Natixis Funds Trust II

N-Q 1 d610507dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: September 30, 2013

ITEM 1 SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 80.1% of Net Assets
		Certificates of Deposit – 46.0%
	$1,300,000	BNP Paribas, 0.010%, 10/01/2013	$	1,300,000
	2,000,000	Credit Agricole, 0.030%, 10/01/2013		2,000,000
	2,000,000	Royal Bank of Canada, 0.030%, 10/01/2013		2,000,000
	2,000,000	National Bank of Kuwait, 0.230%, 10/02/2013		2,000,000
	1,500,000	Credit Industriel et Commercial, 0.150%, 10/08/2013		1,500,000
	1,000,000	Industrial & Commercial Bank of China, 0.330%, 10/15/2013		1,000,000
	1,500,000	Agricultural Bank of China, 0.330%, 10/28/2013		1,500,011
	1,000,000	Mizuho Corporate Bank, 0.210%, 12/19/2013		999,956
	1,000,000	Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014		1,000,113
	1,500,000	Norinchukin Bank, 0.280%, 1/10/2014		1,500,128
	2,000,000	National Australia Bank, 0.220%, 1/16/2014(b)		2,000,420
	2,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		2,000,828
	1,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014		999,917
	1,500,000	Bank of Montreal (IL), 0.270%, 7/28/2014(b)(c)		1,500,256
	2,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(c)		2,000,086
	2,000,000	China Construction Bank Corp. (NY), 0.429%, 7/20/2015(c)(d)		2,000,000

				25,301,715

		Financial Company Commercial Paper – 20.5%
	1,500,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e)		1,499,987
	2,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(b)(e)		1,999,962
	2,000,000	United Overseas Bank Limited, 0.220%, 10/11/2013(b)(e)		1,999,970
	2,000,000	ING (U.S.) Funding LLC, 0.210%, 10/22/2013(e)		1,999,848
	800,000	General Electric Capital Corp., 0.200%, 12/12/2013(e)		799,833
	1,500,000	Societe Generale North America, 0.405%, 1/09/2014(e)		1,499,053
	1,500,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(e)		1,498,016

				11,296,669


Principal Amount		Description	Value (†)
		Commercial Paper – 10.0%
	$1,500,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e)	$	1,499,858
	2,000,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013		2,000,060
	2,000,000	Tennessee School Bond Authority, 0.170%, 11/20/2013		2,000,060

				5,499,978

		Other Notes – 3.6%
	2,000,000	Wells Fargo, 0.342%, 10/20/2014(c)		2,000,136

		Total Short-Term Investments (Identified Cost $44,095,182)		44,098,498

		Total Investments – 80.1% (Identified Cost $44,095,182)(a)		44,098,498
		Other assets less liabilities – 19.9%		10,954,105

		Net Assets – 100.0%	$	55,052,603

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2013, the value of the Fund’s investment in the Subsidiary was $4,730,884, representing 8.6% of the Fund’s net assets.

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser or subadviser and approved by the Board of Trustees, which 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 pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

Futures contracts are valued at their most recent settlement price.

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

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

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

(a)	Federal Tax Information:

At September 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $44,095,182 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	$	3,443
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(127	)

Net unrealized appreciation	$	3,316

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

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

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

(c)	Variable rate security. Rate as of September 30, 2013 is disclosed.

(d)	Security payable on demand at par including accrued interest with thirty days notice.

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

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 the 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 Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

At September 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	12/18/2013	Australian Dollar		5,200,000	$	4,826,925	$	97,769
Buy	12/18/2013	Australian Dollar		1,000,000		928,255		(13,207	)
Sell	12/18/2013	Australian Dollar		1,600,000		1,485,208		(19,038	)
Buy	12/18/2013	British Pound		562,500		910,120		26,575
Sell	12/18/2013	British Pound		1,875,000		3,033,732		(96,314	)
Buy	12/18/2013	Canadian Dollar		200,000		193,791		(375	)
Buy	12/18/2013	Euro		875,000		1,183,982		27,394
Sell	12/18/2013	Euro		250,000		338,280		107
Sell	12/18/2013	Euro		3,000,000		4,059,366		(101,528	)
Buy	12/18/2013	Japanese Yen		112,500,000		1,145,083		17,860
Sell	12/18/2013	Japanese Yen		12,500,000		127,231		60
Sell	12/18/2013	Japanese Yen		400,000,000		4,071,406		(45,176	)
Buy	12/18/2013	New Zealand Dollar		6,500,000		5,370,230		266,982
Buy	12/18/2013	New Zealand Dollar		500,000		413,095		(3,740	)
Sell	12/18/2013	New Zealand Dollar		1,800,000		1,487,141		(57,539	)
Buy	12/18/2013	Norwegian Krone		10,000,000		1,658,239		18,365
Buy	12/18/2013	Norwegian Krone		2,000,000		331,648		(5,781	)
Sell	12/18/2013	Norwegian Krone		2,000,000		331,648		4,274
Sell	12/18/2013	Norwegian Krone		2,000,000		331,648		(4,363	)
Buy	12/18/2013	Singapore Dollar		125,000		99,647		842
Sell	12/18/2013	Singapore Dollar		125,000		99,647		(2,055	)
Buy	12/18/2013	Swiss Franc		1,000,000		1,106,488		38,514
Sell	12/18/2013	Swiss Franc		4,250,000		4,702,576		(151,645	)

Total							$	(2,019	)

¹	Counterparty is UBS AG.

Futures Contracts

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

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

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		10/18/2013		16	$	1,623,853	$	(4,881	)
ASX SPI 200™		12/19/2013		21		2,558,082		(21,340	)
E-mini Dow		12/20/2013		105		7,899,150		(64,535	)
E-mini NASDAQ 100		12/20/2013		97		6,225,460		48,496
Euro Schatz		12/06/2013		147		21,955,140		25,981
Euro STOXX 50^®		12/20/2013		5		194,743		(68	)
FTSE/JSE Top 40 Index		12/19/2013		58		2,296,142		10,522
German Euro BOBL		12/06/2013		43		7,238,995		36,189
German Euro Bund		12/06/2013		93		17,677,021		304,472
Mini-Russell 2000		12/20/2013		165		17,678,100		341,550
Nikkei 225™		12/12/2013		7		1,029,757		(1,536	)
OMXS30^®		10/18/2013		110		2,157,056		(17,196	)
S&P/TSX 60 Index		12/19/2013		3		425,513		1,456
2 Year U.S. Treasury Note		12/31/2013		169		37,224,891		47,860
3 Year Australia Government Bond		12/16/2013		74		7,522,422		22,140
5 Year U.S. Treasury Note		12/31/2013		27		3,268,266		32,602
10 Year Australia Government Bond		12/16/2013		52		5,705,589		23,414
10 Year Canada Government Bond		12/18/2013		21		2,643,017		3,165
10 Year Japan Government Bond		12/11/2013		12		17,594,384		(8,749	)
30 Year U.S. Treasury Bond		12/19/2013		8		1,067,000		15,344

Total							$	794,886


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		10/16/2013		18	$	1,950,660	$	(69,080	)
Cotton		12/06/2013		62		2,703,510		57,455
Gas Oil		11/12/2013		14		1,276,800		(23,700	)
Gasoline		10/31/2013		3		331,153		(2,684	)
Light Sweet Crude Oil		10/22/2013		24		2,455,920		(108,040	)
New York Harbor ULSD		10/31/2013		6		748,818		(13,847	)
Nickel		12/18/2013		1		83,679		(237	)
Soybean		11/14/2013		35		2,244,812		(117,500	)
Soybean Meal		12/13/2013		75		3,040,500		(113,770	)

Total							$	(391,403	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40^®		10/18/2013		77	$	4,318,867	$	(11,378	)
CBOE SPX Volatility Index		10/15/2013		119		1,927,800		26,990
DAX		12/20/2013		3		871,472		2,469
E-mini S&P 500^®		12/20/2013		246		20,593,890		(210,450	)
FTSE 100 Index		12/20/2013		15		1,561,309		21,329
FTSE MIB		12/20/2013		16		1,885,116		22,403
Hang Seng Index^®		10/30/2013		26		3,835,519		60,844
IBEX 35		10/18/2013		14		1,730,085		(37,770	)
MSCI Singapore		10/30/2013		33		1,903,902		29,987
MSCI Taiwan Index		10/30/2013		68		1,952,280		31,960
S&P CNX Nifty Futures		10/31/2013		189		2,179,359		80,616
UK Long Gilt		12/27/2013		105		18,752,701		12,320
10 Year U.S. Treasury Note		12/19/2013		71		8,973,734		(49,594	)

Total							$	(20,274	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		12/18/2013		7	$	321,956	$	(7,139	)
Cocoa		12/13/2013		16		422,400		(37,540	)
Coffee		12/18/2013		91		3,880,013		252,000
Copper High Grade		12/27/2013		3		249,225		2,888
Copper LME		12/18/2013		1		182,550		(4,700	)
Corn		12/13/2013		129		2,847,675		202,688
Gold		12/27/2013		5		663,500		850
KC Wheat		12/13/2013		37		1,368,075		(65,963	)
Natural Gas		10/29/2013		45		1,602,000		105,750
Nickel		12/18/2013		4		334,716		(4,632	)
Silver		12/27/2013		4		434,160		56,960
Soybean Oil		12/13/2013		103		2,539,980		121,092
Sugar		2/28/2014		110		2,234,848		(75,152	)
Wheat		12/13/2013		58		1,967,650		(20,338	)
Zinc		12/18/2013		6		287,212		(4,012	)

Total							$	522,752

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

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Short-Term Investments*	$	—		$	44,098,498		$	—	$	44,098,498
Forward Foreign Currency Contracts (unrealized appreciation)		—			498,742			—		498,742
Futures Contracts (unrealized appreciation)		2,001,792			—			—		2,001,792

Total	$	2,001,792		$	44,597,240		$	—	$	46,599,032


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(500,761	)	$	—	$	(500,761	)
Futures Contracts (unrealized depreciation)		(1,095,831	)		—			—		(1,095,831	)

Total	$	(1,095,831	)	$	(500,761	)	$	—	$	(1,596,592	)

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Derivatives

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

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

The following is a summary of derivative instruments for the Fund as of September 30, 2013:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	498,742		$	—		$	498,742

Total over-the-counter asset derivatives	$	498,742		$	—		$	498,742

Exchange traded asset derivatives
Interest rate contracts	$	—		$	523,487		$	523,487
Equity contracts		—			678,622			678,622
Commodity contracts		—			799,683			799,683

Total exchange traded asset derivatives		—			2,001,792			2,001,792

Total asset derivatives	$	498,742		$	2,001,792		$	2,500,534


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(500,761	)	$	—		$	(500,761	)

Total over-the-counter liability derivatives	$	(500,761	)	$	—		$	(500,761	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(58,343	)	$	(58,343	)
Equity contracts		—			(369,154	)		(369,154	)
Commodity contracts		—			(668,334	)		(668,334	)

Total exchange traded liability derivatives		—			(1,095,831	)		(1,095,831	)

Total liability derivatives	$	(500,761	)	$	(1,095,831	)	$	(1,596,592	)

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

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 Fund and its 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 the 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 the Fund may be in addition to the independent amount required by the counterparty. Master netting provisions allow the Fund 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 Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(2,019	)	$	324,027

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the 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. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $9,198,376 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $8,699,634.

