N-CSRS/A

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

ASG Diversifying Strategies Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

TABLE OF CONTENTS

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.

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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 IndexTM3		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.

3 The Barclay Fund of Funds Index^™ is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. 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.

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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.

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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 IndexTM2		2.97			6.75			0.94          -0.83

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 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.

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

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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.

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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

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 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.

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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.

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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).

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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).

¹  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).

²  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).

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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.

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

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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

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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.

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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.

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· 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.

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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	)

¹ Counterparty 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

¹ Counterparty 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	)

¹ Counterparty 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  |

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|  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.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into

|  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.

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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.

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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

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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

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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.

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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	)

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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.

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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	$	—

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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

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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
							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

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

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.

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

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.

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.

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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.

5  |

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.

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 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 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.

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 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  |

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 Adviser supported the renewal of the Agreements.

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.

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.

|  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.

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 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.

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.

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	)

¹ Counterparty is Credit Suisse International.

² Counterparty is Deutsche Bank AG.

³ Counterparty is UBS AG.

⁴ Counterparty is Bank of America, N.A.

⁵ Counterparty is Citibank, N.A.

⁶ Counterparty 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

⁷ Commodity 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.

^ 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.

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

¹ Counterparty is Credit Suisse International.

² Counterparty is Citibank, N.A.

³ Counterparty 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  |

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|  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)

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:

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)

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 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.

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.

55  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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

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

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

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund 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.

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

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Notes to Financial Statements (continued)

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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.

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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

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Notes to Financial Statements (continued)

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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.

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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.

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Notes to Financial Statements (continued)

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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.

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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

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Notes to Financial Statements (continued)

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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.

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 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

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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

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Notes to Financial Statements (continued)

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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.

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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

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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.

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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.

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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.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements (including credit default swaps).

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.

³  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.

³  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.

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, 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)

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:

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
							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.

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.

|  82

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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
Multi-Asset Real Return Fund	$	1,816	$	125	$	375
Strategic Alpha Fund		172,116		109,717		329,153

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 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.

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.  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

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.

|  88

SEMIANNUAL REPORT

June 30, 2013

CGM Advisor Targeted Equity Fund

Harris Associates Large Cap Value Fund

McDonnell Intermediate Municipal Bond Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

TABLE OF CONTENTS

CGM ADVISOR TARGETED EQUITY FUND

Manager	Symbols
G. Kenneth Heebner, CFA	Class A    NEFGX
Capital Growth Management Limited Partnership	Class B    NEBGX
	Class C    NEGCX
	Class Y    NEGYX

Objective

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

Strategy

Under normal market conditions, the Fund will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in equity investments, including common stocks and preferred stocks. The Fund will generally invest in a focused portfolio of common stocks of large-capitalization companies.

1  |

Average Annual Total Returns — June 30, 2013

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		14.37	%		25.72	%		1.25	%		8.56	%
With 5.75% Maximum Sales Charge		7.84			18.49			0.05			7.91
Class B (Inception 2/28/97)
NAV		13.99			24.78			0.52			7.76
With CDSC1		8.99			19.78			0.14			7.76
Class C (Inception 9/1/98)
NAV		13.97			24.78			0.50			7.75
With CDSC1		12.97			23.78			0.50			7.75
Class Y (Inception 6/30/99)
NAV		14.49			26.02			1.51			8.87
Comparative Performance
S&P 500® Index2		13.82			20.60			7.01			7.30

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.

Notes to Charts

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

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

|  2

HARRIS ASSOCIATES LARGE CAP VALUE FUND

Managers	Symbols
Edward S. Loeb, CFA	Class A    NEFOX
Michael J. Mangan, CFA	Class B    NEGBX
Diane L. Mustain, CFA	Class C    NECOX
Harris Associates L.P.	Class Y    NEOYX

Objective

Seeks opportunities for long-term capital growth and income

Strategy

Under normal market conditions, the Fund will invest substantially all of its assets in common stock of large- and mid-capitalization companies in any industry. The Fund will invest at least 80% of its net assets (plus any borrowing made for investment purposes) in companies that have market capitalizations within the capitalization range of the Russell 1000^® Index.

3  |

Average Annual Total Returns — June 30, 2013³

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		15.60	%		25.17	%		8.72	%		6.05	%
With 5.75% Maximum Sales Charge		8.96			18.00			7.43			5.43
Class B (Inception 9/13/93)
NAV		15.17			24.22			7.91			5.25
With CDSC1		10.17			19.22			7.62			5.25
Class C (Inception 5/1/95)
NAV		15.25			24.27			7.92			5.27
With CDSC1		14.25			23.27			7.92			5.27
Class Y (Inception 11/18/98)
NAV		15.81			25.54			9.04			6.38
Comparative Performance
Russell 1000® Value Index2		15.90			25.32			6.67			7.79

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.

Notes to Charts

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

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

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

|  4

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

Managers	Symbols
James Grabovac, CFA	Class A    MIMAX
Lawrence Jones	Class C    MIMCX
Dawn Mangerson	Class Y    MIMYX
Steve Wlodarski, CFA
McDonnell Investment Management, LLC

Objective

Seeks a high level of federal tax-exempt current income, consistent with the preservation of capital

Strategy

Under normal market conditions, the Fund will invest at least 80% of its net assets (plus borrowings made for investment purposes) in municipal securities that pay interest exempt from federal income taxes. The Fund may invest up to 20% of its assets in debt securities subject to the federal alternative minimum tax.

5  |

Total Returns — June 30, 2013⁴

	Since Inception
Class A (Inception 12/31/12)1
NAV		-3.22	%
With 3.50% Maximum Sales Charge		-6.62
Class C (Inception 12/31/12)1
NAV		-3.65
With CDSC2		-4.62
Class Y (Inception 12/31/12)1
NAV		-3.00
Comparative Performance
Barclays 3-15 Year Blend Municipal Bond Index3		-2.18

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.

Notes to Charts

1 12/31/12 represents the date shares were first registered for public sale under the Securities Act of 1933. 11/16/12 represents commencement of operations for accounting and financial reporting purposes only.

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

3 Barclays 3-15 Year Blend Municipal Bond Index tracks the performance of municipal bonds issued after December 31, 1990 with remaining maturities between 2 and 17 years and at least $5 million in principal amount outstanding.

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

|  6

VAUGHAN NELSON SMALL CAP VALUE FUND

Managers	Symbols
Chris D. Wallis, CFA	Class A    NEFJX
Scott J. Weber, CFA	Class B    NEJBX
Vaughan Nelson Investment Management, L.P.	Class C    NEJCX
	Class Y    NEJYX

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

Objective

Seeks capital appreciation

Strategy

The Fund normally will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in the equity securities, including common stocks and preferred stocks, of small-cap companies. The Fund may invest in companies with large capitalizations.

7  |

Average Annual Total Returns — June 30, 2013³

	6 Months			1 Year			5 Years			10 Years			Since Inception
Class A (Inception 12/31/96)
NAV		16.63	%		26.05	%		10.36	%		11.99	%		—
With 5.75% Maximum Sales Charge		9.91			18.83			9.06			11.33			—
Class B (Inception 12/31/96)
NAV		16.19			25.14			9.54			11.15			—
With CDSC1		11.19			20.14			9.30			11.15			—
Class C (Inception 12/31/96)
NAV		16.20			25.18			9.54			11.15			—
With CDSC1		15.20			24.18			9.54			11.15			—
Class Y (Inception 8/31/06)
NAV		16.81			26.37			10.64			—			9.96	%
Comparative Performance
Russell 2000® Value Index2		14.39			24.76			8.59			9.30			4.52	%

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.

Notes to Charts

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

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

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

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VAUGHAN NELSON VALUE OPPORTUNITY FUND

Managers	Symbols
Dennis G. Alff, CFA	Class A    VNVAX
Chris D. Wallis, CFA	Class C    VNVCX
Scott J. Weber, CFA	Class N    VNVNX
Vaughan Nelson Investment Management, L.P.	Class Y    VNVYX

Objective

Seeks long-term capital appreciation

Strategy

The Fund, under normal market conditions, will invest primarily in companies that, at the time of purchase, have market capitalizations either within the capitalization range of the Russell Midcap^® Value Index or of $15 billion or less. The Fund may invest in companies with smaller or larger capitalizations and does not have any market capitalization limits.

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Average Annual Total Returns — June 30, 2013³

	6 Months			1 Year			Since Inception
Class A (Inception 10/31/08)
NAV		18.63	%		29.20	%		16.25	%
With 5.75% Maximum Sales Charge		11.78			21.74			14.78
Class C (Inception 10/31/08)
NAV		18.19			28.27			15.39
With CDSC1		17.19			27.27			15.39
Class N (Inception 5/1/13)
NAV		—			—			4.68
Class Y (Inception 10/31/08)
NAV		18.73			29.46			16.54
Comparative Performance								Class A/C/Y    Class N
Russell Midcap® Value Index2		16.10			27.65			17.76          1.82

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.

Notes to Charts

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

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

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

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

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ngam.natixis.com; and on the Securities and Exchange 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 from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from 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 in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

CGM ADVISOR TARGETED EQUITY 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		$1,143.70		$6.11
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class B
Actual		$1,000.00		$1,139.90		$10.08
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class C
Actual		$1,000.00		$1,139.70		$10.08
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class Y
Actual		$1,000.00		$1,144.90		$4.79
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51

* Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 1.90% and 0.90% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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HARRIS ASSOCIATES LARGE CAP VALUE 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		$1,156.00		$6.95
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class B
Actual		$1,000.00		$1,151.70		$10.94
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class C
Actual		$1,000.00		$1,152.50		$10.94
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class Y
Actual		$1,000.00		$1,158.10		$5.62
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26

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

MCDONNELL INTERMEDIATE MUNICIPAL BOND 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		$967.80		$3.90
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01
Class C
Actual		$1,000.00		$963.50		$7.55
Hypothetical (5% return before expenses)		$1,000.00		$1,017.11		$7.75
Class Y
Actual		$1,000.00		$970.00		$2.69
Hypothetical (5% return before expenses)		$1,000.00		$1,022.07		$2.76

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year, divided by 365 (to reflect the half-year period).

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VAUGHAN NELSON SMALL CAP VALUE 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		$1,166.30		$7.47
Hypothetical (5% return before expenses)		$1,000.00		$1,017.90		$6.95
Class B
Actual		$1,000.00		$1,161.90		$11.47
Hypothetical (5% return before expenses)		$1,000.00		$1,014.18		$10.69
Class C
Actual		$1,000.00		$1,162.00		$11.53
Hypothetical (5% return before expenses)		$1,000.00		$1,014.13		$10.74
Class Y
Actual		$1,000.00		$1,168.10		$6.18
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76

* Expenses are equal to the Fund’s annualized expense ratio: 1.39%, 2.14%, 2.15% and 1.15% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY 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		$1,186.30			$6.88	1
Hypothetical (5% return before expenses)		$1,000.00		$1,018.50			$6.36	*
Class C
Actual		$1,000.00		$1,181.90			$10.93	1
Hypothetical (5% return before expenses)		$1,000.00		$1,014.78			$10.09	*
Class N
Actual		$1,000.00		$1,046.80	2		$1.85	2
Hypothetical (5% return before expenses)		$1,000.00		$1,019.34			$5.51	*
Class Y
Actual		$1,000.00		$1,187.30			$5.53	1
Hypothetical (5% return before expenses)		$1,000.00		$1,019.74			$5.11	*

* Hypothetical expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.27%, 2.02%, 1.10% and 1.02% 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).

¹  Actual expenses for Class A, C and Y are equal to the Fund's annualized expense ratio: 1.27%, 2.02% and 1.02%, 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).

