UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-00242
Natixis Funds Trust II
(Exact name of Registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: December 31
Date of reporting period: December 31, 2012
Item 1. Reports to Stockholders.
The Registrants annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
ANNUAL REPORT
December 31, 2012
CGM Advisor Targeted Equity Fund
Harris Associates Large Cap Value Fund
McDonnell Intermediate Municipal Bond Fund
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Management Discussion and Performance page 1
Portfolio of Investments page 26
Financial Statements page 44
CGM ADVISOR TARGETED EQUITY FUND
1 |
groups in the S&P 500® for the year. Key contributors to fund performance included Citigroup, Morgan Stanley and JPMorgan Chase. Citigroup, a leading global financial services company, continued to make strong progress as management scaled back unsuccessful operations within the company. The firm also witnessed strong growth in its lending and investment banking operations. Morgan Stanley, one of the worlds largest diversified financial services companies, increased its position in the wealth management business through the acquisition of a significant piece of the Salomon Smith Barney global wealth management operation. Going forward, we anticipate further improvement in the profit contribution of the firms investment banking and trading operations. JPMorgan & Chase, a prominent global financial services firm, made significant earnings progress despite large losses from errant trades that originated in the banks chief investment office. Since announcing the problem in May, JPMorgan has worked to reassure skittish investors. The bank has broadly reshuffled its management ranks and united some of its business operations, which helped support its share price. We continue to hold all three issues.
Global economic challenges caused several of the funds cyclical stocks (stocks whose profitability, and therefore share prices, track the growth of the wider economy) to decline during the period, dampening the funds performance. Detractors included Google, Nordstrom and Occidental Petroleum. Nordstrom, an upscale fashion specialty retailer of clothing, shoes and accessories, failed to meet our expectations. The stock was sold because of disappointing sales. The fund also experienced a loss from Occidental Petroleum, a California-based oil and gas exploration and production company. Earnings prospects for the company suffered as a result of the diminished outlook for crude oil pricing, reflecting weakness in the global economy. We also lost ground with Google, the dominant Internet search engine. Third quarter earnings for the company proved disappointing when a consumer transition toward mobile computing from PCs reduced the revenue-per-transaction for the company. Both stocks were sold at a loss.
Outlook
We continue to believe that U.S. growth will provide a positive stage for companies with a strong exposure to the U.S. economy. An improved housing market and increased construction activity will likely give the economy a lift after years of stagnation. Meanwhile, the unemployment rate is at its lowest level since the end of the recession in June 2009, and strong U.S. car sales should help to continue to power U.S. growth in the months ahead.
| 2
CGM ADVISOR TARGETED EQUITY FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares
December 31, 2002 through December 31, 2012
3 |
Average Annual Total Returns December 31, 2012
1 Year | 5 Years | 10 Years | ||||||||||
Class A (Inception 11/27/68) | ||||||||||||
NAV | 15.44 | % | -2.45 | % | 9.03 | % | ||||||
With 5.75% Maximum Sales Charge | 8.82 | -3.60 | 8.38 | |||||||||
Class B (Inception 2/28/97) | ||||||||||||
NAV | 14.54 | -3.18 | 8.21 | |||||||||
With CDSC1 | 9.54 | -3.54 | 8.21 | |||||||||
Class C (Inception 9/1/98) | ||||||||||||
NAV | 14.45 | -3.19 | 8.22 | |||||||||
With CDSC1 | 13.45 | -3.19 | 8.22 | |||||||||
Class Y (Inception 6/30/99) | ||||||||||||
NAV | 15.69 | -2.21 | 9.34 | |||||||||
Comparative Performance | ||||||||||||
S&P 500® Index2 | 16.00 | 1.66 | 7.10 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
| 4
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Management Discussion
5 |
and business services. In addition, its video subscriber losses slowed as the competitive dynamics of the pay TV market stabilized. The higher revenue and margin trends, along with continued reductions in capital intensity in the cable business, led to strong free cash flow growth and further returns of capital to shareholders. Wells Fargo continues to execute well in an improving environment. As the year progressed, the companys earnings grew due to lower credit costs, higher mortgage volumes and reduced expenses. Wells Fargo also shared more of those earnings with shareholders, having nearly doubled its dividend to 88 cents per share early in 2012. We believe substantial room for profit improvement remains in the years to come as credit and other workout costs normalize, cross-selling metrics improve and the share base is reduced. JP Morgan Chase has seen strong earnings per share growth, driven by improving credit trends and excellent company-wide execution. We believe that the hedging loss in the corporate treasury function, dubbed by the media as the London Whale, was uncharacteristic and disappointing. We believe management dealt with the situation in a transparent and expedient manner and that the incident will not jeopardize the companys long-term earning power.
Among the largest detractors from fund returns for the 12 months were Intel, Ultra Petroleum and Apache. Intel, the global leader in semiconductors, felt the global economic slowdown, but continued to generate large amounts of free cash. We believe the company is well-positioned for growth in both developed and emerging markets, as it has streamlined manufacturing processes to reduce costs and sustain strong margins. We see Intel widening its lead over competitors in its core microprocessor business and becoming more competitive in the smartphone and tablet segments. Ultra Petroleum, which was sold from the fund during the first half of 2012, was adversely affected by declining natural gas prices. In May, the company reported that first-quarter revenue fell short of expectations, and management said it would further reduce its planned capital spending in response to weak gas prices. Apaches share price was hurt by declines in the price of North American oil and natural gas liquids and by the ongoing turmoil in Egypt, the companys largest international operation. The reliance on Egypt should diminish, given Apaches recent acquisitions and production growth in the United States. The companys inexpensive valuation, large resource base and strong free cash flow make it an attractive investment in our view.
Outlook
Our fundamental view has not changed: We expect a continuation of solid corporate performance. Balance sheets, cost control and prodigious free cash flow imply rising returns to shareholders. Additional positives include a more certain recovery in housing markets and the benefits of new, low-cost, domestic energy resources. Stock prices reflect some of this good news, but the cautious positioning of most investors has kept valuations very reasonable and reduced the market risk from a macro surprise or disappointment. We continue to believe the short-term risks are overblown and that the scarcity of true, long-term capital in the equity market creates a favorable environment for investors.
| 6
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares3
December 31, 2002 through December 31, 2012
7 |
Average Annual Total Returns December 31, 20123
1 Year | 5 Years | 10 Years | ||||||||||
Class A (Inception 5/6/31) | ||||||||||||
NAV | 17.03 | % | 2.24 | % | 5.99 | % | ||||||
With 5.75% Maximum Sales Charge | 10.27 | 1.04 | 5.37 | |||||||||
Class B (Inception 9/13/93) | ||||||||||||
NAV | 16.22 | 1.49 | 5.21 | |||||||||
With CDSC1 | 11.22 | 1.11 | 5.21 | |||||||||
Class C (Inception 5/1/95) | ||||||||||||
NAV | 16.13 | 1.48 | 5.20 | |||||||||
With CDSC1 | 15.13 | 1.48 | 5.20 | |||||||||
Class Y (Inception 11/18/98) | ||||||||||||
NAV | 17.33 | 2.54 | 6.35 | |||||||||
Comparative Performance | ||||||||||||
Russell 1000® Value Index2 | 17.51 | 0.59 | 7.38 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | Russell 1000® Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 8
McDonnell Intermediate Municipal Bond Fund
Management Discussion
9 |
VAUGHAN NELSON SMALL CAP VALUE FUND
Management Discussion
| 10
investment is shrinking due to competition from new technologies (including the cloud,) which allows users to access data, software and hardware resources over a network typically the Internet to a heavier focus on software and services.
In industrials, United Rentals, which rents construction and other equipment, benefited from a trend among users to rent, rather than own this costly equipment. We expect an expansion of commercial construction in 2013, and United has moved higher in anticipation of stronger earnings. Containerboard maker Packaging Corporation also rose as it gained market share and pricing power within its market. Valmont Industries, makers of fabricated metal products for a range of applications, also rose.
Corrections Corporation of America, the nations leading for-profit prison operator, manages prisons under contract to federal and state governments and owns and operates others. The shares continued to perform well as CCA expands operations. A.O. Smith, makers of water heaters and boilers, responded favorably to the turnaround in the housing industry. KAR Auction Services saw sales opportunities grow as new car sales and strong leasing markets expanded the volume of used cars coming to auction. KARs growing Internet presence also enhanced growth.
DSW, a warehouse shoe retailer, has executed its business plan extremely well and delivered good earnings. DSW has opened new stores while enhancing productivity and broadening the merchandise offerings. In financials, Ares Capital, which lends to mid-sized businesses, enjoyed good credit experience and saw its loan volume increase. Ares is structured as a business development corporation, which requires it to pay out the bulk of its earnings to shareholders, who have enjoyed generous yields.
Among disappointments in technology was RF Micro Devices, whose products are widely used in cell phones and other devices. RF saw slowing demand and increased competition in China as well as order cutbacks from one of its largest customers. Qlogic and Super Micro Computer were also weak amid declining demand for hardware infrastructure.
In energy, contract driller Unit Corporation declined, as falling natural gas prices brought reduced utilization of its rigs. Discount retailer Big Lots struggled as the economy hurt sales of discretionary items and competitors put pricing pressure on consumable items.
Consolidated Graphics, a commercial printing company, experienced slower sales as businesses cut back and smaller competitors applied price pressure.
Outlook
Economic growth remains on the weak side. But despite obvious macro risks, the economy has the potential to do better in 2013 if Washington provides clarity on taxes, budgets and regulations. Equities do not appear expensive to us; there are many growing companies whose stocks trade at good valuations. We seek those that are growing a little faster than their groups, but we are careful not to overpay. Growing strength in housing is helping to shore up consumer confidence and should help boost employment, and retail sales appear healthy. We added to banks where we found good value and shed utilities early in the year. The fund remains underweight in financials, but we are finding opportunities among cyclical sectors such as industrials, technology and materials.
11 |
VAUGHAN NELSON SMALL CAP VALUE FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares3
December 31, 2002 through December 31, 2012
See Notes to Charts on Page 13.
| 12
Average Annual Total Returns December 31, 20123
1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Class A (Inception 12/31/96) | ||||||||||||||||
NAV | 14.93 | % | 6.72 | % | 11.78 | % | | |||||||||
With 5.75% Maximum Sales Charge | 8.34 | 5.47 | 11.13 | | ||||||||||||
Class B (Inception 12/31/96) | ||||||||||||||||
NAV | 14.12 | 5.93 | 10.95 | | ||||||||||||
With CDSC1 | 9.12 | 5.68 | 10.95 | | ||||||||||||
Class C (Inception 12/31/96) | ||||||||||||||||
NAV | 14.08 | 5.92 | 10.95 | | ||||||||||||
With CDSC1 | 13.08 | 5.92 | 10.95 | | ||||||||||||
Class Y (Inception 8/31/06) | ||||||||||||||||
NAV | 15.18 | 7.01 | | 8.09 | ||||||||||||
Comparative Performance | ||||||||||||||||
Russell 2000® Value Index2 | 18.05 | 3.55 | 9.50 | 2.68 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
13 |
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Management Discussion
| 14
In the technology sector, the fund benefited from an overweight relative to the benchmark in NCR, one of the largest makers of ATMs and point-of-sale terminals, which gained significant ground. NCR broadened its offerings and generated new sales through software and service products that carry higher margins. In the financial sector, SEI Investments, which is not included in the index, boosted relative return. SEI, which provides investment processing and other services for institutional clients, enjoyed added sales as it introduced new products.
Fund disappointments during the period included Rovi Corporation in the technology sector, a stock that is not included in the index. Rovi declined as some of its more mature businesses are shrinking, reducing growth prospects. We continue to hold the shares based on the potential of its digital entertainment guides and interactive programming for cable and satellite providers. Allscripts Healthcare Solutions detracted from results in the wake of some execution issues and the need to restate earlier earnings. Allscripts helps physicians and other health care providers cut costs and reduce errors by automating their practices. Allscripts has a strong client roster and we are optimistic about its future. The fund had more exposure than the index to EZCorp, which operates pawnshops and offers payday loans in the United States and Mexico. The sputtering economy caused earnings growth to stall in the United States, but business has been stronger elsewhere. Lower gold prices have pressured the companys jewelry scrapping business, which melts and resells gold items that pawn customers have abandoned. Growth plans are moving ahead in Mexico and we believe the company has attractive long-term potential despite the issues often associated with payday lending. In the industrials sector, Navistar suffered from slow demand for heavy trucks amid the sluggish economy and fewer new orders as its engines failed to meet more rigorous EPA emissions standards. New leadership appears to be taking corrective steps, with trucks now incorporating a new engine that meets emission guidelines. Finally, a position in discount retailer Big Lots detracted from relative return. The retailer struggled as the economy hurt sales of discretionary items and competitors put pricing pressure on consumables.
Outlook
Economic growth remains on the weak side. But despite obvious macro risks, we believe the economy has the potential to do better in 2013 if Washington provides clarity on taxes, budgets and regulations. Equities do not appear expensive to us; there are many growing companies whose stocks trade at good valuations. We seek those that are growing a little faster than their groups but we are careful not to overpay. An improved housing market is helping to shore up consumer confidence and should boost employment, and retail sales appear healthy. The fund remains underweight in financials, but we did add to banks that appeared attractively valued and shed utilities during the year. Overall, we are finding opportunities among cyclical sectors such as industrials, technology and materials.
15 |
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares3
October 31, 2008 (inception) through December 31, 2012
See Notes to Charts on Page 17.
| 16
Average Annual Total Returns December 31, 20123
1 Year | Since Inception | |||||||
Class A (Inception 10/31/08) | ||||||||
NAV | 15.93 | % | 13.60 | % | ||||
With 5.75% Maximum Sales Charge | 9.29 | 11.99 | ||||||
Class C (Inception 10/31/08) | ||||||||
NAV | 15.10 | 12.76 | ||||||
With CDSC1 | 14.10 | 12.76 | ||||||
Class Y (Inception 10/31/08) | ||||||||
NAV | 16.28 | 13.89 | ||||||
Comparative Performance | ||||||||
Russell Midcap® Value Index2 | 18.51 | 15.83 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (CDSC) applied when you sell shares within one year of purchase. |
2 | Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
17 |
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively NGAM) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an as is basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds website at ngam.natixis.com; and on the Securities and Exchange Commissions (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012 is available from the funds website and the SECs website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds Forms N-Q are available on the SECs website at www.sec.gov and may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 800-SEC-0330.
| 18
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds prospectus. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2012 through December 31, 2012. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.
The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
19 |
CGM ADVISOR TARGETED EQUITY FUND | BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,099.20 | $6.28 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.15 | $6.04 | |||||||||
Class B |
||||||||||||
Actual |
$1,000.00 | $1,094.70 | $10.21 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.38 | $9.83 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,094.80 | $10.22 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.38 | $9.83 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,100.70 | $4.96 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,020.41 | $4.77 |
* | Expenses are equal to the Funds annualized expense ratio: 1.19%, 1.94%, 1.94% and 0.94% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
HARRIS ASSOCIATES LARGE CAP
VALUE FUND |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,082.80 | $6.81 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.60 | $6.60 | |||||||||
Class B |
||||||||||||
Actual |
$1,000.00 | $1,078.50 | $10.71 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.83 | $10.38 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,078.20 | $10.71 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.83 | $10.38 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,083.90 | $5.50 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.86 | $5.33 |
* | Expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
| 20
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND |
BEGINNING ACCOUNT VALUE 7/1/20121 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD 7/1/20121 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,000.00 | $0.00 | 1 | ||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,021.11 | $4.06 | * | ||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,000.00 | $0.00 | 1 | ||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.34 | $7.86 | * | ||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,000.00 | $0.00 | 1 | ||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,022.37 | $2.80 | * |
* | Hypothetical expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 366 (to reflect the half-year period). |
1 | Shares of the Fund were first registered under the Securities Act of 1933 effective December 31, 2012; therefore, actual expenses during the period were zero. |
VAUGHAN NELSON SMALL CAP
VALUE FUND |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,080.80 | $7.27 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.15 | $7.05 | |||||||||
Class B |
||||||||||||
Actual |
$1,000.00 | $1,077.00 | $11.22 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.33 | $10.89 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,077.30 | $11.23 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.33 | $10.89 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,081.80 | $6.02 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.36 | $5.84 |
* | Expenses are equal to the Funds annualized expense ratio: 1.39%, 2.15%, 2.15% and 1.15% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
21 |
VAUGHAN NELSON
VALUE OPPORTUNITY FUND |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,089.00 | $6.83 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.60 | $6.60 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,085.30 | $10.75 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.83 | $10.38 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,090.40 | $5.52 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.86 | $5.33 |
* | Expenses are equal to the Funds annualized expense ratio: 1.30%, 2.05% and 1.05% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
| 22
BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
The Investment Company Act of 1940, as amended (the 1940 Act), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not interested persons (as defined in the 1940 Act) of the Trust (the Independent Trustees), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the McDonnell Intermediate Municipal Bond Fund (the Fund). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (together, the Agreements) for the Fund at an in-person meeting held on November 16, 2012. Because McDonnell was proposed to be acquired by an affiliate of NGAM Advisors after the commencement of Fund operations, the Agreements considered by the Trustees included both a sub-advisory agreement with McDonnell under its pre-transaction ownership and a sub-advisory agreement to take effect upon the consummation of the transaction.
In connection with this review, Fund management and other representatives of the Funds adviser, NGAM Advisors, L.P. (NGAM Advisors), and sub-adviser, McDonnell Investment Management, LLC (McDonnell) (collectively, the Advisers), distributed to the Trustees materials including, among other items, (i) information on the investment performance of institutional accounts managed by the Advisers with similar strategies, (ii) information on the proposed advisory and sub-advisory fees and other expenses to be charged to the Fund, including information comparing the Funds expected expenses to those of a peer group of funds, information on fees charged to other accounts advised or sub-advised by the Advisers and information on the proposed expense cap, (iii) the Funds investment objective and strategies, (iv) the size, education and experience of the Advisers respective investment staff and the investment strategies proposed to be used in managing the Fund, (v) proposed arrangements for the distribution of the Funds shares and the related costs, (vi) the procedures proposed to be employed to determine the value of the Funds assets, (vii) the Funds investment policies and restrictions, policies on personal securities transactions and other compliance policies, (viii) information about the ownership of McDonnell and the pending transaction pursuant to which McDonnell would become an affiliate of NGAM Advisors, (ix) information about the Advisers performance, (x) information obtained through the completion of a questionnaire by the Advisers (the Trustees are consulted as to the information required through the questionnaire) and (xi) the general economic outlook with particular emphasis on the mutual fund industry. The Trustees also considered the fact that they oversee other funds advised by NGAM Advisors, as well as information about NGAM Advisors they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Advisers.
23 |
In considering whether to initially approve the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their respective affiliates to the Fund, and the resources to be dedicated to the Fund by the Advisers and their respective affiliates. The Trustees considered their experience with other funds advised by NGAM Advisors, as well as the current and pending affiliations between the Advisers and Natixis Global Asset Management, L.P. (Natixis US). In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Advisers to the Fund, but also the monitoring and oversight services proposed to be provided by NGAM Advisors to the Fund. The Trustees also considered the administrative services proposed to be provided by NGAM Advisors and its affiliates to the Fund.
The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the scope of the services to be provided to the Fund under the Agreements seemed consistent with the Funds operational requirements, and that the Advisers had the capabilities, resources and personnel necessary to provide the advisory and sub-advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreements supported approval of the Agreements.
Investment performance of the Fund and the Advisers. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Advisers. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the Advisers performance records and/or other relevant factors supported approval of the Agreements.
The costs of the services to be provided by the Advisers and their affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Funds share classes with the fees and expenses of comparable share classes of comparable funds identified by the Advisers and of other accounts managed by McDonnell, as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to such comparable accounts, the Trustees considered, among other things, managements representations about the
| 24
differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets. In evaluating the Funds proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund and the need for the Advisers to offer competitive compensation. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Advisers affiliates.
Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser compensation or profitability were issues, the estimated expense levels of the Fund and that the Fund would be subject to an expense cap.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory and sub-advisory fees proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreements.
Economies of scale. The Trustees considered the extent to which the Advisers may realize economies of scale or other efficiencies in managing the Fund, and whether those economies could be shared with the Fund through breakpoints in the advisory and sub-advisory fees or other means, such as expense waivers or caps. The Trustees noted that the Fund would be subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following: the compliance-related resources the Advisers and their respective affiliates would provide to the Fund and the potential so-called fallout benefits to the Advisers, such as the engagement of affiliates of NGAM Advisors to provide distribution and administrative services to the Fund and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds securities transactions. The Trustees also considered the fact that NGAM Advisors parent company would benefit from the retention of affiliated advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreements should be approved.
25 |
Portfolio of Investments as of December 31, 2012
CGM Advisor Targeted Equity Fund
Shares | Description | Value () | ||||||
Common Stocks 97.2% of Net Assets | ||||||||
Airlines 6.1% | ||||||||
2,718,000 | Delta Air Lines, Inc.(b) | $ | 32,262,660 | |||||
|
|
|||||||
Automobiles 6.2% | ||||||||
180,000 | Honda Motor Co. Ltd., Sponsored ADR | 6,649,200 | ||||||
280,000 | Toyota Motor Corp., Sponsored ADR | 26,110,000 | ||||||
|
|
|||||||
32,759,200 | ||||||||
|
|
|||||||
Capital Markets 8.5% | ||||||||
2,330,000 | Morgan Stanley | 44,549,600 | ||||||
|
|
|||||||
Chemicals 5.9% | ||||||||
330,000 | Monsanto Co. | 31,234,500 | ||||||
|
|
|||||||
Diversified Financial Services 20.6% | ||||||||
1,200,000 | Bank of America Corp. | 13,920,000 | ||||||
1,325,000 | Citigroup, Inc. | 52,417,000 | ||||||
960,000 | JPMorgan Chase & Co. | 42,211,200 | ||||||
|
|
|||||||
108,548,200 | ||||||||
|
|
|||||||
Health Care Providers & Services 3.4% | ||||||||
590,000 | HCA Holdings, Inc. | 17,800,300 | ||||||
|
|
|||||||
Household Durables 16.8% | ||||||||
1,320,000 | DR Horton, Inc. | 26,109,600 | ||||||
790,000 | Lennar Corp., Class A | 30,549,300 | ||||||
1,740,000 | PulteGroup, Inc.(b) | 31,598,400 | ||||||
|
|
|||||||
88,257,300 | ||||||||
|
|
|||||||
Insurance 10.7% | ||||||||
710,000 | American International Group, Inc.(b) | 25,063,000 | ||||||
590,000 | Prudential Financial, Inc. | 31,464,700 | ||||||
|
|
|||||||
56,527,700 | ||||||||
|
|
|||||||
IT Services 5.8% | ||||||||
202,000 | Visa, Inc., Class A | 30,619,160 | ||||||
|
|
|||||||
Multiline Retail 7.1% | ||||||||
960,000 | Macys, Inc. | 37,459,200 | ||||||
|
|
|||||||
Specialty Retail 1.0% | ||||||||
170,000 | Gap, Inc. (The) | 5,276,800 | ||||||
|
|
|||||||
Tobacco 5.1% | ||||||||
320,000 | Philip Morris International, Inc. | 26,764,800 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $466,578,198) |
512,059,420 | |||||||
|
|
See accompanying notes to financial statements.
| 26
Portfolio of Investments as of December 31, 2012
CGM Advisor Targeted Equity Fund (continued)
Principal |
Description | Value () | ||||||
Short-Term Investments 1.5% | ||||||||
$ | 7,745,000 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $7,745,004 on 1/02/2013 collateralized by $7,515,000 U.S. Treasury
Note, 2.125% due 12/31/2015 valued at $7,900,144 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,745,000) |
$ | 7,745,000 | ||||
|
|
|||||||
Total Investments 98.7% (Identified Cost $474,323,198)(a) |
519,804,420 | |||||||
Other assets less liabilities 1.3% | 7,038,857 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 526,843,277 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $474,734,578 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 | $ | 50,170,432 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (5,100,590 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 45,069,842 | ||||||
|
|
|||||||
(b) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Industry Summary at December 31, 2012 (Unaudited)
Diversified Financial Services |
20.6 | % | ||
Household Durables |
16.8 | |||
Insurance |
10.7 | |||
Capital Markets |
8.5 | |||
Multiline Retail |
7.1 | |||
Automobiles |
6.2 | |||
Airlines |
6.1 | |||
Chemicals |
5.9 | |||
IT Services |
5.8 | |||
Tobacco |
5.1 | |||
Health Care Providers & Services |
3.4 | |||
Specialty Retail |
1.0 | |||
Short-Term Investments |
1.5 | |||
|
|
|||
Total Investments |
98.7 | |||
Other assets less liabilities |
1.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
27 |
Portfolio of Investments as of December 31, 2012
Harris Associates Large Cap Value Fund
Shares | Description | Value () | ||||||
Common Stocks 96.2% of Net Assets | ||||||||
Aerospace & Defense 3.3% | ||||||||
57,900 | Boeing Co. (The) | $ | 4,363,344 | |||||
|
|
|||||||
Air Freight & Logistics 3.4% | ||||||||
50,400 | FedEx Corp. | 4,622,688 | ||||||
|
|
|||||||
Auto Components 6.4% | ||||||||
44,700 | Autoliv, Inc. | 3,012,333 | ||||||
88,500 | Delphi Automotive PLC(b) | 3,385,125 | ||||||
41,300 | TRW Automotive Holdings Corp.(b) | 2,214,093 | ||||||
|
|
|||||||
8,611,551 | ||||||||
|
|
|||||||
Automobiles 2.2% | ||||||||
31,900 | Toyota Motor Corp., Sponsored ADR | 2,974,675 | ||||||
|
|
|||||||
Capital Markets 6.3% | ||||||||
34,300 | Franklin Resources, Inc. | 4,311,510 | ||||||
32,400 | Goldman Sachs Group, Inc. (The) | 4,132,944 | ||||||
|
|
|||||||
8,444,454 | ||||||||
|
|
|||||||
Commercial Banks 5.1% | ||||||||
198,700 | Wells Fargo & Co. | 6,791,566 | ||||||
|
|
|||||||
Consumer Finance 1.6% | ||||||||
37,300 | Capital One Financial Corp. | 2,160,789 | ||||||
|
|
|||||||
Diversified Financial Services 6.4% | ||||||||
58,900 | CME Group, Inc., Class A | 2,986,819 | ||||||
127,300 | JPMorgan Chase & Co. | 5,597,381 | ||||||
|
|
|||||||
8,584,200 | ||||||||
|
|
|||||||
Electrical Equipment 1.8% | ||||||||
28,600 | Rockwell Automation, Inc. | 2,402,114 | ||||||
|
|
|||||||
Energy Equipment & Services 1.9% | ||||||||
38,100 | National Oilwell Varco, Inc. | 2,604,135 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 0.5% | ||||||||
16,200 | Medtronic, Inc. | 664,524 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 9.1% | ||||||||
128,300 | Carnival Corp. | 4,717,591 | ||||||
109,200 | Marriott International, Inc., Class A | 4,069,884 | ||||||
17,500 | McDonalds Corp. | 1,543,675 | ||||||
33,800 | Starwood Hotels & Resorts Worldwide, Inc. | 1,938,768 | ||||||
|
|
|||||||
12,269,918 | ||||||||
|
|
|||||||
Insurance 2.5% | ||||||||
93,500 | American International Group, Inc.(b) | 3,300,550 | ||||||
|
|
|||||||
IT Services 7.2% | ||||||||
11,900 | MasterCard, Inc., Class A | 5,846,232 | ||||||
24,700 | Visa, Inc., Class A | 3,744,026 | ||||||
|
|
|||||||
9,590,258 | ||||||||
|
|
See accompanying notes to financial statements.
| 28
Portfolio of Investments as of December 31, 2012
Harris Associates Large Cap Value Fund (continued)
Shares | Description | Value () | ||||||
Machinery 8.3% | ||||||||
21,200 | Caterpillar, Inc. | $ | 1,899,096 | |||||
29,000 | Cummins, Inc. | 3,142,150 | ||||||
72,500 | Illinois Tool Works, Inc. | 4,408,725 | ||||||
19,400 | Parker Hannifin Corp. | 1,650,164 | ||||||
|
|
|||||||
11,100,135 | ||||||||
|
|
|||||||
Media 4.7% | ||||||||
102,200 | Comcast Corp., Special Class A | 3,674,090 | ||||||
39,900 | Omnicom Group, Inc. | 1,993,404 | ||||||
12,900 | Walt Disney Co. (The) | 642,291 | ||||||
|
|
|||||||
6,309,785 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 4.6% | ||||||||
39,800 | Apache Corp. | 3,124,300 | ||||||
35,000 | ExxonMobil Corp. | 3,029,250 | ||||||
|
|
|||||||
6,153,550 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 12.3% | ||||||||
349,300 | Applied Materials, Inc. | 3,995,992 | ||||||
317,100 | Intel Corp. | 6,541,773 | ||||||
62,600 | Lam Research Corp.(b) | 2,261,738 | ||||||
121,300 | Texas Instruments, Inc. | 3,753,022 | ||||||
|
|
|||||||
16,552,525 | ||||||||
|
|
|||||||
Software 3.5% | ||||||||
140,000 | Oracle Corp. | 4,664,800 | ||||||
|
|
|||||||
Specialty Retail 4.1% | ||||||||
18,500 | Advance Auto Parts, Inc. | 1,338,475 | ||||||
49,900 | CarMax, Inc.(b) | 1,873,246 | ||||||
41,000 | Tiffany & Co. | 2,350,940 | ||||||
|
|
|||||||
5,562,661 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.0% | ||||||||
25,400 | NIKE, Inc., Class B | 1,310,640 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $107,705,530) |
129,038,862 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 4.2% | ||||||||
$ | 5,635,187 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $5,635,190 on 01/02/2013 collateralized by $5,595,000 Federal Home
Loan Mortgage Corp., 3.000% due 8/06/2020 valued at $5,748,863 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,635,187) |
5,635,187 | |||||
|
|
|||||||
Total Investments 100.4% (Identified Cost $113,340,717)(a) |
134,674,049 | |||||||
Other assets less liabilities (0.4)% | (543,634 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 134,130,415 | ||||||
|
|
See accompanying notes to financial statements.
29 |
Portfolio of Investments as of December 31, 2012
Harris Associates Large Cap Value Fund (continued)
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $114,434,157 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 | $ | 22,743,824 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,503,932 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 20,239,892 | ||||||
|
|
|||||||
(b) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Industry Summary at December 31, 2012 (Unaudited)
Semiconductors & Semiconductor Equipment |
12.3 | % | ||
Hotels, Restaurants & Leisure |
9.1 | |||
Machinery |
8.3 | |||
IT Services |
7.2 | |||
Auto Components |
6.4 | |||
Diversified Financial Services |
6.4 | |||
Capital Markets |
6.3 | |||
Commercial Banks |
5.1 | |||
Media |
4.7 | |||
Oil, Gas & Consumable Fuels |
4.6 | |||
Specialty Retail |
4.1 | |||
Software |
3.5 | |||
Air Freight & Logistics |
3.4 | |||
Aerospace & Defense |
3.3 | |||
Insurance |
2.5 | |||
Automobiles |
2.2 | |||
Other Investments, less than 2% each |
6.8 | |||
Short-Term Investments |
4.2 | |||
|
|
|||
Total Investments |
100.4 | |||
Other assets less liabilities |
(0.4 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 30
Portfolio of Investments as of December 31, 2012
McDonnell Intermediate Municipal Bond Fund
Principal Amount |
Description | Value () | ||||||
Bonds and Notes 97.5% of Net Assets | ||||||||
Municipals 97.5% | ||||||||
Alaska 3.3% | ||||||||
$ | 400,000 | Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018 | $ | 483,880 | ||||
|
|
|||||||
Arizona 5.8% | ||||||||
300,000 | Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024 |
365,004 | ||||||
400,000 | Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022 | 492,388 | ||||||
|
|
|||||||
857,392 | ||||||||
|
|
|||||||
California 5.9% | ||||||||
400,000 | Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030 | 435,092 | ||||||
400,000 | California State, GO, Various Purpose, Refunding, 4.000%, 9/01/2027 | 433,312 | ||||||
|
|
|||||||
868,404 | ||||||||
|
|
|||||||
Colorado 9.4% | ||||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 | 457,424 | ||||||
400,000 | Denver City and County, Airport System Revenue, Series B, 5.000%, 11/15/2029 | 470,472 | ||||||
400,000 | Douglas County School District #Re-1, GO, Refunding, (State Aid Withholding), 4.000%, 12/15/2020 |
468,440 | ||||||
|
|
|||||||
1,396,336 | ||||||||
|
|
|||||||
Connecticut 5.9% | ||||||||
375,000 | State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016 | 421,646 | ||||||
400,000 | State of Connecticut, GO, Series G, 4.000%, 10/15/2026 | 451,764 | ||||||
|
|
|||||||
873,410 | ||||||||
|
|
|||||||
Florida 8.3% | ||||||||
250,000 | Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015 | 276,388 | ||||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 | 480,784 | ||||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 | 478,800 | ||||||
|
|
|||||||
1,235,972 | ||||||||
|
|
|||||||
Hawaii 3.1% | ||||||||
400,000 | Honolulu City and County, GO, Series B, 5.000%, 8/01/2016 | 459,396 | ||||||
|
|
|||||||
Illinois 6.1% | ||||||||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028 | 428,001 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 | 121,407 | ||||||
320,000 | Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017 | 353,341 | ||||||
|
|
|||||||
902,749 | ||||||||
|
|
See accompanying notes to financial statements.
31 |
Portfolio of Investments as of December 31, 2012
McDonnell Intermediate Municipal Bond Fund (continued)
Principal Amount |
Description | Value () | ||||||
Kentucky 2.3% | ||||||||
$ | 275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 2/01/2018@100, 6.125%, 2/01/2037 | $ | 347,215 | ||||
|
|
|||||||
Massachusetts 3.0% | ||||||||
400,000 | Massachusetts School Building Authority Sales Tax Revenue, Prerefunded 8/15/2015@100, Series A, (AGM insured), 5.000%, 8/15/2017 | 447,684 | ||||||
|
|
|||||||
New York 5.7% | ||||||||
350,000 | New York State Dormitory Authority Revenue, Cornell University, Series B, 5.000%, 7/01/2021 | 432,866 | ||||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 | 405,209 | ||||||
|
|
|||||||
838,075 | ||||||||
|
|
|||||||
North Carolina 6.2% | ||||||||
400,000 | North Carolina Eastern Municipal Power Agency Revenue, Refunding, Series A, 5.250%, 1/01/2020 | 470,404 | ||||||
375,000 | Raleigh Durham Airport Authority Revenue, Refunding, Series A, 5.000%, 5/01/2024 | 446,224 | ||||||
|
|
|||||||
916,628 | ||||||||
|
|
|||||||
Ohio 5.3% | ||||||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 | 475,112 | ||||||
270,000 | State of Ohio Hospital Facilities Revenue, Cleveland Clinic Health System, Refunding, Series A, 5.000%, 1/01/2018 | 316,421 | ||||||
|
|
|||||||
791,533 | ||||||||
|
|
|||||||
Pennsylvania 8.2% | ||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 | 401,648 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 | 306,438 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 | 502,555 | ||||||
|
|
|||||||
1,210,641 | ||||||||
|
|
|||||||
Texas 12.3% | ||||||||
400,000 | Frisco Independent School District, GO, School Building, Refunding, Series B, (PSF-GTD), 5.000%, 8/15/2020 | 502,992 | ||||||
400,000 | Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016 | 452,752 | ||||||
400,000 | Pasadena Independent School District, GO, Refunding, Series D, (PSF-GTD), 4.000%, 2/15/2019 | 465,572 | ||||||
400,000 | San Antonio, GO, General Improvements, Refunding, 4.000%, 2/01/2013 | 401,156 | ||||||
|
|
|||||||
1,822,472 | ||||||||
|
|
|||||||
Utah 2.0% | ||||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 | 301,598 | ||||||
|
|
|||||||
Washington 4.7% | ||||||||
360,000 | Energy Northwest Electric Revenue, Columbia Generating Station, Series D, 5.000%, 7/01/2029 | 433,940 | ||||||
250,000 | Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014 | 267,190 | ||||||
|
|
|||||||
701,130 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $14,611,999) |
14,454,515 | |||||||
|
|
See accompanying notes to financial statements.
| 32
Portfolio of Investments as of December 31, 2012
McDonnell Intermediate Municipal Bond Fund (continued)
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 1.6% | ||||||||
$ | 246,525 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $246,525 on 1/02/2013 collateralized by $245,000 Federal Home Loan
Mortgage Corp., 3.000% due 8/06/2020 valued at $251,738 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $246,525) |
$ | 246,525 | ||||
|
|
|||||||
Total Investments 99.1% (Identified Cost $14,858,524)(a) |
14,701,040 | |||||||
Other assets less liabilities 0.9% | 128,053 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 14,829,093 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized depreciation on investments based on a cost of $14,858,524 for federal income tax purposes was as follows: | ||||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 15,019 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (172,503 | ) | ||||||
|
|
|||||||
Net unrealized depreciation | $ | (157,484 | ) | |||||
|
|
|||||||
AGM | Assured Guaranty Municipal Corporation | |||||||
AMT | Alternative Minimum Tax | |||||||
FGIC | Financial Guaranty Insurance Company | |||||||
GO | General Obligation | |||||||
NATL-RE | National Public Finance Guarantee Corporation | |||||||
PSF-GTD | Permanent School Fund Guarantee Program |
Holdings Summary at December 31, 2012 (Unaudited)
General Obligation |
21.8 | % | ||
Medical |
13.2 | |||
Transportation |
12.7 | |||
School District |
9.7 | |||
Higher Education |
9.7 | |||
Airport |
9.5 | |||
Power |
9.3 | |||
General |
5.3 | |||
Water |
3.3 | |||
Education |
3.0 | |||
Short-Term Investments |
1.6 | |||
|
|
|||
Total Investments |
99.1 | |||
Other assets less liabilities |
0.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
33 |
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Small Cap Value Fund
Shares |
Description | Value () | ||||||
Common Stocks 96.3% of Net Assets | ||||||||
Air Freight & Logistics 1.7% | ||||||||
120,325 | Atlas Air Worldwide Holdings, Inc.(b) | $ | 5,331,601 | |||||
|
|
|||||||
Building Products 2.6% | ||||||||
51,437 | A.O. Smith Corp. | 3,244,132 | ||||||
97,600 | Lennox International, Inc. | 5,125,952 | ||||||
|
|
|||||||
8,370,084 | ||||||||
|
|
|||||||
Capital Markets 1.6% | ||||||||
186,775 | LPL Financial Holdings, Inc. | 5,259,584 | ||||||
|
|
|||||||
Chemicals 1.1% | ||||||||
146,150 | Kraton Performance Polymers, Inc.(b) | 3,511,985 | ||||||
|
|
|||||||
Commercial Banks 9.1% | ||||||||
445,325 | Associated Banc-Corp | 5,842,664 | ||||||
462,455 | FirstMerit Corp. | 6,562,236 | ||||||
121,325 | Fulton Financial Corp. | 1,165,933 | ||||||
143,825 | Hancock Holding Co. | 4,565,006 | ||||||
138,175 | Prosperity Bancshares, Inc. | 5,803,350 | ||||||
274,025 | Webster Financial Corp. | 5,631,214 | ||||||
|
|
|||||||
29,570,403 | ||||||||
|
|
|||||||
Commercial Services & Supplies 5.7% | ||||||||
204,125 | Corrections Corp. of America | 7,240,314 | ||||||
321,075 | KAR Auction Services, Inc. | 6,498,558 | ||||||
159,200 | McGrath Rentcorp | 4,619,984 | ||||||
|
|
|||||||
18,358,856 | ||||||||
|
|
|||||||
Construction & Engineering 1.8% | ||||||||
236,850 | MasTec, Inc.(b) | 5,904,671 | ||||||
|
|
|||||||
Consumer Finance 2.0% | ||||||||
131,575 | First Cash Financial Services, Inc.(b) | 6,528,751 | ||||||
|
|
|||||||
Containers & Packaging 4.2% | ||||||||
158,225 | Packaging Corp. of America | 6,086,916 | ||||||
180,275 | Silgan Holdings, Inc. | 7,497,637 | ||||||
|
|
|||||||
13,584,553 | ||||||||
|
|
|||||||
Electrical Equipment 0.4% | ||||||||
131,425 | GrafTech International Ltd.(b) | 1,234,081 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.8% | ||||||||
73,725 | Littelfuse, Inc. | 4,549,570 | ||||||
42,725 | ScanSource, Inc.(b) | 1,357,373 | ||||||
|
|
|||||||
5,906,943 | ||||||||
|
|
|||||||
Energy Equipment & Services 2.8% | ||||||||
84,230 | Oil States International, Inc.(b) | 6,025,814 | ||||||
358,125 | Precision Drilling Corp. | 2,965,275 | ||||||
|
|
|||||||
8,991,089 | ||||||||
|
|
See accompanying notes to financial statements.
| 34
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Small Cap Value Fund (continued)
Shares |
Description | Value () | ||||||
Food Products 1.6% | ||||||||
155,625 | Post Holdings, Inc.(b) | $ | 5,330,156 | |||||
|
|
|||||||
Gas Utilities 2.1% | ||||||||
190,425 | Atmos Energy Corp. | 6,687,726 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 4.3% | ||||||||
82,050 | Sirona Dental Systems, Inc.(b) | 5,288,943 | ||||||
102,700 | Teleflex, Inc. | 7,323,537 | ||||||
23,600 | West Pharmaceutical Services, Inc. | 1,292,100 | ||||||
|
|
|||||||
13,904,580 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.3% | ||||||||
160,275 | Health Management Associates, Inc., Class A(b) | 1,493,763 | ||||||
71,800 | LifePoint Hospitals, Inc.(b) | 2,710,450 | ||||||
|
|
|||||||
4,204,213 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 2.0% | ||||||||
146,250 | Choice Hotels International, Inc. | 4,916,925 | ||||||
58,225 | Jack in the Box, Inc.(b) | 1,665,235 | ||||||
|
|
|||||||
6,582,160 | ||||||||
|
|
|||||||
Household Durables 2.6% | ||||||||
116,375 | Harman International Industries, Inc. | 5,194,980 | ||||||
92,250 | Ryland Group, Inc. (The) | 3,367,125 | ||||||
|
|
|||||||
8,562,105 | ||||||||
|
|
|||||||
Household Products 1.1% | ||||||||
76,775 | WD-40 Co. | 3,616,870 | ||||||
|
|
|||||||
Insurance 6.2% | ||||||||
196,550 | American Equity Investment Life Holding Co. | 2,399,875 | ||||||
36,950 | Aspen Insurance Holdings Ltd. | 1,185,356 | ||||||
609,200 | CNO Financial Group, Inc. | 5,683,836 | ||||||
174,262 | HCC Insurance Holdings, Inc. | 6,484,289 | ||||||
242,575 | Tower Group, Inc. | 4,310,558 | ||||||
|
|
|||||||
20,063,914 | ||||||||
|
|
|||||||
IT Services 1.6% | ||||||||
231,400 | Broadridge Financial Solutions, Inc. | 5,294,432 | ||||||
|
|
|||||||
Machinery 3.8% | ||||||||
225,675 | Actuant Corp., Class A | 6,298,589 | ||||||
44,075 | Valmont Industries, Inc. | 6,018,441 | ||||||
|
|
|||||||
12,317,030 | ||||||||
|
|
|||||||
Metals & Mining 2.8% | ||||||||
262,050 | Globe Specialty Metals, Inc. | 3,603,187 | ||||||
87,500 | Reliance Steel & Aluminum Co. | 5,433,750 | ||||||
|
|
|||||||
9,036,937 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.3% | ||||||||
230,639 | Oasis Petroleum, Inc.(b) | 7,334,320 | ||||||
|
|
See accompanying notes to financial statements.
