealized loss on investments, futures contracts and foreign currency transactions		(9,345,005	)		(36,442,158	)		(2,310,640	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(14,005,033	)	$	(49,423,275	)	$	(8,414,031	)

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

See accompanying notes to financial statements.

69  |

	Loomis Sayles Absolute Strategies Fund			Loomis Sayles Multi-Asset Real Return Fund
INVESTMENT INCOME
Interest	$	20,652,854		$	1,406,887
Dividends		1,081,566			284,593
Less net foreign taxes withheld		(121,454	)		(1,599	)
		21,612,966			1,689,881
Expenses
Management fees (Note 6)		3,228,585			373,581
Service and distribution fees (Note 6)		1,121,285			7,671
Administrative fees (Note 6)		105,630			153,010
Trustees’ fees and expenses (Note 6)		23,618			29,388
Transfer agent fees and expenses (Note 6)		290,162			9,297
Audit and tax services fees		54,919			76,972
Custodian fees and expenses		156,331			125,895
Legal fees		6,777			4,685
Registration fees		211,449			68,949
Shareholder reporting expenses		39,040			4,877
Miscellaneous expenses		19,653			13,175
Total expenses		5,257,449			867,500
Fee/expense recovery (Note 6)		1,565			—
Less waiver and/or expense reimbursement (Note 6)		—			(311,912	)
Net expenses		5,259,014			555,588
Net investment income		16,353,952			1,134,293
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(9,572,113	)		(4,223,358	)
Futures contracts		(6,508,725	)		(1,123,922	)
Options written		(950,975	)		(148,343	)
Swap agreements		3,359,524			15,023
Foreign currency transactions		1,608,619			(168,581	)
Net change in unrealized appreciation (depreciation) on:
Investments		(34,349,512	)		(278,798	)
Futures contracts		(24,963	)		(174,563	)
Options written		292,448			(37,864	)
Swap agreements		(4,090,735	)		44,846
Foreign currency translations		228,150			87,825
Net realized and unrealized loss on investments, futures contracts, options written, swap agreements and foreign currency transactions		(50,008,282	)		(6,007,735	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(33,654,330	)	$	(4,873,442	)

See accompanying notes to financial statements.

|  70

Consolidated* Statements of Changes in Net Assets

	ASG Diversifying Strategies Fund						ASG Global Alternatives Fund
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(4,660,028	)	$	(1,154,824	)	$	(12,981,117	)	$	(4,956,445	)
Net realized gain (loss) on investments, futures contracts, options written, swap agreements and foreign currency transactions		(11,519,487	)		(1,557,542	)		(32,725,022	)		28,594,085
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations		2,174,482			1,521,452			(3,717,136	)		9,310,778
Net increase (decrease) in net assets resulting from operations		(14,005,033	)		(1,190,914	)		(49,423,275	)		32,948,418
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(5,486,684	)		(835,421	)		—			(1,247	)
Class C		(873,499	)		(260,881	)		—			(405	)
Class Y		(10,578,441	)		(2,409,388	)		—			(1,590	)
Net realized capital gains
Class A		—			(2,259,801	)		(1,381,664	)		(8,146,057	)
Class C		—			(764,976	)		(473,432	)		(2,692,430	)
Class Y		—			(6,309,043	)		(2,791,215	)		(13,799,395	)
Total distributions		(16,938,624	)		(12,839,510	)		(4,646,311	)		(24,641,124	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		180,241,158			246,650,678			884,494,560			388,954,360
Net increase in net assets		149,297,501			232,620,254			830,424,974			397,261,654
NET ASSETS
Beginning of the year		255,187,082			22,566,828			614,380,166			217,118,512
End of the year	$	404,484,583		$	255,187,082		$	1,444,805,140		$	614,380,166
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(264,580	)	$	40,524		$	(36,398	)	$	(25,524	)

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

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

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

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

See accompanying notes to financial statements.

71  |

ASG Managed Futures Strategy Fund						Loomis Sayles Absolute Strategies Fund						Loomis Sayles Multi-Asset Real Return Fund
Year Ended December 31, 2011			Period Ended December 31, 2010(a)			Year Ended December 31, 2011			Period Ended December 31, 2010(b)			Year Ended December 31, 2011			Period Ended December 31, 2010(c)
$	(6,103,391	)	$	(209,592	)	$	16,353,952		$	891		$	1,134,293		$	148,815
	(14,338,687	)		3,577,234			(12,063,670	)		33,232			(5,649,181	)		181,393
	12,028,047			412,465			(37,944,612	)		122,959			(358,554	)		218,885
	(8,414,031)			3,780,107			(33,654,330	)		157,082			(4,873,442	)		549,093
	(8,685,193	)		(197,385	)		(5,468,723	)		(172	)		(35,796	)		(8,526	)
	(653,347	)		(70,810	)		(2,160,343	)		(16	)		(1,313	)		(94	)
	(12,265,887	)		(1,531,141	)		(9,427,065	)		(3,127	)		(645,390	)		(219,897	)
	—			(230,244	)		(3,236	)		—			(7,538	)		—
	—			(85,058	)		(1,305	)		—			(358	)		—
	—			(1,758,520	)		(3,755	)		—			(108,932	)		—
	(21,604,427	)		(3,873,158	)		(17,064,427	)		(3,315	)		(799,327	)		(228,517	)
	718,450,937			58,763,359			502,327,855			29,632,407			7,513,031			28,359,044
	688,432,479			58,670,308			451,609,098			29,786,174			1,840,262			28,679,620
	58,670,308			—			29,786,174			—			28,679,620			—
$	747,102,787		$	58,670,308		$	481,395,272		$	29,786,174		$	30,519,882		$	28,679,620
$	4,468,427		$	(9,477	)	$	835,620		$	19,810		$	(277,032	)	$	38,161

See accompanying notes to financial statements.