Investment Summary at September 30, 2013 (Unaudited)


Certificates of Deposit	46.0	%
Financial Company Commercial Paper	20.5
Commercial Paper	10.0
Other Notes	3.6
Total Investments	80.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	19.9

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 94.9% of Net Assets
		Certificates of Deposit – 63.9%
	$90,000,000	Credit Agricole, 0.030%, 10/01/2013	$	90,000,000
	40,600,000	Royal Bank of Canada, 0.030%, 10/01/2013		40,600,000
	90,000,000	Abbey National, 0.030%, 10/01/2013		90,000,000
	80,000,000	National Bank of Kuwait, 0.230%, 10/02/2013		80,000,000
	30,000,000	Sumitomo Mitsui Bank (NY), 0.260%, 10/03/2013		30,000,000
	85,000,000	Credit Industriel et Commercial, 0.150%, 10/08/2013		85,000,000
	40,000,000	Industrial & Commercial Bank of China, 0.330%, 10/15/2013		40,000,000
	60,000,000	Agricultural Bank of China, 0.330%, 10/28/2013		60,000,450
	35,000,000	Mizuho Corporate Bank, 0.210%, 11/05/2013		35,000,700
	50,000,000	Westpac Banking Corp. (NY), 0.312%, 11/06/2013(b)(c)		50,007,000
	20,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013(c)		20,005,060
	15,000,000	China Construction Bank Corp. (NY), 0.350%, 11/12/2013		15,002,685
	15,000,000	Industrial & Commercial Bank of China, 0.550%, 11/18/2013		15,007,140
	10,000,000	China Construction Bank Corp. (NY), 0.550%, 11/19/2013		10,004,860
	50,000,000	Mizuho Corporate Bank, 0.210%, 12/19/2013		49,997,800
	50,000,000	Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014(c)		50,005,650
	50,000,000	Norinchukin Bank, 0.280%, 1/10/2014(c)		50,004,250
	50,000,000	National Australia Bank, 0.220%, 1/16/2014		50,010,500
	25,000,000	Norinchukin Bank, 0.279%, 1/29/2014(b)		25,003,425
	75,000,000	Credit Suisse (NY), 0.290%, 2/07/2014(b)		75,010,800
	40,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(c)		40,016,560
	80,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014		79,993,360
	70,000,000	Bank of Montreal (IL), 0.270%, 7/28/2014(b)		70,011,970
	75,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(b)		75,003,225
	25,000,000	Westpac Banking Corp. (NY), 0.272%, 8/15/2014(b)		25,002,175


Principal Amount		Description	Value (†)
	Certificates of Deposit – continued
	$25,000,000	China Construction Bank Corp. (NY), 0.429%, 7/20/2015(b)(d)	$	25,000,000

				1,275,687,610

		Financial Company Commercial Paper – 24.4%
	25,700,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e)		25,699,771
	40,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(e)		39,999,240
	20,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/09/2013(e)		19,999,289
	40,000,000	United Overseas Bank Limited, 0.220%, 10/11/2013(e)		39,999,400
	32,650,000	ING (U.S.) Funding LLC, 0.210%, 10/22/2013(e)		32,647,519
	40,000,000	ICICI Bank Ltd., (Credit Support: Wells Fargo), 0.180%, 10/23/2013(e)		39,997,080
	75,000,000	Barclays U.S. Funding, 0.110%, 11/27/2013(e)		74,977,425
	39,200,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 12/03/2013(e)		39,183,340
	50,000,000	General Electric Capital Corp., 0.200%, 12/12/2013(e)		49,989,550
	50,000,000	Societe Generale North America, 0.405%, 1/09/2014(c)(e)		49,968,450
	50,000,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(c)(e)		49,933,850
	25,000,000	Dexia Credit Local S.A. (NY), 0.360%, 3/05/2014(e)		24,961,650

				487,356,564

		Commercial Paper – 4.4%
	25,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/10/2013(e)		24,998,750
	28,400,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e)		28,397,317
	19,500,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013		19,500,585
	10,000,000	Tennessee School Bond Authority, 0.170%, 11/14/2013		10,000,400
	4,200,000	Tennessee School Bond Authority, 0.170%, 11/20/2013		4,200,126

				87,097,178

		Other Notes – 2.2%
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.338%, 10/07/2014(b)		20,000,240
	25,000,000	Wells Fargo, 0.342%, 10/20/2014(b)		25,001,700

				45,001,940

		Total Short-Term Investments (Identified Cost $1,895,019,397)		1,895,143,292

		Total Investments – 94.9% (Identified Cost $1,895,019,397)(a)		1,895,143,292
		Other assets less liabilities – 5.1%		100,921,270

		Net Assets – 100.0%	$	1,996,064,562

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2013, the value of the Fund’s investment in the Subsidiary was $25,599,336, representing 1.3% of the Fund’s net assets.

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

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information:

At September 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $1,895,019,397 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	$	146,560
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(22,665	)

Net unrealized appreciation	$	123,895

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

(b)	Variable rate security. Rate as of September 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 and futures contracts.

(d)	Security payable on demand at par including accrued interest with thirty days notice.

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

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 the 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.

At September 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		12/18/2013	Australian Dollar		11,500,000	$	10,674,930	$	(216,221	)
Sell		12/18/2013	British Pound		5,437,500		8,797,824		(316,161	)
Sell		12/18/2013	Canadian Dollar		5,000,000		4,844,784		(95,490	)
Buy		12/18/2013	Euro		55,625,000		75,267,415		1,756,138
Sell		12/18/2013	Euro		54,000,000		73,068,592		(1,418,707	)
Buy		12/18/2013	Japanese Yen		9,112,500,000		92,751,714		894,296
Sell		12/18/2013	Japanese Yen		34,412,500,000		350,268,133		(4,160,464	)
Buy		12/18/2013	Swedish Krona		172,000,000		26,716,070		789,474
Sell		12/18/2013	Swedish Krona		92,000,000		14,289,991		166,255
Sell		12/18/2013	Swiss Franc		30,250,000		33,471,275		(1,168,881	)

Total								$	(3,769,761	)

¹	Counterparty is UBS AG.

Futures Contracts

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		12/20/2013		827	$	240,235,903	$	(195,791	)
E-mini S&P 500^®		12/20/2013		5,661		473,910,615		4,828,642
Eurodollar		6/16/2014		1,163		289,688,762		249,288
FTSE 100 Index		12/20/2013		1,260		131,149,922		(2,915,115	)
Hang Seng Index^®		10/30/2013		303		44,698,546		(709,067	)
TOPIX		12/12/2013		755		91,902,691		1,219,035

Total							$	2,476,992


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		10/16/2013		43	$	4,659,910	$	(223,600	)
Copper LME		12/18/2013		221		40,343,550		316,859
Gas Oil		11/12/2013		57		5,198,400		(118,800	)
Light Sweet Crude Oil		10/22/2013		675		69,072,750		(3,658,500	)
Natural Gas		10/29/2013		197		7,013,200		(462,950	)
New York Harbor ULSD		10/31/2013		4		499,212		(11,760	)

Total							$	(4,158,751	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro Bund		12/06/2013		607	$	115,375,822	$	(2,694,580	)
UK Long Gilt		12/27/2013		146		26,075,185		(333,267	)
10 Year Japan Government Bond		12/11/2013		116		170,079,048		(1,089,374	)
10 Year U.S. Treasury Note		12/19/2013		1,045		132,078,203		(1,903,836	)

Total							$	(6,021,057	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		12/18/2013		5	$	229,969	$	(5,219	)
Copper LME		12/18/2013		250		45,637,500		(1,175,000	)
Gold		12/27/2013		233		30,919,100		(116,180	)
Nickel		12/18/2013		95		7,949,505		(143,355	)
Zinc		12/18/2013		5		239,344		(3,344	)

Total							$	(1,443,098	)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,895,143,293	$	—	$	1,895,143,293
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,606,163		—		3,606,163
Futures Contracts (unrealized appreciation)		6,613,824		—		—		6,613,824

Total	$	6,613,824	$	1,898,749,456	$	—	$	1,905,363,280

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(7,375,924	)	$	—	$	(7,375,924	)
Futures Contracts (unrealized depreciation)		(15,759,738	)		—			—		(15,759,738	)

Total	$	(15,759,738	)	$	(7,375,924	)	$	—	$	(23,135,662	)

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2013, the Fund used long contracts on U.S. and foreign equity market indices and short-term interest rates, and long and short contracts on U.S. and foreign government bonds, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.

The following is a summary of derivative instruments for the Fund as of September 30, 2013:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	3,606,163		$	—		$	3,606,163

Total over-the-counter asset derivatives	$	3,606,163		$	—		$	3,606,163

Exchange traded asset derivatives
Interest rate contracts	$	—		$	249,288		$	249,288
Equity contracts		—			6,047,677			6,047,677
Commodity contracts		—			316,859			316,859

Total exchange traded asset derivatives		—			6,613,824			6,613,824

Total asset derivatives	$	3,606,163		$	6,613,824		$	10,219,987


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(7,375,924	)	$	—		$	(7,375,924	)

Total over-the-counter liability derivatives	$	(7,375,924	)	$	—		$	(7,375,924	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(6,021,057	)	$	(6,021,057	)
Equity contracts		—			(3,819,973	)		(3,819,973	)
Commodity contracts		—			(5,918,708	)		(5,918,708	)

Total exchange traded liability derivatives		—			(15,759,738	)		(15,759,738	)

Total liability derivatives	$	(7,375,924	)	$	(15,759,738	)	$	(23,135,662	)


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(3,769,761	)	$	14,390,000

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the 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. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $90,261,337 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $86,655,174.

Investment Summary at September 30, 2013 (Unaudited)


Certificates of Deposit	63.9	%
Financial Company Commercial Paper	24.4
Commercial Paper	4.4
Other Notes	2.2
Total Investments	94.9
Other assets less liabilities (including open forward foreign currency and futures contracts)	5.1

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 88.7% of Net Assets
		Certificates of Deposit – 54.6%
	$22,700,000	Credit Agricole, 0.030%, 10/01/2013	$	22,700,000
	30,000,000	National Bank of Kuwait, 0.230%, 10/02/2013		30,000,000
	30,000,000	Credit Industriel et Commericial, 0.150%, 10/08/2013		30,000,000
	20,000,000	Industrial & Commercial Bank of China, 0.330%, 10/15/2013		20,000,000
	20,000,000	Agricultural Bank of China, 0.330%, 10/28/2013		20,000,150
	25,050,000	Westpac Banking Corp. (NY), 0.312%, 11/06/2013(b)(c)		25,053,507
	15,000,000	Toronto Dominion Bank, 0.330%, 11/07/2013(b)		15,003,795
	5,000,000	China Construction Bank Corp. (NY), 0.350%, 11/12/2013		5,000,895
	30,000,000	Mizuho Corporate Bank, 0.210%, 12/19/2013		29,998,680
	25,000,000	Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014(b)		25,002,825
	25,000,000	Norinchukin Bank, 0.279%, 1/10/2014(c)		25,002,125
	25,000,000	National Australia Bank, 0.220%, 1/16/2014		25,005,250
	30,000,000	Credit Suisse (NY), 0.290%, 2/07/2014(b)(c)		30,004,320
	25,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		25,010,350
	25,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014		24,997,925
	15,000,000	Bank of Montreal (IL), 0.270%, 7/28/2014(c)		15,002,565
	25,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(c)		25,001,075
	15,000,000	China Construction Bank Corp. (NY), 0.429%, 7/20/2015(c)(d)		15,000,000

				407,783,462

		Financial Company Commercial Paper – 24.4%
	22,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e)		21,999,804
	25,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(e)		24,999,525
	5,000,000	Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/09/2013(e)		4,999,822
	30,000,000	United Overseas Bank Limited, 0.220%, 10/11/2013(e)		29,999,550
	30,000,000	Barclays U.S. Funding, 0.110%, 11/27/2013(e)		29,990,970
	25,000,000	General Electric Capital Corp., 0.200%, 12/12/2013(e)		24,994,775
	25,500,000	Societe Generale North America, 0.405%, 1/09/2014(b)(e)		25,483,910


Principal Amount		Description	Value (†)
		Financial Company Commercial Paper – continued
	20,000,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(e)	$	19,973,540

				182,441,896

		Commercial Paper – 7.0%
	20,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e)		19,998,111
	20,800,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013		20,800,624
	11,761,000	Tennessee School Bond Authority, 0.170%, 11/20/2013		11,761,353

				52,560,088

		Other Notes – 2.7%
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.338%, 10/07/2014(c)		5,000,060
	15,000,000	Wells Fargo, 0.342%, 10/20/2014(c)		15,001,020

				20,001,080

		Total Short-Term Investments (Identified Cost $662,732,627)		662,786,526

		Total Investments – 88.7% (Identified Cost $662,732,627)(a)		662,786,526
		Other assets less liabilities – 11.3%		84,187,879

		Net Assets – 100.0%	$	746,974,405

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Fund, a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2013, the value of the Fund’s investment in the Subsidiary was $31,136,184, representing 4.2% of the Fund’s net assets.

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

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

Futures contracts are valued at their most recent settlement price.

(a)	Federal Tax Information (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 September 30, 2013, the net unrealized appreciation on investments based on a cost of $662,732,627 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	$	61,099
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,200	)

Net unrealized appreciation	$	53,899

Only short-term obligations purchased with an original or remaining maturity of more than 60 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 September 30, 2013 is disclosed.