35 |
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Small Cap Value Fund (continued)
Shares |
Description | Value () | ||||||
Professional Services 2.4% | ||||||||
81,075 | ICF International, Inc.(b) | $ | 1,900,398 | |||||
105,175 | Towers Watson & Co., Class A | 5,911,887 | ||||||
|
|
|||||||
7,812,285 | ||||||||
|
|
|||||||
REITs Apartments 0.9% | ||||||||
178,975 | Associated Estates Realty Corp. | 2,885,077 | ||||||
|
|
|||||||
REITs Hotels 1.6% | ||||||||
444,600 | Hersha Hospitality Trust | 2,223,000 | ||||||
113,075 | LaSalle Hotel Properties | 2,870,974 | ||||||
|
|
|||||||
5,093,974 | ||||||||
|
|
|||||||
REITs Office Property 2.0% | ||||||||
188,400 | Highwoods Properties, Inc. | 6,301,980 | ||||||
|
|
|||||||
REITs Shopping Centers 0.9% | ||||||||
230,925 | Excel Trust, Inc. | 2,925,820 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 6.3% | ||||||||
52,525 | Hittite Microwave Corp.(b) | 3,261,803 | ||||||
277,200 | Microsemi Corp.(b) | 5,832,288 | ||||||
141,825 | MKS Instruments, Inc. | 3,656,248 | ||||||
155,175 | Semtech Corp.(b) | 4,492,316 | ||||||
147,275 | Skyworks Solutions, Inc.(b) | 2,989,683 | ||||||
|
|
|||||||
20,232,338 | ||||||||
|
|
|||||||
Software 4.7% | ||||||||
26,450 | ACI Worldwide, Inc.(b) | 1,155,601 | ||||||
79,875 | Manhattan Associates, Inc.(b) | 4,819,657 | ||||||
180,675 | SS&C Technologies Holdings, Inc.(b) | 4,177,206 | ||||||
171,450 | Verint Systems, Inc.(b) | 5,033,772 | ||||||
|
|
|||||||
15,186,236 | ||||||||
|
|
|||||||
Specialty Retail 5.4% | ||||||||
204,122 | Aarons, Inc. | 5,772,570 | ||||||
57,000 | DSW, Inc., Class A | 3,744,330 | ||||||
87,800 | Group 1 Automotive, Inc. | 5,442,722 | ||||||
70,725 | Lithia Motors, Inc., Class A | 2,646,530 | ||||||
|
|
|||||||
17,606,152 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.0% | ||||||||
76,800 | Wolverine World Wide, Inc. | 3,147,264 | ||||||
|
|
|||||||
Trading Companies & Distributors 4.6% | ||||||||
170,075 | United Rentals, Inc.(b) | 7,741,814 | ||||||
106,175 | WESCO International, Inc.(b) | 7,159,380 | ||||||
|
|
|||||||
14,901,194 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $274,414,191) |
311,579,364 | |||||||
|
|
|||||||
Closed End Investment Companies 2.8% | ||||||||
519,325 | Ares Capital Corp. (Identified Cost $8,335,987) |
9,088,187 | ||||||
|
|
See accompanying notes to financial statements.
| 36
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Small Cap Value Fund (continued)
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 2.1% | ||||||||
$ | 6,691,640 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $6,691,644 on 1/02/2013 collateralized by $6,820,000 U.S. Treasury
Note, 0.625% due 5/31/2017 valued at $6,828,525 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,691,640) |
$ | 6,691,640 | ||||
|
|
|||||||
Total Investments 101.2% (Identified Cost $289,441,818)(a) |
327,359,191 | |||||||
Other assets less liabilities (1.2)% | (3,903,621 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 323,455,570 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $291,643,727 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 | $ | 40,210,851 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (4,495,387 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 35,715,464 | ||||||
|
|
|||||||
(b) | Non-income producing security. | |||||||
REITs | Real Estate Investment Trusts |
See accompanying notes to financial statements.
37 |
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Small Cap Value Fund (continued)
Industry Summary at December 31, 2012 (Unaudited)
Commercial Banks |
9.1 | % | ||
Semiconductors & Semiconductor Equipment |
6.3 | |||
Insurance |
6.2 | |||
Commercial Services & Supplies |
5.7 | |||
Specialty Retail |
5.4 | |||
Software |
4.7 | |||
Trading Companies & Distributors |
4.6 | |||
Health Care Equipment & Supplies |
4.3 | |||
Containers & Packaging |
4.2 | |||
Machinery |
3.8 | |||
Metals & Mining |
2.8 | |||
Closed End Investment Companies |
2.8 | |||
Energy Equipment & Services |
2.8 | |||
Household Durables |
2.6 | |||
Building Products |
2.6 | |||
Professional Services |
2.4 | |||
Oil, Gas & Consumable Fuels |
2.3 | |||
Gas Utilities |
2.1 | |||
Hotels, Restaurants & Leisure |
2.0 | |||
Consumer Finance |
2.0 | |||
REITs - Office Property |
2.0 | |||
Other Investments, less than 2% each |
18.4 | |||
Short-Term Investments |
2.1 | |||
|
|
|||
Total Investments |
101.2 | |||
Other assets less liabilities |
(1.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 38
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Value Opportunity Fund
Shares | Description | Value () | ||||||
Common Stocks 94.3% of Net Assets | ||||||||
Aerospace & Defense 0.7% | ||||||||
27,625 | B/E Aerospace, Inc.(b) | $ | 1,364,675 | |||||
|
|
|||||||
Auto Components 2.4% | ||||||||
74,800 | Delphi Automotive PLC(b) | 2,861,100 | ||||||
49,750 | Tenneco, Inc.(b) | 1,746,722 | ||||||
|
|
|||||||
4,607,822 | ||||||||
|
|
|||||||
Biotechnology 1.1% | ||||||||
200,450 | Elan Corp. PLC, Sponsored ADR(b) | 2,046,595 | ||||||
4,889 | Prothena Corp. PLC(b) | 35,836 | ||||||
|
|
|||||||
2,082,431 | ||||||||
|
|
|||||||
Capital Markets 1.2% | ||||||||
102,075 | SEI Investments Co. | 2,382,431 | ||||||
|
|
|||||||
Chemicals 3.6% | ||||||||
28,750 | Airgas, Inc. | 2,624,587 | ||||||
37,950 | Celanese Corp., Series A | 1,689,914 | ||||||
47,150 | FMC Corp. | 2,759,218 | ||||||
|
|
|||||||
7,073,719 | ||||||||
|
|
|||||||
Commercial Banks 7.9% | ||||||||
71,475 | CIT Group, Inc.(b) | 2,761,794 | ||||||
235,075 | Fifth Third Bancorp | 3,570,789 | ||||||
374,725 | First Niagara Financial Group, Inc. | 2,971,569 | ||||||
574,425 | Huntington Bancshares, Inc. | 3,670,576 | ||||||
336,025 | Regions Financial Corp. | 2,392,498 | ||||||
|
|
|||||||
15,367,226 | ||||||||
|
|
|||||||
Computers & Peripherals 2.1% | ||||||||
162,500 | NCR Corp.(b) | 4,140,500 | ||||||
|
|
|||||||
Construction & Engineering 1.4% | ||||||||
101,275 | Quanta Services, Inc.(b) | 2,763,795 | ||||||
|
|
|||||||
Consumer Finance 1.5% | ||||||||
148,125 | Ezcorp, Inc., Class A(b) | 2,941,763 | ||||||
|
|
|||||||
Containers & Packaging 3.6% | ||||||||
118,650 | Crown Holdings, Inc.(b) | 4,367,506 | ||||||
70,750 | Packaging Corp. of America | 2,721,753 | ||||||
|
|
|||||||
7,089,259 | ||||||||
|
|
|||||||
Distributors 0.8% | ||||||||
70,750 | LKQ Corp.(b) | 1,492,825 | ||||||
|
|
|||||||
Energy Equipment & Services 3.3% | ||||||||
63,000 | Helmerich & Payne, Inc. | 3,528,630 | ||||||
138,175 | Superior Energy Services, Inc.(b) | 2,862,986 | ||||||
|
|
|||||||
6,391,616 | ||||||||
|
|
|||||||
Food Products 1.9% | ||||||||
56,375 | Ingredion, Inc. | 3,632,241 | ||||||
|
|
See accompanying notes to financial statements.
39 |
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Value Opportunity Fund (continued)
Shares | Description | Value () | ||||||
Health Care Equipment & Supplies 0.5% | ||||||||
16,950 | Sirona Dental Systems, Inc.(b) | $ | 1,092,597 | |||||
|
|
|||||||
Health Care Providers & Services 1.9% | ||||||||
120,475 | HCA Holdings, Inc. | 3,634,731 | ||||||
|
|
|||||||
Health Care Technology 1.0% | ||||||||
202,275 | Allscripts Healthcare Solutions, Inc.(b) | 1,905,431 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.9% | ||||||||
39,425 | Darden Restaurants, Inc. | 1,776,885 | ||||||
|
|
|||||||
Household Durables 2.7% | ||||||||
58,050 | Jarden Corp.(b) | 3,001,185 | ||||||
59,700 | Lennar Corp., Class A | 2,308,599 | ||||||
|
|
|||||||
5,309,784 | ||||||||
|
|
|||||||
Household Products 1.4% | ||||||||
61,525 | Spectrum Brands Holdings, Inc. (b) | 2,764,318 | ||||||
|
|
|||||||
Insurance 9.4% | ||||||||
83,275 | Endurance Specialty Holdings Ltd. | 3,305,185 | ||||||
177,600 | Hartford Financial Services Group, Inc. (The) | 3,985,344 | ||||||
72,575 | Reinsurance Group of America, Inc., Class A | 3,884,214 | ||||||
94,325 | Validus Holdings Ltd. | 3,261,758 | ||||||
156,600 | XL Group PLC | 3,924,396 | ||||||
|
|
|||||||
18,360,897 | ||||||||
|
|
|||||||
IT Services 5.9% | ||||||||
129,700 | Broadridge Financial Solutions, Inc. | 2,967,536 | ||||||
39,425 | Fiserv, Inc.(b) | 3,115,758 | ||||||
65,575 | Global Payments, Inc. | 2,970,547 | ||||||
37,950 | MAXIMUS, Inc. | 2,399,199 | ||||||
|
|
|||||||
11,453,040 | ||||||||
|
|
|||||||
Machinery 6.5% | ||||||||
68,175 | AGCO Corp.(b) | 3,348,756 | ||||||
14,375 | Flowserve Corp. | 2,110,250 | ||||||
91,750 | Navistar International Corp.(b) | 1,997,397 | ||||||
53,800 | Pentair Ltd. (Registered) | 2,644,270 | ||||||
33,525 | Snap-on, Inc. | 2,648,140 | ||||||
|
|
|||||||
12,748,813 | ||||||||
|
|
|||||||
Media 2.5% | ||||||||
50,475 | CBS Corp., Class B | 1,920,574 | ||||||
46,425 | Discovery Communications, Inc., Class A(b) | 2,947,059 | ||||||
|
|
|||||||
4,867,633 | ||||||||
|
|
|||||||
Metals & Mining 3.1% | ||||||||
52,250 | Carpenter Technology Corp. | 2,697,667 | ||||||
54,900 | Reliance Steel & Aluminum Co. | 3,409,290 | ||||||
|
|
|||||||
6,106,957 | ||||||||
|
|
See accompanying notes to financial statements.
| 40
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Value Opportunity Fund (continued)
Shares | Description | Value () | ||||||
Oil, Gas & Consumable Fuels 4.5% | ||||||||
169,500 | Denbury Resources, Inc.(b) | $ | 2,745,900 | |||||
30,225 | Noble Energy, Inc. | 3,075,091 | ||||||
27,625 | Pioneer Natural Resources Co. | 2,944,549 | ||||||
|
|
|||||||
8,765,540 | ||||||||
|
|
|||||||
Pharmaceuticals 2.8% | ||||||||
51,611 | Valeant Pharmaceuticals International, Inc.(b) | 3,084,789 | ||||||
197,125 | Warner Chilcott PLC, Class A | 2,373,385 | ||||||
|
|
|||||||
5,458,174 | ||||||||
|
|
|||||||
Professional Services 1.9% | ||||||||
65,225 | Towers Watson & Co., Class A | 3,666,297 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.1% | ||||||||
74,800 | Avago Technologies Ltd. | 2,368,168 | ||||||
86,325 | Skyworks Solutions, Inc.(b) | 1,752,398 | ||||||
|
|
|||||||
4,120,566 | ||||||||
|
|
|||||||
Software 7.5% | ||||||||
53,800 | BMC Software, Inc.(b) | 2,133,708 | ||||||
37,950 | Check Point Software Technologies Ltd.(b) | 1,807,938 | ||||||
22,850 | Intuit, Inc. | 1,359,575 | ||||||
135,600 | Nuance Communications, Inc.(b) | 3,026,592 | ||||||
193,075 | Rovi Corp.(b) | 2,979,147 | ||||||
61,525 | Solera Holdings, Inc. | 3,289,742 | ||||||
|
|
|||||||
14,596,702 | ||||||||
|
|
|||||||
Specialty Retail 3.1% | ||||||||
67,850 | Rent-A-Center, Inc. | 2,331,326 | ||||||
68,900 | Signet Jewelers Ltd. | 3,679,260 | ||||||
|
|
|||||||
6,010,586 | ||||||||
|
|
|||||||
Tobacco 1.2% | ||||||||
21,000 | Lorillard, Inc. | 2,450,070 | ||||||
|
|
|||||||
Trading Companies & Distributors 3.9% | ||||||||
84,375 | United Rentals, Inc.(b) | 3,840,750 | ||||||
54,900 | WESCO International, Inc.(b) | 3,701,907 | ||||||
|
|
|||||||
7,542,657 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $170,821,025) |
183,961,981 | |||||||
|
|
|||||||
Closed End Investment Companies 1.5% | ||||||||
169,500 | Ares Capital Corp. (Identified Cost $2,580,405) |
2,966,250 | ||||||
|
|
See accompanying notes to financial statements.
41 |
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Value Opportunity Fund (continued)
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 4.0% | ||||||||
$ | 7,795,742 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $7,795,746 on 01/02/2013 collateralized by $7,905,000 Federal Home
Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $7,954,406 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,795,742) |
$ | 7,795,742 | ||||
|
|
|||||||
Total Investments 99.8% (Identified Cost $181,197,172)(a) |
194,723,973 | |||||||
Other assets less liabilities 0.2% | 335,885 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 195,059,858 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $182,261,485 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 | $ | 21,741,811 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (9,279,323 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 12,462,488 | ||||||
|
|
|||||||
(b) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
See accompanying notes to financial statements.
| 42
Portfolio of Investments as of December 31, 2012
Vaughan Nelson Value Opportunity Fund (continued)
Industry Summary at December 31, 2012 (Unaudited)
Insurance |
9.4 | % | ||
Commercial Banks |
7.9 | |||
Software |
7.5 | |||
Machinery |
6.5 | |||
IT Services |
5.9 | |||
Oil, Gas & Consumable Fuels |
4.5 | |||
Trading Companies & Distributors |
3.9 | |||
Containers & Packaging |
3.6 | |||
Chemicals |
3.6 | |||
Energy Equipment & Services |
3.3 | |||
Metals & Mining |
3.1 | |||
Specialty Retail |
3.1 | |||
Pharmaceuticals |
2.8 | |||
Household Durables |
2.7 | |||
Media |
2.5 | |||
Auto Components |
2.4 | |||
Computers & Peripherals |
2.1 | |||
Semiconductors & Semiconductor Equipment |
2.1 | |||
Other Investments, less than 2% each |
18.9 | |||
Short-Term Investments |
4.0 | |||
|
|
|||
Total Investments |
99.8 | |||
Other assets less liabilities |
0.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
43 |
Statements of Assets & Liabilities
December 31, 2012
CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
McDonnell Intermediate Municipal Bond Fund |
Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
||||||||||||||||
ASSETS |
||||||||||||||||||||
Investments at cost |
$ | 474,323,198 | $ | 113,340,717 | $ | 14,858,524 | $ | 289,441,818 | $ | 181,197,172 | ||||||||||
Net unrealized appreciation (depreciation) |
45,481,222 | 21,333,332 | (157,484 | ) | 37,917,373 | 13,526,801 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments at value |
519,804,420 | 134,674,049 | 14,701,040 | 327,359,191 | 194,723,973 | |||||||||||||||
Cash |
3,415 | | | | | |||||||||||||||
Receivable for Fund shares sold |
116,050 | 125,199 | | 130,916 | 1,168,950 | |||||||||||||||
Receivable for securities sold |
37,142,747 | | | | | |||||||||||||||
Dividends and interest receivable |
565,602 | 30,630 | 168,255 | 178,170 | 138,243 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
TOTAL ASSETS |
557,632,234 | 134,829,878 | 14,869,295 | 327,668,277 | 196,031,166 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
LIABILITIES |
||||||||||||||||||||
Payable for securities purchased |
27,336,187 | | | 252,210 | 540,327 | |||||||||||||||
Payable for Fund shares redeemed |
2,161,468 | 110,323 | | 3,399,073 | 184,074 | |||||||||||||||
Management fees payable (Note 5) |
317,135 | 66,218 | 4,309 | 249,042 | 129,063 | |||||||||||||||
Deferred Trustees fees (Note 5) |
766,001 | 405,389 | 22 | 175,895 | 40,624 | |||||||||||||||
Administrative fees payable (Note 5) |
19,713 | 5,040 | 563 | 12,333 | 7,191 | |||||||||||||||
Payable to distributor (Note 5d) |
3,350 | 568 | | 3,751 | 2,123 | |||||||||||||||
Other accounts payable and accrued expenses |
185,103 | 111,925 | 35,308 | 120,403 | 67,906 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
TOTAL LIABILITIES |
30,788,957 | 699,463 | 40,202 | 4,212,707 | 971,308 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 526,843,277 | $ | 134,130,415 | $ | 14,829,093 | $ | 323,455,570 | $ | 195,059,858 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||||||
Paid-in capital |
$ | 486,248,553 | $ | 120,383,014 | $ | 14,986,577 | $ | 280,208,600 | $ | 180,820,156 | ||||||||||
Distributions in excess of net investment income |
(765,786 | ) | (405,387 | ) | | (129,472 | ) | (40,624 | ) | |||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions |
(4,120,712 | ) | (7,180,544 | ) | | 5,459,069 | 753,525 | |||||||||||||
Net unrealized appreciation (depreciation) on investments |
45,481,222 | 21,333,332 | (157,484 | ) | 37,917,373 | 13,526,801 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
NET ASSETS |
$ | 526,843,277 | $ | 134,130,415 | $ | 14,829,093 | $ | 323,455,570 | $ | 195,059,858 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 44
Statements of Assets & Liabilities (continued)
December 31, 2012
CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
McDonnell Intermediate Municipal Bond Fund |
Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
||||||||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||||||||||
Class A shares: |
||||||||||||||||||||
Net assets |
$ | 438,288,125 | $ | 113,869,637 | $ | 989 | $ | 160,399,673 | $ | 28,381,103 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Shares of beneficial interest |
42,848,608 | 7,078,667 | 100 | 8,457,123 | 1,831,975 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value and redemption price per share |
$ | 10.23 | $ | 16.09 | $ | 9.89 | $ | 18.97 | $ | 15.49 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 10.85 | $ | 17.07 | $ | 10.25 | $ | 20.13 | $ | 16.44 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||||||
Net assets |
$ | 3,446,541 | $ | 2,144,902 | $ | | $ | 3,105,814 | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Shares of beneficial interest |
376,767 | 144,661 | | 198,507 | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value and offering price per share |
$ | 9.15 | $ | 14.83 | $ | | $ | 15.65 | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||||||
Net assets |
$ | 35,224,828 | $ | 6,015,973 | $ | 989 | $ | 26,980,392 | $ | 3,090,024 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Shares of beneficial interest |
3,874,273 | 407,857 | 100 | 1,725,570 | 203,171 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value and offering price per share |
$ | 9.09 | $ | 14.75 | $ | 9.89 | $ | 15.64 | $ | 15.21 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Class Y shares: |
||||||||||||||||||||
Net assets |
$ | 49,883,783 | $ | 12,099,903 | $ | 14,827,115 | $ | 132,969,691 | $ | 163,588,731 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Shares of beneficial interest |
4,756,287 | 727,495 | 1,500,000 | 6,910,063 | 10,506,751 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, offering and redemption price per share |
$ | 10.49 | $ | 16.63 | $ | 9.88 | $ | 19.24 | $ | 15.57 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
45 |
Statements of Operations
For the Year Ended December 31, 2012
CGM Advisor Targeted Equity Fund |
Harris Associates Large Cap Value Fund |
McDonnell Intermediate Municipal Bond Fund(a) |
||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends |
$ | 11,491,514 | (b) | $ | 2,791,919 | $ | | |||||
Interest |
2,247 | 228 | 27,371 | |||||||||
Less net foreign taxes withheld |
(67,540 | ) | (4,152 | ) | | |||||||
|
|
|
|
|
|
|||||||
11,426,221 | 2,787,995 | 27,371 | ||||||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fees (Note 5) |
4,150,039 | 944,008 | 7,349 | |||||||||
Service and distribution fees (Note 5) |
1,669,848 | 375,619 | | |||||||||
Administrative fees (Note 5) |
263,663 | 60,785 | 819 | |||||||||
Trustees fees and expenses (Note 5) |
121,948 | 68,115 | 58 | |||||||||
Transfer agent fees and expenses (Note 5) |
643,287 | 224,871 | 5 | |||||||||
Audit and tax services fees |
45,341 | 41,215 | 32,500 | |||||||||
Custodian fees and expenses |
37,095 | 21,783 | 2,322 | |||||||||
Legal fees |
9,481 | 2,155 | 21 | |||||||||
Registration fees |
64,892 | 59,741 | | |||||||||
Shareholder reporting expenses |
85,030 | 28,174 | 200 | |||||||||
Miscellaneous expenses |
20,390 | 10,207 | 263 | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
7,111,014 | 1,836,673 | 43,537 | |||||||||
Less waiver and/or expense reimbursement (Note 5) |
| (45,044 | ) | (743 | ) | |||||||
|
|
|
|
|
|
|||||||
Net expenses |
7,111,014 | 1,791,629 | 42,794 | |||||||||
|
|
|
|
|
|
|||||||
Net investment income (loss) |
4,315,207 | 996,366 | (15,423 | ) | ||||||||
|
|
|
|
|
|
|||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||
Net realized gain on: |
||||||||||||
Investments |
47,297,560 | 3,988,484 | | |||||||||
Foreign currency transactions |
655 | | | |||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments |
31,061,066 | 15,718,145 | (157,484 | ) | ||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
78,359,281 | 19,706,629 | (157,484 | ) | ||||||||
|
|
|
|
|
|
|||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 82,674,488 | $ | 20,702,995 | $ | (172,907 | ) | |||||
|
|
|
|
|
|
(a) | From commencement of operations on November 16, 2012 through December 31, 2012. |
(b) | Includes non-recurring dividends of $3,280,000. |
See accompanying notes to financial statements.
| 46
Statements of Operations (continued)
For the Year Ended December 31, 2012
Vaughan Nelson Small Cap Value Fund |
Vaughan Nelson Value Opportunity Fund |
|||||||
INVESTMENT INCOME |
||||||||
Dividends |
$ | 7,818,399 | (c) | $ | 4,055,175 | (c) | ||
Interest |
442 | 194 | ||||||
Less net foreign taxes withheld |
(2,779 | ) | | |||||
|
|
|
|
|||||
7,816,062 | 4,055,369 | |||||||
|
|
|
|
|||||
Expenses |
||||||||
Management fees (Note 5) |
3,390,660 | 1,425,190 | ||||||
Service and distribution fees (Note 5) |
847,303 | 94,283 | ||||||
Administrative fees (Note 5) |
169,888 | 80,249 | ||||||
Trustees fees and expenses (Note 5) |
43,421 | 22,931 | ||||||
Transfer agent fees and expenses (Note 5) |
456,449 | 193,748 | ||||||
Audit and tax services fees |
39,326 | 38,019 | ||||||
Custodian fees and expenses |
33,646 | 23,516 | ||||||
Legal fees |
6,282 | 2,796 | ||||||
Registration fees |
83,283 | 56,407 | ||||||
Shareholder reporting expenses |
60,009 | 33,659 | ||||||
Miscellaneous expenses |
19,985 | 10,807 | ||||||
|
|
|
|
|||||
Total expenses |
5,150,252 | 1,981,605 | ||||||
|
|
|
|
|||||
Net investment income |
2,665,810 | 2,073,764 | ||||||
|
|
|
|
|||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON |
||||||||
Net realized gain (loss) on: |
||||||||
Investments |
25,930,055 | 6,478,478 | ||||||
Foreign currency transactions |
(168 | ) | | |||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investments |
24,173,221 | 14,399,847 | ||||||
|
|
|
|
|||||
Net realized and unrealized gain on investments and foreign currency transactions |
50,103,108 | 20,878,325 | ||||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS |
$ | 52,768,918 | $ | 22,952,089 | ||||
|
|
|
|
(c) | Includes non-recurring dividends of $1,701,273 and $1,415,388 for Vaughan Nelson Small Cap Value Fund and Vaughan Nelson Value Opportunity Fund, respectively. |
See accompanying notes to financial statements.
47 |
Statements of Changes in Net Assets
CGM Advisor Targeted Equity Fund |
||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||
FROM OPERATIONS: |
||||||||
Net investment income |
$ | 4,315,207 | $ | 3,279,660 | ||||
Net realized gain on investments and foreign currency transactions |
47,298,215 | 100,088,779 | ||||||
Net change in unrealized appreciation (depreciation) on investments |
31,061,066 | (243,921,485 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
82,674,488 | (140,553,046 | ) | |||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Net investment income |
||||||||
Class A |
(3,813,264 | ) | (2,783,146 | ) | ||||
Class B |
(610 | ) | | |||||
Class C |
(31,566 | ) | | |||||
Class Y |
(557,124 | ) | (488,284 | ) | ||||
Net realized capital gains |
||||||||
Class A |
(19,506,253 | ) | | |||||
Class B |
(170,718 | ) | | |||||
Class C |
(1,766,210 | ) | | |||||
Class Y |
(2,163,006 | ) | | |||||
|
|
|
|
|||||
Total distributions |
(28,008,751 | ) | (3,271,430 | ) | ||||
|
|
|
|
|||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) |
(140,868,009 | ) | (225,503,135 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(86,202,272 | ) | (369,327,611 | ) | ||||
NET ASSETS |
||||||||
Beginning of the year |
613,045,549 | 982,373,160 | ||||||
|
|
|
|
|||||
End of the year |
$ | 526,843,277 | $ | 613,045,549 | ||||
|
|
|
|
|||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME |
$ | (765,786 | ) | $ | (663,505 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
| 48
Statements of Changes in Net Assets (continued)
Harris Associates Large Cap Value Fund |
||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||
FROM OPERATIONS: |
||||||||
Net investment income |
$ | 996,366 | $ | 706,958 | ||||
Net realized gain on investments |
3,988,484 | 2,453,610 | ||||||
Net change in unrealized appreciation (depreciation) on investments |
15,718,145 | (5,021,499 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
20,702,995 | (1,860,931 | ) | |||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Net investment income |
||||||||
Class A |
(913,298 | ) | (683,171 | ) | ||||
Class B |
| (1,388 | ) | |||||
Class C |
(8,756 | ) | (2,052 | ) | ||||
Class Y |
(122,737 | ) | (65,626 | ) | ||||
|
|
|
|
|||||
Total distributions |
(1,044,791 | ) | (752,237 | ) | ||||
|
|
|
|
|||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) |
(10,081,022 | ) | (14,370,952 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets |
9,577,182 | (16,984,120 | ) | |||||
NET ASSETS |
||||||||
Beginning of the year |
124,553,233 | 141,537,353 | ||||||
|
|
|
|
|||||
End of the year |
$ | 134,130,415 | $ | 124,553,233 | ||||
|
|
|
|
|||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME |
$ | (405,387 | ) | $ | (347,644 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
49 |
McDonnell Intermediate Municipal Bond Fund |
||||
Period Ended December 31, 2012 (a) |
||||
FROM OPERATIONS: |
||||
Net investment loss |
$ | (15,423 | ) | |
Net change in unrealized appreciation (depreciation) on investments |
(157,484 | ) | ||
|
|
|||
Net decrease in net assets resulting from operations |
(172,907 | ) | ||
|
|
|||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) |
15,002,000 | |||
|
|
|||
Net increase in net assets |
14,829,093 | |||
NET ASSETS |
||||
Beginning of the period |
| |||
|
|
|||
End of the period |
$ | 14,829,093 | ||
|
|
|||
UNDISTRIBUTED NET INVESTMENT INCOME |
$ | | ||
|
|
(a) | From commencement of operations on November 16, 2012 through December 31, 2012. |
See accompanying notes to financial statements.
| 50
Statements of Changes in Net Assets (continued)
Vaughan Nelson Small Cap Value Fund |
||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||
FROM OPERATIONS: |
||||||||
Net investment income |
$ | 2,665,810 | $ | 2,383,062 | ||||
Net realized gain on investments and foreign currency transactions |
25,929,887 | 70,526,494 | ||||||
Net change in unrealized appreciation (depreciation) on investments |
24,173,221 | (91,520,839 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
52,768,918 | (18,611,283 | ) | |||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Net investment income |
||||||||
Class A |
(1,095,844 | ) | (1,089,250 | ) | ||||
Class B |
| (280 | ) | |||||
Class C |
(23,674 | ) | | |||||
Class Y |
(1,287,864 | ) | (986,874 | ) | ||||
Net realized capital gains |
||||||||
Class A |
(11,383,253 | ) | (49,424,710 | ) | ||||
Class B |
(256,797 | ) | (1,141,557 | ) | ||||
Class C |
(2,136,731 | ) | (7,191,157 | ) | ||||
Class Y |
(8,612,912 | ) | (29,760,594 | ) | ||||
|
|
|
|
|||||
Total distributions |
(24,797,075 | ) | (89,594,422 | ) | ||||
|
|
|
|
|||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) |
(98,018,043 | ) | (29,639,917 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(70,046,200 | ) | (137,845,622 | ) | ||||
NET ASSETS |
||||||||
Beginning of the year |
393,501,770 | 531,347,392 | ||||||
|
|
|
|
|||||
End of the year |
$ | 323,455,570 | $ | 393,501,770 | ||||
|
|
|
|
|||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME |
$ | (129,472 | ) | $ | (145,563 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
51 |
Vaughan Nelson Value Opportunity Fund |
||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||
FROM OPERATIONS: |
||||||||
Net investment income |
$ | 2,073,764 | $ | 141,286 | ||||
Net realized gain on investments |
6,478,478 | 4,262,752 | ||||||
Net change in unrealized appreciation (depreciation) on investments |
14,399,847 | (8,855,945 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
22,952,089 | (4,451,907 | ) | |||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Net investment income |
||||||||
Class A |
(246,978 | ) | | |||||
Class C |
(7,944 | ) | | |||||
Class Y |
(1,789,205 | ) | (112,793 | ) | ||||
Net realized capital gains |
||||||||
Class A |
(707,026 | ) | (786,318 | ) | ||||
Class C |
(78,628 | ) | (66,223 | ) | ||||
Class Y |
(4,019,631 | ) | (4,052,804 | ) | ||||
|
|
|
|
|||||
Total distributions |
(6,849,412 | ) | (5,018,138 | ) | ||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) |
46,408,042 | 89,212,415 | ||||||
|
|
|
|
|||||
Net increase in net assets |
62,510,719 | 79,742,370 | ||||||
NET ASSETS |
||||||||
Beginning of the year |
132,549,139 | 52,806,769 | ||||||
|
|
|
|
|||||
End of the year |
$ | 195,059,858 | $ | 132,549,139 | ||||
|
|
|
|
|||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME |
$ | (40,624 | ) | $ | (27,627 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
| 52
Financial Highlights
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a)(b) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Total distributions (b) |
||||||||||||||||||||||
CGM ADVISOR TARGETED EQUITY FUND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 9.36 | $ | 0.08 | (g) | $ | 1.36 | $ | 1.44 | $ | (0.09 | ) | $ | (0.48 | ) | $ | (0.57 | ) | ||||||||||
12/31/2011 |
11.12 | 0.05 | (1.76 | ) | (1.71 | ) | (0.05 | ) | | (0.05 | ) | |||||||||||||||||
12/31/2010 |
9.54 | 0.05 | (h) | 1.58 | 1.63 | (0.05 | ) | | (0.05 | ) | ||||||||||||||||||
12/31/2009 |
7.66 | 0.05 | 1.88 | 1.93 | (0.05 | ) | | (0.05 | ) | |||||||||||||||||||
12/31/2008 |
13.01 | 0.09 | (4.94 | ) | (4.85 | ) | (0.06 | ) | (0.44 | ) | (0.50 | ) | ||||||||||||||||
Class B |
||||||||||||||||||||||||||||
12/31/2012 |
8.41 | (0.00 | )(g) | 1.22 | 1.22 | (0.00 | ) | (0.48 | ) | (0.48 | ) | |||||||||||||||||
12/31/2011 |
10.01 | (0.03 | ) | (1.57 | ) | (1.60 | ) | | | | ||||||||||||||||||
12/31/2010 |
8.61 | (0.02 | )(h) | 1.42 | 1.40 | (0.00 | ) | | (0.00 | ) | ||||||||||||||||||
12/31/2009 |
6.92 | (0.01 | ) | 1.70 | 1.69 | | | | ||||||||||||||||||||
12/31/2008 |
11.81 | (0.00 | ) | (4.45 | ) | (4.45 | ) | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
8.37 | (0.00 | )(g) | 1.20 | 1.20 | (0.00 | ) | (0.48 | ) | (0.48 | ) | |||||||||||||||||
12/31/2011 |
9.96 | (0.03 | ) | (1.56 | ) | (1.59 | ) | | | | ||||||||||||||||||
12/31/2010 |
8.57 | (0.02 | )(h) | 1.41 | 1.39 | (0.00 | ) | | (0.00 | ) | ||||||||||||||||||
12/31/2009 |
6.89 | (0.01 | ) | 1.69 | 1.68 | (0.00 | ) | | (0.00 | ) | ||||||||||||||||||
12/31/2008 |
11.79 | 0.02 | (4.46 | ) | (4.44 | ) | (0.02 | ) | (0.44 | ) | (0.46 | ) | ||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
9.59 | 0.11 | (g) | 1.39 | 1.50 | (0.12 | ) | (0.48 | ) | (0.60 | ) | |||||||||||||||||
12/31/2011 |
11.40 | 0.07 | (1.80 | ) | (1.73 | ) | (0.08 | ) | | (0.08 | ) | |||||||||||||||||
12/31/2010 |
9.78 | 0.07 | (h) | 1.63 | 1.70 | (0.08 | ) | | (0.08 | ) | ||||||||||||||||||
12/31/2009 |
7.84 | 0.06 | 1.96 | 2.02 | (0.08 | ) | | (0.08 | ) | |||||||||||||||||||
12/31/2008 |
13.32 | 0.13 | (5.09 | ) | (4.96 | ) | (0.08 | ) | (0.44 | ) | (0.52 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
53 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Redemption fees (b) |
Net asset value, end of the period |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses (%) (e)(f) |
Gross expenses (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) |
|||||||||||||||||||||||
$ | | $ | 10.23 | 15.44 | (g) | $ | 438,288 | 1.18 | 1.18 | 0.78 | (g) | 192 | ||||||||||||||||||
| 9.36 | (15.36 | ) | 503,330 | 1.13 | 1.13 | 0.45 | 236 | ||||||||||||||||||||||
| 11.12 | 17.14 | 753,518 | 1.16 | 1.16 | 0.52 | (h) | 146 | ||||||||||||||||||||||
| 9.54 | 25.19 | 693,386 | 1.19 | 1.19 | 0.69 | 170 | |||||||||||||||||||||||
0.00 | (i) | 7.66 | (38.36 | ) | 796,146 | 1.10 | 1.10 | 0.83 | 211 | |||||||||||||||||||||
| 9.15 | 14.54 | (g) | 3,447 | 1.93 | 1.93 | (0.05 | )(g) | 192 | |||||||||||||||||||||
| 8.41 | (15.98 | ) | 5,296 | 1.88 | 1.88 | (0.32 | ) | 236 | |||||||||||||||||||||
| 10.01 | 16.26 | 9,934 | 1.91 | 1.91 | (0.28 | )(h) | 146 | ||||||||||||||||||||||
| 8.61 | 24.42 | 12,401 | 1.94 | 1.94 | (0.11 | ) | 170 | ||||||||||||||||||||||
0.00 | (i) | 6.92 | (38.90 | ) | 13,971 | 1.85 | 1.85 | (0.03 | ) | 211 | ||||||||||||||||||||
| 9.09 | 14.45 | (g) | 35,225 | 1.93 | 1.93 | (0.02 | )(g) | 192 | |||||||||||||||||||||
| 8.37 | (15.96 | ) | 47,416 | 1.88 | 1.88 | (0.32 | ) | 236 | |||||||||||||||||||||
| 9.96 | 16.22 | 81,291 | 1.91 | 1.91 | (0.23 | )(h) | 146 | ||||||||||||||||||||||
| 8.57 | 24.42 | 75,098 | 1.95 | 1.95 | (0.14 | ) | 170 | ||||||||||||||||||||||
0.00 | (i) | 6.89 | (38.85 | ) | 59,544 | 1.85 | 1.85 | 0.17 | 211 | |||||||||||||||||||||
| 10.49 | 15.69 | (g) | 49,884 | 0.93 | 0.93 | 1.02 | (g) | 192 | |||||||||||||||||||||
| 9.59 | (15.16 | ) | 57,003 | 0.87 | 0.87 | 0.62 | 236 | ||||||||||||||||||||||
| 11.40 | 17.39 | 137,631 | 0.91 | 0.91 | 0.69 | (h) | 146 | ||||||||||||||||||||||
| 9.78 | 25.75 | 265,441 | 0.94 | 0.94 | 0.64 | 170 | |||||||||||||||||||||||
0.00 | (i) | 7.84 | (38.28 | ) | 44,240 | 0.85 | 0.85 | 1.21 | 211 |
(g) | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A , Class B, Class C and Class Y shares, respectively, total returns would have been 14.81%, 13.83%, 13.86% and 14.96% for Class A , Class B, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.21%, (0.56)%, (0.55)% and 0.47% for Class A , Class B, Class C and Class Y shares, respectively. |
(h) | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively. |
(i) | Effective June 2, 2008, redemption fees were eliminated. |
See accompanying notes to financial statements.
| 54
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a)(b) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Total distributions (b) |
||||||||||||||||||||||
HARRIS ASSOCIATES LARGE CAP VALUE FUND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 13.86 | $ | 0.12 | $ | 2.24 | $ | 2.36 | $ | (0.13 | ) | $ | | $ | (0.13 | ) | ||||||||||||
12/31/2011 |
14.17 | 0.08 | (0.30 | ) | (0.22 | ) | (0.09 | ) | | (0.09 | ) | |||||||||||||||||
12/31/2010 |
12.58 | 0.05 | 1.60 | 1.65 | (0.06 | ) | | (0.06 | ) | |||||||||||||||||||
12/31/2009 |
8.77 | 0.05 | (h) | 3.81 | 3.86 | (0.05 | ) | | (0.05 | ) | ||||||||||||||||||
12/31/2008 |
14.97 | 0.13 | (6.20 | ) | (6.07 | ) | (0.13 | ) | | (0.13 | ) | |||||||||||||||||
Class B |
||||||||||||||||||||||||||||
12/31/2012 |
12.76 | (0.01 | ) | 2.08 | 2.07 | | | | ||||||||||||||||||||
12/31/2011 |
13.07 | (0.03 | ) | (0.28 | ) | (0.31 | ) | (0.00 | ) | | (0.00 | ) | ||||||||||||||||
12/31/2010 |
11.65 | (0.05 | ) | 1.48 | 1.43 | (0.01 | ) | | (0.01 | ) | ||||||||||||||||||
12/31/2009 |
8.16 | (0.02 | )(h) | 3.52 | 3.50 | (0.01 | ) | | (0.01 | ) | ||||||||||||||||||
12/31/2008 |
13.84 | 0.03 | (5.70 | ) | (5.67 | ) | (0.01 | ) | | (0.01 | ) | |||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
12.72 | 0.00 | 2.05 | 2.05 | (0.02 | ) | | (0.02 | ) | |||||||||||||||||||
12/31/2011 |
13.02 | (0.03 | ) | (0.27 | ) | (0.30 | ) | (0.00 | ) | | (0.00 | ) | ||||||||||||||||
12/31/2010 |
11.61 | (0.05 | ) | 1.47 | 1.42 | (0.01 | ) | | (0.01 | ) | ||||||||||||||||||
12/31/2009 |
8.13 | (0.02 | )(h) | 3.51 | 3.49 | (0.01 | ) | | (0.01 | ) | ||||||||||||||||||
12/31/2008 |
13.82 | 0.03 | (5.69 | ) | (5.66 | ) | (0.03 | ) | | (0.03 | ) | |||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
14.32 | 0.17 | 2.31 | 2.48 | (0.17 | ) | | (0.17 | ) | |||||||||||||||||||
12/31/2011 |
14.65 | 0.12 | (0.33 | ) | (0.21 | ) | (0.12 | ) | | (0.12 | ) | |||||||||||||||||
12/31/2010 |
12.99 | 0.08 | 1.67 | 1.75 | (0.09 | ) | | (0.09 | ) | |||||||||||||||||||
12/31/2009 |
9.05 | 0.08 | (h) | 3.93 | 4.01 | (0.07 | ) | | (0.07 | ) | ||||||||||||||||||
12/31/2008 |
15.47 | 0.19 | (6.42 | ) | (6.23 | ) | (0.19 | ) | | (0.19 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | Includes fee/expense recovery of 0.01%. |
(h) | Includes a non-recurring dividend of $0.01 per share. |
See accompanying notes to financial statements.
55 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Increase from regulatory settlements (b) |
Net asset value, end of the period |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses (%) (e)(f) |
Gross expenses (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) |
|||||||||||||||||||||||
$ | | $ | 16.09 | 17.03 | $ | 113,870 | 1.30 | 1.33 | 0.77 | 25 | ||||||||||||||||||||
| 13.86 | (1.56 | ) | 107,978 | 1.30 | (g) | 1.30 | (g) | 0.57 | 36 | ||||||||||||||||||||
| 14.17 | 13.08 | 118,938 | 1.30 | 1.39 | 0.36 | 32 | |||||||||||||||||||||||
0.00 | 12.58 | 44.03 | 113,309 | 1.30 | 1.50 | 0.53 | 131 | |||||||||||||||||||||||
| 8.77 | (40.45 | ) | 85,761 | 1.28 | 1.28 | 1.04 | 38 | ||||||||||||||||||||||
| 14.83 | 16.22 | 2,145 | 2.05 | 2.08 | (0.04 | ) | 25 | ||||||||||||||||||||||
| 12.76 | (2.34 | ) | 3,341 | 2.05 | (g) | 2.05 | (g) | (0.21 | ) | 36 | |||||||||||||||||||
| 13.07 | 12.31 | 5,614 | 2.05 | 2.13 | (0.40 | ) | 32 | ||||||||||||||||||||||
0.00 | 11.65 | 42.88 | 7,864 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
| 8.16 | (40.87 | ) | 8,191 | 2.03 | 2.04 | 0.25 | 38 | ||||||||||||||||||||||
| 14.75 | 16.13 | 6,016 | 2.05 | 2.08 | 0.02 | 25 | |||||||||||||||||||||||
| 12.72 | (2.28 | ) | 5,667 | 2.05 | (g) | 2.05 | (g) | (0.19 | ) | 36 | |||||||||||||||||||
| 13.02 | 12.26 | 7,399 | 2.05 | 2.14 | (0.39 | ) | 32 | ||||||||||||||||||||||
0.00 | 11.61 | 42.91 | 7,208 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
| 8.13 | (40.90 | ) | 6,222 | 2.03 | 2.03 | 0.26 | 38 | ||||||||||||||||||||||
| 16.63 | 17.33 | 12,100 | 1.05 | 1.09 | 1.04 | 25 | |||||||||||||||||||||||
| 14.32 | (1.40 | ) | 7,567 | 1.05 | (g) | 1.05 | (g) | 0.80 | 36 | ||||||||||||||||||||
| 14.65 | 13.47 | 9,586 | 1.05 | 1.14 | 0.61 | 32 | |||||||||||||||||||||||
0.00 | 12.99 | 44.39 | 7,450 | 1.05 | 1.12 | 0.77 | 131 | |||||||||||||||||||||||
| 9.05 | (40.18 | ) | 5,842 | 0.84 | 0.84 | 1.47 | 38 |
See accompanying notes to financial statements.
| 56
Financial Highlights (continued)
For a share outstanding throughout each period.
Loss from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment loss (a) |
Net realized and unrealized gain |
Total from investment operations |
Dividends from net investment income |
Distributions from net realized capital gains |
Total distributions |
||||||||||||||||||||||
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012(f) |
$ | 10.00 | $ | (0.01 | ) | $ | (0.10 | ) | $ | (0.11 | ) | $ | | $ | | $ | | |||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012(f) |
10.00 | (0.01 | ) | (0.10 | ) | (0.11 | ) | | | | ||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012(f) |
10.00 | (0.01 | ) | (0.11 | ) | (0.12 | ) | | | |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | From commencement of operations on November 16, 2012 through December 31, 2012. |
(g) | Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund (See Note 5 of Notes to Financial Statements). |
See accompanying notes to financial statements.