|  72

Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income(b)			Distributions from net realized capital gains			Total distributions
ASG DIVERSIFYING STRATEGIES FUND
Class A
12/31/2011	$	10.45	$	(0.15	)	$	(0.14	)	$	(0.29	)	$	(0.41	)	$	—		$	(0.41	)
12/31/2010		10.19		(0.16	)		1.02	(h)		0.86			(0.15	)		(0.45	)		(0.60	)
12/31/2009(i)		10.00		(0.07	)		0.80			0.73			(0.10	)		(0.44	)		(0.54	)
Class C
12/31/2011		10.34		(0.23	)		(0.12	)		(0.35	)		(0.34	)		—			(0.34	)
12/31/2010		10.16		(0.24	)		1.01	(h)		0.77			(0.14	)		(0.45	)		(0.59	)
12/31/2009(i)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
12/31/2011		10.46		(0.13	)		(0.13	)		(0.26	)		(0.43	)		—			(0.43	)
12/31/2010		10.19		(0.13	)		1.01	(h)		0.88			(0.16	)		(0.45	)		(0.61	)
12/31/2009(i)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)
ASG GLOBAL ALTERNATIVES FUND
Class A
12/31/2011	$	10.67	$	(0.14	)	$	(0.21	)	$	(0.35	)	$	—		$	(0.06	)	$	(0.06	)
12/31/2010		10.39		(0.14	)		0.86			0.72			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.69		(0.14	)		1.01			0.87			(0.12	)		(0.05	)		(0.17	)
12/31/2008(j)		10.00		0.03			(0.30	)		(0.27	)		(0.04	)		—			(0.04	)
Class C
12/31/2011		10.53		(0.22	)		(0.20	)		(0.42	)		—			(0.06	)		(0.06	)
12/31/2010		10.33		(0.21	)		0.85			0.64			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
12/31/2008(j)		10.00		0.02			(0.31	)		(0.29	)		(0.01	)		—			(0.01	)
Class Y*
12/31/2011		10.72		(0.12	)		(0.20	)		(0.32	)		—			(0.06	)		(0.06	)
12/31/2010		10.41		(0.11	)		0.86			0.75			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)
12/31/2008(j)		10.00		0.04			(0.30	)		(0.26	)		(0.04	)		—			(0.04	)

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

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

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

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

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

See accompanying notes to financial statements.

73  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%)(c)(d)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%)(e)(f)		Gross expenses, excluding interest expense (%)(f)		Net expenses including interest expense (%)(e)(f)		Gross expenses including interest expense (%)(f)		Net investment income (loss) (%)(f)			Portfolio turnover rate(%)(g)
$	9.75		(2.75	)	$	134,758		1.70		1.78		1.72		1.80		(1.46	)		—
	10.45		8.46			61,411		1.70		2.02		1.74		2.05		(1.45	)		—
	10.19		7.26			2,887		1.70		4.87		1.71		4.88		(1.48	)		—
	9.65		(3.43	)		26,032		2.45		2.53		2.47		2.55		(2.21	)		—
	10.34		7.58			20,742		2.45		2.68		2.49		2.72		(2.20	)		—
	10.16		6.90			131		2.45		5.75		2.47		5.76		(2.23	)		—
	9.77		(2.48	)		243,695		1.45		1.53		1.47		1.55		(1.21	)		—
	10.46		8.63			173,034		1.45		1.91		1.49		1.94		(1.21	)		—
	10.19		7.29			19,549		1.45		5.09		1.47		5.11		(1.22	)		—
$	10.26		(3.29	)	$	280,353		1.60		1.60		1.61		1.61		(1.34	)		—
	10.67		6.94			204,313		1.60		1.66		1.61		1.67		(1.28	)		—
	10.39		8.95			82,160		1.60		1.92		1.61		1.92		(1.33	)		—
	9.69		(2.73	)		6		1.60		61.52		1.62		61.54		1.36			—
	10.05		(4.00	)		92,540		2.35		2.35		2.36		2.36		(2.09	)		—
	10.53		6.21			66,832		2.35		2.42		2.36		2.42		(2.03	)		—
	10.33		8.09			22,367		2.35		2.64		2.36		2.65		(2.08	)		—
	9.70		(2.88	)		1		2.35		62.35		2.39		62.38		0.62			—
	10.34		(3.00	)		1,071,912		1.35		1.36		1.36		1.37		(1.09	)		—
	10.72		7.22			343,236		1.35		1.41		1.36		1.42		(1.03	)		—
	10.41		9.10			112,591		1.35		1.98		1.36		2.00		(0.90	)		—
	9.70		(2.60	)		24,523		1.35		4.43		1.39		4.46		1.59			—

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

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

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

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

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

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

See accompanying notes to financial statements.

|  74

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
ASG MANAGED FUTURES STRATEGY FUND
Class A
12/31/2011	$	10.61	$	(0.16	)	$	0.19	(g)	$	0.03		$	(0.30	)	$	—		$	(0.30	)
12/31/2010(h)		10.00		(0.07	)		1.41			1.34			(0.33	)		(0.40	)		(0.73	)
Class C
12/31/2011		10.58		(0.24	)		0.19	(g)		(0.05	)		(0.28	)		—			(0.28	)
12/31/2010(h)		10.00		(0.10	)		1.40			1.30			(0.32	)		(0.40	)		(0.72	)
Class Y
12/31/2011		10.60		(0.13	)		0.19	(g)		0.06			(0.32	)		—			(0.32	)
12/31/2010(h)		10.00		(0.06	)		1.40			1.34			(0.34	)		(0.40	)		(0.74	)

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

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

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

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

See accompanying notes to financial statements.

75  |

							Ratio to Average Net Assets:
Net asset value, end of the period		Total return (%)(b)(c)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%)(d)(e)		Gross expenses, excluding interest expense (%)(e)		Net expenses including interest expense (%)(d)(e)		Gross expenses including interest expense (%)(e)		Net investment loss (%)(e)			Portfolio turnover rate(%)(f)
$	10.34		0.25		$	312,098		1.70		1.76		1.71		1.78		(1.47	)		—
	10.61		13.44			6,511		1.70		2.75		1.73		2.78		(1.43	)		—
	10.25		(0.51	)		24,838		2.45		2.54		2.46		2.56		(2.22	)		—
	10.58		13.04			2,357		2.45		3.29		2.47		3.31		(2.17	)		—
	10.34		0.57			410,166		1.45		1.56		1.46		1.57		(1.22	)		—
	10.60		13.39			49,803		1.45		2.65		1.48		2.68		(1.20	)		—

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

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

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

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

See accompanying notes to financial statements.

|  76

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)(b)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income(b)			Distributions from net realized capital gains(b)			Total distributions(b)
LOOMIS SAYLES ABSOLUTE STRATEGIES FUND
Class A
12/31/2011	$	10.06	$	0.34	$	(0.75	)	$	(0.41	)	$	(0.31	)	$	(0.00	)	$	(0.31	)
12/31/2010(h)		10.00		0.00		0.06			0.06			(0.00	)		—			(0.00	)
Class C
12/31/2011		10.05		0.28		(0.77	)		(0.49	)		(0.25	)		(0.00	)		(0.25	)
12/31/2010(h)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
Class Y
12/31/2011		10.05		0.37		(0.75	)		(0.38	)		(0.34	)		(0.00	)		(0.34	)
12/31/2010(h)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Class A
12/31/2011	$	10.13	$	0.20	$	(0.78	)	$	(0.58	)	$	(0.18	)	$	(0.03	)	$	(0.21	)
12/31/2010(i)		10.00		0.07		0.14			0.21			(0.08	)		—			(0.08	)
Class C
12/31/2011		10.11		0.13		(0.78	)		(0.65	)		(0.12	)		(0.03	)		(0.15	)
12/31/2010(i)		10.00		0.05		0.14			0.19			(0.08	)		—			(0.08	)
Class Y
12/31/2011		10.13		0.23		(0.78	)		(0.55	)		(0.22	)		(0.03	)		(0.25	)
12/31/2010(i)		10.00		0.06		0.15			0.21			(0.08	)		—			(0.08	)

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

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

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

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

See accompanying notes to financial statements.

