Natixis Funds Trust II

Total Investments – 100.9%

(Identified Cost $120,479,842)(a)

Other assets less liabilities – (0.9)%

(1,316,725

Net Assets – 100.0%

0001193125-12-251188.txt : 20120529 0001193125-12-251188.hdr.sgml : 20120529 20120529155901 ACCESSION NUMBER: 0001193125-12-251188 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120529 DATE AS OF CHANGE: 20120529 EFFECTIVENESS DATE: 20120529 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 12874290 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000008033 Harris Associates Large Cap Value Fund

C000021802 Class A NEFOX

C000021803 Class B NEGBX

C000021804 Class C NECOX

C000021805 Class Y NEOYX

0000052136 S000023548 ASG Global Alternatives Fund

C000069269 Class A GAFAX

C000069270 Class C GAFCX

C000069271 Class Y GAFYX

0000052136 S000023783 Vaughan Nelson Value Opportunity Fund

C000069913 Class A VNVAX

C000069914 Class C VNVCX

C000069915 Class Y VNVYX

0000052136 S000026209 ASG Diversifying Strategies Fund

C000078682 Class A DSFAX

C000078683 Class C DSFCX

C000078684 Class Y DSFYX

0000052136 S000029564 ASG Managed Futures Strategy Fund

C000090725 Class A AMFAX

C000090726 Class C ASFCX

C000090727 Class Y ASFYX

0000052136 S000030110 Loomis Sayles Multi-Asset Real Return Fund

C000092471 Class A MARAX

C000092472 Class C MARCX

C000092473 Class Y MARYX

0000052136 S000030600 Loomis Sayles Absolute Strategies Fund

C000094853 Class A LABAX

C000094854 Class C LABCX

C000094855 Class Y LASYX

N-Q 1 d338554dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

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: March 31, 2012

ITEM 1. SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 84.4% of Net Assets

		Certificates of Deposit – 59.3%
$	11,900,000	BNP Paribas, 0.120%, 4/02/2012	$	11,900,000
	7,000,000	Royal Bank of Scotland PLC, 0.400%, 4/02/2012		7,000,091
	14,000,000	ANZ Banking, 0.210%, 4/10/2012		14,000,434
	6,000,000	Standard Chartered Bank (NY), 0.270%, 4/10/2012		6,000,126
	16,000,000	Sumitomo Mitsui Bank (NY), 0.450%, 4/11/2012		16,001,392
	14,000,000	Bank of Montreal (IL), 0.150%, 4/12/2012		13,999,902
	3,000,000	Rabobank Nederland NV (NY), 0.570%, 4/20/2012		3,000,681
	5,900,000	Skandinaviska Enskilda Banken (NY), 0.460%, 4/27/2012		5,901,009
	14,000,000	Lloyds TSB Bank PLC (NY), 0.180%, 4/30/2012		14,000,000
	5,000,000	Westpac Banking Corp. (NY), 0.384%, 5/02/2012(b)(c)		5,000,335
	14,000,000	Mizuho Corporate Bank, 0.420%, 5/04/2012		14,002,170
	3,000,000	Skandinaviska Enskilda Banken (NY), 0.450%, 5/04/2012		3,000,274
	2,000,000	Skandinaviska Enskilda Banken (NY), 0.550%, 5/04/2012		2,000,388
	5,000,000	Barclays Bank PLC, 0.490%, 5/09/2012		5,001,445
	7,000,000	Royal Bank of Scotland PLC, 0.350%, 5/29/2012		7,000,000
	10,000,000	Barclays Bank PLC, 0.305%, 6/28/2012		10,000,130
	10,000,000	Deutsche Bank AG, 0.400%, 7/02/2012		9,998,700
	9,000,000	Standard Chartered Bank (NY), 0.540%, 7/13/2012		9,000,783
	6,000,000	Toronto Dominion Bank, 0.250%, 7/17/2012(b)		6,001,812
	10,000,000	Canadian Imperial Bank of Commerce (NY), 0.332%, 7/25/2012(b)(c)		10,000,050
	5,000,000	Toronto Dominion Bank, 0.200%, 8/06/2012(b)		5,000,715
	10,000,000	National Australia Bank, 0.342%, 8/16/2012(c)		9,998,900
	6,000,000	Canadian Imperial Bank of Commerce (NY), 0.387%, 8/24/2012(c)		6,000,018
	16,000,000	Svenska Handelsbanken (NY), 0.520%, 9/04/2012(b)		15,995,792
	10,000,000	Bank of Nova Scotia (TX), 0.320%, 9/21/2012		10,000,000

				219,805,147


Principal Amount		Description	Value (†)
		Financial Company Commercial Paper – 15.9%
$	7,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 4/02/2012(d)	$	6,999,762
	14,000,000	ING (US) Funding LLC, 0.180%, 4/09/2012(d)		13,999,440
	14,000,000	General Electric Capital Corp., 0.140%, 4/17/2012(d)		13,999,510
	10,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.520%, 4/27/2012(d)		9,995,750
	7,000,000	Nordea North America, Inc., 0.340%, 5/07/2012(b)(d)		6,998,439
	1,000,000	Nordea North America, Inc., 0.370%, 5/23/2012(d)		999,643
	6,000,000	Nordea North America, Inc., 0.260%, 5/29/2012(d)		5,997,498

				58,990,042

		Commercial Paper – 9.2%
	15,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.520%, 4/02/2012(d)		14,999,783
	11,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 4/12/2012(d)		10,998,824
	8,000,000	Grainger (WW), Inc., 0.100%, 4/16/2012(d)		7,999,667

				33,998,274

		Total Short-Term Investments (Identified Cost $312,790,938)		312,793,463

		Total Investments – 84.4% (Identified Cost $312,790,938)(a)		312,793,463
		Other assets less liabilities – 15.6%		57,679,044

		Net Assets – 100.0%	$	370,472,507

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2012, the value of the Fund’s investment in the Subsidiary was $21,405,052, representing 5.8% of the Fund’s net assets.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service is 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.

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

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

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

(a)	Federal Tax Information:

At March 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $312,790,938 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	11,675
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,150	)

Net unrealized appreciation	$	2,525

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

At December 31, 2011, the Fund had a short-term capital loss carryforward of $28,581,031 with no expiration date and a long-term capital loss carryforward of $2,127,278 with no expiration date. At December 31, 2011, late year ordinary loss deferrals were $241,342. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c)	Variable rate security. Rate as of March 31, 2012 is disclosed.

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

Forward Foreign Currency Contracts

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

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy		6/20/2012	Australian Dollar		163,900,000	$	168,319,936	$	(2,158,502	)
Sell		6/20/2012	Australian Dollar		101,200,000		103,929,088		991,352
Buy		6/20/2012	British Pound		47,562,500		76,036,522		(20,795	)


Sell	6/20/2012	British Pound	114,875,000	183,646,686		(3,169,862	)
Buy	6/20/2012	Canadian Dollar	74,100,000	74,167,928		(421,904	)
Sell	6/20/2012	Canadian Dollar	97,800,000	97,889,653		563,604
Sell	6/20/2012	Canadian Dollar	36,300,000	36,333,276		(63,815	)
Buy	6/20/2012	Euro	27,750,000	37,025,370		772,477
Sell	6/20/2012	Euro	53,750,000	71,715,807		(903,877	)
Buy	6/20/2012	Japanese Yen	5,262,500,000	63,624,564		(54,575	)
Sell	6/20/2012	Japanese Yen	2,337,500,000	28,260,792		37,019
Sell	6/20/2012	Japanese Yen	2,712,500,000	32,794,609		(362,774	)
Buy	6/20/2012	New Zealand Dollar	36,600,000	29,807,717		23,954
Buy	6/20/2012	New Zealand Dollar	166,800,000	135,845,003		(3,589	)
Sell	6/20/2012	New Zealand Dollar	78,400,000	63,850,409		216,189
Sell	6/20/2012	New Zealand Dollar	72,000,000	58,638,131		(624,419	)
Buy	6/20/2012	Norwegian Krone	370,000,000	64,777,576		513,537
Sell	6/20/2012	Norwegian Krone	534,000,000	93,489,799		(313,917	)
Buy	6/20/2012	Singapore Dollar	22,500,000	17,902,423		75,416
Sell	6/20/2012	Singapore Dollar	15,875,000	12,631,154		(88,499	)
Buy	6/20/2012	Swedish Krona	464,000,000	69,921,876		815,234
Sell	6/20/2012	Swedish Krona	762,000,000	114,828,598		(1,602,515	)
Buy	6/20/2012	Swiss Franc	86,500,000	95,914,175		1,820,452
Buy	6/20/2012	Swiss Franc	21,125,000	23,424,126		(1,895	)
Sell	6/20/2012	Swiss Franc	36,625,000	40,611,060		(433,104	)
Buy	6/20/2012	Turkish Lira	5,400,000	2,978,078		31,477

Total					$	(4,363,331	)

¹	Counterparty is UBS AG.

Futures Contracts

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

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

At March 31, 2012, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		4/20/2012		69	$	5,925,507	$	(118,713	)
E-mini Dow		6/15/2012		18		1,182,780		(2,250	)
E-mini NASDAQ 100		6/15/2012		15		825,225		(4,900	)
Euribor		9/17/2012		1,337		442,824,612		(111,797	)
Euro Schatz		6/07/2012		1,278		188,062,494		(7,669	)
EURO STOXX 50		6/15/2012		36		1,156,638		(23,046	)
Eurodollar		9/17/2012		1,382		343,807,050		32,063
FTSE JSE Top 40		6/21/2012		994		38,675,424		(1,152,171	)
FTSE MIB		6/15/2012		29		3,044,870		(78,321	)
German Euro BOBL		6/07/2012		249		41,215,841		47,413
German Euro Bund		6/07/2012		86		15,884,550		139,932
Hang Seng		4/27/2012		94		12,407,363		(89,575	)


IBEX 35		4/20/2012		72		7,607,689		(190,599	)
Mini-Russell 2000		6/15/2012		109		9,021,930		231,960
MSCI Taiwan		4/27/2012		203		5,730,690		(91,350	)
OMX 30		4/20/2012		562		9,066,092		28,991
S&P/TSE 60		6/14/2012		24		3,391,208		(5,293	)
SGX CNX Nifty		4/26/2012		2,350		25,041,600		295,755
Sterling		6/20/2012		547		108,326,902		(54,683	)
2 Year U.S. Treasury Note		6/29/2012		462		101,704,969		(50,531	)
3 Year Australia Government Bond		6/15/2012		216		23,987,227		15,379
5 Year U.S. Treasury Note		6/29/2012		144		17,645,625		(90,000	)
10 Year Canada Government Bond		6/20/2012		81		10,656,805		(21,054	)
10 Year Japan Government Bond		6/11/2012		3		5,147,155		3,262
10 Year U.S. Treasury Note		6/20/2012		1,042		134,922,719		(1,698,266	)
30 Year U.S. Treasury Bond		6/20/2012		19		2,617,250		(55,219	)

Total							$	(3,050,682	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/20/2012		22	$	1,167,100	$	(67,238	)
Brent Crude Oil		4/13/2012		107		13,148,160		157,290
Cocoa		5/15/2012		1		22,190		(590	)
Copper High Grade		5/29/2012		1		95,625		(1,162	)
Copper LME		6/20/2012		14		2,956,975		(47,624	)
Corn		5/14/2012		198		6,375,600		(6,175	)
Cotton		5/08/2012		4		187,040		9,440
Gas Oil		5/10/2012		171		17,335,125		(320,625	)
Gasoline		4/30/2012		84		11,670,977		(122,774	)
Gold		6/27/2012		63		10,532,970		80,010
Heating Oil		4/30/2012		98		13,048,132		(328,457	)
Light Sweet Crude Oil		4/20/2012		106		10,920,120		(447,320	)
Silver		5/29/2012		20		3,248,400		(201,500	)
Soybean		5/14/2012		197		13,819,550		1,192,800
Soybean Meal		5/14/2012		209		8,123,830		1,157,910
Soybean Oil		5/14/2012		455		15,042,300		346,104
Sugar		6/29/2012		93		2,481,091		14,582
Wheat		5/14/2012		94		3,105,525		(31,525	)
Zinc		6/20/2012		48		2,398,500		(27,000	)

Total							$	1,356,146

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX		6/21/2012		13	$	1,462,749	$	(15,486	)
CAC 40		4/20/2012		71		3,242,751		89,011
DAX		6/15/2012		94		21,817,126		136,337
E-mini S&P 500		6/15/2012		493		34,588,880		(1,386,562	)
FTSE 100		6/15/2012		122		11,180,496		276,122
MSCI Singapore		4/27/2012		4		219,561		255
Nikkei 225		6/08/2012		57		6,948,532		(380,826	)
TOPIX		6/08/2012		304		31,476,139		(1,395,675	)
UK Long Gilt		6/27/2012		286		52,383,432		(515,951	)
10 Year Australia Government Bond		6/15/2012		252		30,301,591		128,674

Total							$	(3,064,101	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/20/2012		28	$	1,485,400	$	35,945
Coffee		5/18/2012		1		68,419		431
KC Wheat		5/14/2012		28		976,500		(12,200	)
Live Cattle		6/29/2012		7		325,220		23,100
Natural Gas		4/26/2012		133		2,827,580		385,700
Nickel		6/20/2012		4		427,608		21,192
Zinc		6/20/2012		42		2,098,687		5,093