²  Class N commenced operations on May 1, 2013. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 1.10%, 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).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (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. The McDonnell Intermediate Municipal Bond Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory and sub-advisory agreements are effective until November 16, 2014. 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 advisers and sub-advisers (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.

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

15  |

and other services. This information generally includes, among other things, an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple subadvisers) 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 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 monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by 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.

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

|  16

case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily 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 performance, although lagging in certain periods, was stronger over the long term; (3) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category and benchmark; and (4) that although the Fund’s performance lagged that of its relevant category for certain periods, performance was stronger when compared to the Fund’s relevant peer group.

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. They noted that, as of December 31, 2012, four of the five Natixis Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Advisers under these caps for each Fund whose current expenses are above the cap. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors varied from Fund to Fund, but included one or more of 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 near, at, or below the median of a peer group of funds; and (3) that the Fund’s investment discipline was capacity restrained.

17  |

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 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 two Funds had breakpoints in their advisory fees and that four of the Funds were subject to an expense cap. 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.

· 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.

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· 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, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that NGAM Advisors’ parent company 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.

· Plans for maintaining continuity of portfolio management where that was thought to be a potential issue.

· 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.

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

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 98.5% of Net Assets
		Automobiles — 15.6%
	2,120,000	Ford Motor Co.	$	32,796,400
	500,000	Honda Motor Co. Ltd., Sponsored ADR		18,625,000
	300,000	Toyota Motor Corp., Sponsored ADR		36,198,000
				87,619,400
		Biotechnology — 1.7%
	45,000	Biogen Idec, Inc.(b)		9,684,000
		Capital Markets — 14.9%
	175,000	Goldman Sachs Group, Inc. (The)		26,468,750
	2,330,000	Morgan Stanley		56,921,900
				83,390,650
		Chemicals — 4.5%
	255,000	Monsanto Co.		25,194,000
		Communications Equipment — 4.8%
	1,110,000	Cisco Systems, Inc.		26,984,100
		Diversified Financial Services — 8.7%
	1,015,000	Citigroup, Inc.		48,689,550
		Energy Equipment & Services — 1.6%
	125,000	Schlumberger Ltd.		8,957,500
		Health Care Providers & Services — 2.7%
	120,000	Cigna Corp.		8,698,800
	100,000	UnitedHealth Group, Inc.		6,548,000
				15,246,800
		Household Durables — 14.6%
	1,320,000	DR Horton, Inc.		28,089,600
	695,000	Lennar Corp., Class A		25,047,800
	1,510,000	PulteGroup, Inc.(b)		28,644,700
				81,782,100
		Internet Software & Services — 4.6%
	29,100	Google, Inc., Class A(b)		25,618,767
		IT Services — 4.9%
	149,000	Visa, Inc., Class A		27,229,750
		Oil, Gas & Consumable Fuels — 2.1%
	55,000	Chevron Corp.		6,508,700
	60,000	ExxonMobil Corp.		5,421,000
				11,929,700
		Road & Rail — 4.9%
	227,000	Canadian Pacific Railway Ltd.		27,553,260
		Software — 2.8%
	445,000	Microsoft Corp.		15,365,850
		Specialty Retail — 5.0%
	360,000	Home Depot, Inc. (The)		27,889,200

See accompanying notes to financial statements.

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

CGM Advisor Targeted Equity Fund – (continued)

Shares		Description	Value (†)
		Textiles, Apparel & Luxury Goods — 5.1%
	450,000	NIKE, Inc., Class B	$	28,656,000
		Total Common Stocks (Identified Cost $484,546,584)		551,790,627
Principal Amount
	Short-Term Investments — 1.8%
$	10,225,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $10,225,000 on 7/01/2013 collateralized by $10,525,000 U.S Treasury Note, 0.750% due 6/30/2017 valued at $10,432,906 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $10,225,000)		10,225,000
		Total Investments — 100.3% (Identified Cost $494,771,584)(a)		562,015,627
		Other assets less liabilities — (0.3)%		(1,437,603	)
		Net Assets — 100.0%	$	560,578,024
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2013, the net unrealized appreciation on investments based on a cost of $494,771,584 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	$	69,233,056
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,989,013	)
		Net unrealized appreciation	$	67,244,043
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

See accompanying notes to financial statements.

21  |

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

CGM Advisor Targeted Equity Fund – (continued)

Industry Summary at June 30, 2013 (Unaudited)

Automobiles	15.6	%
Capital Markets	14.9
Household Durables	14.6
Diversified Financial Services	8.7
Textiles, Apparel & Luxury Goods	5.1
Specialty Retail	5.0
Road & Rail	4.9
IT Services	4.9
Communications Equipment	4.8
Internet Software & Services	4.6
Chemicals	4.5
Software	2.8
Health Care Providers & Services	2.7
Oil, Gas & Consumable Fuels	2.1
Other Investments, less than 2% each	3.3
Short-Term Investments	1.8
Total Investments	100.3
Other assets less liabilities	(0.3	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  22

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

Harris Associates Large Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 95.8% of Net Assets
		Aerospace & Defense — 2.1%
	30,300	Boeing Co. (The)	$	3,103,932
		Air Freight & Logistics — 3.2%
	48,200	FedEx Corp.		4,751,556
		Auto Components — 6.8%
	41,800	Autoliv, Inc.		3,234,902
	83,600	Delphi Automotive PLC		4,237,684
	38,800	TRW Automotive Holdings Corp.(b)		2,577,872
				10,050,458
		Automobiles — 3.9%
	174,400	General Motors Co.(b)		5,809,264
		Capital Markets — 7.6%
	8,500	BlackRock, Inc.		2,183,225
	32,300	Franklin Resources, Inc.		4,393,446
	30,800	Goldman Sachs Group, Inc. (The)		4,658,500
				11,235,171
		Commercial Banks — 7.2%
	80,500	US Bancorp		2,910,075
	187,200	Wells Fargo & Co.		7,725,744
				10,635,819
		Consumer Finance — 2.2%
	52,400	Capital One Financial Corp.		3,291,244
		Diversified Financial Services — 5.0%
	15,900	CME Group, Inc., Class A		1,208,082
	118,800	JPMorgan Chase & Co.		6,271,452
				7,479,534
		Electrical Equipment — 1.5%
	26,600	Rockwell Automation, Inc.		2,211,524
		Energy Equipment & Services — 2.9%
	62,200	National Oilwell Varco, Inc.		4,285,580
		Health Care Equipment & Supplies — 1.1%
	30,500	Medtronic, Inc.		1,569,835
		Hotels, Restaurants & Leisure — 5.6%
	102,300	Marriott International, Inc., Class A		4,129,851
	22,100	McDonald’s Corp.		2,187,900
	31,500	Starwood Hotels & Resorts Worldwide, Inc.		1,990,485
				8,308,236
		Insurance — 3.8%
	126,500	American International Group, Inc.(b)		5,654,550
		Internet Software & Services — 0.8%
	1,400	Google, Inc., Class A(b)		1,232,518

See accompanying notes to financial statements.

23  |

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

Harris Associates Large Cap Value Fund – (continued)

Shares		Description	Value (†)
		IT Services — 7.0%
	10,900	MasterCard, Inc., Class A	$	6,262,050
	22,800	Visa, Inc., Class A		4,166,700
				10,428,750
		Machinery — 7.3%
	33,200	Cummins, Inc.		3,600,872
	80,300	Illinois Tool Works, Inc.		5,554,351
	17,700	Parker Hannifin Corp.		1,688,580
				10,843,803
		Media — 3.7%
	76,700	Comcast Corp., Special Class A		3,042,689
	38,500	Omnicom Group, Inc.		2,420,495
				5,463,184
		Multiline Retail — 1.3%
	31,100	Family Dollar Stores, Inc.		1,937,841
		Oil, Gas & Consumable Fuels — 2.3%
	37,100	ExxonMobil Corp.		3,351,985
		Semiconductors & Semiconductor Equipment — 11.0%
	328,300	Applied Materials, Inc.		4,894,953
	299,800	Intel Corp.		7,261,156
	59,600	Lam Research Corp.(b)		2,642,664
	42,100	Texas Instruments, Inc.		1,468,027
				16,266,800
		Software — 3.5%
	167,000	Oracle Corp.		5,130,240
		Specialty Retail — 4.9%
	26,900	Advance Auto Parts, Inc.		2,183,473
	47,100	CarMax, Inc.(b)		2,174,136
	38,800	Tiffany & Co.		2,826,192
				7,183,801
		Textiles, Apparel & Luxury Goods — 1.1%
	24,600	NIKE, Inc., Class B		1,566,528
		Total Common Stocks (Identified Cost $105,175,323)		141,792,153
Principal Amount
	Short-Term Investments — 4.6%
$	6,875,538	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $6,875,538 on 7/01/2013 collateralized by $7,335,000 Federal National Mortgage Association, 2.230% due 12/06/2022 valued at $7,014,094 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,875,538)		6,875,538

See accompanying notes to financial statements.

|  24

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

Harris Associates Large Cap Value Fund – (continued)

	Description	Value (†)
	Total Investments — 100.4% (Identified Cost $112,050,861)(a)	$	148,667,691
	Other assets less liabilities — (0.4)%		(588,203	)
	Net Assets — 100.0%	$	148,079,488
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2013, the net unrealized appreciation on investments based on a cost of $112,050,861 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	$	36,616,830
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		—
	Net unrealized appreciation	$	36,616,830
(b)	Non-income producing security.

Industry Summary at June 30, 2013 (Unaudited)

Semiconductors & Semiconductor Equipment	11.0	%
Capital Markets	7.6
Machinery	7.3
Commercial Banks	7.2
IT Services	7.0
Auto Components	6.8
Hotels, Restaurants & Leisure	5.6
Diversified Financial Services	5.0
Specialty Retail	4.9
Automobiles	3.9
Insurance	3.8
Media	3.7
Software	3.5
Air Freight & Logistics	3.2
Energy Equipment & Services	2.9
Oil, Gas & Consumable Fuels	2.3
Consumer Finance	2.2
Aerospace & Defense	2.1
Other Investments, less than 2% each	5.8
Short-Term Investments	4.6
Total Investments	100.4
Other assets less liabilities	(0.4	)
Net Assets	100.0	%

See accompanying notes to financial statements.

25  |

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

McDonnell Intermediate Municipal Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 92.5% of Net Assets
	Municipals — 92.5%
		Alaska — 2.3%
$	400,000	Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018	$	464,736
		Arizona — 4.0%
	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024		341,664
	400,000	Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022		460,612
				802,276
		California — 9.0%
	400,000	Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030(b)		399,012
	400,000	California State, GO, Various Purpose, Refunding, 4.000%, 9/01/2027(b)		407,056
	500,000	Kern High School District, GO, Refunding, 5.000%, 8/01/2023		581,205
	400,000	Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025		430,392
				1,817,665
		Colorado — 9.0%
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		420,520
	400,000	Denver City and County, Airport System Revenue, Series B, 5.000%, 11/15/2029(b)		426,144
	400,000	Douglas County School District #Re-1, GO, Refunding, (State Aid Withholding), 4.000%, 12/15/2020		446,308
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		527,917
				1,820,889
		Connecticut — 4.2%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		426,844
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		413,175
				840,019
		Florida — 8.5%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027(c)		542,255
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		270,820
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		463,364
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		448,248
				1,724,687
		Georgia — 2.9%
	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021		577,555

See accompanying notes to financial statements.

|  26

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

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Hawaii — 2.2%
$	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016	$	447,984
		Illinois — 4.3%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028(b)		403,833
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		114,275
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		346,605
				864,713
		Kentucky — 1.6%
	275,000	Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 2/01/2018@100, 6.125%, 2/01/2037		333,099
		Massachusetts — 0.8%
	150,000	Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018		165,167
		Michigan — 3.0%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		601,015
		Minnesota — 3.1%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		279,863
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		336,573
				616,436
		Missouri — 2.7%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		549,565
		New York — 4.0%
	350,000	New York State Dormitory Authority Revenue, Cornell University, Series B, 5.000%, 7/01/2021		409,748
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		394,940
				804,688
		North Carolina — 4.3%
	400,000	North Carolina Eastern Municipal Power Agency Revenue, Refunding, Series A, 5.250%, 1/01/2020		444,152
	375,000	Raleigh Durham Airport Authority Revenue, Refunding, Series A, 5.000%, 5/01/2024		420,487
				864,639
		Ohio — 6.4%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		450,232

See accompanying notes to financial statements.