77  |

						Ratios to Average Net Assets:
Net asset value, end of the period	Total return (%)(c)(d)			Net assets, end of the period (000’s)		Net expenses (%)(e)(f)			Gross expenses (%)(f)			Net investment income (%)(f)		Portfolio turnover rate(%)
$9.34		(3.90	)	$	130,662		1.15	(g)		1.15	(g)		3.50		141
10.06		0.41			2,465		1.30			6.98			0.86		39
9.31		(4.69	)		77,398		1.89	(g)		1.89	(g)		2.82		141
10.05		0.31			563		2.05			8.68			0.24		39
9.33		(3.78	)		273,335		0.90	(g)		0.90	(g)		3.81		141
10.05		0.41			26,758		1.05			5.37			0.06		39
$9.34		(5.76	)	$	1,871		1.35			2.04			2.02		732
10.13		2.10			1,139		1.35			2.91			2.82		139
9.31		(6.44	)		99		2.10			2.65			1.30		732
10.11		1.88			12		2.10			3.90			1.86		139
9.33		(5.52	)		28,550		1.10			1.72			2.29		732
10.13		2.12			27,528		1.10			2.98			2.25		139

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

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

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

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

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

See accompanying notes to financial statements.

|  78

Notes to Financial Statements

December 31, 2011

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

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

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

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

Loomis Sayles Absolute Strategies Fund

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

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

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

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

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

79  |

Notes to Financial Statements (continued)

December 31, 2011

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

As of December 31, 2011, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Commencement Date of Subsidiary		Investment in Subsidiary		Percentage of Net Assets
Diversifying Strategies Fund		August 3, 2009	$	13,174,177		3.3	%
Global Alternatives Fund		January 29, 2009		52,578,544		3.6	%
Managed Futures Strategy Fund		July 30, 2010		30,003,070		4.0	%
Multi-Asset Real Return Fund		October 1, 2010		5,731,715		18.8	%

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

a.  Consolidation.  The accompanying financial statements of each Fund, except Loomis Sayles Absolute Strategies Fund, present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and 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 Funds by a pricing

|  80

Notes to Financial Statements (continued)

December 31, 2011

service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by a pricing service, if available. Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. 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. Credit default swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Commodity index total return swaps are priced based on the closing price of the reference asset that is supplied by a pricing service, if available, or quotations from a broker-dealer. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Other exchange-traded options are valued at the average of the closing bid and ask quotations. Options on futures contracts are valued using the current settlement price. Currency options are priced at the mid price (between the ask price and the bid price) supplied by a pricing service, if available. Over-the-counter options contracts (including currency options not priced through a pricing service) are valued based on quotations obtained from broker-dealers. These quotations will be either the bid for a long transaction or the ask for a short transaction. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

c.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on

81  |

Notes to Financial Statements (continued)

December 31, 2011

trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

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

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

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

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ 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 reflected in the Funds’ Consolidated Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as

|  82

Notes to Financial Statements (continued)

December 31, 2011

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

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

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

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

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

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

83  |

Notes to Financial Statements (continued)

December 31, 2011

current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

h.  Swap Agreements.  The Funds may enter into credit default and total return swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

|  84

Notes to Financial Statements (continued)

December 31, 2011

A total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return of an underlying asset for, typically, fixed or floating interest payments. When a fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may receive the change in value in addition to the interest payment. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying asset increases and receives payments from the other party if the value of the underlying asset decreases.

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

Swap agreements are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.

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

85  |

Notes to Financial Statements (continued)

December 31, 2011

j.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, net operating losses, partnership basis adjustments, non-deductible expenses, dividend redesignations, contingent payment debt instruments, foreign currency transactions, Subsidiary income, distributions in excess of current earnings and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, contingent payment debt instruments, unrealized

|  86

Notes to Financial Statements (continued)

December 31, 2011

gain/loss on open swap agreements, futures and forward contracts mark to market, partnership passive losses, premium amortization and Subsidiary and partnership basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2011 and December 31, 2010 was as follows:

	2011 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Diversifying Strategies Fund	$	16,938,624	$	—	$	16,938,624
Global Alternatives Fund		1,778,959		2,867,352		4,646,311
Managed Futures Strategy Fund		21,604,427		—		21,604,427
Loomis Sayles Absolute Strategies Fund		17,061,729		2,698		17,064,427
Multi-Asset Real Return Fund		770,217		29,110		799,327

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

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

87  |

Notes to Financial Statements (continued)

December 31, 2011

As of December 31, 2011, the components of distributable earnings on a tax basis were as follows:

	Diversifying Strategies Fund			Global Alternatives Fund			Managed Futures Strategy Fund			Loomis Sayles Absolute Strategies Fund			Multi-Asset Real Return Fund
Undistributed ordinary income	$	—		$	—		$	4,481,291		$	1,300,423		$	—
Total undistributed earnings		—			—			4,481,291			1,300,423			—
Capital loss carryforward:
Short-term:
No expiration date		(28,581,031	)		(27,842,043	)		(20,422,668	)		(8,718,642	)		(4,196,341	)
Long-term:
No expiration date		(2,127,278	)		—			(2,784,731	)		(3,652,873	)		—
Total capital loss carryforward		(30,708,309	)		(27,842,043	)		(23,207,399	)		(12,371,515	)		(4,196,341	)
Late year ordinary loss deferral		(241,342	)		—			—			—			(215,468	)
Unrealized depreciation		(14,321,500	)		(16,214,695	)		(11,362,796	)		(39,375,510	)		(945,061	)
Total accumulated losses	$	(45,271,151	)	$	(44,056,738	)	$	(30,088,904	)	$	(50,446,602	)	$	(5,356,870	)

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Additionally, capital losses realized in taxable years beginning after the effective date of the Act are carried over in the character (short-term or long-term) realized. Rules in effect previously treated all capital loss carryforwards as short-term.

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

|  88

Notes to Financial Statements (continued)

December 31, 2011

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

For the year ended December 31, 2011, neither of the Funds had loaned securities under this agreement.