57 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period |
Total return (%) (b)(c) |
Net assets, end of the period (000s) |
Net expenses (%) (d)(e) |
Gross expenses (%) (e) |
Net investment loss (%) (e) |
Portfolio turnover rate (%) |
||||||||||||||||||||
$ | 9.89 | (1.10 | ) | $ | 1 | 2.19 | (g) | 2.23 | (0.71 | ) | 0 | |||||||||||||||
9.89 | (1.10 | ) | 1 | 2.20 | (g) | 2.24 | (0.73 | ) | 0 | |||||||||||||||||
9.88 | (1.20 | ) | 14,827 | 2.33 | (g) | 2.37 | (0.84 | ) | 0 |
See accompanying notes to financial statements.
| 58
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Total distributions |
||||||||||||||||||||||
VAUGHAN NELSON SMALL CAP VALUE FUND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 17.74 | $ | 0.13 | (g) | $ | 2.50 | $ | 2.63 | $ | (0.14 | ) | $ | (1.26 | ) | $ | (1.40 | ) | ||||||||||
12/31/2011 |
22.69 | 0.10 | (0.83 | ) | (0.73 | ) | (0.09 | ) | (4.13 | ) | (4.22 | ) | ||||||||||||||||
12/31/2010 |
22.31 | (0.01 | ) | 5.27 | 5.26 | | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 |
17.42 | 0.05 | (h) | 4.88 | 4.93 | (0.04 | ) | | (0.04 | ) | ||||||||||||||||||
12/31/2008 |
22.11 | 0.03 | (4.69 | ) | (4.66 | ) | | (0.03 | ) | (0.03 | ) | |||||||||||||||||
Class B |
||||||||||||||||||||||||||||
12/31/2012 |
14.84 | (0.02 | )(g) | 2.09 | 2.07 | | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
12/31/2011 |
19.73 | (0.07 | ) | (0.69 | ) | (0.76 | ) | (0.00 | ) | (4.13 | ) | (4.13 | ) | |||||||||||||||
12/31/2010 |
20.06 | (0.17 | ) | 4.72 | 4.55 | | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 |
15.76 | (0.09 | )(h) | 4.39 | 4.30 | | | | ||||||||||||||||||||
12/31/2008 |
20.15 | (0.14 | ) | (4.22 | ) | (4.36 | ) | | (0.03 | ) | (0.03 | ) | ||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
14.85 | (0.01 | )(g) | 2.08 | 2.07 | (0.02 | ) | (1.26 | ) | (1.28 | ) | |||||||||||||||||
12/31/2011 |
19.74 | (0.06 | ) | (0.70 | ) | (0.76 | ) | | (4.13 | ) | (4.13 | ) | ||||||||||||||||
12/31/2010 |
20.07 | (0.16 | ) | 4.71 | 4.55 | | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 |
15.76 | (0.08 | )(h) | 4.39 | 4.31 | | | | ||||||||||||||||||||
12/31/2008 |
20.16 | (0.13 | ) | (4.24 | ) | (4.37 | ) | | (0.03 | ) | (0.03 | ) | ||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
17.99 | 0.18 | (g) | 2.53 | 2.71 | (0.20 | ) | (1.26 | ) | (1.46 | ) | |||||||||||||||||
12/31/2011 |
22.96 | 0.15 | (0.84 | ) | (0.69 | ) | (0.15 | ) | (4.13 | ) | (4.28 | ) | ||||||||||||||||
12/31/2010 |
22.47 | 0.06 | 5.31 | 5.37 | | (4.90 | ) | (4.90 | ) | |||||||||||||||||||
12/31/2009 |
17.55 | 0.12 | (h) | 4.90 | 5.02 | (0.10 | ) | | (0.10 | ) | ||||||||||||||||||
12/31/2008 |
22.20 | 0.12 | (4.74 | ) | (4.62 | ) | | (0.03 | ) | (0.03 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
59 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Increase from regulatory settlements |
Redemption fees (b) |
Net asset value, end of the period |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses (%) (e)(f) |
Gross expenses (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) |
||||||||||||||||||||||||||
$ | | $ | | $ | 18.97 | 14.93 | (g) | $ | 160,400 | 1.39 | 1.39 | 0.67 | (g) | 73 | ||||||||||||||||||||
| | 17.74 | (3.77 | ) | 228,445 | 1.36 | 1.36 | 0.44 | 88 | |||||||||||||||||||||||||
0.02 | | 22.69 | 23.67 | 267,192 | 1.41 | 1.41 | (0.03 | ) | 80 | |||||||||||||||||||||||||
| | 22.31 | 28.30 | 322,961 | 1.45 | 1.49 | 0.27 | 102 | ||||||||||||||||||||||||||
| 0.00 | (i) | 17.42 | (21.11 | ) | 171,875 | 1.45 | 1.51 | 0.13 | 124 | ||||||||||||||||||||||||
| | 15.65 | 14.12 | (g) | 3,106 | 2.14 | 2.14 | (0.14 | )(g) | 73 | ||||||||||||||||||||||||
| | 14.84 | (4.51 | ) | 4,657 | 2.11 | 2.11 | (0.38 | ) | 88 | ||||||||||||||||||||||||
0.02 | | 19.73 | 22.78 | 7,996 | 2.16 | 2.16 | (0.78 | ) | 80 | |||||||||||||||||||||||||
| | 20.06 | 27.28 | 10,630 | 2.20 | 2.24 | (0.56 | ) | 102 | |||||||||||||||||||||||||
| 0.00 | (i) | 15.76 | (21.67 | ) | 11,788 | 2.20 | 2.26 | (0.78 | ) | 124 | |||||||||||||||||||||||
| | 15.64 | 14.08 | (g) | 26,980 | 2.14 | 2.14 | (0.07 | )(g) | 73 | ||||||||||||||||||||||||
| | 14.85 | (4.51 | ) | 30,284 | 2.11 | 2.11 | (0.33 | ) | 88 | ||||||||||||||||||||||||
0.02 | | 19.74 | 22.78 | 38,855 | 2.16 | 2.16 | (0.76 | ) | 80 | |||||||||||||||||||||||||
| | 20.07 | 27.35 | 39,238 | 2.20 | 2.24 | (0.48 | ) | 102 | |||||||||||||||||||||||||
| 0.00 | (i) | 15.76 | (21.71 | ) | 21,861 | 2.20 | 2.26 | (0.68 | ) | 124 | |||||||||||||||||||||||
| | 19.24 | 15.18 | (g) | 132,970 | 1.14 | 1.14 | 0.95 | (g) | 73 | ||||||||||||||||||||||||
| | 17.99 | (3.54 | ) | 130,115 | 1.10 | 1.10 | 0.65 | 88 | |||||||||||||||||||||||||
0.02 | | 22.96 | 24.00 | 217,305 | 1.16 | 1.16 | 0.24 | 80 | ||||||||||||||||||||||||||
| | 22.47 | 28.61 | 232,903 | 1.18 | (j) | 1.18 | (j) | 0.60 | 102 | ||||||||||||||||||||||||
| 0.00 | (i) | 17.55 | (20.81 | ) | 71,568 | 1.20 | 1.21 | 0.65 | 124 |
(g) | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.04, $(0.09), $(0.08) and $0.10 for Class A , Class B, Class C and Class Y shares, respectively, total return would have been 14.42%, 13.64%, 13.52% and 14.73% for Class A , Class B, Class C and Class Y shares, respectively and the ratio of net investment income (loss) to average net assets would have been 0.22%, (0.56)%, (0.51)% and 0.50% for Class A , Class B, Class C and Class Y shares, respectively. |
(h) | Includes a non-recurring dividend of $0.03 per share. |
(i) | Effective June 2, 2008, redemption fees were eliminated. |
(j) | Includes fee/expense recovery of less than 0.01%. |
See accompanying notes to financial statements.
| 60
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) From Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Distributions from paid- in capital |
||||||||||||||||||||||
VAUGHAN NELSON VALUE OPPORTUNITY FUND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 13.83 | $ | 0.15 | (g) | $ | 2.05 | $ | 2.20 | $ | (0.14 | ) | $ | (0.40 | ) | $ | | |||||||||||
12/31/2011 |
14.75 | (0.01 | ) | (0.39 | ) | (0.40 | ) | | (0.52 | ) | | |||||||||||||||||
12/31/2010 |
12.46 | 0.08 | (i) | 2.36 | 2.44 | (0.07 | ) | (0.02 | ) | (0.06 | ) | |||||||||||||||||
12/31/2009 |
9.60 | 0.09 | 2.88 | 2.97 | (0.04 | ) | (0.07 | ) | | |||||||||||||||||||
12/31/2008(j) |
10.00 | 0.03 | (0.41 | ) | (0.38 | ) | (0.02 | ) | | | ||||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
13.60 | 0.04 | (g) | 2.01 | 2.05 | (0.04 | ) | (0.40 | ) | | ||||||||||||||||||
12/31/2011 |
14.63 | (0.12 | ) | (0.39 | ) | (0.51 | ) | | (0.52 | ) | | |||||||||||||||||
12/31/2010 |
12.39 | (0.03 | )(i) | 2.36 | 2.33 | (0.04 | ) | (0.02 | ) | (0.03 | ) | |||||||||||||||||
12/31/2009 |
9.59 | (0.02 | ) | 2.89 | 2.87 | (0.00 | ) | (0.07 | ) | | ||||||||||||||||||
12/31/2008(j) |
10.00 | 0.02 | (0.41 | ) | (0.39 | ) | (0.02 | ) | | | ||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
13.89 | 0.18 | (g) | 2.08 | 2.26 | (0.18 | ) | (0.40 | ) | | ||||||||||||||||||
12/31/2011 |
14.80 | 0.03 | (0.41 | ) | (0.38 | ) | (0.01 | ) | (0.52 | ) | | |||||||||||||||||
12/31/2010 |
12.49 | 0.12 | (i) | 2.37 | 2.49 | (0.09 | ) | (0.02 | ) | (0.07 | ) | |||||||||||||||||
12/31/2009 |
9.60 | 0.10 | 2.90 | 3.00 | (0.04 | ) | (0.07 | ) | | |||||||||||||||||||
12/31/2008(j) |
10.00 | 0.03 | (0.40 | ) | (0.37 | ) | (0.03 | ) | | |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
61 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Total distributions |
Net asset value, end of the period |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses (%) (e)(f) |
Gross expenses (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) |
|||||||||||||||||||||||
$ | (0.54) | $ | 15.49 | 15.93 | (g) | $ | 28,381 | 1.31 | 1.31 | 0.97 | (g) | 65 | ||||||||||||||||||
(0.52) | 13.83 | (2.71 | ) | 21,308 | 1.40 | (h) | 1.40 | (h) | (0.07 | ) | 75 | |||||||||||||||||||
(0.15) | 14.75 | 19.64 | 11,268 | 1.40 | 1.69 | 0.62 | (i) | 143 | ||||||||||||||||||||||
(0.11) | 12.46 | 30.98 | 3,645 | 1.40 | 5.24 | 0.79 | 45 | |||||||||||||||||||||||
(0.02) | 9.60 | (3.75 | ) | 16 | 1.40 | 39.61 | 1.92 | 12 | ||||||||||||||||||||||
(0.44) | 15.21 | 15.10 | (g) | 3,090 | 2.06 | 2.06 | 0.24 | (g) | 65 | |||||||||||||||||||||
(0.52) | 13.60 | (3.48 | ) | 1,822 | 2.15 | (h) | 2.15 | (h) | (0.83 | ) | 75 | |||||||||||||||||||
(0.09) | 14.63 | 18.85 | 824 | 2.15 | 2.46 | (0.23 | )(i) | 143 | ||||||||||||||||||||||
(0.07) | 12.39 | 30.01 | 370 | 2.15 | 8.54 | (0.14 | ) | 45 | ||||||||||||||||||||||
(0.02) | 9.59 | (3.90 | ) | 41 | 2.15 | 40.36 | 1.62 | 12 | ||||||||||||||||||||||
(0.58) | 15.57 | 16.28 | (g) | 163,589 | 1.06 | 1.06 | 1.22 | (g) | 65 | |||||||||||||||||||||
(0.53) | 13.89 | (2.53 | ) | 109,419 | 1.15 | (h) | 1.15 | (h) | 0.23 | 75 | ||||||||||||||||||||
(0.18) | 14.80 | 19.96 | 40,715 | 1.15 | 1.43 | 0.92 | (i) | 143 | ||||||||||||||||||||||
(0.11) | 12.49 | 31.37 | 8,626 | 1.15 | 7.22 | 0.90 | 45 | |||||||||||||||||||||||
(0.03) | 9.60 | (3.74 | ) | 960 | 1.15 | 38.91 | 1.41 | 12 |
(g) | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.08) and $0.06 for Class A, Class C and Class Y shares, respectively, total returns would have been 15.06%, 14.21% and 15.41% for Class A, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.16%, (0.57)% and 0.42% for Class A, Class C and Class Y shares, respectively. |
(h) | Includes fee/expense recovery of 0.01%. |
(i) | Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively. |
(j) | From commencement of operations on October 31, 2008 through December 31, 2008. |
See accompanying notes to financial statements.
| 62
Notes to Financial Statements
December 31, 2012
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the Trusts and each a Trust) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a Fund and collectively, the Funds) are included in this report:
Natixis Funds Trust I:
CGM Advisor Targeted Equity Fund (the Targeted Equity Fund)
Vaughan Nelson Small Cap Value Fund (the Small Cap Value Fund)
Natixis Funds Trust II:
Harris Associates Large Cap Value Fund (the Large Cap Value Fund)
McDonnell Intermediate Municipal Bond Fund (the Intermediate Municipal Bond Fund)
Vaughan Nelson Value Opportunity Fund (the Value Opportunity Fund)
The Intermediate Municipal Bond Fund commenced operations on November 16, 2012 via contribution to the Fund by Natixis Global Asset Management, L.P. (Natixis US) and affiliates of $15,002,000. Class A, Class C and Class Y shares were first registered under the Securities Act of 1933 effective December 31, 2012 (subsequent to its commencement of operations).
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares of Targeted Equity Fund, Large Cap Value Fund and Small Cap Value Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.
Effective July 31, 2009, the Small Cap Value Fund was closed to new investors. The Fund continues to offer Class A, Class C and Class Y shares to existing investors. The Fund, in its sole discretion, may permit an investor in another Vaughan Nelson-managed fund or product that follows the same investment strategy as the Fund to transfer assets from that fund or product into the Fund.
Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Intermediate Municipal Bond Fund, which is sold with a maximum front-end sales charge of 3.50%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (CDSC) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not
63 |
Notes to Financial Statements (continued)
December 31, 2012
pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds prospectus.
Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds financial statements.
a. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by an independent pricing service recommended by the investment adviser and subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between
| 64
Notes to Financial Statements (continued)
December 31, 2012
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. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.
Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds investments in real estate investment trusts (REITs) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based
65 |
Notes to Financial Statements (continued)
December 31, 2012
upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
d. Federal and Foreign Income Taxes. Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Funds tax positions for the open tax years as of December 31, 2012 and has concluded that no provisions for income tax are required. The Funds federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, managements conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Funds understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if
| 66
Notes to Financial Statements (continued)
December 31, 2012
applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
e. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, deferred Trustees fees, net operating losses, distribution redesignations, return of capital and capital gain distributions received and distributions in excess of current earnings. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees fees, wash sales and return of capital distributions received. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the periods ended December 31, 2012 and 2011 was as follows:
2012 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term |
Total |
|||||||||
Targeted Equity Fund |
$ | 4,402,564 | $ | 23,606,187 | $ | 28,008,751 | ||||||
Large Cap Value Fund |
1,044,791 | | 1,044,791 | |||||||||
Intermediate Municipal Bond Fund |
| | | |||||||||
Small Cap Value Fund |
4,733,385 | 20,063,690 | 24,797,075 | |||||||||
Value Opportunity Fund |
4,894,888 | 1,954,524 | 6,849,412 |
2011 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term |
Total |
|||||||||
Targeted Equity Fund |
$ | 3,271,430 | $ | | $ | 3,271,430 | ||||||
Large Cap Value Fund |
752,237 | | 752,237 | |||||||||
Small Cap Value Fund |
9,887,166 | 79,707,256 | 89,594,422 | |||||||||
Value Opportunity Fund |
2,390,222 | 2,627,916 | 5,018,138 |
67 |
Notes to Financial Statements (continued)
December 31, 2012
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2012, the components of distributable earnings on a tax basis were as follows:
Targeted Equity Fund |
Large Cap Value Fund |
Intermediate |
Small Cap |
Value Opportunity Fund |
||||||||||||||||
Undistributed ordinary income |
$ | 215 | $ | | $ | | $ | 2,105,218 | $ | 484,796 | ||||||||||
Undistributed long-term capital gains |
| | | 5,602,183 | 1,333,042 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total undistributed earnings |
215 | | | 7,707,401 | 1,817,838 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Capital loss carryforward: |
||||||||||||||||||||
Short-term: |
||||||||||||||||||||
Expires |
||||||||||||||||||||
December 31, 2017 |
| (5,297,011 | ) | | | | ||||||||||||||
December 31, 2018 |
| (790,094 | ) | | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total capital loss carryforward |
| (6,087,105 | ) | | | | ||||||||||||||
Late-year ordinary and post-October capital loss deferrals* |
(3,709,332 | ) | | | | | ||||||||||||||
Unrealized appreciation (depreciation) |
45,069,842 | 20,239,892 | (157,484 | ) | 35,715,464 | 12,462,488 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total accumulated earnings (losses) |
$ | 41,360,725 | $ | 14,152,787 | $ | (157,484 | ) | $ | 43,422,865 | $ | 14,280,326 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Capital loss carryforward utilized in the current year |
$ | 15,907,430 | $ | 3,909,538 | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31, may be deferred and treated as occurring on the first day of the following taxable year. |
f. Repurchase Agreements. It is each Funds 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
| 68
Notes to Financial Statements (continued)
December 31, 2012
default or insolvency of the counterparty, including possible delays or restrictions upon a Funds ability to dispose of the underlying securities.
g. Securities Lending. Certain Funds have entered into an agreement with State Street Bank and Trust Company (State Street Bank), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended December 31, 2012, none of the Funds had loaned securities under this agreement.
h. Indemnifications. Under the Trusts organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Funds 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.); and |
69 |
Notes to Financial Statements (continued)
December 31, 2012
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Targeted Equity Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 512,059,420 | $ | | $ | | $ | 512,059,420 | ||||||||
Short-Term Investments |
| 7,745,000 | | 7,745,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 512,059,420 | $ | 7,745,000 | $ | | $ | 519,804,420 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Large Cap Value Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 129,038,862 | $ | | $ | | $ | 129,038,862 | ||||||||
Short-Term Investments |
| 5,635,187 | | 5,635,187 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 129,038,862 | $ | 5,635,187 | $ | | $ | 134,674,049 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
| 70
Notes to Financial Statements (continued)
December 31, 2012
Intermediate Municipal Bond Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes(a) |
$ | | $ | 14,454,515 | $ | | $ | 14,454,515 | ||||||||
Short-Term Investments |
| 246,525 | | 246,525 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 14,701,040 | $ | | $ | 14,701,040 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Since the Intermediate Municipal Bond Fund commenced operations during the year ended December 31, 2012, there were no transfers to recognize between Levels 1, 2 and 3.
Small Cap Value Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 311,579,364 | $ | | $ | | $ | 311,579,364 | ||||||||
Closed End Investment Companies |
9,088,187 | | | 9,088,187 | ||||||||||||
Short-Term Investments |
| 6,691,640 | | 6,691,640 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 320,667,551 | $ | 6,691,640 | $ | | $ | 327,359,191 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Value Opportunity Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 183,961,981 | $ | | $ | | $ | 183,961,981 | ||||||||
Closed End Investment Companies |
2,966,250 | | | 2,966,250 | ||||||||||||
Short-Term Investments |
| 7,795,742 | | 7,795,742 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 186,928,231 | $ | 7,795,742 | $ | | $ | 194,723,973 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
71 |
Notes to Financial Statements (continued)
December 31, 2012
4. Purchases and Sales of Securities. For the period ended December 31, 2012, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
Fund |
Purchases |
Sales |
||||||
Targeted Equity Fund |
$ | 1,093,764,988 | $ | 1,263,391,669 | ||||
Large Cap Value Fund |
31,872,342 | 42,485,407 | ||||||
Intermediate Municipal Bond Fund |
14,639,647 | | ||||||
Small Cap Value Fund |
267,537,487 | 375,802,273 | ||||||
Value Opportunity Fund |
147,299,400 | 111,325,021 |
5. Management Fees and Other Transactions with Affiliates.
a. Management Fees. NGAM Advisors, L.P. (NGAM Advisors) serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management Limited Partnership (CGM) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Funds average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||||||||||
Fund |
First $200 million |
Next $300 million |
Next $500 million |
Next $1 billion |
Over $2 billion |
|||||||||||||||
Targeted Equity Fund |
0.75 | % | 0.70 | % | 0.65 | % | 0.65 | % | 0.60 | % | ||||||||||
Large Cap Value Fund |
0.70 | % | 0.65 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Intermediate Municipal Bond Fund |
0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||
Small Cap Value Fund |
0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||
Value Opportunity Fund |
0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % |
NGAM Advisors has entered into subadvisory agreements for each Fund as listed below.
Large Cap Value Fund |
Harris Associates L.P. (Harris) | |
Intermediate Municipal Bond Fund |
McDonnell Investment Management, LLC (McDonnell) | |
Small Cap Value Fund |
Vaughan Nelson Investment Management, L.P. (Vaughan Nelson) | |
Value Opportunity Fund |
Vaughan Nelson |
Payments to NGAM Advisors are reduced by the amount of payments to the subadvisers.
NGAM Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2013, except for Intermediate Municipal Bond Fund, which is until April 30, 2014
| 72
Notes to Financial Statements (continued)
December 31, 2012
and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
For the year ended December 31, 2012, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense limit as a Percentage of Average Daily Net Assets |
||||||||||||||||
Fund |
Class A |
Class B |
Class C |
Class Y |
||||||||||||
Large Cap Value Fund |
1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % | ||||||||
Small Cap Value Fund |
1.45 | % | 2.20 | % | 2.20 | % | 1.20 | % | ||||||||
Value Opportunity Fund |
1.40 | % | | 2.15 | % | 1.15 | % |
Effective December 31, 2012, the expense limits as a percentage of average daily net assets under the expense limitation agreement for Intermediate Municipal Bond Fund were as follows:
Expense limit |
||||||||
Class A |
Class C |
Class Y |
||||||
0.80% |
1.55% | 0.55% |
Prior to December 31, 2012, there was no expense limitation agreement in place for Intermediate Municipal Bond Fund.
NGAM Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
73 |
Notes to Financial Statements (continued)
December 31, 2012
For the period ended December 31, 2012, the management fees and waivers of management fees for each Fund were as follows:
Fund |
Gross |
Waivers of |
Net |
Percentage of |
||||||||||||||||
Gross |
Net |
|||||||||||||||||||
Targeted Equity Fund |
$ | 4,150,039 | $ | | $ | 4,150,039 | 0.71 | % | 0.71 | % | ||||||||||
Large Cap Value Fund |
944,008 | 45,044 | 898,964 | 0.70 | % | 0.67 | % | |||||||||||||
Intermediate Municipal Bond Fund |
7,349 | 743 | 6,606 | 0.40 | % | 0.36 | % | |||||||||||||
Small Cap Value Fund |
3,390,660 | | 3,390,660 | 0.90 | % | 0.90 | % | |||||||||||||
Value Opportunity Fund |
1,425,190 | | 1,425,190 | 0.80 | % | 0.80 | % |
1 | Management fee waivers are subject to possible recovery until December 31, 2013. |
No expenses were recovered for any of the Funds during the year ended December 31, 2012.
Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, CGM, Harris, McDonnell and Vaughan Nelson are subsidiaries of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. NGAM Distribution, L.P. (NGAM Distribution), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Funds Class A shares (the Class A Plans) and a Distribution and Service Plan relating to each Funds Class B (if applicable) and Class C shares (the Class B and Class C Plans).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.
| 74
Notes to Financial Statements (continued)
December 31, 2012
Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.
For the period ended December 31, 2012, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||||||||||
Fund |
Class A |
Class B |
Class C |
Class B |
Class C |
|||||||||||||||
Targeted Equity Fund |
$ | 1,203,203 | $ | 10,837 | $ | 105,824 | $ | 32,510 | $ | 317,474 | ||||||||||
Large Cap Value Fund |
287,519 | 6,869 | 15,156 | 20,607 | 45,468 | |||||||||||||||
Intermediate Municipal Bond Fund |
| 2 | | | 2 | | | 2 | ||||||||||||
Small Cap Value Fund |
517,264 | 9,564 | 72,945 | 28,694 | 218,836 | |||||||||||||||
Value Opportunity Fund |
67,035 | | 6,812 | | 20,436 |
2 | Amount rounds to less than $1. |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (Natixis Funds Trusts), Loomis Sayles Funds I, Loomis Sayles Funds II (Loomis Sayles Funds Trusts), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
For the period ended December 31, 2012, administrative fees for each Fund were as follows:
Fund |
Administrative |
|||
Targeted Equity Fund |
$ | 263,663 | ||
Large Cap Value Fund |
60,785 | |||
Intermediate Municipal Bond Fund |
819 | |||
Small Cap Value Fund |
169,888 | |||
Value Opportunity Fund |
80,249 |
75 |
Notes to Financial Statements (continued)
December 31, 2012
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds transfer agent and other service providers if the shareholders accounts were maintained directly at the Funds transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds Board, which is based on fees for similar services paid to the Funds transfer agent and other service providers.
For the year ended December 31, 2012, sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund |
Sub-Transfer |
|||
Targeted Equity Fund |
$ | 289,694 | ||
Large Cap Value Fund |
44,838 | |||
Small Cap Value Fund |
316,992 | |||
Value Opportunity Fund |
160,100 |
As of December 31, 2012, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:
Fund |
Reimbursements |
|||
Targeted Equity Fund |
$ | 3,350 | ||
Large Cap Value Fund |
568 | |||
Small Cap Value Fund |
3,751 | |||
Value Opportunity Fund |
2,123 |
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the period ended December 31, 2012, were as follows:
Fund |
Commissions |
|||
Targeted Equity Fund |
$ | 88,554 | ||
Large Cap Value Fund |
29,078 | |||
Small Cap Value Fund |
22,354 | |||
Value Opportunity Fund |
25,436 |
| 76
Notes to Financial Statements (continued)
December 31, 2012
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $265,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $95,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Effective January 1, 2013, the Chairperson of the Board will receive a retainer fee at the annual rate of $285,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $115,000. In addition, each committee chairman will receive an additional retainer fee at an annual rate of $17,500, and each Audit Committee member will be compensated $6,000 for each Committee meeting that he or she will attend in person and $3,000 for each meeting that he or she will attend telephonically. All other Trustee fees will remain unchanged.
A deferred compensation plan (the Plan) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustees deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees fees in the Statements of Assets and Liabilities.
g. Affiliated Ownership. As of December 31, 2012, Natixis US and affiliates held shares of Intermediate Municipal Bond Fund representing 100% of net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
77 |
Notes to Financial Statements (continued)
December 31, 2012
6. Line of Credit. Each Fund, except Intermediate Municipal Bond Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 19, 2012, the commitment fee was 0.125% per annum.
For the period ended December 31, 2012, none of the Funds had borrowings under these agreements.
Intermediate Municipal Bond Fund was added as a participant in the line of credit subsequent to December 31, 2012.
7. Brokerage Commission Recapture. Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2012, amounts rebated under these agreements were as follows:
Fund |
Rebates |
|||
Targeted Equity Fund |
$ | 344,614 | ||
Small Cap Value Fund |
8,499 | |||
Value Opportunity Fund |
32,111 |
8. Concentration of Ownership. From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2012, based on managements evaluation of the shareholder account base, certain Funds had accounts representing controlling ownership of more than 5% of the Funds total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:
Fund |
Number of > 5% |
Percentage of Non-Affiliated |
Percentage Ownership |
Total Percentage of |
||||||||||||
Large Cap Value Fund |
1 | 6.93 | % | | 6.93 | % | ||||||||||
Intermediate Municipal Bond Fund |
| | 100.00 | % | 100.00 | % | ||||||||||
Small Cap Value Fund |
2 | 17.28 | % | | 17.28 | % | ||||||||||
Value Opportunity Fund |
1 | 16.78 | % | | 16.78 | % |
| 78
Notes to Financial Statements (continued)
December 31, 2012
Omnibus accounts for which NGAM believes the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Funds may not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
9. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Targeted Equity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
1,244,172 | $ | 12,681,069 | 3,184,509 | $ | 33,232,138 | ||||||||||
Issued in connection with the reinvestment of distributions |
2,186,579 | 22,106,299 | 282,978 | 2,637,355 | ||||||||||||
Redeemed |
(14,333,293 | ) | (145,957,912 | ) | (17,448,381 | ) | (176,294,304 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(10,902,542 | ) | $ | (111,170,544 | ) | (13,980,894 | ) | $ | (140,424,811 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
11,137 | $ | 102,054 | 22,290 | $ | 209,108 | ||||||||||
Issued in connection with the reinvestment of distributions |
17,902 | 161,835 | | | ||||||||||||
Redeemed |
(282,048 | ) | (2,571,222 | ) | (384,942 | ) | (3,528,090 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(253,009 | ) | $ | (2,307,333 | ) | (362,652 | ) | $ | (3,318,982 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
354,260 | $ | 3,184,715 | 896,423 | $ | 8,494,213 | ||||||||||
Issued in connection with the reinvestment of distributions |
128,372 | 1,154,067 | | | ||||||||||||
Redeemed |
(2,275,351 | ) | (20,591,593 | ) | (3,391,034 | ) | (30,547,401 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(1,792,719 | ) | $ | (16,252,811 | ) | (2,494,611 | ) | $ | (22,053,188 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
2,271,561 | $ | 24,317,133 | 3,063,998 | $ | 33,665,698 | ||||||||||
Issued in connection with the reinvestment of distributions |
177,324 | 1,838,849 | 24,987 | 238,628 | ||||||||||||
Redeemed |
(3,636,450 | ) | (37,293,303 | ) | (9,218,830 | ) | (93,610,480 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(1,187,565 | ) | $ | (11,137,321 | ) | (6,129,845 | ) | $ | (59,706,154 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(14,135,835 | ) | $ | (140,868,009 | ) | (22,968,002 | ) | $ | (225,503,135 | ) | ||||||
|
|
|
|
|
|
|
|
79 |
Notes to Financial Statements (continued)
December 31, 2012
9. Capital Shares (continued).
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Large Cap Value Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
571,312 | $ | 8,808,474 | 362,434 | $ | 5,194,882 | ||||||||||
Issued in connection with the reinvestment of distributions |
48,834 | 781,803 | 42,241 | 582,465 | ||||||||||||
Redeemed |
(1,333,266 | ) | (20,652,590 | ) | (1,006,523 | ) | (14,401,573 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(713,120 | ) | $ | (11,062,313 | ) | (601,848 | ) | $ | (8,624,226 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
5,514 | $ | 79,569 | 4,821 | $ | 64,740 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 95 | 1,299 | ||||||||||||
Redeemed |
(122,644 | ) | (1,722,972 | ) | (172,664 | ) | (2,279,597 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(117,130 | ) | $ | (1,643,403 | ) | (167,748 | ) | $ | (2,213,558 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
44,036 | $ | 614,371 | 14,556 | $ | 192,169 | ||||||||||
Issued in connection with the reinvestment of distributions |
374 | 5,481 | 74 | 1,019 | ||||||||||||
Redeemed |
(82,147 | ) | (1,165,567 | ) | (137,075 | ) | (1,793,043 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(37,737 | ) | $ | (545,715 | ) | (122,445 | ) | $ | (1,599,855 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
446,523 | $ | 7,104,087 | 52,358 | $ | 787,377 | ||||||||||
Issued in connection with the reinvestment of distributions |
6,927 | 114,635 | 4,200 | 59,792 | ||||||||||||
Redeemed |
(254,239 | ) | (4,048,313 | ) | (182,830 | ) | (2,780,482 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
199,211 | $ | 3,170,409 | (126,272 | ) | $ | (1,933,313 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(668,776 | ) | $ | (10,081,022 | ) | (1,018,313 | ) | $ | 14,370,952 | ) | ||||||
|
|
|
|
|
|
|
|
| 80
Notes to Financial Statements (continued)
December 31, 2012
9. Capital Shares (continued).
|
Period Ended December 31, 2012* |
| ||||||
Intermediate Municipal Bond Fund |
Shares | Amount | ||||||
Class A | ||||||||
Issued from the sale of shares |
100 | $ | 1,000 | |||||
Issued in connection with the reinvestment of distributions |
| | ||||||
Redeemed |
| | ||||||
|
|
|
|
|||||
Net change |
100 | $ | 1,000 | |||||
|
|
|
|
|||||
Class C | ||||||||
Issued from the sale of shares |
100 | $ | 1,000 | |||||
Issued in connection with the reinvestment of distributions |
| | ||||||
Redeemed |
| | ||||||
|
|
|
|
|||||
Net change |
100 | $ | 1,000 | |||||
|
|
|
|
|||||
Class Y | ||||||||
Issued from the sale of shares |
1,500,000 | $ | 15,000,000 | |||||
Issued in connection with the reinvestment of distributions |
| | ||||||
Redeemed |
| | ||||||
|
|
|
|
|||||
Net change |
1,500,000 | $ | 15,000,000 | |||||
|
|
|
|
|||||
Increase (decrease) from capital share transactions |
1,500,200 | $ | 15,002,000 | |||||
|
|
|
|
* | From commencement of operations on November 16, 2012 through December 31, 2012. |
81 |
Notes to Financial Statements (continued)
December 31, 2012
9. Capital Shares (continued).
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Small Cap Value Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
905,472 | $ | 16,716,388 | 3,643,470 | $ | 82,393,516 | ||||||||||
Issued in connection with the reinvestment of distributions |
438,554 | 8,273,160 | 1,590,219 | 30,259,390 | ||||||||||||
Redeemed |
(5,765,681 | ) | (110,211,901 | ) | (4,129,370 | ) | (90,649,356 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(4,421,655 | ) | $ | (85,222,353 | ) | 1,104,319 | $ | 22,003,550 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
16,274 | $ | 256,874 | 19,113 | $ | 365,516 | ||||||||||
Issued in connection with the reinvestment of distributions |
16,395 | 255,633 | 70,308 | 1,130,787 | ||||||||||||
Redeemed |
(147,930 | ) | (2,337,894 | ) | (180,896 | ) | (3,487,616 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(115,261 | ) | $ | (1,825,387 | ) | (91,475 | ) | $ | (1,991,313 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
87,893 | $ | 1,380,808 | 183,324 | $ | 3,193,176 | ||||||||||
Issued in connection with the reinvestment of distributions |
100,469 | 1,566,065 | 325,308 | 5,194,638 | ||||||||||||
Redeemed |
(502,562 | ) | (7,960,221 | ) | (437,680 | ) | (8,311,014 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(314,200 | ) | $ | (5,013,348 | ) | 70,952 | $ | 76,800 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
1,264,819 | $ | 24,842,034 | 1,970,543 | $ | 45,319,180 | ||||||||||
Issued in connection with the reinvestment of distributions |
390,474 | 7,473,169 | 1,227,435 | 23,963,566 | ||||||||||||
Redeemed |
(1,978,724 | ) | (38,272,158 | ) | (5,430,354 | ) | (119,011,700 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(323,431 | ) | $ | (5,956,955 | ) | (2,232,376 | ) | $ | (49,728,954 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(5,174,547 | ) | $ | (98,018,043 | ) | (1,148,580 | ) | $ | (29,639,917 | ) | ||||||
|
|
|
|
|
|
|
|
| 82
Notes to Financial Statements (continued)
December 31, 2012
9. Capital Shares (continued).
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Value Opportunity Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
1,004,548 | $ | 15,213,332 | 1,293,700 | $ | 20,064,791 | ||||||||||
Issued in connection with the reinvestment of distributions |
61,029 | 941,234 | 55,637 | 775,015 | ||||||||||||
Redeemed |
(774,396 | ) | (11,761,310 | ) | (572,243 | ) | (8,442,798 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
291,181 | $ | 4,393,256 | 777,094 | $ | 12,397,008 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
126,208 | $ | 1,867,002 | 121,179 | $ | 1,857,011 | ||||||||||
Issued in connection with the reinvestment of distributions |
5,492 | 83,139 | 4,804 | 65,821 | ||||||||||||
Redeemed |
(62,517 | ) | (925,300 | ) | (48,298 | ) | (678,464 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
69,183 | $ | 1,024,841 | 77,685 | $ | 1,244,368 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
5,743,517 | $ | 87,929,210 | 6,640,679 | $ | 97,980,918 | ||||||||||
Issued in connection with the reinvestment of distributions |
280,268 | 4,346,477 | 196,859 | 2,756,032 | ||||||||||||
Redeemed |
(3,392,058 | ) | (51,285,742 | ) | (1,713,518 | ) | (25,165,911 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
2,631,727 | $ | 40,989,945 | 5,124,020 | $ | 75,571,039 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
2,992,091 | $ | 46,408,042 | 5,978,799 | $ | 89,212,415 | ||||||||||
|
|
|
|
|
|
|
|
83 |
Report of Independent Registered Public Accounting Firm
To the Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of CGM Advisor Targeted Equity Fund, Harris Associates Large Cap Value Fund, McDonnell Intermediate Municipal Bond Fund, Vaughan Nelson Small Cap Value Fund and Vaughan Nelson Value Opportunity Fund:
In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; and the Harris Associates Large Cap Value Fund, Vaughan Nelson Value Opportunity Fund and McDonnell Intermediate Municipal Bond Fund, each a series of Natixis Funds Trust II (collectively, the Funds), at December 31, 2012, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, MA
February 22, 2013
| 84
2012 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2012, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund |
Qualifying |
|||
Targeted Equity |
100.00 | % | ||
Large Cap Value |
100.00 | % | ||
Small Cap Value |
100.00 | % | ||
Value Opportunity |
47.56 | % |
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2012.
Fund |
Amount |
|||
Targeted Equity |
$ | 23,606,187 | ||
Small Cap Value |
20,063,690 | |||
Value Opportunity |
1,954,524 |
Qualified Dividend Income. A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2012 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individuals tax bracket. These percentages are noted below:
Fund |
Qualifying |
|||
Targeted Equity |
100.00 | % | ||
Large Cap Value |
100.00 | % | ||
Small Cap Value |
100.00 | % | ||
Value Opportunity |
69.31 | % |
85 |
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the Trusts). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at
800-225-5478.
Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INDEPENDENT TRUSTEES | ||||||||
Charles D. Baker (1956) |
Trustee From 2005 to 2009 and since 2011 Contract Review and Governance Committee Member |
Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health care organization) | 44 Director, Athenahealth, Inc. (software company) |
Significant experience on the Board; executive experience (including president and chief executive officer of a health care organization and executive officer of a venture capital and growth equity firm) | ||||
Daniel M. Cain3 (1945) |
Interested Trustee of Natixis Funds Trust II Independent Trustee of Natixis Funds Trust I Since 1996 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Contract Review and Governance Committee |
Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking) | 44 Director, Sheridan Healthcare Inc. (physician practice management) |
Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm) |
| 86
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INDEPENDENT TRUSTEES continued |
||||||||
Kenneth A. Drucker (1945) |
Trustee Since 2008 Chairman of the Audit Committee |
Retired | 44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company) |
Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
Edmond J. English4 (1953) |
Trustee Since 2013 Contract Review and Governance Committee Member |
Chief Executive Officer of Bobs Discount Furniture (retail) | 44 Formerly, Director, BJs Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank) |
Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company) |
87 |
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INDEPENDENT TRUSTEES continued |
||||||||
Wendell J. Knox (1948) |
Trustee Since 2009 Audit Committee Member |
Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting) | 44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance) |
Significant experience on the Board and on the board of other business organizations (including at a commercial bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a consulting company) | ||||
Martin T. Meehan5 (1956) |
Trustee Since 2012 Contract Review and Governance Committee Member |
Chancellor and faculty member, University of Massachusetts Lowell | 44 None |
Experience as Chancellor of the University of Massachusetts Lowell; experience on the board of other business organizations; government experience (including as a member of the U.S. House of Representatives); academic experience |
| 88
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INDEPENDENT TRUSTEES continued |
||||||||
Sandra O. Moose (1942) |
Chairperson of the Board of Trustees since November 2005 Trustee Since 1982 for Natixis Funds Trust I (including its predecessors); and since 1993 for Natixis Funds Trust II Ex officio member of the Audit Committee and Contract Review and Governance Committee |
President, Strategic Advisory Services (management consulting) | 44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals) |
Significant experience on the Board and on the board of other business organizations (including at an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company) | ||||
Erik R. Sirri (1958) |
Trustee Since 2009 Audit Committee Member |
Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission | 44 None |
Experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
Peter J. Smail (1952) |
Trustee Since 2009 Contract Review and Governance Committee Member |
Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management) | 44 None |
Experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
89 |
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INDEPENDENT TRUSTEES continued |
||||||||
Cynthia L. Walker (1956) |
Trustee Since 2005 Audit |
Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School |
44 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
INTERESTED TRUSTEES | ||||||||
Robert J. Blanding6 (1947) 555 California Street San Francisco, CA 94104 |
Trustee Since 2003 |
President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P. |
44 None |
Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P. |
| 90
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held |
Principal 5 Years |
Number of Fund Complex and Other 5 Years |
Experience, | ||||
INTERESTED TRUSTEES continued |
||||||||
David L. Giunta7 (1965) |
Trustee Since 2011 President and Chief Executive Officer |
President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company | 44 None |
Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P. | ||||
John T. Hailer8 (1960) |
Trustee Since 2000 |
President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors L.P. and NGAM Distribution, L.P. | 44 None |
Significant experience on the Board; continuing experience as Chief Executive Officer U.S. and Asia, Natixis Global Asset Management, L.P. |
1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 72. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two year term as the Chairperson of the Board on November 18, 2011. |
2 | The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the Natixis Funds Trusts), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the Loomis Sayles Funds Trusts), and Hansberger International Series (collectively, the Fund Complex). |
3 | Mr. Cain is deemed an interested person of Natixis Funds Trust II since November 2012 because he is an affiliated person of Cain Brothers & Company, LLC, a registered broker-dealer that has executed |
91 |
Trustee and Officer Information
portfolio transactions on behalf of certain institutional separate accounts managed by McDonnell Investment Management, LLC, the sub-adviser to the McDonnell Intermediate Municipal Bond Fund, a series of Natixis Funds Trust II. |
4 | Mr. English was appointed as a trustee effective January 1, 2013. |
5 | Mr. Meehan was appointed as a trustee effective July 1, 2012. |
6 | Mr. Blanding is deemed an interested person of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. |
7 | Mr. Giunta is deemed an interested person of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. |
8 | Mr. Hailer is deemed an interested person of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer U.S. and Asia, Natixis Global Asset Management, L.P. |
| 92
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held with the Trusts |
Term of
Office1 and |
Principal Occupation | |||
OFFICERS OF THE TRUSTS | ||||||
Coleen Downs Dinneen (1960) |
Secretary, Clerk and Chief Legal Officer | Since September 2004 | Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. | |||
Russell L. Kane (1969) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer |
Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007 | Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. | |||
Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since October 2004 | Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P. |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustees or officers current position with such entity. |
93 |
ANNUAL REPORT
December 31, 2012
ASG Diversifying Strategies Fund
ASG Global Alternatives Fund
ASG Managed Futures Strategy Fund
Loomis Sayles Multi-Asset Real Return Fund
Loomis Sayles Strategic Alpha Fund
(Formerly Loomis Sayles Absolute Strategies Fund)
Portfolio Review page 1
Portfolio of Investments page 26
Financial Statements page 65
Notes to Financial Statements page 79
ASG DIVERSIFYING STRATEGIES FUND
Management Discussion
1 |
equity and fixed-income securities, currencies and commodities. The fund typically makes extensive use of derivative instruments, including futures and forward contracts, to capture these exposures, while also managing volatility and correlation.
For the year, the funds performance was dominated by negative performance in foreign currencies and commodities, which returned approximately -5.7% and -4.3%, respectively. This failed to be offset by gains of about 0.8% in equities and 1.5% in fixed income. Investments based on mean-reversion models, particularly in foreign exchange and commodities, were the largest detractors from fund performance. The fundamental thesis behind our mean-reversion models is that short-term deviations in asset prices will revert to their long-term averages. These losses were only partly offset by positive performance from investments based on models focused on relative valuation of developed sovereign debt and the risk premium of emerging versus developed equity markets.
In order to help investors achieve diversification benefits across their overall portfolios, the fund seeks to maintain a consistently low-to-negative correlation with global equity markets. When the trailing 12-month equity correlation of its holdings would otherwise be too high, the fund takes short positions in futures on global stock indexes to lower the correlation. (Such short positions decline in value when stock indexes rise.) In this case the correlation control mechanism had a positive impact on performance overall, as losses during February, March and October were more than offset by gains in April, May and September when equity markets generally declined. The correlation with the S&P 500® Index, for example, was -4% in 2012 and 13% since inception, which is in line with the funds objectives.
The biggest positive contributors during 2012 were the Indian Nifty, the Hang Seng and British Long Gilts. Conversely, the biggest detractors from performance were the New Zealand dollar, the Australian dollar and the Japanese yen. We continued to scale the size of the funds positions to keep total portfolio risk at or below its target. As market volatility increased, positions were reduced, and as market volatility decreased, positions were increased.
The funds realized annualized volatility in 2012 was 7%, less than two-thirds that of the S&P 500s volatility of approximately 13%. Given low interest rates, the funds money market allocation contributed only marginally to overall 2012 performance.
Outlook
Financial and economic conditions began to show signs of stabilization at year-end, providing a better foundation for growth going forward. U.S. housing and employment appear to be recovering, yields in peripheral European bonds have fallen substantially and Chinese manufacturing data are showing signs of improvement. Financial markets may respond favorably in the near term to the avoidance of the fiscal cliff and the continued relaxation of fiscal and monetary policy in the United States. Monetary policy is expected, at least in the short term, to remain expansionary around the world, providing further support to the global economy. However, other hurdles to economic expansion remain. Most notably, the upcoming debt-ceiling negotiations have the potential to trigger market upheaval and suggest significant uncertainty ahead.
| 2
ASG DIVERSIFYING STRATEGIES FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares4
August 3, 2009 (inception) through December 31, 2012
3 |
Average Annual Total Returns December 31, 20124
1 Year | Since Inception | |||||||
Class A (Inception 8/3/09) | ||||||||
NAV | -7.69 | % | 1.28 | % | ||||
With 5.75% Maximum Sales Charge | -12.96 | -0.46 | ||||||
Class C (Inception 8/3/09) | ||||||||
NAV | -8.29 | 0.54 | ||||||
With CDSC1 | -9.21 | 0.54 | ||||||
Class Y (Inception 8/3/09) | ||||||||
NAV | -7.37 | 1.52 | ||||||
Comparative Performance | ||||||||
3-Month LIBOR2 | 0.51 | 0.38 | ||||||
Barclay Fund of Funds Index3 | 4.67 | 2.09 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (CDSC) applied when you sell shares within one year of purchase. |
2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
3 | The Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (FoFs) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 4
ASG GLOBAL ALTERNATIVES FUND
Management Discussion
5 |
industry as estimated by a proprietary, statistical process. When the fund takes on a long exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when the price falls. When the fund takes on a short exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as the price falls. The fund typically makes extensive use of futures and forward contracts on global stock indices, fixed-income securities, currencies and commodities. As market events unfold, these exposures result in a profit or loss for the fund.