Total							$	459,261

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

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	312,793,463	$	—	$	312,793,463
Forward Foreign Currency Contracts (unrealized appreciation)		—		5,860,711		—		5,860,711
Futures Contracts (unrealized appreciation)		4,854,751		—		—		4,854,751

Total	$	4,854,751	$	318,654,174	$	—	$	323,508,925

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(10,224,042	)	$	—	$	(10,224,042	)
Futures Contracts (unrealized depreciation)		(9,154,127	)		—			—		(9,154,127	)

Total	$	(9,154,127	)	$	(10,224,042	)	$	—	$	(19,378,169	)

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

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

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended March 31, 2012, the Fund used long contracts on short-term interest rates and long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary), to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS	$	(4,363,331	)	$	19,006,974

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $5,860,711 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of March 31, 2012:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	5,860,711		$	—		$	—
Futures		366,723			—			1,058,431			3,429,597

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(10,224,042	)	$	—		$	—
Futures		(2,605,169	)		—			(4,934,768	)		(1,614,190	)

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

Industry Summary at March 31, 2012 (Unaudited)


Certificates of Deposit	59.3	%
Financial Company Commercial Paper	15.9
Commercial Paper	9.2

Total Investments	84.4
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	15.6

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 92.2% of Net Assets

		Certificates of Deposit – 64.1%
$	7,900,000	BNP Paribas, 0.120%, 4/02/2012	$	7,900,000
	43,000,000	Royal Bank of Scotland PLC, 0.400%, 4/02/2012		43,000,559
	50,000,000	ANZ Banking, 0.210%, 4/10/2012		50,001,550
	19,000,000	Standard Chartered Bank (NY), 0.270%, 4/10/2012		19,000,399
	67,000,000	Sumitomo Mitsui Bank (NY), 0.450%, 4/11/2012		67,005,829
	65,000,000	Bank of Montreal (IL), 0.150%, 4/12/2012		64,999,545
	6,000,000	Rabobank Nederland NV (NY), 0.570%, 4/20/2012		6,001,362
	20,000,000	Skandinaviska Enskilda Banken (NY), 0.460%, 4/27/2012		20,003,420
	50,000,000	Lloyds TSB Bank PLC (NY), 0.180%, 4/30/2012		50,000,000
	43,000,000	Skandinaviska Enskilda Banken (NY), 0.570%, 5/01/2012		43,008,385
	17,750,000	Westpac Banking Corp. (NY), 0.384%, 5/02/2012(b)		17,751,189
	35,000,000	Mizuho Corporate Bank, 0.420%, 5/04/2012		35,005,425
	7,000,000	Skandinaviska Enskilda Banken (NY), 0.450%, 5/04/2012		7,000,641
	33,000,000	Rabobank Nederland NV (NY), 0.380%, 5/08/2012		33,005,709
	35,000,000	Mizuho Corporate Bank, 0.420%, 5/08/2012		35,006,055
	12,000,000	Barclays Bank PLC, 0.490%, 5/09/2012(c)		12,003,468
	21,000,000	Svenska Handelsbanken (NY), 0.420%, 5/22/2012		21,008,043
	29,000,000	Royal Bank of Scotland PLC, 0.350%, 5/29/2012		29,000,000
	30,000,000	Deutsche Bank AG (NY), 0.400%, 6/11/2012		29,999,400
	60,000,000	Barclays Bank PLC, 0.305%, 6/28/2012		60,000,780
	40,000,000	Deutsche Bank AG, 0.400%, 7/02/2012		39,994,800
	50,000,000	Standard Chartered Bank (NY), 0.540%, 7/13/2012		50,004,350
	35,000,000	Toronto Dominion Bank, 0.250%, 7/17/2012(c)		35,010,570
	30,000,000	Canadian Imperial Bank of Commerce (NY), 0.332%, 7/25/2012(b)(c)		30,000,150
	40,000,000	National Australia Bank, 0.350%, 8/02/2012(c)		40,011,080
	32,000,000	Toronto Dominion Bank, 0.200%, 8/06/2012(c)		32,004,576


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	25,000,000	National Australia Bank, 0.342%, 8/16/2012(b)	$	24,997,250
	23,000,000	Canadian Imperial Bank of Commerce (NY), 0.242%, 8/21/2012(b)		22,998,252
	17,000,000	Canadian Imperial Bank of Commerce (NY), 0.387%, 8/24/2012(b)(c)		17,000,051
	46,000,000	Svenska Handelsbanken (NY), 0.520%, 9/04/2012		45,987,902
	35,000,000	Bank of Nova Scotia (TX), 0.320%, 9/21/2012		35,000,000

				1,023,710,740

		Financial Company Commercial Paper – 21.6%
	50,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 4/02/2012(d)		49,998,300
	72,000,000	Societe Generale North America, 0.350%, 4/05/2012(d)		71,997,200
	67,000,000	ING (US) Funding LLC, 0.180%, 4/09/2012(d)		66,997,320
	67,000,000	General Electric Capital Corp., 0.140%, 4/17/2012(d)		66,997,655
	20,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.520%, 4/27/2012(d)		19,991,500
	30,000,000	Nordea North America, Inc., 0.340%, 5/07/2012(c)(d)		29,993,310
	17,000,000	Nordea North America, Inc., 0.370%, 5/23/2012(d)		16,993,931
	22,000,000	Nordea North America, Inc., 0.260%, 5/29/2012(d)		21,990,826

				344,960,042

		Commercial Paper – 6.5%
	73,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.520%, 4/02/2012(d)		72,998,945
	31,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 4/12/2012(d)		30,996,685

				103,995,630

		Total Short-Term Investments (Identified Cost $1,472,616,144)		1,472,666,412

		Total Investments – 92.2% (Identified Cost $1,472,616,144)(a)		1,472,666,412
		Other assets less liabilities – 7.8%		123,872,201

		Net Assets – 100.0%	$	1,596,538,613

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2012, the value of the Fund’s investment in the Subsidiary was $72,523,735, representing 4.5% of the Fund’s net assets.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent 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.

(a)	Federal Tax Information:

At March 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $1,472,616,144 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	$	83,426
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(33,158	)

Net unrealized appreciation	$	50,268

At December 31, 2011, the Fund had a short-term capital loss carryforward of $27,842,043 with no expiration date. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(b)	Variable rate security. Rate as of March 31, 2012 is disclosed.

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

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

Forward Foreign Currency Contracts

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

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date	Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy	6/20/2012	Australian Dollar		62,200,000	$	63,877,364	$	(738,732	)
Buy	6/20/2012	British Pound		47,875,000		76,536,105		1,511,114
Buy	6/20/2012	Canadian Dollar		110,100,000		110,200,929		(698,988	)
Buy	6/20/2012	Euro		6,000,000		8,005,486		179,337
Sell	6/20/2012	Euro		37,125,000		49,533,941		(849,705	)


Buy	6/20/2012	Japanese Yen	11,000,000,000	132,991,962		(128,056	)
Sell	6/20/2012	Japanese Yen	1,687,500,000	20,402,176		(195,717	)
Buy	6/20/2012	Swedish Krona	74,000,000	11,151,334		314,806
Buy	6/20/2012	Swiss Franc	37,375,000	41,442,685		821,287
Sell	6/20/2012	Swiss Franc	7,000,000	7,761,841		(25,305	)

Total					$	190,041

¹	Counterparty is UBS AG.

Futures Contracts

At March 31, 2012, open futures contracts purchased were as follows:


Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX	6/15/2012		305	$	70,789,610	$	(612,101	)
E-mini S&P 500	6/15/2012		2,742		192,378,720		6,666,570
Eurodollar	9/17/2012		1,463		363,957,825		(48,625	)
FTSE 100	6/15/2012		609		55,810,835		(1,378,346	)
German Euro Bund	6/07/2012		504		93,090,849		87,384
Hang Seng	4/27/2012		596		78,667,963		(571,370	)
TOPIX	6/08/2012		592		61,295,638		2,506,645
UK Long Gilt	6/27/2012		431		78,941,466		38,004
10 Year Japan Government Bond	6/11/2012		26		44,608,675		(66,570	)
10 Year U.S. Treasury Note	6/20/2012		917		118,737,172		(1,328,242	)

Total						$	5,293,349


Commodity Futures²	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG	6/20/2012		3,002	$	159,256,100	$	(9,035,263	)
Brent Crude Oil	4/13/2012		506		62,177,280		570,380
Copper LME	6/20/2012		287		60,617,988		(895,855	)
Gas Oil	5/10/2012		211		21,390,125		(405,975	)
Gold	6/27/2012		359		60,021,210		445,160
Heating Oil	4/30/2012		226		30,090,589		(769,012	)
Light Sweet Crude Oil	4/20/2012		642		66,138,840		(2,709,240	)
Nickel	6/20/2012		637		68,096,574		(3,250,704	)
Zinc	6/20/2012		220		10,993,125		(123,750	)

Total						$	(16,174,259	)

At March 31, 2012, open futures contracts sold were as follows:


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/20/2012		362	$	19,204,100	$	665,968
Copper LME		6/20/2012		62		13,095,175		(13,751	)
Natural Gas		4/26/2012		431		9,163,060		1,249,900
Nickel		6/20/2012		104		11,117,808		665,184
Zinc		6/20/2012		57		2,848,219		73,530

Total							$	2,640,831

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,472,666,412	$	—	$	1,472,666,412
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,826,544		—		2,826,544
Futures Contracts (unrealized appreciation)		12,968,725		—		—		12,968,725

Total	$	12,968,725	$	1,475,492,956	$	—	$	1,488,461,681

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,636,503	)	$	—	$	(2,636,503	)
Futures Contracts (unrealized depreciation)		(21,208,804	)		—			—		(21,208,804	)

Total	$	(21,208,804	)	$	(2,636,503	)	$	—	$	(23,845,307	)

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2012, the Fund used long contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, and short-term interest rates, and long and short contracts on commodities (through investments in the Subsidiary) and foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2012, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $2,826,544 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $190,041.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of March 31, 2012:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	2,826,544		$	—		$	—
Futures (unrealized appreciation)		125,388			—			9,173,215			3,670,122

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(2,636,503	)	$	—		$	—
Futures (unrealized depreciation)		(1,443,437	)		—			(2,561,817	)		(17,203,550	)

Investment Summary at March 31, 2012 (Unaudited)


Certificates of Deposit	64.1	%
Financial Company Commercial Paper	21.6
Commercial Paper	6.5

Total Investments	92.2
Other assets less liabilities (including open forward foreign currency and futures contracts)	7.8

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 83.4% of Net Assets

		Certificates of Deposit – 58.9%
$	35,000,000	BNP Paribas, 0.120%, 4/02/2012	$	35,000,000
	4,900,000	Royal Bank of Canada, 0.120%, 4/02/2012		4,900,000
	14,000,000	Royal Bank of Scotland PLC, 0.400%, 4/02/2012		14,000,182
	31,000,000	ANZ Banking, 0.210%, 4/10/2012		31,000,961
	9,000,000	Standard Chartered Bank (NY), 0.270%, 4/10/2012		9,000,189
	30,000,000	Sumitomo Mitsui Bank (NY), 0.450%, 4/11/2012		30,002,610
	30,000,000	Bank of Montreal (IL), 0.150%, 4/12/2012		29,999,790
	19,000,000	Skandinaviska Enskilda Banken (NY), 0.460%, 4/27/2012		19,003,249
	35,000,000	Lloyds TSB Bank PLC (NY), 0.180%, 4/30/2012		35,000,000
	10,000,000	Westpac Banking Corp. (NY), 0.384%, 5/02/2012(b)(c)		10,000,670
	31,000,000	Mizuho Corporate Bank, 0.420%, 5/04/2012		31,004,805
	3,000,000	Skandinaviska Enskilda Banken (NY), 0.450%, 5/04/2012		3,000,274
	13,000,000	Skandinaviska Enskilda Banken (NY), 0.550%, 5/04/2012		13,002,522
	31,000,000	Rabobank Nederland NV (NY), 0.380%, 5/08/2012		31,005,363
	5,000,000	Barclays Bank PLC, 0.490%, 5/09/2012		5,001,445
	10,000,000	Svenska Handelsbanken (NY), 0.420%, 5/22/2012		10,003,830
	20,000,000	Royal Bank of Scotland PLC, 0.350%, 5/29/2012		20,000,000
	29,000,000	Barclays Bank PLC, 0.305%, 6/28/2012		29,000,377
	35,000,000	Deutsche Bank AG, 0.400%, 7/02/2012		34,995,450
	15,000,000	Toronto Dominion Bank, 0.250%, 7/17/2012(b)		15,004,530
	11,000,000	Canadian Imperial Bank of Commerce (NY), 0.332%, 7/25/2012(b)(c)		11,000,055
	12,000,000	Toronto Dominion Bank, 0.200%, 8/06/2012		12,001,716
	20,000,000	National Australia Bank, 0.342%, 8/16/2012(b)(c)		19,997,800
	15,000,000	Canadian Imperial Bank of Commerce (NY), 0.242%, 8/21/2012(c)		14,998,860
	8,000,000	Canadian Imperial Bank of Commerce (NY), 0.387%, 8/24/2012(b)(c)		8,000,024
	20,000,000	Svenska Handelsbanken (NY), 0.520%, 9/04/2012		19,994,740


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	15,000,000	Bank of Nova Scotia (TX), 0.320%, 9/21/2012	$	15,000,000

				510,919,442

		Financial Company Commercial Paper – 18.5%
	11,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 4/02/2012(d)		10,999,626
	35,000,000	Societe Generale North America, 0.350%, 4/05/2012(d)		34,998,639
	33,000,000	ING (US) Funding LLC, 0.180%, 4/09/2012(d)		32,998,680
	24,000,000	General Electric Capital Corp., 0.140%, 4/17/2012(b)(d)		23,999,160
	24,000,000	ICICI Bank Ltd., (Credit Support: Bank of America), 0.520%, 4/27/2012(d)		23,989,800
	17,000,000	Nordea North America, Inc., 0.340%, 5/07/2012(b)(d)		16,996,209
	4,000,000	Nordea North America, Inc., 0.370%, 5/23/2012(b)(d)		3,998,572
	13,000,000	Nordea North America, Inc., 0.260%, 5/29/2012(d)		12,994,579

				160,975,265

		Commercial Paper – 6.0%
	35,000,000	Louis Dreyfus Corp., (Credit Support: Credit Agricole CIB), 0.520%, 4/02/2012(d)		34,999,495
	3,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 4/12/2012(d)		2,999,679
	3,500,000	Grainger (WW), Inc., 0.100%, 4/16/2012(d)		3,499,854
	10,460,000	Tennessee State School Bond Authority, 0.170%, 6/19/2012		10,459,268

				51,958,296

		Total Short-Term Investments (Identified Cost $723,834,760)		723,853,003

		Total Investments – 83.4% (Identified Cost $723,834,760)(a)		723,853,003
		Other assets less liabilities – 16.6%		143,723,385

		Net Assets – 100.0%	$	867,576,388

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2012, the value of the Fund’s investment in the Subsidiary was $60,137,089, representing 6.9% of the Fund’s net assets.