(d)	Security payable on demand at par including accrued interest with thirty days notice.

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

Forward Foreign Currency Contracts

At September 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		12/18/2013	Australian Dollar		15,200,000	$	14,109,473	$	203,693
Buy		12/18/2013	Australian Dollar		9,400,000		8,725,595		(146,892	)
Sell		12/18/2013	Australian Dollar		24,200,000		22,463,766		(455,004	)
Buy		12/18/2013	British Pound		17,375,000		28,112,588		541,947
Sell		12/18/2013	British Pound		812,500		1,314,617		(47,243	)
Buy		12/18/2013	Canadian Dollar		37,000,000		35,851,402		199,005
Buy		12/18/2013	Canadian Dollar		11,300,000		10,949,212		(21,206	)
Sell		12/18/2013	Canadian Dollar		52,000,000		50,385,754		(993,094	)
Buy		12/18/2013	Euro		35,750,000		48,374,114		525,911
Buy		12/18/2013	Euro		6,875,000		9,302,714		(6,029	)
Sell		12/18/2013	Japanese Yen		2,887,500,000		29,390,461		(243,146	)
Buy		12/18/2013	New Zealand Dollar		23,400,000		19,332,829		346,261
Buy		12/18/2013	New Zealand Dollar		14,400,000		11,897,125		(107,708	)
Sell		12/18/2013	New Zealand Dollar		21,100,000		17,432,594		(911,568	)
Buy		12/18/2013	Norwegian Krone		68,000,000		11,276,026		28,794
Buy		12/18/2013	Norwegian Krone		176,000,000		29,185,008		(841,709	)
Sell		12/18/2013	Norwegian Krone		230,000,000		38,139,499		(422,406	)
Buy		12/18/2013	Singapore Dollar		77,250,000		61,581,770		208,359
Sell		12/18/2013	Singapore Dollar		44,125,000		35,175,348		(563,243	)
Buy		12/18/2013	Swedish Krona		102,000,000		15,843,251		155,218
Buy		12/18/2013	Swedish Krona		82,000,000		12,736,731		(154,885	)
Sell		12/18/2013	Swedish Krona		82,000,000		12,736,731		(376,377	)
Buy		12/18/2013	Swiss Franc		37,375,000		41,355,006		774,948
Sell		12/18/2013	Swiss Franc		8,875,000		9,820,085		(347,710	)
Buy		12/18/2013	Turkish Lira		17,100,000		8,349,532		133,616
Buy		12/18/2013	Turkish Lira		43,500,000		21,240,037		(406,523	)
Sell		12/18/2013	Turkish Lira		74,700,000		36,474,271		(931,056	)

Total								$	(3,858,047	)

¹	Counterparty is UBS AG.

Futures Contracts

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		10/18/2013		446	$	45,264,915	$	(580,154	)
ASX SPI 200™		12/19/2013		488		59,444,962		(489,399	)
CAC 40^®		10/18/2013		543		30,456,425		(11,019	)
DAX		12/20/2013		140		40,668,714		(120,810	)
E-mini Dow		12/20/2013		577		43,407,710		(399,780	)
E-mini NASDAQ 100		12/20/2013		737		47,300,660		487,157
E-mini S&P 500^®		12/20/2013		451		37,755,465		272,303
Euribor		6/16/2014		3,446		1,161,168,389		149,879
Euro Schatz		12/06/2013		1,357		202,674,315		44,272
Euro STOXX 50^®		12/20/2013		903		35,170,554		97,730
Eurodollar		6/16/2014		5,496		1,368,984,900		1,011,263
FTSE 100 Index		12/20/2013		401		41,738,983		(868,459	)
FTSE MIB		12/20/2013		213		25,095,606		(312,651	)
FTSE/JSE Top 40 Index		12/19/2013		858		33,967,067		335,842
German Euro BOBL		12/06/2013		732		123,231,256		662,071
German Euro Bund		12/06/2013		225		42,766,985		225,615
Hang Seng Index^®		10/30/2013		295		43,518,386		(690,345	)
IBEX 35		10/18/2013		281		34,725,271		871,075
Mini-Russell 2000		12/20/2013		374		40,070,360		748,210
MSCI Singapore		10/30/2013		738		42,578,167		(658,850	)
MSCI Taiwan Index		10/30/2013		1,442		41,399,820		(677,740	)
Nikkei 225™		12/12/2013		233		34,276,209		104,512
OMXS30^®		10/18/2013		2,149		42,141,025		(499,038	)
S&P CNX Nifty Futures Index		10/31/2013		1,374		15,843,594		(613,576	)
S&P/TSX 60 Index		12/19/2013		338		47,941,168		(234,292	)
Sterling		6/18/2014		145		29,153,321		(1,467	)
TOPIX		12/12/2013		313		38,100,056		202,899
2 Year U.S. Treasury Note		12/31/2013		2,335		514,320,237		371,315
3 Year Australia Government Bond		12/16/2013		546		55,503,275		100,128
5 Year U.S. Treasury Note		12/31/2013		370		44,787,344		116,008
10 Year Japan Government Bond		12/11/2013		152		222,862,200		1,576,479
10 Year U.S. Treasury Note		12/19/2013		229		28,943,453		72,781
30 Year U.S. Treasury Bond		12/19/2013		3		400,125		94

Total							$	1,292,053


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		10/16/2013		154	$	16,688,980	$	(800,800	)
Cocoa		12/13/2013		379		10,005,600		321,280
Cotton		12/06/2013		17		741,285		—
Gas Oil		11/12/2013		9		820,800		(17,775	)
Gasoline		10/31/2013		44		4,856,913		(39,362	)
Light Sweet Crude Oil		10/22/2013		125		12,791,250		(677,500	)
Live Cattle		12/31/2013		77		4,064,830		4,690
Soybean		11/14/2013		148		9,492,350		(459,175	)
Soybean Meal		12/13/2013		264		10,702,560		(255,140	)

Total							$	(1,923,782	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
UK Long Gilt		12/27/2013		78	$	13,930,578	$	(168,544	)
10 Year Australia Government Bond		12/16/2013		74		8,119,493		(203,758	)
10 Year Canada Government Bond		12/18/2013		68		8,558,342		(81,627	)

Total							$	(453,929	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		12/18/2013		382	$	17,569,612	$	(398,712	)
Coffee		12/18/2013		362		15,434,775		983,288
Copper High Grade		12/27/2013		13		1,079,975		(27,525	)
Copper LME		12/18/2013		4		730,200		(18,800	)
Corn		12/13/2013		845		18,653,375		1,276,325
Gold		12/27/2013		72		9,554,400		(59,520	)
KC Wheat		12/13/2013		232		8,578,200		(425,900	)
Natural Gas		10/29/2013		128		4,556,800		106,760
Nickel		12/18/2013		111		9,288,369		(167,499	)
NY Harbor ULSD		10/31/2013		1		124,803		(1,235	)
Silver		12/27/2013		57		6,186,780		(19,480	)
Soybean Oil		12/13/2013		1,110		27,372,600		2,200,314
Sugar		2/28/2014		539		10,950,755		(368,245	)
Wheat		12/13/2013		473		16,046,525		(56,850	)
Zinc		12/18/2013		325		15,557,344		(327,247	)

Total							$	2,695,674

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	662,786,526	$	—	$	662,786,526
Forward Foreign Currency Contracts (unrealized appreciation)		—		3,117,752		—		3,117,752
Futures Contracts (unrealized appreciation)		12,342,290		—		—		12,342,290

Total	$	12,342,290	$	665,904,278	$	—	$	678,246,568

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(6,975,799	)	$	—	$	(6,975,799	)
Futures Contracts (unrealized depreciation)		(10,732,274	)		—		$	—		(10,732,274	)

Total	$	(10,732,274	)	$	(6,975,799	)	$	—	$	(17,708,073	)

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended September 30, 2013, the Fund used long contracts on U.S. equity market indices and long and short contracts on short-term interest rates, foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) in accordance with these objectives.

The following is a summary of derivative instruments for the Fund as of September 30, 2013:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	3,117,752	$	—	$	3,117,752

Total over-the-counter asset derivatives	$	3,117,752	$	—	$	3,117,752

Exchange traded asset derivatives
Interest rate contracts	$	—	$	4,329,905	$	4,329,905
Equity contracts		—		3,119,728		3,119,728
Commodity contracts		—		4,892,657		4,892,657

Total exchange traded asset derivatives		—		12,342,290		12,342,290

Total asset derivatives	$	3,117,752	$	12,342,290	$	12,342,290


Liabilities	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	(6,975,799	)	$	—		$	(6,975,799	)

Total over-the-counter asset derivatives	$	(6,975,799	)	$	—		$	(6,975,799	)

Exchange traded asset derivatives
Interest rate contracts	$	—		$	(455,397	)	$	(455,397	)
Equity contracts		—			(6,156,112	)		(6,156,112	)
Commodity contracts		—			(4,120,765	)		(4,120,765	)

Total exchange traded asset derivatives		—			10,732,274			10,732,274

Total asset derivatives	$	(6,975,799	)	$	10,732,274		$	10,732,274


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(3,858,047	)	$	10,114,855

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the 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. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $92,132,796 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $89,015,044.

Investment Summary at September 30, 2013 (Unaudited)


Certificates of Deposit	54.6	%
Financial Company Commercial Paper	24.4
Commercial Paper	7.0
Other Notes	2.7

Total Investments	88.7
Other assets less liabilities (including open forward foreign currency and futures contracts)	11.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks – 49.0% of Net Assets
		Aerospace & Defense – 1.2%
	514	Boeing Co. (The)	$	60,395
	319	Northrop Grumman Corp.		30,388
	354	Rockwell Collins, Inc.		24,022
	603	United Technologies Corp.		65,016

				179,821

		Air Freight & Logistics – 0.8%
	405	C.H. Robinson Worldwide, Inc.		24,122
	321	FedEx Corp.		36,629
	578	United Parcel Service, Inc., Class B		52,812

				113,563

		Auto Components – 0.1%
	875	Goodyear Tire & Rubber Co. (The)(b)		19,644

		Automobiles – 0.2%
	936	General Motors Co.(b)		33,668

		Beverages – 1.3%
	2,440	Coca-Cola Co. (The)		92,427
	553	Dr Pepper Snapple Group, Inc.		24,785
	1,025	PepsiCo, Inc.		81,488

				198,700

		Biotechnology – 1.3%
	604	Amgen, Inc.		67,612
	223	Biogen Idec, Inc.(b)		53,689
	1,171	Gilead Sciences, Inc.(b)		73,586

				194,887

		Chemicals – 1.2%
	227	Air Products & Chemicals, Inc.		24,191
	685	E.I. du Pont de Nemours & Co.		40,114
	269	Ecolab, Inc.		26,566
	391	Monsanto Co.		40,809
	256	Praxair, Inc.		30,774
	213	Sigma-Aldrich Corp.		18,169

				180,623

		Commercial Banks – 1.0%
	2,950	Huntington Bancshares, Inc.		24,367
	2,924	Wells Fargo & Co.		120,820

				145,187

		Communications Equipment – 1.1%
	3,563	Cisco Systems, Inc.		83,445
	1,163	QUALCOMM, Inc.		78,340

				161,785

		Computers & Peripherals – 2.3%
	498	Apple, Inc.		237,421


Shares		Description	Value (†)
	Common Stocks – continued
		Computers & Peripherals – continued
	1,826	EMC Corp.	$	46,673
	1,928	Hewlett-Packard Co.		40,449
	650	NetApp, Inc.		27,703

				352,246

		Construction & Engineering – 0.2%
	818	Quanta Services, Inc.(b)		22,503

		Consumer Finance – 0.9%
	739	American Express Co.		55,809
	596	Capital One Financial Corp.		40,969
	649	Discover Financial Services		32,801

				129,579

		Diversified Financial Services – 2.9%
	6,886	Bank of America Corp.		95,027
	1,084	Berkshire Hathaway, Inc., Class B(b)		123,045
	1,951	Citigroup, Inc.		94,643
	2,286	JPMorgan Chase & Co.		118,163

				430,878

		Diversified Telecommunication Services – 1.1%
	2,800	AT&T, Inc.		94,696
	1,533	Verizon Communications, Inc.		71,530

				166,226

		Electric Utilities – 1.0%
	513	American Electric Power Co., Inc.		22,239
	529	Duke Energy Corp.		35,327
	358	NextEra Energy, Inc.		28,697
	439	Northeast Utilities		18,109
	701	PPL Corp.		21,296
	722	Southern Co. (The)		29,732