27  |

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

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Ohio — continued
$	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030	$	533,620
	270,000	State of Ohio Hospital Facilities Revenue, Cleveland Clinic Health System, Refunding, Series A, 5.000%, 1/01/2018		308,397
				1,292,249
		Pennsylvania — 5.8%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		384,999
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		287,143
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		496,930
				1,169,072
		Texas — 6.6%
	400,000	Frisco Independent School District, GO, School Building, Refunding, Series B, (PSF-GTD), 5.000%, 8/15/2020		478,052
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		441,548
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		410,840
				1,330,440
		Utah — 1.4%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		280,435
		Virginia — 2.9%
	500,000	Virginia State Public Building Authority Facility Revenue, Series A, 5.000%, 8/01/2018		582,055
		Washington — 3.5%
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		452,252
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		262,723
				714,975
		Total Bonds and Notes (Identified Cost $19,481,506)		18,664,359
	Short-Term Investments — 7.4%
	1,498,947	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $1,498,947 on 7/01/2013 collateralized by $1,600,000 Federal National Mortgage Association, 2.230% due 12/06/2022 valued at $1,530,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,498,947)		1,498,947
		Total Investments — 99.9% (Identified Cost $20,980,453)(a)		20,163,306
		Other assets less liabilities — 0.1%		14,909
		Net Assets — 100.0%	$	20,178,215

See accompanying notes to financial statements.

|  28

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

McDonnell Intermediate Municipal Bond Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2013, the net unrealized depreciation on investments based on a cost of $20,980,453 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	$	2,034
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(819,181	)
	Net unrealized depreciation	$	(817,147	)
(b)	All or a portion of this security has been designated to cover the Fund’s obligations under delayed delivery securities.
(c)	Delayed delivery. See Note 2 of Notes to Financial Statements.
AGM	Assured Guaranty Municipal Corporation
AMT	Alternative Minimum Tax
FGIC	Financial Guaranty Insurance Company
GO	General Obligation
NATL-RE	National Public Finance Guarantee Corporation
PSF-GTD	Permanent School Fund Guarantee Program

Holdings Summary at June 30, 2013 (Unaudited)

Higher Education	17.3	%
General Obligation	16.3
Medical	13.4
Transportation	10.9
Airport	8.1
School District	7.5
Power	7.3
General	6.7
Water	5.0
Short-Term Investments	7.4
Total Investments	99.9
Other assets less liabilities	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

29  |

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

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 96.4% of Net Assets
		Air Freight & Logistics — 0.7%
	52,350	Atlas Air Worldwide Holdings, Inc.(b)	$	2,290,836
		Building Products — 1.8%
	87,375	Lennox International, Inc.		5,639,183
		Capital Markets — 2.4%
	175,450	LPL Financial Holdings, Inc.		6,624,992
	20,575	Waddell & Reed Financial, Inc., Class A		895,012
				7,520,004
		Commercial Banks — 10.0%
	380,225	Associated Banc-Corp.		5,912,499
	394,855	FirstMerit Corp.		7,908,946
	156,900	Fulton Financial Corp.		1,801,212
	122,800	Hancock Holding Co.		3,692,596
	117,975	Prosperity Bancshares, Inc.		6,109,925
	249,900	Webster Financial Corp.		6,417,432
				31,842,610
		Commercial Services & Supplies — 3.0%
	299,425	KAR Auction Services, Inc.		6,847,850
	75,575	McGrath Rentcorp		2,581,642
				9,429,492
		Construction & Engineering — 2.2%
	218,400	MasTec, Inc.(b)		7,185,360
		Consumer Finance — 1.1%
	72,575	First Cash Financial Services, Inc.(b)		3,571,416
		Containers & Packaging — 4.2%
	135,100	Packaging Corp. of America		6,614,496
	141,825	Silgan Holdings, Inc.		6,660,102
				13,274,598
		Diversified Consumer Services — 0.4%
	55,675	Hillenbrand, Inc.		1,320,054
		Electrical Equipment — 0.8%
	120,025	Thermon Group Holdings, Inc.(b)		2,448,510
		Electronic Equipment, Instruments & Components — 1.6%
	69,350	Littelfuse, Inc.		5,174,203
		Energy Equipment & Services — 2.5%
	71,650	Atwood Oceanics, Inc.(b)		3,729,383
	142,675	Forum Energy Technologies, Inc.(b)		4,341,600
				8,070,983
		Food & Staples Retailing — 1.0%
	1,066,450	Rite Aid Corp.(b)		3,050,047
		Gas Utilities — 1.2%
	95,975	Atmos Energy Corp.		3,940,734

See accompanying notes to financial statements.

|  30

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

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — 3.0%
	119,575	Integra LifeSciences Holdings Corp.(b)	$	4,380,032
	33,025	Sirona Dental Systems, Inc.(b)		2,175,687
	39,025	Teleflex, Inc.		3,024,047
				9,579,766
		Health Care Providers & Services — 2.2%
	309,200	Health Management Associates, Inc., Class A(b)		4,860,624
	47,050	LifePoint Hospitals, Inc.(b)		2,297,922
				7,158,546
		Hotels, Restaurants & Leisure — 2.0%
	78,500	Choice Hotels International, Inc.		3,115,665
	84,150	Jack in the Box, Inc.(b)		3,306,253
				6,421,918
		Household Durables — 3.6%
	142,675	Harman International Industries, Inc.		7,732,985
	94,100	Ryland Group, Inc. (The)		3,773,410
				11,506,395
		Household Products — 0.3%
	19,950	WD-40 Co.		1,086,876
		Insurance — 7.3%
	214,925	American Equity Investment Life Holding Co.		3,374,322
	113,675	Aspen Insurance Holdings Ltd.		4,216,206
	372,050	CNO Financial Group, Inc.		4,821,768
	170,962	HCC Insurance Holdings, Inc.		7,370,172
	177,043	Tower Group International Ltd.		3,631,152
				23,413,620
		IT Services — 3.9%
	231,575	Broadridge Financial Solutions, Inc.		6,155,263
	96,150	EPAM Systems, Inc.(b)		2,613,357
	76,850	Jack Henry & Associates, Inc.		3,621,941
				12,390,561
		Machinery — 4.0%
	196,050	Actuant Corp., Class A		6,463,768
	21,400	Valmont Industries, Inc.		3,062,126
	335,025	Wabash National Corp.(b)		3,410,555
				12,936,449
		Metals & Mining — 2.2%
	69,475	Globe Specialty Metals, Inc.		755,193
	95,050	Reliance Steel & Aluminum Co.		6,231,478
				6,986,671
		Oil, Gas & Consumable Fuels — 2.0%
	161,514	Oasis Petroleum, Inc.(b)		6,278,049
		Paper & Forest Products — 0.5%
	33,425	Clearwater Paper Corp.(b)		1,572,981

See accompanying notes to financial statements.

31  |

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

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Personal Products — 0.8%
	59,825	Elizabeth Arden, Inc.(b)	$	2,696,313
		Professional Services — 3.4%
	118,350	ICF International, Inc.(b)		3,729,209
	85,675	Towers Watson & Co., Class A		7,020,209
				10,749,418
		REITs – Diversified — 0.7%
	66,246	Corrections Corp. of America		2,243,752
		REITs – Hotels — 0.7%
	409,200	Hersha Hospitality Trust		2,307,888
		REITs – Office Property — 1.0%
	87,125	Highwoods Properties, Inc.		3,102,521
		REITs – Shopping Centers — 1.0%
	254,575	Excel Trust, Inc.		3,261,106
		Road & Rail — 1.4%
	44,875	Celadon Group, Inc.		818,969
	96,725	Con-way, Inc.		3,768,406
				4,587,375
		Semiconductors & Semiconductor Equipment — 4.5%
	200,600	Microsemi Corp.(b)		4,563,650
	115,025	Semtech Corp.(b)		4,029,326
	268,850	Skyworks Solutions, Inc.(b)		5,885,126
				14,478,102
		Software — 7.5%
	68,950	ACI Worldwide, Inc.(b)		3,204,796
	63,575	BroadSoft, Inc.(b)		1,754,670
	104,725	Fair Isaac Corp.		4,799,547
	27,850	Manhattan Associates, Inc.(b)		2,148,906
	192,025	SS&C Technologies Holdings, Inc.(b)		6,317,622
	157,800	Verint Systems, Inc.(b)		5,597,166
				23,822,707
		Specialty Retail — 6.4%
	151,297	Aaron’s, Inc.		4,237,829
	190,850	Chico’s FAS, Inc.		3,255,901
	35,450	DSW, Inc., Class A		2,604,512
	104,000	GNC Holdings, Inc., Class A		4,597,840
	87,425	Group 1 Automotive, Inc.		5,624,050
				20,320,132
		Textiles, Apparel & Luxury Goods — 1.0%
	57,775	Wolverine World Wide, Inc.		3,155,093
		Trading Companies & Distributors — 4.1%
	30,900	DXP Enterprises, Inc.(b)		2,057,940
	110,125	United Rentals, Inc.(b)		5,496,339

See accompanying notes to financial statements.

|  32

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

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Trading Companies & Distributors — continued
	83,225	WESCO International, Inc.(b)	$	5,655,971
				13,210,250
		Total Common Stocks (Identified Cost $251,209,482)		308,024,519
	Closed End Investment Companies — 2.6%
	488,625	Ares Capital Corp. (Identified Cost $7,839,458)		8,404,350
Principal Amount
	Short-Term Investments — 1.7%
$	5,510,996	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $5,510,996 on 7/01/2013 collateralized by $5,880,000 Federal National Mortgage Association, 2.230% due 12/06/2022 valued at $5,622,750 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,510,996)		5,510,996
		Total Investments — 100.7% (Identified Cost $264,559,936)(a)		321,939,865
		Other assets less liabilities — (0.7)%		(2,355,320	)
		Net Assets — 100.0%	$	319,584,545
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2013, the net unrealized appreciation on investments based on a cost of $264,559,936 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	$	58,511,631
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,131,702	)
		Net unrealized appreciation	$	57,379,929
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

33  |

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

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at June 30, 2013 (Unaudited)

Commercial Banks	10.0	%
Software	7.5
Insurance	7.3
Specialty Retail	6.4
Semiconductors & Semiconductor Equipment	4.5
Containers & Packaging	4.2
Trading Companies & Distributors	4.1
Machinery	4.0
IT Services	3.9
Household Durables	3.6
Professional Services	3.4
Health Care Equipment & Supplies	3.0
Commercial Services & Supplies	3.0
Closed End Investment Companies	2.6
Energy Equipment & Services	2.5
Capital Markets	2.4
Construction & Engineering	2.2
Health Care Providers & Services	2.2
Metals & Mining	2.2
Hotels, Restaurants & Leisure	2.0
Oil, Gas & Consumable Fuels	2.0
Other Investments, less than 2% each	16.0
Short-Term Investments	1.7
Total Investments	100.7
Other assets less liabilities	(0.7	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  34