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

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.

(a)	Federal Tax Information:

At March 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $723,834,760 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	$	34,914
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(16,671	)

Net unrealized appreciation	$	18,243

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

At December 31, 2011, the Fund had a short-term capital loss carryforward of $20,422,668 with no expiration date and a long-term capital loss carryforward of $2,784,731 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c)	Variable rate security. Rate as of March 31, 2012 is disclosed.

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

Forward Foreign Currency Contracts

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy		6/20/2012	Australian Dollar		95,000,000	$	97,561,891	$	(1,128,289	)
Sell		6/20/2012	British Pound		14,875,000		23,780,148		(470,383	)
Buy		6/20/2012	Canadian Dollar		121,100,000		121,211,013		328,438
Buy		6/20/2012	Canadian Dollar		32,500,000		32,529,793		(185,045	)


Sell	6/20/2012	Canadian Dollar	55,000,000	55,050,419		316,871
Buy	6/20/2012	Euro	46,500,000	62,042,512		309,487
Sell	6/20/2012	Euro	105,875,000	141,263,462		(2,941,412	)
Buy	6/20/2012	Japanese Yen	8,050,000,000	97,325,936		(137,630	)
Sell	6/20/2012	Japanese Yen	12,675,000,000	153,243,011		(1,435,326	)
Buy	6/20/2012	New Zealand Dollar	84,700,000	68,981,246		(1,822	)
Sell	6/20/2012	New Zealand Dollar	31,700,000	25,817,066		(89,790	)
Buy	6/20/2012	Norwegian Krone	18,000,000	3,151,342		10,311
Sell	6/20/2012	Norwegian Krone	198,000,000	34,664,757		(720,861	)
Buy	6/20/2012	Singapore Dollar	50,125,000	39,882,620		168,011
Buy	6/20/2012	Swedish Krona	306,000,000	46,112,272		337,011
Sell	6/20/2012	Swedish Krona	96,000,000	14,466,595		(338,599	)
Buy	6/20/2012	Swiss Franc	26,125,000	28,968,298		434,027
Sell	6/20/2012	Swiss Franc	25,750,000	28,552,486		(582,892	)
Buy	6/20/2012	Turkish Lira	38,700,000	21,342,893		225,585

Total					$	(5,902,308	)

¹	Counterparty is UBS AG.

Futures Contracts

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

At March 31, 2012, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX		4/20/2012		469	$	40,276,276	$	(779,561	)
ASX SPI 200		6/21/2012		11		1,237,711		13,388
CAC 40		4/20/2012		610		27,860,252		(760,576	)
DAX		6/15/2012		145		33,654,077		(217,560	)
E-mini Dow		6/15/2012		703		46,194,130		1,297,760
E-mini NASDAQ 100		6/15/2012		1,040		57,215,600		3,059,680
E-mini S&P 500		6/15/2012		456		31,992,960		1,082,410
Euribor		9/17/2012		5,821		1,927,959,663		(632,324	)
Euro Schatz		6/07/2012		4,555		670,285,338		(286,472	)
EURO STOXX 50		6/15/2012		750		24,096,619		(497,803	)
Eurodollar		9/17/2012		1,382		343,807,050		88,150
FTSE 100		6/15/2012		428		39,223,378		(968,690	)
FTSE JSE Top 40		6/21/2012		970		37,741,611		(691,646	)
FTSE MIB		6/15/2012		181		19,004,186		(510,840	)
German Euro BOBL		6/07/2012		830		137,386,135		(291,200	)
German Euro Bund		6/07/2012		401		74,066,330		(206,883	)
Hang Seng		4/27/2012		184		24,286,754		(159,937	)
Mini-Russell 2000		6/15/2012		392		32,445,840		973,090
MSCI Singapore		4/27/2012		373		20,474,126		(49,831	)


MSCI Taiwan		4/27/2012		1,190		33,593,700		(527,340	)
Nikkei 225		6/08/2012		334		40,715,960		2,227,353
OMXS30		4/20/2012		2,458		39,652,053		(631,609	)
S&P/TSX 60		6/14/2012		9		1,271,703		(5,454	)
Sterling		6/20/2012		7,495		1,484,296,400		947,464
TOPIX		6/08/2012		310		32,097,378		1,423,221
UK Long Gilt		6/27/2012		84		15,385,344		(158,542	)
2 Year U.S. Treasury Note		6/29/2012		567		124,819,735		(7,718	)
3 Year Australia Government Bond		6/15/2012		590		65,520,666		158,372
5 Year U.S. Treasury Note		6/29/2012		438		53,672,110		(198,359	)
10 Year Australia Government Bond		6/15/2012		159		19,118,861		(88,591	)
10 Year Canada Government Bond		6/20/2012		297		39,074,951		(397,534	)
10 Year Japan Government Bond		6/11/2012		114		195,591,881		(606,017	)
10 Year U.S. Treasury Note		6/20/2012		221		28,616,047		(307,328	)
30 Year U.S. Treasury Bond		6/20/2012		8		1,102,000		(7,250	)

Total							$	2,281,823


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/13/2012		253	$	31,088,640	$	371,910
Cocoa		5/15/2012		85		1,886,150		(139,400	)
Copper High Grade		5/29/2012		1		95,625		—
Copper LME		6/20/2012		2		422,425		(7,783	)
Corn		5/14/2012		247		7,953,400		(187,825	)
Cotton		5/08/2012		1		46,760		2,810
Gas Oil		5/10/2012		342		34,670,250		(627,675	)
Gasoline		4/30/2012		147		20,424,209		(214,855	)
Gold		6/27/2012		137		22,905,030		173,990
Heating Oil		4/30/2012		189		25,164,254		(623,234	)
KC Wheat		5/14/2012		184		6,417,000		(80,963	)
Light Sweet Crude Oil		4/20/2012		223		22,973,460		(941,060	)
Live Cattle		6/29/2012		129		5,993,340		(418,690	)
Soybean		5/14/2012		314		22,027,100		1,143,825
Soybean Meal		5/14/2012		525		20,406,750		1,968,420
Soybean Oil		5/14/2012		672		22,216,320		505,284
Sugar		6/29/2012		180		4,802,112		28,224
Wheat		5/14/2012		113		3,733,237		52,838
Zinc		6/20/2012		16		799,500		(31,660	)

Total							$	974,156

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
IBEX 35		4/20/2012		14	$	1,479,273	$	53,295
SGX CNX Nifty		4/26/2012		228		2,429,568		(29,412	)

Total							$	23,883


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/20/2012		21	$	1,114,050	$	64,181
Coffee		5/18/2012		69		4,720,894		1,037,588


Copper LME	6/20/2012	3	633,637		3,851
Natural Gas	4/26/2012	290	6,165,400		841,000
Nickel	6/20/2012	64	6,841,728		339,072
Silver	5/29/2012	4	649,680		33,220
Zinc	6/20/2012	20	999,375		11,250

Total				$	2,330,162

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	723,853,003	$	—	$	723,853,003
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,129,741		—		2,129,741
Futures Contracts (unrealized appreciation)		17,901,646		—		—		17,901,646

Total	$	17,901,646	$	725,982,744	$	—	$	743,884,390

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(8,032,049	)	$	—	$	(8,032,049	)
Futures Contracts (unrealized depreciation)		(12,291,622	)		—			—		(12,291,622	)

Total	$	(12,291,622	)	$	(8,032,049	)	$	—	$	(20,323,671	)

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the period ended March 31, 2012, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(5,902,308	)	$	19,170,560

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $2,129,741 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of March 31, 2012:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	2,129,741		$	—		$	—
Futures (unrealized appreciation)		1,193,986			—			10,130,197			6,577,463

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(8,032,049	)	$	—		$	—
Futures (unrealized depreciation)		(3,188,218	)		—			(5,830,259	)		(3,273,145	)

Investment Summary at March 31, 2012 (Unaudited)


Certificates of Deposit	58.9	%
Financial Company Commercial Paper	18.5
Commercial Paper	6.0

Total Investments	83.4
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	16.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 96.0% of Net Assets

		Aerospace & Defense – 3.2%
	61,400	Boeing Co. (The)	$	4,566,318

		Air Freight & Logistics – 3.5%
	54,300	FedEx Corp.		4,993,428

		Auto Components – 3.4%
	21,200	Autoliv, Inc.		1,421,460
	46,000	Delphi Automotive PLC(b)		1,453,600
	44,300	TRW Automotive Holdings Corp.(b)		2,057,735

				4,932,795

		Automobiles – 2.8%
	46,800	Toyota Motor Corp., Sponsored ADR		4,063,176

		Capital Markets – 5.2%
	33,500	Franklin Resources, Inc.		4,155,005
	26,300	Goldman Sachs Group, Inc. (The)		3,270,931

				7,425,936

		Commercial Banks – 5.1%
	213,500	Wells Fargo & Co.		7,288,890

		Commercial Services & Supplies – 2.3%
	110,900	Republic Services, Inc.		3,389,104

		Consumer Finance – 1.6%
	41,000	Capital One Financial Corp.		2,285,340

		Diversified Financial Services – 7.8%
	16,500	CME Group, Inc., Class A		4,773,945
	139,000	JPMorgan Chase & Co.		6,391,220

				11,165,165

		Electrical Equipment – 1.6%
	29,800	Rockwell Automation, Inc.		2,375,060

		Energy Equipment & Services – 2.3%
	41,400	National Oilwell Varco, Inc.		3,290,058

		Health Care Equipment & Supplies – 1.4%
	51,100	Medtronic, Inc.		2,002,609

		Hotels, Restaurants & Leisure – 8.6%
	141,000	Carnival Corp.		4,523,280
	116,800	Marriott International, Inc., Class A		4,420,880
	19,200	McDonald’s Corp.		1,883,520
	27,700	Starwood Hotels & Resorts Worldwide, Inc.		1,562,557

				12,390,237

		Independent Power Producers & Energy Traders – 0.7%
	60,900	Calpine Corp.(b)		1,048,089


Shares		Description	Value (†)
	Common Stocks – continued

		Insurance – 0.4%
	13,900	Aflac, Inc.	$	639,261

		IT Services – 6.9%
	12,700	MasterCard, Inc., Class A		5,340,858
	38,400	Visa, Inc., Class A		4,531,200

				9,872,058

		Machinery – 6.1%
	22,700	Caterpillar, Inc.		2,418,004
	87,200	Illinois Tool Works, Inc.		4,980,864
	16,200	Parker Hannifin Corp.		1,369,710

				8,768,578

		Media – 8.0%
	186,100	Comcast Corp., Special Class A		5,491,811
	43,700	Omnicom Group, Inc.		2,213,405
	56,800	Time Warner, Inc.		2,144,200
	38,900	Walt Disney Co. (The)		1,703,042

				11,552,458

		Oil, Gas & Consumable Fuels – 4.4%
	34,400	Apache Corp.		3,455,136
	33,600	ExxonMobil Corp.		2,914,128

				6,369,264

		Semiconductors & Semiconductor Equipment – 14.3%
	380,700	Applied Materials, Inc.		4,735,908
	339,100	Intel Corp.		9,532,101
	43,472	Lam Research Corp.(b)		1,939,721
	130,100	Texas Instruments, Inc.		4,372,661

				20,580,391

		Software – 3.1%
	151,300	Oracle Corp.		4,411,908

		Specialty Retail – 2.3%
	54,700	CarMax, Inc.(b)		1,895,355
	20,500	Tiffany & Co.		1,417,165