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

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

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

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

• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no

89  |

Notes to Financial Statements (continued)

December 31, 2011

market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2011, at value:

Diversifying Strategies Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	373,590,565	$	—	$	373,590,565
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,781,647		—		2,781,647
Futures Contracts (unrealized appreciation)		5,925,158		—		—		5,925,158
Total	$	5,925,158	$	376,372,212	$	—	$	382,297,370

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,818,986	)	$	—	$	(1,818,986	)
Futures Contracts (unrealized depreciation)		(3,245,624	)		—			—		(3,245,624	)
Total	$	(3,245,624	)	$	(1,818,986	)	$	—	$	(5,064,610	)

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

|  90

Notes to Financial Statements (continued)

December 31, 2011

Global Alternatives Fund

Asset Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	1,358,003,160		$	—	$	1,358,003,160
Forward Foreign Currency Contracts (unrealized appreciation)		—			4,078,858			—		4,078,858
Futures Contracts (unrealized appreciation)		8,205,377			—			—		8,205,377
Total	$	8,205,377		$	1,362,082,018		$	—	$	1,370,287,395
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(808,384	)	$	—	$	(808,384	)
Futures Contracts (unrealized depreciation)		(6,008,702	)		—			—		(6,008,702	)
Total	$	(6,008,702	)	$	(808,384	)	$	—	$	(6,817,086	)

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

Managed Futures Strategy Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	655,120,499	$	—	$	655,120,499
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,021,983		—		2,021,983
Futures Contracts (unrealized appreciation)		17,635,659						17,635,659
Total	$	17,635,659	$	657,142,482	$	—	$	674,778,141

91  |

Notes to Financial Statements (continued)

December 31, 2011

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,095,212	)	$	—	$	(2,095,212	)
Futures Contracts (unrealized depreciation)		(5,115,881	)							(5,115,881	)
Total	$	(5,115,881	)	$	(2,095,212	)	$	—	$	(7,211,093	)

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

Loomis Sayles Absolute Strategies Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	48,350,628	$	11,102,109	$	59,452,737
All Other Non-Convertible Bonds(a)		—		267,410,724		—		267,410,724
Total Non-Convertible Bonds		—		315,761,352		11,102,109		326,863,461
Convertible Bonds(a)		—		16,766,400		—		16,766,400
Municipals(a)		—		983,668		—		983,668
Total Bonds and Notes		—		333,511,420		11,102,109		344,613,529
Senior Loans(a)		—		26,376,804		—		26,376,804
Preferred Stocks
Convertible Preferred Stocks(a)		11,898,440		—		—		11,898,440
Non-Convertible Preferred Stocks(a)		2,779,500		2,706,085		—		5,485,585
Total Preferred Stocks		14,677,940		2,706,085		—		17,384,025
Common Stocks(a)		14,033,839		—		—		14,033,839
Purchased Options(a)				1,262,976				1,262,976
Short-Term Investments		—		80,956,759		—		80,956,759
Total Investments		28,711,779		444,814,044		11,102,109		484,627,932
Credit Default Swap Agreements (unrealized appreciation)		—		273,976		—		273,976
Forward Foreign Currency Contracts (unrealized appreciation)		—		890,919		—		890,919
Total	$	28,711,779	$	445,978,939	$	11,102,109	$	485,792,827

|  92

Notes to Financial Statements (continued)

December 31, 2011

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	—		$	(456,482	)	$	—	$	(456,482	)
Credit Default Swap Agreements (unrealized depreciation)		—			(4,309,456	)		—		(4,309,456	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(546,167	)		—		(546,167	)
Futures Contracts (unrealized depreciation)		(28,313	)		—			—		(28,313	)
Total	$	(28,313	)	$	(5,312,105	)	$	—	$	(5,340,418	)

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

Multi-Asset Real Return Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	11,783,125	$	—	$	11,783,125
Senior Loans(a)		—		892,504		—		892,504
Common Stocks(a)		3,973,952		—		—		3,973,952
Preferred Stocks(a)		603,750		—		—		603,750
Exchange Traded Funds		1,096,880		—		—		1,096,880
Purchased Options(a)		—		373,763		29,702		403,465
Short-Term Investments		—		10,079,861		—		10,079,861
Total Investments		5,674,582		23,129,253		29,702		28,833,537
Credit Default Swap Agreements (unrealized appreciation)		—		19,663		—		19,663
Forward Foreign Currency Contracts (unrealized appreciation)		—		123,890		—		123,890
Futures Contracts (unrealized appreciation)		163,798		—		—		163,798
Total Return Swap Agreements		—		—		—		—
Total	$	5,838,380	$	23,272,806	$	29,702	$	29,140,888

93  |

Notes to Financial Statements (continued)

December 31, 2011

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3			Total
Written Options(a)	$	—		$	(131,866	)	$	(6,044	)	$	(137,910	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(71,991	)		—			(71,991	)
Futures Contracts (unrealized depreciation)		(218,352	)		—			—			(218,352	)
Total	$	(218,352	)	$	(203,857	)	$	(6,044	)	$	(428,253	)

(a) Details of the major categories of the Fund’s investments are reflected within the Consolidated 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 December 31, 2011:

Loomis Sayles Absolute Strategies Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds Treasuries	$	—	$	49,292	$	—	$	(2,641,209	)	$	13,694,026
Investments in Securities	Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2011			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds Treasuries	$	—	$	—	$	—	$	11,102,109		$	(2,641,209	)

|  94

Notes to Financial Statements (continued)

December 31, 2011

Multi-Asset Real Return Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2010			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Purchased Options	$	9,180		$	—	$	(32,819	)	$	23,419	$	33,765
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Purchased Options	$	(3,843	)	$	—	$	—		$	29,702	$	(4,063	)

Liability Valuation Inputs

Investments in Securities	Balance as of December 31, 2010			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Options Closed
Written Options	$	—		$	—	$	—	$	121		$	—
Investments in Securities	Options Written			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2011			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Written Options	$	(6,165	)	$	—	$	—	$	(6,044	)	$	121

In May, 2011, Accounting Standard Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used,

95  |

Notes to Financial Statements (continued)

December 31, 2011

b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of March 31, 2012 for the Funds, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Funds’ financial statements.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that certain Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements (including credit default and total return swaps).

Diversifying Strategies Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the year ended December 31, 2011, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk 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 year ended December 31, 2011, the Fund used long contracts on U.S. and foreign equity market indices, U.S. government bonds, and short-term interest rates, and long and short contracts on foreign government bonds, commodities (through investments in the Subsidiary), and foreign currencies.

|  96

Notes to Financial Statements (continued)

December 31, 2011

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the year ended December 31, 2011, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.

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

Multi-Asset Real Return Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts and swap agreements. During the year ended December 31, 2011, the Fund used forward foreign currency, futures and options contracts, credit default swap agreements (as a protection seller) and total return swaps to gain investment exposures in accordance with its objective.