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

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 95.8% of Net Assets
		Aerospace & Defense — 1.0%
	48,850	B/E Aerospace, Inc.(b)	$	3,081,458
		Auto Components — 2.6%
	94,750	Delphi Automotive PLC		4,802,877
	63,000	Tenneco, Inc.(b)		2,852,640
				7,655,517
		Capital Markets — 1.2%
	128,950	SEI Investments Co.		3,666,049
		Chemicals — 4.1%
	33,225	Airgas, Inc.		3,171,659
	71,325	FMC Corp.		4,355,104
	69,350	Rockwood Holdings, Inc.		4,440,480
				11,967,243
		Commercial Banks — 7.9%
	90,850	CIT Group, Inc.(b)		4,236,336
	298,450	Fifth Third Bancorp		5,387,022
	431,300	First Niagara Financial Group, Inc.		4,343,191
	666,225	Huntington Bancshares, Inc.		5,249,853
	426,400	Regions Financial Corp.		4,063,592
				23,279,994
		Commercial Services & Supplies — 0.8%
	102,575	KAR Auction Services, Inc.		2,345,890
		Computers & Peripherals — 2.1%
	190,000	NCR Corp.(b)		6,268,100
		Construction & Engineering — 1.5%
	166,550	Quanta Services, Inc.(b)		4,406,913
		Containers & Packaging — 4.1%
	150,450	Crown Holdings, Inc.(b)		6,188,009
	132,375	Owens-Illinois, Inc.(b)		3,678,701
	45,925	Packaging Corp. of America		2,248,488
				12,115,198
		Distributors — 0.8%
	89,375	LKQ Corp.(b)		2,301,406
		Energy Equipment & Services — 4.5%
	85,475	Atwood Oceanics, Inc.(b)		4,448,974
	69,350	Helmerich & Payne, Inc.		4,330,908
	174,875	Superior Energy Services, Inc.(b)		4,536,257
				13,316,139
		Food & Staples Retailing — 1.1%
	1,097,050	Rite Aid Corp.(b)		3,137,563
		Food Products — 1.2%
	55,675	Ingredion, Inc.		3,653,394

See accompanying notes to financial statements.

35  |

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

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 1.9%
	152,400	HCA Holdings, Inc.	$	5,495,544
		Household Durables — 4.4%
	89,375	Harman International Industries, Inc.		4,844,125
	96,462	Jarden Corp.(b)		4,220,212
	105,500	Lennar Corp., Class A		3,802,220
				12,866,557
		Household Products — 0.7%
	35,175	Spectrum Brands Holdings, Inc.		2,000,402
		Insurance — 8.3%
	93,775	Endurance Specialty Holdings Ltd.		4,824,724
	225,175	Hartford Financial Services Group, Inc. (The)		6,962,411
	65,950	Reinsurance Group of America, Inc., Class A		4,557,804
	119,175	Validus Holdings Ltd.		4,304,601
	127,000	XL Group PLC		3,850,640
				24,500,180
		Internet Software & Services — 1.2%
	75,775	IAC/InterActiveCorp		3,603,859
		IT Services — 3.8%
	50,300	Fiserv, Inc.(b)		4,396,723
	89,375	Global Payments, Inc.		4,139,850
	35,175	MAXIMUS, Inc.		2,619,834
				11,156,407
		Machinery — 5.5%
	86,450	AGCO Corp.		4,338,925
	51,275	Flowserve Corp.		2,769,363
	85,475	Navistar International Corp.(b)		2,372,786
	68,375	Pentair Ltd. (Registered)		3,944,554
	31,750	Snap-on, Inc.		2,837,815
				16,263,443
		Media — 1.8%
	45,925	AMC Networks, Inc., Class A(b)		3,003,954
	44,925	CBS Corp., Class B		2,195,485
				5,199,439
		Metals & Mining — 3.0%
	98,175	Carpenter Technology Corp.		4,424,747
	69,350	Reliance Steel & Aluminum Co.		4,546,586
				8,971,333
		Oil, Gas & Consumable Fuels — 2.9%
	71,325	Noble Energy, Inc.		4,282,353
	29,800	Pioneer Natural Resources Co.		4,313,550
				8,595,903
		Personal Products — 1.6%
	103,550	Elizabeth Arden, Inc.(b)		4,666,999

See accompanying notes to financial statements.

|  36

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

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 3.7%
	54,736	Valeant Pharmaceuticals International, Inc.(b)	$	4,711,675
	318,950	Warner Chilcott PLC, Class A		6,340,726
				11,052,401
		Professional Services — 2.1%
	75,700	Towers Watson & Co., Class A		6,202,858
		Road & Rail — 3.3%
	92,800	Con-way, Inc.		3,615,488
	240,800	Hertz Global Holdings, Inc.(b)		5,971,840
				9,587,328
		Semiconductors & Semiconductor Equipment — 3.3%
	116,250	Avago Technologies Ltd.		4,345,425
	240,800	Skyworks Solutions, Inc.(b)		5,271,112
				9,616,537
		Software — 5.6%
	82,050	Check Point Software Technologies Ltd.(b)		4,076,244
	230,050	Nuance Communications, Inc.(b)		4,228,319
	217,350	Rovi Corp.(b)		4,964,274
	55,675	Solera Holdings, Inc.		3,098,314
				16,367,151
		Specialty Retail — 4.0%
	117,225	GNC Holdings, Inc., Class A		5,182,517
	104,525	Rent-A-Center, Inc.		3,924,914
	40,550	Signet Jewelers Ltd.		2,734,286
				11,841,717
		Textiles, Apparel & Luxury Goods — 1.5%
	36,150	PVH Corp.		4,520,558
		Trading Companies & Distributors — 4.3%
	107,450	MRC Global, Inc.(b)		2,967,769
	104,525	United Rentals, Inc.(b)		5,216,843
	67,400	WESCO International, Inc.(b)		4,580,504
				12,765,116
		Total Common Stocks (Identified Cost $237,723,148)		282,468,596
	Closed End Investment Companies — 1.3%
	214,425	Ares Capital Corp. (Identified Cost $3,369,934)		3,688,110
Principal Amount
	Short-Term Investments — 2.9%
$	8,699,203	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $8,699,203 on 7/01/2013 collateralized by $9,280,000 Federal National Mortgage Association, 2.230% due 12/06/2022 valued at $8,874,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,699,203)		8,699,203

See accompanying notes to financial statements.

37  |

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

Vaughan Nelson Value Opportunity Fund – (continued)

	Description	Value (†)
	Total Investments — 100.0% (Identified Cost $249,792,285)(a)	$	294,855,909
	Other assets less liabilities — 0.0%		22,420
	Net Assets — 100.0%	$	294,878,329
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2013, the net unrealized appreciation on investments based on a cost of $249,792,285 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	$	46,946,654
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,883,030	)
	Net unrealized appreciation	$	45,063,624
(b)	Non-income producing security.

Industry Summary at June 30, 2013 (Unaudited)

Insurance	8.3	%
Commercial Banks	7.9
Software	5.6
Machinery	5.5
Energy Equipment & Services	4.5
Household Durables	4.4
Trading Companies & Distributors	4.3
Containers & Packaging	4.1
Chemicals	4.1
Specialty Retail	4.0
IT Services	3.8
Pharmaceuticals	3.7
Semiconductors & Semiconductor Equipment	3.3
Road & Rail	3.3
Metals & Mining	3.0
Oil, Gas & Consumable Fuels	2.9
Auto Components	2.6
Computers & Peripherals	2.1
Professional Services	2.1
Other Investments, less than 2% each	17.6
Short-Term Investments	2.9
Total Investments	100.0
Other assets less liabilities	—
Net Assets	100.0	%

See accompanying notes to financial statements.

|  38

Statements of Assets & Liabilities

June 30, 2013 (Unaudited)

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			McDonnell Intermediate Municipal Bond Fund			Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	494,771,584		$	112,050,861		$	20,980,453		$	264,559,936	$	249,792,285
Net unrealized appreciation (depreciation)		67,244,043			36,616,830			(817,147	)		57,379,929		45,063,624
Investments at value		562,015,627			148,667,691			20,163,306			321,939,865		294,855,909
Cash		12,302			5			1			10		9
Receivable for Fund shares sold		130,630			167,441			347,373			87,757		2,801,491
Receivable from investment adviser (Note 5)		—			—			6,798			—		—
Receivable for securities sold		559,120			1,315,222			—			186,903		429,702
Dividends and interest receivable		197,775			110,083			250,680			345,214		222,811
TOTAL ASSETS		562,915,454			150,260,442			20,768,158			322,559,749		298,309,922
LIABILITIES
Payable for securities purchased		—			1,580,288			—			754,292		3,076,032
Payable for delayed delivery securities purchased (Note 2)		—			—			556,750			—		—
Payable for Fund shares redeemed		1,118,285			27,163			—			1,708,784		72,962
Management fees payable (Note 5)		335,190			80,311			—			236,559		189,009
Deferred Trustees’ fees (Note 5)		699,438			411,744			3,548			163,963		42,191
Administrative fees payable (Note 5)		20,815			5,439			722			11,607		10,433
Payable to distributor (Note 5d)		2,675			623			—			3,724		2,508
Other accounts payable and accrued expenses		161,027			75,386			28,923			96,275		38,458
TOTAL LIABILITIES		2,337,430			2,180,954			589,943			2,975,204		3,431,593
NET ASSETS	$	560,578,024		$	148,079,488		$	20,178,215		$	319,584,545	$	294,878,329
NET ASSETS CONSIST OF:
Paid-in capital	$	444,978,567		$	113,626,670		$	21,065,321		$	233,496,288	$	243,380,982
Undistributed (Distributions in excess of) net investment income		(1,468,219	)		(199,139	)		—			1,052,359		266,944
Accumulated net realized gain (loss) on investments and foreign currency transactions		49,823,869			(1,964,873	)		(69,959	)		27,655,969		6,166,779
Net unrealized appreciation (depreciation) on investments and foreign currency translations		67,243,807			36,616,830			(817,147	)		57,379,929		45,063,624
NET ASSETS	$	560,578,024		$	148,079,488		$	20,178,215		$	319,584,545	$	294,878,329

See accompanying notes to financial statements.