				3,312,520

		Textiles, Apparel & Luxury Goods – 1.0%
	13,100	NIKE, Inc., Class B		1,420,564

		Total Common Stocks (Identified Cost $113,478,947)		138,143,207


Principal Amount
	Short-Term Investments – 4.9%
$	7,000,895	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $7,000,895 on 4/02/2012 collateralized by $6,635,000 Federal Home Loan Bank, 2.750% due 6/08/2018 valued at $7,140,919 including accrued interest(c) (Identified Cost $7,000,895)		7,000,895

(†)

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 independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

At March 31, 2012, the net unrealized appreciation on investments based on a cost of $120,479,842 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	$	26,524,657
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,860,397	)

Net unrealized appreciation	$	24,664,260

At December 31, 2011, the Fund had a short-term capital loss carryforward of $9,996,643 of which $9,206,549 expires on December 31, 2017 and $790,094 expires on December 31, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	138,143,207	$	—	$	—	$	138,143,207
Short-Term Investments		—		7,000,895		—		7,000,895

Total	$	138,143,207	$	7,000,895	$	—	$	145,144,102

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at March 31, 2012 (Unaudited)


Semiconductors & Semiconductor Equipment	14.3	%
Hotels, Restaurants & Leisure	8.6
Media	8.0
Diversified Financial Services	7.8
IT Services	6.9
Machinery	6.1
Capital Markets	5.2
Commercial Banks	5.1
Oil, Gas & Consumable Fuels	4.4
Air Freight & Logistics	3.5
Auto Components	3.4
Aerospace & Defense	3.2
Software	3.1
Automobiles	2.8
Commercial Services & Supplies	2.3
Specialty Retail	2.3
Energy Equipment & Services	2.3
Other Investments, less than 2% each	6.7
Short-Term Investments	4.9

Total Investments	100.9
Other assets less liabilities	(0.9	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

Loomis Sayles Absolute Strategies Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 72.7% of Net Assets

	Non-Convertible Bonds – 69.5%

		ABS Car Loan – 0.2%
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	740,353
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		431,288

				1,171,641

		ABS Home Equity – 2.3%
	1,341,462	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.532%, 11/25/2045(b)		886,563
	4,208,309	Argent Securities, Inc., Series 2006-M2, Class A2C, 0.392%, 9/25/2036(b)		1,317,546
	918,477	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		686,309
	622,455	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.512%, 4/25/2035(b)		398,001
	2,585,757	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.392%, 11/25/2036(b)		842,328
	2,940,540	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.312%, 12/25/2046(b)		1,341,368
	397,583	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.901%, 12/25/2034(b)		295,305
	1,292,233	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 5.331%, 7/25/2035(b)		1,094,356
	372,788	Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.562%, 7/25/2045(b)		257,020
	2,573,333	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		2,092,835
	954,424	Residential Funding Mortgage Securities I, Series 2005-SA3, Class 2A1, 2.915%, 8/25/2035(b)		788,481
	334,818	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.969%, 12/25/2046(b)		242,828
	917,681	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		934,567

				11,177,507

		ABS Other – 1.0%
	3,204,926	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		3,231,357
	1,500,000	Sierra Receivables Funding Co.,, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		1,502,382

				4,733,739

		Aerospace & Defense – 0.5%
	2,250,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,743,467
	800,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		668,966

				2,412,433


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

	Non-Convertible Bonds – continued

		Airlines – 0.5%
$	157,339	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020	$	154,192
	1,980,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		2,079,000

				2,233,192

		Automotive – 1.9%
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)		3,052,905
	5,500,000	Volkswagen Financial Services NV, 6.250%, 7/15/2015, (AUD)(c)		5,870,197

				8,923,102

		Banking – 6.1%
	4,700,000	Banco Bradesco S.A., 4.500%, 1/12/2017, 144A		4,944,400
	3,800,000	Banco Continental S.A. via Continental Senior Trustees II Cayman Ltd, 5.750%, 1/18/2017, 144A		3,990,000
	1,900,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		1,904,750
	2,522,050	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		1,415,375
	5,145,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017(c)		5,259,934
	4,235,000	Lloyds TSB Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)		4,917,000
	2,200,000	Merrill Lynch & Co., Inc., 6.875%, 11/15/2018		2,449,084
	2,000,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		2,305,961
	1,900,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		2,359,181

				29,545,685

		Building Materials – 0.5%
	2,400,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		2,494,320

		Chemicals – 2.0%
	3,845,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		3,858,457
	2,980,000	Hercules, Inc., 6.500%, 6/30/2029		2,369,100
	3,050,000	Ineos Group Holdings Ltd., 7.875%, 2/15/2016, 144A, (EUR)		3,599,989

				9,827,546

		Collateralized Mortgage Obligations – 4.2%
	1,971,552	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.240%, 9/25/2045(b)		1,549,484
	684,693	Banc of America Funding Corp., Series 2004-B, Class 4A2, 2.700%, 11/20/2034(b)		526,386
	752,064	Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.472%, 4/20/2035(b)		564,649


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

	Non-Convertible Bonds – continued

		Collateralized Mortgage Obligations – continued
$	1,634,640	Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1, 2.520%, 2/25/2036	$	1,467,073
	743,897	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.512%, 2/22/2035(b)		450,686
	1,104,379	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.452%, 5/25/2035(b)		660,536
	523,399	Countrywide Alternative Loan Trust, Series 2005-17, Class 2A1, 0.482%, 7/25/2035(b)		304,193
	232,021	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.592%, 1/19/2035(b)		148,317
	176,130	Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 3.001%, 12/19/2035(b)		133,963
	2,231,176	Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.943%, 12/19/2035(b)		1,536,165
	2,797,069	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.352%, 5/25/2037(b)		1,362,757
	1,151,474	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.402%, 12/25/2036(b)		542,557
	2,527,967	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.362%, 7/25/2037(b)(d)		1,125,271
	1,399,076	MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 4A1, 2.670%, 12/25/2034(b)		1,167,375
	775,777	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.402%, 1/25/2047(b)		416,922
	1,174,363	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.482%, 5/25/2037(b)		554,487
	1,816,624	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,649,634
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		2,620,302
	398,957	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.683%, 10/25/2035(b)		380,114
	2,390,164	Residential Accredit Loans, Inc., Series 2005-QA12, Class NB4, 4.053%, 12/25/2035(b)		1,461,098
	1,404,850	Sequoia Mortgage Trust, Series 2004-6, Class A1, 2.044%, 7/20/2034(b)		1,211,658
	593,375	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.724%, 9/25/2046(b)		456,342

				20,289,969

		Commercial Mortgage-Backed Securities – 7.3%
	1,369,756	American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 2.240%, 9/25/2045(b)		1,128,746
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 5.981%, 5/11/2039, 144A(b)		955,593
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.736%, 4/15/2044, 144A(b)		3,876,479
	220,000	CW Capital Cobalt Ltd., Series 2007-C2, Class AMFX, 5.526%, 4/15/2047		214,564
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.728%, 11/10/2046, 144A(b)		4,665,621
	2,775,949	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.947%, 6/19/2035(b)		2,579,312
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.980%, 8/10/2045(b)		3,872,040


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

	Non-Convertible Bonds – continued

		Commercial Mortgage-Backed Securities – continued
$	4,060,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C1, Class D, 6.524%, 6/15/2043, 144A(b)	$	3,999,092
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class D, 5.422%, 9/15/2047, 144A(b)		1,187,824
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.422%, 9/15/2047, 144A(b)		1,125,201
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.495%, 6/15/2044, 144A(b)		1,833,063
	3,700,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.980%, 8/12/2045, 144A(b)(c)		3,814,215
	1,000,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.980%, 8/15/2045, 144A(b)		1,030,869
	5,400,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)		4,888,328

				35,170,947

		Consumer Products – 1.2%
	4,625,000	Procter & Gamble Co. (The), 0.451%, 2/06/2014(b)		4,631,105
	1,310,000	Visant Corp., 10.000%, 10/01/2017		1,223,212

				5,854,317

		Diversified Manufacturing – 1.8%
	5,525,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,199,000
	4,500,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		4,567,500

				8,766,500

		Electric – 2.3%
	1,200,000	Centrais Eletricas Brasileiras S.A., 5.750%, 10/27/2021, 144A		1,313,400
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		2,464,790
	2,655,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		2,346,449
	4,700,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		2,793,855
	1,700,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,542,886
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		778,939

				11,240,319

		Gaming – 1.1%
	2,400,000	Mandalay Resort Group, 7.625%, 7/15/2013		2,436,000
	500,000	MGM Resorts International, 6.875%, 4/01/2016		505,000
	250,000	MGM Resorts International, 7.500%, 6/01/2016		257,500


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

	Non-Convertible Bonds – continued

			Gaming – continued
$	2,000,000		MGM Resorts International, 7.625%, 1/15/2017	$	2,065,000

					5,263,500

			Government Owned - No Guarantee – 2.4%
	1,625,000		China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A		1,597,016
	3,800,000		Petrobras International Finance Co., 5.375%, 1/27/2021		4,091,608
	400,000		Petrobras International Finance Co., 6.750%, 1/27/2041		463,906
	700,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		5,575,904

					11,728,434

			Government Sponsored – 0.5%
	1,510,000		Eksportfinans ASA, 2.000%, 9/15/2015		1,339,733
	1,410,000		Eksportfinans ASA, EMTN, 2.250%, 2/11/2021, (CHF)		1,202,725

					2,542,458

			Healthcare – 0.4%
	1,355,000		HCA, Inc., 7.250%, 9/15/2020		1,475,256
	450,000		Owens & Minor, Inc., 6.350%, 4/15/2016(e)		486,009

					1,961,265

			Hybrid ARMs – 0.7%
	2,137,397		Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.925%, 4/25/2035(b)		1,043,978
	1,425,840		Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1.022%, 12/25/2034(b)		894,761
	1,133,140		Lehman XS Trust, Series 2006-4N, Class A2A, 0.462%, 4/25/2046(b)		622,817
	1,133,510		Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A, 0.502%, 4/25/2035(b)		862,500

					3,424,056

			Independent Energy – 1.3%
	5,075,000		Canadian Oil Sands Ltd., 4.500%, 4/01/2022, 144A		5,112,357
	1,290,000		Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		1,290,000

					6,402,357

			Industrial Other – 1.7%
	4,700,000		Hutchison Whampoa International 11 Ltd., 4.625%, 1/13/2022, 144A		4,720,628
	3,250,000		Steelcase, Inc., 6.375%, 2/15/2021		3,338,017

					8,058,645


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

	Non-Convertible Bonds – continued

		Life Insurance – 0.7%
$	3,200,000	Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A	$	3,504,000

		Media Cable – 0.3%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,603,238

		Media Non-Cable – 0.2%
	230,000	Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020, 144A		221,950
	910,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020, 144A		891,800

				1,113,750

		Metals & Mining – 3.0%
	1,200,000	APERAM, 7.375%, 4/01/2016, 144A		1,173,000
	4,875,000	ArcelorMittal, 5.500%, 3/01/2021		4,784,691
	4,800,000	Barrick Gold Corp., 5.250%, 4/01/2042, 144A		4,769,150
	2,400,000	BHP Billiton Finance USA Ltd., 0.735%, 2/18/2014(b)		2,402,782
	1,360,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		1,261,400

				14,391,023

		Non-Captive Consumer – 1.2%
	2,340,000	Air Lease Corp., 5.625%, 4/01/2017, 144A		2,331,225
	3,380,000	SLM Corp., MTN, 7.250%, 1/25/2022		3,531,505

				5,862,730

		Non-Captive Diversified – 1.2%
	600,000	GMAC International Finance BV, 7.500%, 4/21/2015, (EUR)		818,225
	2,375,000	International Lease Finance Corp., 4.875%, 4/01/2015		2,350,785
	2,210,000	International Lease Finance Corp., 6.750%, 9/01/2016, 144A		2,367,462

				5,536,472

		Oil Field Services – 1.7%
	2,385,000	Global Geophysical Services, Inc., 10.500%, 5/01/2017		2,373,075
	2,325,000	Nabors Industries, Inc., 9.250%, 1/15/2019		2,984,672
	1,960,000	OGX Petroleo e Gas Participacoes S.A., 8.375%, 4/01/2022, 144A		1,979,600
	900,000	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A		902,250

				8,239,597


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

	Non-Convertible Bonds – continued

			Paper – 1.0%
$	2,400,000		Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022, 144A	$	2,456,770
	2,350,000		Rock-Tenn Co., 4.450%, 3/01/2019, 144A		2,360,558

					4,817,328

			Pharmaceuticals – 0.5%
	1,925,000		Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		1,872,062
	200,000		Valeant Pharmaceuticals International, 7.000%, 10/01/2020, 144A		199,000
	300,000		Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		297,000

					2,368,062

			Pipelines – 0.4%
	535,000		NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A		516,268
	1,495,000		Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		1,192,263

					1,708,531

			Supranational – 0.2%
	280,120		European Financial Stability Facility, 0.400%, 3/12/2013, (EUR)		372,678
	280,120		European Financial Stability Facility, 1.000%, 3/12/2014, (EUR)		372,827

