Natixis Funds Trust II

N-Q 1 d508729dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: March 31, 2013

ITEM 1.

SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 81.9% of Net Assets

		Certificates of Deposit – 45.5%
	$1,100,000	BNP Paribas, 0.090%, 4/01/2013	$	1,100,000
	4,000,000	Canadian Imperial Bank, 0.100%, 4/01/2013		4,000,000
	4,000,000	Credit Agricole, 0.180%, 4/01/2013		4,000,000
	4,000,000	National Bank of Kuwait, 0.160%, 4/04/2013		4,000,000
	4,000,000	China Construction Bank Corp. (NY), 0.220%, 4/04/2013		4,000,000
	3,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013		3,000,090
	3,500,000	Bank of Montreal (IL), 0.170%, 5/22/2013		3,499,891
	4,300,000	Mizuho Corporate Bank, 0.380%, 6/14/2013		4,301,208
	3,500,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		3,500,917
	3,500,000	Norinchukin Bank, 0.380%, 7/12/2013		3,500,924
	3,300,000	National Australia Bank, 0.240%, 7/16/2013(b)		3,301,007
	4,000,000	Deutsche Bank A.G., 0.390%, 9/13/2013		4,000,188
	3,000,000	Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c)		3,000,894
	4,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014		3,999,996

				49,205,115

		Financial Company Commercial Paper – 23.6%
	5,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(b)(d)		4,999,795
	4,000,000	Barclays U.S. Funding, 0.150%, 4/12/2013(d)		3,999,817
	5,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(b)(d)		4,999,070
	3,500,000	United Overseas Bank Limited, 0.160%, 5/15/2013(d)		3,499,205
	4,000,000	Societe Generale North America, 0.370%, 7/02/2013(d)		3,996,992
	4,100,000	General Electric Capital Corp., 0.200%, 7/15/2013(d)		4,097,864

				25,592,743

		Commercial Paper – 9.1%
	4,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d)		3,999,734
	4,650,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013		4,650,093


Principal Amount		Description	Value (†)
		Commercial Paper – continued
$	1,211,000	Tennessee School Bond Authority, 0.180%, 6/03/2013	$	1,211,000

				9,860,827

		Other Notes – 3.7%
	4,000,000	Wells Fargo, 0.330%, 4/17/2014(c)		4,000,380

		Total Short-Term Investments (Identified Cost $88,652,108)		88,659,065

		Total Investments – 81.9% (Identified Cost $88,652,108)(a)		88,659,065
		Other assets less liabilities – 18.1%		19,617,184

		Net Assets – 100.0%	$	108,276,249

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Fund’s investment in the Subsidiary was $9,467,454, representing 8.7% of the Fund’s net assets.

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

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

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

Futures contracts are valued at their most recent settlement price.

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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 on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

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

(a)	Federal Tax Information:

At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $88,652,108 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	7,210
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(253	)

Net unrealized appreciation	$	6,957

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

At December 31, 2012, the Fund had a short-term capital loss carryforward of $32,033,613 with no expiration date and a long-term capital loss carryforward of $8,029,367 with no expiration date. At December 31, 2012, late-year ordinary and post-October loss deferrals were $4,066,141. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c)	Variable rate security. Rate as of March 31, 2013 is disclosed.

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

Forward Foreign Currency Contracts

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

At March 31, 2013, 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		6/19/2013	Australian Dollar		800,000	$	828,121	$	5,288
Buy		6/19/2013	British Pound		5,000,000		7,594,212		155,017
Sell		6/19/2013	British Pound		13,187,500		20,029,734		(245,482	)
Buy		6/19/2013	Canadian Dollar		5,000,000		4,913,379		35,330
Sell		6/19/2013	Canadian Dollar		10,600,000		10,416,363		(126,550	)
Buy		6/19/2013	Euro		1,375,000		1,763,521		(24,999	)
Sell		6/19/2013	Euro		4,250,000		5,450,883		81,223
Buy		6/19/2013	Japanese Yen		525,000,000		5,580,132		21,048
Sell		6/19/2013	Japanese Yen		1,987,500,000		21,124,784		(454,530	)
Buy		6/19/2013	New Zealand Dollar		7,800,000		6,492,964		127,852
Sell		6/19/2013	New Zealand Dollar		8,100,000		6,742,694		(122,142	)
Buy		6/19/2013	Norwegian Krone		32,000,000		5,462,311		(92,044	)
Sell		6/19/2013	Norwegian Krone		32,000,000		5,462,311		88,544
Buy		6/19/2013	Singapore Dollar		2,625,000		2,116,755		3,863
Sell		6/19/2013	Singapore Dollar		1,875,000		1,511,968		(11,441	)
Buy		6/19/2013	Swedish Krona		88,000,000		13,482,127		(214,007	)
Sell		6/19/2013	Swedish Krona		84,000,000		12,869,303		242,862
Buy		6/19/2013	Swiss Franc		17,750,000		18,716,482		35,203
Buy		6/19/2013	Swiss Franc		4,000,000		4,217,799		(18,345	)
Sell		6/19/2013	Swiss Franc		7,500,000		7,908,373		37,586
Sell		6/19/2013	Swiss Franc		13,250,000		13,971,458		(9,717	)
Sell		6/19/2013	Turkish Lira		300,000		164,163		(1,350	)

Total								$	(486,791	)

¹	Counterparty is UBS AG.

Futures Contracts

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

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

Futures contracts are exchange-traded. Exchange-traded futures 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 Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		4/19/2013		62	$	5,521,906	$	(72,219	)
ASX SPI 200™		6/20/2013		46		5,947,103		(9,709	)
CAC 40^®		4/19/2013		75		3,587,900		(32,514	)
DAX		6/21/2013		52		12,998,800		(321,616	)
E-mini Dow		6/21/2013		15		1,087,275		10,055
E-mini S&P 500^®		6/21/2013		1		78,135		922
Euribor		9/16/2013		77		24,602,835		(20,045	)
Euro Schatz		6/06/2013		498		70,743,243		67,028
EURO STOXX 50^®		6/21/2013		94		3,077,416		(30,995	)
Eurodollar		9/16/2013		530		132,009,750		(41,738	)
FTSE 100 Index		6/21/2013		76		7,334,019		(46,769	)
FTSE MIB		6/21/2013		43		4,144,166		(201,501	)
FTSE/JSE Top 40 Index		6/20/2013		142		5,484,310		(113,715	)
German Euro BOBL		6/06/2013		229		37,197,874		228,913
IBEX 35		4/19/2013		56		5,623,459		(434,228	)
Mini-Russell 2000		6/21/2013		65		6,167,850		114,725
MSCI Singapore		4/29/2013		70		4,207,845		42,891
MSCI Taiwan Index		4/29/2013		115		3,270,600		34,500
OMXS30^®		4/19/2013		263		4,802,695		46,413
S&P CNX Nifty Futures Index		4/25/2013		430		4,919,200		50,164
S&P/TSX 60 Index		6/20/2013		48		6,888,261		(36,761	)
Sterling		9/18/2013		84		15,872,855		(13,599	)
2 Year U.S. Treasury Note		6/28/2013		341		75,174,516		23,844
3 Year Australia Government Bond		6/17/2013		314		35,623,280		137,359
5 Year U.S. Treasury Note		6/28/2013		236		29,276,906		43,436
10 Year Australia Government Bond		6/17/2013		278		35,196,209		514,105
10 Year Canada Government Bond		6/19/2013		113		15,019,206		172,014
10 Year Japan Government Bond		6/11/2013		8		12,361,821		(37,393	)
10 Year U.S. Treasury Note		6/19/2013		483		63,748,453		438,859
30 Year U.S. Treasury Bond		6/19/2013		75		10,835,156		145,413

Total							$	657,839


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/19/2013		6	$	287,025	$	(7,380	)
Brent Crude Oil		4/15/2013		15		1,650,300		(9,900	)
Cocoa		5/15/2013		28		607,600		(22,400	)
Corn		5/14/2013		77		2,676,712		(34,750	)
Cotton		5/08/2013		39		1,724,970		69,440
Gas Oil		4/11/2013		10		915,500		(75,500	)
Gasoline		4/30/2013		18		2,351,614		(24,419	)
Heating Oil		4/30/2013		12		1,535,688		(14,263	)
Light Sweet Crude Oil		4/22/2013		15		1,458,450		62,530
Natural Gas		4/26/2013		27		1,086,480		71,950
Soybean		5/14/2013		39		2,739,262		(55,087	)
Soybean Meal		5/14/2013		57		2,306,220		(116,170	)
Soybean Oil		5/14/2013		70		2,104,620		(40,404	)
Wheat		5/14/2013		28		962,850		(68,938	)
Zinc		6/19/2013		14		662,988		(44,625	)

Total							$	(309,916	)

At March 31, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini NASDAQ 100		6/21/2013		6	$	337,320	$	(900	)
German Euro Bund		6/06/2013		17		3,170,440		(26,150	)
Hang Seng Index^®		4/29/2013		2		287,483		(154	)
TOPIX		6/14/2013		12		1,323,843		(62,867	)
UK Long Gilt		6/26/2013		4		721,921		(13,189	)

Total							$	(103,260	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/19/2013		8	$	382,700	$	8,585
Coffee		5/20/2013		20		1,028,625		45,731
Copper High Grade		5/29/2013		1		85,050		2,275
Copper LME		6/19/2013		1		188,450		5,588
Live Cattle		6/28/2013		3		149,250		(1,200	)
Nickel		6/19/2013		1		99,912		(342	)
Sugar		4/30/2013		1		19,779		—

Total							$	60,637

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

Fair Value Measurements

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

•

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

•

Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	88,659,065	$	—	$	88,659,065
Forward Foreign Currency Contracts (unrealized appreciation)		—		833,816		—		833,816
Futures Contracts (unrealized appreciation)		2,336,740		—		—		2,336,740

Total	$	2,336,740	$	89,492,881	$	—	$	91,829,621

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,320,607	)	$	—	$	(1,320,607	)
Futures Contracts (unrealized depreciation)		(2,031,440	)		—			—		(2,031,440	)

Total	$	(2,031,440	)	$	(1,320,607	)	$	—	$	(3,352,047	)

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.

Derivatives

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

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended March 31, 2013, the Fund used long and short contracts on short-term interest rates, U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary), to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(486,791	)	$	1,560,932

Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with 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.

As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash 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 is $15,723,982 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $14,890,166.

Counterparty risk is managed based on policies and procedures established by the Fund’s 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 is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. 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 Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of March 31, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	833,816		$	—		$	—
Futures (unrealized appreciation)		1,770,971			—			299,670			266,099

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(1,320,607	)	$	—		$	—
Futures (unrealized depreciation)		(152,113	)		—			(1,363,949	)		(515,378	)

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

Investment Summary at March 31, 2013 (Unaudited)


Certificates of Deposit	45.5	%
Financial Company Commercial Paper	23.6
Commercial Paper	9.1
Other Notes	3.7

Total Investments	81.9
Other assets less liabilities (including open forward foreign currency and futures contracts)	18.1

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 87.8% of Net Assets

		Certificates of Deposit – 52.4%
$	50,800,000	Canadian Imperial Bank, 0.100%, 4/01/2013	$	50,800,000
	51,500,000	Credit Agricole, 0.180%, 4/01/2013		51,500,000
	50,000,000	National Bank of Kuwait, 0.160%, 4/04/2013		50,000,000
	51,000,000	China Construction Bank Corp. (NY), 0.220%, 4/04/2013		51,000,000
	50,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013		50,001,500
	50,000,000	Bank of Montreal (IL), 0.170%, 5/22/2013		49,998,450
	25,000,000	Mizuho Corporate Bank, 0.380%, 6/14/2013		25,007,025
	27,000,000	Norinchukin Bank, 0.380%, 7/08/2013		27,006,858
	50,000,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		50,013,100
	23,000,000	Norinchukin Bank, 0.380%, 7/12/2013(b)		23,006,072
	50,000,000	National Australia Bank, 0.240%, 7/16/2013		50,015,250
	50,000,000	Deutsche Bank A.G., 0.390%, 9/13/2013		50,002,350
	50,000,000	Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c)		50,014,900
	20,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013		20,009,900
	40,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		39,999,960

				638,375,365

		Financial Company Commercial Paper – 24.9%
	10,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(d)		9,999,590
	50,000,000	Barclays U.S. Funding, 0.150%, 4/12/2013(d)		49,997,708
	38,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 4/26/2013(d)		37,995,250
	12,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(d)		11,997,768
	50,000,000	United Overseas Bank Limited, 0.160%, 5/15/2013(d)		49,988,650
	24,500,000	Oversea-Chinese Banking Corp. Ltd., 0.210%, 6/25/2013(d)		24,486,746
	50,000,000	Societe Generale North America, 0.370%, 7/02/2013(b)(d)		49,962,400
	50,000,000	General Electric Capital Corp., 0.230%, 7/15/2013(b)(d)		49,973,950
	19,200,000	ICICI Bank Ltd., (Credit Support: Wells Fargo), 0.300%, 7/23/2013(b)(d)		19,185,158

				303,587,220


Principal Amount		Description	Value (†)
		Commercial Paper – 6.8%
$	25,300,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/05/2013(d)	$	25,299,157
	22,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d)		21,998,533
	35,250,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013		35,250,705

				82,548,395

		Other Notes – 3.7%
	20,000,000	JPMorgan Chase Bank NA, 0.361%, 4/07/2014(c)		19,995,840
	25,000,000	Wells Fargo, 0.330%, 4/17/2014(c)		25,002,375

				44,998,215

		Total Short-Term Investments (Identified Cost $1,069,417,390)		1,069,509,195

		Total Investments – 87.8% (Identified Cost $1,069,417,390)(a)		1,069,509,195
		Other assets less liabilities – 12.2%		148,003,695

		Net Assets – 100.0%	$	1,217,512,890

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Fund’s investment in the Subsidiary was $78,924,852, representing 6.5% of the Fund’s net assets.

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

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information:

At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $1,069,417,390 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	$	100,294
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,489	)

Net unrealized appreciation	$	91,805

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 Fund’s obligations under open forward foreign currency and futures contracts.

(c)

Variable rate security. Rate as of March 31, 2013 is disclosed.

(d)

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

Forward Foreign Currency Contracts

At March 31, 2013, 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		6/19/2013	Australian Dollar		25,100,000	$	25,982,310	$	(490,474	)
Buy		6/19/2013	British Pound		53,562,500		81,352,995		1,660,618
Buy		6/19/2013	Canadian Dollar		21,500,000		21,127,529		256,681
Buy		6/19/2013	Euro		131,125,000		168,175,781		(2,384,014	)
Sell		6/19/2013	Euro		56,625,000		72,625,004		1,243,552
Sell		6/19/2013	Euro		35,125,000		45,049,947		(132,353	)
Sell		6/19/2013	Japanese Yen		23,012,500,000		244,595,775		(4,164,337	)
Buy		6/19/2013	Swedish Krona		168,000,000		25,738,606		(421,171	)
Buy		6/19/2013	Swiss Franc		92,250,000		97,272,982		172,266

Total								$	(4,259,232	)

¹	Counterparty is UBS AG.