The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. During the year ended December 31, 2011, Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in forward foreign currency transactions for hedging purposes.

The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund may use credit

97  |

Notes to Financial Statements (continued)

December 31, 2011

default swaps, as a protection buyer, to hedge their credit exposure to issuers of bonds they hold without having to sell the bonds. During the year ended December 31, 2011, Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.

Certain Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Funds may also write put options to offset the cost of options used for hedging purposes. During the year ended December 31, 2011, Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in option transactions for hedging purposes.

Certain Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund may use futures contracts to hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the year ended December 31, 2011, Loomis Sayles Absolute Strategies Fund and Multi-Asset Real Return Fund engaged in futures contracts for hedging purposes and to manage duration.

Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. 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 December 31, 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:

Fund	Counterparty	Derivatives			Collateral Pledged
Managed Futures Strategy Fund	UBS AG	$	(73,229	)	$	13,836,993
Loomis Sayles Absolute Strategies Fund	Bank of America		(2,350,214	)		2,383,909
	Citigroup		(368,977	)		270,990
	Deutsche Bank		(1,816,489	)		1,836,930
	Morgan Stanley		(3,760,742	)		3,974,849
	UBS AG		(1,090,112	)		1,133,957
Multi-Asset Real Return Fund	Morgan Stanley		(134,215	)		59,998
	UBS AG		(109,709	)		—

|  98

Notes to Financial Statements (continued)

December 31, 2011

Forward foreign currency contracts, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. The maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting arrangements are as follows as of December 31, 2011:

Fund	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Diversifying Strategies Fund	$	2,781,647	$	962,661
Global Alternatives Fund		4,078,858		3,270,474
Managed Futures Strategy Fund		2,021,983		—
Loomis Sayles Absolute Strategies Fund		2,257,208		1,105,175
Multi-Asset Real Return Fund		666,938		351,058

These amounts do not take into account the value of collateral received by the Funds which is as follows:

Fund	Collateral Received
Loomis Sayles Absolute Strategies Fund	$	1,480,153
Multi-Asset Real Return Fund		263,026

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In lieu of receiving cash collateral, Diversifying Strategies Fund and Global Alternatives Fund used net unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.

99  |

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Diversifying Strategies Fund as of December 31, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	2,781,647		$	—		$	—		$	—
Unrealized appreciation on futures contracts		—			441,518			4,664,495			819,145
Liabilities
Unrealized depreciation on forward foreign currency contracts		(1,818,986	)		—			—			—
Unrealized depreciation on futures contracts		—			(1,165,549	)		(163,865	)		(1,916,210	)

Transactions in derivative instruments for Diversifying Strategies Fund during the year ended December 31, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	(13,952,429	)	$	—		$	—	$	—
Futures contracts		—			(17,446,143	)		34,198,695		(14,333,211	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		1,302,997			—			—		—
Futures contracts		—			(94,475	)		4,531,986		(3,553,550	)

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

|  100

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	4,078,858		$	—		$	—		$	—
Unrealized appreciation on futures contracts		—			3,704,456			2,723,551			1,777,370
Liabilities
Unrealized depreciation on forward foreign currency contracts		(808,384	)		—			—			—
Unrealized depreciation on futures contracts		—			(441,601	)		(83,775	)		(5,483,326	)

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts		Equity Contracts			Interest Rate Contracts		Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	15,105,052	$	—		$	—	$	—
Futures contracts		—		(60,911,466	)		23,343,979		(10,078,755	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		946,201		—			—		—
Futures contracts		—		1,125,579			3,227,524		(8,998,858	)

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

101  |

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts			Commodity Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	2,021,983		$	—		$	—		$	—
Unrealized appreciation on futures contracts		—			1,270,741			13,480,306			2,884,612
Liabilities
Unrealized depreciation on forward foreign currency contracts		(2,095,212	)		—			—			—
Unrealized depreciation on futures contracts		—			(263,772	)		(451,754	)		(4,400,355	)

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Interest Rate Contracts		Commodity Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	(21,299,339	)	$	—		$	—	$	—
Futures contracts		—			(28,709,500	)		54,463,567		(18,650,630	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		231,757			—			—		—
Futures contracts		—			907,330			12,929,754		(2,029,340	)

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

|  102

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Loomis Sayles Absolute Strategies Fund as of December 31, 2011:

Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts
Assets
Investments at value*	$	1,262,976		$	—		$	—		$	—
Unrealized appreciation on forward foreign currency contracts		890,919			—			—			—
Unrealized appreciation on swap agreements		—			—			273,976			—
Liabilities
Options written, at value		(456,482	)		—			—			—
Unrealized depreciation on forward foreign currency contracts		(546,167	)		—			—			—
Unrealized depreciation on futures contracts**		—			(6,165	)		—			(22,148	)
Unrealized depreciation on swap agreements		—			—			(4,309,456	)		—

* Represents purchased options, at value.

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

103  |

Notes to Financial Statements (continued)

December 31, 2011

Transactions in derivative instruments for Loomis Sayles Absolute Strategies Fund during the year ended December 31, 2011 were as follows:

Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts			Interest Rate Contracts
Net Realized Gain (Loss) on:
Investments*	$	(194,218	)	$	1,060,668		$	—		$	(9,785	)
Foreign currency transactions**		1,970,661			—			—			—
Futures contracts		—			(1,188,852	)		—			(5,319,873	)
Swap agreements		—			—			3,359,524			—
Options written		—			(950,975	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments*		(386,334	)		—			—			—
Foreign currency translations**		364,711			—			—			—
Futures contracts		—			(9,462	)		—			(15,501	)
Swap agreements		—			—			(4,090,735	)		—
Options written		292,448			—			—			—

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

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

|  104

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of derivative instruments for Multi-Asset Real Return Fund as of December 31, 2011:

Consolidated Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts		Interest Rate Contracts			Commodity Contracts
Assets
Investments at value*	$	403,465		$	—		$	—	$	—		$	—
Unrealized appreciation on forward foreign currency contracts		123,890			—			—		—			—
Unrealized appreciation on futures contracts**		—			—			—		—			163,798
Unrealized appreciation on swap agreements		—			—			19,663		—			—
Liabilities
Options written, at value		(137,910	)		—			—		—			—
Unrealized depreciation on forward foreign currency contracts		(71,991	)		—			—		—			—
Unrealized depreciation on futures contracts**		—			(62,015	)		—		(1,689	)		(154,648	)

* Represents purchased options, at value.