					745,505

			Technology – 0.5%
	2,400,000		BMC Software, Inc., 4.250%, 2/15/2022		2,406,031

			Treasuries – 11.0%
	25,200,000		Canadian Government, 1.750%, 3/01/2013, (CAD)(c)		25,416,769
	1,260,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)		10,118,429
	725,000	(††)	Mexican Fixed Rate Bonds, Series M, 7.500%, 6/21/2012, (MXN)(c)		5,703,267
	200,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)		1,646,033
	325,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		2,952,474
	1,225,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		945,143
	3,250,000		United Kingdom Gilt, 4.250%, 9/07/2039, (GBP)		6,033,030

					52,815,145

			Wireless – 2.0%
	4,975,000		Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		4,900,375


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

	Non-Convertible Bonds – continued

		Wireless – continued
$	4,700,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A	$	4,831,600

				9,731,975

		Wirelines – 5.7%
	1,275,000	eAccess Ltd., 8.375%, 4/01/2018, 144A, (EUR)		1,568,681
	1,090,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,057,300
	1,170,000	Level 3 Financing, Inc., 8.625%, 7/15/2020, 144A		1,228,500
	12,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		6,917,198
	544,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		506,059
	1,610,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,723,326
	7,534,000	Qwest Corp., 7.200%, 11/10/2026		7,590,505
	1,100,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		968,000
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		824,500
	1,250,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		1,218,750
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		239,107
	525,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		510,387
	1,500,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,347,874
	800,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		786,392

				27,486,579

		Total Non-Convertible Bonds (Identified Cost $337,644,644)		335,551,898

	Convertible Bonds – 3.2%
		Automotive – 0.8%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016		2,551,850
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,319,362

				3,871,212

		Diversified Manufacturing – 0.3%
	645,000	EMC Corp., Series B, 1.750%, 12/01/2013		1,210,988

		Metals & Mining – 0.9%
	2,250,000	Alpha Natural Resources, Inc., 2.375%, 4/15/2015		2,008,125


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

	Convertible Bonds – continued

		Metals & Mining – continued
$	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066	$	2,389,250

				4,397,375

		Pharmaceuticals – 0.3%
	1,255,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,438,544

		Technology – 0.9%
	1,120,000	Ciena Corp., 3.750%, 10/15/2018, 144A		1,264,200
	1,045,000	Intel Corp., 3.250%, 8/01/2039		1,469,531
	1,650,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		1,751,063

				4,484,794

		Total Convertible Bonds (Identified Cost $16,710,649)		15,402,913

		Total Bonds and Notes (Identified Cost $354,355,293)		350,954,811

	Senior Loans – 5.4%

		Automotive – 0.1%
	710,000	TI Automotive Limited, New Term Loan, 6.750%, 3/14/2018(b)		711,335

		Building Materials – 0.4%
	928,250	CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b)		888,799
	1,220,680	Nortek, Inc., Term Loan, 5.251%, 4/26/2017(f)		1,214,577

				2,103,376

		Chemicals – 0.2%
	515,000	PQ Corporation, 2nd Lien Term Loan, 6.750%, 7/30/2015(b)		493,664
	503,725	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)		504,354

				998,018

		Consumer Cyclical Services – 0.3%
	93,709	Instant Web, Inc., Delayed Draw Term Loan, 3.616%, 8/07/2014(b)		84,338
	893,374	Instant Web, Inc., Term Loan B, 3.616%, 8/07/2014(b)		804,037
	605,000	Monitronics International, Inc., Term Loan B, 5.500%, 3/16/2018(b)		604,873

				1,493,248

		Consumer Products – 0.5%
	1,220,000	NBTY, Inc., New Term Loan B, 4.250%, 10/02/2017(b)		1,220,122


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

		Consumer Products – continued
$	1,500,000	Visant Holding Corp., Term Loan B, 12/22/2016(g)	$	1,460,625

				2,680,747

		Diversified Manufacturing – 0.3%
	1,290,038	Edwards (Cayman Islands II) Limited, Extended 1st Lien Term Loan, 5.500%, 5/31/2016(b)		1,277,950

		Food & Beverage – 0.1%
	319,000	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(b)		313,896

		Health Insurance – 0.1%
	502,463	Multiplan, Inc., New Term Loan B, 4.750%, 8/26/2017(b)		497,127

		Healthcare – 0.3%
	750,656	Health Management Associates., Inc., New Term Loan A, 3.250%, 11/18/2016(b)		715,751
	508,719	Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(b)		480,739
	315,000	TriZetto Group, Inc., (The), Term Loan B, 5/02/2018(g)		314,212

				1,510,702

		Industrial Other – 0.3%
	446,098	CommScope, Inc., New Term Loan, 4.250%, 1/12/2018(b)		444,911
	803,000	Rexnord Corporation, Term Loan B, 5.000%, 4/02/2018(b)		802,165

				1,247,076

		Media Cable – 0.4%
	1,190,000	Cequel Communications, LLC, Term Loan B, 4.000%, 2/14/2019(b)		1,179,588
	590,000	Kabel Deutschland GMBH, Term Loan F, 4.250%, 2/01/2019(b)		587,262

				1,766,850

		Media Non-Cable – 0.3%
	2,376,000	RBS International Direct Marketing, LLC, Term Loan B, 7.250%, 3/23/2017(b)		1,425,600

		Pharmaceuticals – 0.5%
	1,056,571	Grifols, Inc., New Term Loan B, 4.500%, 6/01/2017(b)		1,055,028
	1,223,962	Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b)		1,223,962

				2,278,990

		Pipelines – 0.2%
	825,000	Energy Transfer Equity, L.P., New Term Loan B, 3.750%, 3/21/2017(b)		809,020

		Technology – 0.9%
	528,675	Blackboard, Inc., Term Loan B, 7.500%, 10/04/2018(b)		525,371


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

		Technology – continued
$	1,205,000	Eagle Parent, Inc., New Term Loan, 5/16/2018(g)	$	1,193,854
	787,000	Eastman Kodak Company, DIP Term Loan B, 7/19/2013(g)		799,458
	443,888	Kronos, Inc., Tranche C Term Loan, 6.250%, 12/28/2017(b)		446,475
	280,000	Lawson Software, Inc., Term Loan B, 3/30/2018(g)		277,200
	450,000	Nxp B.V., Incremental Term Loan B, 3/19/2019(g)		445,500
	498,744	Verint Systems, Inc., Term Loan, 4.500%, 10/27/2017(b)		497,188

				4,185,046

		Wireless – 0.3%
	438,900	Crown Castle International Corporation, Term Loan B, 4.000%, 1/31/2019(b)		437,008
	1,236,874	MetroPCS Wireless, Inc., Incremental Term Loan B3, 4.000%, 3/16/2018(b)		1,223,578

				1,660,586

		Wirelines – 0.2%
	1,000,000	Level 3 Financing, Inc., Term Loan B3, 5.750%, 8/31/2018(b)		1,008,960

		Total Senior Loans (Identified Cost $26,731,519)		25,968,527


Shares
	Common Stocks – 4.1%

		Chemicals – 0.3%
	35,700	Dow Chemical Co. (The)		1,236,648

		Diversified Telecommunication Services – 1.6%
	106,745	AT&T, Inc.		3,333,646
	157,778	Telefonica S.A., Sponsored ADR		2,589,137
	47,543	Verizon Communications, Inc.		1,817,569

				7,740,352

		Oil, Gas & Consumable Fuels – 1.2%
	11,400	Chevron Corp.		1,222,536
	17,200	ExxonMobil Corp.		1,491,756
	21,700	Royal Dutch Shell PLC, ADR		1,521,821
	33,125	Total S.A., Sponsored ADR		1,693,350

				5,929,463

		Paper & Forest Products – 0.1%
	14,100	International Paper Co.		494,910

		Pharmaceuticals – 0.2%
	15,000	Bristol-Myers Squibb Co.		506,250
	10,500	GlaxoSmithKline PLC, Sponsored ADR		471,555

				977,805


Shares		Description	Value (†)
	Common Stocks – continued

		Tobacco – 0.5%
	57,114	Altria Group, Inc.	$	1,763,109
	7,500	Philip Morris International, Inc.		664,575

				2,427,684

		Wireless Telecommunication Services – 0.2%
	37,300	Vodafone Group PLC, Sponsored ADR		1,032,091

		Total Common Stocks (Identified Cost $19,279,406)		19,838,953

	Preferred Stocks – 1.8%

	Convertible Preferred Stocks – 1.2%

		Automotive – 0.6%
	72,200	General Motors Co., Series B, 4.750%		3,021,570

		Banking – 0.5%
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%		2,501,408

		REITs - Healthcare – 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%		418,240

		Total Convertible Preferred Stocks (Identified Cost $6,386,592)		5,941,218

	Non-Convertible Preferred Stock – 0.6%

		Non-Captive Diversified – 0.6%
	102,000	Montpelier Re Holdings Ltd., 8.875% (Identified Cost $2,550,000)		2,779,500

		Total Preferred Stocks (Identified Cost $8,936,592)		8,720,718


Shares (†††)/Par Value(‡)
	Purchased Options – 0.3%

		Options on Securities – 0.2%
	600,000	Industrial Select Sector SPDR, Put expiring September 22, 2012 at 35(h)		816,000
	187,500	SPDR S&P 500 ETF Trust, Put expiring June 16, 2012 at 126(h)		178,125

				994,125

		Over-the-Counter Options on Currency – 0.1%
$	26,000,000	AUD Put, expiring August 16, 2012 at 0.9902(h)(i)		550,914

		Total Purchased Options (Identified Cost $3,803,180)		1,545,039


Principal Amount (‡)
	Short-Term Investments – 15.9%
	163,066	European Financial Stability Facility Treasury Bill, 0.000%, 9/12/2012, (EUR)		217,083
$	400,052	Repurchase Agreement with State Street Bank and Trust Company, dated 3/30/2012 at 0.000% to be repurchased at $400,052 on 4/02/2012 collateralized by $396,800 U.S. Treasury Note, 1.500% due 7/31/2016 valued at $408,088 including accrued interest(j)		400,052


Principal Amount (‡)		Description	Value (†)
$	60,811,580	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $60,811,580 on 4/02/2012 collateralized by $58,590,000 U.S. Treasury Note, 2.375% due 10/31/2014 valued at 62,032,163 including accrued interest(j)	$	60,811,580
	15,000,000	U.S. Treasury Bill, 0.147%, 9/20/2012(k)(l)		14,990,385

		Total Short-Term Investments (Identified Cost $76,420,604)		76,419,100

		Total Investments – 100.2% (Identified Cost $489,526,594)(a)		483,447,148
		Other assets less liabilities – (0.2)%		(869,905	)

		Net Assets – 100.0%	$	482,577,243

Shares (†††)/Par Value(‡)
	Written Options – (0.1)%

		Options on Securities – (0.1)%
	600,000	Industrial Select Sector SPDR , Put expiring September 22, 2012 at 29(h)	$	(228,000	)

		Over-the-Counter Options on Currency – (0.0)%
$	26,000,000	AUD Put, expiring August 16, 2012 at 0.8500(h)(i)		(116,480	)

		Total Written Options (Premiums Received $963,278)	$	(344,480	)

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

(†)

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

Senior loans are priced at bid prices supplied by an independent pricing service, if available.

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent 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 an independent pricing service, if available, or quotations obtained from broker-dealers.

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

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

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

Currency options are priced at the mid price (between the ask price and the bid price) supplied by an independent pricing service, if available.

Over-the-counter option contracts (including currency options not priced through an independent 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 Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

(†††)

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

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

At March 31, 2012, the net unrealized depreciation on investments based on a cost of $490,568,697 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	7,509,068
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,630,617	)

Net unrealized depreciation	$	(7,121,549	)

At December 31, 2011, the Fund had a short-term capital loss carryforward of $8,718,642 with no expiration date and a long-term capital loss carryforward of $3,652,873 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of March 31, 2012 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 is making partial payments with respect to interest and/or principal. Income is not being accrued.

(e)	Illiquid security. At March 31, 2012, the value of this security amounted to $486,009 or 0.1% of net assets.

(f)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2012.

(g)	Position is unsettled. Contract rate was not determined at March 31, 2012 and does not take effect until settlement date.

(h)

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

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying 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 Fund 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.

(i)	Counterparty is Credit Suisse.

(j)

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

(l)	All or a portion of this security has been pledged as collateral for open swap agreements and/or as initial margin for open futures contracts.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2012, the value of Rule 144A holdings amounted to $146,961,488 or 30.5% of net assets.