In 2012, the funds largest gains came from stocks and bonds. Meanwhile, performance was hurt by losses that resulted from exposure to foreign exchange and energy-related commodities. At a finer level of detail, the strongest contributors to performance were German stocks, German bonds, U.S. stocks, Hong Kong stocks and U.S. bonds. The largest single-asset detractors were the Japanese yen, crude oil, nickel, the euro and heating oil. At times during this period the fund held short positions in the Australian dollar, the Swiss franc, the euro, the yen, nickel, copper, NYMEX crude oil, heating oil, natural gas and gold. Overall, the short positions detracted from the funds returns. Short-term interest rates remained low, so the contribution from the funds money market allocation was small.
During the fourth quarter, we enhanced the dynamism of the funds asset allocation to give greater weight to the tactical views of hedge fund managers. Our research suggests that when a preponderance of hedge fund managers have been raising their exposure to a particular asset class, that asset class has been more likely to outperform. Similarly, when a preponderance of hedge fund managers have been reducing their exposure to a particular asset class, that asset class has been more likely to underperform. Going forward, hedge fund managers short- to medium-term overweighting and underweighting of broad market exposures will be given more weight in constructing the portfolio.
The funds portfolio is adjusted on a monthly basis to incorporate new information about hedge funds exposures, and, on a daily basis, to control risk. The risk control mechanism is designed to produce an average annual volatility of 9% or less greater than the typical volatility of bonds, but less than the typical volatility of stocks. The funds realized volatility was 6.8%, which is in line with our expectations.
Outlook
Financial and economic conditions began to show signs of stabilization at year-end, providing a better foundation for growth going forward. U.S. housing and employment appear to be recovering, yields in peripheral European bonds have fallen substantially and Chinese manufacturing data are showing signs of improvement. Financial markets may respond favorably in the near term to the avoidance of the fiscal cliff and the continued relaxation of fiscal and monetary policy in the United States. Monetary policy is expected, at least in the short term, to remain expansionary around the world, providing further support to the global economy. However, other hurdles to economic expansion remain. Most notably, the upcoming debt-ceiling negotiations have the potential to trigger market upheaval and suggest significant uncertainty ahead.
| 6
ASG GLOBAL ALTERNATIVES FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares4
September 30, 2008 (inception) through December 31, 2012
7 |
Average Annual Total Returns December 31, 20124
1 Year | Since Inception | |||||||
Class A (Inception 9/30/08) | ||||||||
NAV | 3.51 | % | 3.01 | % | ||||
With 5.75% Maximum Sales Charge | -2.48 | 1.59 | ||||||
Class C (Inception 9/30/08) | ||||||||
NAV | 2.69 | 2.25 | ||||||
With CDSC1 | 1.69 | 2.25 | ||||||
Class Y (Inception 9/30/08) | ||||||||
NAV | 3.68 | 3.25 | ||||||
Comparative Performance | ||||||||
Barclay Fund of Funds Index2 | 4.67 | 0.35 | ||||||
HFRI Fund of Funds Composite Index3 | 5.25 | 1.19 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (CDSC) applied when you sell shares within one year of purchase. |
2 | Effective November 19, 2012, the Barclay Fund of Funds Index replaced the HFRI Fund of Funds Composite Index as the funds primary benchmark because the funds adviser believes the Index is an appropriate representation of hedge fund performance. The Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (FoFs) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. |
3 | HFRI Fund of Funds Composite Index is an unmanaged, equally-weighted hedge fund index including over 800 domestic and offshore funds of funds. Funds included within the index have either at least $50 million in assets under management or have been actively trading for at least twelve (12) months. Performance information is submitted by the funds of funds to the index provider, which does not audit the information submitted. The index is rebalanced monthly. Performance data is net of all fees charged by the hedge funds. Index returns are calculated three times each month and are subject to periodic recalculation by Hedge Fund Research, Inc. (HFRI). The funds do not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the HFRI Index returns reported by the funds may differ from the index returns for the same period published by others. HFRI is in no way related or connected to or affiliated with Natixis Global Asset Management, any of its related or affiliated companies or their financial products and funds (collectively and individually, NGAM). HFRI has not participated in the creation or formation of NGAM financial products and funds, and HFRI does not endorse or approve NGAMs financial products and funds, or recommend investing in NGAM financial products or funds. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 8
ASG MANAGED FUTURES STRATEGY FUND
Management Discussion
9 |
trend-following signals. The fund uses a set of proprietary quantitative models to identify trends in global stock, fixed-income, foreign exchange and commodity markets. When the fund takes on a long exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when the price falls. When the fund takes on a short exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as the price falls. The fund typically makes extensive use of derivative instruments, including futures and forward contracts, to capture these exposures.
During 2012, performance was mixed across trend models. Broadly, all equity trend models experienced gains from long positions in the markets. Fixed-income returns from trend following varied by trend horizon, but contributed positively for the year. Investments based on currency trends performed poorly on both the long and short side during the first half of the year, driven partly by sharp reversals in currency price trends but also by sharp reversals in the yield curve, which was used by one of our models to inform currency price trends. This negative performance, combined with an expectation of continued underperformance by the currency-specific trend model in an environment of repeated central bank intervention, led us to suspend use of this model until the frequency of political intervention subsides. Investments based on commodity price trends were broadly negative contributors during the year.
The biggest positive contributors during 2012 were a long position in the EURIBOR short-term interest rate contract, a long position in the U.S. NASDAQ equity contract and a short position in coffee. The largest losses were realized in the Australian dollar, the British pound and the Japanese yen, and were all experienced in the first half of the year. Across trend strategies, we observed two general patterns during 2012: asset class-specific trend models underperformed multi-asset class trend models, while shorter-horizon trend models outperformed longer-horizon trend models.
In 2012, the funds realized annualized volatility was 9.2%. This decreased volatility level was near the low end of the target range and was due to the fund automatically reducing its exposures following losses in commodities and currencies during the first five months of the year. The correlation of daily returns was 15% with the S&P 500® Index and 38% with the JP Morgan Global Bond Index, underlining the possible diversification benefits of the fund. Given low interest rates, the funds money market allocation contributed only marginally to overall 2012 performance.
Outlook
Financial and economic conditions began to show signs of stabilization at year-end, providing a better foundation for growth going forward. U.S. housing and employment appear to be recovering, yields in peripheral European bonds have fallen substantially and Chinese manufacturing data are showing signs of improvement. Financial markets may respond favorably in the near term to the avoidance of the fiscal cliff and the continued relaxation of fiscal and monetary policy in the United States. Monetary policy is expected, at least in the short term, to remain expansionary around the world, providing further support to the global economy. However, other hurdles to economic expansion remain. Most notably, the upcoming debt-ceiling negotiations have the potential to trigger market upheaval and suggest significant uncertainty ahead.
| 10
ASG MANAGED FUTURES STRATEGY FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares3
July 30, 2010 (inception) through December 31, 2012
11 |
Average Annual Total Returns December 31, 20123
1 Year | Since Inception | |||||||
Class A (Inception 7/30/10) | ||||||||
NAV | -11.09 | % | 0.46 | % | ||||
With 5.75% Maximum Sales Charge | -16.20 | -1.97 | ||||||
Class C (Inception 7/30/10) | ||||||||
NAV | -11.74 | -0.31 | ||||||
With CDSC1 | -12.62 | -0.31 | ||||||
Class Y (Inception 7/30/10) | ||||||||
NAV | -10.90 | 0.66 | ||||||
Comparative Performance | ||||||||
FTSE StableRisk Trend Composite Index2 | -30.03 | -5.89 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (CDSC) applied when you sell shares within one year of purchase. |
2 | FTSE StableRisk Trend Composite Index is an unmanaged index based on a transparent trend-following strategy designed to provide long and/or short exposure to various asset classes at a targeted level of volatility. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 12
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Management Discussion
13 |
funds equity allocation, long positions in financials and consumer cyclical names made the largest contributions to return. Meanwhile, convertible bonds, which generally exhibit characteristics of bonds and equities, made solid contributions to the funds performance during the year.
Emerging market currencies also rallied, with long positions in the Mexican peso, Russian ruble and Polish zloty aiding fund performance. Currencies closely correlated with commodity demand, including the Australian dollar and Russian ruble, experienced price volatility throughout the year and traded on changing sentiment surrounding growth in China and oil fundamentals. Short exposure to Japans yen and the euro, which expressed our view of continued quantitative easing, made significant contributions to return. Additionally, the funds small exposure to commercial mortgage-backed securities (CMBS) contributed favorably, benefiting from the markets preference for riskier assets.
Overall, commodity trades detracted from performance. Among precious metals, long positions in gold and silver during the first half of the year posted negative returns, as prices declined early in the second quarter. Long positions in base metals, including lead and nickel, detracted, as prices dropped on declining demand from China. We typically apply hedges to manage overall exposure and various market risks. We used equity puts to manage the funds broad equity exposure and credit default swaps to manage credit exposure. These hedges themselves had a negative impact on performance but performed as expected in terms of helping to manage overall risk levels in the portfolio. Additionally, futures contracts were used for a variety of hedging and non-hedging purposes and had a negative impact on performance. Interest rate futures were used to manage duration and to express views of future yield curve movements. Equity index futures were employed to hedge and gain market exposure. Commodity futures were used to gain exposure to a variety of commodities.
Outlook
We expect global central bank accommodation to continue through 2013, which should generally support equities, credit and, potentially, precious metals. As developed markets continue to devalue their currencies, we will diligently watch for residual effects on developing currencies.
As we enter 2013, the global landscape is riddled with many headline risks. We are concerned about a disconnect between central banks, which are emphasizing unemployment and nominal growth over inflation targets, and political leaders, who are ignoring accumulating fiscal stress of massive government debt. The United States has its unresolved debt ceiling, there is unrest in the Middle East, and there is continued political instability within the euro zone. We believe high-quality sovereign bonds are fundamentally overvalued and investment-grade credit is selectively overvalued. Thus, we generally prefer equity, foreign exchange, emerging market and bank loan exposures over more interest rate-sensitive fixed income securities. In 2012, we had a bias toward higher-quality dividend-yielding U.S. equities. With changes to dividend tax policies, expectations for continued easing and further strength in U.S. economic data, we are reducing exposure to dividends in favor of more cyclical sectors, such as technology and basic materials.
Please note that the above commentary may contain references to contributions to fund performance from derivative instruments that differ from related amounts presented in the funds Financial Statements. These differences, if any, result from the methodologies applied in determining performance contributions for these instruments.
| 14
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares4
September 30, 2010 (inception) through December 31, 2012
15 |
Average Annual Total Returns December 31, 20124
1 Year | Since Inception | |||||||
Class A (Inception 9/30/10) | ||||||||
NAV | 7.52 | % | 1.52 | % | ||||
With 4.50% Maximum Sales Charge | 2.69 | -0.53 | ||||||
Class C (Inception 9/30/10) | ||||||||
NAV | 6.73 | 0.76 | ||||||
With CDSC1 | 5.73 | 0.76 | ||||||
Class Y (Inception 9/30/10) | ||||||||
NAV | 7.76 | 1.74 | ||||||
Comparative Performance | ||||||||
Barclays U.S. TIPS Index2 | 6.98 | 8.72 | ||||||
CPI + 300 basis points3 | 4.82 | 5.34 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury. |
3 | CPI +300 basis points is created by adding 3.00% to the annual percentage change in the Consumer Price Index (CPI). The Consumer Price Index is an unmanaged index that represents the rate of inflation of U.S. consumer prices as determined by the U.S. Bureau of Labor Statistics. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 16
LOOMIS SAYLES STRATEGIC ALPHA FUND
Management Discussion
17 |
due to issuers rising cash flows, lower debt, reduced interest costs and the ability to refinance at ultra-low interest rates. We plan to continue to focus on idiosyncratic risk as opposed to beta risk risk relative to the market.
The funds long positions denominated in Mexicos peso, Canadas dollar and Colombias peso contributed favorably to performance. In addition, positions in convertibles advanced in sync with the broad-based equity market. Security selection proved critical within convertibles, and selected names in the consumer cyclical and technology industries were the strongest contributors.
We used S&P 500 E-mini and Euro Stoxx 50® futures to dampen volatility and hedge equity market risk. These positions weighed on performance, as equities rallied during the year. Among European equity holdings, our security selection did not outperform the hedges. We used U.S. Treasury futures to shorten the funds duration (price sensitivity to interest rate changes), which contributed positively to performance. Positions in investment-grade and high-yield credit default swaps (CDS) and indexes (CDX) weighed on performance, as we sought to protect capital and mitigate risk. Late in the fourth quarter, we initiated a view on the U.S. yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) with swaptions, which combine the features of swaps and options.
Outlook
While we always remain focused on our best bottom-up ideas, we will actively manage market exposure in the investment-grade and high-yield sectors. We expect the global economy to gradually improve, but these securities have rallied strongly and may retreat as we navigate through considerable headwinds.
We continue to closely monitor the impact that newly implemented austerity measures have on growth and corporate earnings in the euro zone. Further fiscal integration among euro zone countries, bank recapitalizations and continued expansion of the ECBs balance sheet should have positive implications for credit, and we will look to selectively add exposure.
We recently increased the funds foreign exchange positions, as we believe this will be an important source of performance in 2013. We are biased against reserve currencies and favor currencies with good economic growth prospects, such as the South Korean won and North American-centric currencies. We believe U.S. rates will remain mostly range bound, at or near historical lows. We will seek to maintain the funds significant yield advantage through credit and structured securities. Issue selection remains of the utmost importance, and we will continue to seek to insulate the fund through derivatives. We will accept losses in our hedges to preserve capital.
Please note that the above commentary may contain references to contributions to fund performance from derivative instruments that differ from related amounts presented in the funds Financial Statements. These differences, if any, result from the methodologies applied in determining performance contributions for these instruments.
| 18
LOOMIS SAYLES STRATEGIC ALPHA FUND
Investment Results through December 31, 2012
Growth of $10,000 Investment in Class A Shares5
December 15, 2010 (inception) through December 31, 2012
19 |
Average Annual Total Returns December 31, 20125
1 Year | Since Inception | |||||||
Class A (Inception 12/15/10) | ||||||||
NAV | 12.24 | % | 3.98 | % | ||||
With 4.50% Maximum Sales Charge | 7.19 | 1.67 | ||||||
Class C (Inception 12/15/10) | ||||||||
NAV | 11.44 | 3.14 | ||||||
With CDSC1 | 10.44 | 3.14 | ||||||
Class Y (Inception 12/15/10) | ||||||||
NAV | 12.57 | 4.20 | ||||||
Comparative Performance4 | ||||||||
3-Month LIBOR2 | 0.51 | 0.39 | ||||||
3-Month LIBOR + 300 basis points3 | 3.56 | 3.50 |
Past performance does not guarantee future results. The chart and table do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
NOTES TO CHARTS
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (CDSC) applied when you sell shares within one year of purchase. |
2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
3 | 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual percentage change of the 3-Month LIBOR. |
4 | The since-inception comparative performance figures shown are calculated from 12/31/10. |
5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 20
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively NGAM) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived form third parties and is provided on an as is basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds website at ngam.natixis.com; and on the Securities and Exchange Commissions (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012 is available on the funds website and the SECs website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds Forms N-Q are available on the SECs website at www.sec.gov and may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
21 |
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds prospectus. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2012 through December 31, 2012. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| 22
ASG DIVERSIFYING STRATEGIES FUND | BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $975.10 | $8.69 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,016.34 | $8.87 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $972.50 | $12.40 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,012.57 | $12.65 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $977.30 | $7.46 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.60 | $7.61 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.75%, 2.50% and 1.50% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
ASG GLOBAL ALTERNATIVES FUND | BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,065.20 | $8.36 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.04 | $8.16 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,060.60 | $12.22 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,013.27 | $11.94 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,065.60 | $7.06 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.30 | $6.90 |
* | Expenses are equal to the Fund's annualized expense ratio, including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.61%, 2.36% and 1.36% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
23 |
ASG MANAGED FUTURES STRATEGY FUND |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $984.50 | $8.68 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,016.39 | $8.82 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $981.40 | $12.40 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,012.62 | $12.60 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $985.50 | $7.44 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,017.65 | $7.56 |
*Expenses | are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.74%, 2.49% and 1.49% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,045.00 | $6.94 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,018.35 | $6.85 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,040.40 | $10.77 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,014.58 | $10.63 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,046.20 | $5.66 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.61 | $5.58 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements): 1.35%, 2.10% and 1.10% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
| 24
LOOMIS SAYLES STRATEGIC ALPHA FUND** |
BEGINNING ACCOUNT VALUE 7/1/2012 |
ENDING ACCOUNT VALUE 12/31/2012 |
EXPENSES PAID DURING PERIOD* 7/1/2012 12/31/2012 |
|||||||||
Class A |
||||||||||||
Actual |
$1,000.00 | $1,055.70 | $5.68 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,019.61 | $5.58 | |||||||||
Class C |
||||||||||||
Actual |
$1,000.00 | $1,052.70 | $9.55 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,015.84 | $9.37 | |||||||||
Class Y |
||||||||||||
Actual |
$1,000.00 | $1,057.10 | $4.40 | |||||||||
Hypothetical (5% return before expenses) |
$1,000.00 | $1,020.86 | $4.32 |
* | Expenses are equal to the Fund's annualized expense ratio: 1.10%, 1.85% and 0.85% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period). |
** | Formerly Loomis Sayles Absolute Strategies Fund. |
25 |
Consolidated Portfolio of Investments as of December 31, 2012
ASG Diversifying Strategies Fund
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 88.6% of Net Assets | ||||||||
Certificates of Deposit 64.4% | ||||||||
$ | 7,500,000 | Royal Bank of Canada, 0.050%, 1/02/2013 | $ | 7,500,000 | ||||
5,800,000 | BNP Paribas, 0.080%, 1/02/2013 | 5,800,000 | ||||||
7,500,000 | National Bank of Kuwait, 0.080%, 1/02/2013 | 7,500,000 | ||||||
7,000,000 | Barclays Bank PLC, 0.150%, 1/02/2013 | 7,000,000 | ||||||
7,500,000 | Credit Agricole, 0.200%, 1/02/2013 | 7,500,000 | ||||||
7,000,000 | Bank of Montreal (IL), 0.190%, 1/18/2013 | 6,999,930 | ||||||
7,000,000 | National Australia Bank, 0.270%, 2/01/2013 | 7,000,497 | ||||||
7,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.500%, 2/22/2013(b) | 7,003,192 | ||||||
4,000,000 | Wells Fargo, 0.230%, 3/04/2013 | 4,000,208 | ||||||
4,000,000 | Norinchukin Bank, 0.410%, 4/16/2013(b) | 4,001,056 | ||||||
7,000,000 | ANZ Bankng, 0.292%, 4/30/2013(b)(c) | 7,001,071 | ||||||
7,000,000 | Sumitomo Mitsui Trust (NY), 0.330%, 4/30/2013(b) | 7,001,162 | ||||||
4,000,000 | Norinchukin Bank, 0.410%, 5/15/2013 | 4,000,748 | ||||||
5,000,000 | Canadian Imperial Bank of Commerce (NY), 0.290%, 5/28/2013(b)(c) | 5,000,205 | ||||||
7,000,000 | Mizuho Coporate Bank, 0.380%, 6/14/2013 | 7,000,315 | ||||||
7,000,000 | Bank of Nova Scotia (TX), 0.313%, 8/02/2013(b)(c) | 7,001,960 | ||||||
9,000,000 | Westpac Banking Corp. (NY), 0.343%, 11/06/2013(c) | 8,997,732 | ||||||
4,000,000 | Wells Fargo, 0.359%, 12/20/2013(c) | 3,999,960 | ||||||
|
|
|||||||
114,308,036 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 15.7% | ||||||||
8,000,000 | Deutsche Bank, 0.160%, 1/02/2013(d) | 7,999,964 | ||||||
7,000,000 | General Electric Capital Corp., 0.150%, 1/14/2013(d) | 6,999,811 | ||||||
6,000,000 | United Overseas Funding Corp., 0.220%, 1/22/2013(d) | 5,999,226 | ||||||
7,000,000 | Societe Generale North America, 0.450%, 3/04/2013(d) | 6,996,129 | ||||||
|
|
|||||||
27,995,130 | ||||||||
|
|
|||||||
Commercial Paper 8.5% | ||||||||
7,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.420%, 1/08/2013(d) | 6,999,429 | ||||||
7,000,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 1/15/2013 |
6,999,860 | ||||||
1,061,000 | Tennessee School Bond Authority, 0.190%, 3/12/2013 | 1,061,021 | ||||||
|
|
|||||||
15,060,310 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $157,354,605) |
157,363,476 | |||||||
|
|
|||||||
Total Investments 88.6% (Identified Cost $157,354,605)(a) |
157,363,476 | |||||||
Other assets less liabilities 11.4% | 20,191,978 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 177,555,454 | ||||||
|
|
See accompanying notes to financial statements.
| 26
Consolidated Portfolio of Investments as of December 31, 2012
ASG Diversifying Strategies Fund (continued)
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $157,354,605 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 | $ | 11,779 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,908 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 8,871 | ||||||
|
|
|||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts and futures contracts. | |||||||
(c) | Variable rate security. Rate as of December 31, 2012 is disclosed. | |||||||
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy | 3/20/2013 | Australian Dollar | 10,300,000 | $ | 10,636,389 | $ | (81,332 | ) | ||||||||||
Sell | 3/20/2013 | Australian Dollar | 5,600,000 | 5,782,891 | 80,085 | |||||||||||||
Buy | 3/20/2013 | British Pound | 11,375,000 | 18,473,666 | 229,752 | |||||||||||||
Sell | 3/20/2013 | British Pound | 5,750,000 | 9,338,337 | (65,709 | ) | ||||||||||||
Buy | 3/20/2013 | Canadian Dollar | 11,200,000 | 11,241,372 | (67,464 | ) | ||||||||||||
Buy | 3/20/2013 | Euro | 500,000 | 660,424 | 14,856 | |||||||||||||
Buy | 3/20/2013 | Euro | 500,000 | 660,424 | (1,158 | ) | ||||||||||||
Sell | 3/20/2013 | Euro | 750,000 | 990,636 | (2,065 | ) | ||||||||||||
Buy | 3/21/2013 | Japanese Yen | 850,000,000 | 9,817,069 | (473,475 | ) | ||||||||||||
Sell | 3/21/2013 | Japanese Yen | 525,000,000 | 6,063,484 | 37,391 | |||||||||||||
Buy | 3/20/2013 | New Zealand Dollar | 7,800,000 | 6,414,705 | (31,418 | ) | ||||||||||||
Buy | 3/20/2013 | Norwegian Krone | 32,000,000 | 5,741,663 | 101,484 | |||||||||||||
Sell | 3/20/2013 | Norwegian Krone | 6,000,000 | 1,076,562 | (23,953 | ) | ||||||||||||
Buy | 3/20/2013 | Singapore Dollar | 19,125,000 | 15,655,185 | (8,065 | ) | ||||||||||||
Buy | 3/20/2013 | Swedish Krona | 80,000,000 | 12,280,420 | 223,130 | |||||||||||||
Sell | 3/20/2013 | Swedish Krona | 24,000,000 | 3,684,126 | 4,663 | |||||||||||||
Sell | 3/20/2013 | Swedish Krona | 42,000,000 | 6,447,220 | (35,006 | ) | ||||||||||||
Buy | 3/20/2013 | Swiss Franc | 6,500,000 | 7,116,646 | 161,177 | |||||||||||||
Sell | 3/20/2013 | Swiss Franc | 4,875,000 | 5,337,484 | (8,829 | ) | ||||||||||||
Buy | 3/20/2013 | Turkish Lira | 9,300,000 | 5,160,970 | 30,199 | |||||||||||||
|
|
|||||||||||||||||
Total | $ | 84,263 | ||||||||||||||||
|
|
1 Counterparty is UBS AG.
See accompanying notes to financial statements.
27 |
Consolidated Portfolio of Investments as of December 31, 2012
ASG Diversifying Strategies Fund (continued)
At December 31, 2012, open futures contracts purchased were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX Index® | 1/18/2013 | 26 | $ | 2,354,951 | $ | (4,805 | ) | |||||||||
ASX SPI 200 | 3/21/2013 | 21 | 2,516,579 | 17,446 | ||||||||||||
CAC 40® | 1/18/2013 | 12 | 576,871 | (1,947 | ) | |||||||||||
DAX | 3/15/2013 | 35 | 8,799,039 | (31,761 | ) | |||||||||||
E-Mini Dow | 3/15/2013 | 49 | 3,191,615 | (44,345 | ) | |||||||||||
E-mini NASDAQ 100 | 3/15/2013 | 41 | 2,177,305 | (8,405 | ) | |||||||||||
Euribor | 6/17/2013 | 252 | 83,015,533 | | ||||||||||||
Euro Schatz | 3/07/2013 | 502 | 73,454,219 | 82,827 | ||||||||||||
Eurodollar | 6/17/2013 | 424 | 105,655,500 | 5,300 | ||||||||||||
FTSE/JSE Top 40 Index | 3/20/2013 | 245 | 10,141,887 | 126,952 | ||||||||||||
German Euro BOBL | 3/07/2013 | 187 | 31,549,913 | 236,958 | ||||||||||||
Hang Seng Index® | 1/30/2013 | 44 | 6,435,784 | 38,035 | ||||||||||||
Mini-Russell 2000 | 3/15/2013 | 35 | 2,963,100 | 47,600 | ||||||||||||
MSCI Singapore | 1/30/2013 | 171 | 10,081,798 | 25,197 | ||||||||||||
MSCI Taiwan Index | 1/30/2013 | 285 | 7,837,500 | 102,600 | ||||||||||||
OMXS30® | 1/18/2013 | 355 | 6,047,089 | (2,457 | ) | |||||||||||
S&P/TSX 60 Index | 3/14/2013 | 48 | 6,865,829 | 96,898 | ||||||||||||
S&P CNX Nifty Futures Index | 1/31/2013 | 930 | 11,072,580 | 63,115 | ||||||||||||
Sterling | 6/19/2013 | 92 | 18,578,428 | (13,077 | ) | |||||||||||
2 Year U.S. Treasury Note | 3/28/2013 | 352 | 77,605,000 | 38,500 | ||||||||||||
3 Year Australia Government Bond | 3/15/2013 | 170 | 19,337,687 | 5,345 | ||||||||||||
5 Year U.S. Treasury Note | 3/28/2013 | 162 | 20,155,078 | 16,453 | ||||||||||||
10 Year Australia Government Bond | 3/15/2013 | 485 | 62,109,140 | (184,102 | ) | |||||||||||
10 Year Japan Government Bond | 3/11/2013 | 82 | 135,964,679 | 22,393 | ||||||||||||
10 Year U.S. Treasury Note | 3/19/2013 | 224 | 29,743,000 | (203,094 | ) | |||||||||||
30 Year U.S. Treasury Bond | 3/19/2013 | 58 | 8,555,000 | (72,953 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | 358,673 | ||||||||||||||
|
|
|||||||||||||||
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG | 3/20/2013 | 64 | $ | 3,314,800 | $ | (96,400 | ) | |||||||||
Brent Crude Oil | 1/16/2013 | 27 | 2,999,970 | 44,200 | ||||||||||||
Cocoa | 3/13/2013 | 87 | 1,945,320 | (171,800 | ) | |||||||||||
Copper High Grade | 3/26/2013 | 22 | 2,008,875 | 1,300 | ||||||||||||
Copper LME | 3/20/2013 | 13 | 2,577,331 | (56,274 | ) | |||||||||||
Corn | 3/14/2013 | 38 | 1,326,675 | (108,275 | ) | |||||||||||
Cotton | 3/06/2013 | 1 | 37,570 | (345 | ) | |||||||||||
Gas Oil | 2/12/2013 | 23 | 2,132,100 | (11,500 | ) | |||||||||||
Gasoline | 1/31/2013 | 4 | 463,966 | 25,603 | ||||||||||||
Heating Oil | 1/31/2013 | 12 | 1,528,027 | 44,806 | ||||||||||||
KC Wheat | 3/14/2013 | 35 | 1,454,250 | (134,313 | ) | |||||||||||
Live Cattle | 2/28/2013 | 60 | 3,175,200 | 52,200 | ||||||||||||
Natural Gas | 1/29/2013 | 26 | 871,260 | (3,900 | ) | |||||||||||
Nickel | 3/20/2013 | 3 | 307,026 | (12,354 | ) | |||||||||||
Soybean | 3/14/2013 | 38 | 2,678,050 | (95,237 | ) | |||||||||||
Soybean Meal | 3/14/2013 | 59 | 2,474,460 | (136,290 | ) | |||||||||||
Wheat | 3/14/2013 | 40 | 1,556,000 | (189,000 | ) | |||||||||||
Zinc | 3/20/2013 | 1 | 51,975 | (216 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (847,795 | ) | |||||||||||||
|
|
See accompanying notes to financial statements.
| 28
Consolidated Portfolio of Investments as of December 31, 2012
ASG Diversifying Strategies Fund (continued)
At December 31, 2012, open futures contracts sold were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® | 3/15/2013 | 17 | $ | 1,207,000 | $ | 9,775 | ||||||||||
FTSE 100 Index | 3/15/2013 | 8 | 759,983 | 11,111 | ||||||||||||
German Euro Bund | 3/07/2013 | 65 | 12,495,446 | 24,023 | ||||||||||||
TOPIX | 3/08/2013 | 38 | 3,778,727 | (345,634 | ) | |||||||||||
UK Long Gilt | 3/26/2013 | 73 | 14,102,110 | 8,301 | ||||||||||||
10 Year Canada Government Bond | 3/19/2013 | 22 | 2,997,768 | 5,751 | ||||||||||||
|
|
|||||||||||||||
Total | $ | (286,673 | ) | |||||||||||||
|
|
|||||||||||||||
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Coffee | 3/18/2013 | 58 | $ | 3,127,650 | $ | 267,037 | ||||||||||
Copper LME | 3/20/2013 | 13 | 2,577,331 | 4,465 | ||||||||||||
Gold | 2/26/2013 | 2 | 335,160 | 4,660 | ||||||||||||
Light Sweet Crude Oil | 1/22/2013 | 1 | 91,820 | (4,510 | ) | |||||||||||
Nickel | 3/20/2013 | 3 | 307,026 | 7,332 | ||||||||||||
Silver | 3/26/2013 | 1 | 151,135 | 19,265 | ||||||||||||
Soybean Oil | 3/14/2013 | 42 | 1,252,440 | (4,164 | ) | |||||||||||
Sugar | 2/28/2013 | 49 | 1,070,709 | 41,709 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 335,794 | ||||||||||||||
|
|
2 Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at December 31, 2012 (Unaudited)
Certificates of Deposit |
64.4 | % | ||
Financial Company Commercial Paper |
15.7 | |||
Commercial Paper |
8.5 | |||
|
|
|||
Total Investments |
88.6 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
11.4 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
29 |
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Global Alternatives Fund
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 88.6% of Net Assets | ||||||||
Certificates of Deposit 61.5% | ||||||||
$ | 50,000,000 | Royal Bank of Canada, 0.050%, 1/02/2013 | $ | 50,000,000 | ||||
32,600,000 | BNP Paribas, 0.080%, 1/02/2013 | 32,600,000 | ||||||
50,000,000 | National Bank of Kuwait, 0.080%, 1/02/2013 | 50,000,000 | ||||||
50,000,000 | Barclays Bank PLC, 0.150%, 1/02/2013 | 50,000,000 | ||||||
50,000,000 | Credit Agricole, 0.200%, 1/02/2013 | 50,000,000 | ||||||
25,000,000 | Toronto Dominion Bank, 0.180%, 1/17/2013 | 25,000,000 | ||||||
50,000,000 | Bank of Montreal (IL), 0.190%, 1/18/2013 | 49,999,500 | ||||||
50,000,000 | National Australia Bank, 0.270%, 2/01/2013 | 50,003,550 | ||||||
50,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.500%, 2/22/2013(b) | 50,022,800 | ||||||
25,000,000 | Wells Fargo, 0.230%, 3/04/2013 | 25,001,300 | ||||||
23,000,000 | Norinchukin Bank, 0.410%, 4/16/2013(b) | 23,006,072 | ||||||
22,500,000 | ANZ Banking, 0.292%, 4/30/2013(b)(c) | 22,503,443 | ||||||
50,000,000 | Sumitomo Mitsui Trust (NY), 0.330%, 4/30/2013 | 50,008,300 | ||||||
25,000,000 | Norinchukin Bank, 0.410%, 5/15/2013 | 25,004,675 | ||||||
30,000,000 | Canadian Imperial Bank of Commerce (NY), 0.290%, 5/28/2013(b)(c) |
30,001,230 | ||||||
25,000,000 | Mizuho Corporate Bank, 0.380%, 6/14/2013 | 25,001,125 | ||||||
35,000,000 | Bank of Nova Scotia (TX), 0.313%, 8/02/2013(b)(c) | 35,009,800 | ||||||
50,000,000 | Westpac Banking Corp. (NY), 0.343%, 11/06/2013(b)(c) | 49,987,400 | ||||||
20,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013 | 20,008,600 | ||||||
25,000,000 | Wells Fargo, 0.359%, 12/20/2013(c) | 24,999,750 | ||||||
|
|
|||||||
738,157,545 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 20.0% | ||||||||
50,000,000 | Deutsche Bank, 0.160%, 1/02/2013(d) | 49,999,777 | ||||||
50,000,000 | General Electric Capital Corp., 0.150%, 1/14/2013(d) | 49,998,650 | ||||||
50,000,000 | United Overseas Funding Corp., 0.220%, 1/22/2013(d) | 49,993,550 | ||||||
40,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.180%, 1/24/2013(d) | 39,995,040 | ||||||
50,000,000 | Societe Generale North America, 0.450%, 3/04/2013(d) | 49,972,350 | ||||||
|
|
|||||||
239,959,367 | ||||||||
|
|
|||||||
Commercial Paper 7.1% | ||||||||
25,200,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.440%, 1/03/2013(d) | 25,199,384 | ||||||
25,200,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.420%, 1/08/2013(d) | 25,197,942 | ||||||
34,950,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 1/15/2013 | 34,949,301 | ||||||
|
|
|||||||
85,346,627 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $1,063,398,626) |
1,063,463,539 | |||||||
|
|
|||||||
Total Investments 88.6% (Identified Cost $1,063,398,626)(a) |
1,063,463,539 | |||||||
Other assets less liabilities 11.4% | 136,215,531 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,199,679,070 | ||||||
|
|
See accompanying notes to financial statements.
| 30
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Global Alternatives Fund (continued)
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $1,063,398,626 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 | $ | 81,496 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (16,583 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 64,913 | ||||||
|
|
|||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. | |||||||
(c) | Variable rate security. Rate as of December 31, 2012 is disclosed. | |||||||
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell | 3/20/2013 | Australian Dollar | 25,100,000 | $ | 25,919,744 | $ | 175,597 | |||||||||||
Buy | 3/20/2013 | British Pound | 15,750,000 | 25,578,923 | 370,827 | |||||||||||||
Buy | 3/20/2013 | Canadian Dollar | 76,800,000 | 77,083,695 | (462,611 | ) | ||||||||||||
Buy | 3/20/2013 | Euro | 29,625,000 | 39,130,145 | 107,089 | |||||||||||||
Buy | 3/20/2013 | Euro | 23,875,000 | 31,535,264 | (72,136 | ) | ||||||||||||
Sell | 3/20/2013 | Euro | 98,875,000 | 130,598,921 | (2,839,334 | ) | ||||||||||||
Buy | 3/21/2013 | Japanese Yen | 3,037,500,000 | 35,081,586 | (442,138 | ) | ||||||||||||
Sell | 3/21/2013 | Japanese Yen | 11,425,000,000 | 131,952,962 | 4,587,322 | |||||||||||||
Buy | 3/20/2013 | Swedish Krona | 114,000,000 | 17,499,598 | 475,190 | |||||||||||||
Sell | 3/20/2013 | Swedish Krona | 22,000,000 | 3,377,116 | (81,948 | ) | ||||||||||||
Buy | 3/20/2013 | Swiss Franc | 1,750,000 | 1,916,020 | 5,381 | |||||||||||||
Sell | 3/20/2013 | Swiss Franc | 7,625,000 | 8,348,373 | (186,414 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | 1,636,825 | ||||||||||||||||
|
|
|||||||||||||||||
1 Counterparty is UBS AG. |
At December 31, 2012, open futures contracts purchased were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
DAX | 3/15/2013 | 1,326 | $ | 333,357,895 | $ | (1,231,844 | ) | |||||||||
E-mini S&P 500® | 3/15/2013 | 2,770 | 196,670,000 | (417,658 | ) | |||||||||||
Eurodollar | 6/17/2013 | 16,284 | 4,057,769,250 | 213,000 | ||||||||||||
FTSE 100 Index | 3/15/2013 | 382 | 36,289,172 | (322,924 | ) | |||||||||||
German Euro Bund | 3/07/2013 | 1,453 | 279,321,281 | 1,841,358 |
See accompanying notes to financial statements.
31 |
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Global Alternatives Fund (continued)
Financial Futures (continued) | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Hang Seng Index® | 1/30/2013 | 109 | $ | 15,943,193 | $ | 94,222 | ||||||||||
TOPIX | 3/08/2013 | 59 | 5,866,971 | 536,642 | ||||||||||||
UK Long Gilt | 3/26/2013 | 365 | 70,510,548 | 101,496 | ||||||||||||
10 Year Japan Government Bond | 3/11/2013 | 328 | 543,858,718 | (3,996,191 | ) | |||||||||||
10 Year U.S. Treasury Note | 3/19/2013 | 1,739 | 230,906,594 | 136,625 | ||||||||||||
|
|
|||||||||||||||
Total | $ | (3,045,274 | ) | |||||||||||||
|
|
|||||||||||||||
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG | 3/20/2013 | 1,405 | $ | 72,770,219 | $ | (2,116,281 | ) | |||||||||
Brent Crude Oil | 1/16/2013 | 448 | 49,777,280 | 1,929,620 | ||||||||||||
Copper LME | 3/20/2013 | 171 | 33,901,819 | (691,310 | ) | |||||||||||
Gas Oil | 2/12/2013 | 223 | 20,672,100 | (111,500 | ) | |||||||||||
Light Sweet Crude Oil | 1/22/2013 | 317 | 29,106,940 | 742,550 | ||||||||||||
Natural Gas | 1/29/2013 | 17 | 569,670 | (2,550 | ) | |||||||||||
Nickel | 3/20/2013 | 47 | 4,810,074 | (155,100 | ) | |||||||||||
Zinc | 3/20/2013 | 194 | 10,083,150 | (41,953 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (446,524 | ) | |||||||||||||
|
|
At December 31, 2012, open futures contracts sold were as follows:
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG | 3/20/2013 | 349 | $ | 18,076,019 | $ | 299,704 | ||||||||||
Gold | 2/26/2013 | 79 | 13,238,820 | 158,000 | ||||||||||||
Nickel | 3/20/2013 | 297 | 30,395,574 | 989,010 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 1,446,714 | ||||||||||||||
|
|
|||||||||||||||
2 Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements. |
Investment Summary at December 31, 2012 (Unaudited)
Certificates of Deposit | 61.5 | % | ||
Financial Company Commercial Paper | 20.0 | |||
Commercial Paper | 7.1 | |||
|
|
|||
Total Investments | 88.6 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
11.4 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 32
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Managed Futures Strategy Fund
Principal Amount |
Description | Value () | ||||||
Short-Term Investments 90.1% of Net Assets | ||||||||
Certificates of Deposit 67.2% | ||||||||
$ | 33,000,000 | Royal Bank of Canada, 0.050%, 1/02/2013 | $ | 33,000,000 | ||||
14,500,000 | BNP Paribas, 0.080%, 1/02/2013 | 14,500,000 | ||||||
33,000,000 | National Bank of Kuwait, 0.080%, 1/02/2013 | 33,000,000 | ||||||
32,000,000 | Barclays Bank PLC, 0.150%, 1/02/2013 | 32,000,000 | ||||||
33,000,000 | Credit Agricole, 0.200%, 1/02/2013 | 33,000,000 | ||||||
29,400,000 | Oversea-Chinese Banking Corp. Ltd., 0.170%, 1/07/2013 | 29,400,000 | ||||||
15,000,000 | Toronto Dominion Bank, 0.180%, 1/17/2013 | 15,000,000 | ||||||
20,000,000 | Bank of Montreal (IL), 0.190%, 1/18/2013 | 19,999,800 | ||||||
32,500,000 | National Australia Bank, 0.270%, 2/01/2013 | 32,502,307 | ||||||
30,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.500%, 2/22/2013 | 30,013,680 | ||||||
15,000,000 | Wells Fargo, 0.230%, 3/04/2013(b) | 15,000,780 | ||||||
10,000,000 | Norinchukin Bank, 0.410%, 4/16/2013(b) | 10,002,640 | ||||||
32,000,000 | ANZ Banking, 0.292%, 4/30/2013(b)(c) | 32,004,896 | ||||||
30,000,000 | Sumitomo Mitsui Trust (NY), 0.330%, 4/30/2013(b) | 30,004,980 | ||||||
21,500,000 | Norinchukin Bank, 0.410%, 5/15/2013 | 21,504,021 | ||||||
15,000,000 | Canadian Imperial Bank of Commerce (NY), 0.290%, 5/28/2013(b)(c) | 15,000,615 | ||||||
25,000,000 | Mizuho Corporate Bank, 0.380%, 6/14/2013 | 25,001,125 | ||||||
30,000,000 | Bank of Nova Scotia (TX), 0.313%, 8/02/2013(b)(c) | 30,008,400 | ||||||
30,050,000 | Westpac Banking Corp. (NY), 0.343%, 11/06/2013(c) | 30,042,427 | ||||||
15,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013 | 15,006,450 | ||||||
15,000,000 | Wells Fargo, 0.359%, 12/20/2013(c) | 14,999,850 | ||||||
|
|
|||||||
510,991,971 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 16.1% | ||||||||
35,000,000 | Deutsche Bank, 0.160%, 1/02/2013(d) | 34,999,844 | ||||||
25,000,000 | General Electric Capital Corp., 0.150%, 1/14/2013(d) | 24,999,325 | ||||||
33,000,000 | United Overseas Funding Corp., 0.220%, 1/22/2013(d) | 32,995,743 | ||||||
30,000,000 | Societe Generale North America, 0.450%, 3/04/2013(d) | 29,983,410 | ||||||
|
|
|||||||
122,978,322 | ||||||||
|
|
|||||||
Commercial Paper 6.8% | ||||||||
35,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.420%, 1/08/2013(d) | 34,997,142 | ||||||
16,700,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 1/15/2013 | 16,699,700 | ||||||
|
|
|||||||
51,696,842 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $685,621,386) |
685,667,135 | |||||||
|
|
|||||||
Total Investments 90.1% (Identified Cost $685,621,386)(a) |
685,667,135 | |||||||
Other assets less liabilities 9.9% | 74,965,386 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 760,632,521 | ||||||
|
|
See accompanying notes to financial statements.