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

105  |

Notes to Financial Statements (continued)

December 31, 2011

Transactions in derivative instruments for Multi-Asset Real Return Fund during the year ended December 31, 2011 were as follows:

Consolidated Statements of Operations Caption	Foreign Exchange Contracts			Equity Contracts			Credit Contracts		Interest Rate Contracts			Commodity Contracts
Net Realized Gain (Loss) on:
Investments*	$	(268,846	)	$	966,014		$	—	$	—		$	(84,083	)
Foreign currency transactions**		(95,994	)		—			—		—			—
Futures contracts		—			608,410			—		(1,247,099	)		(485,233	)
Options written		47,415			(238,127	)		—		—			42,369
Swap agreements		—			1,988			13,035		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments*		(8,920	)		114,440			—		—			—
Foreign currency translations**		90,080			—			—		—			—
Futures contracts		—			(62,015	)		—		(40,958	)		(71,590	)
Options written		53,636			(91,500	)		—		—			—
Swap agreements		—			—			44,846		—			—

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

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

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

|  106

Notes to Financial Statements (continued)

December 31, 2011

The volume of forwards, futures and swaps activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2011:

Diversifying Strategies Fund	Forwards			Futures
Average Notional Amount Outstanding		243.72	%		419.88	%
Highest Notional Amount Outstanding		671.73	%		610.80	%
Lowest Notional Amount Outstanding		94.20	%		302.08	%
Notional Amount Outstanding as of December 31, 2011		124.64	%		475.71	%

Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		34.59	%		117.01	%
Highest Notional Amount Outstanding		73.59	%		194.45	%
Lowest Notional Amount Outstanding		10.65	%		58.43	%
Notional Amount Outstanding as of December 31, 2011		33.97	%		76.01	%

Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		318.87	%		683.41	%
Highest Notional Amount Outstanding		719.10	%		992.90	%
Lowest Notional Amount Outstanding		70.49	%		387.94	%
Notional Amount Outstanding as of December 31, 2011		70.49	%		738.41	%

Loomis Sayles Absolute Strategies Fund	Forwards			Futures			Swaps
Average Notional Amount Outstanding		32.38	%		75.20	%		8.59	%
Highest Notional Amount Outstanding		92.02	%		182.13	%		23.13	%
Lowest Notional Amount Outstanding		9.24	%		1.31	%		0.46	%
Notional Amount Outstanding as of December 31, 2011		25.15	%		2.49	%		19.32	%

Multi-Asset Real Return Fund	Forwards			Futures			Swaps
Average Notional Amount Outstanding		93.45	%		74.65	%		15.26	%
Highest Notional Amount Outstanding		155.91	%		108.13	%		33.26	%
Lowest Notional Amount Outstanding		58.48	%		40.18	%		0.00	%
Notional Amount Outstanding as of December 31, 2011		58.48	%		44.81	%		33.26	%

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

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Consolidated Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Consolidated Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

107  |

Notes to Financial Statements (continued)

December 31, 2011

The volume of options activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2011:

Loomis Sayles Absolute Strategies Fund*	Call Options Purchased			Put Options Purchased			Call Options Written			Put Options Written
Average Market Value of Underlying Instruments		2.37	%		0.69	%		0.78	%		0.21	%
Highest Market Value of Underlying Instruments		5.68	%		3.23	%		4.70	%		1.96	%
Lowest Market Value of Underlying Instruments		0.00	%		0.00	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2011		5.47	%		0.00	%		4.70	%		0.00	%

Multi-Asset Real Return Fund*	Call Options Purchased			Put Options Purchased			Call Options Written			Put Options Written
Average Market Value of Underlying Instruments		11.03	%		9.01	%		3.84	%		4.92	%
Highest Market Value of Underlying Instruments		23.91	%		20.73	%		17.81	%		11.00	%
Lowest Market Value of Underlying Instruments		3.38	%		0.00	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2011		19.40	%		11.72	%		17.81	%		10.92	%

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

|  108

Notes to Financial Statements (continued)

December 31, 2011

The following is a summary of Loomis Sayles Absolute Strategies Fund’s written option activity (excluding foreign currency options):

	Number of Contracts			Premiums
Outstanding at December 31, 2010		—		$	—
Options written		962			214,914
Options terminated in closing purchase transactions		(962	)		(214,914	)
Options exercised		—			—
Options expired		—			—
Outstanding at December 31, 2011		—		$	—

The following is a summary of Loomis Sayles Absolute Strategies Fund’s foreign currency written option activity:

	Premiums
Outstanding at December 31, 2010	$	—
Options written		748,930
Options terminated in closing purchase transactions		—
Options exercised		—
Options expired		—
Outstanding at December 31, 2011	$	748,930

The following is a summary of Multi-Asset Real Return Fund’s written option activity (excluding foreign currency options):

	Number of Contracts			Premiums
Outstanding at December 31, 2010		400		$	150,100
Options written		—			—
Options terminated in closing purchase transactions		(5	)		(55,355	)
Options exercised		—			—
Options expired		(395	)		(94,745	)
Outstanding at December 31, 2011		—		$	—

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

	Premiums
Outstanding at December 31, 2010	$	—
Options written		956,669
Options terminated in closing purchase transactions		(765,123	)
Options exercised		—
Options expired		—
Outstanding at December 31, 2011	$	191,546

109  |

Notes to Financial Statements (continued)

December 31, 2011

5.  Purchases and Sales of Securities.  For the year ended December 31, 2011, purchases and proceeds from sales or maturities of short-term obligations were as follows:

Fund	Purchases		Sales/Maturities
Diversifying Strategies Fund	$	7,099,125,697	$	6,940,214,673
Global Alternatives Fund		20,918,507,365		20,129,414,758
Managed Futures Strategy Fund		12,038,438,416		11,436,485,518

For the year ended December 31, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

	U.S. Government/ Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Loomis Sayles Absolute Strategies Fund	$	—	$	—	$	922,291,448	$	489,672,739
Multi-Asset Real Return Fund		10,650,194		10,743,534		215,458,129		210,161,037

6.  Management Fees and Other Transactions with Affiliates.

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

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

|  110

Notes to Financial Statements (continued)

December 31, 2011

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

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

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

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

For the year ended December 31, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

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

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

111  |

Notes to Financial Statements (continued)

December 31, 2011

For the year ended December 31, 2011, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Diversifying Strategies Fund	$	4,288,281	$	272,811	$	4,015,470		1.25	%		1.17	%
Global Alternatives Fund		12,111,408		85,091		12,026,317		1.15	%		1.14	%
Managed Futures Strategy Fund		5,434,646		346,116		5,088,530		1.25	%		1.17	%
Loomis Sayles Absolute Strategies Fund		3,228,585		—		3,228,585		0.70	%		0.70	%
Multi-Asset Real Return Fund		373,581		311,912		61,669		0.75	%		0.12	%

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

For the year ended December 31, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A		Class C		Class Y		Total
Loomis Sayles Absolute Strategies Fund	$	612	$	233	$	720	$	1,565