Futures Contracts

At March 31, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		6/21/2013		1,311	$	327,719,751	$	(7,541,401	)
E-mini S&P 500^®		6/21/2013		1,684		131,579,340		1,861,390
Eurodollar		9/16/2013		20,673		5,149,127,475		(1,079,637	)
FTSE 100 Index		6/21/2013		1,057		102,000,766		(680,220	)
German Euro Bund		6/06/2013		1,001		186,682,968		2,640,151
Hang Seng Index^®		4/29/2013		330		47,434,670		187,052
TOPIX		6/14/2013		1,139		125,654,804		5,380,740


Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
UK Long Gilt		6/26/2013		1,085	$	195,821,057	$	5,812,275
10 Year Japan Government Bond		6/11/2013		151		233,329,367		1,042,652
10 Year U.S. Treasury Note		6/19/2013		1,848		243,907,125		1,192,328

Total							$	8,815,330


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/19/2013		480	$	22,962,000	$	(969,000	)
Brent Crude Oil		4/15/2013		396		43,567,920		(261,360	)
Copper LME		6/19/2013		340		64,073,000		(1,899,750	)
Gas Oil		4/11/2013		186		17,028,300		(1,404,300	)
Heating Oil		4/30/2013		42		5,374,908		(49,921	)
Light Sweet Crude Oil		4/22/2013		696		67,672,080		3,278,160
Natural Gas		4/26/2013		152		6,116,480		509,200
Zinc		6/19/2013		4		189,425		(12,750	)

Total							$	(809,721	)

At March 31, 2013, open short futures contracts were as follows:


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/19/2013		485	$	23,201,188	$	365,928
Copper LME		6/19/2013		606		114,200,700		2,349,976
Gold		6/26/2013		476		75,955,320		590,240
Nickel		6/19/2013		296		29,573,952		(101,232	)

Total							$	3,204,912

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,069,509,195	$	—	$	1,069,509,195
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,333,117		—		3,333,117
Futures Contracts (unrealized appreciation)		25,210,092		—		—		25,210,092

Total	$	25,210,092	$	1,072,842,312	$	—	$	1,098,052,404

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(7,592,349	)	$	—	$	(7,592,349	)
Futures Contracts (unrealized depreciation)		(13,999,571	)		—			—		(13,999,571	)

Total	$	(13,999,571	)	$	(7,592,349	)	$	—	$	(21,591,920	)

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.

Derivatives

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2013, the Fund used long contracts on U.S. and foreign equity market indices, foreign government bonds, and short-term interest rates, and long and short contracts on U.S. Government Bonds, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(4,259,232	)	$	14,459,673

Counterparty risk is managed based on policies and procedures established by the Fund’s 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 is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of March 31, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	3,333,117		$	—		$	—
Futures (unrealized appreciation)		10,687,406			—			7,429,182			7,093,504

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(7,592,349	)	$	—		$	—
Futures (unrealized depreciation)		(1,079,638	)		—			(8,221,620	)		(4,698,313	)

Investment Summary at March 31, 2013 (Unaudited)


Certificates of Deposit	52.4	%
Financial Company Commercial Paper	24.9
Commercial Paper	6.8
Other Notes	3.7

Total Investments	87.8
Other assets less liabilities (including open forward foreign currency and futures contracts)	12.2

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 82.9% of Net Assets

		Certificates of Deposit – 51.5%
	$ 28,900,000	Canadian Imperial Bank, 0.100%, 4/01/2013	$	28,900,000
	29,000,000	Credit Agricole, 0.180%, 4/01/2013		29,000,000
	29,000,000	National Bank of Kuwait, 0.160%, 4/04/2013		29,000,000
	21,000,000	China Construction Bank Corp. (NY), 0.220%, 4/04/2013		21,000,000
	29,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.210%, 5/21/2013		29,000,870
	25,000,000	Bank of Montreal (IL), 0.170%, 5/22/2013		24,999,225
	25,000,000	Mizuho Corporate Bank, 0.380%, 6/14/2013(b)		25,007,025
	19,000,000	Norinchukin Bank, 0.380%, 7/08/2013(b)		19,004,826
	29,000,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		29,007,598
	10,000,000	Norinchukin Bank, 0.380%, 7/12/2013(b)		10,002,640
	29,000,000	National Australia Bank, 0.240%, 7/16/2013		29,008,845
	29,000,000	Deutsche Bank A.G., 0.390%, 9/13/2013		29,001,363
	25,050,000	Westpac Banking Corp. (NY), 0.335%, 11/06/2013(b)(c)		25,057,465
	15,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013(b)		15,007,425
	33,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		32,999,967

				375,997,249

		Financial Company Commercial Paper – 22.9%
	10,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 4/08/2013(d)		9,999,590
	30,000,000	Barclays U.S. Funding, 0.150%, 4/12/2013(d)		29,998,625
	9,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 4/26/2013(d)		8,998,875
	20,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.300%, 5/07/2013(d)		19,996,280
	29,000,000	United Overseas Bank Limited, 0.160%, 5/15/2013(d)		28,993,417
	15,200,000	Oversea-Chinese Banking Corp. Ltd., 0.210%, 6/25/2013(d)		15,191,777
	25,000,000	Societe Generale North America, 0.370%, 7/02/2013(d)		24,981,200
	29,000,000	General Electric Capital Corp., 0.230%, 7/15/2013(d)		28,984,891

				167,144,655


Principal Amount		Description	Value (†)
		Commercial Paper – 5.8%
$	22,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.300%, 4/09/2013(d)	$	21,998,533
	20,000,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013		20,000,400

				41,998,933

		Other Notes – 2.7%
	5,000,000	JPMorgan Chase Bank NA, 0.361%, 4/07/2014(c)		4,998,960
	15,000,000	Wells Fargo, 0.330%, 4/17/2014(c)		15,001,425

				20,000,385

		Total Short-Term Investments (Identified Cost $605,084,143)		605,141,222

		Total Investments – 82.9% (Identified Cost $605,084,143)(a)		605,141,222
		Other assets less liabilities – 17.1%		125,005,319

		Net Assets – 100.0%	$	730,146,541

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Fund’s investment in the Subsidiary was $23,188,193, representing 3.2% of the Fund’s net assets.

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

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information:

At March 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $605,084,143 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	$	60,585
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,506	)

Net unrealized appreciation	$	57,079

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

At December 31, 2012, the Fund had a short-term capital loss carryforward of $46,702,235 with no expiration date and a long-term capital loss carryforward of $30,123,466 with no expiration date. At December 31, 2012, late-year ordinary and post-October capital loss deferrals were $3,927,824. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c)	Variable rate security. Rate as of March 31, 2013 is disclosed.

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

Forward Foreign Currency Contracts

At March 31, 2013, 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		6/19/2013	Australian Dollar		10,600,000	$	10,972,609	$	(207,133	)
Buy		6/19/2013	Australian Dollar		8,500,000		8,798,790		24,779
Buy		6/19/2013	Australian Dollar		12,200,000		12,628,852		(75,610	)
Buy		6/19/2013	British Pound		12,312,500		18,700,747		42,611
Sell		6/19/2013	British Pound		29,062,500		44,141,356		(872,830	)
Buy		6/19/2013	Canadian Dollar		9,200,000		9,040,617		80,515
Sell		6/19/2013	Canadian Dollar		37,900,000		37,243,412		(452,474	)
Buy		6/19/2013	Euro		9,000,000		11,543,047		(163,631	)
Sell		6/19/2013	Euro		17,625,000		22,605,134		366,784
Buy		6/19/2013	Japanese Yen		900,000,000		9,565,940		36,083
Buy		6/19/2013	Japanese Yen		975,000,000		10,363,102		(6,459	)
Sell		6/19/2013	Japanese Yen		3,862,500,000		41,053,826		(859,677	)
Buy		6/19/2013	New Zealand Dollar		39,500,000		32,881,036		442,124
Sell		6/19/2013	New Zealand Dollar		13,300,000		11,071,336		(200,555	)
Buy		6/19/2013	Norwegian Krone		2,000,000		341,394		(6,000	)
Sell		6/19/2013	Norwegian Krone		74,000,000		12,631,593		39,937
Buy		6/19/2013	Singapore Dollar		47,000,000		37,899,990		69,162
Buy		6/19/2013	Singapore Dollar		13,000,000		10,482,976		(5,691	)
Sell		6/19/2013	Singapore Dollar		50,375,000		40,621,532		(261,543	)
Buy		6/19/2013	Swedish Krona		152,000,000		23,287,310		(381,060	)
Sell		6/19/2013	Swedish Krona		78,000,000		11,950,067		52,902
Sell		6/19/2013	Swiss Franc		6,875,000		7,249,342		38,060
Sell		6/19/2013	Swiss Franc		9,000,000		9,490,047		(8,259	)
Buy		6/19/2013	Turkish Lira		17,400,000		9,521,472		(7,459	)
Sell		6/19/2013	Turkish Lira		35,400,000		19,371,270		(58,853	)

Total								$	(2,374,277	)

¹	Counterparty is UBS AG.

Futures Contracts

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

Futures contracts are exchange-traded. Exchange-traded futures 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 Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		4/19/2013		641	$	57,089,378	$	(582,858	)
ASX SPI 200™		6/20/2013		596		77,053,773		(820,062	)
CAC 40^®		4/19/2013		985		47,121,091		(1,420,451	)
DAX		6/21/2013		233		58,244,624		(1,441,089	)
E-mini Dow		6/21/2013		1,159		84,010,115		1,380,550
E-mini NASDAQ 100		6/21/2013		1,095		61,560,900		341,996
E-mini S&P 500^®		6/21/2013		819		63,992,565		1,021,703
Euribor		9/16/2013		5,518		1,763,096,638		(710,546	)
Euro Schatz		6/06/2013		8,558		1,215,704,159		855,507
EURO STOXX 50^®		6/21/2013		1,324		43,345,733		(1,321,793	)
Eurodollar		9/16/2013		5,170		1,287,717,750		(491,262	)
FTSE 100 Index		6/21/2013		626		60,409,157		(385,226	)
FTSE/JSE Top 40 Index		6/20/2013		1,312		50,671,939		(910,081	)
FTSE MIB		6/21/2013		172		16,576,664		(789,883	)
German Euro BOBL		6/06/2013		3,842		624,079,618		2,457,936
German Euro Bund		6/06/2013		1,798		335,320,655		3,361,884
Hang Seng Index^®		4/29/2013		211		30,329,441		119,600
IBEX 35		4/19/2013		396		39,765,888		(3,336,793	)
Mini-Russell 2000		6/21/2013		705		66,897,450		1,246,205
MSCI Singapore		4/29/2013		1,047		62,937,332		476,075
MSCI Taiwan Index		4/29/2013		1,564		44,480,160		469,200
Nikkei 225™		6/14/2013		449		59,144,845		3,407,925
OMXS30^®		4/19/2013		3,660		66,835,979		673,181
S&P/TSX 60 Index		6/20/2013		411		58,980,735		(314,019	)
S&P CNX Nifty Futures Index		4/25/2013		1,638		18,738,720		194,436
Sterling		9/18/2013		6,958		1,314,801,530		(810,512	)
TOPIX		6/14/2013		637		70,274,021		3,519,106
UK Long Gilt		6/26/2013		1,047		188,962,808		2,172,540
2 Year U.S. Treasury Note		6/28/2013		6,321		1,393,484,209		434,231
3 Year Australia Government Bond		6/17/2013		774		87,810,253		338,586
5 Year U.S. Treasury Note		6/28/2013		3,184		394,990,127		461,814
10 Year Australia Government Bond		6/17/2013		356		45,071,405		711,888
10 Year Canada Government Bond		6/19/2013		1,907		253,465,709		1,306,787
10 Year Japan Government Bond		6/11/2013		431		665,993,095		2,015,297
10 Year U.S. Treasury Note		6/19/2013		1,639		216,322,391		565,656
30 Year U.S. Treasury Bond		6/19/2013		499		72,089,906		358,656

Total							$	14,556,184


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/15/2013		77	$	8,471,540	$	(50,820	)
Corn		5/14/2013		394		13,696,425		(375,562	)
Cotton		5/08/2013		636		28,130,280		707,965
Gasoline		4/30/2013		151		19,727,425		(204,847	)
Light Sweet Crude Oil		4/22/2013		147		14,292,810		425,280
Natural Gas		4/26/2013		289		11,629,360		287,070
Soybean		5/14/2013		247		17,348,663		(492,062	)
Soybean Meal		5/14/2013		415		16,790,900		(745,000	)
Soybean Oil		5/14/2013		380		11,425,080		(356,232	)
Wheat		5/14/2013		20		687,750		(36,000	)
Zinc		6/19/2013		297		14,064,806		(946,688	)

Total							$	(1,786,896	)

At March 31, 2013, open short futures contracts were as follows:


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		6/19/2013		181	$	8,658,587	$	66,194
Cocoa		5/15/2013		255		5,533,500		(252,030	)
Coffee		5/20/2013		348		17,898,075		221,831
Copper High Grade		5/29/2013		196		16,669,800		643,787
Copper LME		6/19/2013		106		19,975,700		657,894
Gas Oil		4/11/2013		12		1,098,600		(20,100	)
Gold		6/26/2013		14		2,233,980		17,360
KC Wheat		5/14/2013		239		8,684,663		614,925
Live Cattle		6/28/2013		568		28,258,000		(692,950	)
Nickel		6/19/2013		58		5,794,896		(1,020	)
Silver		5/29/2013		99		14,019,885		215,820
Sugar		4/30/2013		504		9,968,717		231,437
Zinc		6/19/2013		312		14,775,150		511,552

Total							$	2,214,700

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	605,141,222	$	—	$	605,141,222
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,192,957		—		1,192,957
Futures Contracts (unrealized appreciation)		32,491,874		—		—		32,491,874

Total	$	32,491,874	$	606,334,179	$	—	$	638,826,053

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,567,234	)	$	—	$	(3,567,234	)
Futures Contracts (unrealized depreciation)		(17,507,886	)		—			—		(17,507,886	)

Total	$	(17,507,886	)	$	(3,567,234	)	$	—	$	(21,075,120	)

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the period ended March 31, 2013, the Fund used long contracts on U.S. and foreign equity market indices and U.S. government bonds and long and short contracts on foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(2,374,277	)	$	7,491,083

Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash 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 is $142,158,383 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $140,965,426.