39  |

Statements of Assets & Liabilities (continued)

June 30, 2013 (Unaudited)

	CGM Advisor Targeted Equity Fund		Harris Associates Large Cap Value Fund		McDonnell Intermediate Municipal Bond Fund			Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	468,142,053	$	125,337,646	$	643,264		$	140,690,352	$	43,642,261
Shares of beneficial interest		40,005,327		6,737,215		67,518			6,520,273		2,393,014
Net asset value and redemption price per share	$	11.70	$	18.60	$	9.53		$	21.58	$	18.24
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	12.41	$	19.73	$	9.88		$	22.90	$	19.35
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,653,734	$	1,763,478	$	—		$	2,527,497	$	—
Shares of beneficial interest		254,512		103,225		—			143,308		—
Net asset value and offering price per share	$	10.43	$	17.08	$	—		$	17.64	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	35,693,721	$	6,729,597	$	954		$	28,310,837	$	9,147,081
Shares of beneficial interest		3,444,416		395,966		100			1,606,268		512,851
Net asset value and offering price per share	$	10.36	$	17.00	$	9.52	*	$	17.63	$	17.84
Class N shares:
Net assets	$	—	$	—	$	—		$	—	$	1,047
Shares of beneficial interest		—		—		—			—		57
Net asset value, offering and redemption price per share	$	—	$	—	$	—		$	—	$	18.35	*
Class Y shares:
Net assets	$	54,088,516	$	14,248,767	$	19,533,997		$	148,055,859	$	242,087,940
Shares of beneficial interest		4,502,318		739,854		2,050,727			6,752,218		13,191,121
Net asset value, offering and redemption price per share	$	12.01	$	19.26	$	9.53		$	21.93	$	18.35

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

See accompanying notes to financial statements.

|  40

Statements of Operations

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

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			McDonnell Intermediate Municipal Bond Fund
INVESTMENT INCOME
Dividends	$	2,702,518		$	1,155,713		$	—
Interest		321			215			154,557
Less net foreign taxes withheld		(59,366	)		(1,871	)		—
		2,643,473			1,154,057			154,557
Expenses
Management fees (Note 5)		2,012,254			502,298			37,326
Service and distribution fees (Note 5)		789,307			194,362			57
Administrative fees (Note 5)		124,849			31,670			4,119
Trustees’ fees and expenses (Note 5)		31,921			47,784			7,719
Transfer agent fees and expenses (Note 5)		265,167			106,777			111
Audit and tax services fees		22,304			20,976			21,566
Custodian fees and expenses		13,549			10,992			6,720
Legal fees		3,860			974			126
Registration fees		34,222			31,202			10,187
Shareholder reporting expenses		32,622			927			636
Miscellaneous expenses		10,626			5,760			7,420
Total expenses		3,340,681			953,722			95,987
Less waiver and/or expense reimbursement (Note 5)		—			(5,913	)		(44,606	)
Net expenses		3,340,681			947,809			51,381
Net investment income (loss)		(697,208	)		206,248			103,176
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		53,944,441			5,215,671			(69,959	)
Foreign currency transactions		140			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		21,762,821			15,283,498			(659,663	)
Foreign currency translations		(236	)		—			—
Net realized and unrealized gain (loss) on investments and foreign currency transactions		75,707,166			20,499,169			(729,622	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	75,009,958		$	20,705,417		$	(626,446	)

See accompanying notes to financial statements.

41  |

Statements of Operations (continued)

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

	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	3,485,445	(a)	$	1,630,736	(a)
Interest		240			178
Less net foreign taxes withheld		(3,715	)		—
		3,481,970			1,630,914
Expenses
Management fees (Note 5)		1,476,452			981,855
Service and distribution fees (Note 5)		345,100			73,821
Administrative fees (Note 5)		72,414			54,161
Trustees’ fees and expenses (Note 5)		15,041			10,530
Transfer agent fees and expenses (Note 5)		208,518			102,109
Audit and tax services fees		20,031			19,424
Custodian fees and expenses		14,535			13,854
Legal fees		2,255			1,550
Registration fees		34,308			43,564
Shareholder reporting expenses		25,021			16,058
Miscellaneous expenses		10,476			6,423
Total expenses		2,224,151			1,323,349
Less waiver and/or expense reimbursement (Note 5)		—			(3	)
Net expenses		2,224,151			1,323,346
Net investment income		1,257,819			307,568
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		29,885,942			7,231,923
Foreign currency transactions		(7	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		19,462,556			31,536,823
Net realized and unrealized gain on investments and foreign currency transactions		49,348,491			38,768,746
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	50,606,310		$	39,076,314

(a) Includes non-recurring dividends of $1,084,329 and $204,850 for Vaughan Nelson Small Cap Value Fund and Vaughan Nelson Value Opportunity Fund, respectively.

See accompanying notes to financial statements.

|  42

Statements of Changes in Net Assets

	CGM Advisor Targeted Equity Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income (loss)	$	(697,208	)	$	4,315,207
Net realized gain on investments and foreign currency transactions		53,944,581			47,298,215
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		21,762,585			31,061,066
Net increase in net assets resulting from operations		75,009,958			82,674,488
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(4,303	)		(3,813,264	)
Class B		(98	)		(610	)
Class C		(360	)		(31,566	)
Class Y		(464	)		(557,124	)
Net realized capital gains
Class A		—			(19,506,253	)
Class B		—			(170,718	)
Class C		—			(1,766,210	)
Class Y		—			(2,163,006	)
Total distributions		(5,225	)		(28,008,751	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(41,269,986	)		(140,868,009	)
Net increase (decrease) in net assets		33,734,747			(86,202,272	)
NET ASSETS
Beginning of the period		526,843,277			613,045,549
End of the period	$	560,578,024		$	526,843,277
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(1,468,219	)	$	(765,786	)

See accompanying notes to financial statements.

43  |

Statements of Changes in Net Assets (continued)

	Harris Associates Large Cap Value Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	206,248		$	996,366
Net realized gain on investments		5,215,671			3,988,484
Net change in unrealized appreciation (depreciation) on investments		15,283,498			15,718,145
Net increase in net assets resulting from operations		20,705,417			20,702,995
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(913,298	)
Class C		—			(8,756	)
Class Y		—			(122,737	)
Total distributions		—			(1,044,791	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(6,756,344	)		(10,081,022	)
Net increase in net assets		13,949,073			9,577,182
NET ASSETS
Beginning of the period		134,130,415			124,553,233
End of the period	$	148,079,488		$	134,130,415
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(199,139	)	$	(405,387	)

See accompanying notes to financial statements.

|  44

Statements of Changes in Net Assets (continued)

	McDonnell Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2013 (Unaudited)			Period Ended December 31, 2012 (a)
FROM OPERATIONS:
Net investment income (loss)	$	103,176		$	(15,423	)
Net realized gain (loss) on investments		(69,959	)		—
Net change in unrealized appreciation (depreciation) on investments		(659,663	)		(157,484	)
Net decrease in net assets resulting from operations		(626,446	)		(172,907	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(147	)		—
Class C		(1	)		—
Class Y		(103,028	)		—
Total distributions		(103,176	)		—
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		6,078,744			15,002,000
Net increase in net assets		5,349,122			14,829,093
NET ASSETS
Beginning of the period		14,829,093			—
End of the period	$	20,178,215		$	14,829,093
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	—		$	—

(a) From commencement of operations on November 16, 2012 through December 31, 2012.

See accompanying notes to financial statements.

45  |

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	1,257,819		$	2,665,810
Net realized gain on investments and foreign currency transactions		29,885,935			25,929,887
Net change in unrealized appreciation (depreciation) on investments		19,462,556			24,173,221
Net increase in net assets resulting from operations		50,606,310			52,768,918
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(33,194	)		(1,095,844	)
Class B		(812	)		—
Class C		(8,031	)		(23,674	)
Class Y		(33,951	)		(1,287,864	)
Net realized capital gains
Class A		(3,338,562	)		(11,383,253	)
Class B		(82,571	)		(256,797	)
Class C		(816,414	)		(2,136,731	)
Class Y		(3,451,488	)		(8,612,912	)
Total distributions		(7,765,023	)		(24,797,075	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(46,712,312	)		(98,018,043	)
Net decrease in net assets		(3,871,025	)		(70,046,200	)
NET ASSETS
Beginning of the period		323,455,570			393,501,770
End of the period	$	319,584,545		$	323,455,570
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	1,052,359		$	(129,472	)

See accompanying notes to financial statements.

|  46

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2013 (Unaudited)			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	307,568		$	2,073,764
Net realized gain on investments		7,231,923			6,478,478
Net change in unrealized appreciation (depreciation) on investments		31,536,823			14,399,847
Net increase in net assets resulting from operations		39,076,314			22,952,089
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(246,978	)
Class C		—			(7,944	)
Class Y		—			(1,789,205	)
Net realized capital gains
Class A		(283,520	)		(707,026	)
Class C		(38,908	)		(78,628	)
Class Y		(1,496,241	)		(4,019,631	)
Total distributions		(1,818,669	)		(6,849,412	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		62,560,826			46,408,042
Net increase in net assets		99,818,471			62,510,719
NET ASSETS
Beginning of the period		195,059,858			132,549,139
End of the period	$	294,878,329		$	195,059,858
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	266,944		$	(40,624	)

See accompanying notes to financial statements.

47  |

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|  48

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
6/30/2013(g)	$	10.23	$	(0.01	)	$	1.48		$	1.47		$	(0.00	)	$	—		$	(0.00	)
12/31/2012		9.36		0.08	(h)		1.36			1.44			(0.09	)		(0.48	)		(0.57	)
12/31/2011		11.12		0.05			(1.76	)		(1.71	)		(0.05	)		—			(0.05	)
12/31/2010		9.54		0.05	(i)		1.58			1.63			(0.05	)		—			(0.05	)
12/31/2009		7.66		0.05			1.88			1.93			(0.05	)		—			(0.05	)
12/31/2008		13.01		0.09			(4.94	)		(4.85	)		(0.06	)		(0.44	)		(0.50	)
Class B
6/30/2013(g)		9.15		(0.05	)		1.33			1.28			(0.00	)		—			(0.00	)
12/31/2012		8.41		(0.00	)(h)		1.22			1.22			(0.00	)		(0.48	)		(0.48	)
12/31/2011		10.01		(0.03	)		(1.57	)		(1.60	)		—			—			—
12/31/2010		8.61		(0.02	)(i)		1.42			1.40			(0.00	)		—			(0.00	)
12/31/2009		6.92		(0.01	)		1.70			1.69			—			—			—
12/31/2008		11.81		(0.00	)		(4.45	)		(4.45	)		(0.00	)		(0.44	)		(0.44	)
Class C
6/30/2013(g)		9.09		(0.05	)		1.32			1.27			(0.00	)		—			(0.00	)
12/31/2012		8.37		(0.00	)(h)		1.20			1.20			(0.00	)		(0.48	)		(0.48	)
12/31/2011		9.96		(0.03	)		(1.56	)		(1.59	)		—			—			—
12/31/2010		8.57		(0.02	)(i)		1.41			1.39			(0.00	)		—			(0.00	)
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		—			(0.00	)
12/31/2008		11.79		0.02			(4.46	)		(4.44	)		(0.02	)		(0.44	)		(0.46	)
Class Y
6/30/2013(g)		10.49		0.00			1.52			1.52			(0.00	)		—			(0.00	)
12/31/2012		9.59		0.11	(h)		1.39			1.50			(0.12	)		(0.48	)		(0.60	)
12/31/2011		11.40		0.07			(1.80	)		(1.73	)		(0.08	)		—			(0.08	)
12/31/2010		9.78		0.07	(i)		1.63			1.70			(0.08	)		—			(0.08	)
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		—			(0.08	)
12/31/2008		13.32		0.13			(5.09	)		(4.96	)		(0.08	)		(0.44	)		(0.52	)

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

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

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

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

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the 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.

See accompanying notes to financial statements.