33 |
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Managed Futures Strategy Fund (continued)
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on short-term investments based on a cost of $685,621,386 for federal income tax purposes was as follows: | ||||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 55,280 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (9,531 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 45,749 | ||||||
|
|
|||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. | |||||||
(c) | Variable rate security. Rate as of December 31, 2012 is disclosed. | |||||||
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy | 3/20/2013 | Australian Dollar | 22,000,000 | $ | 22,718,500 | $ | (153,910 | ) | ||||||||||
Buy | 3/20/2013 | British Pound | 14,437,500 | 23,447,346 | 339,925 | |||||||||||||
Buy | 3/20/2013 | Canadian Dollar | 23,700,000 | 23,787,546 | (142,759 | ) | ||||||||||||
Buy | 3/20/2013 | Euro | 14,750,000 | 19,482,519 | 438,263 | |||||||||||||
Buy | 3/20/2013 | Euro | 7,750,000 | 10,236,578 | (13,967 | ) | ||||||||||||
Sell | 3/21/2013 | Japanese Yen | 837,500,000 | 9,672,700 | 466,512 | |||||||||||||
Buy | 3/20/2013 | New Zealand Dollar | 27,200,000 | 22,369,228 | (109,559 | ) | ||||||||||||
Buy | 3/20/2013 | Norwegian Krone | 150,000,000 | 26,914,046 | 598,820 | |||||||||||||
Buy | 3/20/2013 | Singapore Dollar | 71,375,000 | 58,425,559 | (30,098 | ) | ||||||||||||
Buy | 3/20/2013 | Swedish Krona | 152,000,000 | 23,332,797 | 355,809 | |||||||||||||
Buy | 3/20/2013 | Swiss Franc | 19,750,000 | 21,623,655 | 482,843 | |||||||||||||
Buy | 3/20/2013 | Swiss Franc | 6,625,000 | 7,253,505 | (22,310 | ) | ||||||||||||
Buy | 3/20/2013 | Turkish Lira | 33,000,000 | 18,313,119 | 107,156 | |||||||||||||
Sell | 3/20/2013 | Turkish Lira | 15,600,000 | 8,657,111 | (34,724 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | 2,282,001 | ||||||||||||||||
|
|
1 Counterparty is UBS AG.
See accompanying notes to financial statements.
| 34
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Managed Futures Strategy Fund (continued)
At December 31, 2012, open futures contracts purchased were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX Index® | 1/18/2013 | 423 | $ | 38,313,235 | $ | (128,986 | ) | |||||||||
ASX SPI 200 | 3/21/2013 | 306 | 36,670,149 | 255,225 | ||||||||||||
CAC 40® | 1/18/2013 | 545 | 26,199,571 | 5,128 | ||||||||||||
DAX | 3/15/2013 | 132 | 33,184,949 | (129,553 | ) | |||||||||||
E-mini Dow | 3/15/2013 | 235 | 15,306,725 | (212,675 | ) | |||||||||||
E-mini NASDAQ 100 | 3/15/2013 | 302 | 16,037,710 | (60,881 | ) | |||||||||||
E-mini S&P 500® | 3/15/2013 | 302 | 21,442,000 | (80,030 | ) | |||||||||||
Euribor | 6/17/2013 | 2,590 | 853,215,202 | (136,252 | ) | |||||||||||
Euro Schatz | 3/07/2013 | 5,053 | 739,370,852 | 833,714 | ||||||||||||
Eurodollar | 6/17/2013 | 2,472 | 615,991,500 | (124,200 | ) | |||||||||||
FTSE 100 Index | 3/15/2013 | 277 | 26,314,399 | (206,987 | ) | |||||||||||
FTSE/JSE Top 40 Index | 3/20/2013 | 765 | 31,667,526 | 396,401 | ||||||||||||
German Euro BOBL | 3/07/2013 | 1,843 | 310,943,791 | 2,335,362 | ||||||||||||
German Euro Bund | 3/07/2013 | 828 | 159,172,761 | 1,344,291 | ||||||||||||
Hang Seng Index® | 1/30/2013 | 220 | 32,178,922 | 190,173 | ||||||||||||
Mini-Russell 2000 | 3/15/2013 | 264 | 22,350,240 | 359,040 | ||||||||||||
MSCI Singapore | 1/30/2013 | 710 | 41,860,096 | 18,141 | ||||||||||||
MSCI Taiwan Index | 1/30/2013 | 487 | 13,392,500 | 237,270 | ||||||||||||
Nikkei 225 | 3/08/2013 | 255 | 30,581,751 | 2,537,196 | ||||||||||||
OMXS30® | 1/18/2013 | 1,293 | 22,025,030 | (8,947 | ) | |||||||||||
S&P/TSX 60 Index | 3/14/2013 | 224 | 32,040,535 | 452,189 | ||||||||||||
S&P CNX Nifty Futures Index | 1/31/2013 | 2,948 | 35,098,888 | 214,721 | ||||||||||||
Sterling | 6/19/2013 | 2,169 | 438,006,625 | (261,333 | ) | |||||||||||
TOPIX | 3/08/2013 | 345 | 34,306,862 | 2,704,034 | ||||||||||||
UK Long Gilt | 3/26/2013 | 304 | 58,726,594 | 148,150 | ||||||||||||
2 Year U.S. Treasury Note | 3/28/2013 | 2,276 | 501,786,875 | 249,045 | ||||||||||||
3 Year Australia Government Bond | 3/15/2013 | 448 | 50,960,492 | 14,087 | ||||||||||||
5 Year U.S. Treasury Note | 3/28/2013 | 1,709 | 212,623,634 | 176,047 | ||||||||||||
10 Year Australia Government Bond | 3/15/2013 | 260 | 33,295,622 | (82,116 | ) | |||||||||||
10 Year Canada Government Bond | 3/19/2013 | 940 | 128,086,458 | (321,303 | ) | |||||||||||
10 Year Japan Government Bond | 3/11/2013 | 160 | 265,296,935 | (2,105,385 | ) | |||||||||||
10 Year U.S. Treasury Note | 3/19/2013 | 1,041 | 138,225,281 | (113,859 | ) | |||||||||||
30 Year U.S. Treasury Bond | 3/19/2013 | 390 | 57,525,000 | (490,547 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | 8,007,160 | ||||||||||||||
|
|
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG | 3/20/2013 | 357 | $ | 18,490,369 | $ | (537,731 | ) | |||||||||
Brent Crude Oil | 1/16/2013 | 147 | 16,333,170 | 431,380 | ||||||||||||
Copper LME | 3/20/2013 | 1 | 198,256 | (4,210 | ) | |||||||||||
Corn | 3/14/2013 | 340 | 11,870,250 | (741,463 | ) | |||||||||||
Cotton | 3/06/2013 | 1 | 37,570 | | ||||||||||||
Gas Oil | 2/12/2013 | 95 | 8,806,500 | (47,500 | ) | |||||||||||
Gasoline | 1/31/2013 | 5 | 579,957 | (2,541 | ) |
See accompanying notes to financial statements.
35 |
Consolidated Portfolio Of Investments as of December 31, 2012
ASG Managed Futures Strategy Fund (continued)
Commodity Futures2 (continued) | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Heating Oil | 1/31/2013 | 49 | $ | 6,239,445 | $ | 182,956 | ||||||||||
Live Cattle | 2/28/2013 | 613 | 32,439,960 | (185,390 | ) | |||||||||||
Natural Gas | 1/29/2013 | 127 | 4,255,770 | (19,050 | ) | |||||||||||
Nickel | 3/20/2013 | 52 | 5,321,784 | (173,160 | ) | |||||||||||
Soybean | 3/14/2013 | 150 | 10,571,250 | (368,600 | ) | |||||||||||
Soybean Meal | 3/14/2013 | 219 | 9,184,860 | (502,900 | ) | |||||||||||
Wheat | 3/14/2013 | 123 | 4,784,700 | (581,175 | ) | |||||||||||
Zinc | 3/20/2013 | 86 | 4,469,850 | (25,047 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (2,574,431 | ) | |||||||||||||
|
|
At December 31, 2012, open futures contracts sold were as follows:
Commodity Futures2 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Cocoa | 3/13/2013 | 35 | $ | 782,600 | $ | 6,650 | ||||||||||
Coffee | 3/18/2013 | 379 | 20,437,575 | 1,284,019 | ||||||||||||
Copper High Grade | 3/26/2013 | 9 | 821,813 | (7,875 | ) | |||||||||||
Copper LME | 3/20/2013 | 43 | 8,525,019 | (8,465 | ) | |||||||||||
Gold | 2/26/2013 | 2 | 335,160 | (1,980 | ) | |||||||||||
Light Sweet Crude Oil | 1/22/2013 | 109 | 10,008,380 | (508,870 | ) | |||||||||||
Nickel | 3/20/2013 | 64 | 6,549,888 | 82,560 | ||||||||||||
Silver | 3/26/2013 | 67 | 10,126,045 | 170,095 | ||||||||||||
Soybean Oil | 3/14/2013 | 265 | 7,902,300 | (28,116 | ) | |||||||||||
Sugar | 2/28/2013 | 504 | 11,013,005 | 364,179 | ||||||||||||
Wheat | 3/14/2013 | 18 | 747,900 | 11,650 | ||||||||||||
Zinc | 3/20/2013 | 86 | 4,469,850 | 18,597 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 1,382,444 | ||||||||||||||
|
|
2 Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at December 31, 2012 (Unaudited)
Certificates of Deposit |
67.2 | % | ||
Financial Company Commercial Paper |
16.1 | |||
Commercial Paper |
6.8 | |||
|
|
|||
Total Investments |
90.1 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
9.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 36
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund
Principal Amount () |
Description | Value () | ||||||
Bonds and Notes 45.7% of Net Assets | ||||||||
Non-Convertible Bonds 42.5% | ||||||||
ABS Home Equity 0.8% | ||||||||
$ | 412,612 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.120%, 8/25/2046(b)(c) | $ | 223,051 | ||||
|
|
|||||||
Aerospace & Defense 1.9% | ||||||||
500,000 | Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A(c) | 501,450 | ||||||
|
|
|||||||
Airlines 1.2% | ||||||||
267,000 | United Air Lines, Inc., 9.875%, 8/01/2013, 144A(c) | 268,502 | ||||||
55,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 | 55,962 | ||||||
|
|
|||||||
324,464 | ||||||||
|
|
|||||||
Banking 7.4% | ||||||||
500,000 | ABN Amro North American Holding Preferred Capital Repackage Trust I, 3.407%, 12/29/2049, 144A(b)(c) |
500,000 | ||||||
300,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(c) | 305,250 | ||||||
100,000 | Barclays Bank PLC, 6.050%, 12/04/2017, 144A(c) | 110,639 | ||||||
1,000,000 | Citigroup, Inc., Series B, 5.900%, 12/29/2049(b)(c) | 1,009,780 | ||||||
55,000 | Societe Generale, S.A., 4.196%, 1/29/2049, (EUR)(b) | 63,338 | ||||||
|
|
|||||||
1,989,007 | ||||||||
|
|
|||||||
Building Materials 1.3% | ||||||||
320,000 | Ply Gem Industries, Inc., 9.375%, 4/15/2017, 144A(c) | 340,800 | ||||||
|
|
|||||||
Chemicals 2.2% | ||||||||
225,000 | Orion Engineered Carbons Bondco GmbH, 10.000%, 6/15/2018, 144A, (EUR)(c) | 328,173 | ||||||
35,000 | Methanex Corp., 3.250%, 12/15/2019 | 35,204 | ||||||
210,000 | Methanex Corp., 5.250%, 3/01/2022(c) | 232,915 | ||||||
|
|
|||||||
596,292 | ||||||||
|
|
|||||||
Construction Machinery 3.8% | ||||||||
300,000 | UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A(c) | 335,250 | ||||||
685,000 | Urbi Desarrollos Urbanos SAB de CV, 8.500%, 4/19/2016, 144A(c) | 674,725 | ||||||
|
|
|||||||
1,009,975 | ||||||||
|
|
|||||||
Independent Energy 3.9% | ||||||||
90,000 | Newfield Exploration Co., 5.625%, 7/01/2024(c) | 97,200 | ||||||
250,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c) | 225,000 | ||||||
550,000 | SandRidge Energy, Inc., 8.125%, 10/15/2022(c) | 602,250 | ||||||
110,000 | SM Energy Co., 6.500%, 1/01/2023(c) | 117,700 | ||||||
|
|
|||||||
1,042,150 | ||||||||
|
|
|||||||
Media Cable 3.4% | ||||||||
200,000 | Nara Cable Funding Ltd., 8.875%, 12/01/2018, 144A(c) | 203,500 | ||||||
100,000 | Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR) | 140,575 | ||||||
250,000 | Quebecor Media, Inc., 5.750%, 1/15/2023, 144A(c) | 263,438 | ||||||
300,000 | Quebecor Media, Inc., 6.625%, 1/15/2023, 144A, (CAD)(c) | 308,541 | ||||||
|
|
|||||||
916,054 | ||||||||
|
|
See accompanying notes to financial statements.
37 |
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
Principal Amount () |
Description | Value () | ||||||
Media Non-Cable 0.1% | ||||||||
$ | 15,000 | Intelsat Luxembourg S.A., 11.250%, 2/04/2017(c) | $ | 15,863 | ||||
|
|
|||||||
Metals & Mining 0.4% | ||||||||
95,000 | New Gold, Inc., 6.250%, 11/15/2022, 144A | 98,325 | ||||||
|
|
|||||||
Oil Field Services 0.3% | ||||||||
75,000 | Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c) | 78,562 | ||||||
|
|
|||||||
Packaging 1.5% | ||||||||
270,000 | Ardagh Packaging Finance PLC, 9.250%, 10/15/2020, 144A, (EUR)(c) | 388,105 | ||||||
|
|
|||||||
Refining 1.2% | ||||||||
295,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019(c) |
320,075 | ||||||
|
|
|||||||
Retailers 1.9% | ||||||||
500,000 | Cencosud, S.A., 4.875%, 1/20/2023, 144A(c) | 511,470 | ||||||
|
|
|||||||
Technology 5.2% | ||||||||
600,000 | Baidu, Inc., 2.250%, 11/28/2017(c) | 603,720 | ||||||
400,000 | First Data Corp., 9.875%, 9/24/2015(c) | 408,000 | ||||||
375,000 | Nuance Communications, Inc., 5.375%, 8/15/2020, 144A(c) | 391,875 | ||||||
|
|
|||||||
1,403,595 | ||||||||
|
|
|||||||
Textile 0.8% | ||||||||
220,000 | PVH Corp., 4.500%, 12/15/2022 | 222,200 | ||||||
|
|
|||||||
Treasuries 2.0% | ||||||||
63,000() | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)(c) | 528,289 | ||||||
|
|
|||||||
Wirelines 3.2% | ||||||||
500,000 | AT&T, Inc., 2.625%, 12/01/2022 | 500,822 | ||||||
235,000 | Frontier Communications Corp., 9.000%, 8/15/2031(c) | 258,500 | ||||||
100,000 | Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A(c) | 106,500 | ||||||
|
|
|||||||
865,822 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $10,786,013) |
11,375,549 | |||||||
|
|
|||||||
Convertible Bonds 3.2% | ||||||||
Automotive 1.7% | ||||||||
500,000 | Navistar International Corp., 3.000%, 10/15/2014(c) | 456,563 | ||||||
|
|
|||||||
Metals & Mining 1.5% | ||||||||
360,000 | Alpha Appalachia Holdings, Inc., 3.250%, 8/01/2015(c) | 346,500 | ||||||
60,000 | Alpha Natural Resources, Inc., 2.375%, 4/15/2015(c) | 55,725 | ||||||
|
|
|||||||
402,225 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $854,321) |
858,788 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $11,640,334) |
12,234,337 | |||||||
|
|
See accompanying notes to financial statements.
| 38
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
Principal Amount () |
Description | Value () | ||||||
Senior Loans 7.3% | ||||||||
Airlines 1.6% | ||||||||
$ | 427,000 | Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(b) | $ | 430,096 | ||||
|
|
|||||||
Chemicals 2.2% | ||||||||
420,000 | Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b) | 423,415 | ||||||
180,000 | Houghton International, Inc., New 2nd Lien Term Loan, 10.500%, 12/21/2020(b) | 177,525 | ||||||
|
|
|||||||
600,940 | ||||||||
|
|
|||||||
Financial Other 0.4% | ||||||||
120,000 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b) | 120,150 | ||||||
|
|
|||||||
Gaming 3.1% | ||||||||
810,000 | MGM Resorts International, Term Loan B, 4.250%, 12/20/2019(b) | 817,897 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $1,940,456) |
1,969,083 | |||||||
|
|
|||||||
Shares | ||||||||
Common Stocks 10.5% | ||||||||
Auto Components 1.4% | ||||||||
7,200 | Johnson Controls, Inc.(c) | 221,040 | ||||||
2,600 | TRW Automotive Holdings Corp.(d) | 139,386 | ||||||
|
|
|||||||
360,426 | ||||||||
|
|
|||||||
Automobiles 2.7% | ||||||||
32,300 | Ford Motor Co.(c) | 418,285 | ||||||
10,100 | General Motors Co.(c)(d) | 291,183 | ||||||
|
|
|||||||
709,468 | ||||||||
|
|
|||||||
Commercial Banks 2.1% | ||||||||
15,900 | KeyCorp | 133,878 | ||||||
2,700 | PNC Financial Services Group, Inc. | 157,437 | ||||||
20,000 | Regions Financial Corp. | 142,400 | ||||||
4,800 | SunTrust Banks, Inc. | 136,080 | ||||||
|
|
|||||||
569,795 | ||||||||
|
|
|||||||
Communications Equipment 0.6% | ||||||||
2,500 | QUALCOMM, Inc. | 155,050 | ||||||
|
|
|||||||
Computers & Peripherals 1.5% | ||||||||
250 | Apple, Inc. | 133,257 | ||||||
5,500 | EMC Corp.(d) | 139,150 | ||||||
3,000 | SanDisk Corp.(d) | 130,680 | ||||||
|
|
|||||||
403,087 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 0.5% | ||||||||
5,600 | Level 3 Communications, Inc.(c)(d) | 129,416 | ||||||
|
|
|||||||
Household Products 0.6% | ||||||||
2,300 | Clorox Co. (The)(c) | 168,406 | ||||||
|
|
See accompanying notes to financial statements.
39 |
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
Shares | Description | Value () | ||||||
Insurance 0.6% | ||||||||
3,200 | Prudential Financial, Inc. | $ | 170,656 | |||||
|
|
|||||||
Pharmaceuticals 0.5% | ||||||||
2,000 | Johnson & Johnson | 140,200 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $2,631,340) |
2,806,504 | |||||||
|
|
|||||||
Exchange Traded Funds 8.5% | ||||||||
15,000 | iShares Dow Jones US Home Construction Index Fund | 317,400 | ||||||
4,900 | iShares MSCI Brazil Index Fund | 274,694 | ||||||
7,400 | iShares MSCI Emerging Markets Index Fund | 328,190 | ||||||
4,569 | iShares MSCI South Korea Index Fund(c) | 289,492 | ||||||
16,300 | Vanguard MSCI Emerging Markets ETF(c) | 725,839 | ||||||
5,800 | WisdomTree Emerging Markets Equity Income Fund | 331,296 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Identified Cost $2,146,300) |
2,266,911 | |||||||
|
|
|||||||
Shares/Units of Currency () |
||||||||
Purchased Options 0.4% | ||||||||
Options on Securities 0.1% | ||||||||
30,000 | SPDR® S&P 500® ETF Trust Put, expiring February 16, 2013 at 137 | 45,450 | ||||||
|
|
|||||||
Over-the-Counter Options on Currency 0.3% | ||||||||
605,000 | EUR Put, expiring June 20, 2013 at 1.2985(e) | 9,883 | ||||||
1,600,000 | EUR Put, expiring June 06, 2013 at 1.3010(f) | 25,478 | ||||||
775,000 | RUB Call, expiring April 23, 2013 at 32.29(g) | 38,666 | ||||||
|
|
|||||||
74,027 | ||||||||
|
|
|||||||
Total Purchased Options (Identified Cost $162,626) |
119,477 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
Short-Term Investments 24.6% | ||||||||
$ | 461,000 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $461,000 on 1/02/2013 collateralized by $475,000 Federal Home Loan Mortgage Corp., 2.000% due 1/30/2023 valued at $472,023 including accrued interest (Note 2 of Notes to Financial Statements)(h) | 461,000 | |||||
1,767,256 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $1,767,257 on 1/02/2013 collateralized by $1,715,000 U.S. Treasury Note, 2.125% due 12/31/2015 valued at $1,802,894 including accrued interest (Note 2 of Notes to Financial Statements) | 1,767,256 | ||||||
4,350,000 | U.S. Treasury Bill, 0.131%, 3/21/2013(c)(h)(i)(j) | 4,349,669 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $6,577,005) |
6,577,925 | |||||||
|
|
|||||||
See accompanying notes to financial statements.
| 40
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
Description | Value () | |||||||
Total Investments 97.0% (Identified Cost $25,098,061)(a) |
$ | 25,974,237 | ||||||
Other assets less liabilities 3.0% | 802,213 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 26,776,450 | ||||||
|
|
|||||||
Units of Currency () |
||||||||
Written Options (0.1%) | ||||||||
Over-the-Counter Options on Currency (0.1)% | ||||||||
775,000 | RUB Call, expiring April 23, 2013 at 31.35(g) (Premiums Received $11,936) |
$ | (21,097 | ) | ||||
|
|
|||||||
() | Principal Amount stated in U.S. dollars unless otherwise noted. | |||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
() | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
() | Options on securities are expressed as shares. Options on currency are expressed as units of currency. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $25,130,706 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 | $ | 928,921 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (85,390 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 843,531 | ||||||
|
|
|||||||
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. | |||||||
(c) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements or options. | |||||||
(d) | Non-income producing security. | |||||||
(e) | Counterparty is UBS AG. | |||||||
(f) | Counterparty is Citibank, N.A. | |||||||
(g) | Counterparty is Deutsche Bank AG. | |||||||
(h) | All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements. | |||||||
(i) | A portion of this security has been pledged as initial margin for open futures contracts. | |||||||
(j) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2012, the value of Rule 144A holdings amounted to $6,080,680 or 22.7% of net assets. |
See accompanying notes to financial statements.
41 |
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
ABS | Asset-Backed Securities | |||||
ETF | Exchange Traded Fund | |||||
SPDR | Standard & Poors Depositary Receipt | |||||
CAD | Canadian Dollar | |||||
EUR | Euro | |||||
MXN | Mexican Peso | |||||
RUB | New Russian Ruble |
At December 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, N.A. | CDX.NA.HY Series 19, 5-Year | (5.00%) | 12/20/2017 | $ | 1,000,000 | $ | 32,307 | $ | (3,053 | ) | $ | (35,360 | ) | $ | (1,667 | ) | ||||||||||||
Morgan Stanley Capital Services Inc. |
France Telecom | (1.00%) | 6/20/2017 | 500,000 | * | 14,237 | 603 | (13,634 | ) | (220 | ) | |||||||||||||||||
Morgan Stanley Capital Services Inc. |
State Bank of India | (1.00%) | 12/20/2016 | 250,000 | 20,876 | 7,166 | (13,710 | ) | (84 | ) | ||||||||||||||||||
UBS AG | Japan Government | (1.00%) | 6/20/2017 | 1,000,000 | (1,588 | ) | (14,398 | ) | (12,810 | ) | (333 | ) | ||||||||||||||||
UBS AG | State of Israel | (1.00%) | 9/20/2017 | 1,000,000 | 24,596 | 11,396 | (13,200 | ) | (333 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total | $ | 1,714 | $ | (88,714 | ) | $ | (2,637 | ) | ||||||||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros. |
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell1 | 1/22/2013 | Australian Dollar | 255,000 | $ | 264,432 | $ | 2,375 | |||||||||||
Buy2 | 1/07/2013 | Brazilian Real | 1,110,000 | 541,838 | 16,041 | |||||||||||||
Sell2 | 1/07/2013 | Brazilian Real | 1,110,000 | 541,838 | (7,928 | ) | ||||||||||||
Buy3 | 1/03/2013 | Canadian Dollar | 300,000 | 301,593 | 484 | |||||||||||||
Sell3 | 1/03/2013 | Canadian Dollar | 300,000 | 301,593 | 279 | |||||||||||||
Sell3 | 2/05/2013 | Canadian Dollar | 300,000 | 301,395 | (486 | ) | ||||||||||||
Buy1 | 1/10/2013 | Chilean Peso | 128,000,000 | 267,107 | 1,409 | |||||||||||||
Sell1 | 1/10/2013 | Chilean Peso | 128,000,000 | 267,107 | 1,660 | |||||||||||||
Buy1 | 1/08/2013 | Colombian Peso | 971,000,000 | 549,325 | 15,808 | |||||||||||||
Sell1 | 1/08/2013 | Colombian Peso | 971,000,000 | 549,325 | (10,628 | ) | ||||||||||||
Buy1 | 1/22/2013 | Euro | 400,000 | 528,066 | (3,574 | ) | ||||||||||||
Sell1 | 1/23/2013 | Euro | 100,000 | 132,018 | 493 | |||||||||||||
Sell2 | 1/24/2013 | Euro | 260,000 | 343,249 | 1,129 |
See accompanying notes to financial statements.
| 42
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
Contract to Buy/Sell (continued) |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell4 | 1/31/2013 | Euro | 250,000 | $ | 330,066 | $ | 427 | |||||||||||
Buy1 | 1/03/2013 | Indian Rupee | 14,600,000 | 266,472 | 1,355 | |||||||||||||
Buy1 | 1/03/2013 | Indian Rupee | 14,600,000 | 266,472 | (536 | ) | ||||||||||||
Buy3 | 1/03/2013 | Indian Rupee | 14,100,000 | 257,346 | (1,512 | ) | ||||||||||||
Buy1 | 1/31/2013 | Indian Rupee | 15,000,000 | 272,235 | 594 | |||||||||||||
Sell1 | 1/03/2013 | Indian Rupee | 29,200,000 | 532,944 | (1,068 | ) | ||||||||||||
Sell3 | 1/03/2013 | Indian Rupee | 14,100,000 | 257,346 | (1,355 | ) | ||||||||||||
Sell2 | 1/08/2013 | Japanese Yen | 21,800,000 | 251,632 | 13,094 | |||||||||||||
Sell1 | 1/22/2013 | Japanese Yen | 22,000,000 | 253,970 | 8,506 | |||||||||||||
Buy1 | 1/22/2013 | Mexican Peso | 3,500,000 | 270,314 | 1,046 | |||||||||||||
Buy1 | 1/22/2013 | Mexican Peso | 3,400,000 | 262,591 | (4,383 | ) | ||||||||||||
Buy1 | 1/10/2013 | South African Rand | 3,500,000 | 412,458 | 4,271 | |||||||||||||
Sell1 | 1/10/2013 | South African Rand | 3,500,000 | 412,458 | (11,142 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | 26,359 | ||||||||||||||||
|
|
At December 31, 2012, the Fund had the following open forward cross currency contracts:
Settlement Date | Deliver/Units of Currency | Receive1/Units of Currency |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
1/22/2013 | Japanese Yen | 44,522,417 | South Korean Won | 571,000,000 | $ | 18,737 | ||||||||||||
|
|
1 Counterparty is Credit Suisse International.
2 Counterparty is Morgan Stanley Capital Services Inc.
3 Counterparty is Deutsche Bank AG.
4 Counterparty is Bank of America, N.A.
At December 31, 2012, open futures contracts purchased were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
5 Year U.S. Treasury Note | 3/28/2013 | 48 | $ | 5,971,875 | $ | 6,662 | ||||||||||
|
|
|||||||||||||||
Commodity Futures5 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Copper High Grade | 3/26/2013 | 2 | $ | 182,625 | $ | (908 | ) | |||||||||
Gold | 2/26/2013 | 1 | 167,580 | (4,034 | ) | |||||||||||
Lead | 2/20/2013 | 6 | 348,000 | 28,162 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 23,220 | ||||||||||||||
|
|
See accompanying notes to financial statements.
43 |
Consolidated Portfolio of Investments as of December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (continued)
At December 31, 2012, open futures contracts sold were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® | 3/15/2013 | 28 | $ | 1,988,140 | $ | 9,842 | ||||||||||
Ultra Long U.S. Treasury Bond | 3/19/2013 | 10 | 1,625,938 | 4,357 | ||||||||||||
10 Year U.S. Treasury Note | 3/19/2013 | 9 | 1,195,031 | 8,140 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 22,339 | ||||||||||||||
|
|
|||||||||||||||
Commodity Futures5 | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG | 3/20/2013 | 4 | $ | 207,175 | $ | 2,050 | ||||||||||
Lead | 2/20/2013 | 6 | 348,000 | (22,650 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (20,600 | ) | |||||||||||||
|
|
5 Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Industry Summary at December 31, 2012 (Unaudited)
Exchange Traded Funds |
8.5 | % | ||
Banking |
7.4 | |||
Technology |
5.2 | |||
Chemicals |
4.4 | |||
Independent Energy |
3.9 | |||
Construction Machinery |
3.8 | |||
Media Cable |
3.4 | |||
Wirelines |
3.2 | |||
Gaming |
3.1 | |||
Airlines |
2.8 | |||
Automobiles |
2.7 | |||
Commercial Banks |
2.1 | |||
Treasuries |
2.0 | |||
Other Investments, less than 2% each |
19.9 | |||
Short-Term Investments |
24.6 | |||
|
|
|||
Total Investments |
97.0 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency contracts and futures contracts) |
3.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 44
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund*
Principal Amount () |
Description | Value () | ||||||
Bonds and Notes 77.1% of Net Assets | ||||||||
Non-Convertible Bonds 73.5% | ||||||||
ABS Home Equity 7.4% | ||||||||
$ | 1,247,081 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A2, 2.027%, 9/25/2045(b) |
$ | 1,189,226 | ||||
1,877,117 | Banc of America Funding Corp., Series 2004-B, Class 4A2, 3.003%, 11/20/2034(b) |
1,659,938 | ||||||
975,208 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.658%, 7/25/2037, 144A(b) |
587,432 | ||||||
1,548,615 | Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.481%, 2/22/2035(b) | 1,140,530 | ||||||
797,076 | Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 |
610,199 | ||||||
1,490,878 | Citimortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037 |
1,263,545 | ||||||
1,004,438 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.420%, 5/25/2035(b) |
719,891 | ||||||
996,033 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 |
676,127 | ||||||
1,113,649 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 |
942,580 | ||||||
296,347 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.773%, 9/20/2034(b) |
276,030 | ||||||
1,938,957 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.733%, 4/25/2035(b) |
1,078,578 | ||||||
589,308 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.480%, 4/25/2035(b) |
412,111 | ||||||
2,865,703 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035 |
2,877,699 | ||||||
486,606 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 | 481,544 | ||||||
1,562,536 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 | 1,332,461 | ||||||
926,450 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 |
762,055 | ||||||
2,522,456 | Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.360%, 11/25/2036(b) | 1,062,787 | ||||||
2,608,364 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.416%, 6/19/2035(b) |
2,569,241 | ||||||
1,161,233 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.580%, 7/19/2035(b) |
1,062,269 | ||||||
347,385 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.123%, 12/25/2034(b) | 303,612 | ||||||
1,154,920 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.134%, 7/25/2035(b) | 1,070,960 | ||||||
2,230,838 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 | 1,922,376 | ||||||
215,040 | Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.560%, 1/19/2035(b) |
151,718 | ||||||
169,160 | Harborview Mortgage Loan Trust, Series 2005-14, Class 2A1A, 3.083%, 12/19/2035(b) |
154,751 | ||||||
2,031,616 | Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 3.025%, 12/19/2035(b) |
1,670,287 |
See accompanying notes to financial statements.
45 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
ABS Home Equity continued | ||||||||
$ | 2,701,094 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.320%, 5/25/2037(b) |
$ | 1,672,687 | ||||
1,341,222 | Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.990%, 12/25/2034(b) |
975,783 | ||||||
339,574 | Indymac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.530%, 7/25/2045(b) |
269,023 | ||||||
1,060,506 | JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.370%, 12/25/2036(b) |
658,713 | ||||||
2,966,915 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.430%, 4/25/2046(b) | 1,885,258 | ||||||
2,181,687 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.330%, 7/25/2037(b)(c) | 1,084,200 | ||||||
1,018,488 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.991%, 4/25/2036(b) |
894,347 | ||||||
715,555 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.370%, 1/25/2047(b) |
471,709 | ||||||
2,352,686 | MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.450%, 5/25/2037(b) |
1,482,023 | ||||||
2,128,204 | MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037 |
1,897,122 | ||||||
554,518 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.342%, 5/25/2036(b) | 548,784 | ||||||
1,589,327 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 |
1,457,747 | ||||||
2,800,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(d) |
2,703,184 | ||||||
348,560 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.940%, 10/25/2035(b) |
344,972 | ||||||
3,272,990 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035 |
2,743,718 | ||||||
1,437,216 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 |
1,444,626 | ||||||
559,405 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.538%, 9/25/2046(b) |
484,462 | ||||||
310,115 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.970%, 12/25/2046(b) |
264,203 | ||||||
817,232 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
845,603 | ||||||
|
|
|||||||
48,106,111 | ||||||||
|
|
|||||||
ABS Other 0.7% | ||||||||
2,461,927 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(d) |
2,533,382 | ||||||
730,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A |
744,484 | ||||||
425,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A |
429,022 | ||||||
953,176 | Sierra Receivables Funding Co., Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
972,067 | ||||||
|
|
|||||||
4,678,955 | ||||||||
|
|
|||||||
Aerospace & Defense 1.7% | ||||||||
5,203,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A | 4,488,493 |
See accompanying notes to financial statements.
| 46
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Aerospace & Defense continued | ||||||||
$ | 1,835,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A | $ | 1,704,533 | ||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(d) |
5,137,350 | ||||||
|
|
|||||||
11,330,376 | ||||||||
|
|
|||||||
Airlines 2.8% | ||||||||
680,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026 |
715,700 | ||||||
505,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 |
527,725 | ||||||
965,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A |
972,237 | ||||||
2,508,421 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
2,734,178 | ||||||
152,529 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
158,813 | ||||||
2,047,470 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 | 2,285,386 | ||||||
5,160,000 | Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(d) |
5,392,200 | ||||||
1,868,106 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 | 2,101,620 | ||||||
1,615,000 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 1,760,350 | ||||||
1,310,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 | 1,332,925 | ||||||
|
|
|||||||
17,981,134 | ||||||||
|
|
|||||||
Automotive 0.5% | ||||||||
3,000,000 | Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(d) | 3,112,557 | ||||||
|
|
|||||||
Banking 5.5% | ||||||||
1,500,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) | 3,133,159 | ||||||
900,000 | Bankia, S.A., 4.375%, 2/14/2017, (EUR) | 1,104,724 | ||||||
3,950,000 | Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(d) | 5,893,488 | ||||||
4,735,000 | Lloyds TSB Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(d) | 7,138,712 | ||||||
5,990,000 | Rabobank Nederland NV, 3.950%, 11/09/2022 | 6,133,964 | ||||||
3,105,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 | 3,277,271 | ||||||
2,000,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) | 2,704,088 | ||||||
1,950,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) | 2,904,993 | ||||||
2,100,000 | Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR) |
3,097,010 | ||||||
|
|
|||||||
35,387,409 | ||||||||
|
|
|||||||
Building Materials 1.4% | ||||||||
2,400,000 | Odebrecht Finance Ltd., 7.125%, 6/26/2042, 144A(d) | 2,784,000 | ||||||
5,960,000 | Owens Corning, 4.200%, 12/15/2022(d) | 6,061,231 | ||||||
|
|
|||||||
8,845,231 | ||||||||
|
|
|||||||
Chemicals 0.7% | ||||||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029 | 2,853,000 | ||||||
1,800,000 | Mexichem SAB de CV, 6.750%, 9/19/2042, 144A | 2,020,500 | ||||||
|
|
|||||||
4,873,500 | ||||||||
|
|
See accompanying notes to financial statements.
47 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Commercial Mortgage-Backed Securities 5.4% | ||||||||
$ | 950,000 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 5.812%, 5/11/2039, 144A(b) |
$ | 963,704 | ||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.549%, 4/15/2044, 144A(b)(d) |
4,899,843 | ||||||
2,376,607 | CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048 | 2,527,621 | ||||||
5,109,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)(d) |
5,318,612 | ||||||
4,340,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.789%, 8/10/2045(b)(d) |
4,201,202 | ||||||
1,520,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 | 1,639,393 | ||||||
1,300,000 | Morgan Stanley Capital I, Series 2011-C1, Class E, 5.254%, 9/15/2047, 144A(b) | 1,293,313 | ||||||
2,125,000 | Morgan Stanley Capital I, Series 2011-C2, Class E, 5.317%, 6/15/2044, 144A(b) | 2,078,328 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b) |
1,400,850 | ||||||
3,700,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.789%, 8/12/2045, 144A(b)(d) |
4,143,164 | ||||||
1,000,000 | Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.789%, 8/15/2045, 144A(b) |
1,119,774 | ||||||
5,400,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.465%, 2/15/2044, 144A(b)(d) |
5,355,542 | ||||||
|
|
|||||||
34,941,346 | ||||||||
|
|
|||||||
Consumer Products 0.2% | ||||||||
1,555,000 | Visant Corp., 10.000%, 10/01/2017 | 1,395,613 | ||||||
|
|
|||||||
Diversified Manufacturing 1.3% | ||||||||
3,000,000 | Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A(d) | 3,075,000 | ||||||
4,500,000 | Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A(d) | 5,040,000 | ||||||
|
|
|||||||
8,115,000 | ||||||||
|
|
|||||||
Electric 2.2% | ||||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL) | 2,189,783 | ||||||
4,700,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(d) | 3,072,422 | ||||||
1,800,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 1,743,025 | ||||||
800,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 835,600 | ||||||
5,510,000 | Energy Future Holdings Corp., 10.000%, 1/15/2020(d) | 6,157,425 | ||||||
|
|
|||||||
13,998,255 | ||||||||
|
|
|||||||
Financial Other 0.8% | ||||||||
5,200,000 | Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A | 5,132,400 | ||||||
|
|
|||||||
Food & Beverage 0.8% | ||||||||
4,600,000 | BRFBrazil Foods S.A., 5.875%, 6/06/2022, 144A(d) | 5,071,500 | ||||||
|
|
|||||||
Government Owned No Guarantee 2.3% | ||||||||
6,000,000 | Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(d) | 6,135,000 | ||||||
2,240,000 | Petrobras Global Finance BV, 4.250%, 10/02/2023, (EUR) | 3,108,590 | ||||||
700,000() | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(d) | 5,931,395 | ||||||
|
|
|||||||
15,174,985 | ||||||||
|
|
See accompanying notes to financial statements.
| 48
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Government Sponsored 0.6% | ||||||||
1,410,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) | $ | 1,386,013 | |||||
2,275,000 | Eksportfinans ASA, 2.000%, 9/15/2015 | 2,177,553 | ||||||
55,000 | Eksportfinans ASA, 2.375%, 5/25/2016 | 52,470 | ||||||
|
|
|||||||
3,616,036 | ||||||||
|
|
|||||||
Healthcare 0.3% | ||||||||
1,425,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 | 1,460,625 | ||||||
450,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(e) | 493,584 | ||||||
|
|
|||||||
1,954,209 | ||||||||
|
|
|||||||
Independent Energy 2.9% | ||||||||
2,335,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A(d) | 1,587,800 | ||||||
2,660,000 | Halcon Resources Corp., 9.750%, 7/15/2020, 144A(d) | 2,872,800 | ||||||
5,530,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 5,972,400 | ||||||
2,760,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A | 2,304,600 | ||||||
3,400,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A | 3,060,000 | ||||||
2,925,000 | Plains Exploration & Production Co., 6.500%, 11/15/2020 | 3,239,437 | ||||||
|
|
|||||||
19,037,037 | ||||||||
|
|
|||||||
Industrial Other 0.6% | ||||||||
3,900,000 | Steelcase, Inc., 6.375%, 2/15/2021(d) | 4,154,966 | ||||||
|
|
|||||||
Integrated Energy 1.6% | ||||||||
5,200,000 | Eni S.p.A., 4.150%, 10/01/2020, 144A | 5,325,102 | ||||||
4,910,000 | Sasol Financing International PLC, 4.500%, 11/14/2022 | 4,934,550 | ||||||
|
|
|||||||
10,259,652 | ||||||||
|
|
|||||||
Life Insurance 1.6% | ||||||||
6,263,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A(d) |
6,137,740 | ||||||
3,300,000 | Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A(d) | 4,042,500 | ||||||
|
|
|||||||
10,180,240 | ||||||||
|
|
|||||||
Media Cable 0.3% | ||||||||
1,500,000 | Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD) | 1,669,016 | ||||||
|
|
|||||||
Media Non-Cable 1.7% | ||||||||
5,535,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 | 5,161,387 | ||||||
5,720,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 | 5,762,900 | ||||||
230,000 | Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020 | 229,425 | ||||||
|
|
|||||||
11,153,712 | ||||||||
|
|
|||||||
Metals & Mining 4.6% | ||||||||
5,700,000 | Anglo American Capital PLC, 4.125%, 9/27/2022, 144A | 5,955,064 | ||||||
2,940,000 | AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022 | 2,979,640 | ||||||
4,875,000 | ArcelorMittal, 7.250%, 3/01/2041 | 4,521,562 | ||||||
2,280,000 | New Gold, Inc., 6.250%, 11/15/2022, 144A | 2,359,800 | ||||||
2,830,000 | Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A | 2,910,635 | ||||||
3,175,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A | 3,230,563 | ||||||
3,820,000 | Teck Resources Ltd., 5.400%, 2/01/2043 | 4,041,464 | ||||||
3,440,000 | Xstrata Finance Canada Ltd., 5.300%, 10/25/2042, 144A | 3,453,086 | ||||||
|
|
|||||||
29,451,814 | ||||||||
|
|
See accompanying notes to financial statements.
49 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Non-Captive Diversified 1.4% | ||||||||
$ | 4,700,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/15/2049(d) | $ | 5,312,363 | ||||
2,500,000 | General Electric Capital Corp., Series B, (fixed rate to 12/15/2022, variable rate thereafter), 6.250%, 12/15/2049 | 2,722,450 | ||||||
600,000 | GMAC International Finance BV, 7.500%, 4/21/2015, (EUR) | 866,416 | ||||||
|
|
|||||||
8,901,229 | ||||||||
|
|
|||||||
Oil Field Services 2.0% | ||||||||
1,245,000 | Basic Energy Services, Inc., 7.750%, 2/15/2019 | 1,238,775 | ||||||
3,305,000 | Basic Energy Services, Inc., 7.750%, 10/15/2022, 144A | 3,222,375 | ||||||
2,970,000 | Global Geophysical Services, Inc., 10.500%, 5/01/2017(d) | 2,643,300 | ||||||
3,200,000 | Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A | 3,256,000 | ||||||
2,500,000 | Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(d) | 2,668,750 | ||||||
|
|
|||||||
13,029,200 | ||||||||
|
|
|||||||
Pharmaceuticals 0.7% | ||||||||
875,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 938,438 | ||||||
3,380,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 3,625,050 | ||||||
|
|
|||||||
4,563,488 | ||||||||
|
|
|||||||
Pipelines 0.7% | ||||||||
3,825,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 4,227,206 | ||||||
|
|
|||||||
Sovereigns 0.7% | ||||||||
2,300,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 1,367,643 | ||||||
51,553,362 | Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU) | 3,131,056 | ||||||
|
|
|||||||
4,498,699 | ||||||||
|
|
|||||||
Supermarkets 0.3% | ||||||||
760,000 | Delhaize Group S.A., 5.700%, 10/01/2040 | 712,368 | ||||||
1,290,000 | SUPERVALU, Inc., 7.500%, 11/15/2014 | 1,251,300 | ||||||
|
|
|||||||
1,963,668 | ||||||||
|
|
|||||||
Technology 2.0% | ||||||||
1,430,000 | Advanced Micro Devices, Inc., 7.500%, 8/15/2022, 144A | 1,176,175 | ||||||
3,840,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 2,918,400 | ||||||
1,300,000 | Baidu, Inc., 3.500%, 11/28/2022 | 1,303,648 | ||||||
2,680,000 | Hewlett-Packard Co., 4.650%, 12/09/2021(d) | 2,690,425 | ||||||
4,955,000 | Ingram Micro, Inc., 5.000%, 8/10/2022 | 5,083,771 | ||||||
|
|
|||||||
13,172,419 | ||||||||
|
|
|||||||
Treasuries 12.8% | ||||||||
25,200,000 | Canadian Government, 1.750%, 3/01/2013, (CAD)(d) | 25,366,193 | ||||||
2,550,000,000 | Chile Government International Bond, 5.500%, 8/05/2020, (CLP) | 5,925,588 | ||||||
6,600,000,000 | Korea Treasury Bond, 3.250%, 12/10/2014, (KRW) | 6,211,796 | ||||||
18,565,000 | Malaysia Government Bond, 3.314%, 10/31/2017, (MYR) | 6,087,037 | ||||||
1,260,000() | Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)(d) | 10,012,946 | ||||||
620,000() | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) | 5,199,035 | ||||||
325,500() | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(d) | 2,946,500 | ||||||
200,000() | Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN) | 1,596,981 | ||||||
7,550,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)(d) | 8,109,241 | ||||||
50,800,000 | South Africa Government Bond, 7.750%, 2/28/2023, (ZAR) | 6,418,046 |
See accompanying notes to financial statements.
| 50
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Treasuries continued | ||||||||
2,560,000 | Spain Government Bond, 4.300%, 10/31/2019, (EUR) | $ | 3,306,424 | |||||
1,280,000 | Spain Government Bond, 4.650%, 7/30/2025, (EUR) | 1,543,779 | ||||||
|
|
|||||||
82,723,566 | ||||||||
|
|
|||||||
Wireless 0.8% | ||||||||
4,700,000 | Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A(d) | 4,888,000 | ||||||
|
|
|||||||
Wirelines 4.2% | ||||||||
2,315,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A | 2,352,619 | ||||||
520,000 | Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A | 553,800 | ||||||
1,170,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 | 1,298,700 | ||||||
12,200,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(d) | 6,256,410 | ||||||
7,534,000 | Qwest Corp., 7.200%, 11/10/2026(d) | 7,575,437 | ||||||
1,100,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 1,075,250 | ||||||
850,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 887,400 | ||||||
1,250,000 | Telecom Italia Capital S.A., 7.721%, 6/04/2038 | 1,353,125 | ||||||
250,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 262,813 | ||||||
525,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 | 559,781 | ||||||
2,000,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 2,160,000 | ||||||
1,500,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP) | 2,545,711 | ||||||
|
|
|||||||
26,881,046 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $454,430,162) |
474,469,575 | |||||||
|
|
|||||||
Convertible Bonds 3.6% | ||||||||
Automotive 0.6% | ||||||||
1,610,000 | Ford Motor Co., 4.250%, 11/15/2016 | 2,551,850 | ||||||
755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015 | 1,442,522 | ||||||
|
|
|||||||
3,994,372 | ||||||||
|
|
|||||||
Independent Energy 0.1% | ||||||||
425,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 | 406,406 | ||||||
|
|
|||||||
Metals & Mining 0.4% | ||||||||
2,515,000 | Peabody Energy Corp., 4.750%, 12/15/2066 | 2,422,260 | ||||||
|
|
|||||||
Pharmaceuticals 0.5% | ||||||||
905,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016 | 1,526,056 | ||||||
315,000 | Mylan, Inc., 3.750%, 9/15/2015 | 669,572 | ||||||
1,210,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 1,360,494 | ||||||
|
|
|||||||
3,556,122 | ||||||||
|
|
|||||||
Technology 1.7% | ||||||||
1,330,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 1,497,081 | ||||||
1,340,000 | EMC Corp., Series B, 1.750%, 12/01/2013 | 2,138,975 | ||||||
2,085,000 | Intel Corp., 3.250%, 8/01/2039 | 2,443,360 | ||||||
815,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 | 744,706 | ||||||
1,515,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A | 1,475,231 | ||||||
2,140,000 | SanDisk Corp., 1.500%, 8/15/2017 | 2,482,400 | ||||||
|
|
|||||||
10,781,753 | ||||||||
|
|
See accompanying notes to financial statements.