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

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

EMTN	Euro Medium Term Note

ETF	Exchange Traded Fund

MTN	Medium Term Note

REITs

Real Estate Investment Trusts

REMIC

Real Estate Mortgage Investment Conduit

SPDR	Standard & Poor’s Depositary Receipt

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

COP	Colombian Peso

EUR

Euro

GBP	British Pound

MXN	Mexican Peso

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also 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 the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

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

At March 31, 2012, the Fund had the following open credit default swap agreements:


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

Bank of America	Aetna, Inc.		(1.00	%)	6/20/2017	$	4,800,000		$	(115,795	)	$	(125,710	)	$	(9,915	)	$	(1,867	)
Bank of America	Bonos Y Obligaciones Del Estado		(1.00	%)	6/20/2017		4,700,000			661,148			670,979			9,831			(1,567	)
Bank of America	CDX 16 EM 500		(5.00	%)	12/20/2016		9,600,000			(960,407	)		(1,097,533	)		(137,126	)		(16,000	)
Bank of America	CDX 18 HY 500		(5.00	%)	6/20/2017		9,500,000			266,528			276,143			9,615			(17,153	)
Bank of America	Cigna Corp.		(1.00	%)	6/20/2017		4,800,000			(57,031	)		(65,878	)		(8,847	)		(1,867	)
Bank of America	ITRX Eur SUB FIN S17 500		(5.00	%)	6/20/2017		13,900,000	*		(1,412,562	)		(1,183,570	)		228,992			(30,677	)
Bank of America	JC Penney Corp., Inc.		(1.00	%)	3/20/2017		9,600,000			1,002,472			1,086,421			83,949			(3,200	)
Bank of America	Republic of Turkey		(1.00	%)	3/20/2017		4,800,000			322,482			277,426			(45,056	)		(1,600	)
Bank of America	Republic of Turkey		(1.00	%)	3/20/2017		4,800,000			273,420			277,426			4,006			(1,600	)
Bank of America	Safeway, Inc.		(1.00	%)	3/20/2017		1,950,000			40,969			56,044			15,075			(650	)
Bank of America	Sprint Nextel Corp.		(5.00	%)	3/20/2015		2,400,000			126,059			80,592			(45,467	)		(4,000	)
Bank of America	Textron Financial Corp.		(1.00	%)	3/20/2017		975,000			(29,763	)		(34,078	)		(4,315	)		(325	)
Bank of America	Textron Financial Corp.		(1.00	%)	6/20/2017		1,250,000			(38,569	)		(44,453	)		(5,884	)		(417	)



Bank of America	Westvaco Corp.	(1.00	%)	9/20/2016	6,300,000	209,684			(4,692	)		(214,376	)		(2,100	)
Bank of America	Westvaco Corp.	(1.00	%)	6/20/2017	4,800,000	24,195			27,189			2,994			(1,733	)
Credit Suisse	Macy’s Retail Holdings, Inc.	(1.00	%)	3/20/2017	9,500,000	45,213			28,328			(16,885	)		(3,167	)
Credit Suisse	Safeway, Inc.	(1.00	%)	3/20/2017	2,850,000	58,578			81,910			23,332			(950	)
Credit Suisse	Sprint Nextel Corp.	(5.00	%)	6/20/2015	2,400,000	95,932			96,773			841			(4,000	)
Deutsche Bank Securities, Inc.	JC Penney Corp., Inc.	(1.00	%)	3/20/2017	4,800,000	493,782			543,210			49,428			(1,600	)
JP Morgan Chase	Macy’s Retail Holdings, Inc.	(1.00	%)	3/20/2017	9,500,000	(7,965	)		28,328			36,293			(3,167	)
Morgan Stanley	CDX 16 EM 500	(5.00	%)	12/20/2016	15,000,000	(1,166,309	)		(1,714,895	)		(548,586	)		(25,000	)
Morgan Stanley	Marsh & McLennan Cos., Inc.	(1.00	%)	3/20/2017	14,500,000	(349,304	)		(365,832	)		(16,528	)		(4,833	)
Morgan Stanley	New York Times Co.	(1.00	%)	6/20/2017	4,800,000	416,697			425,436			8,739			(1,867	)
Morgan Stanley	Textron Financial Corp.	(1.00	%)	3/20/2017	2,000,000	(58,019	)		(69,904	)		(11,885	)		(667	)
Morgan Stanley	Textron Financial Corp.	(1.00	%)	3/20/2017	1,300,000	(37,804	)		(45,438	)		(7,634	)		(433	)
Morgan Stanley	Westvaco Corp.	(1.00	%)	6/20/2017	4,800,000	24,195			27,189			2,994			(1,733	)
UBS Securities	Bonos Y Obligaciones Del Estado	(1.00	%)	3/20/2017	4,800,000	561,202			654,867			93,665			(1,600	)

Total								$	(113,722	)	$	(502,750	)	$	(133,773	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date	Implied Credit Spread^			Notional Value (‡)			Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
Citigroup Global Markets	MGM Resorts International		5.00	%	9/20/2016		6.01	%	$	3,200,000		$	(462,601	)	$	(122,054	)	$	340,547		$	5,333
Deutsche Bank Securities, Inc.	Alcatel-Lucent		5.00	%	9/20/2016		9.49	%		4,400,000	*		(491,467	)		(876,783	)		(385,316	)		9,732
Morgan Stanley	Alcatel-Lucent		5.00	%	9/20/2016		9.49	%		3,800,000	*		(1,309	)		(757,222	)		(755,913	)		8,405
UBS Securities	Alcatel-Lucent		5.00	%	6/20/2016		9.33	%		2,700,000	*		73,106			(501,094	)		(574,200	)		5,972

Total															$	(2,257,153	)	$	(1,374,882	)	$	29,442

(‡)	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.

Forward Foreign Currency Contracts

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

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		4/11/2012	Australian Dollar		9,000,000	$	9,314,203	$	(228,047	)
Sell²		4/10/2012	Australian Dollar		5,700,000		5,899,663		203,441
Sell¹		4/11/2012	Australian Dollar		9,000,000		9,314,203		166,848
Sell¹		4/26/2012	Australian Dollar		18,300,000		18,906,766		(8,722	)
Sell¹		4/23/2012	Brazilian Real		11,000,000		5,998,419		28,648
Sell¹		5/02/2012	British Pound		3,785,000		6,052,977		(28,582	)
Sell¹		6/06/2012	British Pound		1,495,000		2,390,237		(7,783	)
Sell¹		4/19/2012	Canadian Dollar		15,610,000		15,644,663		56,403
Sell¹		5/02/2012	Colombian Peso		8,565,000,000		4,772,563		5,680
Sell²		6/27/2012	Colombian Peso		5,245,000,000		2,906,517		35,402
Buy¹		4/30/2012	Euro		897,000		1,196,466		8,979
Sell¹		4/05/2012	Euro		3,810,000		5,081,439		(10,001	)
Sell¹		4/13/2012	Euro		1,135,000		1,513,813		(22,242	)
Sell¹		4/16/2012	Euro		3,645,000		4,861,604		(36,641	)
Sell¹		4/24/2012	Euro		620,000		826,967		(24,837	)
Sell¹		4/27/2012	Euro		1,425,000		1,900,716		(8,886	)
Sell¹		4/30/2012	Euro		1,622,000		2,163,509		(48,320	)
Sell²		4/30/2012	Euro		2,715,000		3,621,410		(550	)
Buy¹		4/20/2012	Mexican Peso		54,570,000		4,258,321		9,645
Sell²		4/09/2012	Mexican Peso		70,000,000		5,468,216		(27,224	)
Sell¹		4/20/2012	Mexican Peso		111,000,000		8,661,786		74,313
Sell¹		5/09/2012	Swiss Franc		990,000		1,097,159		(19,549	)

Total								$	117,975

¹	Counterparty is Credit Suisse.

²	Counterparty is Bank of America.

Futures Contracts

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

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

At March 31, 2012, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
UK Long Gilt		6/27/2012		33	$	6,044,242	$	3,634

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		6/15/2012		195	$	13,681,200	$	(123,807	)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	350,954,811	$	—	$	350,954,811
Senior Loans*		—		25,968,527		—		25,968,527
Common Stocks*		19,838,953		—		—		19,838,953
Preferred Stocks*		8,720,718		—		—		8,720,718
Purchased Options*		994,125		550,914		—		1,545,039
Short-Term Investments		—		76,419,100		—		76,419,100

Total Investments		29,553,796		453,893,352		—		483,447,148

Credit Default Swap Agreements (unrealized appreciation)		—		910,301		—		910,301
Forward Foreign Currency Contracts (unrealized appreciation)		—		589,359		—		589,359
Futures Contracts (unrealized appreciation)		3,634		—		—		3,634

Total	$	29,557,430	$	455,393,012	$	—	$	484,950,442

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options*	$	(228,000	)	$	(116,480	)	$	—	$	(344,480	)
Credit Default Swap Agreements (unrealized depreciation)		—			(2,787,933	)		—		(2,787,933	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(471,384	)		—		(471,384	)
Futures Contracts (unrealized depreciation)		(123,807	)		—			—		(123,807	)

Total	$	(351,807	)	$	(3,375,797	)	$	—	$	(3,727,604	)

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes

Non-Convertible Bonds
Treasuries	$	11,102,109	$	10,191	$	(2,555,262	)	$	2,814,305	$	—	$	(11,371,343	)	$	—	$	—	$	—	$	—

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid quotations may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid quotations for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid quotations, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid quotations are used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid quotations, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the period ended March 31, 2012, the Fund used forward foreign currency, futures and option contracts and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund holdings of foreign securities. During the period ended March 31, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended March 31, 2012, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

whole or purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2012, the Fund engaged in futures and options transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2012, the Fund engaged in futures contracts for hedging purposes and to manage duration.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Citigroup	$	(122,054	)	$	270,826
Deutsche Bank		(333,573	)		491,685
Morgan Stanley		(2,941,558	)		3,225,931

Forward foreign currency contracts, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $5,167,866 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $1,140,877. These amounts do not take into account the value of collateral received by the Fund in the amount of $396,398.

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

The following is a summary of derivative instruments for the Fund, as of March 31, 2012:


Asset Derivatives	Interest Rate Contracts		Foreign Exchange Contracts			Credit Contracts			Equity Contracts
Purchased Options (at value)	$	—	$	550,914		$	—		$	994,125
Forwards (unrealized appreciation)		—		589,359			—			—
Futures (unrealized appreciation)		3,634		—			—			—
Swaps (unrealized appreciation)		—		—			910,301			—

Liability Derivatives	Interest Rate Contracts		Foreign Exchange Contracts			Credit Contracts			Equity Contracts
Written Options (at value)	$	—	$	(116,480	)	$	—		$	(228,000	)
Forwards (unrealized depreciation)		—		(471,384	)		—			—
Futures (unrealized depreciation)		—		—			—			(123,807	)
Swaps (unrealized depreciation)		—		—			(2,787,933	)		—

Industry Summary at March 31, 2012 (Unaudited)


Treasuries	11.0	%
Commercial Mortgage-Backed Securities	7.3
Banking	6.6
Wirelines	5.9
Collateralized Mortgage Obligations	4.2
Metals & Mining	3.9
Automotive	3.4
Chemicals	2.5
Government Owned - No Guarantee	2.4
Diversified Manufacturing	2.4
Wireless	2.3
Electric	2.3


ABS Home Equity	2.3
Technology	2.3
Industrial Other	2.0
Other Investments, less than 2% each	23.5
Short-Term Investments	15.9

Total Investments	100.2
Other assets less liabilities (including open written options, credit default swap agreements, forward foreign currency contracts and futures contracts)	(0.2	)

Net Assets	100.0	%

Currency Exposure at March 31, 2012 (Unaudited)


United States Dollar	78.5	%
Canadian Dollar	6.2
Mexican Peso	5.4
Euro	4.1
Brazilian Real	2.2
Other, less than 2% each	3.8

Total Investments	100.2
Other assets less liabilities (including open written options, credit default swap agreements, forward foreign currency contracts and futures contracts)	(0.2	)

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 46.4% of Net Assets

	Non-Convertible Bonds – 45.4%

		Airlines – 1.0%
$	300,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A	$	315,000

		Banking – 5.7%
	500,000	ABN Amro North American Holding Preferred Capital Repackage Trust I, (fixed rate to 11/8/2012, variable rate thereafter), 6.523%, 12/29/2049, 144A		405,000
	100,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		102,824
	500,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		432,500
	900,000	HSBC Holdings PLC, 4.000%, 3/30/2022		892,098

				1,832,422

		Building Materials – 1.4%
	435,000	USG Corp., 7.875%, 3/30/2020, 144A		435,544

		Chemicals – 2.7%
	290,000	Ineos Finance PLC, 8.375%, 2/15/2019, 144A		306,675
	250,000	Kinove German Bondco GmbH, 10.000%, 6/15/2018, 144A, (EUR)		346,762
	210,000	Methanex Corp., 5.250%, 3/01/2022		213,755

				867,192

		Collateralized Mortgage Obligations – 0.6%
	434,519	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.119%, 8/25/2046(b)		201,738

		Commercial Mortgage-Backed Securities – 2.0%
	700,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.980%, 8/10/2045(b)		624,522

		Construction Machinery – 3.3%
	300,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		308,250
	700,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		742,000

				1,050,250

		Food & Beverage – 1.1%
	400,000	Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		364,000

		Gaming – 1.5%
	475,000	Caesars Operating Escrow LLC/Caesars Escrow Corp., 8.500%, 2/15/2020, 144A		483,312


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

	Non-Convertible Bonds – continued

		Government Owned - No Guarantee – 1.3%
$	400,000	Petrobras International Finance Co., 5.375%, 1/27/2021(c)	$	430,696

		Home Construction – 1.4%
	250,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		252,500
	190,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		201,400

				453,900

		Independent Energy – 1.2%
	400,000	Bill Barrett Corp., 7.000%, 10/15/2022		386,000

		Media Cable – 3.8%
	250,000	Nara Cable Funding Ltd., 8.875%, 12/01/2018, 144A		237,500
	800,000	Nara Cable Funding Ltd., 8.875%, 12/01/2018, 144A, (EUR)		986,938

				1,224,438

		Media Non-Cable – 0.8%
	245,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		243,775

		Non-Captive Diversified – 3.1%
	1,000,000	International Lease Finance Corp., 4.875%, 4/01/2015		989,804