Counterparty risk is managed based on policies and procedures established by the Fund’s 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 is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of March 31, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	1,192,957		$	—		$	—
Futures (unrealized appreciation)		15,040,782			—			12,849,977			4,601,115

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(3,567,234	)	$	—		$	—
Futures (unrealized depreciation)		(2,012,320	)		—			(11,322,255	)		(4,173,311	)

Investment Summary at March 31, 2013 (Unaudited)


Certificates of Deposit	51.5	%
Financial Company Commercial Paper	22.9	%
Commercial Paper	5.8	%
Other Notes	2.7	%

Total Investments	82.9	%
Other Assets Less Liabilities (including open forward foreign currency and futures contracts)	17.1	%

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 95.7% of Net Assets

		Aerospace & Defense – 3.4%
	56,100	Boeing Co. (The)	$	4,816,185

		Air Freight & Logistics – 3.4%
	49,100	FedEx Corp.		4,821,620

		Auto Components – 6.3%
	43,400	Autoliv, Inc.		3,000,676
	85,900	Delphi Automotive PLC		3,813,960
	40,700	TRW Automotive Holdings Corp.(b)		2,238,500

				9,053,136

		Automobiles – 1.5%
	20,800	Toyota Motor Corp., Sponsored ADR		2,134,912

		Capital Markets – 7.7%
	6,000	BlackRock, Inc.		1,541,280
	32,400	Franklin Resources, Inc.		4,886,244
	31,200	Goldman Sachs Group, Inc. (The)		4,591,080

				11,018,604

		Commercial Banks – 5.0%
	193,100	Wells Fargo & Co.		7,142,769

		Consumer Finance – 2.1%
	54,400	Capital One Financial Corp.		2,989,280

		Diversified Financial Services – 6.5%
	57,600	CME Group, Inc., Class A		3,536,064
	123,100	JPMorgan Chase & Co.		5,842,326

				9,378,390

		Electrical Equipment – 1.7%
	27,900	Rockwell Automation, Inc.		2,409,165

		Energy Equipment & Services – 2.6%
	52,200	National Oilwell Varco, Inc.		3,693,150

		Health Care Equipment & Supplies – 1.0%
	31,700	Medtronic, Inc.		1,488,632

		Hotels, Restaurants & Leisure – 6.2%
	106,100	Marriott International, Inc., Class A		4,480,603
	22,600	McDonald’s Corp.		2,252,994
	33,400	Starwood Hotels & Resorts Worldwide, Inc.		2,128,582

				8,862,179

		Insurance – 3.0%
	111,000	American International Group, Inc.(b)		4,309,020

		Internet Software & Services – 0.8%
	1,400	Google, Inc., Class A(b)		1,111,642


Shares		Description	Value (†)
	Common Stocks – continued

		IT Services – 7.1%
	11,300	MasterCard, Inc., Class A	$	6,114,769
	23,800	Visa, Inc., Class A		4,042,192

				10,156,961

		Machinery – 8.3%
	20,300	Caterpillar, Inc.		1,765,491
	28,400	Cummins, Inc.		3,289,004
	83,500	Illinois Tool Works, Inc.		5,088,490
	18,400	Parker Hannifin Corp.		1,685,072

				11,828,057

		Media – 4.3%
	79,600	Comcast Corp., Special Class A		3,153,752
	39,900	Omnicom Group, Inc.		2,350,110
	11,600	Walt Disney Co. (The)		658,880

				6,162,742

		Multiline Retail – 1.4%
	33,000	Family Dollar Stores, Inc.		1,948,650

		Oil, Gas & Consumable Fuels – 2.4%
	38,500	ExxonMobil Corp.		3,469,235

		Semiconductors & Semiconductor Equipment – 11.7%
	340,000	Applied Materials, Inc.		4,583,200
	310,000	Intel Corp.		6,773,500
	61,700	Lam Research Corp.(b)		2,558,082
	82,300	Texas Instruments, Inc.		2,920,004

				16,834,786

		Software – 3.9%
	172,400	Oracle Corp.		5,575,416

		Specialty Retail – 4.4%
	17,900	Advance Auto Parts, Inc.		1,479,435
	49,600	CarMax, Inc.(b)		2,068,320
	39,600	Tiffany & Co.		2,753,784

				6,301,539

		Textiles, Apparel & Luxury Goods – 1.0%
	25,400	NIKE, Inc., Class B		1,498,854

		Total Common Stocks (Identified Cost $104,376,603)		137,004,924


Principal Amount
	Short-Term Investments – 4.6%
$	6,571,387	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $6,571,387 on 4/01/2013 collateralized by $6,715,000 U.S Treasury Note, 0.250% due 9/15/2015 valued at $6,706,606 including accrued interest(c) (Identified Cost $6,571,387)		6,571,387


Description	Value (†)
Total Investments – 100.3% (Identified Cost $110,947,990)(a)	$	143,576,311
Other assets less liabilities – (0.3)%		(394,180	)

Net Assets – 100.0%	$	143,182,131

(†)

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

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

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

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

At March 31, 2013, the net unrealized appreciation on investments based on a cost of $110,947,990 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	$	32,628,321
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		—

Net unrealized appreciation	$	32,628,321

At December 31, 2012, the Fund had a short-term capital loss carryforward of $6,087,105 of which $5,297,011 expires on December 31, 2017 and $790,094 expires on December 31, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	137,004,924	$	—	$	—	$	137,004,924
Short-Term Investments		—		6,571,387		—		6,571,387

Total	$	137,004,924	$	6,571,387	$	—	$	143,576,311

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at March 31, 2013 (Unaudited)


Semiconductors & Semiconductor Equipment	11.7	%
Machinery	8.3
Capital Markets	7.7
IT Services	7.1
Diversified Financial Services	6.5
Auto Components	6.3
Hotels, Restaurants & Leisure	6.2
Commercial Banks	5.0
Specialty Retail	4.4
Media	4.3
Software	3.9
Air Freight & Logistics	3.4
Aerospace & Defense	3.4
Insurance	3.0
Energy Equipment & Services	2.6
Oil, Gas & Consumable Fuels	2.4
Consumer Finance	2.1
Other Investments, less than 2% each	7.4
Short-Term Investments	4.6

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 69.2% of Net Assets

	Non-Convertible Bonds – 65.6%

		ABS Home Equity – 6.0%
$	1,821,893	Banc of America Funding Corp., Series 2004-B, Class 4A2, 2.975%, 11/20/2034(b)	$	1,651,666
	950,362	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.652%, 7/25/2037, 144A(b)		588,666
	1,047,981	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 3.135%, 9/25/2034(b)		979,269
	1,528,847	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.475%, 2/22/2035(b)		1,175,459
	756,601	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		650,595
	1,437,760	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		1,239,728
	2,352,417	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		2,089,363
	1,361,577	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.414%, 5/25/2035(b)		1,029,907
	953,106	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		656,535
	1,070,315	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		909,341
	285,394	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.718%, 9/20/2034(b)		271,530
	1,821,558	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.713%, 4/25/2035(b)		1,128,798
	572,306	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.474%, 4/25/2035(b)		424,741
	2,168,192	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(c)		2,173,606
	1,896,450	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 3A1, 2.764%, 6/25/2034(b)		1,867,486
	481,426	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		497,618
	1,507,041	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,313,598
	859,992	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		719,190
	2,497,939	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.354%, 11/25/2036(b)		1,080,811
	2,519,111	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.403%, 6/19/2035(b)(c)		2,471,074
	1,134,215	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.586%, 7/19/2035(b)		1,044,970
	341,717	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.127%, 12/25/2034(b)		297,852
	1,147,961	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.045%, 7/25/2035(b)		1,055,303
	2,073,631	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,809,115
	209,200	Harborview Mortgage Loan Trust, Series 2004-11, Class 3A1A, 0.553%, 1/19/2035(b)		141,943


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

	Non-Convertible Bonds – continued

		ABS Home Equity – continued
$	1,789,075	Harborview Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.974%, 12/19/2035(b)	$	1,531,478
	2,648,367	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.314%, 5/25/2037(b)		1,703,800
	1,285,895	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.984%, 12/25/2034(b)		978,454
	1,295,954	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.524%, 7/25/2045(b)		1,090,427
	1,017,003	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.364%, 12/25/2036(b)		679,501
	2,214,161	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.354%, 8/25/2046(b)		2,179,060
	2,910,483	Lehman XS Trust, Series 2006-4N, Class A2A, 0.424%, 4/25/2046(b)		2,049,262
	2,069,735	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.324%, 7/25/2037(b)(d)		1,289,784
	985,367	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.269%, 5/25/2034(b)		934,034
	965,979	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.990%, 4/25/2036(b)		892,002
	696,409	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.364%, 1/25/2047(b)		486,906
	2,282,966	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.444%, 5/25/2037(b)		1,569,096
	2,463,836	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,838,618
	536,327	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.274%, 5/25/2036(b)		534,590
	1,522,950	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,424,271
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c)		2,816,428
	341,683	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.936%, 10/25/2035(b)		338,504
	3,129,206	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(c)		2,664,775
	1,334,387	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,378,298
	771,192	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.514%, 7/25/2035(b)		576,544
	585,237	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.571%, 9/25/2046(b)		514,478
	302,890	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.984%, 12/25/2046(b)		267,964
	573,146	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 4.560%, 10/25/2033(b)		573,219
	773,518	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		800,174
	901,862	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		924,934

				57,304,765

		ABS Other – 0.5%
	2,224,523	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		2,283,390


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

	Non-Convertible Bonds – continued

		ABS Other – continued
$	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	741,042
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		427,679
	846,695	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		869,441

				4,321,552

		Aerospace & Defense – 1.6%
	9,203,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c)		8,091,480
	1,835,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,729,488
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c)		5,344,025

				15,164,993

		Airlines – 2.2%
	2,900,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		2,948,937
	680,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026		707,200
	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		969,825
	2,289,043	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		2,529,393
	113,709	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		118,826
	1,985,088	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,248,112
	5,160,000	Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(c)		5,547,000
	1,868,106	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		2,143,652
	1,615,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,804,763
	1,310,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026		1,365,675

				20,911,108

		Automotive – 1.2%
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(c)		3,036,442
	8,500,000	Toyota Motor Credit Corp., MTN, 0.430%, 3/10/2015(b)(c)		8,508,152

				11,544,594

		Banking – 4.9%
	1,500,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(c)		3,133,616
	3,950,000	Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(c)		5,541,794


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

	Non-Convertible Bonds – continued

		Banking – continued
	600,000	GMAC International Finance BV, 7.500%, 4/21/2015, (EUR)	$	837,346
	7,920,000	Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A		8,160,847
	5,285,000	Lloyds TSB Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(c)		7,483,433
	3,105,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c)		3,211,495
	2,000,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)(c)		2,561,361
	1,950,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)(c)		2,699,578
	4,500,000	Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)(c)		6,547,053
	6,600,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A(c)		6,573,197

				46,749,720

		Brokerage – 0.4%
	3,250,000	Jefferies Group LLC, 5.125%, 1/20/2023(c)		3,441,022

		Building Materials – 0.9%
	2,400,000	Odebrecht Finance Ltd., 7.125%, 6/26/2042, 144A(c)		2,718,000
	5,960,000	Owens Corning, 4.200%, 12/15/2022(c)		6,095,572

				8,813,572

		Chemicals – 0.9%
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(c)		2,853,000
	5,630,000	Orion Engineered Carbons Finance & Co. SCA, 9.250%, 8/01/2019, 144A(c)(e)		5,686,300

				8,539,300

		Collateralized Mortgage Obligations – 0.2%
	45,653,311	Government National Mortgage Association, Series 2010-83, Class IO, 1.018%, 7/16/2050(b)(f)		2,244,408

		Commercial Mortgage-Backed Securities – 3.5%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 5.822%, 5/11/2039, 144A(b)		965,303
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.548%, 4/15/2044, 144A(b)(c)		4,832,619
	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c)		2,552,863
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)(c)		5,415,627
	3,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)(c)		3,560,244
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.787%, 8/10/2045(b)(c)		4,361,361


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

	Non-Convertible Bonds – continued

		Commercial Mortgage-Backed Securities – continued
$	1,520,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049	$	1,621,962
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.254%, 9/15/2047, 144A(b)		1,360,813
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.317%, 6/15/2044, 144A(b)		2,218,619
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b)		1,445,811
	5,175,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.465%, 2/15/2044, 144A(b)(c)		5,397,903

				33,733,125

		Construction Machinery – 1.8%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.527%, 2/26/2016(b)(c)		17,675,435

		Consumer Products – 0.2%
	1,450,000	Avon Products, Inc., 4.600%, 3/15/2020		1,506,221

		Diversified Manufacturing – 1.0%
	3,000,000	Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A(c)		3,315,000
	1,100,000	Milacron LLC/Mcron Finance Corp., 7.750%, 2/15/2021, 144A		1,137,125
	4,500,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A(c)		4,871,250

				9,323,375

		Electric – 2.8%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		2,188,078
	3,300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,140,600
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		826,165
	5,510,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A(c)		6,198,750
	7,570,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A(c)		8,705,500
	5,320,000	Georgia Power Co., 0.600%, 3/15/2016(b)		5,323,080

				26,382,173

		Financial Other – 0.7%
	1,625,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		1,676,478
	585,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		650,551
	4,400,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		4,228,400

				6,555,429


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

	Non-Convertible Bonds – continued

		Food & Beverage – 1.6%
$	800,000	Alicorp SAA, 3.875%, 3/20/2023, 144A	$	798,000
	4,600,000	BRF—Brazil Foods S.A., 5.875%, 6/06/2022, 144A(c)		5,117,500
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		1,173,475
	3,500,000	General Mills, Inc., Series FRN, 0.601%, 1/29/2016(b)(c)		3,502,989
	4,455,000	Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A		4,460,569

				15,052,533

		Government Owned—No Guarantee – 1.5%
	8,000,000	Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(c)		7,890,000
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c)		6,421,108

				14,311,108

		Government Sponsored – 0.4%
	1,410,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		1,312,267
	2,275,000	Eksportfinans ASA, 2.000%, 9/15/2015		2,184,200
	55,000	Eksportfinans ASA, 2.375%, 5/25/2016		52,319

				3,548,786

		Healthcare – 0.1%
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016		492,516

		Home Construction – 0.1%
	650,000	Country Garden Holdings Co., Ltd, 7.500%, 1/10/2023, 144A		663,845

		Independent Energy – 2.0%
	2,335,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		1,535,262
	670,000	Halcon Resources Corp., 8.875%, 5/15/2021, 144A		721,925
	2,660,000	Halcon Resources Corp., 9.750%, 7/15/2020, 144A(c)		2,939,300
	7,790,000	Newfield Exploration Co., 5.625%, 7/01/2024(c)		8,043,175
	3,060,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		2,310,300
	4,975,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)		3,880,500

				19,430,462

		Industrial Other – 0.7%
	5,900,000	Steelcase, Inc., 6.375%, 2/15/2021(c)		6,522,999


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

	Non-Convertible Bonds – continued

		Integrated Energy – 0.8%
$	8,110,000	Sasol Financing International PLC, 4.500%, 11/14/2022(c)	$	8,018,762

		Life Insurance – 1.1%
	6,263,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A(c)		6,216,027
	3,300,000	Metlife Capital Trust IV, 7.875%, 12/15/2067, 144A(c)		4,133,250

				10,349,277

		Local Authorities – 2.0%
	6,235,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(c)		6,251,448
	11,605,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)(c)		12,579,289

				18,830,737

		Media Cable – 0.2%
	1,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		1,784,806

		Media Non-Cable – 2.6%
	5,535,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014(c)		5,424,300
	5,720,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c)		5,970,250
	230,000	Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3/15/2020		237,763
	745,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		767,350
	5,355,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		5,448,712
	2,975,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		3,023,344
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 12/19/2049, 144A		4,060,200

				24,931,919

		Metals & Mining – 3.7%
	5,700,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A(c)		5,897,317
	2,940,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022(c)		2,980,272
	4,875,000	ArcelorMittal, 7.250%, 3/01/2041(c)		4,850,625
	5,535,000	IAMGOLD Corp., 6.750%, 10/01/2020, 144A		5,327,437
	2,280,000	New Gold, Inc., 6.250%, 11/15/2022, 144A(c)		2,388,300
	2,830,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A(c)		2,940,345
	3,175,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A(c)		3,089,275
	980,000	Steel Dynamics, Inc., 5.250%, 4/15/2023, 144A		993,475


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

	Non-Convertible Bonds – continued

		Metals & Mining – continued
$	1,370,000	Teck Resources Ltd., 5.200%, 3/01/2042	$	1,262,523
	2,450,000	Teck Resources Ltd., 5.400%, 2/01/2043(c)		2,324,810
	3,440,000	Xstrata Finance Canada Ltd., 5.300%, 10/25/2042, 144A(c)		3,335,049

				35,389,428

		Non-Captive Diversified – 1.1%
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/29/2049(c)		5,466,405
	4,300,000	General Electric Capital Corp., Series B, (fixed rate to 12/15/2022, variable rate thereafter), 6.250%, 12/15/2049(c)		4,719,392

				10,185,797

		Oil Field Services – 1.0%
	2,190,000	Basic Energy Services, Inc., 7.750%, 10/15/2022(c)		2,255,700
	4,000,000	Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A(c)		3,965,000
	3,630,933	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(c)		3,758,016

				9,978,716

		Packaging – 0.2%
	1,155,000	OI European Group BV, 4.875%, 3/31/2021, 144A, (EUR)		1,493,492

		Pharmaceuticals – 0.5%
	875,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		922,578
	3,380,000	VPI Escrow Corp., 6.375%, 10/15/2020, 144A(c)		3,561,675

				4,484,253

		Pipelines – 0.4%
	3,825,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A(c)		4,295,295

		Real Estate Management/Services – 0.2%
	2,215,000	CBRE Services, Inc., 5.000%, 3/15/2023		2,239,919

		Retailers – 0.2%
	2,279,000	Toys R Us Property Co. II LLC, 8.500%, 12/01/2017		2,407,194

		Sovereigns – 0.2%
	4,450,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,345,293


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

	Non-Convertible Bonds – continued

			Supermarkets – 0.4%
$	760,000		Delhaize Group S.A., 5.700%, 10/01/2040	$	741,460
	3,400,000		SUPERVALU, Inc., 8.000%, 5/01/2016(c)		3,536,000

					4,277,460

			Technology – 2.7%
	3,840,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(c)		2,956,800
	4,650,000		First Data Corp., 10.625%, 6/15/2021, 144A		4,702,313
	7,880,000		Hewlett-Packard Co., 4.650%, 12/09/2021(c)		8,170,780
	4,955,000		Ingram Micro, Inc., 5.000%, 8/10/2022(c)		5,197,081
	3,725,000		Nokia Siemens Networks Finance BV, 6.750%, 4/15/2018, 144A, (EUR)		4,858,455

					25,885,429

			Treasuries – 9.5%
	20,395,000		Canadian Government, 2.750%, 9/01/2016, (CAD)(c)		21,130,011
	2,550,000,000		Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c)		5,820,652
	2,965,000		Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)		4,036,900
	6,600,000,000		Korea Treasury Bond, 3.250%, 12/10/2014, (KRW)(c)		6,004,358
	1,260,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.000%, 6/18/2015, (MXN)(c)		10,572,985
	696,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		6,244,478
	620,000	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)(c)		5,479,368
	325,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		3,128,824
	200,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 8.000%, 12/19/2013, (MXN)		1,663,361
	7,550,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)(c)		8,242,343
	50,800,000		South Africa Government Bond, 7.750%, 2/28/2023, (ZAR)(c)		5,879,238
	2,560,000		Spain Government Bond, 4.300%, 10/31/2019, (EUR)		3,289,742
	1,280,000		Spain Government Bond, 4.650%, 7/30/2025, (EUR)		1,542,717
	69,691,160		Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(c)		4,541,446
	43,213,096		Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		2,866,538

					90,442,961

			Wirelines – 3.6%
	8,335,000		Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A		8,368,340


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

	Non-Convertible Bonds – continued

		Wirelines – continued
$	2,315,000	Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A	$	2,320,787
	1,800,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		1,045,193
	10,000,000	OI European Group BV, 9.750%, 9/15/2016, 144A, (BRL)		5,134,232
	7,594,000	Qwest Corp., 7.200%, 11/10/2026(c)		7,654,699
	2,800,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,599,408
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		847,016
	1,250,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		1,301,174
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		263,221
	525,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		565,009
	2,000,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		2,146,998
	1,500,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)(c)		2,444,050

				34,690,127

		Total Non-Convertible Bonds (Identified Cost $603,913,185)		626,263,906

	Convertible Bonds – 3.6%
		Automotive – 0.4%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016(c)		2,580,025
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,466,587

				4,046,612

		Independent Energy – 0.5%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		425,531
	4,060,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019		4,534,513

				4,960,044

		Metals & Mining – 0.4%
	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066		2,049,725
	1,230,000	United States Steel Corp., 2.750%, 4/01/2019		1,243,838

				3,293,563

		Pharmaceuticals – 0.4%
	905,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		1,964,415
	750,000	Mylan, Inc., 3.750%, 9/15/2015		1,661,719

				3,626,134


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

	Convertible Bonds – continued

		Technology – 1.6%
$	1,330,000	Ciena Corp., 3.750%, 10/15/2018, 144A	$	1,507,887
	2,500,000	EMC Corp., Series B, 1.750%, 12/01/2013(c)		3,731,250
	2,085,000	Intel Corp., 3.250%, 8/01/2039		2,509,819
	815,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		951,513
	1,515,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		1,889,962
	1,330,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,374,056
	2,140,000	SanDisk Corp., 1.500%, 8/15/2017(c)		2,757,925
	580,000	Xilinx, Inc., 2.625%, 6/15/2017		822,513

				15,544,925

		Textile – 0.3%
	2,200,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		2,446,125

		Total Convertible Bonds (Identified Cost $33,284,473)		33,917,403

		Total Bonds and Notes (Identified Cost $637,197,658)		660,181,309

	Senior Loans – 9.6%
		Aerospace & Defense – 0.1%
	648,375	Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(b)		658,561
	585,533	Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(b)		588,460

				1,247,021

		Automotive – 0.6%
	1,163,000	Navistar International Corporation, Term Loan B, 8/17/2017(g)		1,174,339
	1,955,570	Navistar International Corporation, Term Loan B, 7.000%, 8/17/2017(b)		1,974,637
	2,590,000	TI Group Automotive Systems LLC, Term Loan B, 3/27/2019(g)		2,609,425
	231,835	Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(b)		234,153

				5,992,554

		Banking – 0.2%
	2,031,696	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.454%, 6/30/2017(b)		2,006,300

		Building Materials – 0.0%
	326,360	CPG International, Inc., Term Loan, 5.750%, 9/18/2019(b)		329,216


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

		Chemicals – 0.6%
$	578,727	Al Chem & Cy S.C.A., Term Loan B1, 10/03/2019(g)	$	585,237
	300,273	Al Chem & Cy S.C.A., Term Loan B2, 10/03/2019(g)		298,772
	950,400	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		968,220
	937,650	Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b)		951,715
	295,000	Kronos Worldwide, Inc., Term Loan B, 7.000%, 6/13/2018(b)		297,213
	659,949	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		659,540
	1,244,880	Taminco NV, USD Term Loan B2, 4.250%, 2/15/2019(b)		1,253,046
	781,070	Tronox, Inc., Term Loan, 3/19/2020(g)		791,482

				5,805,225

		Consumer Cyclical Services – 0.1%
	92,239	Instant Web, Inc., Delayed Draw Term Loan, 3.579%, 8/07/2014(b)		64,568
	879,359	Instant Web, Inc., Term Loan B, 3.579%, 8/07/2014(b)		615,551

				680,119

		Consumer Products – 0.4%
	969,000	Serta Simmons Holdings LLC, Term Loan, 5.003%, 10/01/2019(h)		981,597
	954,608	Tempur-Pedic International, Inc., New Term Loan B, 5.000%, 3/18/2020(b)		967,218
	1,456,574	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		1,411,580

				3,360,395

		Diversified Manufacturing – 0.3%
	601,493	Ameriforge Group, Inc., 1st Lien Term Loan, 6.000%, 12/19/2019(b)		609,264
	2,325,000	Edwards (Cayman Islands II) Limited, New Term Loan B, 3/26/2020(g)		2,325,000

				2,934,264

		Electric – 0.2%
	817,950	AES Corporation, Refi Term Loan B, 6/01/2018(g)		828,543
	621,875	Calpine Corporation, Term Loan B3, 4.000%, 4/02/2018(b)		629,648

				1,458,191

		Entertainment – 0.0%
	411,788	WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(b)		417,709

		Financial Other – 0.2%
	1,094,000	Duff & Phelps Investment Management Co., Term Loan B, 4/23/2020(g)		1,104,262


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

		Financial Other – continued
$	791,629	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b)	$	792,618
	210,000	Nuveen Investments, Inc., New Term Loan, 5.204%, 5/13/2017(b)		213,788

				2,110,668

		Food & Beverage – 0.5%
	315,810	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)		323,705
	2,629,000	HJ Heinz Co., Term Loan B2, 3/27/2020(g)		2,651,268
	1,628,000	Hostess Brands, Inc., Term Loan, 4/09/2020(g)		1,664,630

				4,639,603

		Gaming – 0.3%
	2,763,075	MGM Resorts International, Term Loan B, 4.250%, 12/20/2019(b)		2,805,903

		Healthcare – 0.5%
	426,930	Kindred Healthcare, Inc., Add on Term Loan B, 5.250%, 6/01/2018(b)		429,333
	503,593	Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(b)		506,428
	265,000	TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/27/2019(b)		267,650
	1,288,581	TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(b)		1,292,949
	1,953,179	Truven Health Analytics, Inc., New Term Loan B, 5.750%, 6/06/2019(b)		1,975,972
	398,000	United Surgical Partners International, Inc., Incremental Term Loan, 7.000%, 4/03/2019(b)		399,867

				4,872,199

		Industrial Other – 0.6%
	1,110,000	Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(b)		1,124,186
	240,726	Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(b)		242,832
	1,003,024	Brand Energy & Infrastructure Services, Inc., USD Term Loan B1, 6.250%, 10/16/2018(b)		1,011,801
	553,613	Dematic S.A., Term Loan, 5.250%, 12/27/2019(b)		559,149
	1,964,871	Jimmy Sanders Incorporated, Term Loan, 6.750%, 11/14/2018(b)		1,984,519
	369,075	WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(h)		373,072

				5,295,559

		Media Cable – 0.4%
	3,295,000	Virgin Media Investment Holdings Limited, USD Term Loan B, 2/19/2020(g)		3,279,151
	950,000	WideOpenWest Finance LLC, Term Loan B1, 4/01/2019(g)		955,937

				4,235,088


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

		Media Non-Cable – 0.1%
	$1,138,148	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b)	$	1,152,943

		Metals & Mining – 1.1%
	696,493	Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(b)		707,901
	1,884,191	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		1,912,454
	1,334,503	Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(b)		1,342,016
	2,818,835	FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b)		2,850,801
	1,365,578	Metal Services LLC, Term Loan, 7.750%, 6/30/2017(b)		1,377,526
	903,750	Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(b)		908,269
	501,194	Preferred Proppants LLC, Term Loan B, 9.000%, 12/15/2016(b)		467,990
	561,593	Tube City IMS Corporation, Term Loan, 3/20/2019(g)		567,208

				10,134,165

		Oil Field Services – 0.0%
	340,000	Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(b)		345,100

		Packaging – 0.2%
	1,720,000	Berlin Packaging LLC, 1st Lien Term Loan, 4/12/2018(g)		1,711,400

		Pharmaceuticals – 0.4%
	2,378,933	inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(b)		2,355,144
	1,526,612	Quintiles Transnational Corp., New Term Loan B, 4.500%, 6/08/2018(b)		1,545,221

				3,900,365

		Pipelines – 0.1%
	1,186,071	NGPL PipeCo LLC, Term Loan B, 6.750%, 9/15/2017(b)		1,201,395

		Property & Casualty Insurance – 0.2%
	1,167,075	AmWINS Group, Inc., New Term Loan, 5.000%, 9/06/2019(b)		1,179,843
	330,000	Applied Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/08/2017(b)		330,825

				1,510,668

		Restaurants – 0.1%
	690,000	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		693,450

		Supermarkets – 0.2%
	635,000	Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(b)		642,741


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

		Supermarkets – continued
$	1,520,000	Supervalu, Inc., New Term Loan B, 6.250%, 3/21/2019(b)	$	1,544,867

				2,187,608

		Technology – 1.5%
	3,112,200	Alcatel-Lucent USA, Inc., Euro Term Loan D, 7.500%, 1/30/2019, (EUR)(b)		4,025,959
	965,625	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		978,381
	2,119,064	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		2,149,430
	1,877,505	Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(b)		1,903,321
	472,815	Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(b)		475,969
	795,000	First Data Corporation, 2018 Add-on Term Loan, 5.204%, 9/24/2018(b)		800,191
	1,011,465	NXP B.V., Term Loan C, 4.750%, 1/11/2020(b)		1,032,706
	850,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b)		846,455
	454,860	SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(b)		460,168
	955,000	SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/08/2020(b)		963,652
	325,000	Verint Systems, Inc., New Term Loan B, 4.000%, 9/06/2019(b)		326,895

				13,963,127

		Transportation Services – 0.1%
	516,705	FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(b)		522,260

		Utility Other – 0.0%
	380,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b)		380,475

		Wireless – 0.3%
	1,110,000	Asurion LLC, New Term Loan B1, 5/24/2019(g)		1,120,967
	619,448	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(b)		625,568
	983,829	MetroPCS Wireless, Inc., New Term Loan B3, 4.000%, 3/16/2018(b)		986,111

				2,732,646

		Wirelines – 0.3%
	425,000	Integra Telecom, Inc., Refi Term Loan, 6.000%, 2/22/2019(b)		430,380
	1,440,000	Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(b)		1,455,898


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

		Wirelines – continued
$	818,875	Zayo Group LLC, New Term Loan B, 4.500%, 7/02/2019(b)	$	826,597

				2,712,875

		Total Senior Loans (Identified Cost $90,647,056)		91,338,491


Shares
	Preferred Stocks – 3.5%

	Non-Convertible Preferred Stocks – 2.0%

		Banking – 1.0%
	148,056	Capital One Financial Corp., Series B, 6.000%(c)		3,751,739
	247,273	SunTrust Banks. Inc., 5.875%(c)		6,211,498

				9,963,237

		Non-Captive Diversified – 1.0%
	6,318	Ally Financial, Inc., Series G, 7.000%, 144A		6,248,107
	102,000	Montpelier Re Holdings Ltd., 8.875%(c)		2,881,500

				9,129,607

		Total Non-Convertible Preferred Stocks (Identified Cost $18,295,411)		19,092,844

	Convertible Preferred Stocks – 1.5%

		Automotive – 0.3%
	72,200	General Motors Co., Series B, 4.750%(c)		3,100,268

		Banking – 0.5%
	1,388	Bank of America Corp., Series L, 7.250%		1,690,806
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%(c)		2,886,800

				4,577,606

		Independent Energy – 0.2%
	1,500	Chesapeake Energy Corp., Series A, 5.750%, 144A		1,532,813

		Metals & Mining – 0.1%
	35,850	ArcelorMittal, 6.000%		751,058
	34,741	Cliffs Natural Resources, Inc., 7.000%		648,614

				1,399,672

		Non-Captive Diversified – 0.3%
	56,286	iStar Financial, Inc., Series J, 4.500%		2,917,866


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		REITs—Healthcare – 0.1%
	8,000	Health Care REIT, Inc., Series I, 6.500%	$	496,880

		Total Convertible Preferred Stocks (Identified Cost $13,787,992)		14,025,105

		Total Preferred Stocks (Identified Cost $32,083,403)		33,117,949

	Common Stocks – 2.9%

		Chemicals – 0.4%
	65,453	Dow Chemical Co. (The)		2,084,024
	13,000	Rockwood Holdings, Inc.		850,720
	54,452	Tronox Ltd., Class A		1,078,694

				4,013,438

		Diversified Financial Services – 0.1%
	27,800	JPMorgan Chase & Co.		1,319,388

		Diversified Telecommunication Services – 0.6%
	44,327	AT&T, Inc.		1,626,357
	87,030	Deutsche Telekom AG, Sponsored ADR		920,777
	35,730	France Telecom S.A., Sponsored ADR		363,017
	83,776	Telefonica S.A., Sponsored ADR		1,131,814
	43,618	Verizon Communications, Inc.		2,143,825

				6,185,790

		Industrial Conglomerates – 0.1%
	5,425	Siemens AG, Sponsored ADR		584,815

		Metals & Mining – 0.1%
	14,780	Barrick Gold Corp.		434,532
	13,184	Goldcorp, Inc.		443,378
	10,918	Newmont Mining Corp.		457,355

				1,335,265

		Office Electronics – 0.0%
	12,269	Canon, Inc., Sponsored ADR		450,150

		Oil, Gas & Consumable Fuels – 0.7%
	11,400	Chevron Corp.		1,354,548
	17,200	ExxonMobil Corp.		1,549,892
	21,700	Royal Dutch Shell PLC, ADR		1,413,972
	19,625	Statoil ASA, Sponsored ADR		483,168
	33,125	Total S.A., Sponsored ADR		1,589,337

				6,390,917

		Pharmaceuticals – 0.3%
	15,000	Bristol-Myers Squibb Co.		617,850
	10,500	GlaxoSmithKline PLC, Sponsored ADR		492,555
	48,626	Pfizer, Inc.		1,403,346

				2,513,751

		Semiconductors & Semiconductor Equipment – 0.1%
	13,000	KLA-Tencor Corp.		685,620


Shares		Description	Value (†)
	Common Stocks – continued

		Software – 0.1%
	16,290	Microsoft Corp.	$	466,057

		Textiles, Apparel & Luxury Goods – 0.1%
	10,168	NIKE, Inc., Class B		600,014

		Tobacco – 0.2%
	27,290	Altria Group, Inc.		938,503
	5,330	Philip Morris International, Inc.		494,144

				1,432,647

		Trading Companies & Distributors – 0.0%
	1,509	Mitsui & Co. Ltd., Sponsored ADR		421,011

		Wireless Telecommunication Services – 0.1%
	37,300	Vodafone Group PLC, Sponsored ADR		1,059,693

		Total Common Stocks (Identified Cost $26,644,091)		27,458,556


Notional Amount/ Shares (†††)
	Purchased Swaptions – 0.6%

		Interest Rate Swaptions – 0.6%
$	83,500,000	5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 3-month LIBOR, Receive 1.171%(i)(j)		659,483
	40,000,000	30-year Interest Rate Swap Call, expiring 10/03/2014, Pay 2.846%, Receive 3-month LIBOR(i)(k)		4,691,480

		Total Purchased Swaptions (Identified Cost $4,779,000)		5,350,963

	Purchased Options – 0.1%

		Options on Securities – 0.1%
	620,700	iShares MSCI Emerging Markets Index Fund, Put expiring June 22, 2013 at 42(l)		636,217
	216,700	iShares Russell 2000, Put expiring July 20, 2013 at 93(l)		679,354
	168,500	SPDR^® S&P 500^® ETF Trust, Put expiring June 22, 2013 at 145(l)		204,728

		Total Purchased Options (Identified Cost $2,192,438)		1,520,299


Principal Amount (‡)
	Short-Term Investments – 16.4%
$	1,416,272	Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2013 at 0.010% to be repurchased at $1,416,273 on 4/01/2013 collateralized by $1,490,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $1,491,015 including accrued interest(m)		1,416,272
	150,218,822	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $150,218,822 on 4/01/2013 collateralized by $97,515,000 Federal Home Loan Mortgage Corp., 0.420% due 6/19/2015 valued at $97,636,894; $55,600,000 Federal National Mortgage Association, 0.350% due 8/28/2015 valued at $55,588,502 including accrued interest(m)		150,218,822
	5,000,000	U.S. Treasury Bill, 0.110%, 9/19/2013(n)(o)		4,997,565

		Total Short-Term Investments (Identified Cost $156,632,481)		156,632,659


		Description	Value (†)
		Total Investments – 102.3% (Identified Cost $950,176,127)(a)	$	975,600,226
		Other assets less liabilities – (2.3)%		(21,739,743	)

		Net Assets – 100.0%	$	953,860,483


Notional Amount/ Shares (†††)
	Written Swaptions – (0.3%)

		Interest Rate Swaptions – (0.3%)
$	83,500,000	5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.880%, Receive 3-month LIBOR(i)(j)	$	(152,221	)
	40,000,000	30-year Interest Rate Swap Call, expiring 10/03/2014, Pay 3-month LIBOR, Receive 3.346%(i)(k)		(2,649,960	)

		Total Written Swaptions (Premiums Received $2,571,000)	$	(2,802,181	)

	Written Options – (0.0%)

		Options on Securities – (0.0%)
	620,700	iShares MSCI Emerging Markets Index Fund, Put expiring June 22, 2013 at 37(l)	$	(133,450	)
	216,700	iShares Russell 2000, Put expiring July 20, 2013 at 81(l)		(149,523	)
	168,500	SPDR^® S&P 500^® ETF Trust, Put expiring June 22, 2013 at 125(l)		(32,015	)

		Total Written Options (Premiums Received $532,342)	$	(314,988	)

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by an independent pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

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 ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers.

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

Other exchange-traded options are valued at the average of the closing bid and ask quotations. Options on futures contracts are valued using the current settlement price.

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

Over-the-counter option contracts (including currency options not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. These prices will be either the bid for a long transaction or the ask for a short transaction. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

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

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

(†††)

Interest rate swaptions are expressed as notional amount. Options on securities are expressed as shares.

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

At March 31, 2013, the net unrealized appreciation on investments based on a cost of $952,078,558 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	34,803,214
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,281,546	)

Net unrealized appreciation	$	23,521,668

At December 31, 2012, the Fund had a short-term capital loss carryforward of $10,720,475 with no expiration date and a long-term capital loss carryforward of $8,325,319 with no expiration date. At December 31, 2012, late-year ordinary loss deferrals were $2,564,877. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of March 31, 2013 is disclosed.

(c)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions.

(d)	The issuer is making partial payments with respect to principal.

(e)	All or a portion of interest payment is paid-in-kind.

(f)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(g)	Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date.

(h)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2013.

(i)

The Fund 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.

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 the 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 the 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 to determine the realized gain or loss. If the 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. The 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.

(j)	Counterparty is Citibank, N.A.

(k)	Counterparty is Bank of America, N.A.

(l)

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

When the 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 Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

(m)

(n)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts, swap agreements, interest rate swaptions and as initial margin for open futures contracts.

(o)	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 March 31, 2013, the value of Rule 144A holdings amounted to $265,365,716 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

ARMs	Adjustable Rate Mortgages

EMTN	Euro Medium Term Note

ETF	Exchange Traded Fund

MTN	Medium Term Note

REITs

Real Estate Investment Trusts

SPDR	Standard & Poor’s Depositary Receipt

AUD	Australian Dollar

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

UYU	Uruguayan Peso

ZAR	South African Rand

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

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

At March 31, 2013, 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.	Bank of Scotland PLC		(1.00	%)		6/20/2017		4,475,000	*	$	187,957		$	(90,404	)	$	(278,361	)	$	(1,912	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		3,000,000			(16,041	)		(25,129	)		(9,088	)		(1,000	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		1,500,000			(8,719	)		(12,565	)		(3,846	)		(500	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		5,075,000			(37,995	)		(42,510	)		(4,515	)		(1,692	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		1,000,000			(9,135	)		(8,377	)		758			(333	)
Bank of America, N.A.	CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		3,100,000			(15,512	)		(14,249	)		1,263			(1,033	)
Bank of America, N.A.	CDX.NA.HY Series 19, 5-Year		(5.00	%)		12/20/2017		3,000,000			(72,356	)		(122,886	)		(50,530	)		(5,000	)


Bank of America, N.A.	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	7,000,000		(160,120	)	(286,734	)	(126,614	)	(11,667	)
Bank of America, N.A.	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	6,000,000		(144,308	)	(245,772	)	(101,464	)	(10,000	)
Bank of America, N.A.	Dell, Inc.	(1.00	%)	3/20/2018	4,000,000		419,893		425,055		5,162		(1,333	)
Bank of America, N.A.	Dell, Inc.	(1.00	%)	3/20/2018	2,500,000		257,607		265,659		8,052		(833	)
Bank of America, N.A.	Electricite de France	(1.00	%)	12/20/2017	3,700,000	*	11,327		(19,884	)	(31,211	)	(1,581	)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year	(5.00	%)	12/20/2017	3,875,000	*	93,154		(159,421	)	(252,575	)	(8,279	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	550,000	*	(64,068	)	(63,369	)	699		(1,175	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	500,000	*	(57,582	)	(57,609	)	(27	)	(1,068	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	450,000	*	(55,253	)	(51,848	)	3,405		(961	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	1,500,000	*	(163,401	)	(172,825	)	(9,424	)	(3,205	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	1,180,000	*	(176,232	)	(135,956	)	40,276		(2,521	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	5,000,000	*	(801,750	)	(576,084	)	225,666		(10,682	)
Bank of America, N.A.	Textron Financial Corp.	(1.00	%)	3/20/2017	975,000		(23,775	)	(29,049	)	(5,274	)	(325	)
Bank of America, N.A.	Textron Financial Corp.	(1.00	%)	6/20/2017	1,250,000		(31,183	)	(38,400	)	(7,217	)	(417	)
Bank of America, N.A.	Westvaco Corp.	(1.00	%)	9/20/2017	4,900,000		56,202		24,030		(32,172	)	(1,633	)
Citibank, N.A.	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	2,200,000		(94,165	)	(90,116	)	4,049		(3,667	)
Citibank, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00	%)	12/20/2017	3,400,000		(16,466	)	(28,479	)	(12,013	)	(1,133	)
Citibank, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00	%)	12/20/2017	3,000,000		(15,718	)	(25,129	)	(9,411	)	(1,000	)


Citibank, N.A.	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	7,000,000		(160,031	)	(286,734	)	(126,703	)	(11,667	)
Citibank, N.A.	Republic of South Africa	(1.00	%)	9/20/2017	3,550,000		88,700		94,941		6,241		(1,183	)
Citibank, N.A.	Republic of South Africa	(1.00	%)	3/20/2018	3,500,000		85,828		123,933		38,105		(1,167	)
Citibank, N.A.	SLM Corp.	(5.00	%)	6/20/2018	4,500,000		(445,390	)	(431,589	)	13,801		(7,500	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	1,600,000		(66,460	)	(65,539	)	921		(2,667	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	2,350,000		(96,886	)	(96,261	)	625		(3,917	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	1,650,000		(69,560	)	(67,587	)	1,973		(2,750	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	9,500,000		(409,688	)	(389,139	)	20,549		(9,236	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	2,550,000		(88,227	)	(104,453	)	(16,226	)	(4,250	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	5,000,000		(223,316	)	(204,810	)	18,506		(8,333	)
Credit Suisse International	CDX.NA.IG Series 19, 5-Year	(1.00	%)	12/20/2017	3,000,000		(12,273	)	(25,128	)	(12,855	)	(1,000	)
Credit Suisse International	CDX.NA.IG Series 19, 5-Year	(1.00	%)	12/20/2017	9,000,000		(83,492	)	(75,387	)	8,105		(3,000	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00	%)	6/20/2018	6,000,000		(180,000	)	(183,346	)	(3,346	)	(6,667	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00	%)	6/20/2018	15,700,000		(439,600	)	(479,754	)	(40,154	)	(17,444	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00	%)	6/20/2018	6,500,000		(197,034	)	(199,449	)	(2,415	)	(8,125	)
Credit Suisse International	CDX.NA.IG Series 20, 5-Year	(1.00	%)	6/20/2018	3,300,000		(14,852	)	(15,168	)	(316	)	(1,100	)
Credit Suisse International	CDX.NA.HY Series 19, 5-Year	(5.00	%)	12/20/2017	3,050,000		(80,529	)	(124,934	)	(44,405	)	(5,083	)
Credit Suisse International	Freescale Semiconductor, Inc.	(5.00	%)	3/20/2018	4,275,000		213,331		132,144		(81,187	)	(7,125	)
Credit Suisse International	Freescale Semiconductor, Inc.	(5.00	%)	3/20/2018	3,125,000		160,005		96,597		(63,408	)	(5,208	)
Credit Suisse International	General Mills, Inc.	(1.00	%)	6/20/2018	9,100,000		(245,570	)	(259,003	)	(13,433	)	(3,033	)
Credit Suisse International	HJ Heinz Co.	(1.00	%)	3/20/2018	7,650,000		247,040		191,186		(55,854	)	(2,550	)
Credit Suisse International	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	4,400,000	*	(431,955	)	(506,954	)	(74,999	)	(9,400	)
Deutsche Bank AG	Aramark Corp.	(5.00	%)	3/20/2018	2,100,000		(203,797	)	(225,270	)	(21,473	)	(3,500	)


Deutsche Bank AG	Aramark Corp.	(5.00	%)	3/20/2018	2,100,000	(206,942	)		(225,270	)		(18,328	)		(3,500	)
Deutsche Bank AG	Aramark Corp.	(5.00	%)	3/20/2018	3,800,000	(383,644	)		(407,631	)		(23,987	)		(6,333	)
Deutsche Bank AG	Boston Scientific Corp.	(1.00	%)	9/20/2017	4,900,000	66,721			(14,204	)		(80,925	)		(1,633	)
Deutsche Bank AG	Dell, Inc.	(1.00	%)	3/20/2018	6,000,000	824,228			637,584			(186,644	)		(2,000	)
Morgan Stanley Capital Services Inc.	Russian Foreign Bond	(1.00	%)	6/20/2018	7,500,000	217,898			225,187			7,289			(2,500	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.	(1.00	%)	3/20/2017	2,000,000	(46,345	)		(59,587	)		(13,242	)		(667	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.	(1.00	%)	3/20/2017	1,300,000	(30,197	)		(38,731	)		(8,534	)		(433	)

Total								$	(4,566,407	)	$	(1,416,731	)	$	(215,921	)


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
Citibank, N.A.	Level 3 Communications		5.00	%		3/20/2018		4.70	%	$	3,000,000	$	49,662		$	39,800		$	(9,862	)	$	5,000
Credit Suisse International	Boyd Gaming Corp.		5.00	%		3/20/2018		7.02	%		3,050,000		(395,193	)		(257,609	)		137,584			5,083
Credit Suisse International	Boyd Gaming Corp.		5.00	%		3/20/2018		7.02	%		3,750,000		(489,158	)		(316,733	)		172,425			6,250
Credit Suisse International	Clear Channel Communications		5.00	%		3/20/2015		9.04	%		4,300,000		(258,338	)		(321,236	)		(62,898	)		7,167
Credit Suisse International	Level 3 Communications		5.00	%		3/20/2018		4.70	%		2,100,000		30,179			27,860			(2,319	)		3,500
JP Morgan Chase Bank, N.A.	Level 3 Communications		(5.00	%)		3/20/2018		4.70	%		3,400,000		25,240			45,105			19,865			5,667

Total															$	(782,813	)	$	254,795		$	32,667

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

*	Notional value denominated in euros.

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

Forward Foreign Currency Contracts

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

At March 31, 2013, 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	5/02/2013	Australian Dollar		12,300,000	$	12,778,445	$	23,764
Sell¹	4/11/2013	British Pound		5,600,000		8,508,545		(93,985	)
Sell¹	6/04/2013	British Pound		1,495,000		2,270,834		(531	)
Buy¹	4/02/2013	Euro		620,000		794,747		3,131
Buy¹	4/03/2013	Euro		3,155,000		4,044,239		(155	)
Buy¹	5/06/2013	Euro		5,425,000		6,955,554		(271,889	)
Sell¹	4/02/2013	Euro		620,000		794,747		14,185
Sell¹	4/03/2013	Euro		3,155,000		4,044,239		97,645
Sell¹	4/04/2013	Euro		3,150,000		4,037,856		98,283
Sell¹	4/05/2013	Euro		4,265,000		5,467,165		112,266
Sell²	4/08/2013	Euro		6,895,000		8,838,648		175,712
Sell¹	4/09/2013	Euro		6,270,000		8,037,518		144,734
Sell¹	4/10/2013	Euro		3,530,000		4,525,139		92,948
Sell¹	4/22/2013	Euro		1,150,000		1,474,310		8,966
Sell²	4/24/2013	Euro		5,270,000		6,756,276		75,230
Sell¹	4/26/2013	Euro		5,170,000		6,628,159		86,368
Sell¹	4/30/2013	Euro		3,645,000		4,673,166		13,939
Sell³	5/02/2013	Euro		7,300,000		9,359,275		(31,554	)
Sell¹	5/02/2013	Euro		620,000		794,897		(3,114	)
Sell¹	5/03/2013	Euro		3,155,000		4,045,028		124
Sell¹	5/06/2013	Euro		5,425,000		6,955,554		415,426
Sell²	6/26/2013	Euro		3,700,000		4,745,734		62,657
Buy²	4/01/2013	Japanese Yen		2,500,000,000		26,557,603		161,443
Sell²	4/01/2013	Japanese Yen		1,000,000,000		10,623,041		(203,444	)
Sell²	4/01/2013	Japanese Yen		1,500,000,000		15,934,562		333,854
Buy¹	4/22/2013	Mexican Peso		112,000,000		9,050,517		41,726
Sell¹	4/22/2013	Mexican Peso		200,000,000		16,161,638		(127,775	)
Sell¹	4/22/2013	Mexican Peso		108,000,000		8,727,284		4,575
Buy¹	4/19/2013	Peruvian Nouveau Sol		2,050,000		791,090		195
Buy¹	4/08/2013	South Korean Won		6,650,000,000		5,974,950		(10,649	)
Sell¹	4/08/2013	South Korean Won		6,650,000,000		5,974,950		130,729
Sell¹	4/11/2013	Swiss Franc		990,000		1,042,976		6,851

Total							$	1,361,655

At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
5/02/2013	Euro	7,300,000	Japanese Yen³	880,763,250	$	(1,066	)
4/04/2013	Euro	6,250,000	British Pound¹	5,330,988		88,504
4/04/2013	British Pound	5,411,431	Euro¹	6,250,000		(210,733	)

Total					$	(123,295	)

¹	Counterparty is Credit Suisse International.

²	Counterparty is Citibank, N.A.

³	Counterparty is Deutsche Bank AG.

Futures Contracts

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

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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 Fund are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At March 31, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/21/2013		305	$	23,831,175	$	(321,830	)
Euro STOXX 50^®		6/21/2013		54		1,767,877		50,184
Euro-OAT		6/06/2013		139		24,235,671		(224,747	)
German Euro Bund		6/06/2013		172		32,077,393		(487,559	)
10 Year U.S. Treasury Note		6/19/2013		171		22,569,328		(77,797	)
30 Year U.S. Treasury Bond		6/19/2013		67		9,679,406		(24,201	)

Total							$	(1,085,950	)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	2,038,162	$	2,283,390	(a)	$	4,321,552
Airlines		—		527,725		20,383,383	(a)		20,911,108
Media Non-Cable		—		20,871,719		4,060,200	(a)		24,931,919
Treasuries		—		84,438,603		6,004,358	(a)		90,442,961
All Other Non-Convertible Bonds*		—		485,656,366		—			485,656,366

Total Non-Convertible Bonds		—		593,532,575		32,731,331			626,263,906

Convertible Bonds*		—		33,917,403		—			33,917,403

Total Bonds and Notes		—		627,449,978		32,731,331			660,181,309

Senior Loans*		—		91,338,491		—			91,338,491
Preferred Stocks
Non-Convertible Preferred Stocks
Banking		9,963,237		—		—			9,963,237
Non-Captive Diversified		2,881,500		6,248,107		—			9,129,607
Convertible Preferred Stocks*		14,025,105		—		—			14,025,105

Total Preferred Stocks		26,869,842		6,248,107		—			33,117,949

Common Stocks*		27,458,556		—		—			27,458,556
Purchased Swaptions*		—		5,350,963		—			5,350,963
Purchased Options*		1,520,299		—		—			1,520,299
Short-Term Investments		—		156,632,659		—			156,632,659

Total Investments		55,848,697		887,020,198		32,731,331			975,600,226

Credit Default Swap Agreements (unrealized appreciation)		—		735,319		—			735,319
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,193,255		—			2,193,255
Futures Contracts (unrealized appreciation)		50,184		—		—			50,184

Total	$	55,898,881	$	889,948,772	$	32,731,331		$	978,578,984

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Swaptions*	$	—		$	(2,802,181	)	$	—	$	(2,802,181	)
Written Options*		(314,988	)		—			—		(314,988	)
Credit Default Swap Agreements (unrealized depreciation)		—			(1,897,255	)		—		(1,897,255	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(954,895	)		—		(954,895	)
Futures Contracts (unrealized depreciation)		(1,136,134	)		—			—		(1,136,134	)

Total	$	(1,451,122	)	$	(5,654,331	)	$	—	$	(7,105,453	)

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

(a)	Valued using broker-dealer bid prices.

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices 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 prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, 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 prices 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 prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or March 31, 2013:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012		Accrued Discounts (Premiums)			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—		$	1,640		$	(14,228	)	$	—	$	(237,404	)	$	2,533,382	$	—	$	2,283,390	$	(14,228	)
Airlines		—		—			(26,919	)		377,471			2,900,000		(320,579	)		17,453,410		—		20,383,383		377,471
Media Non-Cable		—		—			—			20,200			4,040,000		—			—		—		4,060,200		20,200
Treasuries		6,211,796		(5,927	)		—			(201,511	)		—		—			—		—		6,004,358		(201,511	)

Total	$	6,211,796		$(5,927)		$	(25,279	)	$	181,932		$	6,940,000	$	(557,983	)	$	19,986,792	$	—	$	32,731,331	$	181,932

Debt securities valued at $19,986,792 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based upon inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

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

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements. During the period ended March 31, 2013, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended March 31, 2013, the Fund engaged in futures contracts for hedging purposes.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended March 31, 2013, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2013, the Fund engaged in futures and option transactions for hedging purposes.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts, 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 the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Credit Suisse International	$	(1,981,616	)	$	1,405,462
Deutsche Bank AG		(267,411	)		255,875

Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts, interest rate swaptions and swap agreements by entering into master netting agreements with 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. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, 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, is $14,626,689 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $6,017,349. These amounts do not take into account collateral received by the Fund in the amount of $756,804.

Counterparty risk is managed based on policies and procedures established by the Fund’s 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, interest rate swaptions and swap agreements is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized; however, final settlement of the Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of March 31, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Credit Contracts			Equity Contracts
Purchased Options (at value)	$	—		$	—		$	—		$	1,520,299
Purchased Swaptions (at value)		5,350,963			—			—			—
Forwards (unrealized appreciation)		—			2,193,255			—			—
Futures (unrealized appreciation)		—			—			—			50,184
Swaps (unrealized appreciation)		—			—			735,319			—

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Credit Contracts			Equity Contracts
Written Options (at value)	$	—		$	—		$	—		$	(314,988	)
Written Swaptions (at value)		(2,802,181	)		—			—			—
Forwards (unrealized depreciation)		—			(954,895	)		—			—
Futures (unrealized depreciation)		(814,304	)		—			—			(321,830	)
Swaps (unrealized depreciation)		—			—			(1,897,255	)		—

Industry Summary at March 31, 2013 (Unaudited)


Treasuries	9.5	%
Banking	6.6
ABS Home Equity	6.0
Technology	5.8
Metals & Mining	5.4
Wirelines	3.9
Commercial Mortgage-Backed Securities	3.5
Electric	3.0
Media Non-Cable	2.7
Independent Energy	2.7
Automotive	2.5
Non-Captive Diversified	2.4
Airlines	2.2
Food & Beverage	2.1
Local Authorities	2.0
Other Investments, less than 2% each	25.6
Short-Term Investments	16.4

Total Investments	102.3
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	(2.3	)

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2013 (Unaudited)


United States Dollar	83.9	%
Euro	6.2
Mexican Peso	3.5
Canadian Dollar	2.7
Other, less than 2% each	6.0

Total Investments	102.3
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	(2.3	)

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 41.9% of Net Assets

	Non-Convertible Bonds – 38.6%

		ABS Home Equity – 1.0%
$	410,193	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.134%, 8/25/2046(b)(c)	$	262,781

		Airlines – 0.2%
	55,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026(c)		57,338

		Automotive – 1.9%
	500,000	American Axle & Manufacturing, Inc., 6.250%, 3/15/2021(c)		512,500

		Banking – 5.9%
	300,000	Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)(c)		163,240

	300,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(c)		301,500

	100,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A(c)		111,461

	1,000,000	Citigroup, Inc., Series B, (fixed rate to 2/15/2023, variable rate thereafter), 5.900%, 12/29/2049(c)		1,037,826

				1,614,027

		Chemicals – 1.8%
	225,000	Orion Engineered Carbons Bondco GmbH, 10.000%, 6/15/2018, 144A, (EUR)(c)		323,084

	175,000	PetroLogistics L.P. / PetroLogistics Finance Corp., 6.250%, 4/01/2020, 144A		176,094

				499,178

		Construction Machinery – 1.2%
	300,000	United Rentals North America, Inc., 7.625%, 4/15/2022(c)		335,250

		Consumer Cyclical Services – 1.1%
	300,000	ADT Corp. (The), 4.125%, 6/15/2023, 144A(c)		311,288

		Food & Beverage – 0.9%
	250,000	Marfrig Holding Europe BV, 9.875%, 7/24/2017, 144A(c)		243,750

		Government Owned—No Guarantee – 1.8%
	500,000	Qtel International Finance Ltd., 3.875%, 1/31/2028, 144A(c)		492,395

		Home Construction – 0.9%
	250,000	Country Garden Holdings Co., Ltd, 7.500%, 1/10/2023, 144A(c)		255,325


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

	Non-Convertible Bonds – continued

		Independent Energy – 3.0%
$	500,000	Aurora USA Oil & Gas, Inc., 7.500%, 4/01/2020, 144A(c)	$	505,000
	250,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)		195,000
	110,000	SM Energy Co., 6.500%, 1/01/2023(c)		120,450

				820,450

		Life Insurance – 3.1%
	250,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)(c)		368,466
	150,000	Generali Finance BV, (fixed rate to 6/16/2016, variable rate thereafter), 6.214%, 6/29/2049, (GBP)(c)		188,374
	300,000	Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066(c)		274,500

				831,340

		Media Cable – 2.8%
	100,000	Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)(c)		139,081
	500,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)(c)		634,849

				773,930

		Media Non-Cable – 1.2%
	25,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		25,750
	175,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		178,062
	100,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		101,625
	15,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017(c)		15,975

				321,412

		Metals & Mining – 0.2%
	55,000	Steel Dynamics, Inc., 5.250%, 4/15/2023, 144A(c)		55,756

		Oil Field Services – 0.3%
	75,000	Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c)		80,813

		Pipelines – 0.9%
	250,000	Energy Transfer Partners LP, 3.600%, 2/01/2023(c)		248,780

		Refining – 1.2%
	295,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019(c)		330,400

		Technology – 3.4%
	500,000	Equinix, Inc., 5.375%, 4/01/2023(c)		506,250


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

	Non-Convertible Bonds – continued

		Technology – continued
$	400,000	First Data Corp., 9.875%, 9/24/2015(c)	$	412,000

				918,250

		Textile – 0.8%
	220,000	PVH Corp., 4.500%, 12/15/2022(c)		216,700

		Wireless – 3.7%
	250,000	VimpelCom Holdings BV, 5.200%, 2/13/2019, 144A(c)		251,000
	7,500,000	VimpelCom Holdings BV, 9.000%, 2/13/2018, 144A,(RUB)(c)		249,902
	500,000	Vodafone Group PLC, 2.950%, 2/19/2023(c)		498,332

				999,234

		Wirelines – 1.3%
	110,000	CenturyLink, Inc., 5.625%, 4/01/2020(c)		112,475
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031(c)		242,637

				355,112

		Total Non-Convertible Bonds (Identified Cost $10,342,988)		10,536,009


	Convertible Bonds – 3.3%

		Independent Energy – 0.8%
	190,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019(c)		212,206

		Metals & Mining – 1.8%
	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)		57,075
	80,000	United States Steel Corp., 2.750%, 4/01/2019(c)		80,900

				484,475

		Technology – 0.7%
	195,000	Intel Corp., 2.950%, 12/15/2035		206,944

		Total Convertible Bonds (Identified Cost $875,431)		903,625

		Total Bonds and Notes (Identified Cost $11,218,419)		11,439,634


	Senior Loans – 4.7%

		Airlines – 1.6%
	427,000	Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(b)		433,606


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

		Chemicals – 2.2%
$	418,950	Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(b)	$	425,234
	180,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/21/2020(b)		182,700

				607,934

		Financial Other – 0.4%
	115,286	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b)		115,430

		Food & Beverage – 0.5%
	130,000	HJ Heinz Co., Term Loan B2, 3/27/2020(d)		131,101

		Total Senior Loans (Identified Cost $1,258,887)		1,288,071


Shares
	Common Stocks – 11.0%

		Airlines – 0.4%
	3,134	United Continental Holdings, Inc.(c)		100,319

		Automobiles – 0.9%
	10,000	Ford Motor Co.(c)		131,500
	4,300	General Motors Co.(c)(e)		119,626

				251,126

		Chemicals – 0.5%
	4,000	Dow Chemical Co. (The)(c)		127,360

		Commercial Banks – 1.7%
	1,300	M&T Bank Corp.(c)		134,108
	2,700	PNC Financial Services Group, Inc.(c)		179,550
	4,800	SunTrust Banks, Inc.(c)		138,288