51 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Textile 0.3% | ||||||||
$ | 2,200,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A | $ | 2,278,375 | ||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $24,322,377) |
23,439,288 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $478,752,539) |
497,908,863 | |||||||
|
|
|||||||
Senior Loans 9.4% | ||||||||
Aerospace & Defense 0.2% | ||||||||
650,000 | Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(b) | 653,452 | ||||||
587,000 | Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(b) | 584,065 | ||||||
|
|
|||||||
1,237,517 | ||||||||
|
|
|||||||
Automotive 0.3% | ||||||||
572,000 | Navistar International Corporation, Term Loan B, 7.000%, 8/17/2017(b) | 573,430 | ||||||
1,228,810 | TI Group Automotive Systems, LLC, New Term Loan, 6.750%, 3/14/2018(b) | 1,234,953 | ||||||
232,418 | Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(b) | 234,161 | ||||||
|
|
|||||||
2,042,544 | ||||||||
|
|
|||||||
Building Materials 0.1% | ||||||||
327,180 | CPG International, Inc., Term Loan, 5.750%, 9/18/2019(b) | 328,613 | ||||||
|
|
|||||||
Chemicals 0.7% | ||||||||
952,800 | Ascend Performance Materials, LLC, Term Loan B, 6.750%, 4/10/2018(b) | 946,845 | ||||||
940,000 | Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b) | 947,642 | ||||||
1,150,500 | Kronos Worldwide, Inc., Term Loan B, 5.750%, 6/13/2018(b) | 1,160,567 | ||||||
661,633 | Nexeo Solutions, LLC, Term Loan B, 5.000%, 9/08/2017(b) | 648,817 | ||||||
1,191,000 | Taminco Global Chemical Corporation, Term Loan B1, 5.250%, 2/15/2019(b) | 1,196,955 | ||||||
|
|
|||||||
4,900,826 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.4% | ||||||||
92,239 | Instant Web, Inc., Delayed Draw Term Loan, 3.587%, 8/07/2014(b) | 70,794 | ||||||
879,359 | Instant Web, Inc., Term Loan B, 3.587%, 8/07/2014(b) | 674,908 | ||||||
1,370,000 | SRA International, Inc., Term Loan B, 6.500%, 7/20/2018(b) | 1,291,225 | ||||||
686,550 | West Corporation, Term Loan B6, 5.750%, 6/29/2018(b) | 696,326 | ||||||
|
|
|||||||
2,733,253 | ||||||||
|
|
|||||||
Consumer Products 0.5% | ||||||||
969,000 | Serta Simmons Holdings, LLC, Term Loan, 5.000%, 10/01/2019(b) | 969,804 | ||||||
957,000 | Tempur-Pedic International, Inc., New Term Loan B, 12/12/2019(f) | 967,939 | ||||||
1,471,901 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) | 1,333,910 | ||||||
|
|
|||||||
3,271,653 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.2% | ||||||||
1,086,621 | Edwards (Cayman Islands II) Limited, Extended 1st Lien Term Loan, 5.500%, 5/31/2016(b) |
1,086,957 | ||||||
|
|
|||||||
Electric 0.1% | ||||||||
623,438 | Calpine Corporation, Term Loan B3, 4.500%, 4/02/2018(b) | 628,475 | ||||||
|
|
|||||||
Entertainment 0.1% | ||||||||
417,000 | WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(b) | 421,433 | ||||||
|
|
See accompanying notes to financial statements.
| 52
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Financial Other 0.3% | ||||||||
$ | 770,000 | Clipper Acquisitions Corp., Term Loan B, 12/20/2019(f) | $ | 770,000 | ||||
824,000 | Harbourvest Partners, LLC, Term Loan B, 4.750%, 11/21/2017(b) | 825,030 | ||||||
200,000 | Nuveen Investments, Inc., Extended 1st Lien Term Loan, 5.811%, 5/13/2017(g) | 200,700 | ||||||
|
|
|||||||
1,795,730 | ||||||||
|
|
|||||||
Food & Beverage 0.1% | ||||||||
316,608 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b) | 324,523 | ||||||
|
|
|||||||
Gaming 0.4% | ||||||||
2,770,000 | MGM Resorts International, Term Loan B, 4.250%, 12/20/2019(b) | 2,797,007 | ||||||
|
|
|||||||
Healthcare 0.7% | ||||||||
505,960 | AssuraMed Holding, Inc., 1st Lien Term Loan, 5.500%, 10/24/2019(b) | 510,706 | ||||||
428,000 | Kindred Healthcare, Inc., Add on Term Loan B, 6.000%, 6/01/2018(b) | 417,300 | ||||||
504,874 | Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(b) | 492,252 | ||||||
265,000 | TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/27/2019(b) | 262,350 | ||||||
1,291,859 | TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(b) | 1,278,398 | ||||||
1,483,098 | Truven Health Analytics, Inc., New Term Loan B, 5.750%, 6/06/2019(b) | 1,482,639 | ||||||
399,000 | United Surgical Partners International, Inc., Incremental Term Loan, 6.000%, 4/03/2019(b) |
401,326 | ||||||
|
|
|||||||
4,844,971 | ||||||||
|
|
|||||||
Industrial Other 0.6% | ||||||||
119,032 | Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 10/23/2018(f) |
117,574 | ||||||
122,596 | Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(b) |
121,094 | ||||||
495,968 | Brand Energy & Infrastructure Services, Inc., Term Loan B1 US, 10/16/2018(f) | 489,892 | ||||||
510,817 | Brand Energy & Infrastructure Services, Inc., Term Loan B1 US, 6.250%, 10/16/2018(b) |
504,559 | ||||||
555,000 | Dematic S.A, Term Loan, 12/27/2019(f) | 555,000 | ||||||
644,000 | Hamilton Sundstrand Industrial, 1st Lien Term Loan, 5.000%, 12/13/2019(b) | 649,635 | ||||||
874,808 | Jimmy Sanders Incorporated, Term Loan, 6.750%, 11/14/2018(b) | 855,125 | ||||||
370,000 | WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(b) | 371,465 | ||||||
|
|
|||||||
3,664,344 | ||||||||
|
|
|||||||
Media Non-Cable 0.3% | ||||||||
1,141,000 | Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b) | 1,141,000 | ||||||
2,358,000 | RBS International Direct Marketing, LLC, Term Loan B, 9.250%, 3/23/2017(b) | 848,880 | ||||||
|
|
|||||||
1,989,880 | ||||||||
|
|
|||||||
Metals & Mining 1.2% | ||||||||
698,246 | Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(b) | 704,468 | ||||||
428,925 | Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b) | 422,491 | ||||||
1,334,503 | Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(b) | 1,327,550 | ||||||
2,825,918 | FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b) | 2,847,112 | ||||||
903,750 | Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(b) | 906,579 | ||||||
1,369,000 | Phoenix Services, LLC, Term Loan, 7.750%, 6/30/2017(b) | 1,375,845 | ||||||
502,463 | Preferred Proppants, LLC, Term Loan B, 7.500%, 12/15/2016(b) | 462,265 | ||||||
|
|
|||||||
8,046,310 | ||||||||
|
|
See accompanying notes to financial statements.
53 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Oil Field Services 0.1% | ||||||||
$ | 340,000 | Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(b) | $ | 342,975 | ||||
|
|
|||||||
Packaging 0.1% | ||||||||
583,538 | TricorBraun, Inc., New Term Loan B, 5.503%, 5/03/2018(g) | 585,177 | ||||||
|
|
|||||||
Pharmaceuticals 0.7% | ||||||||
629,423 | Par Pharmaceutical Companies, Inc., Term Loan B, 5.000%, 9/30/2019(b) | 628,245 | ||||||
1,555,000 | Quintiles Transnational Corp., New Term Loan B, 6/08/2018(f) | 1,562,775 | ||||||
1,435,000 | Valeant Pharmaceuticals International, Inc., Series C, Tranche B, 4.250%, 12/11/2019(b) |
1,441,874 | ||||||
1,039,000 | Valeant Pharmaceuticals International, Inc., Series D, Tranche B, 4.250%, 2/13/2019(b) |
1,044,746 | ||||||
|
|
|||||||
4,677,640 | ||||||||
|
|
|||||||
Pipelines 0.2% | ||||||||
1,186,071 | NGPL PipeCo, LLC, Term Loan B, 6.750%, 9/15/2017(b) | 1,211,275 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.2% | ||||||||
410,000 | AmWINS Group, Inc., New 2nd Lien Term Loan, 9.250%, 12/06/2019(b) | 413,587 | ||||||
330,000 | Applied Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/08/2017(b) | 330,413 | ||||||
515,108 | Applied Systems, Inc., Incremental Term Loan A, 5.500%, 12/08/2016(b) | 517,683 | ||||||
|
|
|||||||
1,261,683 | ||||||||
|
|
|||||||
Restaurants 0.0% | ||||||||
261,345 | P.F. Changs China Bistro, Inc., Term Loan B, 5.250%, 7/02/2019(b) | 264,612 | ||||||
|
|
|||||||
Retailers 0.3% | ||||||||
1,464,000 | Bass Pro Group, LLC, New Term Loan, 4.000%, 10/21/2019(b) | 1,464,908 | ||||||
236,000 | Davids Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(b) | 236,394 | ||||||
|
|
|||||||
1,701,302 | ||||||||
|
|
|||||||
Supermarkets 0.1% | ||||||||
635,000 | Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(b) | 640,556 | ||||||
|
|
|||||||
Technology 0.8% | ||||||||
559,011 | Blackboard, Inc., Term Loan B, 7.500%, 10/04/2018(b) | 564,075 | ||||||
1,219,460 | Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(b) | 1,218,448 | ||||||
795,000 | First Data Corporation, 2018 Add-on Term Loan, 5.211%, 9/24/2018(b) | 778,536 | ||||||
1,014,000 | NXP B.V., Term Loan C, 4.750%, 1/11/2020(b) | 1,019,496 | ||||||
1,510,000 | Riverbed Technology, Inc., Term Loan, 4.000%, 12/18/2019(b) | 1,521,959 | ||||||
456,000 | SunGard Data Systems, Inc., Term Loan D, 1/31/2020(f) | 459,420 | ||||||
|
|
|||||||
5,561,934 | ||||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
518,000 | FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(b) | 518,161 | ||||||
|
|
|||||||
Utility Other 0.1% | ||||||||
380,000 | Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b) | 380,000 | ||||||
|
|
|||||||
Wireless 0.2% | ||||||||
1,227,496 | MetroPCS Wireless, Inc., New Term Loan B3, 4.000%, 3/16/2018(b) | 1,228,650 | ||||||
|
|
See accompanying notes to financial statements.
| 54
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Principal Amount () |
Description | Value () | ||||||
Wirelines 0.3% | ||||||||
$ | 1,440,000 | Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(b) | $ | 1,446,005 | ||||
820,937 | Zayo Group, LLC, REFI Term Loan B, 5.250%, 7/02/2019(b) | 829,918 | ||||||
|
|
|||||||
2,275,923 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $61,893,759) |
60,763,924 | |||||||
|
|
|||||||
Shares | ||||||||
Preferred Stocks 3.8% | ||||||||
Non-Convertible Preferred Stocks 2.3% | ||||||||
Banking 1.5% | ||||||||
148,056 | Capital One Financial Corp., Series B, 6.000% | 3,680,672 | ||||||
247,273 | SunTrust Banks, Inc., 5.875% | 6,050,770 | ||||||
|
|
|||||||
9,731,442 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.8% | ||||||||
2,590 | Ally Financial, Inc., Series G, 7.000%, 144A | 2,543,785 | ||||||
102,000 | Montpelier Re Holdings Ltd., 8.875% | 2,751,960 | ||||||
|
|
|||||||
5,295,745 | ||||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $14,675,481) |
15,027,187 | |||||||
|
|
|||||||
Convertible Preferred Stocks 1.5% | ||||||||
Automotive 0.5% | ||||||||
72,200 | General Motors Co., Series B, 4.750% | 3,186,186 | ||||||
|
|
|||||||
Banking 0.7% | ||||||||
1,388 | Bank of America Corp., Series L, 7.250% | 1,575,380 | ||||||
2,240 | Wells Fargo & Co., Series L, Class A, 7.500%(d) | 2,744,000 | ||||||
|
|
|||||||
4,319,380 | ||||||||
|
|
|||||||
Independent Energy 0.2% | ||||||||
1,500 | Chesapeake Energy Corp., Series A, 5.750%, 144A | 1,332,188 | ||||||
|
|
|||||||
REITs Healthcare 0.1% | ||||||||
8,000 | Health Care REIT, Inc., Series I, 6.500% | 457,520 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $9,404,587) |
9,295,274 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $24,080,068) |
24,322,461 | |||||||
|
|
|||||||
Common Stocks 3.3% | ||||||||
Chemicals 0.1% | ||||||||
54,452 | Tronox Ltd., Class A | 993,749 | ||||||
|
|
|||||||
Diversified Financial Services 0.2% | ||||||||
27,800 | JPMorgan Chase & Co. | 1,222,366 | ||||||
|
|
See accompanying notes to financial statements.
55 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Shares |
Description | Value () | ||||||
Diversified Telecommunication Services 0.9% | ||||||||
44,327 | AT&T, Inc. | $ | 1,494,263 | |||||
87,030 | Deutsche Telekom AG, Sponsored ADR | 988,835 | ||||||
35,730 | France Telecom S.A., Sponsored ADR | 394,816 | ||||||
83,776 | Telefonica S.A., Sponsored ADR | 1,130,138 | ||||||
43,618 | Verizon Communications, Inc.(d) | 1,887,351 | ||||||
|
|
|||||||
5,895,403 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
5,425 | Siemens AG, Sponsored ADR | 593,875 | ||||||
|
|
|||||||
Metals & Mining 0.2% | ||||||||
10,935 | Barrick Gold Corp. | 382,834 | ||||||
8,416 | Goldcorp, Inc. | 308,867 | ||||||
6,635 | Newmont Mining Corp. | 308,130 | ||||||
|
|
|||||||
999,831 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.0% | ||||||||
11,400 | Chevron Corp. | 1,232,796 | ||||||
17,200 | ExxonMobil Corp. | 1,488,660 | ||||||
21,700 | Royal Dutch Shell PLC, ADR | 1,496,215 | ||||||
19,625 | Statoil ASA, Sponsored ADR | 491,410 | ||||||
33,125 | Total S.A., Sponsored ADR | 1,722,831 | ||||||
|
|
|||||||
6,431,912 | ||||||||
|
|
|||||||
Pharmaceuticals 0.2% | ||||||||
15,000 | Bristol-Myers Squibb Co. | 488,850 | ||||||
10,500 | GlaxoSmithKline PLC, Sponsored ADR | 456,435 | ||||||
20,750 | Pfizer, Inc. | 520,410 | ||||||
|
|
|||||||
1,465,695 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% | ||||||||
13,000 | KLA-Tencor Corp. | 620,880 | ||||||
|
|
|||||||
Software 0.1% | ||||||||
16,290 | Microsoft Corp. | 435,432 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.1% | ||||||||
10,168 | NIKE, Inc., Class B | 524,669 | ||||||
|
|
|||||||
Tobacco 0.2% | ||||||||
27,290 | Altria Group, Inc. | 857,452 | ||||||
5,330 | Philip Morris International, Inc. | 445,801 | ||||||
|
|
|||||||
1,303,253 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% | ||||||||
37,300 | Vodafone Group PLC, Sponsored ADR | 939,587 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $21,520,508) |
21,426,652 | |||||||
|
|
See accompanying notes to financial statements.
| 56
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
Notional Amount/ Shares () |
Description | Value () | ||||||
Purchased Swaptions 0.7% | ||||||||
Interest Rate Swaptions 0.7% | ||||||||
$ | 500,000,000 | 1-year Interest Rate Swap Put, expiring 10/03/2013, Receive 0.2475%, Pay 3-month LIBOR(h) |
$ | 56,500 | ||||
100,000,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Receive 1.078%, Pay 3-month LIBOR(h) |
788,300 | ||||||
40,000,000 | 30-year Interest Rate Swap Call, expiring 10/03/2014, Receive 3-month LIBOR, Pay 2.846%(i) | 4,109,560 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $5,192,750) |
4,954,360 | |||||||
|
|
|||||||
Purchased Options 0.1% | ||||||||
Options on Securities 0.1% | ||||||||
129,600 | SPDR® S&P 500® ETF Trust, Put expiring March 16, 2013 at 139 | |||||||
(Identified Cost $493,572) | 390,744 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
Short-Term Investments 5.3% | ||||||||
285,159 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $285,159 on 1/02/2013 collateralized by $300,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $300,460 including accrued interest (Note 2 of Notes to Financial Statements) | 285,159 | ||||||
28,918,458 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $28,918,474 on 1/02/2013 collateralized by $29,425,000 Federal Home Loan Bank, 0.370% due 8/09/2013 valued at $29,498,563 including accrued interest (Note 2 of Notes to Financial Statements) | 28,918,458 | ||||||
5,000,000 | U.S. Treasury Bill, 0.131%, 3/21/2013(j)(k) | 4,999,620 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $34,202,180) |
34,203,237 | |||||||
|
|
|||||||
Total Investments 99.7% (Identified Cost $626,135,376)(a) |
643,970,241 | |||||||
Other assets less liabilities 0.3% | 2,129,405 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 646,099,646 | ||||||
|
|
|||||||
Notional Amount () |
||||||||
Written Swaptions (0.4%) | ||||||||
Interest Rate Swaptions (0.4%) | ||||||||
500,000,000 | 1-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.3975%, Receive 3-month LIBOR(h) |
$ | (372,500 | ) | ||||
100,000,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.734%, Receive 3-month LIBOR(h) |
(145,400 | ) | |||||
40,000,000 | 30-year Interest Rate Swap Call, expiring 10/03/2014, Pay 3-month LIBOR, Receive 3.346%(i) | (2,370,840 | ) | |||||
|
|
|||||||
Total Written Swaptions (Premiums Received $3,148,500) |
$ | (2,888,740 | ) | |||||
|
|
See accompanying notes to financial statements.
57 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
* | Formerly Loomis Sayles Absolute Strategies Fund. | |||||||
() | Principal Amount stated in U.S. dollars unless otherwise noted. | |||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
() | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
() | Interest rate swaptions are expressed as Notional Amount. Options on securities are expressed as shares. | |||||||
(a) | Federal Tax Information: | |||||||
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $627,863,103 for federal income tax purposes was as follows: | ||||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 27,373,488 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (11,266,350 | ) | ||||||
|
|
|||||||
Net unrealized appreciation | $ | 16,107,138 | ||||||
|
|
|||||||
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. | |||||||
(c) | The issuer is making partial payments with respect to interest and/or principal. Income is not being accrued. | |||||||
(d) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements or interest rate swaptions. | |||||||
(e) | Illiquid security. At December 31, 2012, the value of this security amounted to $493,584 or 0.1% of net assets. | |||||||
(f) | Position is unsettled. Contract rate was not determined at December 31, 2012 and does not take effect until settlement date. | |||||||
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2012. | |||||||
(h) | Counterparty is Citibank, N.A. | |||||||
(i) | Counterparty is Bank of America, N.A. | |||||||
(j) | All or a portion of this security has been pledged as collateral for open forward foreign currency contracts and swap agreements and as initial margin for open futures contracts. | |||||||
(k) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2012, the value of Rule 144A holdings amounted to $179,828,437 or 27.8% 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 | |||||||
EMTN | Euro Medium Term Note | |||||||
ETF | Exchange Traded Fund | |||||||
REITs | Real Estate Investment Trusts | |||||||
REMIC | Real Estate Mortgage Investment Conduit |
See accompanying notes to financial statements.
| 58
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
BRL | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
CHF | Swiss Franc | |||||
CLP | Chilean Peso | |||||
COP | Colombian Peso | |||||
EUR | Euro | |||||
GBP | British Pound | |||||
KRW | South Korean Won | |||||
MXN | Mexican Peso | |||||
MYR | Malaysian Ringgit | |||||
UYU | Uruguayan Peso | |||||
ZAR | South African Rand |
At December 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, N.A | Republic of Turkey | (1.00%) | 6/20/2017 | $ | 3,600,000 | $ | 218,180 | $ | 19,392 | $ | (198,788 | ) | $ | (1,200 | ) | |||||||||||||
Bank of America, N.A. | Bank of Scotland PLC | (1.00%) | 6/20/2017 | 4,475,000 | * | 199,249 | (91,591 | ) | (290,840 | ) | (1,969 | ) | ||||||||||||||||
Bank of America, N.A. | CDX.NA.HY Series 19, 5-Year | (5.00%) | 12/20/2017 | 125,000 | 313 | (382 | ) | (695 | ) | (208 | ) | |||||||||||||||||
Bank of America, N.A. | CDX.NA.HY Series 19, 5-Year |
(5.00%) | 12/20/2017 | 3,200,000 | (32,968 | ) | (9,770 | ) | 23,198 | (5,333 | ) | |||||||||||||||||
Bank of America, N.A. | Electricite de France | (1.00%) | 12/20/2017 | 3,700,000 | * | 11,926 | 5,196 | (6,730 | ) | (1,628 | ) | |||||||||||||||||
Bank of America, N.A. | iTraxx Europe Sub Financial Series 18, 5-Year | (5.00%) | 12/20/2017 | 1,180,000 | * | (185,418 | ) | (188,765 | ) | (3,347 | ) | (2,596 | ) | |||||||||||||||
Bank of America, N.A. | iTraxx Europe Sub Financial Series 18, 5-Year |
(5.00%) | 12/20/2017 | 500,000 | * | (60,652 | ) | (79,985 | ) | (19,333 | ) | (1,100 | ) | |||||||||||||||
Bank of America, N.A. | iTraxx Europe Sub Financial Series 18, 5-Year |
(5.00%) | 12/20/2017 | 450,000 | * | (58,190 | ) | (71,986 | ) | (13,796 | ) | (990 | ) | |||||||||||||||
Bank of America, N.A. | iTraxx Europe Sub Financial Series 18, 5-Year |
(5.00%) | 12/20/2017 | 1,500,000 | * | (172,207 | ) | (239,956 | ) | (67,749 | ) | (3,300 | ) | |||||||||||||||
Bank of America, N.A. | iTraxx Europe Sub Financial Series 18, 5-Year |
(5.00%) | 12/20/2017 | 550,000 | * | (67,461 | ) | (87,984 | ) | (20,523 | ) | (1,210 | ) |
See accompanying notes to financial statements.
59 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
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 continued |
||||||||||||||||||||||||||||
Bank of America, N.A. | iTraxx Europe Crossover Series 18, 5-Year |
(5.00%) | 12/20/2017 | 3,875,000 | * | 98,219 | (35,771 | ) | (133,990 | ) | (8,525 | ) | ||||||||||||||||
Bank of America, N.A. | Textron Financial Corp. | (1.00%) | 3/20/2017 | 975,000 | (25,251 | ) | (31,334 | ) | (6,083 | ) | (325 | ) | ||||||||||||||||
Bank of America, N.A. | Textron Financial Corp. | (1.00%) | 6/20/2017 | 1,250,000 | (33,004 | ) | (41,049 | ) | (8,045 | ) | (417 | ) | ||||||||||||||||
Bank of America, N.A. | Westvaco Corp. | (1.00%) | 9/20/2016 | 6,300,000 | 174,373 | (52,240 | ) | (226,613 | ) | (2,100 | ) | |||||||||||||||||
Bank of America, N.A. | Westvaco Corp. | (1.00%) | 9/20/2017 | 4,900,000 | 59,299 | (7,026 | ) | (66,325 | ) | (1,633 | ) | |||||||||||||||||
Citibank, N.A. | Republic of South Africa | (1.00%) | 9/20/2017 | 3,550,000 | 93,588 | 62,362 | (31,226 | ) | (1,183 | ) | ||||||||||||||||||
Credit Suisse International | Burlington Northern Santa Fe | (1.00%) | 9/20/2017 | $ | 5,725,000 | $ | (219,412 | ) | $ | (229,899 | ) | $ | (10,487 | ) | $ | (1,908 | ) | |||||||||||
Credit Suisse International | Burlington Northern Santa Fe | (1.00%) | 9/20/2017 | 2,475,000 | (94,841 | ) | (99,389 | ) | (4,548 | ) | (825 | ) | ||||||||||||||||
Credit Suisse International | CDX.NA.HY Series 19, 5-Year |
(5.00%) | 12/20/2017 | 10,025,000 | (37,204 | ) | (30,606 | ) | 6,598 | (16,708 | ) | |||||||||||||||||
Credit Suisse International | CDX.NA.HY Series 19, 5-Year |
(5.00%) | 12/20/2017 | 1,250,000 | (14,730 | ) | (3,816 | ) | 10,914 | (2,083 | ) | |||||||||||||||||
Credit Suisse International | iTraxx Europe Sub Financial Series 18, 5-Year |
(5.00%) | 12/20/2017 | 4,400,000 | * | (455,388 | ) | (703,871 | ) | (248,483 | ) | (9,680 | ) | |||||||||||||||
Credit Suisse International | New York Times Co. | (1.00%) | 12/20/2017 | 6,000,000 | 523,102 | 459,873 | (63,229 | ) | (2,000 | ) | ||||||||||||||||||
Credit Suisse International | Tesoro Corp. | (5.00%) | 9/20/2017 | 2,450,000 | (287,283 | ) | (368,800 | ) | (81,517 | ) | (4,084 | ) | ||||||||||||||||
Credit Suisse International | Tesoro Corp. | (5.00%) | 9/20/2017 | 2,450,000 | (241,481 | ) | (368,800 | ) | (127,319 | ) | (4,084 | ) | ||||||||||||||||
Deutsche Bank AG | Boston Scientific Corp. | (1.00%) | 9/20/2017 | 4,900,000 | 70,398 | (4,874 | ) | (75,272 | ) | (1,633 | ) | |||||||||||||||||
Deutsche Bank AG | Burlington Northern Santa Fe | (1.00%) | 9/20/2017 | 2,400,000 | (91,744 | ) | (96,377 | ) | (4,633 | ) | (800 | ) | ||||||||||||||||
JP Morgan Chase Bank, N.A. | Western Union Co. (The) | (1.00%) | 12/20/2017 | 2,500,000 | 78,802 | 161,028 | 82,226 | (833 | ) | |||||||||||||||||||
Morgan Stanley Capital Services Inc. | Burlington Northern Santa Fe | (1.00%) | 9/20/2017 | 1,125,000 | (43,569 | ) | (45,177 | ) | (1,608 | ) | (375 | ) | ||||||||||||||||
Morgan Stanley Capital Services Inc. | Burlington Northern Santa Fe | (1.00%) | 9/20/2017 | 4,775,000 | (184,844 | ) | (191,750 | ) | (6,906 | ) | (1,592 | ) |
See accompanying notes to financial statements.
| 60
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
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 continued |
||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. | Textron Financial Corp. | (1.00%) | 3/20/2017 | 1,300,000 | (32,073 | ) | (41,779 | ) | (9,706 | ) | (433 | ) | ||||||||||||||||
Morgan Stanley Capital Services Inc. | Textron Financial Corp. | (1.00%) | 3/20/2017 | 2,000,000 | (49,224 | ) | (64,276 | ) | (15,052 | ) | (667 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total | $ | (2,479,402 | ) | $ | (1,619,907 | ) | $ | (81,422 | ) | |||||||||||||||||||
|
|
|
|
|
|
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 |
||||||||||||||||||||||||||||||||
Bank of America, N.A. | Chesapeake Energy Corp. | 5.00% | 6/20/2017 | 5.47 | % | $ | 2,250,000 | $ | (97,317 | ) | $ | (39,154 | ) | $ | 58,163 | $ | 3,750 | |||||||||||||||
Bank of America, N.A. | Chesapeake Energy Corp. | 5.00% | 6/20/2017 | 5.47 | % | 650,000 | (41,417 | ) | (11,311 | ) | 30,106 | 1,083 | ||||||||||||||||||||
Citibank, N.A. | MGM Resorts International | 5.00% | 9/20/2016 | 3.94 | % | 700,000 | (84,153 | ) | 25,930 | 110,083 | 1,167 | |||||||||||||||||||||
Credit Suisse International | Avon Products, Inc. | 1.00% | 3/20/2018 | 5.52 | % | 2,500,000 | (464,857 | ) | (500,200 | ) | (35,343 | ) | 833 | |||||||||||||||||||
Credit Suisse International | Avon Products, Inc. | 5.00% | 9/20/2017 | 5.10 | % | 1,350,000 | (51,193 | ) | (5,803 | ) | 45,390 | 2,250 | ||||||||||||||||||||
Credit Suisse International | Avon Products, Inc. | 5.00% | 9/20/2017 | 5.10 | % | 1,350,000 | (51,221 | ) | (5,803 | ) | 45,418 | 2,250 | ||||||||||||||||||||
Credit Suisse International | Chesapeake Energy Corp. | 5.00% | 6/20/2017 | 5.47 | % | 850,000 | (37,380 | ) | (14,791 | ) | 22,589 | 1,417 | ||||||||||||||||||||
Credit Suisse International | Chesapeake Energy Corp. | 5.00% | 6/20/2017 | 5.47 | % | 1,750,000 | (107,693 | ) | (30,454 | ) | 77,239 | 2,917 | ||||||||||||||||||||
Credit Suisse International | MGM Resorts International | 5.00% | 9/20/2017 | 5.25 | % | 2,450,000 | (292,370 | ) | (25,202 | ) | 267,168 | 4,083 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total | $ | (606,788 | ) | $ | 620,813 | $ | 19,750 | |||||||||||||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See accompanying notes to financial statements.
61 |
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy1 | 1/14/2013 | Brazilian Real | 1,800,000 | $ | 877,846 | $ | 16,231 | |||||||||||
Sell1 | 3/04/2013 | British Pound | 1,495,000 | 2,428,119 | (38,496 | ) | ||||||||||||
Sell1 | 1/14/2013 | Canadian Dollar | 17,800,000 | 17,890,592 | 196,266 | |||||||||||||
Buy1 | 1/02/2013 | Euro | 8,900,000 | 11,747,562 | 117,932 | |||||||||||||
Buy2 | 1/03/2013 | Euro | 770,000 | 1,016,362 | (1,501 | ) | ||||||||||||
Sell1 | 1/02/2013 | Euro | 8,900,000 | 11,747,562 | (250,542 | ) | ||||||||||||
Sell2 | 1/03/2013 | Euro | 770,000 | 1,016,362 | (18,334 | ) | ||||||||||||
Sell1 | 1/07/2013 | Euro | 4,265,000 | 5,629,782 | (48,475 | ) | ||||||||||||
Sell3 | 1/08/2013 | Euro | 5,460,000 | 7,207,238 | (63,030 | ) | ||||||||||||
Sell1 | 1/10/2013 | Euro | 3,530,000 | 4,659,704 | (79,776 | ) | ||||||||||||
Sell1 | 1/15/2013 | Euro | 3,970,000 | 5,240,741 | (78,827 | ) | ||||||||||||
Sell3 | 1/22/2013 | Euro | 1,320,000 | 1,742,617 | (4,905 | ) | ||||||||||||
Sell1 | 1/24/2013 | Euro | 3,645,000 | 4,812,082 | 15,466 | |||||||||||||
Sell3 | 1/29/2013 | Euro | 2,385,000 | 3,148,780 | 2,162 | |||||||||||||
Sell1 | 1/31/2013 | Euro | 620,000 | 818,565 | 1,086 | |||||||||||||
Sell2 | 2/05/2013 | Euro | 770,000 | 1,016,648 | 1,484 | |||||||||||||
Buy1 | 1/10/2013 | Mexican Peso | 30,200,000 | 2,334,885 | 10,431 | |||||||||||||
Sell1 | 1/10/2013 | Mexican Peso | 30,200,000 | 2,334,885 | (2,028 | ) | ||||||||||||
Sell1 | 3/11/2013 | Swiss Franc | 990,000 | 1,083,741 | (20,425 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | (245,281 | ) | |||||||||||||||
|
|
At December 31, 2012, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive1/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||
1/18/2013 | Japanese Yen | 513,567,400 | New Zealand Dollar | 7,400,000 | $ | 181,323 | ||||||||
1/18/2013 | New Zealand Dollar | 7,400,000 | Japanese Yen | 519,813,000 | (109,226 | ) | ||||||||
|
|
|||||||||||||
Total | $ | 72,097 | ||||||||||||
|
|
1 Counterparty is Credit Suisse International.
2 Counterparty is Deutsche Bank AG.
3 Counterparty is Citibank, N.A.
See accompanying notes to financial statements.
| 62
Portfolio of Investments as of December 31, 2012
Loomis Sayles Strategic Alpha Fund* (continued)
At December 31, 2012, open futures contracts sold were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® | 3/15/2013 | 53 | $ | 3,763,265 | $ | (21,593 | ) | |||||||||
Euro STOXX 50® | 3/15/2013 | 19 | 655,818 | 1,463 | ||||||||||||
Euro-OAT | 3/07/2013 | 94 | 16,894,103 | (85,782 | ) | |||||||||||
German Euro Bund | 3/07/2013 | 95 | 18,262,575 | (163,186 | ) | |||||||||||
10 Year U.S. Treasury Note | 3/19/2013 | 196 | 26,025,125 | 85,392 | ||||||||||||
30 Year U.S. Treasury Bond | 3/19/2013 | 27 | 3,982,500 | 55,427 | ||||||||||||
|
|
|||||||||||||||
Total | $ | (128,279 | ) | |||||||||||||
|
|
Industry Summary at December 31, 2012 (Unaudited)
Treasuries |
12.8 | % | ||
Banking |
7.7 | |||
ABS Home Equity |
7.4 | |||
Metals & Mining |
6.4 | |||
Commercial Mortgage-Backed Securities |
5.4 | |||
Technology |
4.5 | |||
Wirelines |
4.5 | |||
Independent Energy |
3.2 | |||
Airlines |
2.8 | |||
Government Owned-No Guarantee |
2.3 | |||
Electric |
2.3 | |||
Non-Captive Diversified |
2.2 | |||
Pharmaceuticals |
2.1 | |||
Oil Field Services |
2.1 | |||
Media Non-Cable |
2.0 | |||
Other Investments, less than 2% each |
26.7 | |||
Short-Term Investments |
5.3 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at December 31, 2012 (Unaudited)
United States Dollar |
77.5 | % | ||
Euro |
6.2 | |||
Canadian Dollar |
4.7 | |||
Mexican Peso |
4.0 | |||
Other, less than 2% each |
7.3 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
63 |
This Page Intentionally Left Blank
| 64
Statements of Assets and Liabilities
December 31, 2012
ASG Diversifying Strategies Fund (Consolidated*) |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
ASSETS |
||||||||||||
Investments at cost |
$ | 157,354,605 | $ | 1,063,398,626 | $ | 685,621,386 | ||||||
Net unrealized appreciation |
8,871 | 64,913 | 45,749 | |||||||||
|
|
|
|
|
|
|||||||
Investments at value |
157,363,476 | 1,063,463,539 | 685,667,135 | |||||||||
Cash |
7,005,645 | 52,718,204 | 1,568,564 | |||||||||
Due from brokers (including variation margin on futures contracts) (Note 2) |
14,662,278 | 89,054,204 | 64,178,538 | |||||||||
Receivable for Fund shares sold |
660,074 | 4,085,067 | 4,671,307 | |||||||||
Interest receivable |
45,425 | 303,647 | 192,204 | |||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) |
882,737 | 5,721,406 | 2,789,328 | |||||||||
Unrealized appreciation on futures contracts (Note 2) |
1,497,157 | 7,042,227 | 15,022,300 | |||||||||
|
|
|
|
|
|
|||||||
TOTAL ASSETS |
182,116,792 | 1,222,388,294 | 774,089,376 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES |
||||||||||||
Payable for Fund shares redeemed |
1,474,030 | 7,959,845 | 3,694,040 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) |
798,474 | 4,084,581 | 507,327 | |||||||||
Unrealized depreciation on futures contracts (Note 2) |
1,937,158 | 9,087,311 | 8,207,127 | |||||||||
Management fees payable (Note 6) |
185,420 | 1,271,264 | 791,319 | |||||||||
Deferred Trustees fees (Note 6) |
36,469 | 57,867 | 27,484 | |||||||||
Administrative fees payable (Note 6) |
18,080 | 57,070 | 41,879 | |||||||||
Payable to distributor (Note 6d) |
2,923 | 15,836 | 13,088 | |||||||||
Other accounts payable and accrued expenses |
108,784 | 175,450 | 174,591 | |||||||||
|
|
|
|
|
|
|||||||
TOTAL LIABILITIES |
4,561,338 | 22,709,224 | 13,456,855 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 177,555,454 | $ | 1,199,679,070 | $ | 760,632,521 | ||||||
|
|
|
|
|
|
|||||||
NETASSETS CONSIST OF: |
||||||||||||
Paid-in capital |
$ | 248,616,805 | $ | 1,205,893,507 | $ | 896,184,806 | ||||||
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) |
(4,212,223 | ) | 5,917,791 | (4,648,871 | ) | |||||||
Accumulated net realized loss on investments, futures contracts and foreign currency transactions |
(66,494,711 | ) | (11,791,781 | ) | (140,061,062 | ) | ||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations |
(354,417 | ) | (340,447 | ) | 9,157,648 | |||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 177,555,454 | $ | 1,199,679,070 | $ | 760,632,521 | ||||||
|
|
|
|
|
|
* See Notes 1 and 2 of the Notes to Financial Statements.
See accompanying notes to financial statements.
65 |
ASG Diversifying Strategies Fund (Consolidated*) |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||
Class A shares: |
||||||||||||
Net assets |
$ | 69,190,159 | $ | 126,226,177 | $ | 145,728,722 | ||||||
|
|
|
|
|
|
|||||||
Shares of beneficial interest |
7,685,168 | 11,888,291 | 15,994,376 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value and redemption price per share |
$ | 9.00 | $ | 10.62 | $ | 9.11 | ||||||
|
|
|
|
|
|
|||||||
Offering price per share (100/94.25 of net asset value) (Note 1) |
$ | 9.55 | $ | 11.27 | $ | 9.67 | ||||||
|
|
|
|
|
|
|||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||
Net assets |
$ | 11,263,176 | $ | 71,227,202 | $ | 21,891,137 | ||||||
|
|
|
|
|
|
|||||||
Shares of beneficial interest |
1,273,312 | 6,902,146 | 2,436,093 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value and offering price per share |
$ | 8.85 | $ | 10.32 | $ | 8.99 | ||||||
|
|
|
|
|
|
|||||||
Class Y shares: |
||||||||||||
Net assets |
$ | 97,102,119 | $ | 1,002,225,691 | $ | 593,012,662 | ||||||
|
|
|
|
|
|
|||||||
Shares of beneficial interest |
10,733,877 | 93,475,531 | 65,154,999 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value, offering and redemption price per share |
$ | 9.05 | $ | 10.72 | $ | 9.10 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
| 66
Statements of Assets and Liabilities (continued)
December 31, 2012
Loomis Sayles Multi-Asset Real Return Fund (Consolidated*) |
Loomis Sayles Strategic Alpha Fund** |
|||||||
ASSETS |
| |||||||
Investments at cost |
$ | 25,098,061 | $ | 626,135,376 | ||||
Net unrealized appreciation |
876,176 | 17,834,865 | ||||||
|
|
|
|
|||||
Investments at value |
25,974,237 | 643,970,241 | ||||||
Cash |
250,046 | | ||||||
Due from brokers (Note 2) |
| 1,167,832 | ||||||
Foreign currency at value (identified cost $464,133 and $1,017,489) |
462,059 | 1,012,154 | ||||||
Receivable for Fund shares sold |
7 | 5,827,505 | ||||||
Receivable for securities sold |
60,924 | 525,630 | ||||||
Securities received as collateral for open forward foreign currency contracts, swaptions or swap agreements (Notes 2 and 4) |
| 528,082 | ||||||
Dividends and interest receivable |
149,689 | 6,852,521 | ||||||
Unrealized appreciation on swap agreements (Note 2) |
| 779,092 | ||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) |
87,708 | 542,381 | ||||||
Tax reclaims receivable |
4,459 | 86,085 | ||||||
Unamortized upfront premiums paid on swap agreements (Note 2) |
92,016 | 1,527,449 | ||||||
Fees receivable on swap agreements (Note 2) |
| 19,750 | ||||||
|
|
|
|
|||||
TOTAL ASSETS |
27,081,145 | 662,838,722 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Options/swaptions written, at value (premiums received $11,936 and $3,148,500) (Note 2) |
21,097 | 2,888,740 | ||||||
Payable for securities purchased |
| 5,908,193 | ||||||
Unrealized depreciation on swap agreements (Note 2) |
88,714 | 1,778,186 | ||||||
Payable for Fund shares redeemed |
10,263 | 595,134 | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) |
42,612 | 715,565 | ||||||
Unamortized upfront premiums received on swap agreements (Note 2) |
1,588 | 3,614,545 | ||||||
Due to brokers (Note 2) |
| 528,082 | ||||||
Payable for variation margin on futures contracts (Note 2) |
22,634 | 38,077 | ||||||
Management fees payable (Note 6) |
1,135 | 371,522 | ||||||
Deferred Trustees fees (Note 6) |
18,216 | 21,350 | ||||||
Administrative fees payable (Note 6) |
11,358 | 23,656 | ||||||
Payable for closed swap agreements |
| 20,223 | ||||||
Upfront premiums payable on swap agreements |
| 37,833 | ||||||
Fees payable on swap agreements (Note 2) |
2,637 | 81,422 | ||||||
Payable to distributor (Note 6d) |
31 | 2,894 | ||||||
Other accounts payable and accrued expenses |
84,410 | 113,654 | ||||||
|
|
|
|
|||||
TOTAL LIABILITIES |
304,695 | 16,739,076 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 26,776,450 | $ | 646,099,646 | ||||
|
|
|
|
* See Notes 1 and 2 of the Notes to Financial Statements.
** Formerly Loomis Sayles Absolute Strategies Fund.
See accompanying notes to financial statements.
67 |
Loomis Sayles Multi-Asset Real Return Fund (Consolidated*) |
Loomis Sayles Strategic Alpha Fund** |
|||||||
NET ASSETS CONSIST OF: |
||||||||
Paid-in capital |
$ | 30,725,352 | $ | 652,472,996 | ||||
Distributions in excess of net investment income |
(85,384 | ) | (2,510,699 | ) | ||||
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions |
(4,713,534 | ) | (20,632,066 | ) | ||||
Net unrealized appreciation on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations |
850,016 | 16,769,415 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 26,776,450 | $ | 646,099,646 | ||||
|
|
|
|
|||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Class A shares: |
||||||||
Net assets |
$ | 1,461,078 | $ | 80,703,857 | ||||
|
|
|
|
|||||
Shares of beneficial interest |
148,869 | 7,914,416 | ||||||
|
|
|
|
|||||
Net asset value and redemption price per share |
$ | 9.81 | $ | 10.20 | ||||
|
|
|
|
|||||
Offering price per share (100/95.50 of net asset value) (Note 1) |
$ | 10.27 | $ | 10.68 | ||||
|
|
|
|
|||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||
Net assets |
$ | 65,349 | $ | 67,748,232 | ||||
|
|
|
|
|||||
Shares of beneficial interest |
6,681 | 6,664,931 | ||||||
|
|
|
|
|||||
Net asset value and offering price per share |
$ | 9.78 | $ | 10.16 | ||||
|
|
|
|
|||||
Class Y shares: |
||||||||
Net assets |
$ | 25,250,023 | $ | 497,647,557 | ||||
|
|
|
|
|||||
Shares of beneficial interest |
2,578,020 | 48,854,048 | ||||||
|
|
|
|
|||||
Net asset value, offering and redemption price per share |
$ | 9.79 | $ | 10.19 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 68
Statements of Operations
For the Year Ended December 31, 2012
ASG Diversifying Strategies Fund (Consolidated*) |
ASG Global Alternatives Fund (Consolidated*) |
ASG Managed Futures Strategy Fund (Consolidated*) |
||||||||||
INVESTMENT INCOME |
||||||||||||
Interest |
$ | 797,289 | $ | 3,734,489 | $ | 1,953,217 | ||||||
|
|
|
|
|
|
|||||||
Expenses |
||||||||||||
Management fees (Note 6) |
3,958,120 | 16,248,422 | 10,075,585 | |||||||||
Service and distribution fees (Note 6) |
470,484 | 1,375,930 | 809,206 | |||||||||
Administrative fees (Note 6) |
205,958 | 704,712 | 437,104 | |||||||||
Trustees and directors fees and expenses (Note 6) |
39,458 | 59,885 | 46,134 | |||||||||
Transfer agent fees and expenses (Note 6) |
365,905 | 1,543,923 | 1,264,398 | |||||||||
Audit and tax services fees |
66,191 | 66,400 | 62,953 | |||||||||
Custodian fees and expenses |
96,083 | 82,612 | 94,750 | |||||||||
Interest expense (Note 9) |
126,180 | 195,174 | 261,626 | |||||||||
Legal fees |
5,945 | 23,735 | 12,841 | |||||||||
Registration fees |
64,379 | 71,480 | 150,618 | |||||||||
Shareholder reporting expenses |
48,179 | 122,403 | 97,131 | |||||||||
Miscellaneous expenses |
14,077 | 37,855 | 26,367 | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
5,460,959 | 20,532,531 | 13,338,713 | |||||||||
Fee/expense recovery (Note 6) |
| 85,091 | | |||||||||
Less waiver and/or expense reimbursement (Note 6) |
(272,876 | ) | | (580,202 | ) | |||||||
|
|
|
|
|
|
|||||||
Net expenses |
5,188,083 | 20,617,622 | 12,758,511 | |||||||||
|
|
|
|
|
|
|||||||
Net investment loss |
(4,390,794 | ) | (16,883,133 | ) | (10,805,294 | ) | ||||||
|
|
|
|
|
|
|||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||||||
Net realized gain (loss) on: |
||||||||||||
Investments |
73,122 | 376,305 | 177,799 | |||||||||
Futures contracts |
2,539,556 | 84,732,351 | (23,161,970 | ) | ||||||||
Foreign currency transactions |
(20,026,780 | ) | (24,534,977 | ) | (59,788,254 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments |
9,894 | 62,006 | 50,450 | |||||||||
Futures contracts |
(3,119,535 | ) | (4,241,759 | ) | (5,704,605 | ) | ||||||
Foreign currency translations |
(886,756 | ) | (1,630,977 | ) | 2,371,291 | |||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions |
(21,410,499 | ) | 54,762,949 | (86,055,289 | ) | |||||||
|
|
|
|
|
|
|||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (25,801,293 | ) | $ | 37,879,816 | $ | (96,860,583 | ) | ||||
|
|
|
|
|
|
* See Notes 1 and 2 of the Notes to Financial Statements.