49  |

										Ratios to Average Net Assets:
Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—		$	11.70		14.37		$	468,142		1.15		1.15		(0.22	)		81
	—			10.23		15.44	(h)		438,288		1.18		1.18		0.78	(h)		192
	—			9.36		(15.36	)		503,330		1.13		1.13		0.45			236
	—			11.12		17.14			753,518		1.16		1.16		0.52	(i)		146
	—			9.54		25.19			693,386		1.19		1.19		0.69			170
	0.00	(j)		7.66		(38.36	)		796,146		1.10		1.10		0.83			211
	—			10.43		13.99			2,654		1.90		1.90		(0.98	)		81
	—			9.15		14.54	(h)		3,447		1.93		1.93		(0.05	)(h)		192
	—			8.41		(15.98	)		5,296		1.88		1.88		(0.32	)		236
	—			10.01		16.26			9,934		1.91		1.91		(0.28	)(i)		146
	—			8.61		24.42			12,401		1.94		1.94		(0.11	)		170
	0.00	(j)		6.92		(38.90	)		13,971		1.85		1.85		(0.03	)		211
	—			10.36		13.97			35,694		1.90		1.90		(0.97	)		81
	—			9.09		14.45	(h)		35,225		1.93		1.93		(0.02	)(h)		192
	—			8.37		(15.96	)		47,416		1.88		1.88		(0.32	)		236
	—			9.96		16.22			81,291		1.91		1.91		(0.23	)(i)		146
	—			8.57		24.42			75,098		1.95		1.95		(0.14	)		170
	0.00	(j)		6.89		(38.85	)		59,544		1.85		1.85		0.17			211
	—			12.01		14.49			54,089		0.90		0.90		0.03			81
	—			10.49		15.69	(h)		49,884		0.93		0.93		1.02	(h)		192
	—			9.59		(15.16	)		57,003		0.87		0.87		0.62			236
	—			11.40		17.39			137,631		0.91		0.91		0.69	(i)		146
	—			9.78		25.75			265,441		0.94		0.94		0.64			170
	0.00	(j)		7.84		(38.28	)		44,240		0.85		0.85		1.21			211

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

(h) Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A , Class B, Class C and Class Y shares, respectively, total returns would have been 14.81%, 13.83%, 13.86% and 14.96% for Class A , Class B, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.21%, (0.56)%, (0.55)% and 0.47% for Class A , Class B, Class C and Class Y shares, respectively.

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

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

See accompanying notes to financial statements.

|  50

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains		Total distributions (b)
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Class A
6/30/2013(g)	$	16.09	$	0.03		$	2.48		$	2.51		$	—		$	—	$	—
12/31/2012		13.86		0.12			2.24			2.36			(0.13	)		—		(0.13	)
12/31/2011		14.17		0.08			(0.30	)		(0.22	)		(0.09	)		—		(0.09	)
12/31/2010		12.58		0.05			1.60			1.65			(0.06	)		—		(0.06	)
12/31/2009		8.77		0.05	(i)		3.81			3.86			(0.05	)		—		(0.05	)
12/31/2008		14.97		0.13			(6.20	)		(6.07	)		(0.13	)		—		(0.13	)
Class B
6/30/2013(g)		14.83		(0.04	)		2.29			2.25			—			—		—
12/31/2012		12.76		(0.01	)		2.08			2.07			—			—		—
12/31/2011		13.07		(0.03	)		(0.28	)		(0.31	)		(0.00	)		—		(0.00	)
12/31/2010		11.65		(0.05	)		1.48			1.43			(0.01	)		—		(0.01	)
12/31/2009		8.16		(0.02	)(i)		3.52			3.50			(0.01	)		—		(0.01	)
12/31/2008		13.84		0.03			(5.70	)		(5.67	)		(0.01	)		—		(0.01	)
Class C
6/30/2013(g)		14.75		(0.04	)		2.29			2.25			—			—		—
12/31/2012		12.72		0.00			2.05			2.05			(0.02	)		—		(0.02	)
12/31/2011		13.02		(0.03	)		(0.27	)		(0.30	)		(0.00	)		—		(0.00	)
12/31/2010		11.61		(0.05	)		1.47			1.42			(0.01	)		—		(0.01	)
12/31/2009		8.13		(0.02	)(i)		3.51			3.49			(0.01	)		—		(0.01	)
12/31/2008		13.82		0.03			(5.69	)		(5.66	)		(0.03	)		—		(0.03	)
Class Y
6/30/2013(g)		16.63		0.05			2.58			2.63			—			—		—
12/31/2012		14.32		0.17			2.31			2.48			(0.17	)		—		(0.17	)
12/31/2011		14.65		0.12			(0.33	)		(0.21	)		(0.12	)		—		(0.12	)
12/31/2010		12.99		0.08			1.67			1.75			(0.09	)		—		(0.09	)
12/31/2009		9.05		0.08	(i)		3.93			4.01			(0.07	)		—		(0.07	)
12/31/2008		15.47		0.19			(6.42	)		(6.23	)		(0.19	)		—		(0.19	)

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

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

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

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

See accompanying notes to financial statements.

51  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	18.60		15.60		$	125,338		1.30			1.31			0.31			16
	—		16.09		17.03			113,870		1.30			1.33			0.77			25
	—		13.86		(1.56	)		107,978		1.30	(h)		1.30	(h)		0.57			36
	—		14.17		13.08			118,938		1.30			1.39			0.36			32
	0.00		12.58		44.03			113,309		1.30			1.50			0.53			131
	—		8.77		(40.45	)		85,761		1.28			1.28			1.04			38
	—		17.08		15.17			1,763		2.05			2.05			(0.45	)		16
	—		14.83		16.22			2,145		2.05			2.08			(0.04	)		25
	—		12.76		(2.34	)		3,341		2.05	(h)		2.05	(h)		(0.21	)		36
	—		13.07		12.31			5,614		2.05			2.13			(0.40	)		32
	0.00		11.65		42.88			7,864		2.05			2.25			(0.22	)		131
	—		8.16		(40.87	)		8,191		2.03			2.04			0.25			38
	—		17.00		15.25			6,730		2.05			2.06			(0.44	)		16
	—		14.75		16.13			6,016		2.05			2.08			0.02			25
	—		12.72		(2.28	)		5,667		2.05	(h)		2.05	(h)		(0.19	)		36
	—		13.02		12.26			7,399		2.05			2.14			(0.39	)		32
	0.00		11.61		42.91			7,208		2.05			2.25			(0.22	)		131
	—		8.13		(40.90	)		6,222		2.03			2.03			0.26			38
	—		19.26		15.81			14,249		1.05			1.06			0.56			16
	—		16.63		17.33			12,100		1.05			1.09			1.04			25
	—		14.32		(1.40	)		7,567		1.05	(h)		1.05	(h)		0.80			36
	—		14.65		13.47			9,586		1.05			1.14			0.61			32
	0.00		12.99		44.39			7,450		1.05			1.12			0.77			131
	—		9.05		(40.18	)		5,842		0.84			0.84			1.47			38

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

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

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

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

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

See accompanying notes to financial statements.

|  52

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
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
Class A
6/30/2013(f)	$	9.89	$	0.05		$	(0.37	)	$	(0.32	)	$	(0.04	)	$	—	$	(0.04	)
12/31/2012(g)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class C
6/30/2013(f)		9.89		0.01			(0.37	)		(0.36	)		(0.01	)		—		(0.01	)
12/31/2012(g)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class Y
6/30/2013(f)		9.88		0.05			(0.34	)		(0.29	)		(0.06	)		—		(0.06	)
12/31/2012(g)		10.00		(0.01	)		(0.11	)		(0.12	)		—			—		—

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

(g) From commencement of operations on November 16, 2012 through December 31, 2012.

(h) Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

53  |

							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 (%) (d)(e)			Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
$	9.53		(3.22	)	$	643		0.80			1.67		1.04			13
	9.89		(1.10	)		1		2.19	(h)		2.23		(0.71	)		0
	9.52		(3.65	)		1		1.55			1.70		0.13			13
	9.89		(1.10	)		1		2.20	(h)		2.24		(0.73	)		0
	9.53		(3.00	)		19,534		0.55			1.03		1.11			13
	9.88		(1.20	)		14,827		2.33	(h)		2.37		(0.84	)		0

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
6/30/2013(g)	$	18.97	$	0.07	(h)	$	3.06		$	3.13		$	(0.01	)	$	(0.51	)	$	(0.52	)
12/31/2012		17.74		0.13	(i)		2.50			2.63			(0.14	)		(1.26	)		(1.40	)
12/31/2011		22.69		0.10			(0.83	)		(0.73	)		(0.09	)		(4.13	)		(4.22	)
12/31/2010		22.31		(0.01	)		5.27			5.26			—			(4.90	)		(4.90	)
12/31/2009		17.42		0.05	(j)		4.88			4.93			(0.04	)		—			(0.04	)
12/31/2008		22.11		0.03			(4.69	)		(4.66	)		—			(0.03	)		(0.03	)
Class B
6/30/2013(g)		15.65		(0.00	)(h)		2.51			2.51			(0.01	)		(0.51	)		(0.52	)
12/31/2012		14.84		(0.02	)(i)		2.09			2.07			—			(1.26	)		(1.26	)
12/31/2011		19.73		(0.07	)		(0.69	)		(0.76	)		(0.00	)		(4.13	)		(4.13	)
12/31/2010		20.06		(0.17	)		4.72			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.09	)(j)		4.39			4.30			—			—			—
12/31/2008		20.15		(0.14	)		(4.22	)		(4.36	)		—			(0.03	)		(0.03	)
Class C
6/30/2013(g)		15.64		0.00	(h)		2.51			2.51			(0.01	)		(0.51	)		(0.52	)
12/31/2012		14.85		(0.01	)(i)		2.08			2.07			(0.02	)		(1.26	)		(1.28	)
12/31/2011		19.74		(0.06	)		(0.70	)		(0.76	)		—			(4.13	)		(4.13	)
12/31/2010		20.07		(0.16	)		4.71			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.08	)(j)		4.39			4.31			—			—			—
12/31/2008		20.16		(0.13	)		(4.24	)		(4.37	)		—			(0.03	)		(0.03	)
Class Y
6/30/2013(g)		19.24		0.11	(h)		3.10			3.21			(0.01	)		(0.51	)		(0.52	)
12/31/2012		17.99		0.18	(i)		2.53			2.71			(0.20	)		(1.26	)		(1.46	)
12/31/2011		22.96		0.15			(0.84	)		(0.69	)		(0.15	)		(4.13	)		(4.28	)
12/31/2010		22.47		0.06			5.31			5.37			—			(4.90	)		(4.90	)
12/31/2009		17.55		0.12	(j)		4.90			5.02			(0.10	)		—			(0.10	)
12/31/2008		22.20		0.12			(4.74	)		(4.62	)		—			(0.03	)		(0.03	)

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

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

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

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

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the 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).

See accompanying notes to financial statements.

55  |

												Ratios to Average Net Assets:
Increase from regulatory settlements		Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	—		$	21.58		16.63	(h)	$	140,690		1.39			1.39			0.69	(h)		38
	—		—			18.97		14.93	(i)		160,400		1.39			1.39			0.67	(i)		73
	—		—			17.74		(3.77	)		228,445		1.36			1.36			0.44			88
	0.02		—			22.69		23.67			267,192		1.41			1.41			(0.03	)		80
	—		—			22.31		28.30			322,961		1.45			1.49			0.27			102
	—		0.00	(k)		17.42		(21.11	)		171,875		1.45			1.51			0.13			124
	—		—			17.64		16.19	(h)		2,527		2.14			2.14			(0.05	)(h)		38
	—		—			15.65		14.12	(i)		3,106		2.14			2.14			(0.14	)(i)		73
	—		—			14.84		(4.51	)		4,657		2.11			2.11			(0.38	)		88
	0.02		—			19.73		22.78			7,996		2.16			2.16			(0.78	)		80
	—		—			20.06		27.28			10,630		2.20			2.24			(0.56	)		102
	—		0.00	(k)		15.76		(21.67	)		11,788		2.20			2.26			(0.78	)		124
	—		—			17.63		16.20	(h)		28,311		2.15			2.15			0.01	(h)		38
	—		—			15.64		14.08	(i)		26,980		2.14			2.14			(0.07	)(i)		73
	—		—			14.85		(4.51	)		30,284		2.11			2.11			(0.33	)		88
	0.02		—			19.74		22.78			38,855		2.16			2.16			(0.76	)		80
	—		—			20.07		27.35			39,238		2.20			2.24			(0.48	)		102
	—		0.00	(k)		15.76		(21.71	)		21,861		2.20			2.26			(0.68	)		124
	—		—			21.93		16.81	(h)		148,056		1.15			1.15			1.01	(h)		38
	—		—			19.24		15.18	(i)		132,970		1.14			1.14			0.95	(i)		73
	—		—			17.99		(3.54	)		130,115		1.10			1.10			0.65			88
	0.02		—			22.96		24.00			217,305		1.16			1.16			0.24			80
	—		—			22.47		28.61			232,903		1.18	(l)		1.18	(l)		0.60			102
	—		0.00	(k)		17.55		(20.81	)		71,568		1.20			1.21			0.65			124

(h) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.06), $(0.06) and $0.03 for Class A, Class B, Class C and Class Y shares, respectively, total return would have been 16.25%, 15.79%, 15.80% and 16.39% for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.73)%, (0.69)% and 0.32% for Class A, Class B, Class C and Class Y shares, respectively.