				155,400

		Electronic Equipment, Instruments & Components – 0.2%
	2,119	Corning, Inc.		30,916

		Energy Equipment & Services – 1.1%
	440	Cameron International Corp.(b)		25,683
	810	Halliburton Co.		39,002
	624	Noble Corp.		23,568
	873	Schlumberger Ltd.		77,138

				165,391

		Food & Staples Retailing – 0.8%
	1,088	Wal-Mart Stores, Inc.		80,468
	807	Walgreen Co.		43,417

				123,885

		Food Products – 0.7%
	877	Archer-Daniels-Midland Co.		32,309
	371	Mead Johnson Nutrition Co.		27,550


Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – continued
	1,530	Mondelez International, Inc., Class A	$	48,073

				107,932

		Health Care Equipment & Supplies – 0.4%
	261	CR Bard, Inc.		30,067
	633	St. Jude Medical, Inc.		33,954

				64,021

		Health Care Providers & Services – 1.5%
	584	Aetna, Inc.		37,388
	822	Express Scripts Holding Co.(b)		50,783
	351	Humana, Inc.		32,759
	312	McKesson Corp.		40,030
	866	UnitedHealth Group, Inc.		62,014

				222,974

		Hotels, Restaurants & Leisure – 0.7%
	675	McDonald’s Corp.		64,942
	595	Starbucks Corp.		45,797

				110,739

		Household Durables – 0.4%
	435	Garmin Ltd.		19,657
	756	Newell Rubbermaid, Inc.		20,790
	154	Whirlpool Corp.		22,552

				62,999

		Household Products – 0.8%
	1,636	Procter & Gamble Co. (The)		123,665

		Industrial Conglomerates – 1.6%
	489	3M Co.		58,391
	581	Danaher Corp.		40,275
	5,929	General Electric Co.		141,644

				240,310

		Insurance – 2.5%
	391	ACE Ltd.		36,582
	640	Allstate Corp. (The)		32,352
	1,164	American International Group, Inc.		56,605
	360	Chubb Corp. (The)		32,134
	895	Hartford Financial Services Group, Inc. (The)		27,852
	627	Lincoln National Corp.		26,328
	597	Loews Corp.		27,904
	1,003	MetLife, Inc.		47,091
	620	Principal Financial Group, Inc.		26,548
	499	Prudential Financial, Inc.		38,912
	332	Torchmark Corp.		24,020

				376,328

		Internet & Catalog Retail – 0.8%
	239	Amazon.com, Inc.(b)		74,721
	42	priceline.com, Inc.(b)		42,460

				117,181


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – 1.0%
	163	Google, Inc., Class A(b)	$	142,773

		IT Services – 1.4%
	625	International Business Machines Corp.		115,738
	669	Paychex, Inc.		27,188
	364	Visa, Inc., Class A		69,560

				212,486

		Life Sciences Tools & Services – 0.2%
	281	Waters Corp.(b)		29,845

		Machinery – 0.5%
	553	Caterpillar, Inc.		46,104
	463	Illinois Tool Works, Inc.		35,313

				81,417

		Media – 2.2%
	1,694	Comcast Corp., Class A		76,484
	314	Discovery Communications, Inc., Class A(b)		26,508
	1,196	Interpublic Group of Cos., Inc. (The)		20,547
	293	Time Warner Cable, Inc.		32,699
	717	Time Warner, Inc.		47,186
	1,505	Twenty-First Century Fox, Inc., Class A		50,417
	1,093	Walt Disney Co. (The)		70,488

				324,329

		Metals & Mining – 0.3%
	911	Freeport-McMoRan Copper & Gold, Inc.		30,136
	427	Nucor Corp.		20,931

				51,067

		Multi Utilities – 0.3%
	358	Consolidated Edison, Inc.		19,740
	477	Dominion Resources, Inc.		29,803

				49,543

		Multiline Retail – 0.2%
	580	Target Corp.		37,108

		Oil, Gas & Consumable Fuels – 4.1%
	449	Anadarko Petroleum Corp.		41,753
	714	Cabot Oil & Gas Corp.		26,646
	1,121	Chevron Corp.		136,202
	878	ConocoPhillips		61,030
	672	CONSOL Energy, Inc.		22,613
	2,422	ExxonMobil Corp.		208,389
	383	Hess Corp.		29,621
	891	Marathon Oil Corp.		31,078
	168	Pioneer Natural Resources Co.		31,718
	882	Spectra Energy Corp.		30,191

				619,241

		Personal Products – 0.2%
	1,196	Avon Products, Inc.		24,638


Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 3.1%
	1,373	AbbVie, Inc.	$	61,414
	244	Actavis, Inc.(b)		35,136
	1,709	Johnson & Johnson		148,153
	2,005	Merck & Co., Inc.		95,458
	4,209	Pfizer, Inc.		120,841

				461,002

		Professional Services – 0.2%
	389	Equifax, Inc.		23,282

		REITs - Apartments – 0.2%
	550	Equity Residential		29,464

		REITs - Diversified – 0.2%
	1,013	Weyerhaeuser Co.		29,002

		REITs - Office Property – 0.2%
	271	Boston Properties, Inc.		28,970

		Road & Rail – 0.6%
	1,271	CSX Corp.		32,715
	358	Union Pacific Corp.		55,612

				88,327

		Semiconductors & Semiconductor Equipment – 1.0%
	591	Analog Devices, Inc.		27,807
	3,386	Intel Corp.		77,607
	481	Lam Research Corp.(b)		24,622
	572	Xilinx, Inc.		26,804

				156,840

		Software – 1.9%
	626	Adobe Systems, Inc.(b)		32,514
	941	Electronic Arts, Inc.(b)		24,042
	4,418	Microsoft Corp.		147,164
	2,392	Oracle Corp.		79,343

				283,063

		Specialty Retail – 1.2%
	327	Bed Bath & Beyond, Inc.(b)		25,297
	942	Home Depot, Inc. (The)		71,451
	881	Lowe’s Cos., Inc.		41,944
	187	O’Reilly Automotive, Inc.(b)		23,859
	1,488	Staples, Inc.		21,799

				184,350

		Textiles, Apparel & Luxury Goods – 0.3%
	452	Coach, Inc.		24,648
	183	PVH Corp.		21,720

				46,368

		Tobacco – 1.2%
	1,589	Altria Group, Inc.		54,582
	1,043	Philip Morris International, Inc.		90,313


Shares		Description	Value (†)
	Common Stocks – continued
		Tobacco – continued
	570	Reynolds American, Inc.	$	27,805

				172,700

		Trading Companies & Distributors – 0.4%
	530	Fastenal Co.		26,632
	105	W.W. Grainger, Inc.		27,480

				54,112

		Total Common Stocks (Identified Cost $7,363,088)		7,360,978


Principal Amount
	Short-Term Investments – 93.2%
	$14,002,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $14,002,000 on 10/01/2013 collateralized by $8,000,000 U.S. Treasury Note, 0.875% due 7/31/2019 valued at $7,651,600; $6,940,000 U.S. Treasury Note, 1.125% due 4/30/2020 valued at $6,636,375 including accrued interest(c) (Identified Cost $14,002,000)		14,002,000

		Total Investments – 142.2% (Identified Cost $21,365,088)(a)		21,362,978
		Other assets less liabilities – (42.2)%		(6,340,089	)

		Net Assets – 100.0%	$	15,022,889

(†)

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.

Futures contracts are valued at their most recent settlement price.

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

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

(a)	Federal Tax Information:

At September 30, 2013, the net unrealized depreciation on investments based on a cost of $21,365,088 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	$	—
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,110	)

Net unrealized depreciation	$	(2,110	)

(b)	Non-income producing security.

(c)

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


REITs		Real Estate Investment Trusts

Futures Contracts

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

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

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/20/2013		142	$	11,887,530	$	1,814

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	7,360,978	$	—	$	—	$	7,360,978
Short-Term Investments		—		14,002,000		—		14,002,000

Total Investments		7,360,978		14,002,000		—		21,362,978

Futures Contracts (unrealized appreciation)		1,814		—		—		1,814

Total	$	7,362,792	$	14,002,000	$	—	$	21,364,792

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. For the period ended September 30, 2013, the Fund engaged in futures transactions to gain investment exposure in accordance with its objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2013.


Assets	Unrealized appreciation on futures contracts
Exchange traded asset derivatives
Equity contracts	$	1,814

Industry Summary at September 30, 2013 (Unaudited)


Oil, Gas & Consumable Fuels	4.1	%
Pharmaceuticals	3.1
Diversified Financial Services	2.9
Insurance	2.5
Computers & Peripherals	2.3
Media	2.2
Other Investments, less than 2% each	31.9
Short-Term Investments	93.2

Total Investments	142.2
Other assets less liabilities (including open futures contracts)	(42.2	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

Harris Associates Large Cap Value Fund


Shares		Description	Value (†)
	Common Stocks – 93.1% of Net Assets
		Air Freight & Logistics – 3.4%
	47,500	FedEx Corp.	$	5,420,225

		Auto Components – 6.8%
	41,600	Autoliv, Inc.		3,635,424
	76,000	Delphi Automotive PLC		4,439,920
	38,800	TRW Automotive Holdings Corp.(b)		2,766,828

				10,842,172

		Automobiles – 3.9%
	173,800	General Motors Co.(b)		6,251,586

		Capital Markets – 7.9%
	11,000	BlackRock, Inc.		2,976,820
	93,400	Franklin Resources, Inc.		4,721,370
	30,500	Goldman Sachs Group, Inc. (The)		4,825,405

				12,523,595

		Commercial Banks – 6.7%
	79,500	US Bancorp		2,908,110
	185,800	Wells Fargo & Co.		7,677,256

				10,585,366

		Consumer Finance – 2.3%
	52,000	Capital One Financial Corp.		3,574,480

		Diversified Financial Services – 3.8%
	118,000	JPMorgan Chase & Co.		6,099,420

		Electrical Equipment – 1.5%
	22,000	Rockwell Automation, Inc.		2,352,680

		Energy Equipment & Services – 3.1%
	62,200	National Oilwell Varco, Inc.		4,858,442

		Food Products – 1.9%
	76,500	Unilever PLC, Sponsored ADR		2,951,370

		Health Care Equipment & Supplies – 1.0%
	30,500	Medtronic, Inc.		1,624,125

		Hotels, Restaurants & Leisure – 5.7%
	114,900	Marriott International, Inc., Class A		4,832,694
	21,800	McDonald’s Corp.		2,097,378
	31,300	Starwood Hotels & Resorts Worldwide, Inc.		2,079,885

				9,009,957

		Insurance – 3.9%
	125,900	American International Group, Inc.		6,122,517

		Internet Software & Services – 0.8%
	1,400	Google, Inc., Class A(b)		1,226,274


Shares		Description	Value (†)
	Common Stocks – continued
		IT Services – 5.7%
	7,000	MasterCard, Inc., Class A	$	4,709,460
	22,600	Visa, Inc., Class A		4,318,860

				9,028,320

		Machinery – 6.8%
	24,700	Cummins, Inc.		3,281,889
	79,700	Illinois Tool Works, Inc.		6,078,719
	13,400	Parker Hannifin Corp.		1,456,848

				10,817,456

		Media – 3.6%
	75,800	Comcast Corp., Special Class A		3,287,446
	38,500	Omnicom Group, Inc.		2,442,440

				5,729,886

		Multiline Retail – 1.4%
	31,100	Family Dollar Stores, Inc.		2,239,822

		Oil, Gas & Consumable Fuels – 2.0%
	36,800	ExxonMobil Corp.		3,166,272

		Road & Rail – 1.5%
	15,100	Union Pacific Corp.		2,345,634

		Semiconductors & Semiconductor Equipment – 10.9%
	325,700	Applied Materials, Inc.		5,712,778
	297,900	Intel Corp.		6,827,868
	59,200	Lam Research Corp.(b)		3,030,448
	41,400	Texas Instruments, Inc.		1,667,178

				17,238,272

		Software – 3.5%
	166,200	Oracle Corp.		5,512,854

		Specialty Retail – 3.9%
	29,400	Advance Auto Parts, Inc.		2,430,792
	30,200	CarMax, Inc.(b)		1,463,794
	29,300	Tiffany & Co.		2,244,966

				6,139,552

		Textiles, Apparel & Luxury Goods – 1.1%
	24,600	NIKE, Inc., Class B		1,786,944

		Total Common Stocks (Identified Cost $105,458,068)		147,447,221


Principal Amount
	Short-Term Investments – 7.2%
	$11,434,536	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $11,434,536 on 10/01/2013 collateralized by $11,665,000 Federal Home Loan Bank, 0.120% due 3/28/2014 valued at $11,665,000 including accrued interest(c) (Identified Cost $11,434,536)		11,434,536


Description	Value (†)
Total Investments – 100.3% (Identified Cost $116,892,604)(a)	$	158,881,757
Other assets less liabilities – (0.3)%		(472,467	)

Net Assets – 100.0%	$	158,409,290

(†)

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser and subadviser and approved by the Board of Trustees, which 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.