** Formerly Loomis Sayles Absolute Strategies Fund.
See accompanying notes to financial statements.
69 |
Loomis Sayles Multi-Asset Real Return Fund (Consolidated*) |
Loomis Sayles Strategic Alpha Fund** |
|||||||
INVESTMENT INCOME |
||||||||
Interest |
$ | 959,384 | $ | 24,197,746 | ||||
Dividends |
158,069 | 1,697,383 | ||||||
Less net foreign taxes withheld |
(5,009 | ) | (44,289 | ) | ||||
|
|
|
|
|||||
1,112,444 | 25,850,840 | |||||||
|
|
|
|
|||||
Expenses |
||||||||
Management fees (Note 6) |
214,187 | 3,662,664 | ||||||
Service and distribution fees (Note 6) |
5,262 | 931,440 | ||||||
Administrative fees (Note 6) |
81,097 | 235,761 | ||||||
Trustees and directors fees and expenses (Note 6) |
32,666 | 25,987 | ||||||
Transfer agent fees and expenses (Note 6) |
2,886 | 256,510 | ||||||
Audit and tax services fees |
76,175 | 58,269 | ||||||
Custodian fees and expenses |
56,829 | 156,815 | ||||||
Legal fees |
1,878 | 7,045 | ||||||
Registration fees |
43,988 | 77,089 | ||||||
Shareholder reporting expenses |
2,712 | 45,622 | ||||||
Miscellaneous expenses |
9,606 | 24,051 | ||||||
|
|
|
|
|||||
Total expenses |
527,286 | 5,481,253 | ||||||
Less waiver and/or expense reimbursement (Note 6) |
(207,763 | ) | | |||||
|
|
|
|
|||||
Net expenses |
319,523 | 5,481,253 | ||||||
|
|
|
|
|||||
Net investment income |
792,921 | 20,369,587 | ||||||
|
|
|
|
|||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||
Net realized gain (loss) on: |
||||||||
Investments |
1,323,707 | (486,522 | ) | |||||
Futures contracts |
(984,487 | ) | (2,907,665 | ) | ||||
Options/swaptions written |
203,077 | 1,681,783 | ||||||
Swap agreements |
(304,333 | ) | (11,287,442 | ) | ||||
Foreign currency transactions |
71,999 | (1,539,825 | ) | |||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investments |
1,084,996 | 52,038,925 | ||||||
Futures contracts |
86,175 | (99,966 | ) | |||||
Options/swaptions written |
(62,797 | ) | (32,688 | ) | ||||
Swap agreements |
(109,252 | ) | 3,029,969 | |||||
Foreign currency translations |
(9,437 | ) | (345,172 | ) | ||||
|
|
|
|
|||||
Net realized and unrealized gain on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions |
1,299,648 | 40,051,397 | ||||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 2,092,569 | $ | 60,420,984 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 70
Statements of Changes in Net Assets
ASG Diversifying Strategies Fund (Consolidated*) |
ASG Global Alternatives Fund (Consolidated*) |
|||||||||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||||||||
FROM OPERATIONS: |
||||||||||||||||
Net investment income (loss) |
$ | (4,390,794 | ) | $ | (4,660,028 | ) | $ | (16,883,133 | ) | $ | (12,981,117 | ) | ||||
Net realized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions |
(17,414,102 | ) | (11,519,487 | ) | 60,573,679 | (32,725,022 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations |
(3,996,397 | ) | 2,174,482 | (5,810,730 | ) | (3,717,136 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(25,801,293 | ) | (14,005,033 | ) | 37,879,816 | (49,423,275 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
|
|||||||||||||||
Net investment income |
||||||||||||||||
Class A |
| (5,486,684 | ) | | | |||||||||||
Class C |
| (873,499 | ) | | | |||||||||||
Class Y |
| (10,578,441 | ) | | | |||||||||||
Net realized capital gains |
||||||||||||||||
Class A |
| | | (1,381,664 | ) | |||||||||||
Class C |
| | | (473,432 | ) | |||||||||||
Class Y |
| | | (2,791,215 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total distributions |
| (16,938,624 | ) | | (4,646,311 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
(201,127,836 | ) | 180,241,158 | (283,005,886 | ) | 884,494,560 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets |
(226,929,129 | ) | 149,297,501 | (245,126,070 | ) | 830,424,974 | ||||||||||
NET ASSETS |
||||||||||||||||
Beginning of the year |
404,484,583 | 255,187,082 | 1,444,805,140 | 614,380,166 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of the year |
$ | 177,555,454 | $ | 404,484,583 | $ | 1,199,679,070 | $ | 1,444,805,140 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) |
$ | (4,212,223 | ) | $ | (264,580 | ) | $ | 5,917,791 | $ | (36,398 | ) | |||||
|
|
|
|
|
|
|
|
* See Notes 1 and 2 of the Notes to Financial Statements.
** Formerly Loomis Sayles Absolute Strategies Fund.
See accompanying notes to financial statements.
71 |
ASG Managed Futures Strategy Fund (Consolidated*) |
Loomis Sayles Multi-Asset Real Return Fund (Consolidated*) |
Loomis Sayles Strategic Alpha Fund** |
||||||||||||||||||||
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
Year Ended December 31, 2012 |
Year Ended December 31, 2011 |
|||||||||||||||||
$ | (10,805,294 | ) | $ | (6,103,391 | ) | $ | 792,921 | $ | 1,134,293 | $ | 20,369,587 | $ | 16,353,952 | |||||||||
|
(82,772,425 |
) |
(14,338,687 | ) | 309,963 | (5,649,181 | ) | (14,539,671 | ) | (12,063,670 | ) | |||||||||||
|
(3,282,864 |
) |
12,028,047 | 989,685 | (358,554 | ) | 54,591,068 | (37,944,612 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
(96,860,583 |
) |
(8,414,031 | ) | 2,092,569 | (4,873,442 | ) | 60,420,984 | (33,654,330 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(1,688,047 | ) | (8,685,193 | ) | (34,020 | ) | (35,796 | ) | (2,250,451 | ) | (5,468,723 | ) | |||||||||||
(154,596 | ) | (653,347 | ) | (1,022 | ) | (1,313 | ) | (1,446,714 | ) | (2,160,343 | ) | |||||||||||
(6,746,855 | ) | (12,265,887 | ) | (659,232 | ) | (645,390 | ) | (12,641,328 | ) | (9,427,065 | ) | |||||||||||
| | | (7,538 | ) | | (3,236 | ) | |||||||||||||||
| | | (358 | ) | | (1,305 | ) | |||||||||||||||
| | | (108,932 | ) | | (3,755 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(8,589,498 | ) | (21,604,427 | ) | (694,274 | ) | (799,327 | ) | (16,338,493 | ) | (17,064,427 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
118,979,815 |
|
718,450,937 | (5,141,727 | ) | 7,513,031 | 120,621,883 | 502,327,855 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
13,529,734 | 688,432,479 | (3,743,432 | ) | 1,840,262 | 164,704,374 | 451,609,098 | ||||||||||||||||
747,102,787 | 58,670,308 | 30,519,882 | 28,679,620 | 481,395,272 | 29,786,174 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 760,632,521 | $ | 747,102,787 | $ | 26,776,450 | $ | 30,519,882 | $ | 646,099,646 | $ | 481,395,272 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | (4,648,871 | ) | $ | 4,468,427 | $ | (85,384 | ) | $ | (277,032 | ) | $ | (2,510,699 | ) | $ | 835,620 | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 72
Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains |
Total distributions |
||||||||||||||||||||||
ASG DIVERSIFYING STRATEGIES FUND (CONSOLIDATED*) |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 9.75 | $ | (0.14 | ) | $ | (0.61 | ) | $ | (0.75 | ) | $ | | $ | | $ | | |||||||||||
12/31/2011 |
10.45 | (0.15 | ) | (0.14 | ) | (0.29 | ) | (0.41 | ) | | (0.41 | ) | ||||||||||||||||
12/31/2010 |
10.19 | (0.16 | ) | 1.02 | (h) | 0.86 | (0.15 | ) | (0.45 | ) | (0.60 | ) | ||||||||||||||||
12/31/2009(i) |
10.00 | (0.07 | ) | 0.80 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
9.65 | (0.21 | ) | (0.59 | ) | (0.80 | ) | | | | ||||||||||||||||||
12/31/2011 |
10.34 | (0.23 | ) | (0.12 | ) | (0.35 | ) | (0.34 | ) | | (0.34 | ) | ||||||||||||||||
12/31/2010 |
10.16 | (0.24 | ) | 1.01 | (h) | 0.77 | (0.14 | ) | (0.45 | ) | (0.59 | ) | ||||||||||||||||
12/31/2009(i) |
10.00 | (0.10 | ) | 0.79 | 0.69 | (0.09 | ) | (0.44 | ) | (0.53 | ) | |||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
9.77 | (0.12 | ) | (0.60 | ) | (0.72 | ) | | | | ||||||||||||||||||
12/31/2011 |
10.46 | (0.13 | ) | (0.13 | ) | (0.26 | ) | (0.43 | ) | | (0.43 | ) | ||||||||||||||||
12/31/2010 |
10.19 | (0.13 | ) | 1.01 | (h) | 0.88 | (0.16 | ) | (0.45 | ) | (0.61 | ) | ||||||||||||||||
12/31/2009(i) |
10.00 | (0.05 | ) | 0.78 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||
ASG GLOBAL ALTERNATIVES FUND (CONSOLIDATED*) |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 10.26 | $ | (0.14 | ) | $ | 0.50 | $ | 0.36 | $ | | $ | | $ | | |||||||||||||
12/31/2011 |
10.67 | (0.14 | ) | (0.21 | ) | (0.35 | ) | | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 |
10.39 | (0.14 | ) | 0.86 | 0.72 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 |
9.69 | (0.14 | ) | 1.01 | 0.87 | (0.12 | ) | (0.05 | ) | (0.17 | ) | |||||||||||||||||
12/31/2008(k) |
10.00 | 0.03 | (0.30 | ) | (0.27 | ) | (0.04 | ) | | (0.04 | ) | |||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
10.05 | (0.21 | ) | 0.48 | 0.27 | | | | ||||||||||||||||||||
12/31/2011 |
10.53 | (0.22 | ) | (0.20 | ) | (0.42 | ) | | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 |
10.33 | (0.21 | ) | 0.85 | 0.64 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 |
9.70 | (0.22 | ) | 1.01 | 0.79 | (0.11 | ) | (0.05 | ) | (0.16 | ) | |||||||||||||||||
12/31/2008(k) |
10.00 | 0.02 | (0.31 | ) | (0.29 | ) | (0.01 | ) | | (0.01 | ) | |||||||||||||||||
Class Y** |
||||||||||||||||||||||||||||
12/31/2012 |
10.34 | (0.11 | ) | 0.49 | 0.38 | | | | ||||||||||||||||||||
12/31/2011 |
10.72 | (0.12 | ) | (0.20 | ) | (0.32 | ) | | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 |
10.41 | (0.11 | ) | 0.86 | 0.75 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 |
9.70 | (0.09 | ) | 0.98 | 0.89 | (0.13 | ) | (0.05 | ) | (0.18 | ) | |||||||||||||||||
12/31/2008(k) |
10.00 | 0.04 | (0.30 | ) | (0.26 | ) | (0.04 | ) | | (0.04 | ) |
* | See Notes 1 and 2 of the Notes to Financial Statements. |
** | Prior to December 1, 2008, the Fund offered Institutional Class shares. On December 1, 2008, Institutional Class shares were redesignated as Class Y shares. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
73 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Net asset end of |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses, excluding interest expense (%) (e)(f) |
Gross expenses, excluding interest expense (%) (f) |
Net expenses including interest expense (%) (e)(f) |
Gross expenses including interest expense (%) (f) |
Net investment income (loss) (%) (f) |
Portfolio turnover rate (%) (g) |
||||||||||||||||||||||||||
$ | 9.00 | (7.69 | ) | $ | 69,190 | 1.70 | 1.79 | 1.74 | 1.83 | (1.49 | ) | | ||||||||||||||||||||||
9.75 | (2.75 | ) | 134,758 | 1.70 | 1.78 | 1.72 | 1.80 | (1.46 | ) | | ||||||||||||||||||||||||
10.45 | 8.46 | 61,411 | 1.70 | 2.02 | 1.74 | 2.05 | (1.45 | ) | | |||||||||||||||||||||||||
10.19 | 7.26 | 2,887 | 1.70 | 4.87 | 1.71 | 4.88 | (1.48 | ) | | |||||||||||||||||||||||||
8.85 | (8.29 | ) | 11,263 | 2.45 | 2.54 | 2.49 | 2.58 | (2.24 | ) | | ||||||||||||||||||||||||
9.65 | (3.43 | ) | 26,032 | 2.45 | 2.53 | 2.47 | 2.55 | (2.21 | ) | | ||||||||||||||||||||||||
10.34 | 7.58 | 20,742 | 2.45 | 2.68 | 2.49 | 2.72 | (2.20 | ) | | |||||||||||||||||||||||||
10.16 | 6.90 | 131 | 2.45 | 5.75 | 2.47 | 5.76 | (2.23 | ) | | |||||||||||||||||||||||||
9.05 | (7.37 | ) | 97,102 | 1.45 | 1.54 | 1.49 | 1.57 | (1.24 | ) | | ||||||||||||||||||||||||
9.77 | (2.48 | ) | 243,695 | 1.45 | 1.53 | 1.47 | 1.55 | (1.21 | ) | | ||||||||||||||||||||||||
10.46 | 8.63 | 173,034 | 1.45 | 1.91 | 1.49 | 1.94 | (1.21 | ) | | |||||||||||||||||||||||||
10.19 | 7.29 | 19,549 | 1.45 | 5.09 | 1.47 | 5.11 | (1.22 | ) | | |||||||||||||||||||||||||
$ | 10.62 | 3.51 | $ | 126,226 | 1.60 | (j) | 1.60 | (j) | 1.61 | (j) | 1.61 | (j) | (1.34 | ) | | |||||||||||||||||||
10.26 | (3.29 | ) | 280,353 | 1.60 | 1.60 | 1.61 | 1.61 | (1.34 | ) | | ||||||||||||||||||||||||
10.67 | 6.94 | 204,313 | 1.60 | 1.66 | 1.61 | 1.67 | (1.28 | ) | | |||||||||||||||||||||||||
10.39 | 8.95 | 82,160 | 1.60 | 1.92 | 1.61 | 1.92 | (1.33 | ) | | |||||||||||||||||||||||||
9.69 | (2.73 | ) | 6 | 1.60 | 61.52 | 1.62 | 61.54 | 1.36 | | |||||||||||||||||||||||||
10.32 | 2.69 | 71,227 | 2.35 | (j) | 2.35 | (j) | 2.36 | (j) | 2.36 | (j) | (2.10 | ) | | |||||||||||||||||||||
10.05 | (4.00 | ) | 92,540 | 2.35 | 2.35 | 2.36 | 2.36 | (2.09 | ) | | ||||||||||||||||||||||||
10.53 | 6.21 | 66,832 | 2.35 | 2.42 | 2.36 | 2.42 | (2.03 | ) | | |||||||||||||||||||||||||
10.33 | 8.09 | 22,367 | 2.35 | 2.64 | 2.36 | 2.65 | (2.08 | ) | | |||||||||||||||||||||||||
9.70 | (2.88 | ) | 1 | 2.35 | 62.35 | 2.39 | 62.38 | 0.62 | | |||||||||||||||||||||||||
10.72 | 3.68 | 1,002,226 | 1.35 | (j) | 1.35 | (j) | 1.36 | (j) | 1.36 | (j) | (1.10 | ) | | |||||||||||||||||||||
10.34 | (3.00 | ) | 1,071,912 | 1.35 | 1.36 | 1.36 | 1.37 | (1.09 | ) | | ||||||||||||||||||||||||
10.72 | 7.22 | 343,236 | 1.35 | 1.41 | 1.36 | 1.42 | (1.03 | ) | | |||||||||||||||||||||||||
10.41 | 9.10 | 112,591 | 1.35 | 1.98 | 1.36 | 2.00 | (0.90 | ) | | |||||||||||||||||||||||||
9.70 | (2.60 | ) | 24,523 | 1.35 | 4.43 | 1.39 | 4.46 | 1.59 | |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
(h) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(i) | From commencement of operations on August 3, 2009 through December 31, 2009. |
(j) | Includes fee/expense recovery of 0.01%. |
(k) | From commencement of operations on September 30, 2008 through December 31, 2008. |
See accompanying notes to financial statements.
| 74
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss) (a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income |
Distributions from net realized capital gains |
Total distributions |
||||||||||||||||||||||
ASG MANAGED FUTURES STRATEGY FUND (CONSOLIDATED*) |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 10.34 | $ | (0.14 | ) | $ | (1.00 | ) | $ | (1.14 | ) | $ | (0.09 | ) | $ | | $ | (0.09 | ) | |||||||||
12/31/2011 |
10.61 | (0.16 | ) | 0.19 | (g) | 0.03 | (0.30 | ) | | (0.30 | ) | |||||||||||||||||
12/31/2010(h) |
10.00 | (0.07 | ) | 1.41 | 1.34 | (0.33 | ) | (0.40 | ) | (0.73 | ) | |||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
10.25 | (0.21 | ) | (0.99 | ) | (1.20 | ) | (0.06 | ) | | (0.06 | ) | ||||||||||||||||
12/31/2011 |
10.58 | (0.24 | ) | 0.19 | (g) | (0.05 | ) | (0.28 | ) | | (0.28 | ) | ||||||||||||||||
12/31/2010(h) |
10.00 | (0.10 | ) | 1.40 | 1.30 | (0.32 | ) | (0.40 | ) | (0.72 | ) | |||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
10.34 | (0.12 | ) | (1.00 | ) | (1.12 | ) | (0.12 | ) | | (0.12 | ) | ||||||||||||||||
12/31/2011 |
10.60 | (0.13 | ) | 0.19 | (g) | 0.06 | (0.32 | ) | | (0.32 | ) | |||||||||||||||||
12/31/2010(h) |
10.00 | (0.06 | ) | 1.40 | 1.34 | (0.34 | ) | (0.40 | ) | (0.74 | ) |
* | See Notes 1 and 2 of the Notes to Financial Statements. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
(g) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(h) | From commencement of operations on July 30, 2010 through December 31, 2010. |
See accompanying notes to financial statements.
75 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Net asset value, end of the period |
Total return (%) (b)(c) |
Net assets, end of the period (000s) |
Net expenses, excluding interest expense (%) (d)(e) |
Gross expenses, excluding interest expense (%) (e) |
Net expenses including interest expense (%) (d)(e) |
Gross expenses including interest expense (%) (e) |
Net investment income (loss) (%)(e) |
Portfolio turnover rate (%) (f) |
||||||||||||||||||||||||||
$ | 9.11 | (11.09 | ) | $ | 145,729 | 1.70 | 1.77 | 1.73 | 1.80 | (1.49 | ) | | ||||||||||||||||||||||
10.34 | 0.25 | 312,098 | 1.70 | 1.76 | 1.71 | 1.78 | (1.47 | ) | | |||||||||||||||||||||||||
10.61 | 13.44 | 6,511 | 1.70 | 2.75 | 1.73 | 2.78 | (1.43 | ) | | |||||||||||||||||||||||||
8.99 | (11.74 | ) | 21,891 | 2.45 | 2.52 | 2.48 | 2.55 | (2.24 | ) | | ||||||||||||||||||||||||
10.25 | (0.51 | ) | 24,838 | 2.45 | 2.54 | 2.46 | 2.56 | (2.22 | ) | | ||||||||||||||||||||||||
10.58 | 13.04 | 2,357 | 2.45 | 3.29 | 2.47 | 3.31 | (2.17 | ) | | |||||||||||||||||||||||||
9.10 | (10.90 | ) | 593,013 | 1.45 | 1.52 | 1.48 | 1.56 | (1.24 | ) | | ||||||||||||||||||||||||
10.34 | 0.57 | 410,166 | 1.45 | 1.56 | 1.46 | 1.57 | (1.22 | ) | | |||||||||||||||||||||||||
10.60 | 13.39 | 49,803 | 1.45 | 2.65 | 1.48 | 2.68 | (1.20 | ) | |
See accompanying notes to financial statements.
| 76
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (a)(b) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Dividends from net investment income (b) |
Distributions from net realized capital gains (b) |
Total distributions (b) |
||||||||||||||||||||||
LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND (CONSOLIDATED*) |
| |||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 9.34 | $ | 0.25 | $ | 0.45 | $ | 0.70 | $ | (0.23 | ) | $ | | $ | (0.23 | ) | ||||||||||||
12/31/2011 |
10.13 | 0.20 | (0.78 | ) | (0.58 | ) | (0.18 | ) | (0.03 | ) | (0.21 | ) | ||||||||||||||||
12/31/2010(g) |
10.00 | 0.07 | 0.14 | 0.21 | (0.08 | ) | | (0.08 | ) | |||||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
9.31 | 0.17 | 0.46 | 0.63 | (0.16 | ) | | (0.16 | ) | |||||||||||||||||||
12/31/2011 |
10.11 | 0.13 | (0.78 | ) | (0.65 | ) | (0.12 | ) | (0.03 | ) | (0.15 | ) | ||||||||||||||||
12/31/2010(g) |
10.00 | 0.05 | 0.14 | 0.19 | (0.08 | ) | | (0.08 | ) | |||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
9.33 | 0.27 | 0.45 | 0.72 | (0.26 | ) | | (0.26 | ) | |||||||||||||||||||
12/31/2011 |
10.13 | 0.23 | (0.78 | ) | (0.55 | ) | (0.22 | ) | (0.03 | ) | (0.25 | ) | ||||||||||||||||
12/31/2010(g) |
10.00 | 0.06 | 0.15 | 0.21 | (0.08 | ) | | (0.08 | ) | |||||||||||||||||||
LOOMIS SAYLES STRATEGIC ALPHA FUND** |
| |||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
12/31/2012 |
$ | 9.34 | $ | 0.37 | $ | 0.77 | $ | 1.14 | $ | (0.28 | ) | $ | | $ | (0.28 | ) | ||||||||||||
12/31/2011 |
10.06 | 0.34 | (0.75 | ) | (0.41 | ) | (0.31 | ) | (0.00 | ) | (0.31 | ) | ||||||||||||||||
12/31/2010(i) |
10.00 | 0.00 | 0.06 | 0.06 | (0.00 | ) | | (0.00 | ) | |||||||||||||||||||
Class C |
||||||||||||||||||||||||||||
12/31/2012 |
9.31 | 0.30 | 0.76 | 1.06 | (0.21 | ) | | (0.21 | ) | |||||||||||||||||||
12/31/2011 |
10.05 | 0.28 | (0.77 | ) | (0.49 | ) | (0.25 | ) | (0.00 | ) | (0.25 | ) | ||||||||||||||||
12/31/2010(i) |
10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | | (0.00 | ) | |||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
12/31/2012 |
9.33 | 0.41 | 0.76 | 1.17 | (0.31 | ) | | (0.31 | ) | |||||||||||||||||||
12/31/2011 |
10.05 | 0.37 | (0.75 | ) | (0.38 | ) | (0.34 | ) | (0.00 | ) | (0.34 | ) | ||||||||||||||||
12/31/2010(i) |
10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | | (0.00 | ) |
* | See Notes 1 and 2 of the Notes to Financial Statements. |
** | Formerly Loomis Sayles Absolute Strategies Fund. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | From commencement of operations on September 30, 2010 through December 31, 2010. |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | From commencement of operations on December 15, 2010 through December 31, 2010. |
See accompanying notes to financial statements.
77 |
Ratios to Average Net Assets: |
||||||||||||||||||||||||||
Net asset value, end of the period |
Total return (%) (c)(d) |
Net assets, end of the period (000s) |
Net expenses (%) (e)(f) |
Gross expenses (%) (f) |
Net investment income (%) (f) |
Portfolio turnover rate (%) |
||||||||||||||||||||
$ | 9.81 | 7.52 | $ | 1,461 | 1.35 | 2.07 | 2.56 | 570 | ||||||||||||||||||
9.34 | (5.76 | ) | 1,871 | 1.35 | 2.04 | 2.02 | 732 | |||||||||||||||||||
10.13 | 2.10 | 1,139 | 1.35 | 2.91 | 2.82 | 139 | ||||||||||||||||||||
9.78 | 6.73 | 65 | 2.10 | 2.81 | 1.78 | 570 | ||||||||||||||||||||
9.31 | (6.44 | ) | 99 | 2.10 | 2.65 | 1.30 | 732 | |||||||||||||||||||
10.11 | 1.88 | 12 | 2.10 | 3.90 | 1.86 | 139 | ||||||||||||||||||||
9.79 | 7.76 | 25,250 | 1.10 | 1.83 | 2.79 | 570 | ||||||||||||||||||||
9.33 | (5.52 | ) | 28,550 | 1.10 | 1.72 | 2.29 | 732 | |||||||||||||||||||
10.13 | 2.12 | 27,528 | 1.10 | 2.98 | 2.25 | 139 | ||||||||||||||||||||
$ | 10.20 | 12.24 | $ | 80,704 | 1.12 | 1.12 | 3.77 | 116 | ||||||||||||||||||
9.34 | (3.90 | ) | 130,662 | 1.15 | (h) | 1.15 | (h) | 3.50 | 141 | |||||||||||||||||
10.06 | 0.41 | 2,465 | 1.30 | 6.98 | 0.86 | 39 | ||||||||||||||||||||
10.16 | 11.44 | 67,748 | 1.87 | 1.87 | 3.05 | 116 | ||||||||||||||||||||
9.31 | (4.69 | ) | 77,398 | 1.89 | (h) | 1.89 | (h) | 2.82 | 141 | |||||||||||||||||
10.05 | 0.31 | 563 | 2.05 | 8.68 | 0.24 | 39 | ||||||||||||||||||||
10.19 | 12.57 | 497,648 | 0.87 | 0.87 | 4.09 | 116 | ||||||||||||||||||||
9.33 | (3.78 | ) | 273,335 | 0.90 | (h) | 0.90 | (h) | 3.81 | 141 | |||||||||||||||||
10.05 | 0.41 | 26,758 | 1.05 | 5.37 | 0.06 | 39 |
See accompanying notes to financial statements.
| 78
December 31, 2012
1. Organization. Natixis Funds Trust II (the Trust) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a Fund and collectively, the Funds) are included in this report:
ASG Diversifying Strategies Fund (the Diversifying Strategies Fund)
ASG Global Alternatives Fund (the Global Alternatives Fund)
ASG Managed Futures Strategy Fund (the Managed Futures Strategy Fund)
Loomis Sayles Multi-Asset Real Return Fund (the Multi-Asset Real Return Fund)
Loomis Sayles Strategic Alpha Fund (formerly Loomis Sayles Absolute Strategies Fund) (the Strategic Alpha Fund)
Each Fund is a diversified investment company, except for Multi-Asset Real Return Fund and Strategic Alpha Fund, which are non-diversified investment companies.
Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Multi-Asset Real Return Fund and Strategic Alpha Fund which are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (CDSC) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds prospectus.
Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
Each Fund, except Strategic Alpha Fund, invests in commodity-related instruments through ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd., ASG Managed Futures Strategy Cayman Fund Ltd. and Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., wholly-owned subsidiaries (individually, a
79 |
Notes to Financial Statements (continued)
December 31, 2012
Subsidiary and collectively, the Subsidiaries) of Diversifying Strategies Fund, Global Alternatives Fund, Managed Futures Strategy Fund and Multi-Asset Real Return Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds Board of Trustees.
As of December 31, 2012, the value of each Funds investment in its respective Subsidiary was as follows:
Fund |
Investment in Subsidiary |
Percentage of Net Assets |
||||||
Diversifying Strategies Fund |
$ | 10,109,126 | 5.7 | % | ||||
Global Alternatives Fund |
77,002,006 | 6.4 | % | |||||
Managed Futures Strategy Fund |
17,303,417 | 2.3 | % | |||||
Multi-Asset Real Return Fund |
2,556,258 | 9.5 | % |
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds financial statements.
a. Consolidation. The accompanying financial statements of each Fund, except Strategic Alpha Fund, present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.
b. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys 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
| 80
Notes to Financial Statements (continued)
December 31, 2012
generally valued on the basis of evaluated bids furnished to the Funds 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. Senior loans are priced at bid prices supplied by an independent pricing service, if available. 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 and options on interest rate swaps (interest rate swaptions) are valued at mid prices (between the bid and the ask price) 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 from a broker-dealer. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Other exchange-traded options are valued at the average of the closing bid and ask quotations. Options on futures contracts are valued using the current settlement price. Currency options are priced at the mid price (between the ask price and the bid price) supplied by 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. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Funds may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.
81 |
Notes to Financial Statements (continued)
December 31, 2012
c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
d. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts terms.
e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund
| 82
Notes to Financial Statements (continued)
December 31, 2012
has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
f. Futures Contracts. The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by a Fund or 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Funds or a Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
g. Option Contracts. The Funds and the Subsidiaries 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 are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Funds enter into a closing sale transaction, the difference between the premium paid and the proceeds of the closing
83 |
Notes to Financial Statements (continued)
December 31, 2012
sale transaction is treated as a 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 are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized 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 contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
h. Swaptions. Certain funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a receiver swaption) or to pay a fixed rate (known as a payer swaption), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.
When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap
| 84
Notes to Financial Statements (continued)
December 31, 2012
to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.
Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
i. Swap Agreements. The Funds and the Subsidiaries may enter into credit default and total return swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms 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,
85 |
Notes to Financial Statements (continued)
December 31, 2012
typically, fixed or floating interest payments. When a fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may receive the change in value in addition to the interest payment. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying asset increases and receives payments from the other party if the value of the underlying asset decreases.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.
j. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. Due from brokers balances in the Statements of Assets and Liabilities for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Fund represent cash, foreign currency and any initial and/or variation margin applicable to open futures contracts and cash pledged as collateral for forward foreign currency contracts and for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, option contracts, and swap agreements. Due to brokers balances in the Statement of Assets and Liabilities for Strategic Alpha Fund represent securities received as collateral for forward foreign currency contracts, interest rate swaptions, and swap agreements. In certain circumstances the Funds or the Subsidiaries use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
k. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment
| 86
Notes to Financial Statements (continued)
December 31, 2012
companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Funds tax positions for the open tax years as of December 31, 2012 and has concluded that no provisions for income tax are required. The Funds federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, managements conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, each Fund will include in its taxable income its share of its Subsidiarys current earnings and profits (including net realized gains). Any deficit generated by a Subsidiary will be disregarded for purposes of computing the Funds taxable income in the current period and also disregarded for all future periods.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Funds understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
l. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses,
87 |
Notes to Financial Statements (continued)
December 31, 2012
capital gain distributions from real estate investment trusts, distribution in excess, net operating losses, contingent payment debt instruments, foreign currency transactions, deferred Trustees fees, Subsidiary income and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees fees, commissions on open futures contracts, premium amortization, unrealized gain/loss on open swap agreements, wash sales, futures, forward and option contracts mark to market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2012 and 2011 was as follows:
2012 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term Capital Gains |
Total |
|||||||||
Diversifying Strategies Fund |
$ | | $ | | $ | | ||||||
Global Alternatives Fund |
| | | |||||||||
Managed Futures Strategy Fund |
8,589,498 | | 8,589,498 | |||||||||
Multi-Asset Real Return Fund |
694,274 | | 694,274 | |||||||||
Strategic Alpha Fund |
16,338,493 | | 16,338,493 | |||||||||
2011 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term Capital Gains |
Total |
|||||||||
Diversifying Strategies Fund |
$ | 16,938,624 | $ | | $ | 16,938,624 | ||||||
Global Alternatives Fund |
1,778,959 | 2,867,352 | 4,646,311 | |||||||||
Managed Futures Strategy Fund |
21,604,427 | | 21,604,427 | |||||||||
Multi-Asset Real Return Fund |
770,217 | 29,110 | 799,327 | |||||||||
Strategic Alpha Fund |
17,061,729 | 2,698 | 17,064,427 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
| 88
Notes to Financial Statements (continued)
December 31, 2012
As of December 31, 2012, the components of distributable earnings on a tax basis were as follows:
Diversifying |
Global Fund |
Managed |
Multi-Asset |
Strategic |
||||||||||||||||
Undistributed ordinary income |
$ | | $ | 27,309,455 | $ | | $ | | $ | | ||||||||||
Undistributed capital gains |
| 4,294,685 | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total undistributed earnings |
| 31,604,140 | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Capital loss carryforward: |
||||||||||||||||||||
Short-term: |
||||||||||||||||||||
No expiration date |
(32,033,613 | ) | | (46,702,235 | ) | (3,284,533 | ) | (10,720,475 | ) | |||||||||||
Long-term: |
||||||||||||||||||||
No expiration date |
(8,029,367 | ) | | (30,123,466 | ) | (256,137 | ) | (8,325,319 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total capital loss carryforward |
(40,062,980 | ) | | (76,825,701 | ) | (3,540,670 | ) | (19,045,794 | ) | |||||||||||
Late-year ordinary and post-October capital loss deferrals* |
(4,066,141 | ) | | (3,927,824 | ) | (23,103 | ) | (2,564,877 | ) | |||||||||||
Unrealized appreciation (depreciation) |
(26,895,761 | ) | (37,760,710 | ) | (54,771,275 | ) | (366,913 | ) | 15,258,671 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total accumulated losses |
$ | (71,024,882 | ) | $ | (6,156,570 | ) | $ | (135,524,800 | ) | $ | (3,930,686 | ) | $ | (6,352,000 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Capital loss carryforward utilized in the current year |
$ | | $ | 27,842,043 | $ | | $ | 653,975 | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 may be deferred and treated as occurring on the first day of the following taxable year. |
89 |
Notes to Financial Statements (continued)
December 31, 2012
m. Repurchase Agreements. It is each Funds 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 Funds ability to dispose of the underlying securities.
n. Securities Lending. Multi-Asset Real Return Fund and Strategic Alpha Fund have entered into an agreement with State Street Bank and Trust Company (State Street Bank), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended December 31, 2012, neither of the Funds had loaned securities under this agreement.
o. Indemnifications. Under the Trusts organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
p. New Accounting Pronouncement. In December 2011, Accounting Standards Update (ASU) No. 2011-11, Disclosures about Offsetting Assets and Liabilities was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU creates new disclosure requirements with respect to an entitys rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Funds financial statement disclosures.
| 90
Notes to Financial Statements (continued)
December 31, 2012
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Funds 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.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Funds 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 Funds 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 Funds 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 Funds do 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 may be 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. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Fair valued securities may be categorized in Level 3.
91 |
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Diversifying Strategies Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Short-Term Investments(a) |
$ | | $ | 157,363,476 | $ | | $ | 157,363,476 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 882,737 | | 882,737 | ||||||||||||
Futures Contracts (unrealized appreciation) |
1,497,157 | | | 1,497,157 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,497,157 | $ | 158,246,213 | $ | | $ | 159,743,370 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (798,474 | ) | $ | | $ | (798,474 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(1,937,158 | ) | | | (1,937,158 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (1,937,158 | ) | $ | (798,474 | ) | $ | | $ | (2,735,632 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Global Alternatives Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Short-Term Investments(a) |
$ | | $ | 1,063,463,539 | $ | | $ | 1,063,463,539 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 5,721,406 | | 5,721,406 | ||||||||||||
Futures Contracts (unrealized appreciation) |
7,042,227 | | | 7,042,227 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 7,042,227 | $ | 1,069,184,945 | $ | | $ | 1,076,227,172 | ||||||||
|
|
|
|
|
|
|
|
| 92
Notes to Financial Statements (continued)
December 31, 2012
Global Alternatives Fund (continued)
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Forward Foreign Currency |
$ | | $ | (4,084,581 | ) | $ | | $ | (4,084,581 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(9,087,311 | ) | | | (9,087,311 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (9,087,311 | ) | $ | (4,084,581 | ) | $ | | $ | (13,171,892 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Managed Futures Strategy Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Short-Term Investments(a) |
$ | | $ | 685,667,135 | $ | | $ | 685,667,135 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 2,789,328 | | 2,789,328 | ||||||||||||
Futures Contracts (unrealized appreciation) |
15,022,300 | | | 15,022,300 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 15,022,300 | $ | 688,456,463 | $ | | $ | 703,478,763 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (507,327 | ) | $ | | $ | (507,327 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(8,207,127 | ) | | | (8,207,127 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (8,207,127 | ) | $ | (507,327 | ) | $ | | $ | (8,714,454 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
93 |
Notes to Financial Statements (continued)
December 31, 2012
Multi-Asset Real Return Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes(a) |
$ | | $ | 12,234,337 | $ | | $ | 12,234,337 | ||||||||
Senior Loans(a) |
| 1,969,083 | | 1,969,083 | ||||||||||||
Common Stocks(a) |
2,806,504 | | | 2,806,504 | ||||||||||||
Exchange Traded Funds |
2,266,911 | | | 2,266,911 | ||||||||||||
Purchased Options(a) |
45,450 | 74,027 | | 119,477 | ||||||||||||
Short-Term Investments |
| 6,577,925 | | 6,577,925 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
5,118,865 | 20,855,372 | | 25,974,237 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 87,708 | | 87,708 | ||||||||||||
Futures Contracts (unrealized appreciation) |
59,213 | | | 59,213 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 5,178,078 | $ | 20,943,080 | $ | | $ | 26,121,158 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Written Options(a) |
$ | | $ | (21,097 | ) | $ | | $ | (21,097 | ) | ||||||
Credit Default Swap Agreements (unrealized depreciation) |
| (88,714 | ) | | (88,714 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (42,612 | ) | | (42,612 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(27,592 | ) | | | (27,592 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (27,592 | ) | $ | (152,423 | ) | $ | | $ | (180,015 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the year ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
| 94
Notes to Financial Statements (continued)
December 31, 2012
Strategic Alpha Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Treasuries |
$ | | $ | 76,511,770 | $ | 6,211,796 | $ | 82,723,566 | ||||||||
All Other Non-Convertible Bonds(a) |
| 391,746,009 | | 391,746,009 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 468,257,779 | 6,211,796 | 474,469,575 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds(a) |
| 23,439,288 | | 23,439,288 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 491,697,067 | 6,211,796 | 497,908,863 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans(a) |
| 60,763,924 | | 60,763,924 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Banking |
9,731,442 | | | 9,731,442 | ||||||||||||
Non-Captive Diversified |
2,751,960 | 2,543,785 | | 5,295,745 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
12,483,402 | 2,543,785 | | 15,027,187 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Preferred Stocks |
||||||||||||||||
Independent Energy |
| 1,332,188 | | 1,332,188 | ||||||||||||
All Other Convertible Preferred Stocks(a) |
7,963,086 | | | 7,963,086 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
7,963,086 | 1,332,188 | | 9,295,274 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
20,446,488 | 3,875,973 | | 24,322,461 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks(a) |
21,426,652 | | | 21,426,652 | ||||||||||||
Purchased Swaptions(a) |
| 4,954,360 | | 4,954,360 | ||||||||||||
Purchased Options(a) |
390,744 | | | 390,744 | ||||||||||||
Short-Term Investments |
| 34,203,237 | | 34,203,237 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
42,263,884 | 595,494,561 | 6,211,796 | 643,970,241 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Credit Default Swap Agreements (unrealized appreciation) |
| 779,092 | | 779,092 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 542,381 | | 542,381 | ||||||||||||
Futures Contracts (unrealized appreciation) |
142,282 | | | 142,282 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 42,406,166 | $ | 596,816,034 | $ | 6,211,796 | $ | 645,433,996 | ||||||||
|
|
|
|
|
|
|
|
95 |
Notes to Financial Statements (continued)
December 31, 2012
Strategic Alpha Fund (continued)
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Written Swaptions(a) |
$ | | $ | (2,888,740 | ) | $ | | $ | (2,888,740 | ) | ||||||
Credit Default Swap Agreements (unrealized depreciation) |
| (1,778,186 | ) | | (1,778,186 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (715,565 | ) | | (715,565 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(270,561 | ) | | | (270,561 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (270,561 | ) | $ | (5,382,491 | ) | $ | | $ | (5,653,052 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the year ended December 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 December 31, 2011 and/or December 31, 2012:
Multi-Asset Real Return Fund
Asset Valuation Inputs
Investments in Securities |
Balance as of |
Accrued |
Realized |
Change in |
Purchases |
|||||||||||||||
Purchased Options |
$ | 29,702 | $ | | $ | (23,665 | ) | $ | 4,063 | $ | | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Sales |
Transfers |
Transfers |
Balance as of |
Change
in |
|||||||||||||||
Purchased Options |
$ | (10,100 | ) | $ | | $ | | $ | | $ | | |||||||||
|
|
|
|
|
|
|
|
|
|
| 96
Notes to Financial Statements (continued)
December 31, 2012
Multi-Asset Real Return Fund (continued)
Liability Valuation Inputs
Investments in Securities |
Balance as of |
Accrued |
Realized |
Change in |
Options |
|||||||||||||||
Written Options |
$ | (6,044 | ) | $ | | $ | 5,515 | $ | (121 | ) | $ | 650 | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Options |
Transfers |
Transfers |
Balance as of |
Change
in |
|||||||||||||||
Written Options |
$ | | $ | | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
Strategic Alpha Fund
Asset Valuation Inputs
Investments in Securities |
Balance as of |
Accrued |
Realized |
Change in |
Purchases |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
Treasuries |
$ | 11,102,109 | $ | 9,251 | $ | (2,555,262 | ) | $ | 2,839,156 | $ | 6,187,884 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Sales |
Transfers |
Transfers |
Balance as of |
Change
in |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
Treasuries |
$ | (11,371,342 | ) | $ | | $ | | $ | 6,211,796 | $ | 24,852 | |||||||||
|
|
|
|
|
|
|
|
|
|
97 |
Notes to Financial Statements (continued)
December 31, 2012
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements (including credit default and total return swaps).
Diversifying Strategies Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the year ended December 31, 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.
Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 2012, the Fund used long contracts on U.S. equity market indices, U.S. and foreign government bonds, and short-term interest rates, and long and short contracts on foreign equity market indices, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.
Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures
| 98
Notes to Financial Statements (continued)
December 31, 2012
suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the year ended December 31, 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.
Multi-Asset Real Return Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts and swap agreements. During the year ended December 31, 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.
Strategic Alpha 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, swaptions and swap agreements. During the year ended December 31, 2012, the Fund used forward foreign currency, futures and option contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
Certain Funds are subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. Multi-Asset Real Return Fund and Strategic Alpha Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and may also use futures contracts to manage their duration without having to buy or sell portfolio securities. During the year ended December 31, 2012, Multi-Asset Real Return Fund and Strategic Alpha Fund engaged in futures contracts for hedging and to manage duration and Strategic Alpha Fund engaged in interest rate swaptions for hedging purposes.
The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts and
99 |
Notes to Financial Statements (continued)
December 31, 2012
option contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the year ended December 31, 2012, Multi-Asset Real Return Fund and Strategic Alpha Fund engaged in forward foreign currency and option transactions for hedging purposes.
The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. Multi-Asset Real Return Fund and Strategic Alpha 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 year ended December 31, 2012, Multi-Asset Real Return Fund and Strategic Alpha Fund engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.