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

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

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

Under the Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the

|  112

Notes to Financial Statements (continued)

December 31, 2011

Funds’ Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

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

For the year ended December 31, 2011, the Funds paid the following service and distribution fees:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Diversifying Strategies Fund	$	243,187	$	62,366	$	187,100
Global Alternatives Fund		661,901		217,959		653,876
Managed Futures Strategy Fund		690,707		26,641		79,925
Loomis Sayles Absolute Strategies Fund		411,309		177,494		532,482
Multi-Asset Real Return Fund		6,704		242		725

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

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

113  |

Notes to Financial Statements (continued)

December 31, 2011

For the year ended December 31, 2011, each Fund paid the following administrative fees to NGAM Advisors (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees
Diversifying Strategies Fund	$	158,861
Global Alternatives Fund		488,405
Managed Futures Strategy Fund		218,076
Loomis Sayles Absolute Strategies Fund		105,630
Multi-Asset Real Return Fund		78,877

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

For the year ended December 31, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations:

Fund	Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	274,300
Global Alternatives Fund		923,501
Managed Futures Strategy Fund		438,979
Loomis Sayles Absolute Strategies Fund		272,857
Multi-Asset Real Return Fund		5,639

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2011 were as follows:

Fund	Commissions
Diversifying Strategies Fund	$	145,518
Global Alternatives Fund		314,884
Managed Futures Strategy Fund		350,933
Loomis Sayles Absolute Strategies Fund		535,193
Multi-Asset Real Return Fund		734

|  114

Notes to Financial Statements (continued)

December 31, 2011

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

Effective January 1, 2012, the Chairperson of the Board receives a retainer fee at the annual rate of $265,000. The Chairperson does not receive any meeting attendance fees for the Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in aggregate, a retainer fee at the annual rate of $95,000. All other Trustee fees remain unchanged.

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

g.  Payments by Affiliates.  For the year ended December 31, 2011, AlphaSimplex voluntarily reimbursed Diversifying Strategies Fund $2,241 relating to a trade adjustment made by a broker executing a portfolio transaction.

115  |

Notes to Financial Statements (continued)

December 31, 2011

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 21, 2011, the commitment fee was 0.15% per annum.

For the year ended December 31, 2011, none of the Funds had borrowings under these agreements.

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

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

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

9.  Interest Expense.  Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the year ended December 31, 2011 is reflected on the Consolidated Statements of Operations.

10.  Concentration of Ownership.  From time to time, the Funds may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of December 31, 2011, Natixis US (and its affiliates) and Loomis Sayles each owned shares equating to 38.63% of Multi-Asset Real Return Fund’s net assets. Additionally, as of December 31, 2011, one shareholder owned more than 5% of Loomis Sayles Absolute Strategies Fund’s total outstanding shares, representing

|  116

Notes to Financial Statements (continued)

December 31, 2011

14.91% of the Fund’s net assets, based on accounts that represent more than 5% of an individual class of shares.

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

	Year Ended December 31, 2011					Year Ended December 31, 2010
Diversifying Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	12,268,438		$	128,467,458		6,868,047		$	76,325,925
Issued in connection with the reinvestment of distributions	490,004			4,778,350		269,796			2,819,124
Redeemed	(4,814,646	)		(50,046,266	)	(1,542,636	)		(16,842,718	)
Net change	7,943,796		$	83,199,542		5,595,207		$	62,302,331
Class C
Issued from the sale of shares	1,482,681		$	15,364,159		1,966,693		$	21,804,276
Issued in connection with the reinvestment of distributions	53,185			513,125		60,248			622,968
Redeemed	(843,625	)		(8,626,269	)	(34,556	)		(372,226	)
Net change	692,241		$	7,251,015		1,992,385		$	22,055,018
Class Y
Issued from the sale of shares	24,283,289		$	256,558,955		18,919,749		$	210,401,836
Issued in connection with the reinvestment of distributions	726,635			7,100,828		594,595			6,218,402
Redeemed	(16,608,106	)		(173,869,182	)	(4,894,148	)		(54,326,909	)
Net change	8,401,818		$	89,790,601		14,620,196		$	162,293,329
Increase (decrease) from capital share transactions	17,037,855		$	180,241,158		22,207,788		$	246,650,678

117  |

Notes to Financial Statements (continued)

December 31, 2011

11.  Capital Shares (continued).

	Year Ended December 31, 2011					Year Ended December 31, 2010
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	18,930,522		$	202,480,734		16,474,144		$	173,739,848
Issued in connection with the reinvestment of distributions	113,753			1,233,164		684,600			7,304,687
Redeemed	(10,876,025	)		(114,726,957	)	(5,921,122	)		(62,165,090	)
Net change	8,168,250		$	88,986,941		11,237,622		$	118,879,445
Class C
Issued from the sale of shares	4,655,200		$	49,166,732		4,616,546		$	48,071,695
Issued in connection with the reinvestment of distributions	23,940			255,455		137,136			1,444,059
Redeemed	(1,819,331	)		(18,798,077	)	(570,902	)		(5,944,306	)
Net change	2,859,809		$	30,624,110		4,182,780		$	43,571,448
Class Y
Issued from the sale of shares	94,621,473		$	1,007,278,821		30,671,718		$	324,891,330
Issued in connection with the reinvestment of distributions	172,490			1,880,156		796,278			8,536,092
Redeemed	(23,131,849	)		(244,275,468	)	(10,269,317	)		(106,923,955	)
Net change	71,662,114		$	764,883,509		21,198,679		$	226,503,467
Increase (decrease) from capital share transactions	82,690,173		$	884,494,560		36,619,081		$	388,954,360

	Year Ended December 31, 2011					Period Ended December 31, 2010*
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	51,347,993		$	551,929,224		684,094		$	7,510,763
Issued in connection with the reinvestment of distributions	775,375			8,017,306		23,882			253,386
Redeemed	(22,561,002	)		(242,938,414	)	(94,151	)		(1,065,967	)
Net change	29,562,366		$	317,008,116		613,825		$	6,698,182
Class C
Issued from the sale of shares	2,371,607		$	25,453,453		220,422		$	2,495,747
Issued in connection with the reinvestment of distributions	23,560			241,481		4,729			50,030
Redeemed	(194,536	)		(2,061,142	)	(2,321	)		(25,634	)
Net change	2,200,631		$	23,633,792		222,830		$	2,520,143
Class Y
Issued from the sale of shares	42,110,388		$	454,569,292		4,571,067		$	48,282,728
Issued in connection with the reinvestment of distributions	672,465			6,953,289		236,842			2,510,528
Redeemed	(7,808,584	)		(83,713,552	)	(111,252	)		(1,248,222	)
Net change	34,974,269		$	377,809,029		4,696,657		$	49,545,034
Increase (decrease) from capital share transactions	66,737,266		$	718,450,937		5,533,312		$	58,763,359