		Oil Field Services – 3.6%
	400,000	OGX Petroleo e Gas Participacoes S.A., 8.375%, 4/01/2022, 144A		404,000
	510,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		529,890
	200,000	Pioneer Drilling Co., 9.875%, 3/15/2018, 144A		212,000

				1,145,890

		Packaging – 1.1%
	270,000	Ardagh Packaging Finance PLC, 9.250%, 10/15/2020, 144A, (EUR)		365,504

		Pipelines – 1.0%
	105,000	Holly Energy Partners LP/Holly Energy Finance Corp., 6.500%, 3/01/2020, 144A		106,575
	200,000	Listrindo Capital BV, 6.950%, 2/21/2019, 144A		206,424

				312,999

		Refining – 1.0%
	295,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019		306,800

		Retailers – 2.0%
	360,000	Edcon Proprietary Ltd., 4.126%, 6/15/2014, (EUR)(b)		422,516


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

	Non-Convertible Bonds – continued

		Retailers – continued
$	250,000	Edcon Proprietary Ltd., 9.500%, 3/01/2018, 144A	$	226,250

				648,766

		Wireless – 3.8%
	600,000	VimpelCom Holdings BV, 7.504%, 3/01/2022, 144A		582,000
	500,000	Wind Acquisition Finance S.A., 11.750%, 7/15/2017, 144A, (EUR)		630,173

				1,212,173

		Wirelines – 2.0%
	400,000	Embarq Corp., 7.995%, 6/01/2036		404,306
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031		227,950

				632,256

		Total Non-Convertible Bonds (Identified Cost $14,257,388)		14,526,981

	Convertible Bonds – 1.0%

		Independent Energy – 1.0%
	330,000	Chesapeake Energy Corp., 2.500%, 5/15/2037 (Identified Cost $303,386)		304,012

		Total Bonds and Notes (Identified Cost $14,560,774)		14,830,993

	Senior Loans – 0.5%

		Technology – 0.5%
	150,870	Eastman Kodak Company, DIP Term Loan B, 8.500%, 7/19/2013(b) (Identified Cost $148,163)		153,259


Shares
	Common Stocks – 16.3%

		Auto Components – 1.0%
	4,700	Johnson Controls, Inc.		152,656
	3,300	TRW Automotive Holdings Corp.(d)		153,285

				305,941

		Beverages – 0.5%
	2,500	PepsiCo, Inc.		165,875

		Capital Markets – 0.9%
	15,000	Morgan Stanley		294,600

		Chemicals – 1.0%
	3,400	Celanese Corp., Series A		157,012
	2,800	Mosaic Co. (The)		154,812

				311,824


Shares		Description	Value (†)
	Common Stocks – continued

		Commercial Banks – 0.5%
	6,800	SunTrust Banks, Inc.	$	164,356

		Commercial Services & Supplies – 0.5%
	8,700	Pitney Bowes, Inc.		152,946

		Communications Equipment – 0.5%
	2,400	QUALCOMM, Inc.		163,248

		Computers & Peripherals – 1.1%
	140	Apple, Inc.(d)		83,926
	8,900	EMC Corp.(d)		265,932

				349,858

		Diversified Financial Services – 2.2%
	38,300	Bank of America Corp.		366,531
	7,400	JPMorgan Chase & Co.		340,252

				706,783

		Diversified Telecommunication Services – 0.5%
	6,400	Level 3 Communications, Inc.(d)		164,672

		Energy Equipment & Services – 1.0%
	8,900	Nabors Industries Ltd.(d)		155,661
	10,300	Weatherford International Ltd.(d)		155,427

				311,088

		Household Products – 0.5%
	2,400	Procter & Gamble Co. (The)		161,304

		Internet Software & Services – 1.5%
	1,000	Baidu, Inc., Sponsored ADR(d)		145,770
	500	Google, Inc., Class A(d)		320,620

				466,390

		Leisure Equipment & Products – 0.5%
	4,700	Hasbro, Inc.		172,584

		Metals & Mining – 0.5%
	2,500	Cliffs Natural Resources, Inc.		173,150

		Multi Utilities – 0.5%
	2,700	Consolidated Edison, Inc.		157,734

		Oil, Gas & Consumable Fuels – 1.0%
	3,600	ExxonMobil Corp.		312,228

		Pharmaceuticals – 0.5%
	7,400	Pfizer, Inc.		167,684

		Semiconductors & Semiconductor Equipment – 0.4%
	17,600	Micron Technology, Inc.(d)		142,560

		Software – 0.5%
	5,000	Microsoft Corp.		161,250


Shares		Description	Value (†)
	Common Stocks – continued

		Tobacco – 0.7%
	2,400	Philip Morris International, Inc.	$	212,664

		Total Common Stocks (Identified Cost $4,981,905)		5,218,739

	Preferred Stocks – 1.4%

		Non-Captive Diversified – 1.4%
	16,500	Montpelier Re Holdings Ltd., 8.875% (Identified Cost $412,500)		449,625

	Exchange Traded Funds – 6.4%
	4,500	Energy Select Sector SPDR Fund		322,785
	32,450	iShares MSCI Japan Index Fund		330,341
	15,200	iShares MSCI Mexico Investable Market Index Fund		950,304
	15,000	PowerShares DB Commodity Index Tracking Fund(d)(h)		431,700

		Total Exchange Traded Funds (Identified Cost $1,999,030)		2,035,130


Par Value(‡)
	Purchased Options – 0.5%

		Over-the-Counter Options on Currency – 0.5%
	3,100,000	AUD Put, expiring August 16, 2012 at 0.9902(e)(f)		65,686
	1,000,000	AUD Put, expiring September 06, 2012 at 1.0313(e)(f)		38,836
	620,000	AUD Put, expiring February 05, 2013 at 1.0396(e)(f)		40,612
	1,000,000	PEN Put, expiring September 25, 2012 at 2.7350(e)(g)		11,303

		Total Purchased Options (Identified Cost $297,704)		156,437


Principal Amount (‡)
	Short-Term Investments – 29.8%
$	345,000	Repurchase Agreement with State Street Bank and Trust Company, dated 3/30/2012 at 0.000% to be repurchased at $345,000 on 4/02/2012 collateralized by $355,000 Federal Home Loan Mortgage Corp., 0.550% due 2/13/2015 valued at $354,556 including accrued interest(h)(i)		345,000
	1,904,041	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $1,904,041 on 4/02/2012 collateralized by $1,845,000 U.S. Treasury Note, 2.625% due 6/30/2014 valued at $1,946,475 including accrued interest(i)		1,904,041
	7,300,000	U.S. Treasury Bills, 0.147-0.148%, 9/20/2012(c)(h)(j)(k)(l)		7,295,321

		Total Short-Term Investments (Identified Cost $9,543,897)		9,544,362

		Total Investments – 101.3% (Identified Cost $31,943,973)(a)		32,388,545
		Other assets less liabilities – (1.3)%		(413,772	)

		Net Assets – 100.0%	$	31,974,773


Par Value(‡)
	Written Options – (0.1%)

		Over-the-Counter Options on Currency – (0.1)%
$	3,100,000	AUD Put, expiring August 16, 2012 at 0.8500(e)(f)		(13,888	)
	1,000,000	PEN Put, expiring September 25, 2012 at 3.2000(e)(g)		(3,264	)

		Total Written Options (Premiums Received $92,029)	$	(17,152	)

Consolidation

The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2012, the value of the Fund’s investment in the Subsidiary was $4,175,814, representing 13.1% of the Fund’s net assets.

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

(†)

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

Senior loans are priced at bid prices supplied by an independent pricing service, if available.

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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.

Futures contracts are valued at their most recent settlement price.

Credit default swap agreements are valued based on mid prices supplied by an independent 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 an independent pricing service, if available, or quotations obtained 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 asked 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 an independent pricing service, if available.

Over-the-counter options contracts (including currency options not priced through an independent 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.

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

At March 31, 2012, the net unrealized appreciation on investments based on a cost of $31,946,617 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	$	827,374
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(385,446	)

Net unrealized appreciation	$	441,928

At December 31, 2011, the Fund had a short-term capital loss carryforward of $4,196,341 with no expiration date. At December 31, 2011, late year ordinary loss deferrals were $215,468. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of March 31, 2012 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)	Non-income producing security.

(e)

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

(f)	Counterparty is Credit Suisse.

(g)	Counterparty is Bank of America.

(h)	All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary.

(i)

(j)	All or a portion of this security has been pledged as collateral for open swap agreements and/or as initial margin for open futures contracts.

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

(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

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.

SPDR	Standard & Poor’s Depositary Receipt

AUD	Australian Dollar

EUR

Euro

PEN	Peruvian Nuevo Sol

Swap Agreements

The Fund 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 Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also 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.

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.

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

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 Fund covers its net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.

At March 31, 2012, the Fund had the following open credit default swap agreements:


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

Morgan Stanley	Republic of South Africa		(1.00	%)		6/20/2017	$	500,000	$	15,704	$	14,925	$	(779	)	$	(167	)
Morgan Stanley	State Bank of India		(1.00	%)		12/20/2016		250,000		24,838		21,776		(3,062	)		(83	)
Morgan Stanley	State of Israel		(1.00	%)		3/20/2017		1,000,000		42,239		38,778		(3,461	)		(333	)
UBS AG	Republic of Turkey		(1.00	%)		6/20/2017		750,000		44,480		46,941		2,461			(250	)

Total											$	122,420	$	(4,841	)	$	(833	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value		Unamortized Up Front Premium Paid/(Received)		Market Value		Unrealized Appreciation (Depreciation)		Fees Receivable/ (Payable)
Sell Protection

Credit Suisse	Ford Motor Company		5.00	%		6/20/2017		2.70	%	$	1,000,000	$	99,423	$	108,931	$	9,508	$	1,667


Credit Suisse	Morgan Stanley	1.00	%	6/20/2017	3.09	%	1,000,000	(99,617	)		(95,569	)		4,048		333
UBS AG	Dillard’s, Inc.	5.00	%	3/20/2017	3.09	%	250,000	18,779			21,571			2,792		417

Total										$	34,933		$	16,348	$	2,417

^{^}

At March 31, 2012, 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		04/30/2012	$	2,500,000	$	—
Citibank	Dow Jones-UBS Commodity Index	0.00%		04/30/2012		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.

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

Forward Foreign Currency Contracts

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Buy³		4/19/2012	Australian Dollar		910,000	$	940,917	$	(14,899	)
Sell³		4/19/2012	Australian Dollar		910,000		940,917		319
Buy⁴		4/02/2012	Canadian Dollar		480,000		481,227		(3,695	)
Buy³		4/27/2012	Canadian Dollar		475,000		475,980		(1,868	)
Sell⁴		4/02/2012	Canadian Dollar		480,000		481,227		(2,271	)
Buy³		4/09/2012	Chilean Peso		228,000,000		466,284		(3,625	)
Sell³		4/09/2012	Chilean Peso		228,000,000		466,284		(2,964	)
Buy⁵		7/25/2012	Chinese Renminbi		24,300,000		3,852,984		46,428
Sell⁵		7/25/2012	Chinese Renminbi		12,150,000		1,926,492		7,759
Sell⁵		7/25/2012	Chinese Renminbi		12,150,000		1,926,492		(22,402	)
Buy³		4/10/2012	Euro		720,000		960,292		5,354
Buy⁴		4/11/2012	Euro		100,000		133,375		2,118
Buy³		4/16/2012	Euro		235,000		313,437		4,443
Sell³		4/10/2012	Euro		720,000		960,292		(8,380	)
Sell⁴		4/11/2012	Euro		100,000		133,375		(1,108	)
Sell³		4/16/2012	Euro		235,000		313,437		(47	)
Sell⁴		4/16/2012	Euro		260,000		346,781		(6,230	)


Sell³	4/17/2012	Euro	770,000	1,027,010		(1,365	)
Sell³	4/23/2012	Euro	420,000	560,201		(4,457	)
Sell⁶	4/23/2012	Euro	250,000	333,453		(4,512	)
Sell³	4/27/2012	Euro	310,000	413,489		(1,933	)
Sell³	4/30/2012	Euro	240,000	320,125		(47	)
Sell³	4/09/2012	Indian Rupee	23,500,000	460,735		1,045
Sell³	4/09/2012	Indian Rupee	25,800,000	505,829		(5,441	)
Buy³	4/16/2012	Japanese Yen	36,800,000	444,653		58
Sell³	4/16/2012	Japanese Yen	77,000,000	930,388		710
Buy³	4/09/2012	Mexican Peso	6,000,000	468,704		3,335
Sell³	4/09/2012	Mexican Peso	6,000,000	468,704		(9,195	)
Sell³	4/30/2012	South Korean Won	550,000,000	484,396		(879	)
Sell³	4/09/2012	Turkish Lira	835,000	467,738		(4,493	)

Total					$	(28,242	)

At March 31, 2012, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive³/Units of Currency

Unrealized
Appreciation
(Depreciation)

4/16/2012

Singapore Dollar 776,500

Mexican Peso 7,765,000

(11,553

)

³	Counterparty is Credit Suisse.

⁴	Counterparty is Morgan Stanley.

⁵	Counterparty is UBS AG.

⁶	Counterparty is Bank of America.