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

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

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

At September 30, 2013, the net unrealized appreciation on investments based on a cost of $116,892,604 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	42,213,037
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(223,884	)

Net unrealized appreciation	$	41,989,153

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

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	147,447,221	$	—	$	—	$	147,447,221
Short-Term Investments		—		11,434,536		—		11,434,536

Total	$	147,447,221	$	11,434,536	$	—	$	158,881,757

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2013 (Unaudited)


Semiconductors & Semiconductor Equipment	10.9	%
Capital Markets	7.9
Auto Components	6.8
Machinery	6.8
Commercial Banks	6.7
IT Services	5.7
Hotels, Restaurants & Leisure	5.7
Automobiles	3.9
Specialty Retail	3.9
Insurance	3.9
Diversified Financial Services	3.8
Media	3.6
Software	3.5
Air Freight & Logistics	3.4
Energy Equipment & Services	3.1
Consumer Finance	2.3
Oil, Gas & Consumable Fuels	2.0
Other Investments, less than 2% each	9.2
Short-Term Investments	7.2

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 64.1% of Net Assets
	Non-Convertible Bonds – 60.4%
		ABS Car Loan – 0.9%
	$2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019	$	2,266,570
	5,510,000	Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(b)		5,514,568
	4,300,000	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(b)		4,302,098

				12,083,236

		ABS Credit Card – 0.2%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.602%, 2/16/2021(b)(c)		3,145,000

		ABS Home Equity – 9.4%
	2,615,389	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		2,653,901
	867,527	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.629%, 7/25/2037, 144A(c)		531,573
	2,515,836	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.858%, 11/20/2034(c)		2,320,977
	2,146,498	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		2,151,806
	946,999	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.842%, 9/25/2034(c)		876,410
	1,486,456	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.449%, 2/22/2035(c)		1,266,500
	788,411	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.842%, 2/25/2037(c)		766,397
	2,477,608	CHL Mortgage Pass-Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036		2,183,784
	2,527,733	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		2,558,668
	691,267	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		608,357
	2,059,085	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037		1,637,685
	1,322,295	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		1,051,682
	2,173,897	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		1,908,633
	3,047,911	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(b)		3,135,404
	1,425,196	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		1,410,318
	4,919,147	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		4,741,281
	1,394,336	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		1,423,515
	580,473	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.027%, 8/25/2034		593,595
	1,308,463	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.389%, 5/25/2035(c)		1,058,229


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$1,130,027	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036	$	1,019,218
	891,177	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		592,825
	964,068	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		825,704
	264,434	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.501%, 9/20/2034(c)		249,749
	3,851,115	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.691%, 4/25/2035(c)		2,671,380
	533,994	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.449%, 4/25/2035(c)		421,603
	849,669	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(b)		838,592
	3,310,911	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037		2,910,728
	470,881	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		480,974
	1,397,112	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,212,186
	755,707	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		632,978
	2,448,010	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.334%, 11/25/2036(c)		1,017,542
	283,012	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		288,002
	2,290,768	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.165%, 6/19/2035(b)(c)		2,250,904
	1,050,440	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.410%, 7/19/2035(c)		950,930
	328,113	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.068%, 12/25/2034(c)		282,123
	2,148,201	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.718%, 12/25/2034(c)		2,122,526
	994,648	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.714%, 7/25/2035(c)		900,043
	2,945,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.663%, 9/25/2035(b)(c)		2,868,171
	1,819,871	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,531,727
	1,708,483	HarborView Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.783%, 12/19/2035(c)		1,423,313
	2,659,638	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.289%, 5/25/2037(c)		1,694,383
	1,302,322	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.959%, 12/25/2034(c)		914,834
	2,897,842	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.499%, 7/25/2045(c)		2,528,657
	964,376	JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.339%, 12/25/2036(c)		658,881
	3,127,667	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.554%, 4/25/2035(b)(c)		3,094,779
	1,330,532	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.881%, 8/25/2035(c)		1,304,611


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$3,467,563	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A11, 6.000%, 1/25/2036(b)	$	3,015,014
	3,115,062	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036		2,708,537
	3,308,841	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037		2,689,545
	2,794,540	Lehman XS Trust, Series 2006-4N, Class A2A, 0.404%, 4/25/2046(c)		1,981,541
	541,400	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.455%, 5/25/2034(c)		523,670
	849,509	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.840%, 4/25/2036(c)		787,623
	670,503	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.339%, 1/25/2047(c)		482,448
	2,122,207	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.419%, 5/25/2037(c)		1,426,121
	1,142,285	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		1,187,765
	1,224,144	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		1,251,500
	1,333,220	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		1,376,124
	2,988,247	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		2,988,125
	2,302,090	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,629,859
	2,124,171	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037		1,503,894
	472,002	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.171%, 5/25/2036(c)		461,804
	1,413,416	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,291,797
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b)		2,796,489
	308,658	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.654%, 10/25/2035(c)		312,761
	2,825,180	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(b)		2,376,321
	949,523	Residential Asset Securitization Trust, Series 2007-A5, Class 2A5, 6.000%, 5/25/2037		825,215
	1,162,867	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,171,292
	1,519,649	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.652%, 9/25/2034(c)		1,473,604
	7,515,508	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.510%, 11/25/2034(b)(c)		7,193,784
	726,587	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.489%, 7/25/2035(c)		597,647
	2,253,400	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		2,381,855
	2,576,378	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.430%, 1/25/2035(c)		2,607,629
	862,147	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		888,965


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$1,518,344	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.454%, 9/25/2046(c)	$	1,412,818
	286,136	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.963%, 12/25/2046(c)		263,612
	3,329,518	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.204%, 1/25/2047(c)		2,939,818
	460,610	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.649%, 10/25/2033(c)		462,530
	1,800,725	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 4.743%, 2/25/2034(c)		1,815,556
	698,621	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		709,420
	821,937	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		826,266

				124,927,027

		ABS Other – 0.3%
	1,814,347	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,850,645
	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		735,136
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		424,593
	648,863	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		652,512

				3,662,886

		Aerospace & Defense – 1.2%
	10,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(b)		8,352,505
	2,335,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,147,413
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(b)		5,218,544

				15,718,462

		Airlines – 2.5%
	2,180,000	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		2,051,925
	2,900,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		2,718,750
	3,800,000	American Airlines Pass Through Trust, Series 2013-2, Class A, 4.950%, 7/15/2024, 144A(b)		3,819,000
	2,890,000	British Airways PLC, 4.625%, 6/20/2024, 144A(b)		2,902,282
	2,890,000	British Airways PLC, 5.625%, 12/20/2021, 144A(b)		2,986,353
	680,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026		657,900
	505,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		506,894
	965,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		981,888
	2,289,043	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		2,489,335


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
	$105,023	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020	$	109,092
	1,940,883	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,159,232
	5,003,535	Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(b)		5,016,044
	1,802,827	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,978,603
	1,612,090	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,684,634
	3,055,000	US Airways Pass Through Trust, Series 2013-1, Class 1A, 3.950%, 5/15/2027(b)		2,825,875

				32,887,807

		Automotive – 4.4%
	6,590,000	Daimler Finance North America LLC, 0.945%, 8/01/2016, 144A(b)(c)		6,604,827
	3,000,000	Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(b)		2,951,915
	5,250,000	Ford Motor Credit Co. LLC, 1.516%, 5/09/2016(b)(c)		5,321,521
	4,220,000	General Motors Co., 4.875%, 10/02/2023, 144A		4,125,050
	8,750,000	General Motors Co., 6.250%, 10/02/2043, 144A		8,618,750
	4,590,000	Hyundai Capital America, 2.875%, 8/09/2018, 144A(b)		4,628,359
	6,640,000	Nissan Motor Acceptance Corp., 0.950%, 9/26/2016, 144A(b)(c)		6,650,850
	10,650,000	Toyota Motor Credit Corp., 0.553%, 5/17/2016(b)(c)		10,677,945
	8,500,000	Toyota Motor Credit Corp., MTN, 0.406%, 3/10/2015(b)(c)		8,504,182

				58,083,399

		Banking – 7.0%
	15,025,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)(b)		6,270,868
	2,484,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(b)		4,859,732
	3,950,000	Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(b)		5,926,699
	6,545,000	ING Bank NV, 5.800%, 9/25/2023, 144A(b)		6,610,424
	9,320,000	Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A(b)		9,694,571
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(b)		7,286,615
	5,285,000	Lloyds Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(b)		8,115,326
	6,455,000	Morgan Stanley, MTN, 4.100%, 5/22/2023(b)		6,020,695
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(b)		11,217,622


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	$6,600,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A(b)	$	6,208,283
	9,975,000	Standard Chartered PLC, 5.200%, 1/26/2024, 144A(b)		10,022,082
	7,420,000	UniCredit S.p.A., EMTN, 6.950%, 10/31/2022, (EUR)(b)		10,330,341

				92,563,258

		Building Materials – 0.9%
	155,000	American Builders & Contractors Supply Co., Inc., 5.625%, 4/15/2021, 144A		152,481
	3,030,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A(b)		3,030,000
	2,590,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		2,632,088
	5,800,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A(b)		5,031,500
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,460,102

				12,306,171

		Chemicals – 1.0%
	6,640,000	Alpek S.A. de CV, 5.375%, 8/08/2023, 144A(b)		6,573,600
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(b)		2,821,300
	3,200,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,312,000

				12,706,900

		Collateralized Mortgage Obligations – 0.1%
	33,246,112	Government National Mortgage Association, Series 2010-83, Class IO, 0.522%, 7/16/2050(c)(d)		1,160,921
	629,063	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.827%, 1/25/2036(c)		591,383

				1,752,304

		Commercial Mortgage-Backed Securities – 3.1%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.466%, 5/11/2039, 144A(c)		961,997
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.731%, 4/15/2044, 144A(b)(c)		4,667,037
	2,765,000	Citigroup Commercial Mortgage Trust, 3.634%, 5/10/2035, 144A		2,345,702
	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(b)		2,430,449
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.729%, 11/10/2046, 144A(b)(c)		4,930,655
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.183%, 3/15/2018, 144A(c)		1,305,720
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c)		7,436,858
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.993%, 8/10/2045(b)(c)		4,242,606


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
	$1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049	$	1,527,749
	984,112	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.182%, 4/15/2018, 144A(c)		995,036
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.420%, 9/15/2047, 144A(c)		1,236,673
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.493%, 6/15/2044, 144A(c)		1,997,557
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.760%, 4/12/2049(c)		1,406,743
	5,175,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c)		5,073,839

				40,558,621

		Construction Machinery – 1.3%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.502%, 2/26/2016(b)(c)		17,669,536

		Consumer Cyclical Services – 0.2%
	3,025,000	ServiceMaster Co. (The), 7.000%, 8/15/2020(b)		2,858,625

		Diversified Manufacturing – 0.7%
	3,000,000	Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A(b)		3,277,500
	7,860,000	Ottawa Holdings Pte Ltd., 5.875%, 5/16/2018, 144A(b)		6,170,100

				9,447,600

		Electric – 0.5%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		1,769,238
	5,150,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		5,210,842

				6,980,080

		Entertainment – 0.0%
	611,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		633,913

		Financial Other – 0.4%
	1,625,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		1,615,833
	2,390,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		2,522,796
	1,200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		1,032,000

				5,170,629

		Food & Beverage – 1.8%
	800,000	Alicorp SAA, 3.875%, 3/20/2023, 144A		708,000


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Food & Beverage – continued
	$3,520,000		BRF S.A., 3.950%, 5/22/2023, 144A(b)	$	3,027,200
	2,945,000		BRF S.A., 5.875%, 6/06/2022, 144A(b)		2,930,275
	10,800,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		3,861,842
	2,300,000		Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		910,640
	2,336,000		Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		2,406,080
	3,500,000		General Mills, Inc., Series FRN, 0.564%, 1/29/2016(b)(c)		3,502,562
	4,435,000		Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A(b)		4,229,881
	810,000		KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		822,150
	960,000		Sun Merger Sub, Inc., 5.250%, 8/01/2018, 144A		984,000