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

|  118

Notes to Financial Statements (continued)

December 31, 2011

11.  Capital Shares (continued).

	Year Ended December 31, 2011					Period Ended December 31, 2010*
Loomis Sayles Absolute Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	30,602,206		$	309,644,774		245,018		$	2,456,047
Issued in connection with the reinvestment of distributions	518,886			5,000,664		15			151
Redeemed	(17,377,149	)		(168,594,903	)	(1	)		(10	)
Net change	13,743,943		$	146,050,535		245,032		$	2,456,188
Class C
Issued from the sale of shares	10,712,134		$	108,281,778		56,025		$	561,320
Issued in connection with the reinvestment of distributions	152,413			1,454,718		1			14
Redeemed	(2,607,812	)		(24,979,006	)	—			—
Net change	8,256,735		$	84,757,490		56,026		$	561,334
Class Y
Issued from the sale of shares	42,674,035		$	427,908,877		2,660,897		$	26,611,782
Issued in connection with the reinvestment of distributions	592,079			5,679,301		309			3,103
Redeemed	(16,642,330	)		(162,068,348	)	—			—
Net change	26,623,784		$	271,519,830		2,661,206		$	26,614,885
Increase (decrease) from capital share transactions	48,624,462		$	502,327,855		2,962,264		$	29,632,407

* From commencement of operations on December 15, 2010 through December 31, 2010.

119  |

Notes to Financial Statements (continued)

December 31, 2011

11.  Capital Shares (continued).

	Year Ended December 31, 2011					Period Ended December 31, 2010*
Multi-Asset Real Return Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	299,653		$	3,033,094		144,843		$	1,463,375
Issued in connection with the reinvestment of distributions	4,381			41,489		778			7,886
Redeemed	(216,274	)		(2,117,308	)	(33,158	)		(335,249	)
Net change	87,760		$	957,275		112,463		$	1,136,012
Class C
Issued from the sale of shares	12,897		$	131,319		1,211		$	12,251
Issued in connection with the reinvestment of distributions	130			1,229		9			94
Redeemed	(3,577	)		(34,371	)	—			—
Net change	9,450		$	98,177		1,220		$	12,345
Class Y
Issued from the sale of shares	4,900,179		$	49,608,192		2,699,768		$	27,018,115
Issued in connection with the reinvestment of distributions	79,507			750,530		21,488			217,677
Redeemed	(4,638,918	)		(43,901,143	)	(2,481	)		(25,105	)
Net change	340,768		$	6,457,579		2,718,775		$	27,210,687
Increase (decrease) from capital share transactions	437,978		$	7,513,031		2,832,458		$	28,359,044

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

12.  Subsequent Event.  Effective January 1, 2012, the name of the Funds’ administrator changed from Natixis Asset Management Advisors, L.P. to NGAM Advisors, L.P. and the name of the Funds’ distributor changed from Natixis Distributors, L.P. to NGAM Distribution, L.P.

|  120

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Diversifying Strategies Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, Loomis Sayles Absolute Strategies Fund and Loomis Sayles Multi-Asset Real Return Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the ASG Diversifying Strategies Fund (consolidated), ASG Global Alternatives Fund (consolidated), ASG Managed Futures Strategy Fund (consolidated), Loomis Sayles Absolute Strategies Fund and Loomis Sayles Multi-Asset Real Return Fund (consolidated), each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2012

121  |

2011 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2011, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Absolute Strategies		3.64	%
Multi-Asset Real Return		9.96	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2011.

Fund	Amount
Global Alternatives		2,867,352
Loomis Sayles Absolute Strategies		2,698
Multi-Asset Real Return		29,110

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2011 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. These percentages are noted below:

Fund	Qualifying Percentage
Loomis Sayles Absolute Strategies		5.68	%
Multi-Asset Real Return		10.91	%

|  122

Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Graham T. Allison, Jr. (1940)	Trustee since 1995 Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on the Board and on the board of other business organizations (including a real estate investment trust); government experience (including as Assistant Secretary of Defense under President Clinton); academic experience
Charles D. Baker (1956)	Trustee from 2005 to 2009 and since 2011 Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health care organization)	44 None	Significant experience on the Board; executive experience (including president and chief executive officer of a health care organization and executive officer of a venture capital and growth equity firm)

123  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Daniel M. Cain (1945)	Trustee since 1996 Chairman of the Contract Review and Governance Committee	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee since 2008 Chairman of the Audit Committee	Retired	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

|  124

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Wendell J. Knox (1948)	Trustee since 2009 Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a commercial bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a consulting company)
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 1993 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

125  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee since 2009 Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee since 2009 Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee since 2005 Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

|  126

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee since 2003	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on the Board; continuing service as president, chairman, and chief executive officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company.	44 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.
John T. Hailer5 (1960)	Trustee since 2000	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

127  |

Trustee and Officer Information

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 72. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two year term as the Chairperson of the Board on November 18, 2011.

²  The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

³  Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴  Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P

⁵ Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

|  128

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust	Term of Office1 and Length of Time Served	Principal Occupation During Past 5 Years2
OFFICERS OF THE TRUST
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer, since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

129  |

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

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

	Audit fees				Audit-related fees1				Tax fees2				All other fees
		1/1/10 – 12/31/10		1/1/11- 12/31/11		1/1/10 – 12/31/10		1/1/11- 12/31/11		1/1/10 – 12/31/10		1/1/11- 12/31/11		1/1/10 – 12/31/10		1/1/11- 12/31/11
Natixis Funds Trust II	$	331,700	$	356,700	$	333	$	222	$	91,143	$	87,630	$	—	$	—

1. Audit-related fees consist of:

2010 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan and consulting services with respect to regulatory matters.

2011 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2. Tax fees consist of:

2010 – review of the Registrant’s tax returns, tax analysis of ownership changes, tax treatment of the ASG Global Alternatives and ASG Diversifying Strategies Funds’ wholly-owned subsidiary and consulting services related to new Massachusetts filing requirements.

2011 – review of the Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2010 and 2011 were $91,476 and $87,852, respectively.

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

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

	Audit-related fees				Tax fees				All other fees
		1/1/10 – 12/31/10		1/1/11- 12/31/11		1/1/10 – 12/31/10		1/1/11- 12/31/11		1/1/10 – 12/31/10		1/1/11- 12/31/11
Control Affiliates	$	12,000	$	—	$	—	$	—	$	—	$	—

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

	Aggregate Non-Audit Fees
		1/1/10 – 12/31/10		1/1/11- 12/31/11
Control Affiliates	$	253,873	$	145,070

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

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

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

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1)and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 23, 2012

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

By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 23, 2012
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 23, 2012