(i) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.04, $(0.09), $(0.08) and $0.10 for Class A , Class B, Class C and Class Y shares, respectively, total return would have been 14.42%, 13.64%, 13.52% and 14.73% for Class A, Class B, Class C and Class Y shares, respectively and the ratio of net investment income (loss) to average net assets would have been 0.22%, (0.56)%, (0.51)% and 0.50% for Class A, Class B, Class C and Class Y shares, respectively.

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

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

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

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Distributions from paid-in capital
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
6/30/2013(g)	$	15.49	$	0.00	(h)	$	2.88		$	2.88		$	—		$	(0.13	)	$	—
12/31/2012		13.83		0.15	(i)		2.05			2.20			(0.14	)		(0.40	)		—
12/31/2011		14.75		(0.01	)		(0.39	)		(0.40	)		—			(0.52	)		—
12/31/2010		12.46		0.08	(k)		2.36			2.44			(0.07	)		(0.02	)		(0.06	)
12/31/2009		9.60		0.09			2.88			2.97			(0.04	)		(0.07	)		—
12/31/2008(l)		10.00		0.03			(0.41	)		(0.38	)		(0.02	)		—			—
Class C
6/30/2013(g)		15.21		(0.05	)(h)		2.81			2.76			—			(0.13	)		—
12/31/2012		13.60		0.04	(i)		2.01			2.05			(0.04	)		(0.40	)		—
12/31/2011		14.63		(0.12	)		(0.39	)		(0.51	)		—			(0.52	)		—
12/31/2010		12.39		(0.03	)(k)		2.36			2.33			(0.04	)		(0.02	)		(0.03	)
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		—
12/31/2008(l)		10.00		0.02			(0.41	)		(0.39	)		(0.02	)		—			—
Class N
6/30/2013(m)		17.53		0.01			0.81			0.82			—			—			—
Class Y
6/30/2013(g)		15.57		0.03	(h)		2.88			2.91			—			(0.13	)		—
12/31/2012		13.89		0.18	(i)		2.08			2.26			(0.18	)		(0.40	)		—
12/31/2011		14.80		0.03			(0.41	)		(0.38	)		(0.01	)		(0.52	)		—
12/31/2010		12.49		0.12	(k)		2.37			2.49			(0.09	)		(0.02	)		(0.07	)
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		—
12/31/2008(l)		10.00		0.03			(0.40	)		(0.37	)		(0.03	)		—			—

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

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

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

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

(e) The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the 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) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $(0.01), $(0.07) and $0.01 for Class A, Class C and Class Y shares, respectively, total return would have been 18.51%, 18.06% and 18.67% for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been (0.11)%, (0.76)% and 0.14% for Class A, Class C and Class Y shares, respectively.

See accompanying notes to financial statements.

57  |

									Ratios to Average Net Assets:
Total distributions		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$(0.13)	$	18.24		18.63	(h)	$	43,642		1.27			1.27			0.06	(h)		23
	(0.54)		15.49		15.93	(i)		28,381		1.31			1.31			0.97	(i)		65
	(0.52)		13.83		(2.71	)		21,308		1.40	(j)		1.40	(j)		(0.07	)		75
	(0.15)		14.75		19.64			11,268		1.40			1.69			0.62	(k)		143
	(0.11)		12.46		30.98			3,645		1.40			5.24			0.79			45
	(0.02)		9.60		(3.75	)		16		1.40			39.61			1.92			12
	(0.13)		17.84		18.19	(h)		9,147		2.02			2.02			(0.64	)(h)		23
	(0.44)		15.21		15.10	(i)		3,090		2.06			2.06			0.24	(i)		65
	(0.52)		13.60		(3.48	)		1,822		2.15	(j)		2.15	(j)		(0.83	)		75
	(0.09)		14.63		18.85			824		2.15			2.46			(0.23	)(k)		143
	(0.07)		12.39		30.01			370		2.15			8.54			(0.14	)		45
	(0.02)		9.59		(3.90	)		41		2.15			40.36			1.62			12
	—		18.35		4.68			1		1.10			3.00			0.43			23
	(0.13)		18.35		18.73	(h)		242,088		1.02			1.02			0.31	(h)		23
	(0.58)		15.57		16.28	(i)		163,589		1.06			1.06			1.22	(i)		65
	(0.53)		13.89		(2.53	)		109,419		1.15	(j)		1.15	(j)		0.23			75
	(0.18)		14.80		19.96			40,715		1.15			1.43			0.92	(k)		143
	(0.11)		12.49		31.37			8,626		1.15			7.22			0.90			45
	(0.03)		9.60		(3.74	)		960		1.15			38.91			1.41			12

(i) Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A , Class B, Class C and Class Y shares, respectively, total returns would have been 14.81% ,13.83% , 13.86% and 14.96% for Class A , Class B, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.21%, (0.56)%, (0.55)% and 0.47% for Class A , Class B, Class C and Class Y shares, respectively.

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

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

(l) From commencement of operations on October 31, 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.

|  58

Notes to Financial Statements

June 30, 2013 (Unaudited)

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

Natixis Funds Trust I:

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

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

Natixis Funds Trust II:

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

McDonnell Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

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

On February 14, 2013, there was a contribution to Intermediate Municipal Bond Fund by Natixis Global Asset Management, L.P. (“Natixis US”) of $5,000,000.

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Effective May 1, 2013, Value Opportunity Fund began offering Class N shares. Effective October 12, 2007, Class B shares of Targeted Equity Fund, Large Cap Value Fund and Small Cap Value Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.

Effective July 31, 2009, the Small Cap Value Fund was closed to new investors. The Fund continues to offer Class A, Class C and Class Y shares to existing investors. The Fund, in its sole discretion, may permit an investor in another Vaughan Nelson-managed fund or product that follows the same investment strategy as the Fund to transfer assets from that fund or product into the Fund.

Class A shares are sold with a maximum front-end sales charge of 5.75%, with the exception of Intermediate Municipal Bond Fund, which is sold with a maximum front-end sales charge of 3.50%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales

59  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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 Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees 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.

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.  Valuation.  Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadvisers and approved by the Board of Trustees. Such independent pricing services generally use the 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 subadvisers and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid prices may also be used to value debt and equity securities where an independent

|  60

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser or subadvisers using consistently applied procedures under the general supervision of the Board of Trustees.

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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investment securities, income and expenses are translated on the respective dates of such transactions.

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

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

d.  Federal and Foreign Income Taxes.  Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each 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.

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

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Notes to Financial Statements (continued)

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on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

e.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, deferred Trustees’ fees, net operating losses, distribution redesignations, return of capital and capital gain distributions received and distributions in excess of current earnings. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales and return of capital distributions received. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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

	2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Targeted Equity Fund	$	4,402,564	$	23,606,187	$	28,008,751
Large Cap Value Fund		1,044,791		—		1,044,791
Intermediate Municipal Bond Fund		—		—		—
Small Cap Value Fund		4,733,385		20,063,690		24,797,075
Value Opportunity Fund		4,894,888		1,954,524		6,849,412

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

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

	Targeted Equity Fund			Large Cap Value Fund			Intermediate Municipal Bond Fund		Small Cap Value Fund		Value Opportunity Fund
Capital loss carryforward:
Short-term:
Expires:
December 31, 2017	$	—		$	(5,297,011	)	$	—	$	—	$	—
December 31, 2018		—			(790,094	)		—		—		—
Total capital loss carryforwards	$	—		$	(6,087,105	)	$	—	$	—	$	—
Post-October capital loss deferrals*	$	(3,709,332	)	$	—		$	—	$	—	$	—

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

f.  Repurchase Agreements.  It is each 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.

g.  Delayed Delivery Commitments.  The Funds may purchase securities for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment. No interest accrues to each Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in the portfolio. Risks may

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Notes to Financial Statements (continued)

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arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2013, none of the Funds had loaned securities under this agreement.

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

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

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

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

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• 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:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	551,790,627	$	—	$	—	$	551,790,627
Short-Term Investments		—		10,225,000		—		10,225,000
Total	$	551,790,627	$	10,225,000	$	—	$	562,015,627

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

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

Large Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	141,792,153	$	—	$	—	$	141,792,153
Short-Term Investments		—		6,875,538		—		6,875,538
Total	$	141,792,153	$	6,875,538	$	—	$	148,667,691

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

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

Intermediate Municipal Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	18,664,359	$	—	$	18,664,359
Short-Term Investments		—		1,498,947		—		1,498,947
Total	$	—	$	20,163,306	$	—	$	20,163,306

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

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Notes to Financial Statements (continued)

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

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	308,024,519	$	—	$	—	$	308,024,519
Closed End Investment Companies		8,404,350		—		—		8,404,350
Short-Term Investments		—		5,510,996		—		5,510,996
Total	$	316,428,869	$	5,510,996	$	—	$	321,939,865

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

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

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	282,468,596	$	—	$	—	$	282,468,596
Closed End Investment Companies		3,688,110		—		—		3,688,110
Short-Term Investments		—		8,699,203		—		8,699,203
Total	$	286,156,706	$	8,699,203	$	—	$	294,855,909

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

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

4.  Purchases and Sales of Securities.  For the six months ended June 30, 2013, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	448,968,644	$	484,817,701
Large Cap Value Fund		22,400,276		30,115,982
Intermediate Municipal Bond Fund		7,502,067		2,348,142
Small Cap Value Fund		121,267,647		174,853,761
Value Opportunity Fund		116,163,189		55,703,231

5. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management

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Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $300 million			Next $500 million			Next $1 billion			Over $2 billion
Targeted Equity Fund		0.75	%		0.70	%		0.65	%		0.65	%		0.60	%
Large Cap Value Fund		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Intermediate Municipal Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Value Opportunity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%

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

Large Cap Value Fund	Harris Associates L.P. (“Harris”)
Intermediate Municipal Bond Fund	McDonnell Investment Management, LLC (“McDonnell”)
Small Cap Value Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund	Vaughan Nelson

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

NGAM Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 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 B			Class C			Class N			Class Y
Large Cap Value Fund		1.30	%		2.05	%		2.05	%		—			1.05	%
Intermediate Municipal Bond Fund		0.80	%		—			1.55	%		—			0.55	%
Small Cap Value Fund		1.45	%		2.20	%		2.20	%		—			1.20	%
Value Opportunity Fund		1.40	%		—			2.15	%		1.10	%		1.15	%

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

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
							Gross			Net
Targeted Equity Fund	$	2,012,254	$	—	$	2,012,254		0.71	%		0.71	%
Large Cap Value Fund		502,298		5,913		496,385		0.70	%		0.69	%
Intermediate Municipal Bond Fund		37,326		37,326		—		0.40	%		—
Small Cap Value Fund		1,476,452		—		1,476,452		0.90	%		0.90	%
Value Opportunity Fund		981,855		—		981,855		0.80	%		0.80	%

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

For the six months ended June 30, 2013, expenses have been reimbursed as follows:

Fund	Reimbursement2
Intermediate Municipal Bond Fund	$	7,280

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

	Reimbursement2
Fund	Class N
Value Opportunity 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 limitation agreements.