Certain Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. Multi-Asset Real Return Fund and Strategic Alpha Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Funds may also write put options to offset the cost of options used for hedging purposes. During the year ended December 31, 2012, Multi-Asset Real Return Fund and Strategic Alpha Fund engaged in futures and option transactions for hedging purposes.
Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 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:
Fund |
Counterparty |
Derivatives |
Collateral Pledged |
|||||||
Multi-Asset Real Return Fund |
Bank of America, N.A. | $ | (2,626 | ) | $ | | ||||
Strategic Alpha Fund |
Credit Suisse International | (2,036,844 | ) | 2,253,899 | ||||||
Morgan Stanley Capital Services, Inc. |
(342,982 | ) | 337,984 | |||||||
Deutsche Bank AG | (119,602 | ) | 107,992 |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk with respect to forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements by entering into master netting agreements with
| 100
Notes to Financial Statements (continued)
December 31, 2012
counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. Based on balances reflected on each Funds Statement of Assets and Liabilities, including cash and/or securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting arrangements are as follows as of December 31, 2012:
Fund |
Maximum Amount |
Maximum Amount of Loss - Net |
||||||
Diversifying Strategies Fund |
$ | 17,042,172 | $ | 16,243,698 | ||||
Global Alternatives Fund |
101,817,837 | 97,733,256 | ||||||
Managed Futures Strategy Fund |
81,990,166 | 81,482,839 | ||||||
Multi-Asset Real Return Fund |
820,851 | 742,317 | ||||||
Strategic Alpha Fund |
11,817,018 | 6,834,114 |
These amounts do not take into account the value of U.S. government and agency securities received as collateral by Strategic Alpha Fund in the amount of $528,082. Collateral is valued in accordance with the Funds valuation policies and is recorded on the Statements of Assets and Liabilities.
Counterparty risk is managed based on policies and procedures established by each Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.
Collateral for forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between each Fund and the counterparties. In lieu of receiving cash collateral, Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
101 |
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of derivative instruments for Diversifying Strategies Fund as of December 31, 2012:
Consolidated Statements of |
Interest |
Foreign Exchange |
Equity Contracts |
Commodity |
||||||||||||
Assets |
||||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
$ | | $ | 882,737 | $ | | $ | | ||||||||
Unrealized appreciation on futures contracts |
445,851 | | 538,729 | 512,577 | ||||||||||||
Liabilities |
||||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| (798,474 | ) | | | |||||||||||
Unrealized depreciation on futures contracts |
(473,226 | ) | | (439,354 | ) | (1,024,578 | ) |
Transactions in derivative instruments for Diversifying Strategies Fund during the year ended December 31, 2012 were as follows:
Consolidated Statements of |
Interest |
Foreign |
Equity Contracts |
Commodity |
||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||||||
Foreign currency transactions* |
$ | | $ | (20,163,981 | ) | $ | | $ | | |||||||
Futures contracts |
11,187,562 | | 1,729,177 | (10,377,183 | ) | |||||||||||
Net Change in Unrealized Appreciation |
||||||||||||||||
Foreign currency translations* |
| (878,398 | ) | | | |||||||||||
Futures contracts |
(4,528,005 | ) | | 823,406 | 585,064 |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
| 102
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2012:
Consolidated Statements of |
Interest |
Foreign Exchange |
Equity |
Commodity |
||||||||||||
Assets |
||||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
$ | | $ | 5,721,406 | $ | | $ | | ||||||||
Unrealized appreciation on futures contracts |
2,292,479 | | 630,864 | 4,118,884 | ||||||||||||
Liabilities |
||||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| (4,084,581 | ) | | | |||||||||||
Unrealized depreciation on futures contracts |
(3,996,191 | ) | | (1,972,426 | ) | (3,118,694 | ) |
Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2012 were as follows:
Consolidated Statements of |
Interest |
Foreign |
Equity Contracts |
Commodity |
||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||||||
Foreign currency transactions* |
$ | | $ | (24,494,770 | ) | $ | | $ | | |||||||
Futures contracts |
42,098,737 | | 61,950,774 | (19,317,160 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||
Foreign currency translations* |
| (1,633,649 | ) | | | |||||||||||
Futures contracts |
(4,343,488 | ) | | (4,604,417 | ) | 4,706,146 |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
103 |
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2012:
Consolidated Statements of |
Interest |
Foreign Exchange |
Equity |
Commodity |
||||||||||||
Assets |
||||||||||||||||
Unrealized appreciation on forward foreign currency contracts |
$ | | $ | 2,789,328 | $ | | $ | | ||||||||
Unrealized appreciation on futures contracts |
5,100,696 | | 7,369,518 | 2,552,086 | ||||||||||||
Liabilities |
||||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| (507,327 | ) | | | |||||||||||
Unrealized depreciation on futures contracts |
(3,634,995 | ) | | (828,059 | ) | (3,744,073 | ) |
Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2012 were as follows:
Consolidated Statements of |
Interest |
Foreign |
Equity Contracts |
Commodity |
||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||||||
Foreign currency transactions* |
$ | | $ | (60,049,720 | ) | $ | | $ | | |||||||
Futures contracts |
13,175,388 | | 6,090,718 | (42,428,076 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||
Foreign currency translations* |
| 2,355,230 | | | ||||||||||||
Futures contracts |
(11,562,849 | ) | | 5,534,488 | 323,756 |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
| 104
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of derivative instruments for Multi-Asset Real Return Fund as of December 31, 2012:
Consolidated Statements of Assets |
Interest |
Foreign Exchange |
Credit Contracts |
Equity |
Commodity |
|||||||||||||||
Assets |
||||||||||||||||||||
Investments at value* |
$ | | $ | 74,027 | $ | | $ | 45,450 | $ | | ||||||||||
Unrealized appreciation on forward foreign currency contracts |
| 87,708 | | | | |||||||||||||||
Unrealized appreciation on futures contracts** |
19,159 | | | 9,842 | 30,212 | |||||||||||||||
Liabilities |
||||||||||||||||||||
Options written, at value |
| (21,097 | ) | | | | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts |
| (42,612 | ) | | | | ||||||||||||||
Unrealized depreciation on futures contracts** |
| | | | (27,592 | ) | ||||||||||||||
Unrealized depreciation on swap agreements |
| | (88,714 | ) | | |
* | Represents purchased options, at value. |
** | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current days variation margin on futures contracts is reported within the Consolidated Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Multi-Asset Real Return Fund during the year ended December 31, 2012 were as follows:
Consolidated Statements of |
Interest |
Foreign |
Credit Contracts |
Equity Contracts |
Commodity |
|||||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||||||||||
Investments* |
$ | (20,743 | ) | $ | (111,852 | ) | $ | | $ | (54,602 | ) | $ | (39,000 | ) | ||||||
Foreign currency transactions** |
| 58,733 | | | | |||||||||||||||
Futures contracts |
(217,882 | ) | | | (579,122 | ) | (187,483 | ) | ||||||||||||
Options written |
21,286 | 126,269 | | 40,524 | 14,998 | |||||||||||||||
Swap agreements |
| | (259,838 | ) | | (44,495 | ) | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||
Investments* |
| 28,948 | | (35,694 | ) | | ||||||||||||||
Foreign currency translations** |
| (6,803 | ) | | | | ||||||||||||||
Futures contracts |
20,848 | | | 71,857 | (6,530 | ) | ||||||||||||||
Options written |
| (62,797 | ) | | | | ||||||||||||||
Swap agreements |
| | (109,252 | ) | | |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
** | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
105 |
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2012:
Statements of Assets and Liabilities |
Interest |
Foreign |
Credit |
Equity |
||||||||||||
Assets |
||||||||||||||||
Investments at value* |
$ | 4,954,360 | $ | | $ | | $ | 390,744 | ||||||||
Unrealized appreciation on forward foreign currency contracts |
| 542,381 | | | ||||||||||||
Unrealized appreciation on futures contracts** |
140,819 | | | 1,463 | ||||||||||||
Unrealized appreciation on swap agreements |
| | 779,092 | | ||||||||||||
Liabilities |
||||||||||||||||
Swaptions written, at value |
(2,888,740 | ) | | | | |||||||||||
Unrealized depreciation on forward foreign currency contracts |
| (715,565 | ) | | | |||||||||||
Unrealized depreciation on futures contracts** |
(248,968 | ) | | | (21,593 | ) | ||||||||||
Unrealized depreciation on swap agreements |
| | (1,778,186 | ) | |
* | Represents purchased options/swaptions, at value. |
** | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current days variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2012 were as follows:
Statements of Operations Caption |
Interest |
Foreign |
Credit |
Equity |
||||||||||||
Net Realized Gain (Loss) on: |
||||||||||||||||
Investments* |
$ | (351,500 | ) | $ | (1,348,362 | ) | $ | | $ | (1,606,162 | ) | |||||
Foreign currency transactions** |
| (1,840,443 | ) | | | |||||||||||
Futures contracts |
(15,345 | ) | | | (2,892,320 | ) | ||||||||||
Options/swaptions written |
274,000 | 670,072 | | 737,711 | ||||||||||||
Swap agreements |
| | (11,287,442 | ) | | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||
Investments* |
(238,390 | ) | 386,334 | | (102,828 | ) | ||||||||||
Foreign currency translations** |
| (517,936 | ) | | | |||||||||||
Futures contracts |
(86,001 | ) | | | (13,965 | ) | ||||||||||
Options/swaptions written |
259,760 | (292,448 | ) | | | |||||||||||
Swap agreements |
| | 3,029,971 | |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period. |
** | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
| 106
Notes to Financial Statements (continued)
December 31, 2012
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2012:
Diversifying Strategies Fund |
|
Forwards |
Futures |
|||||||||
Average Notional Amount Outstanding |
439.09 | % | 649.88 | % | ||||||||
Highest Notional Amount Outstanding |
1,037.27 | % | 1,002.46 | % | ||||||||
Lowest Notional Amount Outstanding |
77.68 | % | 462.92 | % | ||||||||
Notional Amount Outstanding as of December 31, 2012 |
80.30 | % | 462.92 | % | ||||||||
Global Alternatives Fund |
|
Forwards |
Futures |
|||||||||
Average Notional Amount Outstanding |
79.49 | % | 317.91 | % | ||||||||
Highest Notional Amount Outstanding |
178.69 | % | 557.80 | % | ||||||||
Lowest Notional Amount Outstanding |
31.51 | % | 109.77 | % | ||||||||
Notional Amount Outstanding as of December 31, 2012 |
44.01 | % | 504.63 | % | ||||||||
Managed Futures Strategy Fund |
|
Forwards |
Futures |
|||||||||
Average Notional Amount Outstanding |
213.70 | % | 908.51 | % | ||||||||
Highest Notional Amount Outstanding |
755.91 | % | 1,268.55 | % | ||||||||
Lowest Notional Amount Outstanding |
38.95 | % | 695.15 | % | ||||||||
Notional Amount Outstanding as of December 31, 2012 |
38.95 | % | 695.15 | % | ||||||||
Multi-Asset Real Return Fund |
Forwards |
Futures |
Swaps |
|||||||||
Average Notional Amount Outstanding |
74.04 | % | 34.57 | % | 28.75 | % | ||||||
Highest Notional Amount Outstanding |
138.24 | % | 57.27 | % | 64.26 | % | ||||||
Lowest Notional Amount Outstanding |
31.55 | % | 9.22 | % | 14.00 | % | ||||||
Notional Amount Outstanding as of December 31, 2012 |
37.28 | % | 44.94 | % | 14.00 | % | ||||||
Strategic Alpha Fund |
Forwards |
Futures |
Swaps |
|||||||||
Average Notional Amount Outstanding |
28.58 | % | 8.95 | % | 31.13 | % | ||||||
Highest Notional Amount Outstanding |
48.60 | % | 17.94 | % | 42.58 | % | ||||||
Lowest Notional Amount Outstanding |
17.16 | % | 3.22 | % | 14.77 | % | ||||||
Notional Amount Outstanding as of December 31, 2012 |
17.16 | % | 10.77 | % | 16.68 | % |
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
107 |
Notes to Financial Statements (continued)
December 31, 2012
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds net assets.
The volume of option contract activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2012:
Multi-Asset Real Return Fund* |
Call Options |
Put Options Purchased |
Call Options Written |
Put Options Written |
||||||||||||
Average Market Value of Underlying Instruments |
12.72 | % | 18.20 | % | 9.02 | % | 6.64 | % | ||||||||
Highest Market Value of Underlying Instruments |
20.55 | % | 66.64 | % | 14.28 | % | 18.03 | % | ||||||||
Lowest Market Value of Underlying Instruments |
4.55 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Market Value of Underlying Instruments as of December 31, 2012 |
8.36 | % | 19.03 | % | 0.00 | % | 2.97 | % | ||||||||
Strategic Alpha Fund* |
Call Options |
Put Options Purchased |
Call Options Written |
Put Options Written |
||||||||||||
Average Market Value of Underlying Instruments |
2.47 | % | 6.45 | % | 2.05 | % | 1.82 | % | ||||||||
Highest Market Value of Underlying Instruments |
5.78 | % | 13.27 | % | 4.96 | % | 5.37 | % | ||||||||
Lowest Market Value of Underlying Instruments |
0.00 | % | 2.86 | % | 0.00 | % | 0.00 | % | ||||||||
Market Value of Underlying Instruments as of December 31, 2012 |
0.00 | % | 2.86 | % | 0.00 | % | 0.00 | % |
* | Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the options underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract. |
| 108
Notes to Financial Statements (continued)
December 31, 2012
The volume of interest rate swaption activity, as a percentage of net assets, for Strategic Alpha Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2012:
Strategic Alpha Fund |
Interest Rate Put |
Interest Rate Call |
Interest Rate Put Purchased |
Interest Rate Call |
||||||||||||
Average Premium Paid/Received |
0.04 | % | 0.10 | % | 0.05 | % | 0.18 | % | ||||||||
Highest Premium Paid/Received |
0.13 | % | 0.39 | % | 0.20 | % | 0.66 | % | ||||||||
Lowest Premium Paid/Received |
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Premium Paid/Received as of December 31, 2012 |
0.12 | % | 0.36 | % | 0.18 | % | 0.62 | % |
The following is a summary of Multi-Asset Real Return Funds written option activity (excluding foreign currency options):
Number of |
Premiums |
|||||||
Outstanding at December 31, 2011 |
| $ | | |||||
Options written |
967 | 142,405 | ||||||
Options terminated in closing purchase transactions |
(804 | ) | (128,932 | ) | ||||
Options expired |
(163 | ) | (13,473 | ) | ||||
|
|
|
|
|||||
Outstanding at December 31, 2012 |
| $ | | |||||
|
|
|
|
The following is a summary of Multi-Asset Real Return Funds foreign currency written option activity:
Premiums |
||||
Outstanding at December 31, 2011 |
$ | 191,546 | ||
Options written |
45,330 | |||
Options terminated in closing purchase transactions |
(224,940 | ) | ||
|
|
|||
Outstanding at December 31, 2012 |
$ | 11,936 | ||
|
|
The following is a summary of Strategic Alpha Funds written option activity (excluding foreign currency options and interest rate swaptions):
Number of |
Premiums |
|||||||
Outstanding at December 31, 2011 |
| $ | | |||||
Options written |
12,770 | 1,367,870 | ||||||
Options terminated in closing purchase transactions |
(12,770 | ) | (1,367,870 | ) | ||||
|
|
|
|
|||||
Outstanding at December 31, 2012 |
| $ | | |||||
|
|
|
|
109 |
Notes to Financial Statements (continued)
December 31, 2012
The following is a summary of Strategic Alpha Funds foreign currency written option activity:
Premiums |
||||
Outstanding at December 31, 2011 |
$ | 748,930 | ||
Options written |
| |||
Options terminated in closing purchase transactions |
(748,930 | ) | ||
|
|
|||
Outstanding at December 31, 2012 |
$ | | ||
|
|
The following is a summary of Strategic Alpha Funds written interest rate swaption activity:
Notional |
Premiums |
|||||||
Outstanding at December 31, 2011 |
$ | | $ | | ||||
Swaptions written |
740,000,000 | 4,452,500 | ||||||
Swaptions terminated in closing purchase transactions |
(100,000,000 | ) | (1,304,000 | ) | ||||
|
|
|
|
|||||
Outstanding at December 31, 2012 |
$ | 640,000,000 | $ | 3,148,500 | ||||
|
|
|
|
5. Purchases and Sales of Securities. For the year ended December 31, 2012, purchases and proceeds from sales or maturities of short-term obligations were as follows:
Fund |
Purchases |
Sales/ |
||||||
Diversifying Strategies Fund |
$ | 8,316,275,603 | $ | 8,532,797,070 | ||||
Global Alternatives Fund |
38,281,524,314 | 38,577,416,490 | ||||||
Managed Futures Strategy Fund |
23,707,012,374 | 23,677,146,181 |
For the year ended December 31, 2012, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
U.S. Government/ |
Other Securities |
|||||||||||||||
Fund |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||
Multi-Asset Real Return Fund |
$ | 3,180,625 | $ | 3,128,471 | $ | 100,131,216 | $ | 101,966,185 | ||||||||
Strategic Alpha Fund |
| | 691,378,106 | 530,038,722 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. AlphaSimplex Group, LLC (AlphaSimplex), which is a subsidiary of Natixis Global Asset Management, L.P. (Natixis US) serves as investment adviser to Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Loomis, Sayles & Company, L.P. (Loomis Sayles) is the investment adviser to Multi-Asset Real Return Fund and Strategic Alpha Fund.
| 110
Notes to Financial Statements (continued)
December 31, 2012
Loomis Sayles general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Funds average daily net assets, less the net asset value of each Subsidiary, where applicable:
Fund |
Percentage of Average |
|||
Diversifying Strategies Fund |
1.25 | % | ||
Managed Futures Strategy Fund |
1.25 | % | ||
Multi-Asset Real Return Fund |
0.75 | % | ||
Strategic Alpha Fund |
0.70 | % |
Global Alternatives Fund pays a management fee at an annual rate of 1.15% on the first $2 billion of the Funds average daily net assets (including the net asset value of the Subsidiary), and 1.10% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.
Prior to July 1, 2012, Global Alternatives Fund paid a management fee at an annual rate of 1.15% of the Funds average daily net assets (less the net asset value of the Subsidiary), calculated daily and payable monthly, less the management fees paid by the Subsidiary.
AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.25%, 1.15% and 1.25%, respectively, of its average daily net assets.
Loomis Sayles also serves as investment adviser to the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., which pays Loomis Sayles a management fee at the annual rate of 0.75% of its average daily net assets.
AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (Reich & Tang) on behalf of Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund. Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang.
AlphaSimplex and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2013 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
111 |
Notes to Financial Statements (continued)
December 31, 2012
For the year ended December 31, 2012, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of |
||||||||||||
Fund |
Class A |
Class C |
Class Y |
|||||||||
Diversifying Strategies Fund |
1.70 | % | 2.45 | % | 1.45 | % | ||||||
Global Alternatives Fund |
1.60 | % | 2.35 | % | 1.35 | % | ||||||
Managed Futures Strategy Fund |
1.70 | % | 2.45 | % | 1.45 | % | ||||||
Multi-Asset Real Return Fund |
1.35 | % | 2.10 | % | 1.10 | % | ||||||
Strategic Alpha Fund |
1.30 | % | 2.05 | % | 1.05 | % |
AlphaSimplex and Loomis Sayles shall be permitted to recover expenses they have borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the year ended December 31, 2012, the management fees and waivers of management fees for each Fund were as follows:
Fund |
Gross |
Waivers of |
Net |
Percentage of |
||||||||||||||||
Gross |
Net |
|||||||||||||||||||
Diversifying Strategies Fund |
$ | 3,958,120 | $ | 272,876 | $ | 3,685,244 | 1.25 | % | 1.16 | % | ||||||||||
Global Alternatives Fund |
16,248,422 | | 16,248,422 | 1.15 | % | 1.15 | % | |||||||||||||
Managed Futures Strategy Fund |
10,075,585 | 580,202 | 9,495,383 | 1.25 | % | 1.18 | % | |||||||||||||
Multi-Asset Real Return Fund |
214,187 | 207,763 | 6,424 | 0.75 | % | 0.02 | % | |||||||||||||
Strategic Alpha Fund |
3,662,664 | | 3,662,664 | 0.70 | % | 0.70 | % |
1 | Management fee waivers are subject to possible recovery until December 31, 2013. |
For the year ended December 31, 2012, expense reimbursements related to the prior fiscal year were recovered as follows:
Fund |
Recovered Expenses |
|||
Global Alternatives Fund |
$ | 85,091 |
| 112
Notes to Financial Statements (continued)
December 31, 2012
b. Service and Distribution Fees. NGAM Distribution, L.P. (NGAM Distribution), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Funds Class A shares (the Class A Plans) and a Distribution and Service Plan relating to each Funds Class C shares (the Class C Plans).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.
For the year ended December 31, 2012, the service and distribution fees for each Fund were as follows:
Service Fees |
Distribution Fees |
|||||||||||
Fund |
Class A |
Class C |
Class C |
|||||||||
Diversifying Strategies Fund |
$ | 276,699 | $ | 48,446 | $ | 145,339 | ||||||
Global Alternatives Fund |
498,759 | 219,293 | 657,878 | |||||||||
Managed Futures Strategy Fund |
562,901 | 61,576 | 184,729 | |||||||||
Multi-Asset Real Return Fund |
4,557 | 176 | 529 | |||||||||
Strategic Alpha Fund |
218,565 | 178,219 | 534,656 |
c. Administrative Fees. NGAM Advisors, L.P. (NGAM Advisors), provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (Natixis Funds Trusts), Loomis Sayles Funds I, Loomis Sayles Funds II (Loomis Sayles Funds Trusts), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets
113 |
Notes to Financial Statements (continued)
December 31, 2012
of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
NGAM Advisors also provides certain administrative services to the Subsidiary for which the Subsidiary pays NGAM Advisors fees equal to an annual rate of 0.05% of the average daily net assets of each Subsidiary. Payments by the Funds are reduced by the amount of payments to NGAM Advisors by the Subsidiary. In addition, NGAM Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.
For the year ended December 31, 2012, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):
Fund |
Administrative NGAM Advisors |
|||
Diversifying Strategies Fund |
$ | 142,952 | ||
Global Alternatives Fund |
637,259 | |||
Managed Futures Strategy Fund |
363,268 | |||
Multi-Asset Real Return Fund |
12,879 | |||
Strategic Alpha Fund |
235,761 |
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds transfer agent and other service providers if the shareholders accounts were maintained directly at the Funds transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds Board, which is based on fees for similar services paid to the Funds transfer agent and other service providers.
| 114
Notes to Financial Statements (continued)
December 31, 2012
For the year ended December 31, 2012, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund |
Sub-Transfer Agent |
|||
Diversifying Strategies Fund |
$ | 282,820 | ||
Global Alternatives Fund |
1,373,727 | |||
Managed Futures Strategy Fund |
998,804 | |||
Multi-Asset Real Return Fund |
2,742 | |||
Strategic Alpha Fund |
227,670 |
As of December 31, 2012, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:
Fund |
Reimbursements of Sub-Transfer Agent Fees |
|||
Diversifying Strategies Fund |
$ | 2,923 | ||
Global Alternatives Fund |
15,836 | |||
Managed Futures Strategy Fund |
13,088 | |||
Multi-Asset Real Return Fund |
31 | |||
Strategic Alpha Fund |
2,894 |
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2012 were as follows:
Fund |
Commissions |
|||
Diversifying Strategies Fund |
$ | 41,147 | ||
Global Alternatives Fund |
100,504 | |||
Managed Futures Strategy Fund |
173,522 | |||
Strategic Alpha Fund |
126,565 |
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $265,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $95,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting
115 |
Notes to Financial Statements (continued)
December 31, 2012
that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Effective January 1, 2013, the Chairperson of the Board will receive a retainer fee at the annual rate of $285,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $115,000. In addition, each committee chairman will receive an additional retainer fee at an annual rate of $17,500, and each Audit Committee member will be compensated $6,000 for each Committee meeting that he or she will attend in person and $3,000 for each meeting that he or she will attend telephonically. All other Trustee fees will remain unchanged.
A deferred compensation plan (the Plan) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustees deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees fees in the Statements of Assets and Liabilities.
g. Affiliated Ownership. As of December 31, 2012, Natixis US held shares of Multi-Asset Real Return Fund representing 77.49% of the Funds net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 19, 2012, the commitment fee was 0.125% per annum.
| 116
Notes to Financial Statements (continued)
December 31, 2012
For the year ended December 31, 2012, none of the Funds had borrowings under these agreements.
8. Concentration of Risk. Each Funds investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Multi-Asset Real Return Fund and Strategic Alpha Fund are non-diversified, which means that they are not limited under the 1940 Act to a percentage of assets that they may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.
The Funds (excluding Strategic Alpha Fund) investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
9. Interest Expense. Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the year ended December 31, 2012 is reflected on the Consolidated Statements of Operations.
10. Concentration of Ownership. From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2012, based on managements evaluation of the shareholder account base, certain Funds had accounts representing controlling ownership of more than 5% of the Funds total outstanding shares. The number of such accounts, including affiliated accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:
Fund |
Number of >5% Non-Affiliated Shareholders |
Percentage of Ownership |
Percentage of (Note 6) |
Total Percentage of |
||||||||||||
Multi-Asset Real Return Fund |
| | 77.49 | % | 77.49 | % | ||||||||||
Strategic Alpha Fund |
2 | 29.88 | % | | 29.88 | % |
117 |
Notes to Financial Statements (continued)
December 31, 2012
Omnibus accounts for which NGAM believes the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Funds may not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Diversifying Strategies Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
4,099,031 | $ | 38,970,945 | 12,268,438 | $ | 128,467,458 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 490,004 | 4,778,350 | ||||||||||||
Redeemed |
(10,236,217 | ) | (95,779,012 | ) | (4,814,646 | ) | (50,046,266 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(6,137,186 | ) | $ | (56,808,067 | ) | 7,943,796 | $ | 83,199,542 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
241,880 | $ | 2,303,417 | 1,482,681 | $ | 15,364,159 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 53,185 | 513,125 | ||||||||||||
Redeemed |
(1,666,089 | ) | (15,459,772 | ) | (843,625 | ) | (8,626,269 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(1,424,209 | ) | $ | (13,156,355 | ) | 692,241 | $ | 7,251,015 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
11,424,744 | $ | 109,289,687 | 24,283,289 | $ | 256,558,955 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 726,635 | 7,100,828 | ||||||||||||
Redeemed |
(25,631,204 | ) | (240,453,101 | ) | (16,608,106 | ) | (173,869,182 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(14,206,460 | ) | $ | (131,163,414 | ) | 8,401,818 | $ | 89,790,601 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(21,767,855 | ) | $ | (201,127,836 | ) | 17,037,855 | $ | 180,241,158 | ||||||||
|
|
|
|
|
|
|
|
| 118
Notes to Financial Statements (continued)
December 31, 2012
11. Capital Shares (continued)
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Global Alternatives Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
6,671,859 | $ | 69,656,715 | 18,930,522 | $ | 202,480,734 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 113,753 | 1,233,164 | ||||||||||||
Redeemed |
(22,096,972 | ) | (229,884,273 | ) | (10,876,025 | ) | (114,726,957 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(15,425,113 | ) | $ | (160,227,558 | ) | 8,168,250 | $ | 88,986,941 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
1,312,558 | $ | 13,451,528 | 4,655,200 | $ | 49,166,732 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 23,940 | 255,455 | ||||||||||||
Redeemed |
(3,617,306 | ) | (36,399,756 | ) | (1,819,331 | ) | (18,798,077 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(2,304,748 | ) | $ | (22,948,228 | ) | 2,859,809 | $ | 30,624,110 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
49,694,765 | $ | 523,953,187 | 94,621,473 | $ | 1,007,278,821 | ||||||||||
Issued in connection with the reinvestment of distributions |
| | 172,490 | 1,880,156 | ||||||||||||
Redeemed |
(59,893,411 | ) | (623,783,287 | ) | (23,131,849 | ) | (244,275,468 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(10,198,646 | ) | $ | (99,830,100 | ) | 71,662,114 | $ | 764,883,509 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(27,928,507 | ) | $ | (283,005,886 | ) | 82,690,173 | $ | 884,494,560 | ||||||||
|
|
|
|
|
|
|
|
119 |
Notes to Financial Statements (continued)
December 31, 2012
11. Capital Shares (continued)
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Managed Futures Strategy Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
19,088,248 | $ | 186,697,025 | 51,347,993 | $ | 551,929,224 | ||||||||||
Issued in connection with the reinvestment of distributions |
151,550 | 1,430,714 | 775,375 | 8,017,306 | ||||||||||||
Redeemed |
(33,421,613 | ) | (323,499,035 | ) | (22,561,002 | ) | (242,938,414 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(14,181,815 | ) | $ | (135,371,296 | ) | 29,562,366 | $ | 317,008,116 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
1,472,002 | $ | 14,295,148 | 2,371,607 | $ | 25,453,453 | ||||||||||
Issued in connection with the reinvestment of distributions |
6,597 | 62,822 | 23,560 | 241,481 | ||||||||||||
Redeemed |
(1,465,967 | ) | (14,003,106 | ) | (194,536 | ) | (2,061,142 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
12,632 | $ | 354,864 | 2,200,631 | $ | 23,633,792 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
67,366,684 | $ | 652,785,497 | 42,110,388 | $ | 454,569,292 | ||||||||||
Issued in connection with the reinvestment of distributions |
560,531 | 5,199,365 | 672,465 | 6,953,289 | ||||||||||||
Redeemed |
(42,443,142 | ) | (403,988,615 | ) | (7,808,584 | ) | (83,713,552 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
25,484,073 | $ | 253,996,247 | 34,974,269 | $ | 377,809,029 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
11,314,890 | $ | 118,979,815 | 66,737,266 | $ | 718,450,937 | ||||||||||
|
|
|
|
|
|
|
|
| 120
Notes to Financial Statements (continued)
December 31, 2012
11. Capital Shares (continued)
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Multi-Asset Real Return Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
59,602 | $ | 575,228 | 299,653 | $ | 3,033,094 | ||||||||||
Issued in connection with the reinvestment of distributions |
3,433 | 33,503 | 4,381 | 41,489 | ||||||||||||
Redeemed |
(114,389 | ) | (1,110,527 | ) | (216,274 | ) | (2,117,308 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(51,354 | ) | $ | (501,796 | ) | 87,760 | $ | 957,275 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
4,445 | $ | 42,861 | 12,897 | $ | 131,319 | ||||||||||
Issued in connection with the reinvestment of distributions |
105 | 1,022 | 130 | 1,229 | ||||||||||||
Redeemed |
(8,539 | ) | (81,769 | ) | (3,577 | ) | (34,371 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(3,989 | ) | $ | (37,886 | ) | 9,450 | $ | 98,177 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
1,160,408 | $ | 11,199,368 | 4,900,179 | $ | 49,608,192 | ||||||||||
Issued in connection with the reinvestment of distributions |
67,616 | 658,584 | 79,507 | 750,530 | ||||||||||||
Redeemed |
(1,709,547 | ) | (16,459,997 | ) | (4,638,918 | ) | (43,901,143 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(481,523 | ) | $ | (4,602,045 | ) | 340,768 | $ | 6,457,579 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(536,866 | ) | $ | (5,141,727 | ) | 437,978 | $ | 7,513,031 | ||||||||
|
|
|
|
|
|
|
|
121 |
Notes to Financial Statements (continued)
December 31, 2012
11. Capital Shares (continued)
|
Year Ended December 31, 2012 |
|
|
Year Ended December 31, 2011 |
| |||||||||||
Strategic Alpha Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
3,368,991 | $ | 33,423,777 | 30,602,206 | $ | 309,644,774 | ||||||||||
Issued in connection with the reinvestment of distributions |
208,555 | 2,083,348 | 518,886 | 5,000,664 | ||||||||||||
Redeemed |
(9,652,105 | ) | (94,597,229 | ) | (17,377,149 | ) | (168,594,903 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(6,074,559 | ) | $ | (59,090,104 | ) | 13,743,943 | $ | 146,050,535 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
1,159,013 | $ | 11,483,158 | 10,712,134 | $ | 108,281,778 | ||||||||||
Issued in connection with the reinvestment of distributions |
99,708 | 993,353 | 152,413 | 1,454,718 | ||||||||||||
Redeemed |
(2,906,551 | ) | (28,567,885 | ) | (2,607,812 | ) | (24,979,006 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(1,647,830 | ) | $ | (16,091,374 | ) | 8,256,735 | $ | 84,757,490 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
30,864,515 | $ | 307,198,920 | 42,674,035 | $ | 427,908,877 | ||||||||||
Issued in connection with the reinvestment of distributions |
791,524 | 7,923,627 | 592,079 | 5,679,301 | ||||||||||||
Redeemed |
(12,086,981 | ) | (119,319,186 | ) | (16,642,330 | ) | (162,068,348 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
19,569,058 | $ | 195,803,361 | 26,623,784 | $ | 271,519,830 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
11,846,669 | $ | 120,621,883 | 48,624,462 | $ | 502,327,855 | ||||||||||
|
|
|
|
|
|
|
|
| 122
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Diversifying Strategies Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, Loomis Sayles Multi-Asset Real Return Fund and Loomis Sayles Strategic Alpha Fund (formerly known as Loomis Sayles Absolute Strategies Fund):
In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the ASG Diversifying Strategies Fund (Consolidated), ASG Global Alternatives Fund (Consolidated), ASG Managed Futures Strategy Fund (Consolidated), Loomis Sayles Multi-Asset Real Return Fund (Consolidated) and Loomis Sayles Strategic Alpha Fund (formerly known as Loomis Sayles Absolute Strategies Fund), each a series of Natixis Funds Trust II (collectively, the Funds), at December 31, 2012, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2013
123 |
2012 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2012, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund |
Qualifying |
|||
Multi-Asset Real Return |
7.45 | % | ||
Strategic Alpha |
6.72 | % |
Qualified Dividend Income. A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2012 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individuals tax bracket. These percentages are noted below:
Fund |
Qualifying |
|||
Multi-Asset Real Return |
14.75 | % | ||
Strategic Alpha |
9.63 | % |
| 124
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II (the Trust). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INDEPENDENT TRUSTEES | ||||||||
Charles D. Baker (1956) |
Trustee From 2005 to 2009 and since 2011 Contract Review and Governance Committee Member |
Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health care organization) | 44 Director, Athenahealth, Inc. (software company) |
Significant experience on the Board; executive experience (including president and chief executive officer of a health care organization and executive officer of a venture capital and growth equity firm) | ||||
Daniel M. Cain3 (1945) |
Interested Trustee Chairman of the Contract Review and Governance Committee since 1996 |
Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking) | 44 Director, Sheridan Healthcare Inc. (physician practice management) |
Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm) |
125 |
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INDEPENDENT TRUSTEES (continued) | ||||||||
Kenneth A. Drucker (1945) |
Trustee Since 2008 Chairman of the Audit Committee |
Retired | 44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company) |
Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
Edmond J. English4 (1953) |
Trustee Since 2013 Contract Review and Governance Committee Member |
Chief Executive Officer of Bobs Discount Furniture (retail) | 44 Formerly, Director, BJs Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank) |
Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company) |
| 126
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INDEPENDENT TRUSTEES (continued) | ||||||||
Wendell J. Knox (1948) |
Trustee Since 2009 Audit Committee Member |
Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting) | 44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance) |
Significant experience on the Board and on the board of other business organizations (including at a commercial bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a consulting company) | ||||
Martin T. Meehan5 (1956) |
Trustee Since 2012 Contract Review and Governance Committee Member |
Chancellor and faculty member, University of Massachusetts Lowell | 44 None |
Experience as Chancellor of the University of Massachusetts Lowell; experience on the board of other business organizations; government experience (including as a member of the U.S. House of Representatives); academic experience |
127 |
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INDEPENDENT TRUSTEES (continued) | ||||||||
Sandra O. Moose (1942) |
Chairperson of the Board of Trustees since November 2005 Trustee Since 1993 Ex officio member of the Audit Committee and Contract Review and Governance Committee |
President, Strategic Advisory Services (management consulting) | 44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals) |
Significant experience on the Board and on the board of other business organizations (including at an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company) | ||||
Erik R. Sirri (1958) |
Trustee Since 2009 for Natixis Funds Trust II and Gateway Trust Audit Committee Member |
Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission | 44 None |
Experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
| 128
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INDEPENDENT TRUSTEES (continued) | ||||||||
Peter J. Smail (1952) |
Trustee Since 2009 Contract Review and Governance Committee Member |
Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management) | 44 None |
Experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
Cynthia L. Walker (1956) |
Trustee Since 2005 Audit Committee Member |
Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School | 44 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
INTERESTED TRUSTEES | ||||||||
Robert J. Blanding6 555 California Street San Francisco, CA 94104 |
Trustee Since 2003 |
President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P. | 44 None |
Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P. |
129 |
Trustee and Officer Information
Name and Year of |
Position(s) Held |
Principal |
Number of |
Experience, | ||||
INTERESTED TRUSTEES (continued) |
||||||||
David L. Giunta7 (1965) | Trustee Since 2011 President and Chief Executive Officer since 2008 |
President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company | 44 None |
Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P. | ||||
John T. Hailer8 (1960) |
Trustee Since 2000 |
President and Chief Executive Officer U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors L.P. and NGAM Distribution, L.P. | 44 None |
Significant experience on the Board; continuing experience as Chief Executive Officer U.S. and Asia, Natixis Global Asset Management, L.P. |
1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 72. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two year term as the Chairperson of the Board on November 18, 2011. |
2 | The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the Natixis Funds Trusts), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the Loomis Sayles Funds Trusts), and Hansberger International Series (collectively, the Fund Complex). |
| 130
Trustee and Officer Information
3 | Mr. Cain is deemed an interested person of the Trust since November 2012 because he is an affiliated person of Cain Brothers & Company, LLC, a registered broker-dealer that has executed portfolio transactions on behalf of certain institutional separate accounts managed by McDonnell Investment Management, LLC, the sub-adviser to the McDonnell Intermediate Municipal Bond Fund, a series of the Trust. |
4 | Mr. English was appointed as a trustee effective January 1, 2013. |
5 | Mr. Meehan was appointed as a trustee effective July 1, 2012. |
6 | Mr. Blanding is deemed an interested person of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. |
7 | Mr. Giunta is deemed an interested person of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. |
8 | Mr. Hailer is deemed an interested person of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer U.S. and Asia, Natixis Global Asset Management, L.P. |
131 |
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held |
Term of
Office1 and |
Principal Occupation | |||
OFFICERS OF THE TRUST | ||||||
Coleen Downs Dinneen (1960) |
Secretary, Clerk and Chief Legal Officer | Since September 2004 | Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. | |||
Russell L. Kane (1969) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer |
Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007 | Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P. | |||
Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since October 2004 | Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P. |
1 | Each officer of the Trust serves for an indefinite term in accordance with the Trusts current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustees or officers current position with such entity. |
| 132
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrants principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrants code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Kenneth A. Drucker, Mr. Wendell J. Knox, Mr. Erik R. Sirri, and Ms. Cynthia L. Walker are members of the audit committee and have been designated as audit committee financial experts by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrants annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrants financial statements but not reported under Audit Fees); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.
Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
1/1/11 12/31/11 |
1/1/12 12/31/12 |
1/1/11 12/31/11 |
1/1/12 12/31/12 |
1/1/11 12/31/11 |
1/1/12 12/31/12 |
1/1/11 12/31/11 |
1/1/12 12/31/12 |
|||||||||||||||||||||||||
Natixis Funds Trust II |
$ | 356,700 | $ | 330,445 | $ | 222 | $ | 619 | $ | 87,630 | $ | 88,950 | $ | | $ | |
1. | Audit-related fees consist of: |
2011 & 2012 performance of agreed-upon procedures related to the Registrants deferred compensation plan.
2. | Tax fees consist of: |
2011 & 2012 review of the Registrants tax returns.
Aggregate fees billed to the Registrant for non-audit services during 2011 and 2012 were $87,852 and $89,569, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth fees billed by the Registrants principal accountant for non-audit services rendered to NGAM Advisors, L.P. and entities controlling, controlled by or under common control with NGAM Advisors, L.P. (Control Affiliates) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
1/1/11 12/31/11 |
1/1/12 12/31/12 |
1/1/11 12/31/11 |
1/1/12 12/31/12 |
1/1/11 12/31/11 |
1/1/12 12/31/12 |
|||||||||||||||||||
Control Affiliates |
$ | | $ | | $ | | $ | | $ | | $ | |
The following table sets forth the aggregate fees billed by the Registrants principal accountant for non-audit services rendered to NGAM Advisors, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
Aggregate Non-Audit Fees | ||||||||
1/1/11 12/31/11 |
1/1/12 12/31/12 |
|||||||
Control Affiliates |
$ | 145,070 | $ | 179,460 |
None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrants Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrants independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrants Board of Trustees.
Item 11. Controls and Procedures.
The Registrants principal executive officer and principal financial officer have concluded that the Registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions 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 Registrants internal control over financial reporting that occurred during the Registrants last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting.
Item 12. Exhibits.
(a) (1) | Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1). | |
(a) (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | |
(a) (3) | Not applicable. | |
(b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b). |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2013 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | February 22, 2013 |
NATIXIS FUNDS TRUST I
NATIXIS FUNDS TRUST II
NATIXIS FUNDS TRUST IV
LOOMIS SAYLES FUNDS I
LOOMIS SAYLES FUNDS II
GATEWAY TRUST
HANSBERGER INTERNATIONAL SERIES
CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS
I. | Covered Persons/Purpose of the Code |
This Code of Ethics (this Code) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a Fund and, collectively, the Funds) listed on Exhibit A and applies to each Funds Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the Covered Persons, all covered persons are set forth in Exhibit B) for the purpose of promoting:
| Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (the SEC) and in other public communications made by the registrant |
| Compliance with applicable governmental laws, rules and regulations; |
| The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code of violations of the Code; and |
| Accountability for adherence to the Code. |
Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.
II. | Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest |
Overview. A conflict of interest occurs when a Covered Persons private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Persons, or a member of the Covered Persons family or household, receives improper personal benefits as a result of the Covered Persons position with the Fund.
Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the 1940 Act) and the Investment Advisers Act of 1940 (including the regulations thereunder, the Investment Advisers Act). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as affiliated persons of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a Service Provider and, collectively, the Service Providers) compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.
Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds Boards of Trustees (Boards) that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.
Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.
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Each Covered Person must not:
| use his/her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund; |
| cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit the Fund; or |
| retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of potential violations that are made in good faith. |
There are some conflict of interest situations that should always be approved by the Chief Legal Officer (CLO) of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President ). These conflict of interest situations are listed below:
| service on the board of directors or governing board of a publicly traded entity; |
| acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable; |
| any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Persons ownership does not exceed more than 2% of the outstanding securities of the relevant class; and |
| a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Persons employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Persons ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other benefits in exchange for soft dollars. |
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III. | Disclosure and Compliance |
| Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund; |
| Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Funds Board and auditors, and to governmental regulators and self-regulatory organizations; |
| Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and |
| It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
IV. | Reporting and Accountability |
Each Covered Person must:
| upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the Funds that he/she has received, read, and understands the Code; |
| annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and |
| notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code. |
The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Funds Audit Committee (the Committee).
The Funds will follow these procedures in investigating and enforcing this Code:
| the CLO will take all appropriate action to investigate any potential violations reported, which may include the use of internal or external counsel, accountants or other personnel; |
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| if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action; |
| any matter that the CLO believes is a violation will be reported to the Committee; |
| if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Person; |
| the Committee will be authorized to grant waivers, as it deems appropriate; and |
| any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. |
V. | Other Policies and Procedures |
This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.
VI. | Amendments |
Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Funds Board, including a majority of independent trustees.
VII. | Confidentiality |
All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.
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VIII. | Internal Use |
The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.
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Exhibit A
Registered Investment Companies
Natixis Funds Trust I
Natixis Funds Trust II
Natixis Funds Trust IV
Loomis Sayles Funds I
Loomis Sayles Funds II
Gateway Trust
Hansberger International Series
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Exhibit B
Persons Covered by this Code of Ethics
Trust |
Principal Executive Officer |
Principal Financial Officer |
Principal Accounting Officer | |||
Natixis Funds Trust I | David Giunta, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Natixis Funds Trust II | David Giunta, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Natixis Funds Trust IV | David Giunta, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Loomis Sayles Funds I | Robert J. Blanding, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Loomis Sayles Funds II | Robert J. Blanding, Trustee, Chief Executive Officer; David Giunta, President |
Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Gateway Trust | David Giunta, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer | |||
Hansberger International Series | David Giunta, Trustee, President and Chief Executive Officer | Michael Kardok, Treasurer | Michael Kardok, Treasurer |
-8-
Exhibit (a)(2)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-CSR
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-CSR of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 22, 2013
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-CSR
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-CSR of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 22, 2013
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |
Exhibit (b)
Natixis Funds Trust II
Section 906 Certification
In connection with the report on Form N-CSR for the period ended December 31, 2012 for the Registrant (the Report), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and
2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
By: | By: | |||
President and Chief Executive Officer | Treasurer | |||
Natixis Funds Trust II |
Natixis Funds Trust II | |||
/s/ David L. Giunta |
/s/ Michael C. Kardok | |||
David L. Giunta | Michael C. Kardok | |||
Date: February 22, 2013 | Date: February 22, 2013 |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Natixis Funds Trust II, and will be retained by the Natixis Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request.
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