Futures Contracts

At March 31, 2012, open futures contracts purchased were as follows:


Commodity Futures⁷	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/13/2012		3	$	368,640	$	(2,228	)
Corn		12/14/2012		15		405,187		(23,293	)
Light Sweet Crude Oil		5/22/2012		20		2,070,800		22,123

Total							$	(3,398	)

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500		6/15/2012		24	$	1,683,840	$	(15,283	)
FTSE JSE Top 40		6/21/2012		16		622,542		13,061


IBEX 35	4/20/2012	4	422,649		1,559
SGX CNX Nifty	4/26/2012	75	799,200		(12,668	)
10 Year U.S. Treasury Note	6/20/2012	10	1,294,844		529
30 Year U.S. Treasury Bond	6/20/2012	3	413,250		14,362

Total				$	1,560


Commodity Futures⁷	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Light Sweet Crude Oil		4/20/2012		20	$	2,060,400	$	6,747
Wheat		12/14/2012		15		534,000		1,040

Total							$	7,787

⁷	Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Bonds and Notes*	$	—		$	14,830,993		$	—	$	14,830,993
Senior Loans*		—			153,259			—		153,259
Common Stocks*		5,218,739			—			—		5,218,739
Preferred Stocks*		449,625			—			—		449,625
Exchange Traded Funds		2,035,130			—			—		2,035,130
Purchased Options*		—			156,437			—		156,437
Short-Term Investments		—			9,544,362			—		9,544,362

Total Investments		7,703,494			24,685,051			—		32,388,545

Credit Default Swap Agreements (unrealized appreciation)		—			18,809			—		18,809
Total Return Swap Agreements		—			—			—		—
Forward Foreign Currency Contracts (unrealized appreciation)		—			71,569			—		71,569
Futures Contracts (unrealized appreciation)		59,421			—			—		59,421

Total	$	7,762,915		$	24,775,429		$	—	$	32,538,344


Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Written Options	$	—		$	(17,152	)	$	—	$	(17,152	)
Credit Default Swap Agreements (unrealized depreciation)		—			(7,302	)		—		(7,302	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(111,364	)		—		(111,364	)
Futures Contracts (unrealized depreciation)		(53,472	)		—			—		(53,472	)

Total	$	(53,472	)	$	(135,818	)	$	—	$	(189,290	)

*	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 March 31, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Purchased Options	$	29,702	$	—	$	—	$	—	$	—	$	—	$	—	$	(29,702	)	$	—	$	—

Liability Valuation Inputs


Investments in Securities	Balance as of December 31, 2011			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Options Closed		Options Written		Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Written Options	$	(6,044	)	$	—	$	—	$	—	$	—	$	—	$	—	$	(6,044	)	$	—	$	—

Purchased and written currency option contracts valued at $29,702 and ($6,044), respectively, were transferred from Level 3 to Level 2 during the period ended March 31, 2012. At December 31, 2011, these contracts were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at March 31, 2012, these contracts were valued at the mid price supplied by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

The 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 period ended March 31, 2012, the Fund used forward foreign currency, futures and options contracts, credit default swap agreements (as a protection seller) and total return swap agreements to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge their credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended March 31, 2012, the Fund engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in the equity market as a whole or purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2012, the Fund engaged in futures and options transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2012, the Fund engaged in futures contracts for hedging purposes and to manage duration.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options and swap agreements. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2012, the Fund did not hold any 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, over-the-counter options and swap agreements are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $480,928 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $256,843. These amounts do not take into account the value of collateral received by the Fund in the amount of $261,119.

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

The following is a summary of derivative instruments for the Fund, as of March 31, 2012:


Asset Derivatives	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts
Purchased Options (at value)	$	—	$	156,437	$	—	$	—	$	—
Forwards (unrealized appreciation)		—		71,569		—		—		—
Futures (unrealized appreciation)		14,891		—		—		14,620		29,910
Swaps (unrealized appreciation)		—		—		18,809		—		—


Liability Derivatives	Interest Rate Contracts		Foreign Exchange Contracts			Credit Contracts			Equity Contracts			Commodity Contracts
Written Options (at value)	$	—	$	(17,152	)	$	—		$	—		$	—
Forwards (unrealized depreciation)		—		(111,364	)		—			—			—
Futures (unrealized depreciation)		—		—			—			(27,951	)		(25,521	)
Swaps (unrealized depreciation)		—		—			(7,302	)		—			—

Industry Summary at March 31, 2012 (Unaudited)


Exchange Traded Funds	6.4	%
Banking	5.7
Non-Captive Diversified	4.5
Media Cable	3.8
Wireless	3.8
Chemicals	3.7
Oil Field Services	3.6
Construction Machinery	3.3
Diversified Financial Services	2.2
Independent Energy	2.2
Retailers	2.0
Wirelines	2.0
Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	26.3
Short-Term Investments	29.8

Total Investments	101.3
Other assets less liabilities (including open written options, swap agreements, forward foreign currency contracts and futures contracts)	(1.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2012 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 93.5% of Net Assets

		Auto Components – 2.9%
	18,425	Autoliv, Inc.	$	1,235,396
	93,425	Delphi Automotive PLC(b)		2,952,230
	22,875	Tenneco, Inc.(b)		849,806

				5,037,432

		Capital Markets – 2.7%
	252,900	Apollo Investment Corp.		1,813,293
	144,975	SEI Investments Co.		2,999,533

				4,812,826

		Chemicals – 4.4%
	20,950	Airgas, Inc.		1,863,921
	30,275	Celanese Corp., Series A		1,398,100
	24,475	FMC Corp.		2,590,923
	33,175	International Flavors & Fragrances, Inc.		1,944,055

				7,796,999

		Commercial Banks – 4.5%
	37,700	Comerica, Inc.		1,219,972
	333,125	First Niagara Financial Group, Inc.		3,277,950
	540,600	Huntington Bancshares, Inc.		3,486,870

				7,984,792

		Computers & Peripherals – 2.2%
	180,100	NCR Corp.(b)		3,909,971

		Consumer Finance – 2.0%
	110,175	Ezcorp, Inc., Class A(b)		3,575,730

		Containers & Packaging – 3.7%
	111,800	Crown Holdings, Inc.(b)		4,117,594
	84,725	Packaging Corp. of America		2,507,013

				6,624,607

		Distributors – 1.2%
	69,600	LKQ Corp.(b)		2,169,432

		Electric Utilities – 4.1%
	60,900	Edison International		2,588,859
	134,025	Great Plains Energy, Inc.		2,716,687
	115,025	N.V. Energy, Inc.		1,854,203

				7,159,749

		Energy Equipment & Services – 1.8%
	17,400	Helmerich & Payne, Inc.		938,730
	86,975	Superior Energy Services, Inc.(b)		2,292,661

				3,231,391

		Food Products – 2.8%
	38,975	Corn Products International, Inc.		2,246,909


Shares		Description	Value (†)
	Common Stocks – continued

		Food Products – continued
	33,175	J.M. Smucker Co. (The)	$	2,699,118

				4,946,027

		Health Care Equipment & Supplies – 0.6%
	19,325	Sirona Dental Systems, Inc.(b)		996,011

		Health Care Providers & Services – 2.4%
	120,825	HCA Holdings, Inc.		2,989,210
	14,175	Laboratory Corp. of America Holdings(b)		1,297,580

				4,286,790

		Health Care Technology – 1.6%
	174,425	Allscripts Healthcare Solutions, Inc.(b)		2,895,455

		Hotels, Restaurants & Leisure – 0.7%
	25,450	Darden Restaurants, Inc.		1,302,022

		Household Durables – 1.7%
	76,025	Jarden Corp.		3,058,486

		Insurance – 4.1%
	68,300	Reinsurance Group of America, Inc., Class A		4,061,801
	147,550	XL Group PLC		3,200,359

				7,262,160

		Internet Software & Services – 1.1%
	103,750	Digital River, Inc.(b)		1,941,163

		IT Services – 4.1%
	95,050	Broadridge Financial Solutions, Inc.		2,272,645
	39,625	Fiserv, Inc.(b)		2,749,579
	47,150	Global Payments, Inc.		2,239,625

				7,261,849

		Leisure Equipment & Products – 1.4%
	65,725	Hasbro, Inc.		2,413,422

		Life Sciences Tools & Services – 2.4%
	48,325	Agilent Technologies, Inc.		2,150,946
	43,500	Life Technologies Corp.(b)		2,123,670

				4,274,616

		Machinery – 5.9%
	30,925	AGCO Corp.(b)		1,459,969
	16,750	Flowserve Corp.		1,934,793
	54,775	Navistar International Corp.(b)		2,215,649
	39,625	Snap-on, Inc.		2,415,936
	41,250	WABCO Holdings, Inc.(b)		2,494,800

				10,521,147

		Media – 3.3%
	81,625	CBS Corp., Class B		2,767,904
	60,900	Discovery Communications, Inc., Class A(b)		3,081,540

				5,849,444


Shares		Description	Value (†)
	Common Stocks – continued

		Multi Utilities – 2.7%
	98,250	CMS Energy Corp.	$	2,161,500
	75,700	Wisconsin Energy Corp.		2,663,126

				4,824,626

		Multiline Retail – 1.6%
	65,725	Big Lots, Inc.(b)		2,827,489

		Oil, Gas & Consumable Fuels – 2.7%
	72,175	El Paso Corp.		2,132,771
	15,150	Noble Energy, Inc.		1,481,367
	10,950	Pioneer Natural Resources Co.		1,221,911

				4,836,049

		Pharmaceuticals – 2.6%
	38,036	Valeant Pharmaceuticals International, Inc.(b)		2,042,153
	153,025	Warner Chilcott PLC, Class A(b)		2,572,350

				4,614,503

		Professional Services – 2.8%
	61,200	Towers Watson & Co., Class A		4,043,484
	19,325	Verisk Analytics, Inc., Class A(b)		907,695

				4,951,179

		REITs - Apartments – 1.5%
	101,800	Apartment Investment & Management Co., Class A		2,688,538

		REITs - Hotels – 1.3%
	144,348	Host Hotels & Resorts, Inc.		2,370,194

		REITs - Office Property – 1.0%
	22,950	SL Green Realty Corp.		1,779,773

		Semiconductors & Semiconductor Equipment – 2.3%
	44,775	Altera Corp.		1,782,940
	56,375	Avago Technologies Ltd.		2,196,934

				3,979,874

		Software – 8.0%
	63,475	BMC Software, Inc.(b)		2,549,156
	34,800	Intuit, Inc.		2,092,524
	51,550	Nuance Communications, Inc.(b)		1,318,649
	101,475	Parametric Technology Corp.(b)		2,835,211
	90,525	Rovi Corp.(b)		2,946,589
	51,875	Solera Holdings, Inc.		2,380,544

				14,122,673

		Specialty Retail – 1.3%
	46,725	Signet Jewelers Ltd.		2,209,158

		Textiles, Apparel & Luxury Goods – 1.2%
	23,850	PVH Corp.		2,130,520

		Tobacco – 1.5%
	20,625	Lorillard, Inc.		2,670,525


Shares		Description	Value (†)
	Common Stocks – continued

		Trading Companies & Distributors – 1.4%
	36,400	WESCO International, Inc.(b)	$	2,377,284

		Total Common Stocks (Identified Cost $150,373,853)		165,693,906

	Closed End Investment Companies – 1.5%
	159,475	Ares Capital Corp. (Identified Cost $2,385,821)		2,607,416


Principal Amount
	Short-Term Investments – 7.8%
$	13,778,343	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $13,778,343 on 4/02/2012 collateralized by $13,230,000 Federal Home Loan Bank, 2.750% due 3/13/2015 valued at $14,056,875 including accrued interest(c) (Identified Cost $13,778,343)		13,778,343

		Total Investments – 102.8% (Identified Cost $166,538,017)(a)		182,079,665
		Other assets less liabilities – (2.8)%		(4,963,365	)

		Net Assets – 100.0%	$	177,116,300

(†)

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

At March 31, 2012, the net unrealized appreciation on investments based on a cost of $166,538,017 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	18,875,775
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,334,127	)

Net unrealized appreciation	$	15,541,648

At December 31, 2011, post-October loss deferrals were $785,235. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	165,693,906	$	—	$	—	$	165,693,906
Closed End Investment Companies		2,607,416		—		—		2,607,416
Short-Term Investments		—		13,778,343		—		13,778,343

Total	$	168,301,322	$	13,778,343	$	—	$	182,079,665

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

For the period ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at March 31, 2012 (Unaudited)


Software	8.0	%
Machinery	5.9
Commercial Banks	4.5
Chemicals	4.4
Insurance	4.1
IT Services	4.1
Electric Utilities	4.1
Containers & Packaging	3.7
Media	3.3
Auto Components	2.9
Professional Services	2.8
Food Products	2.8
Oil, Gas & Consumable Fuels	2.7
Multi Utilities	2.7
Capital Markets	2.7
Pharmaceuticals	2.6
Health Care Providers & Services	2.4
Life Sciences Tools & Services	2.4
Semiconductors & Semiconductor Equipment	2.3
Computers & Peripherals	2.2
Consumer Finance	2.0
Other Investments, less than 2% each	22.4


Short-Term Investments	7.8

Total Investments	102.8
Other assets less liabilities	(2.8	)

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS


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

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		May 18, 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:		May 18, 2012

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 18, 2012

EX-99.CERT 2 d338554dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 18, 2012

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 18, 2012

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer