Natixis Funds Trust II

N-CSRS 1 d568204dncsrs.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2013

Item 1. Reports to Stockholders.

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

SEMIANNUAL REPORT

June 30, 2013

LOGO

ASG Diversifying Strategies Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 15

Financial Statements page 29

Notes to Financial Statements page 39

ASG DIVERSIFYING STRATEGIES FUND


Managers		Symbols
Andrew W. Lo, PhD		Class A DSFAX
Jeremiah H. Chafkin		Class C DSFCX
Philippe P. Lüdi, CFA, PhD		Class Y DSFYX
AlphaSimplex Group, LLC (Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

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

Strategy

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

1 |

Average Annual Total Returns — June 30, 2013⁴



	6 Months			1 Year			Since Inception

Class A (Inception 8/3/09)
NAV		-6.56	%		-8.88	%		-0.62	%
With 5.75% Maximum Sales Charge		-11.94			-14.10			-2.12

Class C (Inception 8/3/09)
NAV		-6.89			-9.45			-1.35
With CDSC¹		-7.82			-10.36			-1.35

Class Y (Inception 8/3/09)
NAV		-6.41			-8.53			-0.38

Comparative Performance
3-Month LIBOR²		0.15			0.38			0.37
Barclay Fund of Funds Index^TM³		2.97			6.75			2.60

Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.

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

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

The Barclay Fund of Funds Index^™ is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by Barclay Hedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index^™ returns reported by the fund may differ from the index returns for the same period published by others. Benchmark since inception performance is calculated from 7/31/09.

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

| 2

ASG GLOBAL ALTERNATIVES FUND


Managers		Symbols
Andrew W. Lo, PhD		Class A GAFAX
Jeremiah H. Chafkin		Class C GAFCX
Peter A. Lee		Class N GAFNX
AlphaSimplex Group, LLC (Adviser)		Class Y GAFYX
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

Pursues an absolute return strategy that seeks capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds while maintaining less volatility than major equity indices.

Strategy

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

3 |

Average Annual Total Returns — June 30, 2013³



	6 Months			1 Year			Since Inception

Class A (Inception 9/30/08)
NAV		7.77	%		14.80	%		4.32	%
With 5.75% Maximum Sales Charge		1.56			8.18			3.03

Class C (Inception 9/30/08)
NAV		7.42			13.93			3.56
With CDSC¹		6.42			12.93			3.56

Class N (Inception 5/1/13)
NAV		—			—			0.63

Class Y (Inception 9/30/08)
NAV		7.98			15.07			4.59

Comparative Performance								Class A/C/Y Class N
Barclay Fund of Funds Index^TM²		2.97			6.75			0.94 -0.83

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

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

| 4

ASG MANAGED FUTURES STRATEGY FUND


Managers		Symbols
Andrew W. Lo, PhD		Class A AMFAX
Jeremiah H. Chafkin		Class C ASFCX
Robert W. Sinnott		Class Y ASFYX
AlphaSimplex Group, LLC (Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

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

Strategy

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

5 |

Average Annual Total Returns — June 30, 2013³



	6 Months			1 Year			Since Inception

Class A (Inception 7/30/10)
NAV		3.84	%		2.23	%		1.69	%
With 5.75% Maximum Sales Charge		-2.17			-3.68			-0.36

Class C (Inception 7/30/10)
NAV		3.45			1.53			0.91
With CDSC¹		2.45			0.53			0.91

Class Y (Inception 7/30/10)
NAV		3.96			2.45			1.89

Comparative Performance
FTSE StableRisk Trend Composite Index²		-9.47			-18.21			-8.11

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

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

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

| 6

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.

The index information contained herein is derived form third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2013 is available on the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

7 |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from January 1, 2013 through June 30, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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


ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 1/1/2013		ENDING ACCOUNT VALUE 6/30/2013		EXPENSES PAID DURING PERIOD* 1/1/2013 – 6/30/2013
Class A
Actual		$1,000.00		$934.40		$8.35
Hypothetical (5% return before expenses)		$1,000.00		$1,016.17		$8.70
Class C
Actual		$1,000.00		$931.10		$11.92
Hypothetical (5% return before expenses)		$1,000.00		$1,012.45		$12.42
Class Y
Actual		$1,000.00		$935.90		$7.15
Hypothetical (5% return before expenses)		$1,000.00		$1,017.41		$7.45

Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.74%, 2.49% and 1.49% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 8


ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2013		ENDING ACCOUNT VALUE 6/30/2013			EXPENSES PAID DURING PERIOD 1/1/2013 – 6/30/2013
Class A
Actual		$1,000.00		$1,077.70			$8.24	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,016.86			$8.00	*
Class C
Actual		$1,000.00		$1,074.20			$12.09	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,013.14			$11.73	*
Class N
Actual		$1,000.00		$1,006.30	²		$2.18	²
Hypothetical (5% return before expenses)		$1,000.00		$1,018.25			$6.61	*
Class Y
Actual		$1,000.00		$1,079.80			$7.01	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05			$6.80	*

Hypothetical expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.60%, 2.35%, 1.32% and 1.36% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund's annualized expense ratio including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.60%, 2.35% and 1.36%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

Class N commenced operations on May 1, 2013. Actual expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense of 1.32%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (60), divided by 365 (to reflect the partial period).


ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2013		ENDING ACCOUNT VALUE 6/30/2013		EXPENSES PAID DURING PERIOD* 1/1/2013 – 6/30/2013
Class A
Actual		$1,000.00		$1,038.40		$8.74
Hypothetical (5% return before expenses)		$1,000.00		$1,016.22		$8.65
Class C
Actual		$1,000.00		$1,034.50		$12.51
Hypothetical (5% return before expenses)		$1,000.00		$1,012.50		$12.37
Class Y
Actual		$1,000.00		$1,039.60		$7.48
Hypothetical (5% return before expenses)		$1,000.00		$1,017.46		$7.40

Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.73%, 2.48% and 1.48% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

9 |

BOARD APPROVAL OF THE EXISTING

ADVISORY AND SUB-ADVISORY AGREEMENTS

FOR THE FUNDS INCLUDED IN THIS REPORT

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser and sub-adviser (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also consider other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

| 10

Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review and Governance Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at their meeting held in June 2013. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis. The Board noted that, given the recent commencement of operations of each Fund, the Funds have a limited operating history upon which to evaluate their performance.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group median

11 |

and/or category median for all periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category; (3) that although the Fund’s performance lagged that of its relevant peer group for certain periods, performance was stronger when compared to the Fund’s relevant performance benchmark; and (4) that the Fund is meeting its target for volatility.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed by the adviser for each Fund whose current expenses are above the cap. The Trustees noted that the ASG Diversifying Strategies Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher fees. These factors included (1) that although the Fund’s advisory fee rate was above its peer group median, it is subject to an expense cap, which resulted in the reduction of the advisory fee; and (2) that the Fund’s net expense ratio was at or below the median of a peer group of funds.

| 12

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that each of the Funds was subject to an expense cap. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the ASG Global Alternatives Fund has breakpoints in its advisory fee and that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

13 |

The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services.

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions and the benefits to NGAM Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the fact that NGAM Advisors’ parent company benefits from the retention of affiliated Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2014.

| 14

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 80.9% of Net Assets
		Certificates of Deposit — 52.5%
$	1,000,000	Canadian Imperial Bank, 0.030%, 7/01/2013	$	1,000,000
	2,500,000	BNP Paribas, 0.040%, 7/01/2013		2,500,000
	2,500,000	Credit Agricole, 0.110%, 7/01/2013		2,500,000
	2,500,000	National Bank of Kuwait, 0.120%, 7/03/2013		2,500,000
	500,000	China Construction Bank Corp. (NY), 0.240%, 7/05/2013		500,000
	2,500,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/08/2013(b)		2,500,020
	2,500,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		2,500,145
	2,500,000	Norinchukin Bank, 0.380%, 7/12/2013		2,500,195
	2,800,000	National Australia Bank, 0.240%, 7/16/2013(b)		2,800,168
	2,500,000	Bank of Montreal (IL), 0.150%, 7/23/2013		2,499,948
	2,500,000	Industrial & Commercial Bank of China, 0.400%, 9/12/2013		2,500,790
	2,500,000	Deutsche Bank A.G., 0.390%, 9/13/2013(b)		2,500,800
	2,000,000	Mizuho Corporate Bank, 0.220%, 9/20/2013		1,999,906
	3,000,000	Westpac Banking Corp. (NY), 0.323%, 11/06/2013(b)(c)		3,001,131
	2,500,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.320%, 2/10/2014(b)		2,500,312
	2,500,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		2,500,792
	2,000,000	China Construction Bank Corp. (NY), 0.443%, 7/20/2015(c)(e)		2,000,000

				38,804,207

		Commercial Paper — 12.9%
	2,500,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.210%, 7/18/2013(d)		2,499,752
	2,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 7/31/2013(d)		1,999,700
	2,500,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 8/12/2013		2,500,125
	2,500,000	Tennessee School Bond Authority, 0.180%, 8/13/2013		2,500,100

				9,499,677

		Financial Company Commercial Paper — 10.1%
	2,500,000	General Electric Capital Corp., 0.200%, 7/15/2013(d)		2,499,918
	2,500,000	Societe Generale North America, 0.430%, 10/08/2013(d)		2,497,875
	2,500,000	United Overseas Bank Limited, 0.220%, 10/11/2013(d)		2,498,395

				7,496,188

		Other Notes — 5.4%
	4,000,000	Wells Fargo, 0.322%, 7/18/2014(c)		4,000,648

		Total Short-Term Investments (Identified Cost $59,794,874)		59,800,720


		Total Investments — 80.9% (Identified Cost $59,794,874)(a)		59,800,720
		Other assets less liabilities — 19.1%		14,142,503

		Net Assets — 100.0%	$	73,943,223


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

See accompanying notes to financial statements.

15 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund – (continued)



(a)	Federal Tax Information:
	At June 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $59,794,874 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	6,039
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(193	)

	Net unrealized appreciation	$	5,846


	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 June 30, 2013 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(e)	Security payable on demand at par including accrued interest with thirty days notice.

At June 30, 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		9/18/2013	Australian Dollar		8,400,000	$	7,638,807	$	(85,088	)
Sell		9/18/2013	Australian Dollar		5,400,000		4,910,661		196,984
Buy		9/18/2013	British Pound		3,500,000		5,320,611		(157,427	)
Sell		9/18/2013	British Pound		4,562,500		6,935,797		85,086
Buy		9/18/2013	Canadian Dollar		3,800,000		3,606,448		9,132
Buy		9/18/2013	Canadian Dollar		2,000,000		1,898,131		(64,557	)
Sell		9/18/2013	Canadian Dollar		6,000,000		5,694,392		80,586
Buy		9/18/2013	Euro		4,500,000		5,859,416		(143,911	)
Sell		9/18/2013	Euro		6,250,000		8,138,078		68,179
Buy		9/18/2013	Japanese Yen		962,500,000		9,708,041		(129,661	)
Sell		9/18/2013	Japanese Yen		387,500,000		3,908,432		178,754
Sell		9/18/2013	Japanese Yen		775,000,000		7,816,864		(708	)
Buy		9/18/2013	New Zealand Dollar		4,100,000		3,159,817		(47,396	)
Sell		9/18/2013	New Zealand Dollar		900,000		693,618		7,904
Buy		9/18/2013	Norwegian Krone		4,000,000		656,697		1,683
Buy		9/18/2013	Singapore Dollar		375,000		295,902		1,790
Buy		9/18/2013	Singapore Dollar		2,500,000		1,972,677		(27,885	)
Sell		9/18/2013	Singapore Dollar		2,000,000		1,578,142		19,069
Sell		9/18/2013	Singapore Dollar		1,500,000		1,183,606		(6,633	)
Buy		9/18/2013	Swedish Krona		16,000,000		2,381,751		(88,838	)
Sell		9/18/2013	Swedish Krona		16,000,000		2,381,751		57,050
Buy		9/18/2013	Swiss Franc		2,625,000		2,781,043		(64,405	)
Sell		9/18/2013	Swiss Franc		5,000,000		5,297,226		54,885
Buy		9/18/2013	Turkish Lira		300,000		153,670		1,830
Buy		9/18/2013	Turkish Lira		600,000		307,341		(8,323	)
Sell		9/18/2013	Turkish Lira		600,000		307,341		4,695
Sell		9/18/2013	Turkish Lira		600,000		307,341		(685	)

Total								$	(57,890	)

¹Counterparty is UBS AG.

See accompanying notes to financial statements.

| 16

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		7/19/2013		4	$	359,047	$	(7,185	)
ASX SPI 200™		9/19/2013		16		1,744,595		37,954
E-mini Dow		9/20/2013		146		10,821,520		(30,940	)
E-mini NASDAQ 100		9/20/2013		138		8,007,450		41,235
Euro Schatz		9/06/2013		138		19,822,806		27,725
FTSE/JSE Top 40 Index		9/19/2013		44		1,549,228		13,273
German Euro BOBL		9/06/2013		29		4,726,029		(23,260	)
Mini-Russell 2000		9/20/2013		235		22,905,450		350,095
Nikkei 225™		9/12/2013		19		2,620,690		69,268
OMXS30^®		7/19/2013		84		1,440,793		(12,153	)
TOPIX		9/12/2013		5		570,175		9,579
2 Year U.S. Treasury Note		9/30/2013		139		30,580,000		(1,516	)
3 Year Australia Government Bond		9/16/2013		52		5,193,510		(21,761	)
5 Year U.S. Treasury Note		9/30/2013		42		5,083,969		27,062
10 Year Australia Government Bond		9/16/2013		235		25,444,291		194,822
10 Year Canada Government Bond		9/19/2013		380		47,481,031		(510,069	)
10 Year U.S. Treasury Note		9/19/2013		194		24,553,125		143,125
30 Year U.S. Treasury Bond		9/19/2013		11		1,494,281		(29,844	)

Total							$	277,410


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		9/18/2013		40	$	1,769,250	$	(27,671	)
Brent Crude Oil		7/16/2013		8		817,280		(21,180	)
Copper LME		9/18/2013		4		675,100		8,115
Cotton		12/06/2013		28		1,176,140		(17,950	)
Gasoline		7/31/2013		41		4,676,263		(95,537	)
Light Sweet Crude Oil		7/22/2013		8		772,480		(5,030	)
Nickel		9/18/2013		15		1,233,315		(37,395	)
Soybean		11/14/2013		15		939,000		(14,100	)
Soybean Meal		12/13/2013		158		5,909,200		(48,350	)
Soybean Oil		12/13/2013		29		785,088		(28,854	)
Zinc		9/18/2013		9		417,150		(5,922	)

Total							$	(293,874	)

See accompanying notes to financial statements.

17 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

At June 30, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40^®		7/19/2013		123	$	5,979,042	$	(5,083	)
CBOE SPX Volatility Index		7/16/2013		118		2,129,900		233,900
DAX		9/20/2013		1		259,240		(293	)
E-mini S&P 500^®		9/20/2013		170		13,594,050		(253,125	)
EURO STOXX 50^®		9/20/2013		29		980,689		(16,570	)
FTSE 100 Index		9/20/2013		8		749,706		(4,015	)
FTSE MIB		9/20/2013		34		3,377,182		(11,930	)
German Euro Bund		9/06/2013		87		16,026,220		(75,873	)
Hang Seng Index^®		7/30/2013		32		4,276,197		(154,666	)
IBEX 35		7/19/2013		36		3,593,599		(21,417	)
MSCI Singapore		7/30/2013		17		947,976		(18,414	)
MSCI Taiwan Index		7/30/2013		99		2,767,050		(84,490	)
S&P CNX Nifty Futures Index		7/25/2013		132		1,538,328		(52,511	)
S&P/TSX 60 Index		9/19/2013		8		1,053,989		(15,214	)
UK Long Gilt		9/26/2013		108		18,380,980		(54,450	)
10 Year Japan Government Bond		9/10/2013		26		37,408,752		(73,100	)

Total							$	(607,251	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		9/18/2013		52	$	2,300,025	$	147,069
Cocoa		9/13/2013		35		757,400		(5,380	)
Coffee		9/18/2013		81		3,657,150		34,744
Copper High Grade		9/26/2013		7		535,062		2,388
Copper LME		9/18/2013		7		1,181,425		62,806
Gas Oil		8/12/2013		4		350,900		(9,600	)
Gold		8/28/2013		11		1,346,070		125,410
KC Wheat		9/13/2013		85		2,936,750		127,812
Natural Gas		7/29/2013		61		2,174,650		139,660
New York Harbor ULSD		7/31/2013		4		480,278		(1,457	)
Nickel		9/18/2013		21		1,726,641		146,259
Silver		9/26/2013		11		1,070,850		(9,030	)
Sugar		9/30/2013		194		3,676,378		34,171
Wheat		9/13/2013		93		3,058,538		148,737
Zinc		9/18/2013		21		973,350		29,990

Total							$	973,579

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

See accompanying notes to financial statements.

| 18

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

Industry Summary at June 30, 2013 (Unaudited)


Certificates of Deposit	52.5	%
Commercial Paper	12.9
Financial Company Commercial Paper	10.1
Other Notes	5.4

Total Investments	80.9
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	19.1

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 92.3% of Net Assets
		Certificates of Deposit — 65.3%
$	32,000,000	BNP Paribas, 0.040%, 7/01/2013	$	32,000,000
	47,000,000	Credit Industriel et Commercial (NY), 0.050%, 7/01/2013		47,000,000
	47,000,000	Credit Agricole, 0.110%, 7/01/2013		47,000,000
	47,000,000	National Bank of Kuwait, 0.120%, 7/03/2013		47,000,000
	20,000,000	China Construction Bank Corp. (NY), 0.240%, 7/05/2013		20,000,000
	10,500,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/08/2013		10,500,084
	17,000,000	Norinchukin Bank, 0.380%, 7/08/2013		17,000,952
	40,000,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		40,002,320
	23,000,000	Norinchukin Bank, 0.380%, 7/12/2013(b)		23,001,794
	40,000,000	National Australia Bank, 0.240%, 7/16/2013		40,002,400
	10,800,000	Rabobank Nederland (NY), 0.356%, 7/19/2013(c)		10,800,983
	40,000,000	Bank of Montreal (IL), 0.150%, 7/23/2013		39,999,160
	5,800,000	Rabobank Nederland (NY), 0.325%, 8/09/2013(c)		5,800,963
	40,000,000	Industrial & Commercial Bank of China, 0.400%, 9/12/2013		40,012,640
	40,000,000	Deutsche Bank A.G., 0.390%, 9/13/2013		40,012,800
	40,000,000	Mizuho Corporate Bank, 0.220%, 9/20/2013		39,998,120
	50,000,000	Westpac Banking Corp. (NY), 0.323%, 11/06/2013(b)(c)		50,018,850
	40,000,000	Credit Suisse First Boston, 0.290%, 11/07/2013		40,004,400
	20,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013(b)		20,008,760
	40,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.320%, 2/10/2014		40,005,000
	40,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		40,012,680
	25,000,000	China Construction Bank Corp. (NY), 0.443%, 7/20/2015(c)(e)		25,000,000

				715,181,906

		Financial Company Commercial Paper — 17.0%
	40,000,000	General Electric Capital Corp., 0.230%, 7/15/2013(b)(d)		39,998,680
	19,200,000	ICICI Bank Ltd., (Credit Support: Wells Fargo), 0.300%, 7/23/2013(b)(d)		19,197,811
	47,000,000	Barclays U.S. Funding, 0.200%, 9/25/2013(d)		46,971,048
	40,000,000	Societe Generale North America, 0.430%, 10/08/2013(b)(d)		39,966,000
	40,000,000	United Overseas Bank Limited, 0.220%, 10/11/2013(d)		39,974,320

				186,107,859

		Commercial Paper — 5.9%
	22,600,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.210%, 7/18/2013(d)		22,597,759
	23,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 7/31/2013(d)		22,996,550
	19,000,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 8/12/2013		19,000,950

				64,595,259

		Other Notes — 4.1%
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.354%, 7/07/2014(c)		19,997,200
	25,000,000	Wells Fargo, 0.322%, 7/18/2014(c)		25,004,050

				45,001,250

		Total Short-Term Investments (Identified Cost $1,010,801,008)		1,010,886,274


		Total Investments — 92.3% (Identified Cost $1,010,801,008)(a)		1,010,886,274
		Other assets less liabilities — 7.7%		83,834,126

		Net Assets — 100.0%	$	1,094,720,400

See accompanying notes to financial statements.

| 20

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Global Alternatives Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At June 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $1,010,801,008 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	$	102,441
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(17,175	)

	Net unrealized appreciation	$	85,266


	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 June 30, 2013 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(e)	Security payable on demand at par including accrued interest with thirty days notice.

At June 30, 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		9/18/2013	Australian Dollar		11,500,000	$	10,457,890	$	388,151
Buy		9/18/2013	British Pound		6,625,000		10,071,158		(164,216	)
Sell		9/18/2013	Canadian Dollar		5,000,000		4,745,326		73,927
Buy		9/18/2013	Euro		15,625,000		20,345,196		(85,694	)
Sell		9/18/2013	Euro		19,125,000		24,902,520		287,783
Buy		9/18/2013	Japanese Yen		1,362,500,000		13,742,551		(144,227	)
Sell		9/18/2013	Japanese Yen		4,987,500,000		50,305,303		772,058
Sell		9/18/2013	Japanese Yen		10,387,500,000		104,771,195		(9,492	)
Buy		9/18/2013	Swedish Krona		90,000,000		13,397,350		(232,955	)
Buy		9/18/2013	Swiss Franc		7,250,000		7,680,977		(49,948	)

Total								$	835,387

¹Counterparty is UBS AG.

See accompanying notes to financial statements.

21 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/20/2013		321	$	83,215,963	$	(1,613,557	)
E-mini S&P 500^®		9/20/2013		2,779		222,222,735		(3,592,697	)
Eurodollar		3/17/2014		5,667		1,410,657,975		(688,000	)
FTSE 100 Index		9/20/2013		658		61,663,356		(942,365	)
German Euro Bund		9/06/2013		270		49,736,546		(570,044	)
Hang Seng Index^®		7/30/2013		133		17,772,945		775,943
TOPIX		9/12/2013		808		92,140,351		2,450,050
UK Long Gilt		9/26/2013		132		22,465,642		(989,773	)
10 Year Japan Government Bond		9/10/2013		157		225,891,309		385,057
10 Year U.S. Treasury Note		9/19/2013		339		42,904,687		481,359

Total							$	(4,304,027	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		7/16/2013		71	$	7,253,360	$	(51,830	)
Gas Oil		8/12/2013		57		5,000,325		(89,775	)
Light Sweet Crude Oil		7/22/2013		56		5,407,360		31,900
Natural Gas		7/29/2013		34		1,212,100		(123,080	)
New York Harbor ULSD		7/31/2013		4		480,278		(19,303	)

Total							$	(252,088	)

At June 30, 2013, open short futures contracts were as follows:


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		9/18/2013		5	$	221,156	$	27,094
Copper LME		9/18/2013		56		9,451,400		1,048,600
Gold		8/28/2013		473		57,881,010		4,234,430
Nickel		9/18/2013		95		7,810,995		979,830
Zinc		9/18/2013		2		92,700		5,887

Total							$	6,295,841

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

See accompanying notes to financial statements.

| 22

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Global Alternatives Fund – (continued)

Investment Summary at June 30, 2013 (Unaudited)


Certificates of Deposit	65.3	%
Financial Company Commercial Paper	17.0
Commercial Paper	5.9
Other Notes	4.1

Total Investments	92.3
Other assets less liabilities (including open forward foreign currency and futures contracts)	7.7

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments — 89.1% of Net Assets
		Certificates of Deposit — 60.8%
$	16,300,000	BNP Paribas, 0.040%, 7/01/2013	$	16,300,000
	30,000,000	Credit Industriel et Commercial (NY), 0.050%, 7/01/2013		30,000,000
	30,000,000	Credit Agricole, 0.110%, 7/01/2013		30,000,000
	30,000,000	National Bank of Kuwait, 0.120%, 7/03/2013		30,000,000
	15,000,000	China Construction Bank Corp. (NY), 0.240%, 7/05/2013		15,000,000
	10,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/08/2013(b)		10,000,080
	15,000,000	Norinchukin Bank, 0.380%, 7/08/2013(b)		15,000,840
	25,000,000	Sumitomo Mitsui Trust, 0.350%, 7/11/2013(b)		25,001,450
	10,000,000	Norinchukin Bank, 0.380%, 7/12/2013(b)		10,000,780
	25,000,000	National Australia Bank, 0.240%, 7/16/2013		25,001,500
	28,000,000	Bank of Montreal (IL), 0.150%, 7/23/2013		27,999,412
	25,000,000	Industrial & Commercial Bank of China, 0.400%, 9/12/2013		25,007,900
	25,000,000	Deutsche Bank A.G., 0.390%, 9/13/2013		25,008,000
	30,000,000	Mizuho Corporate Bank, 0.220%, 9/20/2013		29,998,590
	25,050,000	Westpac Banking Corp. (NY), 0.323%, 11/06/2013(b)(c)		25,059,444
	25,000,000	Credit Suisse First Boston, 0.290%, 11/07/2013		25,002,750
	15,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013(b)		15,006,570
	25,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.320%, 2/10/2014(b)		25,003,125
	25,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		25,007,925
	15,000,000	China Construction Bank Corp. (NY), 0.443%, 7/20/2015(c)(e)		15,000,000

				444,398,366

		Financial Company Commercial Paper — 15.0%
	25,000,000	General Electric Capital Corp., 0.230%, 7/15/2013(d)		24,999,175
	30,000,000	Barclays U.S. Funding, 0.200%, 9/25/2013(d)		29,981,520
	25,000,000	Societe Generale North America, 0.430%, 10/08/2013(d)		24,978,750
	30,000,000	United Overseas Bank Limited, 0.220%, 10/11/2013(d)		29,980,740

				109,940,185

		Commercial Paper — 10.6%
	22,800,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.210%, 7/18/2013(d)		22,797,739
	22,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.180%, 7/31/2013(d)		21,996,700
	20,800,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 8/12/2013		20,801,040
	11,511,000	Tennessee School Bond Authority, 0.180%, 8/13/2013		11,511,460

				77,106,939

		Other Notes — 2.7%
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.354%, 7/07/2014(c)		4,999,300
	15,000,000	Wells Fargo, 0.322%, 7/18/2014(c)		15,002,430

				20,001,730

		Total Short-Term Investments (Identified Cost $651,391,827)		651,447,220


		Total Investments — 89.1% (Identified Cost $651,391,827)(a)		651,447,220
		Other assets less liabilities — 10.9%		79,309,518

		Net Assets — 100.0%	$	730,756,738

See accompanying notes to financial statements.

| 24

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)



(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At June 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $651,391,827 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	$	62,798
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,405	)

	Net unrealized appreciation	$	55,393


	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 June 30, 2013 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(e)	Security payable on demand at par including accrued interest with thirty days notice.

At June 30, 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		9/18/2013	Australian Dollar		31,900,000	$	29,009,278	$	714,938
Buy		9/18/2013	British Pound		11,250,000		17,101,966		(475,033	)
Sell		9/18/2013	British Pound		16,500,000		25,082,883		367,416
Sell		9/18/2013	Canadian Dollar		40,600,000		38,532,051		411,621
Sell		9/18/2013	Canadian Dollar		10,700,000		10,154,999		(28,012	)
Buy		9/18/2013	Euro		25,500,000		33,203,360		(692,098	)
Sell		9/18/2013	Euro		4,625,000		6,022,178		69,595
Buy		9/18/2013	Japanese Yen		1,350,000,000		13,616,473		(502,744	)
Sell		9/18/2013	Japanese Yen		500,000,000		5,043,138		89,484
Sell		9/18/2013	Japanese Yen		1,300,000,000		13,112,159		(1,188	)
Sell		9/18/2013	New Zealand Dollar		28,900,000		22,272,855		206,672
Buy		9/18/2013	Norwegian Krone		80,000,000		13,133,943		(740,264	)
Sell		9/18/2013	Norwegian Krone		112,000,000		18,387,520		679,648
Sell		9/18/2013	Norwegian Krone		164,000,000		26,924,583		(107,617	)
Buy		9/18/2013	Singapore Dollar		22,125,000		17,458,196		(221,433	)
Sell		9/18/2013	Singapore Dollar		31,875,000		25,151,638		396,802
Sell		9/18/2013	Singapore Dollar		30,375,000		23,968,031		(137,773	)
Buy		9/18/2013	Swedish Krona		52,000,000		7,740,691		(251,312	)
Sell		9/18/2013	Swedish Krona		70,000,000		10,420,161		142,013
Sell		9/18/2013	Swedish Krona		60,000,000		8,931,567		(39,111	)
Buy		9/18/2013	Swiss Franc		21,750,000		23,042,931		(491,596	)
Sell		9/18/2013	Swiss Franc		13,625,000		14,434,939		93,869
Sell		9/18/2013	Turkish Lira		35,400,000		18,133,106		179,372
Sell		9/18/2013	Turkish Lira		27,300,000		13,984,006		(107,675	)

Total								$	(444,426	)

¹Counterparty is UBS AG.

See accompanying notes to financial statements.

25 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		7/19/2013		241	$	21,632,581	$	(432,903	)
ASX SPI 200™		9/19/2013		118		12,866,391		24,281
CAC 40^®		7/19/2013		421		20,464,851		(433,436	)
DAX		9/20/2013		105		27,220,175		(828,239	)
E-mini Dow		9/20/2013		518		38,394,160		(795,015	)
E-mini NASDAQ 100		9/20/2013		552		32,029,800		(786,888	)
E-mini S&P 500^®		9/20/2013		374		29,906,910		(615,420	)
EURO STOXX 50^®		9/20/2013		702		23,739,431		(840,657	)
Eurodollar		3/17/2014		465		115,750,125		(87,187	)
FTSE 100 Index		9/20/2013		205		19,211,228		(484,841	)
FTSE MIB		9/20/2013		107		10,628,189		(649,725	)
FTSE/JSE Top 40 Index		9/19/2013		417		14,682,460		(587,636	)
German Euro BOBL		9/06/2013		299		48,726,987		(326,922	)
German Euro Bund		9/06/2013		155		28,552,462		(326,844	)
Hang Seng Index^®		7/30/2013		19		2,538,992		110,849
IBEX 35		7/19/2013		78		7,786,131		(409,262	)
Mini-Russell 2000		9/20/2013		318		30,995,460		(216,020	)
MSCI Singapore		7/30/2013		222		12,379,456		409,846
MSCI Taiwan Index		7/30/2013		487		13,611,650		491,870
Nikkei 225™		9/12/2013		74		10,206,896		162,654
OMXS30^®		7/19/2013		1,419		24,339,105		(867,617	)
S&P/TSX 60 Index		9/19/2013		78		10,276,391		(117,897	)
TOPIX		9/12/2013		138		15,736,842		526,356

Total							$	(7,080,653	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		9/18/2013		132	$	5,838,525	$	(659,670	)
Brent Crude Oil		7/16/2013		131		13,382,960		(312,730	)
Copper LME		9/18/2013		22		3,713,050		(265,183	)
Gas Oil		8/12/2013		139		12,193,775		5,250
Gasoline		7/31/2013		78		8,896,306		(507,780	)
Light Sweet Crude Oil		7/22/2013		203		19,601,680		(248,230	)
New York Harbor ULSD		7/31/2013		39		4,682,714		(188,206	)
Soybean		11/14/2013		297		18,592,200		(125,850	)
Soybean Meal		12/13/2013		435		16,269,000		(395,420	)
Zinc		9/18/2013		121		5,608,350		(112,742	)

Total							$	(2,810,561	)

See accompanying notes to financial statements.

| 26

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Euribor		3/17/2014		452	$	146,475,979	$	(175,885	)
Euro Schatz		9/06/2013		1,492		214,316,139		(261,365	)
S&P CNX Nifty Futures Index		7/25/2013		306		3,566,124		(124,330	)
Sterling		3/19/2014		2,177		411,073,958		224,758
UK Long Gilt		9/26/2013		273		46,463,032		232,979
2 Year U.S. Treasury Note		9/30/2013		55		12,100,000		(19,766	)
3 Year Australia Government Bond		9/16/2013		356		35,555,568		(45,911	)
5 Year U.S. Treasury Note		9/30/2013		605		73,233,359		(32,195	)
10 Year Australia Government Bond		9/16/2013		206		22,304,357		322,833
10 Year Canada Government Bond		9/19/2013		401		50,104,982		539,270
10 Year Japan Government Bond		9/10/2013		4		5,755,193		2,017
10 Year U.S. Treasury Note		9/19/2013		378		47,840,625		173,141
30 Year U.S. Treasury Bond		9/19/2013		189		25,674,469		108,406

Total							$	943,952


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		9/18/2013		935	$	41,356,219	$	1,767,168
Cocoa		9/13/2013		348		7,530,720		(4,870	)
Coffee		9/18/2013		256		11,558,400		399,881
Copper High Grade		9/26/2013		237		18,115,687		539,625
Copper LME		9/18/2013		135		22,784,625		829,339
Corn		12/13/2013		33		843,150		56,025
Cotton		12/06/2013		15		630,075		—
Gold		8/28/2013		178		21,781,860		2,106,600
KC Wheat		9/13/2013		459		15,858,450		653,413
Live Cattle		8/30/2013		306		14,935,860		(414,440	)
Natural Gas		7/29/2013		21		748,650		28,440
Nickel		9/18/2013		173		14,224,233		1,157,159
Silver		9/26/2013		174		16,938,900		87,355
Soybean Oil		12/13/2013		982		26,584,704		764,880
Sugar		9/30/2013		539		10,214,266		47,790
Wheat		9/13/2013		473		15,555,787		697,750
Zinc		9/18/2013		496		22,989,600		508,372

Total							$	9,224,487

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

See accompanying notes to financial statements.

27 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

Investment Summary at June 30, 2013 (Unaudited)


Certificates of Deposit	60.8	%
Financial Company Commercial Paper	15.0
Commercial Paper	10.6
Other Notes	2.7

Total Investments	89.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	10.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 28

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)


	ASG Diversifying Strategies Fund (Consolidated*)			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
ASSETS
Investments at cost	$	59,794,874		$	1,010,801,008		$	651,391,827
Net unrealized appreciation		5,846			85,266			55,393

Investments at value		59,800,720			1,010,886,274			651,447,220
Cash		3,948,150			31,050,087			12,855,135
Due from brokers (including variation margin on futures contracts) (Note 2)		10,144,358			43,198,849			65,715,375
Receivable for Fund shares sold		306,936			8,960,024			2,394,422
Interest receivable		23,954			425,818			268,490
Unrealized appreciation on forward foreign currency contracts (Note 2)		767,627			1,521,919			3,351,430
Unrealized appreciation on futures contracts (Note 2)		2,155,199			10,420,150			12,978,307

TOTAL ASSETS		77,146,944			1,106,463,121			749,010,379

LIABILITIES
Payable for Fund shares redeemed		349,835			1,097,185			795,732
Unrealized depreciation on forward foreign currency contracts (Note 2)		825,517			686,532			3,795,856
Unrealized depreciation on futures contracts (Note 2)		1,805,335			8,680,424			12,701,082
Management fees payable (Note 6)		53,931			1,000,911			729,043
Deferred Trustees’ fees (Note 6)		38,083			61,450			31,662
Administrative fees payable (Note 6)		13,102			49,445			38,220
Payable to distributor (Note 6d)		1,376			10,499			10,729
Other accounts payable and accrued expenses		116,542			156,275			151,317

TOTAL LIABILITIES		3,203,721			11,742,721			18,253,641

NET ASSETS	$	73,943,223		$	1,094,720,400		$	730,756,738

NET ASSETS CONSIST OF:
Paid-in capital	$	151,037,378		$	1,040,511,390		$	837,138,474
Distributions in excess of net investment income/Accumulated net investment (loss)		(5,026,600	)		(7,523,099	)		(9,659,028	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(72,388,855	)		59,072,314			(96,625,255	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		321,300			2,659,795			(97,453	)

NET ASSETS	$	73,943,223		$	1,094,720,400		$	730,756,738

See accompanying notes to financial statements.

29 |

Statements of Assets and Liabilities (continued)

June 30, 2013 (Unaudited)


	ASG Diversifying Strategies Fund (Consolidated*)		ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	25,836,144	$	118,348,617		$	130,893,343

Shares of beneficial interest		3,071,324		10,571,975			13,836,500

Net asset value and redemption price per share	$	8.41	$	11.19		$	9.46

Offering price per share (100/94.25 of net asset value) (Note 1)	$	8.92	$	11.87		$	10.04

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	6,347,458	$	68,945,604		$	18,436,055

Shares of beneficial interest		770,810		6,353,761			1,983,124

Net asset value and offering price per share	$	8.23	$	10.85		$	9.30

Class N shares:
Net assets	$	—	$	1,006		$	—

Shares of beneficial interest		—		89			—

Net asset value, offering and redemption price per share	$	—	$	11.27	**	$	—

Class Y shares:
Net assets	$	41,759,621	$	907,425,173		$	581,427,340

Shares of beneficial interest		4,933,424		80,508,707			61,440,745

Net asset value, offering and redemption price per share	$	8.46	$	11.27		$	9.46

*	See Notes 1 and 2 of the Notes to Financial Statements.

**	Net asset value calculations reflect fractional shares and dollar amounts.

See accompanying notes to financial statements.

| 30

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)


	ASG Diversifying Strategies Fund (Consolidated*)			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)
INVESTMENT INCOME
Interest	$	123,288		$	1,343,781		$	836,916

Expenses
Management fees (Note 6)		708,307			6,626,822			4,696,935
Service and distribution fees (Note 6)		91,620			488,525			271,675
Administrative fees (Note 6)		55,566			284,621			202,651
Trustees’ and directors’ fees and expenses (Note 6)		17,689			27,311			22,858
Transfer agent fees and expenses (Note 6)		93,216			540,250			540,749
Audit and tax services fees		33,080			33,125			31,458
Custodian fees and expenses		33,942			35,082			42,549
Interest expense (Note 10)		24,189			113,383			126,954
Legal fees		1,207			12,393			5,888
Registration fees		41,837			50,826			84,572
Shareholder reporting expenses		21,494			68,712			70,594
Miscellaneous expenses		6,582			17,294			12,551

Total expenses		1,128,729			8,298,344			6,109,434
Less waiver and/or expense reimbursement (Note 6)		(191,064	)		(3	)		(262,361	)

Net expenses		937,665			8,298,341			5,847,073

Net investment loss		(814,377	)		(6,954,560	)		(5,010,157	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		17,533			105,989			69,438
Futures contracts		(4,176,865	)		82,066,403			48,684,071
Foreign currency transactions		(1,734,812	)		13,827,728			(5,317,702	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,025	)		20,353			9,644
Futures contracts		789,865			3,784,810			(6,537,948	)
Foreign currency translations		(111,123	)		(804,921	)		(2,726,797	)

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(5,218,427	)		99,000,362			34,180,706

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(6,032,804	)	$	92,045,802		$	29,170,549

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

31 |

This Page Intentionally Left Blank

| 32

Statements of Changes in Net Assets


	ASG Diversifying Strategies Fund (Consolidated*)
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment loss	$	(814,377	)	$	(4,390,794	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,894,144	)		(17,414,102	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		675,717			(3,996,397	)

Net increase (decrease) in net assets resulting from operations		(6,032,804	)		(25,801,293	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			—
Class C		—			—
Class Y		—			—
Net realized capital gains
Class A		—			—
Class C		—			—
Class Y		—			—

Total distributions		—			—

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(97,579,427	)		(201,127,836	)

Net increase (decrease) in net assets		(103,612,231	)		(226,929,129	)
NET ASSETS
Beginning of the period		177,555,454			404,484,583

End of the period	$	73,943,223		$	177,555,454

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(5,026,600	)	$	(4,212,223	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

33 |

Statements of Changes in Net Assets (continued)


ASG Global Alternatives Fund (Consolidated*)						ASG Managed Futures Strategy Fund (Consolidated*)
Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012

$	(6,954,560	)	$	(16,883,133	)	$	(5,010,157	)	$	(10,805,294	)
	96,000,120			60,573,679			43,435,807			(82,772,425	)
	3,000,242			(5,810,730	)		(9,255,101	)		(3,282,864	)

	92,045,802			37,879,816			29,170,549			(96,860,583	)



	(193,099	)		—			—			(1,688,047	)
	—			—			—			(154,596	)
	(6,293,231	)		—			—			(6,746,855	)

	(2,349,033	)		—			—			—
	(1,432,972	)		—			—			—
	(21,354,020	)		—			—			—

	(31,622,355	)		—			—			(8,589,498	)

	(165,382,117	)		(283,005,886	)		(59,046,332	)		118,979,815

	(104,958,670	)		(245,126,070	)		(29,875,783	)		13,529,734

	1,199,679,070			1,444,805,140			760,632,521			747,102,787

$	1,094,720,400		$	1,199,679,070		$	730,756,738		$	760,632,521

$	(7,523,099	)	$	5,917,791		$	(9,659,028	)	$	(4,648,871	)

See accompanying notes to financial statements.

| 34

Financial Highlights

For a share outstanding throughout each period


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
*ASG DIVERSIFYING STRATEGIES FUND (CONSOLIDATED)**
Class A
6/30/2013(h)	$	9.00	$	(0.07	)	$	(0.52	)	$	(0.59	)	$	—		$	—		$	—
12/31/2012		9.75		(0.14	)		(0.61	)		(0.75	)		—			—			—
12/31/2011		10.45		(0.15	)		(0.14	)		(0.29	)		(0.41	)		—			(0.41	)
12/31/2010		10.19		(0.16	)		1.02	(i)		0.86			(0.15	)		(0.45	)		(0.60	)
12/31/2009(j)		10.00		(0.07	)		0.80			0.73			(0.10	)		(0.44	)		(0.54	)
Class C
6/30/2013(h)		8.85		(0.10	)		(0.52	)		(0.62	)		—			—			—
12/31/2012		9.65		(0.21	)		(0.59	)		(0.80	)		—			—			—
12/31/2011		10.34		(0.23	)		(0.12	)		(0.35	)		(0.34	)		—			(0.34	)
12/31/2010		10.16		(0.24	)		1.01	(i)		0.77			(0.14	)		(0.45	)		(0.59	)
12/31/2009(j)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
6/30/2013(h)		9.05		(0.06	)		(0.53	)		(0.59	)		—			—			—
12/31/2012		9.77		(0.12	)		(0.60	)		(0.72	)		—			—			—
12/31/2011		10.46		(0.13	)		(0.13	)		(0.26	)		(0.43	)		—			(0.43	)
12/31/2010		10.19		(0.13	)		1.01	(i)		0.88			(0.16	)		(0.45	)		(0.61	)
12/31/2009(j)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)
*ASG GLOBAL ALTERNATIVES FUND (CONSOLIDATED)**
Class A
6/30/2013(h)	$	10.62	$	(0.07	)	$	0.89		$	0.82		$	(0.02	)	$	(0.23	)	$	(0.25	)
12/31/2012		10.26		(0.14	)		0.50			0.36			—			—			—
12/31/2011		10.67		(0.14	)		(0.21	)		(0.35	)		—			(0.06	)		(0.06	)
12/31/2010		10.39		(0.14	)		0.86			0.72			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.69		(0.14	)		1.01			0.87			(0.12	)		(0.05	)		(0.17	)
12/31/2008(l)		10.00		0.03			(0.30	)		(0.27	)		(0.04	)		—			(0.04	)
Class C
6/30/2013(h)		10.32		(0.11	)		0.87			0.76			—			(0.23	)		(0.23	)
12/31/2012		10.05		(0.21	)		0.48			0.27			—			—			—
12/31/2011		10.53		(0.22	)		(0.20	)		(0.42	)		—			(0.06	)		(0.06	)
12/31/2010		10.33		(0.21	)		0.85			0.64			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
12/31/2008(l)		10.00		0.02			(0.31	)		(0.29	)		(0.01	)		—			(0.01	)
Class N
6/30/2013(m)		11.20		(0.02	)		0.09			0.07			—			—			—
Class Y**
6/30/2013(h)		10.72		(0.06	)		0.91			0.85			(0.07	)		(0.23	)		(0.30	)
12/31/2012		10.34		(0.11	)		0.49			0.38			—			—			—
12/31/2011		10.72		(0.12	)		(0.20	)		(0.32	)		—			(0.06	)		(0.06	)
12/31/2010		10.41		(0.11	)		0.86			0.75			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)
12/31/2008(l)		10.00		0.04			(0.30	)		(0.26	)		(0.04	)		—			(0.04	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

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

See accompanying notes to financial statements.

35 |


							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%) (e)(f)			Gross expenses, excluding interest expense (%) (f)			Net expenses including interest expense (%) (e)(f)			Gross expenses including interest expense (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%) (g)


$	8.41		(6.56	)	$	25,836		1.70			2.03			1.74			2.07			(1.52	)		—
	9.00		(7.69	)		69,190		1.70			1.79			1.74			1.83			(1.49	)		—
	9.75		(2.75	)		134,758		1.70			1.78			1.72			1.80			(1.46	)		—
	10.45		8.46			61,411		1.70			2.02			1.74			2.05			(1.45	)		—
	10.19		7.26			2,887		1.70			4.87			1.71			4.88			(1.48	)		—

	8.23		(6.89	)		6,347		2.45			2.80			2.49			2.84			(2.28	)		—
	8.85		(8.29	)		11,263		2.45			2.54			2.49			2.58			(2.24	)		—
	9.65		(3.43	)		26,032		2.45			2.53			2.47			2.55			(2.21	)		—
	10.34		7.58			20,742		2.45			2.68			2.49			2.72			(2.20	)		—
	10.16		6.90			131		2.45			5.75			2.47			5.76			(2.23	)		—

	8.46		(6.41	)		41,760		1.45			1.79			1.49			1.83			(1.28	)		—
	9.05		(7.37	)		97,102		1.45			1.54			1.49			1.57			(1.24	)		—
	9.77		(2.48	)		243,695		1.45			1.53			1.47			1.55			(1.21	)		—
	10.46		8.63			173,034		1.45			1.91			1.49			1.94			(1.21	)		—
	10.19		7.29			19,549		1.45			5.09			1.47			5.11			(1.22	)		—


$	11.19		7.77		$	118,349		1.58			1.58			1.60			1.60			(1.37	)		—
	10.62		3.51			126,226		1.60	(k)		1.60	(k)		1.61	(k)		1.61	(k)		(1.34	)		—
	10.26		(3.29	)		280,353		1.60			1.60			1.61			1.61			(1.34	)		—
	10.67		6.94			204,313		1.60			1.66			1.61			1.67			(1.28	)		—
	10.39		8.95			82,160		1.60			1.92			1.61			1.92			(1.33	)		—
	9.69		(2.73	)		6		1.60			61.52			1.62			61.54			1.36			—

	10.85		7.42			68,946		2.33			2.33			2.35			2.35			(2.12	)		—
	10.32		2.69			71,227		2.35	(k)		2.35	(k)		2.36	(k)		2.36	(k)		(2.10	)		—
	10.05		(4.00	)		92,540		2.35			2.35			2.36			2.36			(2.09	)		—
	10.53		6.21			66,832		2.35			2.42			2.36			2.42			(2.03	)		—
	10.33		8.09			22,367		2.35			2.64			2.36			2.65			(2.08	)		—
	9.70		(2.88	)		1		2.35			62.35			2.39			62.38			0.62			—

	11.27		0.63			1		1.30			3.40			1.32			3.42			(1.06	)		—

	11.27		7.98			907,425		1.34			1.34			1.36			1.36			(1.12	)		—
	10.72		3.68			1,002,226		1.35	(k)		1.35	(k)		1.36	(k)		1.36	(k)		(1.10	)		—
	10.34		(3.00	)		1,071,912		1.35			1.36			1.36			1.37			(1.09	)		—
	10.72		7.22			343,236		1.35			1.41			1.36			1.42			(1.03	)		—
	10.41		9.10			112,591		1.35			1.98			1.36			2.00			(0.90	)		—
	9.70		(2.60	)		24,523		1.35			4.43			1.39			4.46			1.59			—

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

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

(h)	For the six months ended June 30, 2013 (Unaudited).

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

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

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

(l)	From commencement of operations on September 30, 2008 through December 31, 2008.

(m)	From commencement of Class operations on May 1, 2013 through June 30, 2013.

See accompanying notes to financial statements.

| 36

Financial Highlights (continued)

For a share outstanding throughout each period


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
*ASG MANAGED FUTURES STRATEGY FUND (CONSOLIDATED)**
Class A
6/30/2013(g)	$	9.11	$	(0.07	)	$	0.42		$	0.35		$	—		$	—		$	—
12/31/2012		10.34		(0.14	)		(1.00	)		(1.14	)		(0.09	)		—			(0.09	)
12/31/2011		10.61		(0.16	)		0.19	(h)		0.03			(0.30	)		—			(0.30	)
12/31/2010(i)		10.00		(0.07	)		1.41			1.34			(0.33	)		(0.40	)		(0.73	)
Class C
6/30/2013(g)		8.99		(0.10	)		0.41			0.31			—			—			—
12/31/2012		10.25		(0.21	)		(0.99	)		(1.20	)		(0.06	)		—			(0.06	)
12/31/2011		10.58		(0.24	)		0.19	(h)		(0.05	)		(0.28	)		—			(0.28	)
12/31/2010(i)		10.00		(0.10	)		1.40			1.30			(0.32	)		(0.40	)		(0.72	)
Class Y
6/30/2013(g)		9.10		(0.06	)		0.42			0.36			—			—			—
12/31/2012		10.34		(0.12	)		(1.00	)		(1.12	)		(0.12	)		—			(0.12	)
12/31/2011		10.60		(0.13	)		0.19	(h)		0.06			(0.32	)		—			(0.32	)
12/31/2010(i)		10.00		(0.06	)		1.40			1.34			(0.34	)		(0.40	)		(0.74	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

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

(g)	For the six months ended June 30, 2013 (Unaudited).

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

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

See accompanying notes to financial statements.

37 |


							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)			Net assets, end of the period (000’s)		Net expenses, excluding interest expense (%) (d)(e)		Gross expenses, excluding interest expense (%) (e)		Net expenses including interest expense (%) (d)(e)		Gross expenses including interest expense (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%) (f)


$	9.46		3.84		$	130,893		1.70		1.77		1.73		1.80		(1.51	)		—
	9.11		(11.09	)		145,729		1.70		1.77		1.73		1.80		(1.49	)		—
	10.34		0.25			312,098		1.70		1.76		1.71		1.78		(1.47	)		—
	10.61		13.44			6,511		1.70		2.75		1.73		2.78		(1.43	)		—

	9.30		3.45			18,436		2.45		2.52		2.48		2.55		(2.26	)		—
	8.99		(11.74	)		21,891		2.45		2.52		2.48		2.55		(2.24	)		—
	10.25		(0.51	)		24,838		2.45		2.54		2.46		2.56		(2.22	)		—
	10.58		13.04			2,357		2.45		3.29		2.47		3.31		(2.17	)		—

	9.46		3.96			581,427		1.45		1.52		1.48		1.55		(1.26	)		—
	9.10		(10.90	)		593,013		1.45		1.52		1.48		1.56		(1.24	)		—
	10.34		0.57			410,166		1.45		1.56		1.46		1.57		(1.22	)		—
	10.60		13.39			49,803		1.45		2.65		1.48		2.68		(1.20	)		—

See accompanying notes to financial statements.

| 38

Notes to Financial Statements

June 30, 2013 (Unaudited)

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

ASG Diversifying Strategies Fund (the “Diversifying Strategies Fund”)

ASG Global Alternatives Fund (the “Global Alternatives Fund”)

ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Effective May 1, 2013, Global Alternatives Fund began offering Class N shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries and are primarily intended for employer-sponsored retirement plans. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

Each Fund invests in commodity-related instruments through ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The

39 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of June 30, 2013, the value of each Fund’s investment in its respective Subsidiary was as follows:


Fund	Investment in Subsidiary		Percentage of Net Assets
Diversifying Strategies Fund	$	6,327,589		8.6	%
Global Alternatives Fund		39,441,238		3.6	%
Managed Futures Strategy Fund		39,820,898		5.4	%

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

a. Consolidation. The accompanying financial statements of each Fund present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b. Valuation. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by an independent pricing service recommended by the investment adviser or subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid prices may also be used to value debt 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 Funds’ investment adviser or subadviser under the general supervision of the Board of Trustees.

| 40

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

41 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund 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. Contracts are traded over-the-counter directly with a counterparty. 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. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

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

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

| 42

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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.

g. Due to/from Brokers. Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. Due from brokers’ balances in the Statements of Assets and Liabilities for Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Fund represent cash, including foreign currency, on deposit with the broker for open futures contracts and cash pledged as collateral for forward foreign currency contracts. In certain circumstances the Funds’ or the Subsidiaries’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

h. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2013 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, each Fund will include in its taxable income its share of its Subsidiary’s current earnings and profits (including net realized gains). Any deficit generated by a Subsidiary will be disregarded for purposes of computing the Funds’ taxable income in the current period and also disregarded for all future periods.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, deferred Trustees’ fees, Subsidiary income and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income

43 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, futures and forward foreign currency contracts mark to market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2012 was as follows:


	2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Diversifying Strategies Fund	$	—	$	—	$	—
Global Alternatives Fund		—		—		—
Managed Futures Strategy Fund		8,589,498		—		8,589,498

As of December 31, 2012, the capital loss carryforwards and post-October capital loss deferrals were as follows:


	Diversifying Strategies Fund			Global Alternatives Fund		Managed Futures Strategy Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(32,033,613	)	$	—	$	(46,702,235	)
Long-term:
No expiration date		(8,029,367	)		—		(30,123,466	)

Total capital loss carryforward	$	(40,062,980	)	$	—	$	(76,825,701	)

Post-October capital loss deferrals*	$	(4,066,141	)	$	—	$	(3,927,824	)

*	Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 may be deferred and treated as occurring on the first day of the following taxable year.

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

| 44

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2013, at value:

Diversifying Strategies Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	59,800,720	$	—	$	59,800,720
Forward Foreign Currency Contracts (unrealized appreciation)		—		767,627		—		767,627
Futures Contracts (unrealized appreciation)		2,155,199		—		—		2,155,199

Total	$	2,155,199	$	60,568,347	$	—	$	62,723,546

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized appreciation)	$	—		$	(825,517	)	$	—	$	(825,517	)
Futures Contracts (unrealized appreciation)		(1,805,335	)		—			—		(1,805,335	)

Total	$	(1,805,335	)	$	(825,517	)	$	—	$	(2,630,852	)

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

45 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Global Alternatives Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	1,010,886,274	$	—	$	1,010,886,274
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,521,919		—		1,521,919
Futures Contracts (unrealized appreciation)		10,420,150		—		—		10,420,150

Total	$	10,420,150	$	1,012,408,193	$	—	$	1,022,828,343

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(686,532	)	$	—	$	(686,532	)
Futures Contracts (unrealized depreciation)		(8,680,424	)		—			—		(8,680,424	)

Total	$	(8,680,424	)	$	(686,532	)	$	—	$	(9,366,956	)

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

For the six months ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Managed Futures Strategy Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	651,447,220	$	—	$	651,447,220
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,351,430		—		3,351,430
Futures Contracts (unrealized appreciation)		12,978,307		—		—		12,978,307

Total	$	12,978,307	$	654,798,650	$	—	$	667,776,957

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

| 46

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Managed Futures Strategy Fund (continued)

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,795,856	)	$	—	$	(3,795,856	)
Futures Contracts (unrealized depreciation)		(12,701,082	)		—			—		(12,701,082	)

Total	$	(12,701,082	)	$	(3,795,856	)	$	—	$	(16,496,938	)

For the six months ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

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

Diversifying Strategies Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the six months ended June 30, 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.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in

47 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 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.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a proprietary quantitative model to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of trends in a particular asset class. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the six months ended June 30, 2013, the Fund used long contracts on U.S. market indices and long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates in accordance with these objectives.

The following is a summary of derivative instruments for Diversifying Strategies Fund as of June 30, 2013, as reflected in the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	767,627	$	—	$	767,627

Total over-the-counter asset derivatives	$	767,627	$	—	$	767,627

Exchange traded asset derivatives
Interest rate contracts	$	—	$	392,734	$	392,734
Equity contracts		—		755,304		755,304
Commodity contracts		—		1,007,161		1,007,161

Total exchange traded asset derivatives		—		2,155,199		2,155,199

Total asset derivatives	$	767,627	$	2,155,199	$	2,922,826

| 48

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	825,517	$	—	$	825,517

Total over-the-counter liability derivatives	$	825,517	$	—	$	825,517

Exchange traded liability derivatives
Interest rate contracts	$	—	$	789,873	$	789,873
Equity contracts		—		688,006		688,006
Commodity contracts		—		327,456		327,456

Total exchange traded liability derivatives		—		1,805,335		1,805,335

Total liability derivatives	$	825,517	$	1,805,335	$	2,630,852

Transactions in derivative instruments for Diversifying Strategies Fund during the six months ended June 30, 2013 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(3,907,957	)	$	—
Foreign exchange contracts		—			(1,747,821	)
Equity contracts		1,103,159			—
Commodity contracts		(1,372,067	)		—

Total	$	(4,176,865	)	$	(1,747,821	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(369,764	)	$	—
Foreign exchange contracts		—			(142,153	)
Equity contracts		(32,077	)		—
Commodity contracts		1,191,706			—

Total	$	789,865		$	(142,153	)

¹	Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

49 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2013, as reflected in the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,521,919		$	—		$	1,521,919

Total over-the-counter asset derivatives	$	1,521,919		$	—		$	1,521,919

Exchange traded asset derivatives
Interest rate contracts	$	—		$	866,416		$	866,416
Equity contracts		—			3,225,993			3,225,993
Commodity contracts		—			6,327,741			6,327,741

Total exchange traded asset derivatives		—			10,420,150			10,420,150

Total asset derivatives	$	1,521,919		$	10,420,150		$	11,942,069

Liabilities
Over-the-counter liability derivatives
Foreign exchange contracts	$	(686,532	)	$	—		$	(686,532	)

Total over-the-counter liability derivatives	$	(686,532	)	$	—		$	(686,532	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(2,247,817	)	$	(2,247,817	)
Equity contracts		—			(6,148,619	)		(6,148,619	)
Commodity contracts		—			(283,988	)		(283,988	)

Total exchange traded liability derivatives		—			(8,680,424	)		(8,680,424	)

Total liability derivatives	$	(686,532	)	$	(8,680,424	)	$	(9,366,956	)

| 50

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2013 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(2,389,990	)	$	—
Foreign exchange contracts		—			13,834,096
Equity contracts		76,634,541			—
Commodity contracts		7,821,852			—

Total	$	82,066,403		$	13,834,096


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	322,311		$	—
Foreign exchange contracts		—			(801,438	)
Equity contracts		(1,581,064	)		—
Commodity contracts		5,043,563			—

Total	$	3,784,810		$	(801,438	)

¹	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2013, as reflected in the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	3,351,430	$	—	$	3,351,430

Total over-the-counter asset derivatives	$	3,351,430	$	—	$	3,351,430

Exchange traded asset derivatives
Interest rate contracts	$	—	$	1,603,404	$	1,603,404
Equity contracts		—		1,725,856		1,725,856
Commodity contracts		—		9,649,047		9,649,047

Total exchange traded asset derivatives		—		12,978,307		12,978,307

Total asset derivatives	$	3,351,430	$	12,978,307	$	16,329,737

51 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(3,795,856	)	$	—		$	(3,795,856	)

Total over-the-counter liability derivatives	$	(3,795,856	)	$	—		$	(3,795,856	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(1,276,075	)	$	(1,276,075	)
Equity contracts		—			(8,189,886	)		(8,189,886	)
Commodity contracts		—			(3,235,121	)		(3,235,121	)

Total exchange traded liability derivatives		—			(12,701,082	)		(12,701,082	)

Total liability derivatives	$	(3,795,856	)	$	(12,701,082	)	$	(16,496,938	)

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2013 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(32,546,500	)	$	—
Foreign exchange contracts		—			(5,285,921	)
Equity contracts		89,078,075			—
Commodity contracts		(7,847,504	)		—

Total	$	48,684,071		$	(5,285,921	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	(1,138,372	)	$	—
Foreign exchange contracts		—			(2,726,427	)
Equity contracts		(13,005,489	)		—
Commodity contracts		7,605,913			—

Total	$	(6,537,948	)	$	(2,726,427	)

¹	Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

| 52

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Collateral posted by a Fund may be in addition to the independent amount required by the counterparty. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds, ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2013, gross amounts of derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Diversifying Strategies Fund


Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	767,627		$	(767,627	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(825,517	)	$	767,627		$	(57,890	)	$	57,890	$	—

53 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Global Alternatives Fund


Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
UBS AG	$	1,521,919		$	(686,532	)	$	835,387	$	(835,387	)	$	—

Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged			Net Amount
UBS AG	$	(686,532	)	$	686,532		$	—	$	—		$	—

Managed Futures Strategy Fund


Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	3,351,430		$	(3,351,430	)	$	—		$	—	$	—

Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(3,795,856	)	$	3,351,430		$	(444,426	)	$	444,426	$	—

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. Amounts shown as collateral received in the table above represent reductions of the Funds’ collateral requirements to the extent of the Funds’ net unrealized gains on open contracts. As of June 30, 2013, amounts pledged to the counterparty are as follows:


	Independent Amount of Collateral		Increase (Decrease) for Change in Value			Required Collateral		Excess/ (Shortfall)			Collateral (Received)/ Pledged
Diversifying Strategies Fund	$	421,442	$	31,302		$	452,744	$	111,283		$	564,027
Global Alternatives Fund	$	4,995,968	$	(1,453,904	)	$	3,542,064	$	1,157,936		$	4,700,000
Managed Futures Fund	$	10,538,605	$	881,415		$	11,420,020	$	(588,917	)	$	10,831,103

| 54

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank. Collateral pledged to the counterparty is reflected in due from brokers on the Statements of Assets and Liabilities.

Counterparty risk is managed based on policies and procedures established by each 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. The risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized for over-the-counter derivatives; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, 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, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting provisions, are as follows as of June 30, 2013:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Diversifying Strategies Fund	$	15,139,189	$	14,371,562
Global Alternatives Fund		57,364,627		56,678,095
Managed Futures Strategy Fund		87,645,313		84,293,883

The volume of forward foreign currency contract and futures contract, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2013:


Diversifying Strategies Fund	Forwards			Futures
Average Notional Amount Outstanding		266.75	%		612.19	%
Highest Notional Amount Outstanding		846.01	%		1,299.96	%
Lowest Notional Amount Outstanding		128.33	%		436.73	%
Notional Amount Outstanding as of June 30, 2013		128.33	%		504.25	%

Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		78.79	%		456.12	%
Highest Notional Amount Outstanding		145.71	%		592.45	%
Lowest Notional Amount Outstanding		23.79	%		212.24	%
Notional Amount Outstanding as of June 30, 2013		23.79	%		212.24	%

55 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		93.18	%		922.67	%
Highest Notional Amount Outstanding		216.53	%		1,912.89	%
Lowest Notional Amount Outstanding		55.26	%		278.83	%
Notional Amount Outstanding as of June 30, 2013		59.51	%		278.83	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

5. Purchases and Sales of Securities. For the six months ended June 30, 2013, purchases and proceeds from sales or maturities of short-term obligations were as follows:


Fund	Purchases		Sales/Maturities
Diversifying Strategies Fund	$	1,953,158,260	$	2,050,768,682
Global Alternatives Fund		22,523,065,410		22,576,146,398
Managed Futures Strategy Fund		14,742,861,810		14,777,379,745

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), serves as investment adviser to the Funds. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets, less the net asset value of each Subsidiary:


Fund	Percentage of Average Daily Net Assets
Diversifying Strategies Fund		1.25	%
Managed Futures Strategy Fund		1.25	%

Global Alternatives Fund pays a management fee at an annual rate of 1.15% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.10% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.25%, 1.15% and 1.25%, respectively, of its average daily net assets.

| 56

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of the Funds. Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang.

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2014 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Diversifying Strategies Fund		1.70	%		2.45	%		—			1.45	%
Global Alternatives Fund		1.60	%		2.35	%		1.30	%		1.35	%
Managed Futures Strategy Fund		1.70	%		2.45	%		—			1.45	%

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

For the six months ended June 30, 2013, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross			Net
Diversifying Strategies Fund	$	708,307	$	191,064	$	517,243		1.25	%		0.91	%
Global Alternatives Fund		6,626,822		—		6,626,822		1.15	%		1.15	%
Managed Futures Strategy Fund		4,696,935		262,361		4,434,574		1.25	%		1.18	%

¹	Management fee waivers are subject to possible recovery until December 31, 2014.

57 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

For the period ended June 30, 2013 class specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Class N
Global Alternatives Fund	$	3

²	Expense reimbursements are subject to possible recovery until December 31, 2014.

No expenses were recovered for any of the Funds during the six months ended June 30, 2013 under the terms of the expense agreements.

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

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

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

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

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

For the six months ended June 30, 2013, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Diversifying Strategies Fund	$	48,339	$	10,820	$	32,461
Global Alternatives Fund		145,684		85,710		257,131
Managed Futures Strategy Fund		170,142		25,383		76,150

| 58

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

c. Administrative Fees. NGAM Advisors, L.P. (“NGAM Advisors”), provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

NGAM Advisors also provides certain administrative services to the Subsidiary for which the Subsidiary pays NGAM Advisors fees equal to an annual rate of 0.05% of the average daily net assets of each Subsidiary. Payments by the Funds are reduced by the amount of payments to NGAM Advisors by the Subsidiary. In addition, NGAM Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.

For the six months ended June 30, 2013, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):


Fund	Administrative Fees Paid to NGAM Advisors
Diversifying Strategies Fund	$	25,019
Global Alternatives Fund		254,370
Managed Futures Strategy Fund		165,841

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

59 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	59,097
Global Alternatives Fund		484,937
Managed Futures Strategy Fund		470,304

As of June 30, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:


Fund	Reimbursements of Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	1,376
Global Alternatives Fund		10,499
Managed Futures Strategy Fund		10,729

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2013 were as follows:


Fund	Commissions
Diversifying Strategies Fund	$	4,551
Global Alternatives Fund		35,934
Managed Futures Strategy Fund		29,878

f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends

| 60

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

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

g. Payments by Affiliates. For the six months ended June 30, 2013, AlphaSimplex voluntarily reimbursed Global Alternatives Fund $490 in connection with a trade placed for the Fund.

h. Affiliated Ownership. At June 30, 2013, Natixis US held shares of Global Alternatives Fund representing less than 0.01% of the Fund’s net assets.

7. Class-Specific Expenses. For the period from May 1, 2013 through June 30, 2013, Global Alternatives Fund incurred the following class-specific expenses:


	Class N
Transfer Agent Fees and Expenses	$	3

Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

61 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, none of the Funds had borrowings under these agreements.

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

The Funds’ investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

10. Interest Expense. The Funds incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2013 is reflected on the Statements of Operations.

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


	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Diversifying Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	455,387		$	4,036,369		4,099,031		$	38,970,945
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(5,069,231	)		(45,458,352	)	(10,236,217	)		(95,779,012	)

Net change	(4,613,844	)	$	(41,421,983	)	(6,137,186	)	$	(56,808,067	)

Class C
Issued from the sale of shares	27,104		$	237,687		241,880		$	2,303,417
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(529,606	)		(4,619,450	)	(1,666,089	)		(15,459,772	)

Net change	(502,502	)	$	(4,381,763	)	(1,424,209	)	$	(13,156,355	)

Class Y
Issued from the sale of shares	1,058,209		$	9,499,364		11,424,744		$	109,289,687
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(6,858,662	)		(61,275,045	)	(25,631,204	)		(240,453,101	)

Net change	(5,800,453	)	$	(51,775,681	)	(14,206,460	)	$	(131,163,414	)

Increase (decrease) from capital share transactions	(10,916,799	)	$	(97,579,427	)	(21,767,855	)	$	(201,127,836	)

| 62

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,268,226		$	24,937,821		6,671,859		$	69,656,715
Issued in connection with the reinvestment of distributions	213,033			2,311,408		—			—
Redeemed	(3,797,575	)		(41,419,195	)	(22,096,972	)		(229,884,273	)

Net change	(1,316,316	)	$	(14,169,966	)	(15,425,113	)	$	(160,227,558	)

Class C
Issued from the sale of shares	441,488		$	4,751,869		1,312,558		$	13,451,528
Issued in connection with the reinvestment of distributions	73,342			772,293		—			—
Redeemed	(1,063,215	)		(11,288,841	)	(3,617,306	)		(36,399,756	)

Net change	(548,385	)	$	(5,764,679	)	(2,304,748	)	$	(22,948,228	)

Class N*
Issued from the sale of shares	89		$	1,000		—		$	—
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	—			—		—			—

Net change	89		$	1,000		—		$	—

Class Y
Issued from the sale of shares	19,415,541		$	215,029,406		49,694,765		$	523,953,187
Issued in connection with the reinvestment of distributions	2,108,695			23,026,954		—			—
Redeemed	(34,491,060	)		(383,504,832	)	(59,893,411	)		(623,783,287	)

Net change	(12,966,824	)	$	(145,448,472	)	(10,198,646	)	$	(99,830,100	)

Increase (decrease) from capital share transactions	(14,831,436	)	$	(165,382,117	)	(27,928,507	)	$	(283,005,886	)

*	From commencement of Class operations on May 1, 2013 through June 30, 2013.

63 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,083,358		$	28,940,232		19,088,248		$	186,697,025
Issued in connection with the reinvestment of distributions	—			—		151,550			1,430,714
Redeemed	(5,241,234	)		(48,941,818	)	(33,421,613	)		(323,499,035	)

Net change	(2,157,876	)	$	(20,001,586	)	(14,181,815	)	$	(135,371,296	)

Class C
Issued from the sale of shares	259,796		$	2,420,629		1,472,002		$	14,295,148
Issued in connection with the reinvestment of distributions	—			—		6,597			62,822
Redeemed	(712,765	)		(6,631,419	)	(1,465,967	)		(14,003,106	)

Net change	(452,969	)	$	(4,210,790	)	12,632		$	354,864

Class Y
Issued from the sale of shares	19,499,829		$	183,431,515		67,366,684		$	652,785,497
Issued in connection with the reinvestment of distributions	—			—		560,531			5,199,365
Redeemed	(23,214,083	)		(218,265,471	)	(42,443,142	)		(403,988,615	)

Net change	(3,714,254	)	$	(34,833,956	)	25,484,073		$	253,996,247

Increase (decrease) from capital share transactions	(6,325,099	)	$	(59,046,332	)	11,314,890		$	118,979,815

12. Special Meeting of Shareholders. A special meeting of shareholders of the Trust was held on March 18, 2013 to consider a proposal to elect four Trustees to the Board of Trustees. The proposal was approved by shareholders of the Trust. The results of the shareholder vote were as follows:


Natixis Funds Trust II
Nominee	Voted “For”*		Withheld*
Charles D. Baker		291,855,929		2,801,135
Edmond J. English		291,834,727		2,822,337
David L. Giunta		291,783,730		2,873,334
Martin T. Meehan		291,791,315		2,865,749

*	Trust-wide voting results.

In addition to the Trustees named above, the following also serve as Trustees of the Trust: Daniel M. Cain, Kenneth A. Drucker, Wendell J. Knox, Sandra O. Moose, Erik R. Sirri, Peter J. Smail, Cynthia L. Walker, Robert J. Blanding and John T. Hailer.

| 64

SEMIANNUAL REPORT

June 30, 2013

LOGO

Loomis Sayles Multi-Asset Real Return Fund

Loomis Sayles Strategic Alpha Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 12

Financial Statements page 47

Notes to Financial Statements page 53

LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND


Managers		Symbols
Kevin P. Kearns		Class A MARAX
Maura T. Murphy, CFA		Class C MARCX
Laura L. Sarlo, CFA		Class Y MARYX
Loomis, Sayles & Company, L.P.

Objective

Seeks to maximize real returns consistent with prudent investment management.

Strategy

Seeks to pursue its investment goal primarily through exposure to investments in fixed-income securities, equity securities, currencies and commodity-linked instruments. The Fund expects that its exposure to these asset classes will often be obtained through the use of derivative instruments.

1 |

Average Annual Total Returns — June 30, 2013⁴



	6 Months			1 Year			Since Inception
Class A (Inception 9/30/10)
NAV		-1.02	%		3.44	%		0.87	%
With 4.50% Maximum Sales Charge		-5.45			-1.19			-0.81

Class C (Inception 9/30/10)
NAV		-1.43			2.55			0.10
With CDSC¹		-2.42			1.55			0.10
Class Y (Inception 9/30/10)
NAV		-0.92			3.66			1.08

Comparative Performance
Barclays U.S. TIPS Index²		-7.39			-4.78			4.13
U.S. CPI + 300 basis points³		3.24			4.86			5.56

Notes to Charts

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

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

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

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

| 2

LOOMIS SAYLES STRATEGIC ALPHA FUND


Managers		Symbols
Matthew J. Eagan, CFA		Class A LABAX
Kevin P. Kearns		Class C LABCX
Todd P. Vandam, CFA		Class Y LASYX
Loomis, Sayles & Company, L.P.

Objective

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

Strategy

Attempts to achieve absolute total returns over a full market cycle by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates while employing risk management strategies to mitigate downside risk. The Fund may invest in derivative securities. The Fund may also invest in below investment-grade fixed-income securities and preferred stocks.

3 |

Average Annual Total Returns — June 30, 2013⁴



	6 Months			1 Year			Since Inception

Class A (Inception 12/15/10)
NAV		-0.54	%		5.00	%		2.97	%
With 4.50% Maximum Sales Charge		-5.02			0.29			1.12

Class C (Inception 12/15/10)
NAV		-0.96			4.26			2.13
With CDSC¹		-1.95			3.26			2.13

Class Y (Inception 12/15/10)
NAV		-0.45			5.23			3.18

Comparative Performance
3-Month LIBOR²		0.15			0.38			0.37
3-Month LIBOR + 300 basis points³		1.65			3.44			3.43

Notes to Charts

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

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

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

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

| 4

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

PROXY VOTING INFORMATION

QUARTERLY PORTFOLIO SCHEDULES

5 |

UNDERSTANDING FUND EXPENSES


LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND	BEGINNING ACCOUNT VALUE 1/1/2013		ENDING ACCOUNT VALUE 6/30/2013		EXPENSES PAID DURING PERIOD* 1/1/2013 – 6/30/2013
Class A
Actual		$1,000.00		$989.80		$6.66
Hypothetical (5% return before expenses)		$1,000.00		$1,018.10		$6.76
Class C
Actual		$1,000.00		$985.70		$10.34
Hypothetical (5% return before expenses)		$1,000.00		$1,014.38		$10.49
Class Y
Actual		$1,000.00		$990.80		$5.43
Hypothetical (5% return before expenses)		$1,000.00		$1,019.34		$5.51

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

| 6


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2013		ENDING ACCOUNT VALUE 6/30/2013		EXPENSES PAID DURING PERIOD* 1/1/2013 – 6/30/2013
Class A
Actual		$1,000.00		$994.60		$5.39
Hypothetical (5% return before expenses)		$1,000.00		$1,019.39		$5.46
Class C
Actual		$1,000.00		$990.40		$9.03
Hypothetical (5% return before expenses)		$1,000.00		$1,015.72		$9.15
Class Y
Actual		$1,000.00		$995.50		$4.16
Hypothetical (5% return before expenses)		$1,000.00		$1,020.63		$4.21

*	Expenses are equal to the Fund’s annualized expense ratio: 1.09%, 1.83% and 0.84% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

7 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against

| 8

similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Funds.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis. The Board noted that, given the recent commencement of operations of each Fund, the Funds have a limited operating history upon which to evaluate their performance. With respect to each Fund, the Board concluded that the Fund’s performance and other relevant factors supported the renewal of the Agreement(s) relating to that Fund.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

9 |

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed by the adviser for each Fund whose current expenses are above the cap. The Trustees noted that Loomis Sayles Strategic Alpha Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher fees. These factors included the following: (1) that the Fund’s advisory fee rate was not significantly above its peer group median; ; (2) that the Fund’s net expense ratio was at or below the median of a peer group of funds; and (3) that the Fund’s investment discipline was capacity restrained.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

| 10

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that each of the Funds was subject to an expense cap. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

The Trustees also considered other factors, which included but were not limited to the following:

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and their affiliates were providing to the Funds.

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions and the benefits to NGAM Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the fact that NGAM Advisor’s parent company benefits from the retention of affiliated Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

11 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 24.8% of Net Assets
	Non-Convertible Bonds — 23.3%
		ABS Home Equity — 0.9%
$	402,994	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.133%, 8/25/2046(b)(c)	$	248,376

		Airlines — 2.0%
	145,000	United Continental Holdings, Inc., 6.375%, 6/01/2018(c)		142,462
	375,000	US Airways Group, Inc., 6.125%, 6/01/2018(c)		354,375
	55,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026(c)		54,450

				551,287

		Banking — 0.9%
	250,000	JPMorgan Chase & Co., Series Q, (fixed rate to 5/01/2023, variable rate thereafter), 5.150%, 12/29/2049(c)		238,125

		Building Materials — 0.1%
	20,000	American Builders & Contractors Supply Co., Inc., 5.625%, 4/15/2021, 144A(c)		19,650

		Chemicals — 0.7%
	200,000	INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A(c)		191,000

		Construction Machinery — 1.2%
	300,000	United Rentals North America, Inc., 7.625%, 4/15/2022(c)		324,750

		Independent Energy — 0.7%
	5,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021, 144A		5,038
	250,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)		78,750
	110,000	SM Energy Co., 6.500%, 1/01/2023(c)		115,500

				199,288

		Life Insurance — 2.3%
	250,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)(c)		374,534
	300,000	Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066(c)		260,250

				634,784

		Media Cable — 0.5%
	100,000	Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)(c)		138,561

		Media Non-Cable — 2.8%
	500,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A(c)		470,000
	25,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A(c)		25,187
	175,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(c)		176,750
	100,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A(c)		103,250

				775,187

		Metals & Mining — 0.2%
	55,000	Steel Dynamics, Inc., 5.250%, 4/15/2023, 144A(c)		53,900

See accompanying notes to financial statements.

| 12

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — 1.0%
$	300,000	General Electric Capital Corp., Series C, (fixed rate to 6/15/2023, variable rate thereafter), 5.250%, 6/29/2049(c)	$	286,500

		Oil Field Services — 0.3%
	75,000	Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c)		79,688

		Pharmaceuticals — 0.5%
	135,000	Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(c)		128,602

		Pipelines — 1.4%
	250,000	Energy Transfer Partners LP, 3.600%, 2/01/2023(c)		233,972
	175,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023, 144A(c)		158,375

				392,347

		REITs – Office Property — 1.7%
	475,000	Boston Properties L.P., 3.800%, 2/01/2024(c)		466,518

		Technology — 1.0%
	175,000	Apple, Inc., 2.400%, 5/03/2023(c)		162,306
	125,000	Apple, Inc., 3.850%, 5/04/2043(c)		111,029

				273,335

		Textile — 0.8%
	220,000	PVH Corp., 4.500%, 12/15/2022(c)		211,200

		Treasuries — 3.1%
	74,000(††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)(c)		571,897
	35,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		290,916

				862,813

		Wirelines — 1.2%
	110,000	CenturyLink, Inc., 5.625%, 4/01/2020(c)		111,100
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031(c)		232,650

				343,750

		Total Non-Convertible Bonds (Identified Cost $6,684,453)		6,419,661


	Convertible Bonds — 1.5%
		Independent Energy — 0.7%
	190,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019(c)		201,519

		Technology — 0.8%
	195,000	Intel Corp., 2.950%, 12/15/2035(c)		212,184

		Total Convertible Bonds (Identified Cost $405,461)		413,703


		Total Bonds and Notes (Identified Cost $7,089,914)		6,833,364

See accompanying notes to financial statements.

13 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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


Principal Amount (‡)		Description	Value (†)
	Senior Loans — 4.6%
		Airlines — 1.5%
$	425,933	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)	$	425,021

		Chemicals — 2.2%
	423,137	Houghton International, Inc., Term Loan B, 4.000%, 12/20/2019(b)		419,963
	180,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		183,600

				603,563

		Financial Other — 0.4%
	108,919	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b)		109,464

		Food & Beverage — 0.5%
	130,000	HJ Heinz Co., Term Loan B2, 3.500%, 6/07/2020(b)		129,852


		Total Senior Loans (Identified Cost $1,263,815)		1,267,900


Shares
	Common Stocks — 8.9%
		Airlines — 0.5%
	8,200	US Airways Group, Inc.(c)(d)		134,644

		Automobiles — 0.7%
	6,000	General Motors Co.(c)(d)		199,860

		Communications Equipment — 0.7%
	7,500	Cisco Systems, Inc.(c)		182,325

		Computers & Peripherals — 0.9%
	156	Apple, Inc.(c)		61,788
	7,500	EMC Corp.(c)		177,150

				238,938

		Diversified Financial Services — 1.5%
	16,000	Bank of America Corp.(c)		205,760
	4,125	JPMorgan Chase & Co.(c)		217,759

				423,519

		Energy Equipment & Services — 0.6%
	2,500	Schlumberger Ltd.(c)		179,150

		Industrial Conglomerates — 0.5%
	1,300	Siemens AG, Sponsored ADR(c)		131,703

		Oil, Gas & Consumable Fuels — 1.7%
	12,404	Cobalt International Energy, Inc.(c)(d)		329,574
	2,800	Gulfport Energy Corp.(c)(d)		131,796

				461,370

		Pharmaceuticals — 0.6%
	2,000	Johnson & Johnson(c)		171,720

See accompanying notes to financial statements.

| 14

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 0.7%
	7,500	Intel Corp.(c)	$	181,650

		Trading Companies & Distributors — 0.5%
	3,000	United Rentals, Inc.(c)(d)		149,730


		Total Common Stocks (Identified Cost $2,460,717)		2,454,609


Contracts/ Shares/ Units of Currency/ Notional Amount (†††)
	Purchased Options — 0.6%
		Options on Futures Contracts — 0.0%
	3	Light Sweet Crude Oil Put, expiring July 17, 2013 at 95(e)		3,360

		Options on Securities — 0.0%
	16,700	Dell, Inc. Call, expiring August 17, 2013 at 14		1,169

		Over-the-Counter Options on Currency — 0.6%
	1,300,000	EUR Put, expiring April 25, 2014 at 1.3053(f)		44,407
	630,000	JPY Call, expiring January 14, 2015 at 88.3000(f)		18,779
	315,000	JPY Call, expiring March 12, 2015 at 94.8000(g)		17,547
	1,687,500	JPY Put, expiring May 13, 2014 at 101.4300(g)		65,988
	1,687,500	JPY Put, expiring May 13, 2014 at 109(g)		30,135

				176,856

		Total Purchased Options (Identified Cost $239,012)		181,385


	Purchased Swaptions — 0.4%
		Interest Rate Swaptions — 0.4%
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 1.078%, Receive 6-month LIBOR(JPY)(f)		62,843
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 1.01%, Receive 6-month LIBOR(JPY)(h)		41,659


		Total Purchased Swaptions (Identified Cost $97,230)		104,502

See accompanying notes to financial statements.

15 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 59.6%
$	1,765,000	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $1,765,001 on 7/01/2013 collateralized by $1,925,000 Federal Home Loan Mortgage Corp., 2.070% due 11/07/2022 valued at $1,801,286 including accrued interest (Note 2 of Notes to Financial Statements)(e)	$	1,765,000
	6,720,973	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $6,720,973 on 7/01/2013 collateralized by $7,105,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $6,856,325 including accrued interest (Note 2 of Notes to Financial Statements)		6,720,973
	7,950,000	U.S. Treasury Bills, 0.045%-0.106%, 9/19/2013(c)(e)(i)(j)(k)		7,949,380

		Total Short-Term Investments (Identified Cost $16,434,570)		16,435,353


		Total Investments — 98.9% (Identified Cost $27,585,258)(a)		27,277,113
		Other assets less liabilities — 1.1%		309,268

		Net Assets — 100.0%	$	27,586,381


Contracts/ Units of Currency/ Notional Amount (†††)
	Written Options — (0.4%)
		Options on Futures Contracts — (0.0%)
	3	Light Sweet Crude Oil Put, expiring July 17, 2013 at 90(e)	$	(690	)

		Over-the-Counter Options on Currency — (0.4%)
	1,300,000	EUR Put, expiring April 25, 2014 at 1.2000(f)		(15,222	)
	630,000	JPY Call, expiring January 14, 2015 at 84(f)		(12,875	)
	315,000	JPY Call, expiring March 12, 2015 at 90(g)		(11,962	)
	2,362,500	JPY Put, expiring May 13, 2014 at 105(g)		(63,759	)

				(103,818	)

		Total Written Options (Premiums Received $135,289)	$	(104,508	)


	Written Swaptions — (0.1%)
		Interest Rate Swaptions — (0.1%)
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 6-month LIBOR, Receive 1.828%(JPY)(f)	$	(32,613	)
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 6-month LIBOR, Receive 1.760% (JPY)(h)		(8,722	)

		Total Written Swaptions (Premiums Received $43,966)	$	(41,335	)

See accompanying notes to financial statements.

| 16

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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



(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(†††)	Options on 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 June 30, 2013, the net unrealized depreciation on investments based on a cost of $27,586,771 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	$	184,109
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(493,767	)

	Net unrealized depreciation	$	(309,658	)


(b)	Variable rate security. Rate as of June 30, 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)	Non-income producing security.
(e)	All or a portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary.
(f)	Counterparty is Citibank, N.A.
(g)	Counterparty is Credit Suisse AG.
(h)	Counterparty is Bank of America, N.A.
(i)	A portion of this security has been pledged as initial margin for open futures contracts.
(j)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(k)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $1,628,751 or 5.9% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
REITs	Real Estate Investment Trusts

EUR	Euro
GBP	British Pound
JPY	Japanese Yen
MXN	Mexican Peso

See accompanying notes to financial statements.

17 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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

At June 30, 2013, the Fund had the following open bilateral credit default swap agreements:


Buy Protection
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)
Morgan Stanley Capital Services Inc.	France Telecom	(1.00%)		6/20/2017		500,000	*		12,636		$	(999	)	$	(13,635	)	$	(200	)
UBS AG	Japan Government	(1.00%)		6/20/2017		1,000,000			(1,412	)		(15,626	)		(14,214	)		(306	)
UBS AG	State of Israel	(1.00%)		9/20/2017		1,000,000			22,012			1,486			(20,526	)		(306	)

Total											$	(15,139	)	$	(48,375	)	$	(812	)


Sell Protection
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)
Barclays Bank PLC	Toll Brothers Finance Corp.	1.00%		6/20/2018		1.89	%	$	250,000	$	(9,288	)	$	(10,460	)	$	(1,172	)	$	76
Deutsche Bank AG	JPMorgan Chase & Co.	1.00%		6/20/2018		0.96	%		300,000		1,717			582			(1,135	)		92

Total													$	(9,878	)	$	(2,307	)	$	168

At June 30, 2013, the Fund had the following open centrally cleared credit default swap agreements:


Sell Protection
	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Market Value		Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
	CDX.NA.HY Series 20, 5-Year	5.00%		6/20/2018		4.35	%	$	1,000,000	$	27,500	$	(6,799	)	$	417

(‡)	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.

See accompanying notes to financial statements.

| 18

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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

At June 30, 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		7/08/2013	Australian Dollar		735,000	$	671,898	$	(30,162	)
Sell¹		7/08/2013	Australian Dollar		735,000		671,898		23,535
Buy¹		7/22/2013	British Pound		360,000		547,468		(8,956	)
Buy¹		7/25/2013	British Pound		290,000		441,007		(7,191	)
Sell¹		7/18/2013	British Pound		250,000		380,196		11,901
Sell¹		7/22/2013	British Pound		360,000		547,468		9,733
Sell¹		7/25/2013	British Pound		740,000		1,125,327		10,237
Buy²		7/24/2013	Chilean Peso		209,000,000		409,780		(225	)
Sell²		7/24/2013	Chilean Peso		209,000,000		409,780		(4,545	)
Buy³		7/24/2013	Colombian Peso		1,100,000,000		571,232		(940	)
Sell³		7/24/2013	Colombian Peso		1,100,000,000		571,232		(7,707	)
Buy³		7/24/2013	Czech Koruna		8,200,000		410,332		(3,190	)
Sell³		7/24/2013	Czech Koruna		8,200,000		410,332		9,721
Buy⁴		7/01/2013	Euro		250,000		325,412		(5,448	)
Buy⁵		7/03/2013	Euro		210,000		273,347		(793	)
Buy¹		7/08/2013	Euro		230,000		299,386		(4,876	)
Sell⁴		7/01/2013	Euro		250,000		325,412		(1,836	)
Sell⁵		7/03/2013	Euro		210,000		273,347		3,191
Sell¹		7/08/2013	Euro		230,000		299,386		1,454
Sell³		7/25/2013	Euro		210,000		273,371		2,544
Sell¹		7/31/2013	Euro		100,000		130,180		(118	)
Sell³		7/31/2013	Euro		210,000		273,378		(332	)
Buy¹		2/04/2014	Indian Rupee		14,400,000		234,186		(21,133	)
Sell¹		2/04/2014	Indian Rupee		14,400,000		234,186		12,050
Buy²		7/05/2013	Japanese Yen		81,800,000		824,772		(44,608	)
Sell²		7/05/2013	Japanese Yen		39,200,000		395,245		2,079
Sell²		7/05/2013	Japanese Yen		42,600,000		429,527		(2,579	)
Sell⁶		7/18/2013	Japanese Yen		4,940,750		49,819		1,780
Sell¹		7/19/2013	Japanese Yen		132,200,000		1,333,014		36,640
Buy²		7/22/2013	Malaysian Ringgit		880,000		278,142		1,847
Sell²		7/22/2013	Malaysian Ringgit		880,000		278,142		(2,539	)
Buy²		7/26/2013	Mexican Peso		7,300,000		562,182		4,248
Sell²		7/26/2013	Mexican Peso		7,300,000		562,182		(4,476	)
Buy¹		7/05/2013	New Zealand Dollar		885,500		686,070		(23,613	)
Sell¹		7/05/2013	New Zealand Dollar		885,500		686,070		14,776
Buy²		7/11/2013	Philippine Peso		23,600,000		546,221		(5,503	)
Buy¹		7/22/2013	Philippine Peso		18,000,000		416,546		1,033
Sell²		7/11/2013	Philippine Peso		23,600,000		546,221		1,343
Sell¹		7/22/2013	Philippine Peso		18,000,000		416,546		(7,083	)
Buy³		7/24/2013	Polish Zloty		2,275,000		683,735		(4,991	)
Sell³		7/24/2013	Polish Zloty		1,325,000		398,219		5,538
Sell³		7/24/2013	Polish Zloty		950,000		285,516		(314	)
Buy¹		7/17/2013	Russian Ruble		17,900,000		543,347		(17,781	)
Sell¹		7/17/2013	Russian Ruble		17,900,000		543,347		12,295
Buy⁴		7/12/2013	Singapore Dollar		525,000		414,210		(5,519	)

See accompanying notes to financial statements.

19 |

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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


Contract to Buy/Sell (continued)	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell⁴		7/12/2013	Singapore Dollar		525,000	$	414,210	$	1,844
Buy³		7/05/2013	South African Rand		4,200,000		424,698		1,661
Sell³		7/05/2013	South African Rand		4,200,000		424,698		(2,651	)
Buy¹		7/05/2013	Turkish Lira		310,000		160,631		(3,774	)
Buy¹		7/17/2013	Turkish Lira		1,050,000		543,071		(21,324	)
Sell¹		7/05/2013	Turkish Lira		310,000		160,631		1,928
Sell¹		7/17/2013	Turkish Lira		1,050,000		543,071		18,036

Total								$	(54,793	)

¹Counterparty is Credit Suisse International.

²Counterparty is Deutsche Bank AG.

³Counterparty is UBS AG.

⁴Counterparty is Bank of America, N.A.

⁵Counterparty is Citibank, N.A.

⁶Counterparty is Morgan Stanley Capital Services Inc.

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/20/2013		24	$	1,919,160	$	(6,548	)


Commodity Futures⁷	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		11/13/2015		3	$	278,580	$	(4,698	)
Copper High Grade		9/26/2013		3		229,313		191
Lead		8/21/2013		5		256,031		(9,125	)
Nickel		7/17/2013		2		163,866		(20,227	)
Zinc		7/17/2013		6		274,200		(15,187	)

Total							$	(49,046	)

At June 30, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		9/19/2013		10	$	1,265,625	$	(9,971	)
30 Year U.S. Treasury Bond		9/19/2013		1		135,844		4,779

Total							$	(5,192	)


Commodity Futures⁷	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Lead		8/21/2013		5	$	256,031	$	17,500
Nickel		7/17/2013		2		163,866		17,501
Zinc		7/17/2013		6		274,200		1,013

Total							$	36,014

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

See accompanying notes to financial statements.

| 20

Consolidated Portfolio of Investments – as of June 30, 2013 (Unaudited)

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

Industry Summary at June 30, 2013 (Unaudited)


Airlines	4.0	%
Treasuries	3.1
Chemicals	2.9
Media Non-Cable	2.8
Life Insurance	2.3
Other Investments, less than 2% each	24.2
Short-Term Investments	59.6

Total Investments	98.9
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 67.3% of Net Assets
	Non-Convertible Bonds — 64.1%
		ABS Home Equity — 6.2%
$	901,057	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.643%, 7/25/2037, 144A(b)	$	552,065
	2,554,289	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.976%, 11/20/2034(b)		2,329,440
	996,884	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 3.095%, 9/25/2034(b)		913,955
	1,524,748	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.463%, 2/22/2035(b)		1,272,800
	2,613,312	CHL Mortgage Pass-Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036		2,380,871
	731,064	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		617,521
	1,389,778	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		1,159,753
	2,276,938	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		1,989,256
	797,220	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.027%, 8/25/2034		814,427
	1,350,964	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.403%, 5/25/2035(b)		1,074,974
	1,191,831	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		1,071,797
	930,991	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		623,642
	1,020,935	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		891,995
	277,687	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.629%, 9/20/2034(b)		259,379
	3,925,808	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.712%, 4/25/2035(b)		2,523,509
	548,174	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.463%, 4/25/2035(b)		422,067
	1,390,443	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(c)		1,376,850
	476,180	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		489,806
	1,439,089	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,246,667
	785,738	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		665,965
	2,471,139	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.343%, 11/25/2036(b)		1,044,679
	312,300	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		317,830
	2,384,133	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.151%, 6/19/2035(b)(c)		2,322,653
	1,072,364	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.494%, 7/19/2035(b)		960,729

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	332,622	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.133%, 12/25/2034(b)	$	282,153
	2,310,150	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.713%, 12/25/2034(b)		2,257,573
	1,043,364	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.716%, 7/25/2035(b)		933,586
	1,870,463	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,593,687
	1,745,622	HarborView Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.933%, 12/19/2035(b)		1,436,335
	2,712,806	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.303%, 5/25/2037(b)		1,707,451
	1,333,954	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.973%, 12/25/2034(b)		949,073
	3,020,441	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.513%, 7/25/2045(b)		2,620,067
	1,457,035	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 3.051%, 8/25/2035(b)		1,414,818
	995,555	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.353%, 12/25/2036(b)		718,646
	1,005,079	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.343%, 8/25/2046(b)		994,508
	2,854,343	Lehman XS Trust, Series 2006-4N, Class A2A, 0.413%, 4/25/2046(b)		2,011,772
	760,147	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.385%, 5/25/2034(b)		730,273
	932,586	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.917%, 4/25/2036(b)		854,505
	683,894	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.353%, 1/25/2047(b)		503,699
	2,188,469	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.433%, 5/25/2037(b)		1,466,274
	2,360,298	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,770,235
	520,589	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.200%, 5/25/2036(b)		503,700
	1,458,718	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,330,820
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c)		2,791,278
	323,948	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.684%, 10/25/2035(b)		326,543
	2,961,703	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(c)		2,407,716
	990,432	Residential Asset Securitization Trust, Series 2007-A5, Class 2A5, 6.000%, 5/25/2037		902,441
	1,249,868	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,260,042
	751,704	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.503%, 7/25/2035(b)		593,286
	2,462,834	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		2,599,514
	2,759,108	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.436%, 1/25/2035(b)		2,764,389
	1,578,540	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.467%, 9/25/2046(b)		1,456,091

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	295,992	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.983%, 12/25/2046(b)	$	259,537
	3,416,154	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.220%, 1/25/2047(b)		3,072,906
	486,722	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 4.532%, 10/25/2033(b)		484,854
	2,057,786	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 4.904%, 2/25/2034(b)		2,059,537
	739,913	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		749,774
	867,028	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		870,045

				73,999,758

		ABS Other — 0.3%
	2,008,735	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		2,054,574
	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		736,684
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		425,770
	743,357	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		762,317

				3,979,345

		Aerospace & Defense — 1.2%
	9,203,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c)		7,623,130
	2,335,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,120,409
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c)		5,137,350

				14,880,889

		Airlines — 2.2%
	2,180,000	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		2,174,550
	2,900,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		2,740,500
	2,890,000	British Airways PLC, 4.625%, 6/20/2024, 144A		2,884,581
	2,890,000	British Airways PLC, 5.625%, 6/20/2020, 144A		2,918,900
	680,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026		678,300
	505,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		510,050
	965,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		974,650
	2,289,043	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		2,546,561
	113,709	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		117,404

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	1,985,088	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024	$	2,244,142
	5,003,536	Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(c)		5,003,536
	1,802,827	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		2,037,195
	1,612,090	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,692,695

				26,523,064

		Automotive — 2.3%
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(c)		2,909,775
	5,250,000	Ford Motor Credit Co. LLC, 1.525%, 5/09/2016(b)		5,286,703
	10,650,000	Toyota Motor Credit Corp., 0.564%, 5/17/2016(b)		10,631,767
	8,500,000	Toyota Motor Credit Corp., MTN, 0.424%, 3/10/2015(b)(c)		8,492,962

				27,321,207

		Banking — 6.1%
	15,025,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)(c)		6,194,904
	2,484,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(c)		4,815,943
	3,950,000	Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(c)		5,561,083
	9,320,000	Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A(c)		9,386,843
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c)		6,905,902
	5,285,000	Lloyds TSB Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(c)		7,537,201
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c)		10,595,732
	4,500,000	Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)(c)		6,413,878
	6,600,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A(c)		6,139,624
	7,420,000	UniCredit S.p.A., EMTN, 6.950%, 10/31/2022, (EUR)(c)		9,891,022

				73,442,132

		Building Materials — 0.7%
	155,000	American Builders & Contractors Supply Co., Inc., 5.625%, 4/15/2021, 144A		152,288
	965,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A		933,638
	800,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		716,000
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,563,775
	4,675,000	Owens Corning, 4.200%, 12/15/2022		4,530,014

				7,895,715

		Chemicals — 0.9%
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(c)		2,757,900
	2,625,000	INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A		2,506,875
	5,630,000	Orion Engineered Carbons Finance & Co. SCA, 9.250%, 8/01/2019, 144A(c)(d)		5,630,000

				10,894,775

		Collateralized Mortgage Obligations — 0.1%
	35,249,102	Government National Mortgage Association, Series 2010-83, Class IO, 0.757%, 7/16/2050(b)(e)		1,466,433

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — 3.0%
$	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.060%, 5/11/2039, 144A(b)	$	961,709
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.732%, 4/15/2044, 144A(b)(c)		4,622,574
	2,765,000	Citigroup Commercial Mortgage Trust, 3.635%, 5/10/2035, 144A		2,402,780
	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c)		2,489,028
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.728%, 11/10/2046, 144A(b)(c)		4,890,524
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.193%, 3/15/2018, 144A(b)		1,306,760
	3,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 4.171%, 12/05/2031, 144A(b)(c)		3,415,189
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)(c)		4,172,302
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		1,521,441
	984,752	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-JWMZ, Class M, 6.193%, 4/15/2018, 144A(b)		1,002,871
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.420%, 9/15/2047, 144A(b)		1,219,449
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.493%, 6/15/2044, 144A(b)		1,986,860
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.763%, 4/12/2049(b)		1,410,326
	5,175,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.646%, 2/15/2044, 144A(b)(c)		4,930,191

				36,332,004

		Construction Machinery — 1.5%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.513%, 2/26/2016(b)(c)		17,646,508

		Consumer Cyclical Services — 0.2%
	3,025,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		2,869,969

		Diversified Manufacturing — 1.1%
	3,000,000	Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A		3,060,000
	1,100,000	Milacron LLC/Mcron Finance Corp., 7.750%, 2/15/2021, 144A		1,097,250
	11,090,000	Ottawa Holdings Pte Ltd., 5.875%, 5/16/2018, 144A		9,426,500

				13,583,750

		Electric — 1.1%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		1,875,087
	3,300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,047,557
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		801,116
	5,510,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A(c)		6,019,675
	2,225,766	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		1,880,772

				13,624,207

		Financial Other — 0.4%
	1,625,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		1,599,764
	2,390,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		2,517,047

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Financial Other — continued
$	400,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A	$	351,000

				4,467,811

		Food & Beverage — 2.0%
	800,000	Alicorp SAA, 3.875%, 3/20/2023, 144A		740,000
	850,000	BRF S.A., 3.950%, 5/22/2023, 144A		748,000
	4,600,000	BRF S.A., 5.875%, 6/06/2022, 144A(c)		4,720,980
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		4,186,703
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		980,516
	3,500,000	General Mills, Inc., Series FRN, 0.576%, 1/29/2016(b)(c)		3,495,608
	9,740,000	Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A(c)		9,313,875

				24,185,682

		Government Owned – No Guarantee — 2.7%
	8,000,000	Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(c)		7,326,800
	9,510,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		8,723,922
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c)		5,715,091
	12,005,000	Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A(c)		11,122,632

				32,888,445

		Government Sponsored — 0.3%
	1,410,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		1,307,670
	2,275,000	Eksportfinans ASA, 2.000%, 9/15/2015		2,184,000
	55,000	Eksportfinans ASA, 2.375%, 5/25/2016		52,663

				3,544,333

		Healthcare — 1.0%
	10,900,000	Baxter International, Inc., 0.445%, 12/11/2014(b)		10,896,796
	450,000	Owens & Minor, Inc., 6.350%, 4/15/2016		488,131

				11,384,927

		Home Construction — 0.1%
	1,920,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(f)		652,800

		Independent Energy — 2.0%
	2,335,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		1,330,950
	670,000	Halcon Resources Corp., 8.875%, 5/15/2021		649,900
	2,660,000	Halcon Resources Corp., 9.750%, 7/15/2020		2,653,350
	10,940,000	Newfield Exploration Co., 5.625%, 7/01/2024(c)		10,611,800
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		2,163,400
	5,575,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)		1,756,125
	4,670,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		4,436,500

				23,602,025

		Industrial Other — 0.5%
	5,900,000	Steelcase, Inc., 6.375%, 2/15/2021(c)		6,372,850

		Integrated Energy — 0.8%
	9,710,000	Sasol Financing International PLC, 4.500%, 11/14/2022(c)		8,981,750

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Life Insurance — 2.1%
	8,600,000	Assicurazioni Generali S.p.A., EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c)	$	11,865,836
	9,263,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A(c)		9,008,268
	3,300,000	MetLife Capital Trust IV, 7.875%, 12/15/2067, 144A(c)		3,929,993

				24,804,097

		Local Authorities — 1.1%
	11,978,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(c)		12,637,069

		Lodging — 0.3%
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022		2,179,633
	1,050,000	Host Hotels & Resorts LP, Series D, 3.750%, 10/15/2023		962,407

				3,142,040

		Media Cable — 0.6%
	2,450,000	CCO Holdings LLC/CCO Holdings Capital Corp., 6.625%, 1/31/2022		2,554,125
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 12/19/2049, 144A		4,040,000

				6,594,125

		Media Non-Cable — 1.9%
	11,855,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014(c)		11,528,987
	5,480,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A		5,151,200
	745,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		750,588
	5,355,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(c)		5,408,550

				22,839,325

		Metals & Mining — 5.6%
	5,700,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A(c)		5,383,519
	2,940,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022(c)		2,599,677
	9,545,000	ArcelorMittal, 7.250%, 3/01/2041(c)		8,924,575
	11,100,000	Glencore Funding LLC, 4.125%, 5/30/2023, 144A		9,899,912
	4,910,000	Hecla Mining Co., 6.875%, 5/01/2021, 144A		4,554,025
	7,435,000	IAMGOLD Corp., 6.750%, 10/01/2020, 144A(c)		6,282,575
	11,775,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A(c)		10,152,028
	12,220,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A(c)		10,936,900
	1,370,000	Teck Resources Ltd., 5.200%, 3/01/2042		1,162,008
	2,450,000	Teck Resources Ltd., 5.400%, 2/01/2043(c)		2,144,826
	5,550,000	Vedanta Resources PLC, 7.125%, 5/31/2023, 144A		5,244,750

				67,284,795

		Non-Captive Consumer — 0.2%
	3,145,000	Springleaf Finance Corp., 6.000%, 6/01/2020, 144A		2,814,775

		Non-Captive Diversified — 1.3%
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/29/2049(c)		5,311,000
	9,600,000	General Electric Capital Corp., Series B, (fixed rate to 12/15/2022, variable rate thereafter), 6.250%, 12/29/2049(c)		10,200,000

				15,511,000

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Oil Field Services — 1.3%
$	2,900,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A	$	2,900,000
	10,200,000	Lukoil International Finance BV, 4.563%, 4/24/2023, 144A(c)		9,486,000
	3,630,933	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(c)		3,594,624

				15,980,624

		Pharmaceuticals — 1.2%
	9,125,000	Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(c)		8,692,520
	2,085,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		2,061,544
	2,975,000	VPII Escrow Corp., 7.500%, 7/15/2021, 144A		3,079,125

				13,833,189

		Pipelines — 0.3%
	3,825,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A(c)		4,098,885

		Retailers — 0.2%
	2,000,000	Toys R Us Property Co. II LLC, 8.500%, 12/01/2017		2,077,500

		Sovereigns — 0.2%
	7,091,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,923,665

		Supermarket — 0.4%
	5,073,000	SUPERVALU, Inc., 6.750%, 6/01/2021, 144A		4,717,890

		Technology — 1.8%
	3,840,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(c)		2,908,800
	4,650,000	First Data Corp., 10.625%, 6/15/2021, 144A		4,591,875
	2,675,000	Hewlett-Packard Co., 4.650%, 12/09/2021		2,675,246
	4,005,000	Ingram Micro, Inc., 5.000%, 8/10/2022(c)		4,005,288
	4,900,000	Jabil Circuit, Inc., 4.700%, 9/15/2022		4,716,250
	2,650,000	VeriSign, Inc., 4.625%, 5/01/2023, 144A		2,570,500

				21,467,959

		Treasuries — 5.8%
	4,150,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c)		8,229,751
	2,965,000	Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)		4,140,856
	696,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		5,663,633
	465,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)		3,772,018
	1,958,800(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		16,281,315
	325,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		2,875,401
	7,550,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)(c)		8,389,500
	5,460,000	Portugal Obrigacoes do Tesouro OT, 5.650%, 2/15/2024, 144A, (EUR)(c)		6,610,226
	2,560,000	Spain Government Bond, 4.300%, 10/31/2019, (EUR)		3,373,476
	1,280,000	Spain Government Bond, 4.650%, 7/30/2025, (EUR)		1,621,726
	70,766,908	Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(c)		3,960,890
	68,741,763	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		3,910,523

				68,829,315

		Wirelines — 3.1%
	8,335,000	Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A(c)		7,574,848
	2,315,000	Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A		2,187,675
	4,325,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		5,207,411
	7,800,000	OI European Group BV, 9.750%, 9/15/2016, 144A, (BRL)		3,233,468

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	7,594,000	Qwest Corp., 7.200%, 11/10/2026(c)	$	7,631,970
	2,800,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,539,051
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		837,100
	2,237,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		2,270,108
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		256,275
	525,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		541,246
	2,000,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		2,195,786
	1,500,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)(c)		2,345,692

				36,820,630

		Total Non-Convertible Bonds (Identified Cost $793,947,716)		766,917,262

	Convertible Bonds — 3.2%
		Automotive — 0.4%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016(c)		2,909,069
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,718,097

				4,627,166

		Independent Energy — 0.4%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		421,813
	4,060,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019		4,306,137

				4,727,950

		Metals & Mining — 0.3%
	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066		1,746,353
	1,840,000	United States Steel Corp., 2.750%, 4/01/2019		1,815,850

				3,562,203

		Oil Field Services — 0.2%
	2,010,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019, 144A		2,437,125

		Pharmaceuticals — 0.6%
	2,210,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		5,001,506
	750,000	Mylan, Inc., 3.750%, 9/15/2015		1,777,500

				6,779,006

		Technology — 1.3%
	1,330,000	Ciena Corp., 3.750%, 10/15/2018, 144A		1,664,163
	1,440,000	EMC Corp., Series B, 1.750%, 12/01/2013		2,127,600
	2,085,000	Intel Corp., 3.250%, 8/01/2039		2,657,072
	2,320,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		3,701,850
	1,825,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,879,750
	1,675,000	SanDisk Corp., 1.500%, 8/15/2017		2,232,984
	1,015,000	Xilinx, Inc., 2.625%, 6/15/2017		1,450,181

				15,713,600

		Total Convertible Bonds (Identified Cost $36,713,172)		37,847,050

		Total Bonds and Notes (Identified Cost $830,660,888)		804,764,312

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Senior Loans — 13.3%
		Aerospace & Defense — 0.2%
$	646,750	Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(b)	$	647,287
	584,065	Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(b)		592,826
	699,000	Transdigm, Inc., Term Loan C, 2/28/2020(g)		689,011

				1,929,124

		Airlines — 0.2%
	2,846,000	US Airways Group, Inc., Term Loan B1, 4.250%, 5/23/2019(b)		2,809,230

		Automotive — 0.8%
	148,727	Affinia Group Intermediate Holdings, Inc., Term Loan B1, 3.500%, 4/25/2016(b)		148,727
	669,273	Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.750%, 4/27/2020(b)		666,763
	4,120,000	Chrysler Group LLC, New Term Loan B, 5/24/2017(g)		4,140,600
	1,163,000	Navistar International Corporation, Term Loan B, 5.750%, 8/17/2017(b)		1,163,000
	2,583,525	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		2,607,758
	231,253	Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(b)		232,120

				8,958,968

		Banking — 0.2%
	1,978,393	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.445%, 6/30/2017(b)		1,899,257

		Building Materials — 0.4%
	1,822,000	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(b)		1,806,968
	325,540	CPG International, Inc., Term Loan, 5.750%, 9/18/2019(b)		325,866
	2,832,883	Wilsonart International Holdings LLC, Term Loan B, 4.000%, 10/31/2019(b)		2,806,905

				4,939,739

		Chemicals — 0.6%
	578,727	AI Chem & Cy S.C.A., Term Loan B1, 4.500%, 10/03/2019(b)		575,109
	300,273	AI Chem & Cy S.C.A., Term Loan B2, 4.500%, 10/03/2019(b)		298,397
	1,628,000	Arysta LifeScience Corporation, 1st Lien Term Loan, 4.500%, 5/29/2020(b)		1,610,711
	948,000	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		943,857
	295,000	Kronos Worldwide, Inc., Term Loan B, 7.000%, 6/13/2018(b)		295,000
	1,200,000	MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/05/2020(b)		1,191,504
	658,266	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		647,773
	1,241,760	Taminco NV, USD Term Loan B2, 4.250%, 2/15/2019(b)		1,242,021
	781,070	Tronox Pigments (Netherlands) B.V., 2013 Term Loan, 4.500%, 3/19/2020(b)		783,554

				7,587,926

		Consumer Cyclical Services — 0.1%
	92,239	Instant Web, Inc., Delayed Draw Term Loan, 3.570%, 8/07/2014(b)		65,259
	879,359	Instant Web, Inc., Term Loan B, 3.570%, 8/07/2014(b)		622,146
	623,000	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b)		619,499

				1,306,904

		Consumer Products — 0.6%
	966,578	Serta Simmons Holdings LLC, Term Loan, 5.003%, 10/01/2019(h)		965,611
	2,316,088	SRAM LLC, New Term Loan B, 4.008%, 4/10/2020(h)		2,290,031
	2,838,406	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b)		2,811,214
	1,456,574	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		1,385,304

				7,452,160

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing — 0.3%
$	599,985	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(b)	$	596,235
	1,211,963	Doncaster US Finance LLC, USD Term Loan, 5.500%, 4/09/2020(b)		1,208,932
	2,223,696	Edwards (Cayman Islands II) Limited, New Term Loan B, 4.750%, 3/26/2020(b)		2,220,917

				4,026,084

		Electric — 0.5%
	1,851,000	Calpine Construction Finance Company LP, Original Term Loan B1, 3.000%, 5/04/2020(b)		1,821,699
	620,313	Calpine Corporation, Term Loan B3, 4.000%, 10/09/2019(b)		619,152
	1,186,846	Dynegy Holdings, Inc., Term Loan B2, 4.000%, 4/23/2020(b)		1,177,209
	2,807,963	NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(b)		2,778,142

				6,396,202

		Entertainment — 0.2%
	1,925,000	Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(b)		1,915,375
	374,049	WMG Acquisition Corp., Delayed Draw Term Loan 1, 7/01/2020(g)		369,063
	57,951	WMG Acquisition Corp., Delayed Draw Term Loan 2, 7/01/2020(g)		57,179
	449,321	WMG Acquisition Corp., New Term Loan, 3.750%, 7/01/2020(b)		445,950

				2,787,567

		Environmental — 0.1%
	977,000	Allflex Holdings II, Inc., New 1st Lien Term Loan, 7/20/2020(g)		975,779

		Financial Other — 0.2%
	1,094,000	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b)		1,095,367
	747,909	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b)		751,649
	925,000	Nuveen Investments, Inc., New Term Loan, 4.195%, 5/13/2017(b)		916,620

				2,763,636

		Food & Beverage — 0.8%
	799,995	Dole Food Company, Inc., New Term Loan, 3.752%, 4/01/2020(h)		795,139
	313,816	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)		321,662
	2,629,000	HJ Heinz Co., Term Loan B2, 3.500%, 6/07/2020(b)		2,626,003
	1,628,000	Hostess Brands, Inc., Term Loan, 6.750%, 4/09/2020(b)		1,655,139
	725,183	Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(b)		719,743
	2,852,000	US Foods, Inc., Refi Term Loan, 4.500%, 3/29/2019(b)		2,817,776

				8,935,462

		Gaming — 0.2%
	2,756,150	MGM Resorts International, Term Loan B, 3.500%, 12/20/2019(b)		2,735,479

		Healthcare — 0.4%
	2,445,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)		2,444,242
	265,000	TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(b)		262,350
	1,285,302	TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(b)		1,277,268
	397,005	United Surgical Partners International, Inc., Incremental Term Loan, 4.750%, 4/03/2019(b)		394,774

				4,378,634

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Industrial Other — 0.7%
$	1,107,225	Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(b)	$	1,106,118
	240,121	Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(b)		241,322
	1,000,504	Brand Energy & Infrastructure Services, Inc., USD Term Loan B1, 6.250%, 10/23/2018(b)		1,005,506
	2,840,000	Generac Power Systems, Inc., Term Loan B, 3.500%, 5/29/2020(b)		2,815,150
	552,225	Mirror Bidco Corp., USD Term Loan, 5.250%, 12/27/2019(b)		551,535
	1,959,958	Pinnacle Operating Corp., Term Loan, 4.750%, 11/06/2018(b)		1,953,216
	368,150	WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(b)		368,382

				8,041,229

		Media Cable — 0.9%
	1,968,000	Charter Communications Operating LLC, Term Loan E, 7/01/2020(g)		1,941,865
	1,309,000	Charter Communications Operating LLC, Term Loan F, 3.000%, 1/04/2021(b)		1,296,093
	2,855,000	CSC Holdings, Inc., New Term Loan B, 2.695%, 4/17/2020(b)		2,819,312
	1,410,000	Virgin Media Investment Holdings Limited, USD Term Loan B, 6/05/2020(g)		1,393,165
	1,885,000	Virgin Media Investment Holdings Limited, USD Term Loan B, 3.500%, 6/05/2020(b)		1,862,493
	671,000	Weather Channel, 2nd Lien Term Loan, 12/11/2020(g)		674,355
	947,625	WideOpenWest Finance LLC, Term Loan B, 4.750%, 4/01/2019(b)		948,810

				10,936,093

		Media Non-Cable — 0.1%
	1,135,295	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b)		1,120,627

		Metals & Mining — 1.3%
	694,739	Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(b)		691,050
	1,879,457	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		1,906,483
	1,334,503	Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(b)		1,332,501
	2,811,753	FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b)		2,792,858
	1,362,155	Metal Services LLC, Term Loan, 7.750%, 6/30/2017(b)		1,365,560
	117,000	Murray Energy Corporation, New Term Loan B, 4.750%, 5/24/2019(b)		115,976
	2,610,000	Patriot Coal Corporation, DIP First-Out Term Loan, 10/04/2013(g)		2,581,734
	3,183,750	Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(b)		3,149,270
	704,406	Preferred Proppants LLC, Term Loan B, 9.000%, 12/15/2016(b)		665,664
	560,185	Tube City IMS Corporation, Term Loan, 4.750%, 3/20/2019(b)		560,185

				15,161,281

		Non-Captive Consumer — 0.2%
	2,905,000	Springleaf Financial Funding Company, Term Loan, 5/10/2017(g)		2,905,000

		Oil Field Services — 0.2%
	1,454,000	Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(b)		1,447,093
	340,000	Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(b)		341,700
	650,000	Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(b)		651,625

				2,440,418

		Packaging — 0.2%
	1,720,000	Berlin Packaging LLC, 1st Lien Term Loan, 4.750%, 4/02/2019(b)		1,720,000
	1,080,000	Pact Group Pty Ltd., Term Loan B, 3.750%, 5/29/2020(b)		1,071,900

				2,791,900

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.5%
$	2,378,933	inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(b)	$	2,331,354
	1,526,612	Quintiles Transnational Corp., New Term Loan B, 4.500%, 6/08/2018(b)		1,523,559
	2,040,000	Valeant Pharmaceuticals International, Inc., Term Loan E, 8/05/2020(g)		2,032,860

				5,887,773

		Pipelines — 0.1%
	1,172,893	NGPL PipeCo LLC, Term Loan B, 6.750%, 9/15/2017(b)		1,162,630

		Property & Casualty Insurance — 0.2%
	1,164,150	AmWINS Group, Inc., New Term Loan, 5.000%, 9/06/2019(b)		1,166,094
	330,000	Applied Systems, Inc., 2nd Lien Term Loan, 8.250%, 6/08/2017(b)		331,033
	1,115,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 10/16/2020(g)		1,115,000

				2,612,127

		Restaurants — 0.1%
	690,000	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		696,900
	538,000	Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.500%, 5/14/2020(b)		535,310

				1,232,210

		Retailers — 0.3%
	2,940,000	JC Penney Corp., Inc., 1st Lien Term Loan, 6.000%, 5/21/2018(b)		2,942,087

		Supermarkets — 0.5%
	635,000	Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(b)		637,908
	2,155,000	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.500%, 4/23/2020(b)		2,149,613
	3,348,769	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		3,323,185

				6,110,706

		Technology — 1.1%
	3,104,400	Alcatel-Lucent USA, Inc., EUR Term Loan D, 7.500%, 1/30/2019, (EUR)(b)		4,044,194
	980,000	Alcatel-Lucent USA, Inc., USD Term Loan C, 1/30/2019(g)		987,762
	2,113,753	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		2,130,494
	1,872,800	Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(b)		1,888,026
	471,630	Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(b)		469,470
	1,008,930	NXP B.V., Term Loan C, 4.750%, 1/11/2020(b)		1,021,229
	850,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b)		845,045
	453,720	SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(b)		454,573
	952,613	SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/08/2020(b)		950,945
	324,188	Verint Systems, Inc., New Term Loan B, 4.000%, 9/06/2019(b)		323,918

				13,115,656

		Transportation Services — 0.0%
	515,410	FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(b)		499,948

		Utility Other — 0.1%
	461,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		455,238
	380,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b)		376,200

				831,438

		Wireless — 0.4%
	1,722,345	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(b)		1,704,691
	935,000	Asurion LLC, New Term Loan B2, 7/08/2020(g)		901,499

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wireless — continued
$	1,600,000	Securus Technologies Holdings, Inc., Term Loan, 4.750%, 4/17/2020(b)	$	1,585,008

				4,191,198

		Wirelines — 0.6%
	2,892,750	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		2,827,663
	478,800	Integra Telecom, Inc., 1st Lien Term Loan, 5.250%, 2/22/2019(b)		478,561
	1,440,000	Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(b)		1,438,646
	1,701,000	Light Tower Fiber LLC, 1st Lien Term Loan, 4.500%, 4/13/2020(b)		1,687,188
	816,812	Zayo Group LLC, Term Loan B, 4.500%, 7/02/2019(b)		815,448

				7,247,506

		Total Senior Loans (Identified Cost $159,721,544)		159,111,978


Shares
	Preferred Stocks — 4.4%
	Convertible Preferred Stocks — 2.4%
		Automotive — 0.3%
	72,200	General Motors Co., Series B, 4.750%(c)		3,477,152

		Banking — 0.3%
	1,388	Bank of America Corp., Series L, 7.250%		1,541,374
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%(c)		2,674,560

				4,215,934

		Independent Energy — 0.4%
	1,500	Chesapeake Energy Corp., Series A, 5.750%, 144A		1,538,437
	8,606	SandRidge Energy, Inc., 7.000%		737,427
	20,904	SandRidge Energy, Inc., 8.500%		2,001,558

				4,277,422

		Metals & Mining — 0.6%
	124,850	ArcelorMittal, 6.000%		2,343,434
	282,067	Cliffs Natural Resources, Inc., 7.000%		5,003,869

				7,347,303

		Non-Captive Diversified — 0.3%
	56,286	iStar Financial, Inc., Series J, 4.500%		3,039,444

		REITs – Diversified — 0.5%
	114,300	Weyerhaeuser Co., Series A, 6.375%		5,830,443

		REITs – Healthcare — 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		496,720

		Total Convertible Preferred Stocks (Identified Cost $28,615,104)		28,684,418


	Non-Convertible Preferred Stocks — 2.0%
		Banking — 1.7%
	11,591	Ally Financial, Inc., Series G, 7.000%, 144A		11,016,884
	148,056	Capital One Financial Corp., Series B, 6.000%(c)		3,648,100

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Banking — continued
	247,273	SunTrust Banks, Inc., 5.875%(c)	$	5,875,206

				20,540,190

		Non-Captive Diversified — 0.3%
	102,000	Montpelier Re Holdings Ltd., 8.875%(c)		2,772,360

		Total Non-Convertible Preferred Stocks (Identified Cost $23,431,245)		23,312,550

		Total Preferred Stocks (Identified Cost $52,046,349)		51,996,968


	Common Stocks — 3.4%
		Chemicals — 0.4%
	65,453	Dow Chemical Co. (The)		2,105,623
	24,216	Rockwood Holdings, Inc.		1,550,550
	54,452	Tronox Ltd., Class A		1,097,208

				4,753,381

		Commercial Banks — 0.1%
	18,731	HSBC Holdings PLC, Sponsored ADR		972,139

		Diversified Financial Services — 0.2%
	39,821	JPMorgan Chase & Co.		2,102,151

		Diversified Telecommunication Services — 0.6%
	58,003	AT&T, Inc.		2,053,306
	87,030	Deutsche Telekom AG, Sponsored ADR		1,014,770
	35,730	Orange S.A., Sponsored ADR		337,648
	83,776	Telefonica S.A., Sponsored ADR(f)		1,073,171
	43,618	Verizon Communications, Inc.		2,195,730

				6,674,625

		Food & Staples Retailing — 0.1%
	13,873	Wal-Mart Stores, Inc.		1,033,400

		Industrial Conglomerates — 0.0%
	5,425	Siemens AG, Sponsored ADR		549,607

		Machinery — 0.1%
	76,802	Komatsu Ltd., Sponsored ADR		1,781,038

		Metals & Mining — 0.1%
	14,780	Barrick Gold Corp.		232,637
	13,184	Goldcorp, Inc.		326,041
	10,918	Newmont Mining Corp.		326,994

				885,672

		Office Electronics — 0.0%
	12,269	Canon, Inc., Sponsored ADR		403,282

		Oil, Gas & Consumable Fuels — 0.6%
	16,420	Chevron Corp.		1,943,143
	17,200	ExxonMobil Corp.		1,554,020
	21,700	Royal Dutch Shell PLC, ADR		1,384,460

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	39,804	Statoil ASA, Sponsored ADR	$	823,545
	40,268	Total S.A., Sponsored ADR		1,961,051

				7,666,219

		Pharmaceuticals — 0.3%
	24,755	Bristol-Myers Squibb Co.		1,106,301
	10,500	GlaxoSmithKline PLC, Sponsored ADR		524,685
	48,626	Pfizer, Inc.		1,362,014

				2,993,000

		Semiconductors & Semiconductor Equipment — 0.3%
	19,771	KLA-Tencor Corp.		1,101,838
	65,920	Texas Instruments, Inc.		2,298,630

				3,400,468

		Software — 0.0%
	16,290	Microsoft Corp.		562,494

		Textiles, Apparel & Luxury Goods — 0.1%
	10,168	NIKE, Inc., Class B		647,498

		Tobacco — 0.2%
	29,055	Altria Group, Inc.		1,016,634
	9,290	British American Tobacco PLC, Sponsored ADR		956,313
	5,330	Philip Morris International, Inc.		461,685

				2,434,632

		Trading Companies & Distributors — 0.1%
	26,589	Mitsubishi Corp., Sponsored ADR		916,257
	3,235	Mitsui & Co. Ltd., Sponsored ADR		816,611

				1,732,868

		Wireless Telecommunication Services — 0.2%
	75,054	Vodafone Group PLC, Sponsored ADR		2,157,052

		Total Common Stocks (Identified Cost $40,938,417)		40,749,526


Notional Amount
	Purchased Swaptions — 0.5%
		Interest Rate Swaptions — 0.5%
$	63,000,000	2-year Interest Rate Swap Put, expiring 6/23/2014, Pay 3-month LIBOR, Receive 1.12%(i)		407,799
	83,500,000	5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 3-month LIBOR, Receive 1.171%(i)		62,207
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(i)		5,500,351

		Total Purchased Swaptions (Identified Cost $6,757,383)		5,970,357

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
	Purchased Options — 0.1%
		Options on Securities – 0.1%
	2,174,800	Financial Select Sector SPDR^® Fund, Put expiring August 17, 2013 at 18	$	391,464
	98,000	iShares Russell 2000 Value Index Fund ETF, Put expiring August 17, 2013 at 94		187,180
	232,800	SPDR^® S&P 500^® ETF Trust, Put expiring August 17, 2013 at 157		598,296

		Total Purchased Options (Identified Cost $1,380,226)		1,176,940


Principal Amount (‡)
	Short-Term Investments — 12.1%
$	532,179	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $532,179 on 7/01/2013 collateralized by $595,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $560,481 including accrued interest (Note 2 of Notes to Financial Statements)		532,179
	137,748,368	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $137,748,368 on 7/01/2013 collateralized by $80,000,000 Federal Home Loan Mortgage Corp., 2.500% due 10/17/2019 valued at $80,400,000; $41,190,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $39,748,350; $19,545,000 Federal Home Loan Mortgage Corp., 1.250% due 8/01/2019 valued at $18,738,769; $1,260,000 U.S. Treasury Bond, 5.250% due 2/15/2029 valued at $1,623,322 including accrued interest (Note 2 of Notes to Financial Statements)		137,748,368
	7,000,000	U.S. Treasury Bills, 0.047% - 0.110%, 9/19/2013(j)(k)		6,999,454

		Total Short-Term Investments (Identified Cost $145,279,118)		145,280,001


		Total Investments — 101.1% (Identified Cost $1,236,783,925)(a)		1,209,050,082
		Other assets less liabilities — (1.1)%		(13,062,912	)

		Net Assets — 100.0%	$	1,195,987,170


Notional Amount
	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)	$	(3,758	)
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(i)		(3,650,718	)

		Total Written Swaptions (Premiums Received $3,965,333)	$	(3,654,476	)

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information (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 June 30, 2013, the net unrealized depreciation on investments based on a cost of $1,238,793,225 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	$	20,585,496
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(50,328,639	)

	Net unrealized depreciation	$	(29,743,143	)


(b)	Variable rate security. Rate as of June 30, 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 or interest rate swaptions.
(d)	All or a portion of interest payment is paid-in-kind.
(e)	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.
(f)	Non-income producing security.
(g)	Position is unsettled. Contract rate was not determined at June 30, 2013 and does not take effect until settlement date.
(h)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2013.
(i)	Counterparty is Citibank, N.A.
(j)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts and swap agreements, and as initial margin for open futures contracts.
(k)	Interest rate represents discount rate at time of purchase; not a coupon rate.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $369,506,005 or 30.9% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
ETF	Exchange Traded Fund
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
SPDR	Standard & Poor’s Depositary Receipt

BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)



	CLP			Chilean Peso
	EUR			Euro
	GBP			British Pound
	MXN			Mexican Peso
	NZD			New Zealand Dollar
	UYU			Uruguayan Peso

At June 30, 2013, the Fund had the following open bilateral credit default swap agreements:


Buy Protection
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)
Bank of America, N.A.	Bank of Scotland PLC	(1.00%)		6/20/2017		4,475,000	*	$	176,663		$	(71,855	)	$	(248,518	)	$	(1,780	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		5,075,000			(35,989	)		(51,837	)		(15,848	)		(1,551	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		1,000,000			(8,652	)		(10,214	)		(1,562	)		(306	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		3,000,000			(15,194	)		(30,642	)		(15,448	)		(917	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		1,500,000			(8,259	)		(15,322	)		(7,063	)		(458	)
Bank of America, N.A.	CDX.NA.IG Series 20, 5-Year	(1.00%)		6/20/2018		3,100,000			(14,772	)		(19,044	)		(4,272	)		(947	)
Bank of America, N.A.	CDX.NA.IG Series 20, 5-Year	(1.00%)		6/20/2018		7,000,000			(90,529	)		(43,003	)		47,526			(2,139	)
Bank of America, N.A.	Dell, Inc.	(1.00%)		3/20/2018		4,000,000			398,829			430,631			31,802			(1,222	)
Bank of America, N.A.	Dell, Inc.	(1.00%)		3/20/2018		2,500,000			244,684			269,144			24,460			(764	)
Bank of America, N.A.	Electricite de France	(1.00%)		12/20/2017		3,700,000	*		10,727			(47,944	)		(58,671	)		(1,472	)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year	(5.00%)		12/20/2017		3,875,000	*		88,088			(170,065	)		(258,153	)		(7,706	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		550,000	*		(60,674	)		(79,273	)		(18,599	)		(1,094	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		500,000	*		(54,511	)		(72,067	)		(17,556	)		(994	)

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Buy Protection – continued
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value (‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		450,000	*	$	(52,314	)	$	(64,859	)	$	(12,545	)	$	(895	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		1,500,000	*		(154,594	)		(216,199	)		(61,605	)		(2,983	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		1,180,000	*		(167,045	)		(170,077	)		(3,032	)		(2,347	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00%)		12/20/2017		5,000,000	*		(760,250	)		(720,663	)		39,587			(9,943	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 19, 5-Year	(5.00%)		6/20/2018		6,500,000	*		(942,170	)		(950,413	)		(8,243	)		(12,926	)
Bank of America, N.A.	Textron Financial Corp.	(1.00%)		3/20/2017		975,000			(22,282	)		(26,131	)		(3,849	)		(298	)
Bank of America, N.A.	Textron Financial Corp.	(1.00%)		6/20/2017		1,250,000			(29,341	)		(34,522	)		(5,181	)		(382	)
Bank of America, N.A.	Westvaco Corp.	(1.00%)		9/20/2017		4,900,000			53,070			(12,286	)		(65,356	)		(1,497	)
Citibank, N.A.	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		5,000,000			(267,745	)		(151,348	)		116,397			(7,639	)
Citibank, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		3,400,000			(15,597	)		(34,728	)		(19,131	)		(1,039	)
Citibank, N.A.	CDX.NA.IG Series 19, 5-Year	(1.00%)		12/20/2017		3,000,000			(14,888	)		(30,643	)		(15,755	)		(917	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		7,000,000			(208,634	)		(211,886	)		(3,252	)		(10,694	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		14,150,000			(422,628	)		(428,313	)		(5,685	)		(24,840	)
Credit Suisse International	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		4,500,000			(223,660	)		(136,213	)		87,447			(6,875	)

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Buy Protection – continued
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value (‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Credit Suisse International	CDX.NA.IG Series 19, 5-Year		(1.00%)			12/20/2017		9,000,000		$	(79,085	)	$	(91,928	)	$	(12,843	)	$	(2,750	)
Credit Suisse International	CDX.NA.IG Series 19, 5-Year		(1.00%)			12/20/2017		3,000,000			(11,626	)		(30,643	)		(19,017	)		(917	)
Credit Suisse International	CDX.NA.IG Series 20, 5-Year		(1.00%)			6/20/2018		3,300,000			(14,143	)		(20,273	)		(6,130	)		(1,008	)
Credit Suisse International	Freescale Semiconductor, Inc.		(5.00%)			3/20/2018		4,275,000			202,629			30,938			(171,691	)		(6,531	)
Credit Suisse International	Freescale Semiconductor, Inc.		(5.00%)			3/20/2018		3,125,000			151,978			22,616			(129,362	)		(4,774	)
Credit Suisse International	General Mills, Inc.		(1.00%)			6/20/2018		9,100,000			(233,846	)		(267,413	)		(33,567	)		(2,781	)
Credit Suisse International	HJ Heinz Co.		(1.00%)			3/20/2018		7,650,000			234,648			170,219			(64,429	)		(2,338	)
Credit Suisse International	iTraxx Europe Sub Financial Series 18, 5-Year		(5.00%)			12/20/2017		4,400,000	*		(408,518	)		(634,183	)		(225,665	)		(8,750	)
Deutsche Bank AG	Aramark Corp.		(5.00%)			3/20/2018		2,100,000			(193,573	)		(218,909	)		(25,336	)		(3,208	)
Deutsche Bank AG	Aramark Corp.		(5.00%)			3/20/2018		2,100,000			(196,561	)		(218,910	)		(22,349	)		(3,208	)
Deutsche Bank AG	Aramark Corp.		(5.00%)			3/20/2018		3,800,000			(364,398	)		(396,121	)		(31,723	)		(5,806	)
Deutsche Bank AG	Boston Scientific Corp.		(1.00%)			9/20/2017		4,900,000			63,003			(74,118	)		(137,121	)		(1,497	)
Deutsche Bank AG	CDX.NA.HY Series 20, 5-Year		(5.00%)			6/20/2018		15,000,000			(926,373	)		(454,043	)		472,330			(22,917	)
Deutsche Bank AG	Dell, Inc.		(1.00%)			3/20/2018		6,000,000			782,880			645,947			(136,933	)		(1,833	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.		(1.00%)			3/20/2017		2,000,000			(43,434	)		(53,600	)		(10,166	)		(611	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.		(1.00	%)		3/20/2017		1,300,000			(28,301	)		(34,841	)		(6,540	)		(397	)

Total													$	(4,725,034	)	$	(1,062,647	)	$	(173,951	)

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Sell Protection
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)
Citibank, N.A.	JC Penney Corp., Inc.	5.00%		6/20/2015		5.14	%	$	4,875,000	$	(169,992	)	$	(12,851	)	$	157,141		$	7,448
Credit Suisse International	Boyd Gaming Corp.	5.00%		3/20/2018		5.09	%		3,050,000		(375,368	)		(139,197	)		236,171			4,660
Credit Suisse International	Boyd Gaming Corp.	5.00%		3/20/2018		5.09	%		3,750,000		(464,619	)		(171,144	)		293,475			5,729
Credit Suisse International	Clear Channel Communications	5.00%		3/20/2015		6.63	%		4,300,000		(225,596	)		(229,603	)		(4,007	)		6,570
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.	5.00%		6/20/2015		16.73	%		5,300,000		(496,185	)		(811,756	)		(315,571	)		8,097
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.	5.00%		6/20/2018		15.76	%		5,300,000		(527,172	)		(757,191	)		(230,019	)		8,097

Total													$	(2,121,742	)	$	137,190		$	40,601

At June 30, 2013, the Fund had the following open centrally cleared credit default swap agreements:


Buy Protection
	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value (‡)		Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018	$	25,000,000	$	(687,500	)	$	39,267		$	(10,417	)
	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		8,250,000		(226,875	)		(2,473	)		(3,437	)
	CDX.NA.HY Series 20, 5-Year	(5.00%)		6/20/2018		8,250,000		(224,317	)		23,040			(3,437	)

							$	(1,138,692	)	$	59,834		$	(17,291	)

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

*	Notional value denominated in euros.

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 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		7/24/2013	Brazilian Real		23,000,000	$	10,256,447	$	(80,632	)
Sell¹		7/24/2013	Brazilian Real		48,400,000		21,583,132		(216,212	)
Sell²		7/24/2013	British Pound		3,775,000		5,740,727		96,397
Sell¹		9/04/2013	British Pound		1,495,000		2,272,863		644
Buy¹		7/03/2013	Chilean Peso		4,200,000,000		8,265,439		(56,337	)
Sell¹		7/03/2013	Chilean Peso		4,200,000,000		8,265,439		164,911
Buy¹		7/03/2013	Euro		620,000		807,026		(4,612	)
Sell¹		7/03/2013	Euro		620,000		807,026		2,144
Sell¹		7/05/2013	Euro		3,155,000		4,106,753		(11,563	)
Sell¹		7/08/2013	Euro		3,150,000		4,100,293		19,907
Sell¹		7/09/2013	Euro		4,540,000		5,909,653		31,585
Sell¹		7/09/2013	Euro		4,960,000		6,456,360		(6,571	)
Sell¹		7/10/2013	Euro		4,265,000		5,551,711		29,980
Sell²		7/11/2013	Euro		6,895,000		8,975,193		157,103
Sell¹		7/11/2013	Euro		5,460,000		7,107,260		125,602
Sell¹		7/12/2013	Euro		6,270,000		8,161,666		118,120
Sell³		7/15/2013	Euro		4,170,000		5,428,158		134,622
Sell¹		7/15/2013	Euro		3,530,000		4,595,059		78,025
Sell²		7/25/2013	Euro		5,270,000		6,860,318		45,263
Sell³		7/26/2013	Euro		3,220,000		4,191,710		22
Sell³		7/26/2013	Euro		4,880,000		6,352,654		(7,678	)
Sell¹		7/31/2013	Euro		8,930,000		11,625,066		(10,547	)
Sell¹		7/16/2013	Japanese Yen		2,218,000,000		22,364,541		877,178
Buy¹		7/19/2013	Peruvian Nuevo Sol		2,050,000		735,691		(11,258	)
Sell¹		7/19/2013	Peruvian Nuevo Sol		2,050,000		735,691		(4,332	)
Sell¹		9/13/2013	Swiss Franc		990,000		1,048,799		20,562

Total								$	1,492,323

¹Counterparty is Credit Suisse International.

²Counterparty is Citibank, N.A.

³Counterparty is Deutsche Bank AG.

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Nikkei 225™		9/12/2013		40	$	5,517,241	$	330,510

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2013, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		9/20/2013		375	$	29,986,875	$	357,534
Euro STOXX 50^®		9/20/2013		144		4,869,627		97,155
10 Year U.S. Treasury Note		9/19/2013		651		82,392,187		1,890,777
30 Year U.S. Treasury Bond		9/19/2013		32		4,347,000		152,941

Total							$	2,498,407

Industry Summary at June 30, 2013 (Unaudited)


Banking	8.3	%
Metals & Mining	7.9
ABS Home Equity	6.2
Treasuries	5.8
Technology	4.2
Automotive	3.8
Wirelines	3.7
Commercial Mortgage-Backed Securities	3.0
Food & Beverage	2.8
Independent Energy	2.8
Government Owned—No Guarantee	2.7
Pharmaceuticals	2.6
Airlines	2.4
Life Insurance	2.1
Media Non-Cable	2.0
Other Investments, less than 2% each	28.7
Short-Term Investments	12.1

Total Investments	101.1
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	(1.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

45 |

This Page Intentionally Left Blank

| 46

Statements of Assets and Liabilities

June 30, 2013 (Unaudited)


	Loomis Sayles Multi-Asset Real Return Fund (Consolidated*)			Loomis Sayles Strategic Alpha Fund
ASSETS
Investments at cost	$	19,099,285		$	1,098,503,378
Repurchase agreement(s) at cost		8,485,973			138,280,547
Net unrealized depreciation		(308,145	)		(27,733,843	)

Investments at value		27,277,113			1,209,050,082
Cash		256,755			36,338
Due from brokers (Note 2)		149,336			9,156,406
Foreign currency at value (identified cost $243,106 and $4,462,537)		241,395			4,465,323
Receivable for Fund shares sold		150			9,012,117
Receivable from investment adviser (Note 6)		2,622			—
Receivable for securities sold		187,438			4,977,300
Collateral received for open forward foreign currency contracts, swaptions or swap agreements (Notes 2 and 4)		—			2,897,200
Dividends and interest receivable		85,588			10,824,322
Unrealized appreciation on bilateral swap agreements (Note 2)		—			1,506,336
Unrealized appreciation on forward foreign currency contracts (Note 2)		189,414			1,902,065
Tax reclaims receivable		4,154			37,986
Receivable for variation margin on futures contracts (Note 2)		—			582,583
Receivable for closed swap agreements		27,397			—
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		36,365			2,407,199
Fees receivable on swap agreements (Note 2)		585			40,601

TOTAL ASSETS		28,458,312			1,256,895,858

LIABILITIES
Options/swaptions written, at value (premiums received $179,255 and $3,965,333) (Note 2)		145,843			3,654,476
Payable for securities purchased		294,211			39,507,470
Unrealized depreciation on bilateral swap agreements (Note 2)		50,682			2,431,793
Payable for Fund shares redeemed		—			2,085,011
Unrealized depreciation on unfunded loan commitments (Note 11)		—			417
Unrealized depreciation on forward foreign currency contracts (Note 2)		244,207			409,742
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		10,700			8,328,518
Due to brokers (Note 2)		—			2,897,200
Payable for variation margin on futures contracts (Note 2)		13,925			—
Payable for variation margin on centrally cleared swap agreements (Note 2)		6,875			295,635
Payable for closed swap agreements		20,941			297,172
Fees payable on swap agreements (Note 2)		812			191,242
Management fees payable (Note 6)		—			673,050
Deferred Trustees’ fees (Note 6)		22,764			25,870
Administrative fees payable (Note 6)		12,039			42,458
Payable to distributor (Note 6d)		29			5,155
Other accounts payable and accrued expenses		48,903			63,479

TOTAL LIABILITIES		871,931			60,908,688

NET ASSETS	$	27,586,381		$	1,195,987,170

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

47 |

Statements of Assets and Liabilities (continued)

June 30, 2013 (Unaudited)


	Loomis Sayles Multi-Asset Real Return Fund (Consolidated*)			Loomis Sayles Strategic Alpha Fund
NET ASSETS CONSIST OF:
Paid-in capital	$	31,842,412		$	1,233,603,880
Undistributed net investment income		188,120			3,703,700
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(4,032,628	)		(17,082,047	)
Net unrealized depreciation on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		(411,523	)		(24,238,363	)

NET ASSETS	$	27,586,381		$	1,195,987,170

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,508,944		$	200,190,808

Shares of beneficial interest		155,493			19,970,121

Net asset value and redemption price per share	$	9.70		$	10.02

Offering price per share (100/95.50 of net asset value) (Note 1)	$	10.16		$	10.49

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	100,764		$	103,127,300

Shares of beneficial interest		10,459			10,325,183

Net asset value and offering price per share	$	9.63		$	9.99

Class Y shares:
Net assets	$	25,976,673		$	892,669,062

Shares of beneficial interest		2,679,024			89,111,632

Net asset value, offering and redemption price per share	$	9.70		$	10.02

See accompanying notes to financial statements.

| 48

Statements of Operations

For the Six Months Ended June 30, 2013 (Unaudited)


	Loomis Sayles Multi-Asset Real Return Fund (Consolidated*)			Loomis Sayles Strategic Alpha Fund
INVESTMENT INCOME
Interest	$	398,769		$	20,830,313
Dividends		26,241			1,627,465
Less net foreign taxes withheld		—			(31,807	)

		425,010			22,425,971

Expenses
Management fees (Note 6)		101,569			3,246,168
Service and distribution fees (Note 6)		2,316			610,986
Administrative fees (Note 6)		23,572			204,617
Trustees’ and directors’ fees and expenses (Note 6)		18,595			14,753
Transfer agent fees and expenses (Note 6)		1,885			188,339
Audit and tax services fees		41,888			27,082
Custodian fees and expenses		35,397			110,344
Legal fees		312			5,698
Registration fees		15,203			43,634
Shareholder reporting expenses		737			19,590
Miscellaneous expenses		6,457			15,654

Total expenses		247,931			4,486,865
Less waiver and/or expense reimbursement (Note 6)		(96,425	)		—

Net expenses		151,506			4,486,865

Net investment income		273,504			17,939,106

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		814,516			4,305,503
Futures contracts		41,700			(785,678	)
Options/swaptions written		(95,021	)		(1,462,857	)
Swap agreements		(194,963	)		(1,825,184	)
Foreign currency transactions		114,674			3,318,235
Net change in unrealized appreciation (depreciation) on:
Investments		(1,184,321	)		(45,569,125	)
Futures contracts		(56,393	)		2,957,196
Options/swaptions written		42,573			51,097
Swap agreements		37,171			(10,281	)
Foreign currency translations		(100,569	)		1,563,335

Net realized and unrealized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(580,633	)		(37,457,759	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(307,129	)	$	(19,518,653	)

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

49 |

Statements of Changes in Net Assets


	Loomis Sayles Multi-Asset Real Return Fund (Consolidated*)						Loomis Sayles Strategic Alpha Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012			Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	273,504		$	792,921		$	17,939,106		$	20,369,587
Net realized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		680,906			309,963			3,550,019			(14,539,671	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		(1,261,539	)		989,685			(41,007,778	)		54,591,068

Net increase (decrease) in net assets resulting from operations		(307,129	)		2,092,569			(19,518,653	)		60,420,984

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(34,020	)		(1,808,264	)		(2,250,451	)
Class C		—			(1,022	)		(736,293	)		(1,446,714	)
Class Y		—			(659,232	)		(9,180,150	)		(12,641,328	)

Total distributions		—			(694,274	)		(11,724,707	)		(16,338,493	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,117,060			(5,141,727	)		581,130,884			120,621,883

Net increase (decrease) in net assets		809,931			(3,743,432	)		549,887,524			164,704,374
NET ASSETS
Beginning of the period		26,776,450			30,519,882			646,099,646			481,395,272

End of the period	$	27,586,381		$	26,776,450		$	1,195,987,170		$	646,099,646

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	188,120		$	(85,384	)	$	3,703,700		$	(2,510,699	)

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

| 50

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)(b)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
*LOOMIS SAYLES MULTI-ASSET REAL RETURN FUND (CONSOLIDATED)**
Class A
6/30/2013(g)	$	9.81	$	0.09	$	(0.20	)	$	(0.11	)	$	—		$	—		$	—
12/31/2012		9.34		0.25		0.45			0.70			(0.23	)		—			(0.23	)
12/31/2011		10.13		0.20		(0.78	)		(0.58	)		(0.18	)		(0.03	)		(0.21	)
12/31/2010(h)		10.00		0.07		0.14			0.21			(0.08	)		—			(0.08	)
Class C
6/30/2013(g)		9.78		0.05		(0.20	)		(0.15	)		—			—			—
12/31/2012		9.31		0.17		0.46			0.63			(0.16	)		—			(0.16	)
12/31/2011		10.11		0.13		(0.78	)		(0.65	)		(0.12	)		(0.03	)		(0.15	)
12/31/2010(h)		10.00		0.05		0.14			0.19			(0.08	)		—			(0.08	)
Class Y
6/30/2013(g)		9.79		0.10		(0.19	)		(0.09	)		—			—			—
12/31/2012		9.33		0.27		0.45			0.72			(0.26	)		—			(0.26	)
12/31/2011		10.13		0.23		(0.78	)		(0.55	)		(0.22	)		(0.03	)		(0.25	)
12/31/2010(h)		10.00		0.06		0.15			0.21			(0.08	)		—			(0.08	)
LOOMIS SAYLES STRATEGIC ALPHA FUND
Class A
6/30/2013(g)	$	10.20	$	0.19	$	(0.26	)	$	(0.07	)	$	(0.11	)	$	—		$	(0.11	)
12/31/2012		9.34		0.37		0.77			1.14			(0.28	)		—			(0.28	)
12/31/2011		10.06		0.34		(0.75	)		(0.41	)		(0.31	)		(0.00	)		(0.31	)
12/31/2010(j)		10.00		0.00		0.06			0.06			(0.00	)		—			(0.00	)
Class C
6/30/2013(g)		10.16		0.15		(0.25	)		(0.10	)		(0.07	)		—			(0.07	)
12/31/2012		9.31		0.30		0.76			1.06			(0.21	)		—			(0.21	)
12/31/2011		10.05		0.28		(0.77	)		(0.49	)		(0.25	)		(0.00	)		(0.25	)
12/31/2010(j)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
Class Y
6/30/2013(g)		10.19		0.21		(0.26	)		(0.05	)		(0.12	)		—			(0.12	)
12/31/2012		9.33		0.41		0.76			1.17			(0.31	)		—			(0.31	)
12/31/2011		10.05		0.37		(0.75	)		(0.38	)		(0.34	)		(0.00	)		(0.34	)
12/31/2010(j)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)

*	See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

See accompanying notes to financial statements.

51 |


									Ratios to Average Net Assets:
Net asset value, end of the period			Total return (%) (c)(d)			Net assets, end of the period (000’s)			Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (%) (f)		Portfolio turnover rate (%)


	$	9.70		(1.02	)		$	1,509		1.35			2.06			1.79		280
		9.81		7.52				1,461		1.35			2.07			2.56		570
		9.34		(5.76	)			1,871		1.35			2.04			2.02		732
		10.13		2.10				1,139		1.35			2.91			2.82		139

		9.63		(1.43	)			101		2.10			2.80			1.03		280
		9.78		6.73				65		2.10			2.81			1.78		570
		9.31		(6.44	)			99		2.10			2.65			1.30		732
		10.11		1.88				12		2.10			3.90			1.86		139

		9.70		(0.92	)			25,977		1.10			1.81			2.04		280
		9.79		7.76				25,250		1.10			1.83			2.79		570
		9.33		(5.52	)			28,550		1.10			1.72			2.29		732
		10.13		2.12				27,528		1.10			2.98			2.25		139


	$	10.02		(0.54	)		$	200,191		1.09			1.09			3.77		47
		10.20		12.24				80,704		1.12			1.12			3.77		116
		9.34		(3.90	)			130,662		1.15	(i)		1.15	(i)		3.50		141
		10.06		0.41				2,465		1.30			6.98			0.86		39

		9.99		(0.96	)			103,127		1.83			1.83			3.00		47
		10.16		11.44				67,748		1.87			1.87			3.05		116
		9.31		(4.69	)			77,398		1.89	(i)		1.89	(i)		2.82		141
		10.05		0.31				563		2.05			8.68			0.24		39

		10.02		(0.45	)			892,669		0.84			0.84			4.00		47
		10.19		12.57				497,648		0.87			0.87			4.09		116
		9.33		(3.78	)			273,335		0.90	(i)		0.90	(i)		3.81		141
		10.05		0.41				26,758		1.05			5.37			0.06		39

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

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

(g)	For the six months ended June 30, 2013 (Unaudited).

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

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

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

See accompanying notes to financial statements.

| 52

Notes to Financial Statements

June 30, 2013 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund (the “Multi-Asset Real Return Fund”)

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

Multi-Asset Real Return Fund invests in commodity-related instruments through Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”) of Multi-Asset Real Return Fund, organized under the laws of the Cayman Islands. A subscription agreement was entered into between Multi-Asset Real Return Fund and its Subsidiary with the intent that Multi-Asset Real Return Fund will remain the sole shareholder and primary beneficiary of its Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Multi-Asset Real Return Fund’s Board of Trustees.

As of June 30, 2013, the value of Multi-Asset Real Return Fund’s investment in its Subsidiary was as follows:

Investment in

Subsidiary

Percentage of

Net Assets

$3,838,758

13.9%

53 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

a. Consolidation. The accompanying financial statements of Multi-Asset Real Return Fund present the consolidated accounts of the Fund and its Subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

b. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by 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. 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 and centrally cleared credit default swap agreements are valued at their most recent settlement price. Bilateral 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. 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 prices from a broker-dealer. Domestic exchange-traded

| 54

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

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

c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

55 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund 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. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

f. Futures Contracts. The Funds and the 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.

| 56

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

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

g. Option Contracts. The Funds 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 Funds enter 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 a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

57 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

h. Swaptions. The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

i. Swap Agreements. The Funds and the Subsidiary may enter into credit default and total return swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer

| 58

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

A total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return of an underlying asset for, typically, fixed or floating interest payments. When a fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the fund may receive the change in value in addition to the interest payment. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying asset increases and receives payments from the other party if the value of the underlying asset decreases.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

59 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are 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. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by a Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

j. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiary and the various broker/dealers. Due from brokers’ balances in the Statements of Assets and Liabilities for Multi-Asset Real Return Fund and Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, option contracts and bilateral swap agreements and as initial margin for centrally cleared swap agreements. Due to brokers’ balances in the Statements of Assets and Liabilities for Strategic Alpha Fund represent cash and securities received as collateral for forward foreign currency contracts, interest rate swaptions and swap agreements. In certain circumstances the Funds’ or the Subsidiary’s use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

k. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2013 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

| 60

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

The Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, Multi-Asset Real Return Fund will include in its taxable income its share of its Subsidiary’s current earnings and profits (including net realized gains). Any deficit generated by a Subsidiary will be disregarded for purposes of computing the Funds’ taxable income in the current period and also disregarded for all future periods.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

l. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, capital gain distributions from real estate investment trusts, distribution in excess, net operating losses, contingent payment debt instruments, foreign currency transactions, deferred Trustees’ fees, Subsidiary income and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, premium amortization, unrealized gain/loss on open swap agreements, wash sales, futures, forward and option contracts mark to market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

61 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2012 was as follows:


	2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Multi-Asset Real Return Fund	$	694,274	$	—	$	694,274
Strategic Alpha Fund		16,338,493		—		16,338,493

As of December 31, 2012, the capital loss carryforwards and post-October capital loss deferrals were as follows:


	Multi-Asset Real Return Fund			Strategic Alpha Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(3,284,533	)	$	(10,720,475	)
Long-term:
No expiration date		(256,137	)		(8,325,319	)

Total capital loss carryforward	$	(3,540,670	)	$	(19,045,794	)

Post-October capital loss deferrals*	$	(23,103	)	$	(2,564,877	)

*	Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 may be deferred and treated as occurring on the first day of the following taxable year.

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

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

| 62

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

For the six months ended June 30, 2013, neither of the Funds had loaned securities under this agreement.

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

•

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 Funds’ pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable

63 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 summary of the inputs used to value the Funds’ investments as of June 30, 2013, at value:

Multi-Asset Real Return Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	496,837	$	54,450	$	551,287
All Other Non-Convertible Bonds(a)		—		5,868,374		—		5,868,374

Total Non-Convertible Bonds		—		6,365,211		54,450		6,419,661

Convertible Bonds(a)		—		413,703		—		413,703

Total Bonds and Notes		—		6,778,914		54,450		6,833,364

Senior Loans(a)		—		1,267,900		—		1,267,900
Common Stocks(a)		2,454,609		—		—		2,454,609
Purchased Options
Options on Futures Contracts		3,360		—		—		3,360
Options on Securities		1,169		—		—		1,169
Over-the-Counter Options on Currency		—		176,856		—		176,856

Total Purchased Options		4,529		176,856		—		181,385

Purchased Swaptions(a)		—		104,502		—		104,502
Short-Term Investments		—		16,435,353		—		16,435,353

Total Investments		2,459,138		24,763,525		54,450		27,277,113

| 64

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Multi-Asset Real Return Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Forward Foreign Currency Contracts (unrealized appreciation)	$	—	$	189,414	$	—	$	189,414
Futures Contracts (unrealized appreciation)		40,984		—		—		40,984

Total	$	2,500,122	$	24,952,939	$	54,450	$	27,507,511

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(690	)	$	(103,818	)	$	—	$	(104,508	)
Written Swaptions(a)		—			(41,335	)		—		(41,335	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(50,682	)		—		(50,682	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		(6,799	)		—			—		(6,799	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(244,207	)		—		(244,207	)
Futures Contracts (unrealized depreciation)		(65,756	)		—			—		(65,756	)

Total	$	(73,245	)	$	(440,042	)	$	—	$	(513,287	)

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

65 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	1,924,771	$	2,054,574	(b)	$	3,979,345
Airlines		—		5,513,586		21,009,478	(b)		26,523,064
Commercial Mortgage-Backed Securities		—		34,022,373		2,309,631	(b)		36,332,004
All Other Non-Convertible Bonds(a)		—		700,082,849		—			700,082,849

Total Non-Convertible Bonds		—		741,543,579		25,373,683			766,917,262

Convertible Bonds(a)		—		37,847,050		—			37,847,050

Total Bonds and Notes		—		779,390,629		25,373,683			804,764,312

Senior Loans(a)		—		159,111,978		—			159,111,978
Preferred Stocks
Convertible Preferred Stocks(a)		28,684,418		—		—			28,684,418
Non-Convertible Preferred Stocks
Banking		9,523,306		11,016,884		—			20,540,190
All Other Non-Convertible Preferred Stocks(a)		2,772,360		—		—			2,772,360

Total Preferred Stocks		40,980,084		11,016,884		—			51,996,968

Common Stocks(a)		40,749,526		—		—			40,749,526
Purchased Swaptions(a)		—		5,970,357		—			5,970,357
Purchased Options(a)		1,176,940		—		—			1,176,940
Short-Term Investments		—		145,280,001		—			145,280,001

Total Investments		82,906,550		1,100,769,849		25,373,683			1,209,050,082

| 66

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3		Total
Bilateral Credit Default Swap Agreements (unrealized appreciation)	$	—	$	1,506,336	$	—	$	1,506,336
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		62,307		—		—		62,307
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,902,065		—		1,902,065
Futures Contracts (unrealized appreciation)		2,828,917		—		—		2,828,917

Total	$	85,797,774	$	1,104,178,250	$	25,373,683	$	1,215,349,707

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Swaptions(a)	$	—		$	(3,654,476	)	$	—	$	(3,654,476	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(2,431,793	)		—		(2,431,793	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		(2,473	)		—			—		(2,473	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(409,742	)		—		(409,742	)

Total	$	(2,473	)	$	(6,496,011	)	$	—	$	(6,498,484	)

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

(b)	Valued using broker-dealer bid prices.

67 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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 June 30, 2013:

Multi-Asset Real Return Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	—	$	(1,513	)	$	—


Investments in Securities	Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2013			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	55,963	$	—	$	54,450		$	(1,513	)

A debt security valued at $55,963 was transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, this security was valued using broker-dealer bid prices based on 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.

| 68

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	—	$	3,131		$	(28,747	)	$	—
Airlines		—			—		(26,919	)		(163,120	)		10,860,000
Commercial Mortgage-Backed Securities		—			—		(128	)		9,320			2,310,687
Treasuries		6,211,796			—		(187,627	)		(31,634	)		—

Total	$	6,211,796		$	—	$	(211,543	)	$	(214,181	)	$	13,170,687


Investments in Securities		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(453,192	)	$	2,533,382	$	—		$	2,054,574		$	(28,747	)
Airlines		(388,768	)		10,728,285		—			21,009,478			(163,120	)
Commercial Mortgage-Backed Securities		(10,248	)		—		—			2,309,631			9,320
Treasuries		(5,992,535	)		—		—			—			—

Total	$	(6,844,743	)	$	13,261,667	$	—		$	25,373,683		$	(182,547	)

69 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Debt securities valued at $13,261,667 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on 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.

Multi-Asset Real Return Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 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.

Strategic Alpha Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 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 Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2013, the Funds engaged in futures contracts for hedging purposes. Additionally, Multi-Asset Real Return Fund engaged in futures contracts and interest rate swaptions to manage duration and in interest rate swaptions for hedging purposes.

| 70

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. During the six months ended June 30, 2013, the Funds engaged in forward foreign currency and option transactions for hedging purposes.

The Funds are subject to the risk that companies in which the Funds invest will fail financially or otherwise be unwilling or unable to meet their obligations to the Funds. The Funds may use credit default swaps, as a protection buyer, to hedge their credit exposure to issuers of bonds they hold without having to sell the bonds. During the six months ended June 30, 2013, the Funds engaged in credit default swap transactions as a protection buyer to hedge their credit exposure.

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Funds may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Funds may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2013, the Funds engaged in futures and option transactions for hedging purposes.

The following is a summary of derivative instruments for Multi-Asset Real Return Fund as of June 30, 2013, as reflected within the Consolidated Statement of Assets and Liabilities:


Assets	Investments at value¹		Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts²		Swap Agreements at value³		Total
Over-the-counter asset derivatives
Interest rate contracts	$	104,502	$	—	$	—	$	—	$	104,502
Foreign exchange contracts		176,856		189,414		—		—		366,270
Credit contracts		—		—		—		2,068		2,068

Total over-the-counter asset derivatives	$	281,358	$	189,414	$	—	$	2,068	$	472,840

Exchange traded/cleared asset derivatives
Interest rate contracts	$	—	$	—	$	4,779	$	—	$	4,779
Credit contracts		—		—		—		27,500		27,500
Equity contracts		1,169		—		—		—		1,169
Commodity contracts		3,360		—		36,205		—		39,565

Total exchange traded/cleared asset derivatives		4,529		—		40,984		27,500		73,013

Total asset derivatives	$	285,887	$	189,414	$	40,984	$	29,568	$	545,853

71 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Liabilities	Options/swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts²			Swap Agreements at value³			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(41,335	)	$	—		$	—		$	—		$	(41,335	)
Foreign exchange contracts		(103,818	)		(244,207	)		—			—			(348,025	)
Credit contracts		—			—			—			(27,085	)		(27,085	)

Total over-the-counter liability derivatives	$	(145,153	)	$	(244,207	)	$	—		$	(27,085	)	$	(416,445	)

Exchange traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(9,971	)	$	—		$	(9,971	)
Equity contracts		—			—			(6,548	)		—			(6,548	)
Commodity contracts		(690	)		—			(49,237	)		—			(49,927	)

Total exchange traded/cleared liability derivatives	$	(690	)	$	—		$	(65,756	)	$	—		$	(66,446	)

Total liability derivatives	$	(145,843	)	$	(244,207	)	$	(65,756	)	$	(27,085	)	$	(482,891	)

¹	Represents purchased options/swaptions, at value.

²	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Consolidated Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments along with the unamortized upfront premium paid (received) and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Consolidated Statement of Assets and Liabilities.

Transactions in derivative instruments for Multi-Asset Real Return Fund during the six months ended June 30, 2013 as reflected within the Consolidated Statement of Operations were as follows:


Net Realized Gain (Loss) on:	Investments⁴			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions⁵
Interest rate contracts	$	—		$	117,031		$	—		$	—		$	—
Foreign exchange contracts		101,536			—			(83,772	)		—			147,711
Credit contracts		—			—			—			(194,963	)		—
Equity contracts		(219,239	)		(113,982	)		(6,691	)		—			—
Commodity contracts		13,181			38,651			(4,558	)		—			—

Total	$	(104,522	)	$	41,700		$	(95,021	)	$	(194,963	)	$	147,711

| 72

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts			Options/ swaptions written		Swap agreements		Foreign currency translations⁵
Interest rate contracts	$	7,273		$	(24,351	)	$	2,631	$	—	$	—
Foreign exchange contracts		(37,018	)		—			35,514		—		(99,889	)
Credit contracts		—			—			—		37,171		—
Equity contracts		29,392			(16,390	)		—		—		—
Commodity contracts		(6,852	)		(15,652	)		4,428		—		—

Total	$	(7,205	)	$	(56,393	)	$	42,573	$	37,171	$	(99,889	)

⁴	Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Consolidated Statement of Operations.

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2013, as reflected within the Statement of Assets and Liabilities:


Assets	Investments at value¹		Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts²		Swap Agreements at value³		Total
Over-the-counter asset derivatives
Interest rate contracts	$	5,970,357	$	—	$	—	$	—	$	5,970,357
Foreign exchange contracts		—		1,902,065		—		—		1,902,065
Credit contracts		—		—		—		1,569,495		1,569,495

Total over-the-counter asset derivatives	$	5,970,357	$	1,902,065	$	—	$	1,569,495	$	9,441,917

Exchange traded/cleared asset derivatives
Interest rate contracts	$	—	$	—	$	2,043,718	$	—	$	2,043,718
Equity contracts		1,176,940		—		785,199		—		1,962,139

Total exchange traded/cleared asset derivatives	$	1,176,940	$	—	$	2,828,917	$	—	$	4,005,857

Total asset derivatives	$	7,147,297	$	1,902,065	$	2,828,917	$	1,569,495	$	13,447,774

73 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Liabilities	Options/swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts²		Swap Agreements at value³			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(3,654,476	)	$	—		$	—	$	—		$	(3,654,476	)
Foreign exchange contracts		—			(409,742	)		—		—			(409,742	)
Credit contracts		—			—			—		(8,416,271	)		(8,416,271	)

Total over-the-counter liability derivatives	$	(3,654,476	)	$	(409,742	)	$	—	$	(8,416,271	)	$	(12,480,489	)

Exchange traded/cleared liability derivatives
Credit contracts	$	—		$	—		$	—	$	(1,138,692	)	$	(1,138,692	)

Total liability derivatives	$	(3,654,476	)	$	(409,742	)	$	—	$	(9,554,963	)	$	(13,619,181	)

¹	Represents purchased options/swaptions, at value.

²	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received) and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2013 as reflected in the Statement of Operations were as follows:


Net Realized Gain (Loss) on:	Investments⁴			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions⁵
Interest rate contracts	$	2,647,477		$	1,169,793		$	(1,646,559	)	$	—		$	—
Foreign exchange contracts		(204,000	)		—			—			—			3,489,351
Credit contracts		—			—			—			(1,825,184	)		—
Equity contracts		(665,101	)		(1,955,471	)		183,702			—			—

Total	$	1,778,376		$	(785,678	)	$	(1,462,857	)	$	(1,825,184	)	$	3,489,351

| 74

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Investments⁴			Futures contracts		Options/ swaptions written		Swap agreements			Foreign currency translations⁵
Interest rate contracts	$	(548,636	)	$	2,151,867	$	51,097	$	—		$	—
Foreign exchange contracts		—			—		—		—			1,665,507
Credit contracts		—			—		—		(10,281	)		—
Equity contracts		(100,458	)		805,329		—		—			—

Total	$	(649,094	)	$	2,957,196	$	51,097	$	(10,281	)	$	1,665,507

⁴	Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Consolidated Statements of Assets and Liabilities.

75 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)



Multi-Asset Real Return Fund
Counterparty	Gross Amounts of Derivative Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	43,503	$	(21,525	)	$	21,978	$	—	$	21,978
Barclays Bank PLC		—		—			—		—		—
Citibank, N.A.		129,220		(61,503	)		67,717		—		67,717
Credit Suisse International		267,288		(221,732	)		45,556		—		45,556
Deutsche Bank AG		10,099		(10,099	)		—		—		—
Morgan Stanley Capital Services Inc.		1,780		(999	)		781		—		781
UBS AG		20,950		(20,950	)		—		—		—

	$	472,840	$	(336,808	)	$	136,032	$	—	$	136,032


Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(21,525	)	$	21,525	$	—		$	—	$	—
Barclays Bank PLC		(10,460	)		—		(10,460	)		—		(10,460	)
Citibank, N.A.		(61,503	)		61,503		—			—		—
Credit Suisse International		(221,732	)		221,732		—			—		—
Deutsche Bank AG		(64,475	)		10,099		(54,376	)		—		(54,376	)
Morgan Stanley Capital Services Inc.		(999	)		999		—			—		—
UBS AG		(35,751	)		20,950		(14,801	)		—		(14,801	)

	$	(416,445	)	$	336,808	$	(79,637	)	$	—	$	(79,637	)



Strategic Alpha Fund
Counterparty	Gross Amounts of Derivative Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	699,775	$	(699,775	)	$	—	$	—		$	—
Citibank, N.A.		6,269,120		(3,884,046	)		2,385,074		(2,385,074	)		—
Credit Suisse International		1,692,431		(1,692,431	)		—		—			—
Deutsche Bank AG		780,591		(780,591	)		—		—			—
Morgan Stanley Capital Services Inc.		—		—			—		—			—

	$	9,441,917	$	(7,056,843	)	$	2,385,074	$	(2,385,074	)	$	—

| 76

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(2,806,416	)	$	699,775	$	(2,106,641	)	$	2,100,836	$	(5,805	)
Citibank, N.A.		(3,884,046	)		3,884,046		—			—		—
Credit Suisse International		(4,331,807	)		1,692,431		(2,639,376	)		2,639,376		—
Deutsche Bank AG		(1,369,779	)		780,591		(589,188	)		440,000		(149,188	)
Morgan Stanley Capital Services Inc.		(88,441	)		—		(88,441	)		—		(88,441	)

	$	(12,480,489	)	$	7,056,843	$	(5,423,646	)	$	5,180,212	$	(243,434	)

The actual collateral received or pledged may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to a Fund from counterparty default should be limited to the extent a Fund is under collateralized for over-the-counter derivatives; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. Based on balances reflected on each Fund’s Consolidated Statements of Assets and Liabilities, including cash and securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting provisions, are as follows as of June 30, 2013:


Fund	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Multi-Asset Real Return Fund	$	1,105,803	$	768,995
Strategic Alpha Fund		24,529,053		17,472,210

These amounts do not take into account cash and U.S. government and agency securities received as collateral for Strategic Alpha Fund of $2,897,200. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Statement of Assets and Liabilities.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2013:

77 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)


Multi-Asset Real Return Fund	Forwards			Futures			Swaps
Average Notional Amount Outstanding		65.51	%		32.31	%		21.53	%
Highest Notional Amount Outstanding		90.81	%		42.31	%		49.14	%
Lowest Notional Amount Outstanding		54.85	%		18.91	%		14.67	%
Notional Amount Outstanding as of June 30, 2013		85.77	%		18.91	%		14.67	%


Strategic Alpha Fund	Forwards			Futures			Swaps
Average Notional Amount Outstanding		30.04	%		13.32	%		22.12	%
Highest Notional Amount Outstanding		51.30	%		19.63	%		28.58	%
Lowest Notional Amount Outstanding		14.41	%		10.63	%		20.40	%
Notional Amount Outstanding as of June 30, 2013		14.41	%		10.63	%		20.75	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of option contract activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2013:


Multi-Asset Real Return Fund*	Call Options Purchased			Put Options Purchased			Call Options Written			Put Options Written
Average Market Value of Underlying Instruments		18.77	%		21.67	%		9.41	%		10.27	%
Highest Market Value of Underlying Instruments		25.53	%		44.16	%		14.18	%		21.34	%
Lowest Market Value of Underlying Instruments		13.07	%		4.17	%		9.17	%		4.02	%
Market Value of Underlying Instruments as of June 30, 2013		18.49	%		4.17	%		14.18	%		4.02	%


Strategic Alpha Fund*	Put Options Purchased			Put Options Written
Average Market Value of Underlying Instruments		10.68	%		1.92	%
Highest Market Value of Underlying Instruments		19.95	%		7.69	%
Lowest Market Value of Underlying Instruments		5.04	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2013		7.45	%		0.00	%

| 78

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

* Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

The volume of interest rate swaption activity, as a percentage of net assets based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2013:


Multi-Asset Real Return Fund	Interest Rate Call Swaptions Written			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.12	%		0.26	%
Highest Premium Paid/Received		0.17	%		0.37	%
Lowest Premium Paid/Received		0.00	%		0.00	%
Premium Paid/Received as of June 30, 2013		0.16	%		0.35	%


Strategic Alpha Fund	Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written			Interest Rate Put Swaptions Purchased			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.04	%		0.28	%		0.10	%		0.46	%
Highest Premium Paid/Received		0.07	%		0.32	%		0.11	%		0.54	%
Lowest Premium Paid/Received		0.02	%		0.22	%		0.07	%		0.38	%
Premium Paid/Received as of June 30, 2013		0.02	%		0.31	%		0.09	%		0.47	%

The following is a summary of Multi-Asset Real Return Fund’s written option activity (excluding foreign currency options and interest rate swaptions):


	Number of Contracts			Premiums
Outstanding at December 31, 2012		—		$	—
Options written		1,210			26,895
Options terminated in closing purchase transactions		(1,203	)		(19,593	)
Options expired		(4	)		(2,184	)

Outstanding at June 30, 2013		3		$	5,118

79 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

The following is a summary of Multi-Asset Real Return Fund’s foreign currency written option activity:


	Premiums
Outstanding at December 31, 2012	$	11,936
Options written		243,171
Options terminated in closing purchase transactions		(124,936	)

Outstanding at June 30, 2013	$	130,171

The following is a summary of Multi-Asset Real Return Fund’s written interest rate swaption activity:


	Notional Amount		Premiums
Outstanding at December 31, 2012	$	—	$	—
Swaptions written		420,000,000		43,966

Outstanding at June 30, 2013	$	420,000,000	$	43,966

The following is a summary of Strategic Alpha Fund’s written option activity (excluding interest rate swaptions):


	Number of Contracts			Premiums
Outstanding at December 31, 2012		—		$	—
Options written		10,357			538,084
Options terminated in closing purchase transactions		(10,357	)		(538,084	)

Outstanding at June 30, 2013		—		$	—

The following is a summary of Strategic Alpha Fund’s written interest rate swaption activity:


	Notional Amount			Premiums
Outstanding at December 31, 2012	$	640,000,000		$	3,148,500
Swaptions written		250,500,000			6,590,333
Swaptions terminated in closing purchase transactions		(692,500,000	)		(5,773,500	)

Outstanding at June 30, 2013	$	198,000,000		$	3,965,333

| 80

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

5. Purchases and Sales of Securities. For the six months ended June 30, 2013, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:


	U.S. Government/ Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Multi-Asset Real Return Fund	$	2,870,997	$	2,810,218	$	43,288,636	$	51,840,212
Strategic Alpha Fund		—		—		877,932,596		382,800,669

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to the Funds. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets, less the net asset value of the Subsidiary, where applicable:


Fund	Percentage of Average Daily Net Assets
Multi-Asset Real Return Fund		0.75	%
Strategic Alpha Fund		0.70	%

Loomis Sayles also serves as investment adviser to the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., which pays Loomis Sayles a management fee at the annual rate of 0.75% of its average daily net assets.

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of the Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2014 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class Y
Multi-Asset Real Return Fund		1.35	%		2.10	%		1.10	%
Strategic Alpha Fund		1.30	%		2.05	%		1.05	%

81 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

For the six months ended June 30, 2013, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross			Net
Multi-Asset Real Return Fund	$	101,569	$	96,425	$	5,144		0.75	%		0.04	%
Strategic Alpha Fund		3,246,168		—		3,246,168		0.70	%		0.70	%

¹	Management fee waivers are subject to possible recovery until December 31, 2014.

No expenses were recovered for either of the Funds during the six months ended June 30, 2013 under the terms of the expense limitation agreements.

| 82

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Multi-Asset Real Return Fund	$	1,816	$	125	$	375
Strategic Alpha Fund		172,116		109,717		329,153

NGAM Advisors also provides certain administrative services to the Subsidiary for which the Subsidiary pays NGAM Advisors fees equal to an annual rate of 0.05% of the average daily net assets of the Subsidiary. Payments by the Fund are reduced by the amount of payments to NGAM Advisors by the Subsidiary. In addition, NGAM Advisors and the Subsidiary contract with State Street Bank to serve as sub-administrator.

For the six months ended June 30, 2013, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiary):


Fund	Administrative Fees Paid to NGAM Advisors
Multi-Asset Real Return Fund	$	5,977
Strategic Alpha Fund		204,617

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping,

83 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers.

For the six months ended June 30, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Multi-Asset Real Return Fund	$	1,139
Strategic Alpha Fund		176,201

As of June 30, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:


Fund	Reimbursements of Sub-Transfer Agent Fees
Multi-Asset Real Return Fund	$	29
Strategic Alpha Fund		5,155

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2013 were as follows:


Fund	Commissions
Multi-Asset Real Return Fund	$	864
Strategic Alpha Fund		206,089

f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. Each Independent Trustee also

| 84

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

g. Affiliated Ownership. At June 30, 2013, Natixis US held shares of Multi-Asset Real Return Fund representing 74.52% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 19, 2012, the commitment fee was 0.125% per annum.

For the six months ended June 30, 2013, neither Fund had borrowings under these agreements.

85 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

The Funds are non-diversified, which means that they are not limited under the 1940 Act to a percentage of assets that they may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.

Multi-Asset Real Return Fund’s investments in commodity-related instruments may subject the Fund to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2013, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:


	Number of >5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Fund
Multi-Asset Real Return Fund		—		—			74.52	%		74.52	%
Strategic Alpha Fund		1		16.52	%		—			16.52	%

Omnibus shareholder accounts for which NGAM advisors understand that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

| 86

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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


	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Multi-Asset Real Return Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	15,358		$	151,849		59,602		$	575,228
Issued in connection with the reinvestment of distributions	—			—		3,433			33,503
Redeemed	(8,734	)		(86,307	)	(114,389	)		(1,110,527	)

Net change	6,624		$	65,542		(51,354	)	$	(501,796	)

Class C
Issued from the sale of shares	6,000		$	59,242		4,445		$	42,861
Issued in connection with the reinvestment of distributions	—			—		105			1,022
Redeemed	(2,222	)		(21,754	)	(8,539	)		(81,769	)

Net change	3,778		$	37,488		(3,989	)	$	(37,886	)

Class Y
Issued from the sale of shares	310,865		$	3,075,897		1,160,408		$	11,199,368
Issued in connection with the reinvestment of distributions	—			—		67,616			658,584
Redeemed	(209,861	)		(2,061,867	)	(1,709,547	)		(16,459,997	)

Net change	101,004		$	1,014,030		(481,523	)	$	(4,602,045	)

Increase (decrease) from capital share transactions	111,406		$	1,117,060		(536,866	)	$	(5,141,727	)

	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	14,363,070		$	148,918,568		3,368,991		$	33,423,777
Issued in connection with the reinvestment of distributions	155,646			1,580,371		208,555			2,083,348
Redeemed	(2,463,011	)		(25,499,399	)	(9,652,105	)		(94,597,229	)

Net change	12,055,705		$	124,999,540		(6,074,559	)	$	(59,090,104	)

Class C
Issued from the sale of shares	5,444,204		$	56,437,547		1,159,013		$	11,483,158
Issued in connection with the reinvestment of distributions	48,251			487,869		99,708			993,353
Redeemed	(1,832,203	)		(18,585,277	)	(2,906,551	)		(28,567,885	)

Net change	3,660,252		$	38,340,139		(1,647,830	)	$	(16,091,374	)

87 |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

10. Capital Shares. (continued).


	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Strategic Alpha Fund (continued)	Shares			Amount		Shares			Amount
Class Y
Issued from the sale of shares	53,245,655		$	552,424,081		30,864,515		$	307,198,920
Issued in connection with the reinvestment of distributions	552,871			5,609,988		791,524			7,923,627
Redeemed	(13,540,942	)		(140,242,864	)	(12,086,981	)		(119,319,186	)

Net change	40,257,584		$	417,791,205		19,569,058		$	195,803,361

Increase (decrease) from capital share transactions	55,973,541		$	581,130,884		11,846,669		$	120,621,883

11. Unfunded Loan Commitments. The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Statements of Assets and Liabilities. As of June 30, 2013, Strategic Alpha Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:


Borrower	Unfunded Loan Commitment
Power Team Services, LLC	$	55,000

Natixis Funds Trust II


Nominee	Voted “For”*		Withheld*
Charles D. Baker		291,855,929		2,801,135
Edmond J. English		291,834,727		2,822,337
David L. Giunta		291,783,730		2,873,334
Martin T. Meehan		291,791,315		2,865,749

*	Trust-wide voting results.

| 88

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.


(a)	(1)	Not applicable
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

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


		Natixis Funds Trust II

		By:		/s/ David L. Giunta
		Name:		David L. Giunta
		Title:		President and Chief Executive Officer
		Date:		August 20, 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:		August 20, 2013

		By:		/s/ Michael C. Kardok
		Name:		Michael C. Kardok
		Title:		Treasurer
		Date:		August 20, 2013