					23,382,630

			Gaming – 0.2%
	3,251,000		PNK Finance Corp., 6.375%, 8/01/2021, 144A(b)		3,316,020

			Government Owned - No Guarantee – 1.7%
	8,000,000		Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(b)		7,360,000
	700,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		5,593,775
	9,715,000		Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A(b)		8,962,088

					21,915,863

			Government Sponsored – 0.3%
	1,410,000		EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		1,330,562
	2,275,000		Eksportfinans ASA, 2.000%, 9/15/2015		2,218,125
	55,000		Eksportfinans ASA, 2.375%, 5/25/2016		53,213

					3,601,900

			Healthcare – 0.9%
	10,900,000		Baxter International, Inc., 0.426%, 12/11/2014(b)(c)		10,904,327
	450,000		Owens & Minor, Inc., 6.350%, 4/15/2016		487,378

					11,391,705

			Home Construction – 0.0%
	1,920,000		Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(e)		460,800


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – 1.1%
	$670,000	Halcon Resources Corp., 8.875%, 5/15/2021	$	686,750
	1,575,000	Halcon Resources Corp., 9.250%, 2/15/2022, 144A		1,638,000
	2,660,000	Halcon Resources Corp., 9.750%, 7/15/2020(b)		2,812,950
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f)		1,193,600
	5,575,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(b)		892,000
	4,670,000	SandRidge Energy, Inc., 7.500%, 2/15/2023(b)		4,623,300
	3,080,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		3,087,700

				14,934,300

		Life Insurance – 1.9%
	8,600,000	Assicurazioni Generali S.p.A., EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(b)		12,565,275
	9,263,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)(p)		8,904,059
	3,300,000	MetLife Capital Trust IV, 7.875%, 12/15/2067, 144A(b)		3,712,500

				25,181,834

		Local Authorities – 1.1%
	11,978,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(b)		14,294,150

		Lodging – 0.2%
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022		2,184,938
	1,050,000	Host Hotels & Resorts LP, Series D, 3.750%, 10/15/2023		971,928

				3,156,866

		Media Non-Cable – 1.3%
	8,095,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014(b)		7,953,337
	3,695,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A(b)		3,454,825
	745,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		772,938
	5,355,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(b)		5,542,425

				17,723,525

		Metals & Mining – 2.3%
	5,700,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A(b)		5,300,589


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
	$2,940,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022(b)	$	2,478,320
	11,100,000	Glencore Funding LLC, 4.125%, 5/30/2023, 144A(b)		10,268,244
	5,455,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A(b)		4,522,866
	2,020,000	Plains Exploration & Production Co., 6.750%, 2/01/2022		2,161,982
	6,815,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A(b)		5,929,050

				30,661,051

		Non-Captive Consumer – 0.6%
	6,415,000	Springleaf Finance Corp., 6.000%, 6/01/2020, 144A(b)		6,158,400
	1,834,000	Stearns Holdings, Inc., 9.375%, 8/15/2020, 144A		1,870,680

				8,029,080

		Non-Captive Diversified – 0.4%
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(b)(p)		5,111,250

		Oil Field Services – 1.3%
	1,465,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		1,465,000
	2,900,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(b)		3,074,000
	10,200,000	Lukoil International Finance BV, 4.563%, 4/24/2023, 144A(b)		9,488,550
	3,544,600	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(b)		3,385,093

				17,412,643

		Pharmaceuticals – 0.8%
	9,125,000	Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(b)		8,676,096
	2,085,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		2,168,400

				10,844,496

		Pipelines – 0.3%
	3,825,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A(b)		4,019,176

		Retailers – 0.6%
	5,530,000	Toys R Us Property Co. II LLC, 8.500%, 12/01/2017(b)		5,792,675
	1,697,000	William Carter Co. (The), 5.250%, 8/15/2021, 144A		1,697,000

				7,489,675


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Sovereigns – 0.2%
	7,091,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)	$	2,890,727

			Supermarkets – 0.4%
	5,073,000		SUPERVALU, Inc., 6.750%, 6/01/2021, 144A(b)		4,819,350

			Technology – 0.9%
	3,840,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(b)		3,244,800
	1,805,000		Broadridge Financial Solutions, Inc., 3.950%, 9/01/2020		1,822,640
	4,900,000		Jabil Circuit, Inc., 4.700%, 9/15/2022(b)		4,691,750
	2,650,000		VeriSign, Inc., 4.625%, 5/01/2023, 144A		2,491,000

					12,250,190

			Textile – 0.1%
	1,080,000		Phillips-Van Heusen Corp., 7.750%, 11/15/2023		1,251,300

			Treasuries – 5.4%
	4,150,000,000		Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(b)		8,324,666
	696,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		5,561,497
	465,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(b)		3,678,162
	4,043,800	(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(b)		32,830,701
	325,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(b)		2,881,145
	130,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,135,308
	2,890,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)(b)		3,257,875
	5,460,000		Portugal Obrigacoes do Tesouro OT, 5.650%, 2/15/2024, 144A, (EUR)(b)		6,655,294
	72,280,523		Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(b)		3,472,556
	70,212,063		Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)(b)		3,423,837

					71,221,041

			Wireless – 0.3%
	3,440,000		Sprint Corp., 7.250%, 9/15/2021, 144A(b)		3,474,400

			Wirelines – 2.2%
	3,000,000		Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A(b)		2,685,000
	2,315,000		Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A		2,129,800
	2,430,000		Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)(b)		3,287,427


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	7,800,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(b)	$	3,082,272
	7,594,000	Qwest Corp., 7.200%, 11/10/2026(b)		7,597,987
	2,800,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,302,868
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		789,789
	2,237,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		2,153,171
	250,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		255,958
	525,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		537,580
	2,000,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		2,122,794
	1,500,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)(b)		2,547,953

				29,492,599

		Total Non-Convertible Bonds (Identified Cost $820,547,559)		801,482,025

	Convertible Bonds – 3.7%
		Automotive – 0.4%
	1,610,000	Ford Motor Co., 4.250%, 11/15/2016(b)		3,180,756
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,843,144

				5,023,900

		Independent Energy – 0.4%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		438,812
	4,060,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019(b)		4,293,450

				4,732,262

		Metals & Mining – 0.3%
	2,515,000	Peabody Energy Corp., 4.750%, 12/15/2066		2,018,288
	1,840,000	United States Steel Corp., 2.750%, 4/01/2019		2,036,650

				4,054,938

		Oil Field Services – 0.2%
	2,210,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		2,856,425

		Pharmaceuticals – 0.6%
	2,210,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(b)		6,118,937
	750,000	Mylan, Inc., 3.750%, 9/15/2015		2,173,594

				8,292,531


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Retailers – 0.5%
	$4,430,000	priceline.com, Inc., 0.350%, 6/15/2020, 144A	$	4,637,656
	1,603,000	priceline.com, Inc., 1.000%, 3/15/2018		2,059,855

				6,697,511

		Technology – 1.3%
	1,330,000	Ciena Corp., 3.750%, 10/15/2018, 144A		1,959,256
	1,440,000	EMC Corp., Series B, 1.750%, 12/01/2013		2,301,300
	2,085,000	Intel Corp., 3.250%, 8/01/2039		2,581,491
	2,320,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032(b)		4,399,300
	1,825,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,844,391
	1,675,000	SanDisk Corp., 1.500%, 8/15/2017		2,215,187
	1,015,000	Xilinx, Inc., 2.625%, 6/15/2017		1,646,838

				16,947,763

		Total Convertible Bonds (Identified Cost $43,454,287)		48,605,330

		Total Bonds and Notes (Identified Cost $864,001,846)		850,087,355

	Senior Loans – 15.4%
		Aerospace & Defense – 0.1%
	645,125	Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(c)		646,738
	582,598	Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(c)		591,336
	697,244	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(c)		693,646

				1,931,720

		Airlines – 0.2%
	2,846,000	US Airways Group, Inc., Term Loan B1, 4.250%, 5/23/2019(c)		2,825,680

		Automotive – 0.7%
	667,600	Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.750%, 4/27/2020(c)		667,600
	4,099,033	Chrysler Group LLC, New Term Loan B, 4.250%, 5/24/2017(c)		4,123,627
	1,163,000	Navistar International Corporation, Term Loan B, 5.750%, 8/17/2017(c)		1,176,444
	2,577,050	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(c)		2,601,223
	230,670	Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(c)		231,438

				8,800,332


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Banking – 0.1%
	$1,925,089	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.429%, 6/30/2017(c)	$	1,897,021

		Building Materials – 0.4%
	1,822,000	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(c)		1,806,513
	1,123,000	Quikrete Holdings, Inc., 1st Lien Term Loan, 9/25/2020(g)		1,122,001
	2,825,765	Wilsonart International Holdings LLC, Term Loan B, 4.000%, 10/31/2019(c)		2,790,443

				5,718,957

		Chemicals – 1.0%
	577,280	Allnex USA, Inc., USD Term Loan B1, 4.500%, 10/03/2019(c)		576,922
	299,523	Allnex USA, Inc., USD Term Loan B2, 4.500%, 10/03/2019(c)		299,337
	1,623,930	Arysta LifeScience Corporation, 1st Lien Term Loan, 4.500%, 5/29/2020(c)		1,619,188
	3,272,419	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(c)		3,096,527
	1,197,000	MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/08/2020(c)		1,191,015
	656,582	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(c)		641,809
	396,271	OCI Beaumont LLC, Term Loan B1, 6.250%, 8/20/2019(c)		396,271
	744,990	OCI Beaumont LLC, Term Loan B2, 6.250%, 8/20/2019(c)		744,990
	1,238,640	Taminco Global Chemical Corporation, USD Term Loan B2, 4.250%, 2/15/2019(c)		1,242,765
	735,158	Tata Chemicals North America, Inc., Term Loan B, 3.750%, 8/07/2020(c)		732,400
	3,336,438	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(c)		3,212,156

				13,753,380

		Consumer Cyclical Services – 0.1%
	92,239	Instant Web, Inc., Delayed Draw Term Loan, 3.554%, 8/07/2014(c)		73,791
	879,342	Instant Web, Inc., Term Loan B, 3.554%, 8/07/2014(c)		703,474
	623,000	Spin Holdco, Inc., New Term Loan B, 4.253%, 11/14/2019(h)		620,664

				1,397,929

		Consumer Products – 0.5%
	1,070,000	Jarden Corporation, Add-On Term Loan B1, 9/30/2020(g)		1,068,138
	961,733	Serta/Simmons Holdings LLC, Term Loan, 5.000%, 10/01/2019(c)		962,588
	2,296,944	SRAM LLC, New Term Loan B, 4.024%, 4/10/2020(h)		2,256,748
	2,831,292	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(c)		2,802,272

				7,089,746


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Diversified Manufacturing – 0.3%
	$598,478	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(c)	$	598,478
	1,208,925	Doncasters Finance US LLC, USD Term Loan, 5.500%, 4/09/2020(c)		1,211,947
	2,093,330	Edwards (Cayman Islands II) Limited, New Term Loan B, 4.750%, 3/26/2020(c)		2,091,760

				3,902,185

		Electric – 0.5%
	1,846,373	Calpine Construction Finance Company LP, Original Term Loan B1, 3.000%, 5/04/2020(c)		1,802,983
	618,750	Calpine Corporation, Term Loan B3, 4.000%, 10/09/2019(c)		618,286
	1,183,879	Dynegy Holdings, Inc., Term Loan B2, 4.000%, 4/23/2020(c)		1,180,031
	2,800,925	NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(c)		2,780,142

				6,381,442

		Entertainment – 0.2%
	1,925,000	Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(c)		1,906,963
	881,321	WMG Acquisition Corp., New Term Loan, 3.750%, 7/01/2020(c)		876,640

				2,783,603

		Environmental – 0.1%
	977,000	Allflex Holdings III, Inc., New 1st Lien Term Loan, 4.250%, 7/20/2020(c)		978,837

		Financial Other – 0.3%
	1,091,265	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(c)		1,093,993
	704,685	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(c)		709,089
	2,535,000	Triple Point Technology, Inc., 2nd Lien Term Loan, 9.250%, 7/09/2021(c)		2,395,575

				4,198,657

		Food & Beverage – 1.4%
	6,575,000	Del Monte Foods Company, Term Loan, 4.000%, 3/08/2018(c)		6,543,769
	797,990	Dole Food Company, Inc., New Term Loan, 3.753%, 4/01/2020(h)		796,849
	2,840,000	DS Waters of America, Inc., New Term Loan, 5.250%, 8/19/2020(c)		2,859,539
	2,622,428	H.J. Heinz Company, Term Loan B2, 3.500%, 6/05/2020(c)		2,628,092
	1,628,000	New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(c)		1,667,349
	723,365	Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(c)		716,312
	2,844,870	US Foods, Inc., Refi Term Loan, 4.500%, 3/29/2019(c)		2,825,325

				18,037,235


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Gaming – 0.1%
	$1,350,000	Boyd Gaming Corporation, Term Loan B, 4.000%, 8/14/2020(c)	$	1,346,288

		Healthcare – 0.6%
	2,438,888	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(c)		2,455,106
	3,185,000	Springer Science & Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(c)		3,161,112
	265,000	TriZetto Group, Inc. (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(c)		229,225
	1,282,023	TriZetto Group, Inc. (The), Term Loan B, 4.750%, 5/02/2018(c)		1,187,153
	396,010	United Surgical Partners International, Inc., Incremental Term Loan, 4.750%, 4/03/2019(c)		397,250

				7,429,846

		Independent Energy – 0.1%
	1,221,000	Fieldwood Energy LLC, 1st Lien Term Loan, 9/28/2018(g)		1,218,460

		Industrial Other – 1.7%
	1,104,450	Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(c)		1,105,146
	276,755	Belden, Inc., Term Loan B, 10/02/2020(g)		276,755
	239,516	Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(c)		240,115
	997,984	Brand Energy & Infrastructure Services, Inc., USD Term Loan B1, 6.250%, 10/23/2018(c)		1,000,479
	39,383	CeramTec Acquisition Corporation, USD Term Loan B2, 4.250%, 8/28/2020(c)		39,448
	399,963	Faenza Acquisition GmbH, USD Term Loan B1, 4.250%, 8/31/2020(c)		400,630
	121,655	Faenza Acquisition GmbH, USD Term Loan B3, 4.250%, 8/28/2020(c)		121,858
	4,000,000	Gardner Denver, Inc., USD Term Loan, 4.250%, 7/30/2020(c)		3,957,280
	2,840,000	Generac Power Systems, Inc., Term Loan B, 3.500%, 5/29/2020(c)		2,823,670
	1,617,000	MEI Conlux Holdings (US), Inc., Term Loan B, 5.000%, 8/21/2020(c)		1,616,321
	550,838	Mirror Bidco Corp., USD Term Loan, 5.250%, 12/27/2019(c)		552,672
	1,990,000	Pacific Industrial Services US Finco LLC, USD 1st Lien Term Loan, 9/24/2018(g)		1,993,323
	1,955,046	Pinnacle Operating Corp., Term Loan, 4.750%, 11/06/2018(c)		1,957,490
	6,563,467	Silver II US Holdings LLC, Term Loan, 4.000%, 12/13/2019(c)		6,497,833
	361,939	WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(c)		362,663

				22,945,683

		Lodging – 0.3%
	3,423,902	Hilton Worldwide Finance LLC, USD Term Loan B2, 10/26/2020(g)		3,417,670


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Media Cable – 0.8%
	$1,963,080	Charter Communications Operating LLC, Term Loan E, 3.000%, 7/01/2020(c)	$	1,939,601
	1,305,728	Charter Communications Operating LLC, Term Loan F, 3.000%, 1/04/2021(c)		1,290,490
	2,847,863	CSC Holdings, Inc., New Term Loan B, 2.679%, 4/17/2020(c)		2,812,663
	671,000	TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(c)		687,775
	3,295,000	Virgin Media Investment Holdings Limited, USD Term Loan B, 3.500%, 6/08/2020(c)		3,273,484

				10,004,013

		Media Non-Cable – 0.2%
	1,255,000	Activision Blizzard, Inc., Term Loan B, 9/11/2020(g)		1,252,904
	1,132,443	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(c)		1,013,253

				2,266,157

		Metals & Mining – 1.0%
	2,804,670	FMG Resources (August 2006) Pty Ltd., Term Loan, 5.250%, 10/18/2017(c)		2,811,177
	1,358,733	Metal Services LLC, Term Loan, 7.750%, 6/30/2017(c)		1,365,526
	116,708	Murray Energy Corporation, New Term Loan B, 4.750%, 5/24/2019(c)		116,374
	5,793,750	Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 12/31/2013(c)		5,822,719
	2,290,000	Peabody Energy Corporation, Term Loan B, 4.250%, 9/24/2020(c)		2,263,757
	558,777	Tube City IMS Corporation, Term Loan, 6.000%, 3/20/2019(c)		558,777

				12,938,330

		Non-Captive Consumer – 0.1%
	785,111	Springleaf Financial Funding Company, Term Loan, 5.500%, 5/10/2017(c)		785,276

		Oil Field Services – 0.2%
	1,450,365	Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(c)		1,455,078
	340,000	Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(c)		341,700
	648,375	Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(c)		653,238

				2,450,016

		Other Utility – 0.0%
	459,848	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		452,375
	55,000	Power Team Services LLC, Delayed Draw Term Loan(i)		54,106

				506,481


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Packaging – 0.2%
	$1,720,000	Berlin Packaging LLC, 1st Lien Term Loan, 4.750%, 4/02/2019(c)	$	1,719,278
	1,077,300	Pact Group (USA), Inc., USD Term Loan B, 3.750%, 5/29/2020(c)		1,058,447

				2,777,725

		Pharmaceuticals – 0.4%
	2,378,933	inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(c)		2,289,723
	1,526,612	Quintiles Transnational Corp., New Term Loan B, 4.000%, 6/08/2018(c)		1,527,086
	2,024,700	Valeant Pharmaceuticals International, Inc., Term Loan E, 4.500%, 8/05/2020(c)		2,034,540

				5,851,349

		Property & Casualty Insurance – 0.2%
	1,161,225	AmWINS Group, Inc., New Term Loan, 5.000%, 9/06/2019(c)		1,165,580
	330,000	Applied Systems, Inc., 2nd Lien Term Loan, 8.250%, 6/08/2017(c)		331,376
	1,115,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(c)		1,098,275

				2,595,231

		Restaurants – 0.1%
	443,571	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(c)		445,789
	536,655	Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.500%, 5/14/2020(c)		534,643

				980,432

		Retailers – 0.1%
	710,000	Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.750%, 7/26/2019(c)		714,139

		Supermarkets – 0.4%
	635,000	Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(c)		634,682
	1,102,898	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(c)		1,101,520
	3,336,980	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(c)		3,324,466

				5,060,668

		Technology – 1.9%
	3,096,600	Alcatel-Lucent USA, Inc., Euro Term Loan D, 6.250%, 1/30/2019, (EUR)(c)		4,208,298
	7,903,751	Alcatel-Lucent USA, Inc., USD Term Loan C, 5.750%, 1/30/2019(c)		7,955,125
	1,868,094	Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(c)		1,875,099
	1,534,661	BMC Software Finance, Inc., Term Loan, 5.000%, 8/07/2020(c)		1,532,743
	3,074,454	BMC Software Finance, Inc., USD Term Loan, 5.000%, 8/07/2020(c)		3,072,917
	2,900,000	Dell, Inc., USD Term Loan B, 4/29/2020(g)		2,846,524


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Technology – continued
	$470,445	Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(c)	$	470,798
	1,006,395	NXP B.V., Term Loan C, 4.750%, 1/11/2020(c)		1,014,698
	850,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c)		847,875
	452,580	SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(c)		457,097
	950,225	SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/09/2020(c)		951,812
	323,375	Verint Systems, Inc., New Term Loan B, 4.000%, 9/06/2019(c)		324,102

				25,557,088

		Transportation Services – 0.0%
	514,115	FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(c)		494,836

		Utility Other – 0.0%
	380,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(c)		370,975

		Wireless – 0.6%
	1,718,018	Asurion LLC, New Term Loan B1, 5/24/2019(g)		1,700,562
	1,424,043	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(c)		1,409,575
	932,663	Asurion LLC, New Term Loan B2, 3.500%, 7/08/2020(c)		900,411
	3,381,511	Crown Castle International Corporation, New Term Loan, 3.250%, 1/31/2019(c)		3,337,146

				7,347,694

		Wirelines – 0.5%
	477,600	Integra Telecom, Inc., 1st Lien Term Loan, 5.250%, 2/22/2019(c)		479,988
	542,007	Level 3 Financing, Inc., New 2019 Term Loan, 4.000%, 8/01/2019(c)		540,923
	2,140,810	Level 3 Financing, Inc., New Term Loan B2, 1/15/2020(g)		2,136,357
	1,440,000	Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(c)		1,437,293
	1,696,748	Light Tower Fiber LLC, 1st Lien Term Loan, 4.500%, 4/13/2020(c)		1,701,515
	814,749	Zayo Group LLC, Term Loan B, 4.500%, 7/02/2019(c)		814,285

				7,110,361

		Total Senior Loans (Identified Cost $204,143,227)		203,865,442


Shares		Description	Value (†)
	Preferred Stocks – 4.7%
	Convertible Preferred Stocks – 2.7%
		Automotive – 0.3%
	72,200	General Motors Co., Series B, 4.750%(b)	$	3,620,830

		Banking – 0.2%
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%(b)		2,548,022

		Independent Energy – 0.2%
	1,500	Chesapeake Energy Corp., Series A, 5.750%, 144A		1,654,688
	5,963	SandRidge Energy, Inc., 7.000%		594,809

				2,249,497

		Metals & Mining – 0.6%
	128,475	ArcelorMittal, 6.000%		2,760,928
	282,067	Cliffs Natural Resources, Inc., 7.000%(b)		5,576,464

				8,337,392

		Non-Captive Diversified – 0.1%
	1,388	Bank of America Corp., Series L, 7.250%		1,499,040

		REITs - Diversified – 0.8%
	213,072	Weyerhaeuser Co., Series A, 6.375%(b)		11,288,555

		REITs - Healthcare – 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		460,400

		REITs - Mortgage – 0.2%
	56,286	iStar Financial, Inc., Series J, 4.500%(b)		3,117,119

		Utility Other – 0.3%
	34,648	Dominion Resources, Inc., Series B, 6.000%		1,851,935
	28,391	Dominion Resources, Inc., Series A, 6.125%		1,514,376

				3,366,311

		Total Convertible Preferred Stocks (Identified Cost $34,835,578)		36,487,166

	Non-Convertible Preferred Stocks – 2.0%
		Banking – 1.5%
	11,660	Ally Financial, Inc., Series G, 7.000%, 144A(b)		11,141,130
	148,056	Capital One Financial Corp., Series B, 6.000%(b)		3,240,946
	247,273	SunTrust Banks, Inc., 5.875%(b)		5,355,933

				19,738,009


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Media Cable – 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(b)	$	3,999,600

		Non-Captive Diversified – 0.2%
	102,000	Montpelier Re Holdings Ltd., 8.875%(b)		2,652,000

		Total Non-Convertible Preferred Stocks (Identified Cost $27,537,054)		26,389,609

		Total Preferred Stocks (Identified Cost $62,372,632)		62,876,775

	Common Stocks – 3.7%
		Chemicals – 0.5%
	82,634	Dow Chemical Co. (The)		3,173,146
	24,216	Rockwood Holdings, Inc.		1,620,050
	54,452	Tronox Ltd., Class A		1,332,440

				6,125,636

		Commercial Banks – 0.1%
	18,731	HSBC Holdings PLC, Sponsored ADR		1,016,344

		Diversified Financial Services – 0.2%
	39,821	JPMorgan Chase & Co.		2,058,348

		Diversified Telecommunication Services – 0.5%
	58,003	AT&T, Inc.		1,961,661
	87,030	Deutsche Telekom AG, Sponsored ADR		1,270,638
	35,730	Orange S.A., Sponsored ADR		446,982
	83,776	Telefonica S.A., Sponsored ADR(f)		1,296,853
	43,618	Verizon Communications, Inc.		2,035,216

				7,011,350

		Food & Staples Retailing – 0.2%
	32,945	CVS Caremark Corp.		1,869,629
	13,873	Wal-Mart Stores, Inc.		1,026,047