				451,946

		Communications Equipment – 0.6%
	2,500	QUALCOMM, Inc.(c)		167,375

		Computers & Peripherals – 0.5%
	300	Apple, Inc.(c)		132,789

		Diversified Financial Services – 0.5%
	2,750	Citigroup, Inc.(c)		121,660

		Energy Equipment & Services – 1.0%
	7,850	Rowan Cos. PLC(c)(e)		277,576

		Industrial Conglomerates – 1.0%
	12,000	General Electric Co.(c)		277,440

		Insurance – 1.1%
	2,500	Prudential Financial, Inc.(c)		147,475


Shares		Description	Value (†)
	Common Stocks – continued

		Insurance – continued
	1,850	Travelers Cos., Inc. (The)(c)	$	155,751

				303,226

		Metals & Mining – 0.7%
	2,900	Nucor Corp.(c)		133,835
	3,500	United States Steel Corp.(c)		68,250

				202,085

		Oil, Gas & Consumable Fuels – 1.0%
	4,800	Clean Energy Fuels Corp.(c)(e)		62,400
	7,625	Cobalt International Energy, Inc.(c)(e)		215,025

				277,425

		Pharmaceuticals – 0.6%
	2,000	Johnson & Johnson(c)		163,060

		Semiconductors & Semiconductor Equipment – 0.5%
	6,450	Intel Corp.(c)		140,933

		Total Common Stocks (Identified Cost $2,870,009)		2,994,320


	Preferred Stocks – 1.0%

		Metals & Mining – 0.4%
	5,400	ArcelorMittal, 6.000%(c)		113,130

		Non-Captive Diversified – 0.6%
	3,200	iStar Financial, Inc., Series J, 4.500%(c)		165,888

		Total Preferred Stocks (Identified Cost $295,000)		279,018

	Exchange Traded Funds – 4.0%
	11,000	iShares Dow Jones US Home Construction Index Fund(c)		262,790
	12,700	Market Vectors Oil Service ETF		545,338
	5,600	Market Vectors Retail ETF(c)		273,728

		Total Exchange Traded Funds (Identified Cost $1,058,460)		1,081,856


Contracts (††)
	Purchased Options – 1.0%

		Options on Futures Contracts – 0.0%
	3	Light Sweet Crude Oil Put, expiring April 17, 2013 at 95(f)(g)		2,010
	4	Natural Gas Put, expiring April 25, 2013 at 3550(f)(g)		280

				2,290


Shares/Units of Currency/Notional Amount (††)		Description	Value (†)
	Purchased Options – continued

		Options on Securities – 0.1%
	16,700	Dell, Inc. Call, expiring August 17, 2013 at 14(f)	$	11,523
	25,000	SPDR^® S&P 500^® ETF Trust Put, expiring June 22, 2013 at 141(f)		20,125

				31,648

		Over-the-Counter Options on Currency – 0.9%
	605,000	EUR Put, expiring June 20, 2013 at 1.2985(f)(h)		13,939
	1,600,000	EUR Put, expiring June 06, 2013 at 1.3010(f)(i)		36,502
	630,000	JPY Call, expiring January 14, 2015 at 88.3000(f)(i)		24,544
	315,000	JPY Call, expiring March 12, 2015 at 94.8000(f)(j)		23,530
	1,575,000	JPY Put, expiring March 12, 2014 at 95.6000(f)(j)		56,857
	2,365,000	JPY Put, expiring March 12, 2014 at 105(f)(j)		27,207
	1,400,000	RUB Call, expiring October 15, 2013 at 31.5600(f)(j)		24,195
	775,000	RUB Call, expiring April 23, 2013 at 32.2900(f)(k)		27,113

				233,887

		Total Purchased Options (Identified Cost $416,641)		267,825


	Purchased Swaptions – 0.2%

		Interest Rate Swaptions – 0.2%
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 1.078%, Receive 6-month LIBOR(JPY)(l)(i)		33,478
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 1.01%, Receive 6-month LIBOR(JPY)(l)(m)		15,338

		Total Purchased Swaptions (Identified Cost $97,229)		48,816


Principal Amount (‡)
	Short-Term Investments – 36.4%
	1,762,000	Repurchase Agreement with State Street Bank and Trust Company, dated 3/28/2012 at 0.010% to be repurchased at $1,762,002 on 4/01/2013 collateralized by $1,800,000 Federal National Mortgage Association, 2.140% due 11/07/2022 valued at $1,800,842 including accrued interest(n)(g)		1,762,000
	8,119	Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2012 at 0.010% to be repurchased at $8,119 on 4/01/2013 collateralized by $10,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $10,007 including accrued interest(n)		8,119
	3,797,038	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $3,797,038 on 4/01/2013 collateralized by $3,865,000 U.S. Treasury Note, 0.375% due 6/15/2015 valued at $3,876,649 including accrued interest(n)		3,797,038
	4,350,000	U.S. Treasury Bill, 0.106%, 9/19/2013(c)(g)(o)(p)		4,347,882

		Total Short-Term Investments (Identified Cost $9,914,977)		9,915,039

		Total Investments – 100.2% (Identified Cost $27,129,622)(a)		27,314,579
		Other assets less liabilities – (0.2)%		(53,437	)

		Net Assets – 100.0%	$	27,261,142


Contracts/Units of Currency/Notional Amount (††)		Description	Value (†)
	Written Options – (0.3%)

		Options on Futures Contracts – (0.0%)
	3	Light Sweet Crude Oil Put, expiring April 17, 2013 at 90(f)(g)	$	(270	)
	4	Natural Gas Put, expiring April 25, 2013 at 3400(f)(g)		(120	)

				(390	)

		Over-the-Counter Options on Currency – (0.3%)
	630,000	JPY Call, expiring January 14, 2015 at 84(f)(i)		(15,759	)
	315,000	JPY Call, expiring March 12, 2015 at 90(f)(j)		(15,496	)
	2,365,000	JPY Put, expiring March 12, 2014 at 101(f)(j)		(44,103	)
	1,400,000	RUB Call, expiring October 15, 2013 at 29.5000(f)(j)		(3,612	)
	775,000	RUB Call, expiring April 23, 2013 at 31.3500(f)(k)		(7,825	)

				(86,795	)

		Total Written Options (Premiums Received $123,955)	$	(87,185	)

	Written Swaptions – (0.0%)

		Interest Rate Swaptions – (0.0%)
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 6-month LIBOR, Receive 1.828%, (JPY)(l)(i)	$	(19,273	)
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 6-month LIBOR, Receive 1.760%, (JPY)(l)(m)		(3,895	)

		Total Written Swaptions (Premiums Received $43,966)	$	(23,168	)

Consolidation

The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2013, the value of the Fund’s investment in the Subsidiary was $3,844,370, representing 14.1% of the Fund’s net assets.

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

(†)

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

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

Broker-dealer bid prices 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 prices obtained from broker-dealers.

Commodity index total return swaps are priced based on the closing price of the reference asset that is supplied by an independent pricing service, if available, or quotations obtained from a broker-dealer.

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

Other exchange-traded options are valued at the average of the closing bid and 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 prices obtained from broker-dealers. These prices 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.

(††)	Options on futures are expressed as number of contracts. Options on securities are expressed as shares. Options on currency are expressed as units of currency. Interest rate swaptions are expressed as notional amount.

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

At March 31, 2013, the net unrealized appreciation on investments based on a cost of $27,130,647 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	$	592,284
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(408,352	)


Net unrealized appreciation	$	183,932

At December 31, 2012, the Fund had a short-term capital loss carryforward of $3,284,533 with no expiration date and a long-term capital loss carryforward of $256,137 with no expiration date. At December 31, 2012, late-year ordinary and post-October capital loss deferrals were $23,103. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of March 31, 2013 is disclosed.

(c)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions.

(d)	Position is unsettled. Contract rate was not determined at March 31, 2013 and does not take effect until settlement date.

(e)	Non-income producing security.

(f)

The Fund and the Subsidiary 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 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 options is limited to the premium paid.

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

(h)	Counterparty is UBS AG.

(i)	Counterparty is Citibank, N.A.

(j)	Counterparty is Credit Suisse AG.

(k)	Counterparty is Deutsche Bank AG.

(l)

When the 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 the 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 the 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 to determine the realized gain or loss. If the 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. The Fund, as writer of a written interest rate swaption, bears the risk of 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.

(m)	Counterparty is Bank of America, N.A.

(n)

(o)	All or a portion of this security has been pledged as initial margin for open futures contracts.

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

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

ETF	Exchange Traded Fund

SPDR	Standard & Poor’s Depositary Receipt

EUR

Euro

GBP	British Pound

JPY	Japanese Yen

RUB	New Russian Ruble

TRY	Turkish Lira

Swap Agreements

The Fund and the Subsidiary may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that 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.

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

At March 31, 2013, 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
Credit Suisse International	CDX.NA.HY Series 20, 5-Year		(5.00	%)		6/20/2018	$	2,000,000		$	(60,000	)	$	(61,115	)	$	(1,115	)	$	(2,222	)
JP Morgan Chase Bank, N.A.	Valero Energy Corp.		(1.00	%)		3/20/2018		250,000			2,060			849			(1,211	)		(83	)
JP Morgan Chase Bank, N.A.	HJ Heinz Co.		(1.00	%)		6/20/2018		500,000			30,601			15,869			(14,732	)		(167	)
Morgan Stanley Capital Services Inc.	France Telecom		(1.00	%)		6/20/2017		500,000	*		13,437			261			(13,176	)		(214	)
Morgan Stanley Capital Services Inc.	State Bank of India		(1.00	%)		12/20/2016		250,000			19,579			4,949			(14,630	)		(83	)
UBS AG	Japan Government		(1.00	%)		6/20/2017		1,000,000			(1,501	)		(16,306	)		(14,805	)		(333	)
UBS AG	State of Israel		(1.00	%)		9/20/2017		1,000,000			23,311			5,510			(17,801	)		(333	)

Total													$	(49,983	)	$	(77,470	)	$	(3,435	)

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

*	Notional value denominated in euros.

Forward Foreign Currency Contracts

At March 31, 2013, 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		4/02/2013	Australian Dollar		265,000	$	275,905	$	3,888
Buy²		4/15/2013	Australian Dollar		250,000		260,054		2,628
Buy²		4/15/2013	Australian Dollar		260,000		270,456		(1,573	)
Sell¹		4/02/2013	Australian Dollar		265,000		275,905		(6,156	)
Sell²		4/15/2013	Australian Dollar		120,000		124,826		(776	)
Buy¹		4/02/2013	British Pound		635,000		964,851		5,886
Buy¹		4/02/2013	British Pound		260,000		395,057		—
Buy¹		4/30/2013	British Pound		45,000		68,365		206
Sell¹		4/02/2013	British Pound		895,000		1,359,908		(14,230	)
Sell¹		4/15/2013	British Pound		250,000		379,837		(7,443	)
Sell¹		4/30/2013	British Pound		180,000		273,460		(843	)
Sell¹		5/02/2013	British Pound		450,000		683,644		(3,586	)
Buy¹		4/18/2013	Canadian Dollar		630,000		619,945		3,346
Sell¹		4/18/2013	Canadian Dollar		210,000		206,649		(2,501	)
Buy¹		4/08/2013	Euro		300,000		384,568		(6,800	)
Buy¹		4/26/2013	Euro		420,000		538,458		(6,877	)
Sell¹		4/08/2013	Euro		300,000		384,568		4,778
Sell¹		4/22/2013	Euro		510,000		653,825		6,791
Sell¹		4/25/2013	Euro		100,000		128,203		867
Sell¹		4/26/2013	Euro		420,000		538,458		(1,610	)
Sell³		4/30/2013	Euro		250,000		320,519		869
Buy¹		2/04/2014	Indian Rupee		14,400,000		250,570		(4,750	)
Sell¹		2/04/2014	Indian Rupee		14,400,000		250,570		(4,333	)
Buy⁴		4/19/2013	Japanese Yen		62,000,000		658,701		2,642
Sell⁵		4/12/2013	Japanese Yen		4,940,750		52,489		(798	)
Sell⁴		4/19/2013	Japanese Yen		62,000,000		658,701		(8,415	)
Buy¹		4/15/2013	Mexican Peso		10,100,000		816,706		6,394
Sell¹		4/15/2013	Mexican Peso		3,300,000		266,845		(2,706	)
Buy¹		4/22/2013	Russian Ruble		25,100,000		804,607		(9,007	)
Sell¹		4/11/2013	Russian Ruble		7,500,000		240,826		1,798
Sell¹		4/22/2013	Russian Ruble		25,100,000		804,607		3,961
Buy¹		4/08/2013	South African Rand		2,400,000		260,826		(3,281	)
Sell¹		4/08/2013	South African Rand		2,400,000		260,826		(1,159	)

Total								$	(42,790	)

At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:

Settlement Date

Deliver/Units of Currency

Receive¹/Units of Currency

Unrealized
Appreciation
(Depreciation)

4/30/2013

Euro

202,683

Polish Zloty

850,000

595

¹	Counterparty is Credit Suisse International.

²	Counterparty is UBS AG.

³	Counterparty is Bank of America, N.A.

⁴	Counterparty is Citibank, N.A.

⁵	Counterparty is Morgan Stanley Capital Services Inc.

Futures Contracts

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

At March 31, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Euro STOXX 50^®		6/21/2013		43	$	275,598	$	(3,675	)
Nikkei 225™		6/14/2013		2		263,452		15,162
S&P CNX Nifty Futures Index		4/25/2013		47		537,680		(188	)

Total							$	11,299


Commodity Futures⁶	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		11/13/2015		2	$	194,040	$	(4,425	)
Copper High Grade		5/29/2013		4		340,200		(4,566	)
Lead		4/17/2013		3		157,256		(17,138	)
Nickel		4/17/2013		6		597,690		(51,764	)
Nickel		6/19/2013		3		299,736		485
Palladium		6/26/2013		4		307,300		(780	)

Total							$	(78,188	)

At March 31, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40^®		4/19/2013		9	$	430,548	$	(5,612	)
Euro STOXX 50^®		6/21/2013		13		425,600		(3,694	)
10 Year U.S. Treasury Note		6/19/2013		44		5,807,312		(11,690	)
30 Year U.S. Treasury Bond		6/19/2013		5		722,344		(1,806	)

Total							$	(22,802	)


Commodity Futures⁶	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Lead		4/17/2013		3	$	157,256	$	13,800
Natural Gas		4/26/2013		3		120,720		(2,292	)
Nickel		4/17/2013		6		597,690		56,513
Nickel		6/19/2013		3		299,736		3,185

Total							$	71,206

⁶	Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	57,338	$	57,338
All Other Non-Convertible Bonds*		—		10,478,671		—		10,478,671

Total Non-Convertible Bonds		—		10,478,671		57,338		10,536,009

Convertible Bonds*		—		903,625		—		903,625

Total Bonds and Notes		—		11,382,296		57,338		11,439,634

Senior Loans*		—		1,288,071		—		1,288,071
Common Stocks*		2,994,320		—		—		2,994,320
Preferred Stocks*		279,018		—		—		279,018
Exchange Traded Funds		1,081,856		—		—		1,081,856
Purchased Options*		33,938		233,887		—		267,825
Purchased Swaptions*		—		48,816		—		48,816
Short-Term Investments		—		9,915,039		—		9,915,039

Total Investments		4,389,132		22,868,109		57,338		27,314,579

Forward Foreign Currency Contracts (unrealized appreciation)		—		44,649		—		44,649
Futures Contracts (unrealized appreciation)		89,145		—		—		89,145

Total	$	4,478,277	$	22,912,758	$	57,338	$	27,448,373

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options*	$	(390	)	$	(86,795	)	$	—	$	(87,185	)
Written Swaptions*		—			(23,168	)		—		(23,168	)
Credit Default Swap Agreements (unrealized depreciation)		—			(77,470	)		—		(77,470	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(86,844	)		—		(86,844	)
Futures Contracts (unrealized depreciation)		(107,630	)		—			—		(107,630	)

Total	$	(108,020	)	$	(274,277	)	$	—	$	(382,297	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or March 31, 2013:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	—	$	1,375	$	—	$	—	$	55,963	$	—	$	57,338	$	1,375

A debt security valued at $55,963 was transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, this security was valued using broker-dealer bid prices based upon inputs unobservable to the Fund as an independent pricing service was unable to price the security.