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, CGM, Harris, McDonnell and Vaughan Nelson are subsidiaries of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Service and Distribution Fees.  NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution

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agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.

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

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

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

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

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 B		Class C		Class B		Class C
Targeted Equity Fund	$	590,186	$	3,886	$	45,894	$	11,658	$	137,683
Large Cap Value Fund		152,253		2,456		8,071		7,368		24,214
Intermediate Municipal Bond Fund		52		—		1		—		4
Small Cap Value Fund		191,957		3,524		34,762		10,571		104,286
Value Opportunity Fund		46,656		—		6,791		—		20,374

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575%

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Notes to Financial Statements (continued)

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of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

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

Fund	Administrative Fees
Targeted Equity Fund	$	124,849
Large Cap Value Fund		31,670
Intermediate Municipal Bond Fund		4,119
Small Cap Value Fund		72,414
Value Opportunity Fund		54,161

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.

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 the following:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	104,935
Large Cap Value Fund		27,118
Intermediate Municipal Bond Fund		8
Small Cap Value Fund		148,707
Value Opportunity Fund		97,624

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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
Targeted Equity Fund	$	2,675
Large Cap Value Fund		623
Small Cap Value Fund		3,724
Value Opportunity Fund		2,508

Sub-transfer agent fees attributable to Class A, Class B, 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
Targeted Equity Fund	$	64,794
Large Cap Value Fund		15,490
Small Cap Value Fund		12,226
Value Opportunity Fund		28,794

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. Effective January 1, 2013, 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 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.

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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 on the Statements of Assets and Liabilities.

g.  Affiliated Ownership.  At June 30, 2013, Natixis US held shares of Intermediate Municipal Bond Fund and Value Opportunity Fund representing 95.16% and less than 0.01% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

6.  Class-Specific Expenses.  For the period from May 1, 2013 through June 30, 2013, Value Opportunity 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.

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.

During the six months ended June 30, 2013, Small Cap Value Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $20,519,304 at a weighted average interest rate of 1.42%. Interest expense incurred was $2,428.

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

73  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

Operations. For the six months ended June 30, 2013, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	125,488

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, certain Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:

Fund	Number of > 5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership			Total Percentage of Ownership
Large Cap Value Fund		1		6.79	%		—			6.79	%
Intermediate Municipal Bond Fund		—		—			95.16	%		95.16	%
Small Cap Value Fund		1		8.30	%		—			8.30	%
Value Opportunity Fund		1		12.99	%		0.00	%*		12.99	%

Omnibus shareholders accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Fund does 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.

* Represents less than 0.01%.

|  74

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
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	863,753		$	9,804,096		1,244,172		$	12,681,069
Issued in connection with the reinvestment of distributions	367			4,097		2,186,579			22,106,299
Redeemed	(3,707,401	)		(42,549,481	)	(14,333,293	)		(145,957,912	)
Net change	(2,843,281	)	$	(32,741,288	)	(10,902,542	)	$	(111,170,544	)
Class B
Issued from the sale of shares	1,790		$	18,588		11,137		$	102,054
Issued in connection with the reinvestment of distributions	10			96		17,902			161,835
Redeemed	(124,055	)		(1,263,097	)	(282,048	)		(2,571,222	)
Net change	(122,255	)	$	(1,244,413	)	(253,009	)	$	(2,307,333	)
Class C
Issued from the sale of shares	140,860		$	1,390,532		354,260		$	3,184,715
Issued in connection with the reinvestment of distributions	24			234		128,372			1,154,067
Redeemed	(570,741	)		(5,742,385	)	(2,275,351	)		(20,591,593	)
Net change	(429,857	)	$	(4,351,619	)	(1,792,719	)	$	(16,252,811	)
Class Y
Issued from the sale of shares	559,783		$	6,595,431		2,271,561		$	24,317,133
Issued in connection with the reinvestment of distributions	27			315		177,324			1,838,849
Redeemed	(813,779	)		(9,528,412	)	(3,636,450	)		(37,293,303	)
Net change	(253,969	)	$	(2,932,666	)	(1,187,565	)	$	(11,137,321	)
Increase (decrease) from capital share transactions	(3,649,362	)	$	(41,269,986	)	(14,135,835	)	$	(140,868,009	)

75  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

10. Capital Shares (continued).

	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Large Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	215,583		$	3,807,711		571,312		$	8,808,474
Issued in connection with the reinvestment of distributions	—			—		48,834			781,803
Redeemed	(557,035	)		(9,938,151	)	(1,333,266	)		(20,652,590	)
Net change	(341,452	)	$	(6,130,440	)	(713,120	)	$	(11,062,313	)
Class B
Issued from the sale of shares	465		$	7,526		5,514		$	79,569
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(41,901	)		(684,180	)	(122,644	)		(1,722,972	)
Net change	(41,436	)	$	(676,654	)	(117,130	)	$	(1,643,403	)
Class C
Issued from the sale of shares	13,146		$	213,754		44,036		$	614,371
Issued in connection with the reinvestment of distributions	—			—		374			5,481
Redeemed	(25,037	)		(404,478	)	(82,147	)		(1,165,567	)
Net change	(11,891	)	$	(190,724	)	(37,737	)	$	(545,715	)
Class Y
Issued from the sale of shares	104,098		$	1,933,158		446,523		$	7,104,087
Issued in connection with the reinvestment of distributions	—			—		6,927			114,635
Redeemed	(91,739	)		(1,691,684	)	(254,239	)		(4,048,313	)
Net change	12,359		$	241,474		199,211		$	3,170,409
Increase (decrease) from capital share transactions	(382,420	)	$	(6,756,344	)	(668,776	)	$	(10,081,022	)

|  76

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

10. Capital Shares (continued).

	Six Months Ended June 30, 2013					Period Ended December 31, 2012*
Intermediate Municipal Bond Fund	Shares			Amount		Shares		Amount
Class A
Issued from the sale of shares	67,403		$	638,114		100	$	1,000
Issued in connection with the reinvestment of distributions	15			148		—		—
Redeemed	—			—		—		—
Net change	67,418		$	638,262		100	$	1,000
Class C
Issued from the sale of shares	—		$	—		100	$	1,000
Issued in connection with the reinvestment of distributions	0	**		1		—		—
Redeemed	—			—		—		—
Net change	0	**	$	1		100	$	1,000
Class Y
Issued from the sale of shares	540,837		$	5,343,532		1,500,000	$	15,000,000
Issued in connection with the reinvestment of distributions	10,502			103,023		—		—
Redeemed	(612	)		(6,074	)	—		—
Net change	550,727		$	5,440,481		1,500,000	$	15,000,000
Increase (decrease) from capital share transactions	618,145		$	6,078,744		1,500,200	$	15,002,000

*   From commencement of operations on November 16, 2012 through December 31, 2012.

** Amount rounds to less than one share.

77  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

10. Capital Shares (continued).

	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	322,519		$	6,644,444		905,472		$	16,716,388
Issued in connection with the reinvestment of distributions	142,492			2,899,708		438,554			8,273,160
Redeemed	(2,401,861	)		(49,700,156	)	(5,765,681	)		(110,211,901	)
Net change	(1,936,850	)	$	(40,156,004	)	(4,421,655	)	$	(85,222,353	)
Class B
Issued from the sale of shares	5,685		$	97,505		16,274		$	256,874
Issued in connection with the reinvestment of distributions	4,964			82,704		16,395			255,633
Redeemed	(65,848	)		(1,123,746	)	(147,930	)		(2,337,894	)
Net change	(55,199	)	$	(943,537	)	(115,261	)	$	(1,825,387	)
Class C
Issued from the sale of shares	41,762		$	705,181		87,893		$	1,380,808
Issued in connection with the reinvestment of distributions	37,204			619,443		100,469			1,566,065
Redeemed	(198,268	)		(3,353,284	)	(502,562	)		(7,960,221	)
Net change	(119,302	)	$	(2,028,660	)	(314,200	)	$	(5,013,348	)
Class Y
Issued from the sale of shares	524,253		$	10,815,886		1,264,819		$	24,842,034
Issued in connection with the reinvestment of distributions	128,844			2,663,194		390,474			7,473,169
Redeemed	(810,942	)		(17,063,191	)	(1,978,724	)		(38,272,158	)
Net change	(157,845	)	$	(3,584,111	)	(323,431	)	$	(5,956,955	)
Increase (decrease) from capital share transactions	(2,269,196	)	$	(46,712,312	)	(5,174,547	)	$	(98,018,043	)

|  78

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

10. Capital Shares (continued).

	Six Months Ended June 30, 2013					Year Ended December 31, 2012
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	842,036		$	14,684,897		1,004,548		$	15,213,332
Issued in connection with the reinvestment of distributions	16,230			280,293		61,029			941,234
Redeemed	(297,227	)		(5,299,319	)	(774,396	)		(11,761,310	)
Net change	561,039		$	9,665,871		291,181		$	4,393,256
Class C
Issued from the sale of shares	339,598		$	5,913,903		126,208		$	1,867,002
Issued in connection with the reinvestment of distributions	2,170			36,723		5,492			83,139
Redeemed	(32,088	)		(541,953	)	(62,517	)		(925,300	)
Net change	309,680		$	5,408,673		69,183		$	1,024,841
Class N*
Issued from the sale of shares	57		$	1,000		—		$	—
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	—			—		—			—
Net change	57		$	1,000		—		$	—
Class Y
Issued from the sale of shares	3,936,272		$	69,227,136		5,743,517		$	87,929,210
Issued in connection with the reinvestment of distributions	68,650			1,192,452		280,268			4,346,477
Redeemed	(1,320,552	)		(22,934,306	)	(3,392,058	)		(51,285,742	)
Net change	2,684,370		$	47,485,282		2,631,727		$	40,989,945
Increase (decrease) from capital share transactions	3,555,146		$	62,560,826		2,992,091		$	46,408,042

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

11.  Special Meeting of Shareholders.  A special meeting of shareholders of the Trusts 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 Trusts. The results of the shareholder vote were as follows:

Natixis Funds Trust I

Nominee	Voted “FOR”*		Withheld*
Charles D. Baker		155,355,305		2,570,091
Edmond J. English		155,184,008		2,741,388
David L. Giunta		155,338,710		2,586,686
Martin T. Meehan		155,091,993		2,833,403

79  |

Notes to Financial Statements (continued)

June 30, 2013 (Unaudited)

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 Trusts: 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.

|  80

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: September 5, 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: September 5, 2013
By:	/s/ Michael C. Kardok
	Name: Michael C. Kardok
	Title: Treasurer
	Date: September 5, 2013

EX-99.CERT

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

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

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

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

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

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

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

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

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

Date: September 5, 2013

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

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

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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

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

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

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

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

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

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

Date: September 5, 2013

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.906CT

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended June 30, 2013 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

By: President and Chief Executive Officer Natixis Funds Trust II		By: Treasurer Natixis Funds Trust II
	/s/ David L. Giunta		/s/ Michael C. Kardok
	David L. Giunta		Michael C. Kardok
	Date: September 5, 2013		Date: September 5, 2013

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Natixis Funds Trust II, and will be retained by the Natixis Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request.