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

Derivatives

The Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts, interest rate swaptions and swap agreements. During the period ended March 31, 2013, the Fund used forward foreign currency, futures and options contracts and credit default swap agreements to gain investment exposures in accordance with its objective.

The 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. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Credit Suisse International	$	(54,031	)	$	—

Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk with respect to forward foreign currency contracts, over-the-counter options, interest rate swaptions and swap agreements by entering into master netting agreements with 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. As of March 31, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties as initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $994,478 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $749,559.

Counterparty risk is managed based on policies and procedures established by the Fund’s 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 the Fund and the counterparties. 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 Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of March 31, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Credit Contracts			Equity Contracts			Commodity Contracts
Purchased Options (at value)	$	—		$	233,887		$	—		$	31,648		$	2,290
Purchased Swaptions (at value)		48,816			—			—			—			—
Forwards (unrealized appreciation)		—			44,649			—			—			—
Futures (unrealized appreciation)		—			—			—			15,162			73,983

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Credit Contracts			Equity Contracts			Commodity Contracts
Written Options (at value)	$	—		$	(86,795	)	$	—		$	—		$	(390	)
Written Swaptions (at value)		(23,168	)		—			—			—			—
Forwards (unrealized depreciation)		—			(86,844	)		—			—			—
Futures (unrealized depreciation)		(13,496	)		—			—			(13,169	)		(80,965	)
Swaps (unrealized depreciation)		—			—			(77,470	)		—			—

Industry Summary at March 31, 2013 (Unaudited)


Banking	5.9	%
Chemicals	4.5
Technology	4.1
Exchange Traded Funds	4.0
Independent Energy	3.8
Wireless	3.7
Metals & Mining	3.1
Life Insurance	3.1
Media Cable	2.8
Airlines	2.2
Other Investments, less than 2% each	26.6
Short-Term Investments	36.4

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

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 92.7% of Net Assets

	Municipals – 92.7%

		Alaska – 2.4%
	$400,000	Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018	$	480,796

		Arizona – 4.2%
	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024		360,453
	400,000	Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022		486,492

				846,945

		California – 7.3%
	400,000	Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030		425,484
	400,000	California State, GO, Various Purpose, Refunding, 4.000%, 9/01/2027		423,148
	500,000	Kern High School District, GO, Refunding, 5.000%, 8/01/2023		616,730

				1,465,362

		Colorado – 9.6%
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		446,028
	400,000	Denver City and County, Airport System Revenue, Series B, 5.000%, 11/15/2029		461,688
	400,000	Douglas County School District #Re-1, GO, Refunding, (State Aid Withholding), 4.000%, 12/15/2020		466,444
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		548,266

				1,922,426

		Connecticut – 6.5%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		451,725
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		420,292
	400,000	State of Connecticut, GO, Series G, 4.000%, 10/15/2026		445,224

				1,317,241

		Florida – 6.1%
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		275,005
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		477,704
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		481,704

				1,234,413


Principal Amount		Description	Value (†)
	Municipals – continued

		Georgia – 3.0%
	$500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021	$	609,110

		Hawaii – 2.3%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		456,900

		Illinois – 4.4%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028		419,839
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		119,587
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		353,389

				892,815

		Kentucky – 1.7%
	275,000	Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 2/01/2018@100, 6.125%, 2/01/2037		343,764

		Massachusetts – 3.1%
	400,000	Massachusetts School Building Authority Sales Tax Revenue, Prerefunded 8/15/2015@100, Series A, (AGM insured), 5.000%, 8/15/2017		443,900
	150,000	Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018		169,409

				613,309

		Minnesota – 3.1%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		286,460
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		346,110

				632,570

		Missouri – 2.8%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		559,015

		New York – 4.1%
	350,000	New York State Dormitory Authority Revenue, Cornell University, Series B, 5.000%, 7/01/2021		427,602
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		404,842

				832,444

		North Carolina – 4.5%
	400,000	North Carolina Eastern Municipal Power Agency Revenue, Refunding, Series A, 5.250%, 1/01/2020		467,036
	375,000	Raleigh Durham Airport Authority Revenue, Refunding, Series A, 5.000%, 5/01/2024		439,177

				906,213


Principal Amount		Description	Value (†)
	Municipals – continued

		Ohio – 6.7%
	$400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021	$	468,504
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		569,805
	270,000	State of Ohio Hospital Facilities Revenue, Cleveland Clinic Health System, Refunding, Series A, 5.000%, 1/01/2018		317,450

				1,355,759

		Pennsylvania – 6.0%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		399,055
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		305,705
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		501,863

				1,206,623

		Texas – 7.0%
	400,000	Frisco Independent School District, GO, School Building, Refunding, Series B, (PSF-GTD), 5.000%, 8/15/2020		497,604
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		449,212
	400,000	Pasadena Independent School District, GO, Refunding, Series D, (PSF-GTD), 4.000%, 2/15/2019		462,524

				1,409,340

		Utah – 1.5%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		297,903

		Virginia – 3.0%
	500,000	Virginia State Public Building Authority Facility Revenue, Series A, 5.000%, 8/01/2018		600,055

		Washington – 3.4%
	360,000	Energy Northwest Electric Revenue, Columbia Generating Station, Series D, 5.000%, 7/01/2029		422,816
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		265,315

				688,131

		Total Bonds and Notes (Identified Cost $18,912,556)		18,671,134

	Short-Term Investments – 6.6%
	1,323,453	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $1,323,453 on 4/01/2013 collateralized by $1,355,000 U.S. Treasury Note, 0.250% due 9/15/2015 valued at $1,353,306 including accrued interest(b) (Identified Cost $1,323,453)		1,323,453


		Description	Value (†)
		Total Investments – 99.3% (Identified Cost $20,236,009)(a)	$	19,994,587
		Other assets less liabilities – 0.7%		147,788

		Net Assets – 100.0%	$	20,142,375

(†)

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

At March 31, 2013, the net unrealized depreciation on investments based on a cost of $20,236,009 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	$	22,613
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(264,035	)

Net unrealized depreciation	$	(241,422	)

(b)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	18,671,134	$	—	$	18,671,134
Short-Term Investments		—		1,323,453		—		1,323,453

Total	$	—	$	19,994,587	$	—	$	19,994,587

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.


Holdings Summary at March 31, 2013 (Unaudited)
Higher Education	17.9	%
General Obligation	13.9
Medical	11.8
School District	10.1
Power	9.8
Transportation	9.3
Airport	8.4
General	6.9
Water	2.4
Education	2.2
Short-Term Investments	6.6

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2013 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 97.0% of Net Assets

		Aerospace & Defense – 1.1%
	43,300	B/E Aerospace, Inc.(b)	$	2,610,557

		Auto Components – 2.4%
	83,275	Delphi Automotive PLC		3,697,410
	55,250	Tenneco, Inc.(b)		2,171,878

				5,869,288

		Biotechnology – 1.2%
	247,375	Elan Corp. PLC, Sponsored ADR(b)		2,919,025

		Capital Markets – 1.3%
	113,375	SEI Investments Co.		3,270,869

		Chemicals – 4.0%
	29,275	Airgas, Inc.		2,902,909
	52,350	FMC Corp.		2,985,520
	61,025	Rockwood Holdings, Inc.		3,993,476

				9,881,905

		Commercial Banks – 8.0%
	79,575	CIT Group, Inc.(b)		3,459,921
	261,375	Fifth Third Bancorp		4,263,026
	462,175	First Niagara Financial Group, Inc.		4,094,871
	639,050	Huntington Bancshares, Inc.		4,722,579
	373,950	Regions Financial Corp.		3,062,651

				19,603,048

		Commercial Services & Supplies – 0.7%
	89,875	KAR Auction Services, Inc.		1,800,196

		Computers & Peripherals – 1.9%
	166,975	NCR Corp.(b)		4,601,831

		Construction & Engineering – 1.3%
	112,550	Quanta Services, Inc.(b)		3,216,679

		Containers & Packaging – 3.5%
	131,925	Crown Holdings, Inc.(b)		5,489,399
	66,800	Packaging Corp. of America		2,997,316

				8,486,715

		Distributors – 0.7%
	78,750	LKQ Corp.(b)		1,713,600

		Energy Equipment & Services – 3.2%
	64,325	Helmerich & Payne, Inc.		3,904,527
	153,775	Superior Energy Services, Inc.(b)		3,993,537

				7,898,064

		Food Products – 1.8%
	62,675	Ingredion, Inc.		4,532,656


Shares		Description	Value (†)
	Common Stocks – continued

		Health Care Providers & Services – 2.2%
	134,000	HCA Holdings, Inc.	$	5,444,420

		Health Care Technology – 1.2%
	224,700	Allscripts Healthcare Solutions, Inc.(b)		3,053,673

		Household Durables – 4.1%
	69,275	Harman International Industries, Inc.		3,091,743
	99,563	Jarden Corp.(b)		4,266,253
	66,375	Lennar Corp., Class A		2,753,235

				10,111,231

		Household Products – 1.0%
	43,300	Spectrum Brands Holdings, Inc.		2,450,347

		Insurance – 9.6%
	92,775	Endurance Specialty Holdings Ltd.		4,435,573
	197,900	Hartford Financial Services Group, Inc. (The)		5,105,820
	80,400	Reinsurance Group of America, Inc., Class A		4,797,468
	105,125	Validus Holdings Ltd.		3,928,521
	174,400	XL Group PLC		5,284,320

				23,551,702

		IT Services – 5.6%
	144,300	Broadridge Financial Solutions, Inc.		3,584,412
	44,125	Fiserv, Inc.(b)		3,875,498
	78,750	Global Payments, Inc.		3,910,725
	31,075	MAXIMUS, Inc.		2,485,068

				13,855,703

		Machinery – 6.6%
	75,850	AGCO Corp.		3,953,302
	14,850	Flowserve Corp.		2,490,494
	102,250	Navistar International Corp.(b)		3,534,782
	59,775	Pentair Ltd. (Registered)		3,153,131
	37,525	Snap-on, Inc.		3,103,318

				16,235,027

		Media – 1.8%
	56,075	CBS Corp., Class B		2,618,142
	22,900	Discovery Communications, Inc., Class A(b)		1,803,146

				4,421,288

		Metals & Mining – 3.3%
	75,025	Carpenter Technology Corp.		3,697,982
	61,025	Reliance Steel & Aluminum Co.		4,343,149

				8,041,131

		Oil, Gas & Consumable Fuels – 3.2%
	33,800	Noble Energy, Inc.		3,909,308
	30,925	Pioneer Natural Resources Co.		3,842,431

				7,751,739

		Personal Products – 1.0%
	61,275	Elizabeth Arden, Inc.(b)		2,466,319


Shares		Description	Value (†)
	Common Stocks – continued

		Pharmaceuticals – 3.1%
	57,336	Valeant Pharmaceuticals International, Inc.(b)	$	4,301,347
	244,475	Warner Chilcott PLC, Class A		3,312,636

				7,613,983

		Professional Services – 2.0%
	72,550	Towers Watson & Co., Class A		5,029,166

		Road & Rail – 1.9%
	50,450	Con-way, Inc.		1,776,345
	125,750	Hertz Global Holdings, Inc.(b)		2,799,195

				4,575,540

		Semiconductors & Semiconductor Equipment – 3.0%
	83,275	Avago Technologies Ltd.		2,991,238
	196,650	Skyworks Solutions, Inc.(b)		4,332,200

				7,323,438

		Software – 7.9%
	59,775	BMC Software, Inc.(b)		2,769,376
	52,350	Check Point Software Technologies Ltd.(b)		2,459,926
	25,150	Intuit, Inc.		1,651,098
	202,425	Nuance Communications, Inc.(b)		4,084,936
	214,375	Rovi Corp.(b)		4,589,769
	68,450	Solera Holdings, Inc.		3,992,688

				19,547,793

		Specialty Retail – 4.7%
	98,525	GNC Holdings, Inc., Class A		3,870,062
	91,950	Rent-A-Center, Inc.		3,396,633
	64,725	Signet Jewelers Ltd.		4,336,575

				11,603,270

		Trading Companies & Distributors – 3.7%
	87,400	United Rentals, Inc.(b)		4,804,378
	59,375	WESCO International, Inc.(b)		4,311,219

				9,115,597

		Total Common Stocks (Identified Cost $198,556,249)		238,595,800

	Closed End Investment Companies – 1.4%
	188,425	Ares Capital Corp. (Identified Cost $2,919,928)		3,410,493


Principal Amount
	Short-Term Investments – 2.1%
$	5,209,120	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013 at 0.000% to be repurchased at $5,209,120 on 4/01/2013 collateralized by $5,320,000 U.S Treasury Note, 0.250% due 9/15/2015 valued at $5,313,350 including accrued interest(c) (Identified Cost $5,209,120)		5,209,120


Description	Value (†)
Total Investments – 100.5% (Identified Cost $206,685,297)(a)	$	247,215,413
Other assets less liabilities – (0.5)%		(1,208,382	)

Net Assets – 100.0%	$	246,007,031

(†)

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

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

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

At March 31, 2013, the net unrealized appreciation on investments based on a cost of $206,685,297 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	$	42,824,518
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,294,402	)

Net unrealized appreciation	$	40,530,116

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	238,595,800	$	—	$	—	$	238,595,800
Closed End Investment Companies		3,410,493		—		—		3,410,493
Short-Term Investments		—		5,209,120		—		5,209,120

Total	$	242,006,293	$	5,209,120	$	—	$	247,215,413

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

For the period ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.


Industry Summary at March 31, 2013 (Unaudited)
Insurance	9.6	%
Commercial Banks	8.0
Software	7.9
Machinery	6.6
IT Services	5.6
Specialty Retail	4.7
Household Durables	4.1
Chemicals	4.0
Trading Companies & Distributors	3.7
Containers & Packaging	3.5
Metals & Mining	3.3
Energy Equipment & Services	3.2
Oil, Gas & Consumable Fuels	3.2
Pharmaceuticals	3.1
Semiconductors & Semiconductor Equipment	3.0
Auto Components	2.4
Health Care Providers & Services	2.2
Professional Services	2.0
Other Investments, less than 2% each	18.3
Short-Term Investments	2.1

Total Investments	100.5
Other assets less liabilities	(0.5	)

Net Assets	100.0	%

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS

(a)(1)

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

(a)(2)

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

SIGNATURES

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


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		May 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:		May 22, 2013


By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 22, 2013