				2,895,676

		Industrial Conglomerates – 0.1%
	5,425	Siemens AG, Sponsored ADR		653,767

		Machinery – 0.1%
	76,802	Komatsu Ltd., Sponsored ADR		1,925,426

		Office Electronics – 0.0%
	12,269	Canon, Inc., Sponsored ADR		392,608

		Oil, Gas & Consumable Fuels – 0.6%
	16,420	Chevron Corp.		1,995,030
	17,200	ExxonMobil Corp.		1,479,888
	21,700	Royal Dutch Shell PLC, ADR		1,425,256
	39,804	Statoil ASA, Sponsored ADR		902,755
	40,268	Total S.A., Sponsored ADR		2,332,322

				8,135,251


Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 0.5%
	28,438	Bayer AG, Sponsored ADR	$	3,353,978
	10,500	GlaxoSmithKline PLC, Sponsored ADR		526,785
	48,626	Pfizer, Inc.		1,396,052
	36,223	Sanofi, ADR		1,833,971

				7,110,786

		Semiconductors & Semiconductor Equipment – 0.3%
	19,771	KLA-Tencor Corp.		1,203,065
	65,920	Texas Instruments, Inc.		2,654,599

				3,857,664

		Software – 0.0%
	16,290	Microsoft Corp.		542,620

		Tobacco – 0.2%
	29,055	Altria Group, Inc.		998,039
	9,290	British American Tobacco PLC, Sponsored ADR		976,843
	5,330	Philip Morris International, Inc.		461,525

				2,436,407

		Trading Companies & Distributors – 0.2%
	26,589	Mitsubishi Corp., Sponsored ADR		1,074,196
	3,235	Mitsui & Co. Ltd., Sponsored ADR		943,002

				2,017,198

		Wireless Telecommunication Services – 0.2%
	75,054	Vodafone Group PLC, Sponsored ADR		2,640,400

		Total Common Stocks (Identified Cost $45,791,509)		48,819,481


Notional Amount/ Shares (†††)
	Purchased Swaptions – 0.4%
		Interest Rate Swaptions – 0.4%
	$125,000,000	1-year Interest Rate Swap Put, expiring 9/15/2014, Pay 3-month LIBOR, Receive 0.843%(j)(k)		451,375
	83,500,000	5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 3-month LIBOR, Receive 1.171%(j)(k)		—
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(j)(k)		5,069,373

		Total Purchased Swaptions (Identified Cost $6,711,835)		5,520,748

	Purchased Options – 0.0%
		Options on Securities – 0.0%
	474,700	iShares MSCI EAFE ETF, Put expiring October 19, 2013 at 60(l)		94,940
	355,000	iShares MSCI Emerging Markets ETF, Put expiring October 19, 2013 at 39(l)		106,500
	97,200	SPDR^® S&P 500^® ETF Trust, Put expiring October 19, 2013 at 165(l)		118,098

		Total Purchased Options (Identified Cost $1,385,975)		319,538


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 10.2%
	$2,870,578	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2013 at 0.000% to be repurchased at $2,870,578 on 10/01/2013 collateralized by $3,245,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $3,015,176 including accrued interest(m)	$	2,870,578
	70,014,881	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $70,014,881 on 10/01/2013 collateralized by $68,420,000 U.S. Treasury Note, 2.125% due 12/31/2015 valued at $71,418,712 including accrued interest(m)		70,014,881
	9,800,000	U.S. Treasury Bills, 0.021% - 0.053%, 2/27/2014(n)(o)		9,799,598
	52,600,000	U.S. Treasury Bills, 0.106%, 8/21/2014(b)(o)		52,564,495

		Total Short-Term Investments (Identified Cost $135,234,351)		135,249,552

		Total Investments – 98.5% (Identified Cost $1,319,641,375)(a)		1,306,738,891
		Other assets less liabilities – 1.5%		20,121,687

		Net Assets – 100.0%	$	1,326,860,578


Notional Amount/ Shares (†††)
	Written Swaptions – (0.2%)
		Interest Rate Swaptions – (0.2%)
	$83,500,000	5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.880%, Receive 3-month LIBOR(j)(k)	$	—
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(j)(k)		(3,229,244	)

		Total Written Swaptions (Premiums Received $3,965,333)	$	(3,229,244	)

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser and approved by the Board of Trustees, which 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.

Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

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

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

Futures contracts 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.

Credit default swap agreements are valued based on mid prices (between the bid and ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers.

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

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

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

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

Over-the-counter option contracts (including currency options not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. These prices will be either the bid for a long transaction or the ask for a short transaction. Investments in other open-end investment companies are valued at their net asset value each day.

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

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

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

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

(†††)

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

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

At September 30, 2013, the net unrealized depreciation on investments based on a cost of $1,322,404,727 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	30,509,171
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(46,175,007	)

Net unrealized depreciation	$	(15,665,836	)

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

(b)	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.

(c)	Variable rate security. Rate as of September 30, 2013 is disclosed.

(d)	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.

(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(f)	Non-income producing security.

(g)	Position is unsettled. Contract rate was not determined at September 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 September 30, 2013.

(i)	Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower.

(j)

The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate.

When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of 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.

(k)	Counterparty is Citibank, N.A.

(l)

The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund 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 the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options contracts are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

(m)

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

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

(p)	Perpetual bond with no specified maturity date.

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 September 30, 2013, the value of Rule 144A holdings amounted to $395,039,278 or 29.8% of net assets.

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

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

EMTN	Euro Medium Term Note

ETF	Exchange Traded Fund

GMTN	Global Medium Term Note

MTN	Medium Term Note

REITs

Real Estate Investment Trusts

SPDR	Standard &Poor’s Depositary Receipt

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

CLP	Chilean Peso

EUR

Euro

GBP	British Pound

MXN	Mexican Peso

NZD	New Zealand Dollar

UYU	Uruguayan Peso

Swap Agreements

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

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

Swap agreements are privately negotiated 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 Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is 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 the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

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


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Buy Protection
Bank of America, N.A.	CDX.NA.EM Series 20, 5-Year		(5.00	%)		12/20/2018	$	33,875,000	$	(3,150,375	)	$	(3,255,245	)	$	(104,870	)	$	(51,753	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		3,000,000		(14,338	)		(45,806	)		(31,468	)		(917	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		5,075,000		(33,962	)		(77,490	)		(43,528	)		(1,551	)
Bank of America, N.A.	CDX.NA.IG Series 19, 5-Year		(1.00	%)		12/20/2017		1,000,000		(8,165	)		(15,269	)		(7,104	)		(306	)
Bank of America, N.A.	CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		3,100,000		(14,023	)		(38,022	)		(23,999	)		(947	)
Bank of America, N.A.	CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		7,000,000		(85,940	)		(85,856	)		84			(2,139	)


Bank of America, N.A.	Electricite de France	(1.00	%)	12/20/2017	3,700,000	*	10,112			(79,381	)		(89,493	)		(1,528	)
Bank of America, N.A.	Iberdrola Finanzas SAU	(1.00	%)	9/20/2018	4,500,000	*	318,838			182,238			(136,600	)		(1,858	)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year	(5.00	%)	12/20/2017	3,875,000	*	82,893			(340,022	)		(422,915	)		(8,000	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	550,000	*	(57,194	)		(96,911	)		(39,717	)		(1,135	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	500,000	*	(51,361	)		(88,101	)		(36,740	)		(1,032	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	450,000	*	(49,301	)		(79,291	)		(29,990	)		(929	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	1,500,000	*	(145,562	)		(264,302	)		(118,740	)		(3,097	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	1,180,000	*	(157,622	)		(207,917	)		(50,295	)		(2,436	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	5,000,000	*	(717,687	)		(881,007	)		(163,320	)		(10,322	)
Bank of America, N.A.	iTraxx Europe Sub Financial Series 19, 5-Year	(5.00	%)	6/20/2018	6,500,000	*	(893,551	)		(1,186,808	)		(293,257	)		(13,419	)
Bank of America, N.A.	Russian Foreign Bond	(1.00	%)	12/20/2018	11,000,000		352,804			411,540			58,736			(3,667	)
Bank of America, N.A.	Textron Financial Corp.	(1.00	%)	3/20/2017	975,000		(20,772	)		(22,842	)		(2,070	)		(298	)
Bank of America, N.A.	Textron Financial Corp.	(1.00	%)	6/20/2017	1,250,000		(27,480	)		(29,455	)		(1,975	)		(382	)
Credit Suisse International	CDX.NA.IG Series 19, 5-Year	(1.00	%)	12/20/2017	9,000,000		(74,630	)		(137,420	)		(62,790	)		(2,750	)
Credit Suisse International	CDX.NA.IG Series 20, 5-Year	(1.00	%)	6/20/2018	3,300,000		(13,426	)		(40,475	)		(27,049	)		(1,008	)
Credit Suisse International	HJ Heinz Co.	(1.00	%)	3/20/2018	7,650,000		222,119			64,825			(157,294	)		(2,338	)
Credit Suisse International	Intesa Sanpaolo S.p.A., GMTN	(3.00	%)	12/20/2018	3,450,000	*	(25,594	)		(33,660	)		(8,066	)		(4,278	)
Credit Suisse International	iTraxx Europe Sub Financial Series 18, 5-Year	(5.00	%)	12/20/2017	4,400,000	*	(384,482	)		(775,286	)		(390,804	)		(9,084	)
Credit Suisse International	UniCredit S.p.A., EMTN	(5.00	%)	12/20/2018	3,700,000	*	(118,875	)		(157,481	)		(38,606	)		(7,647	)
Deutsche Bank AG	Russian Foreign Bond	(1.00	%)	12/20/2018	16,900,000		542,034			632,275			90,241			(5,633	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.	(1.00	%)	3/20/2017	2,000,000		(40,492	)		(46,856	)		(6,364	)		(611	)
Morgan Stanley Capital Services Inc.	Textron Financial Corp.	(1.00	%)	3/20/2017	1,300,000		(26,383	)		(30,456	)		(4,073	)		(397	)

Total									$	(6,724,481	)	$	(2,142,066	)	$	(139,462	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
Bank of America, N.A.	International Lease Finance Corp.		5.00	%		9/20/2018		3.20	%	$	3,275,000	$	222,788		$	258,801		$	36,013		$	5,003
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.		5.00	%		6/20/2015		41.63	%		3,900,000		(318,398	)		(1,440,502	)		(1,122,104	)		5,958
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.		5.00	%		6/20/2015		56.55	%		5,300,000		(459,717	)		(1,620,575	)		(1,160,858	)		8,097

Total															$	(2,802,276	)	$	(2,246,949	)	$	19,058

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


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Buy Protection
CDX.NA.HY Series 21, 5-Year		(5.00	%)		12/20/2018	$	65,375,000	$	(2,916,379	)	$	(137,941	)	$	(99,878	)
CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		4,900,000		(59,374	)		(22,784	)		(1,497	)
CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		12,000,000		(145,405	)		(20,306	)		(3,667	)
CDX.NA.IG Series 20, 5-Year		(1.00	%)		6/20/2018		92,500,000		(1,120,833	)		(580,265	)		(28,264	)
CDX.NA.HY Series 21, 5-Year		(5.00	%)		12/20/2018		25,000,000		(1,115,235	)		(52,735	)		(38,194	)

Total								$	(5,357,226	)	$	(814,031	)	$	(171,500	)

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

*	Notional value denominated in euros.

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

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 Fund’s or counterparty’s net obligations under the contracts.

At September 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		10/15/2013	Australian Dollar		14,200,000	$	13,235,869	$	59,873
Sell¹		10/15/2013	Australian Dollar		14,200,000		13,235,868		49,297
Sell¹		10/28/2013	Brazilian Real		47,600,000		21,345,204		136,879
Sell¹		12/04/2013	British Pound		1,495,000		2,419,119		(107,206	)
Buy²		10/07/2013	Chilean Peso		4,000,000,000		7,919,438		(40,761	)
Sell²		10/07/2013	Chilean Peso		3,900,000,000		7,721,452		15,108
Sell²		10/07/2013	Chilean Peso		6,750,000,000		13,364,051		(152,072	)
Buy¹		10/01/2013	Euro		8,930,000		12,080,955		(5,800	)
Buy³		10/16/2013	Euro		1,380,000		1,866,998		23,293
Buy²		10/18/2013	Euro		685,000		926,739		(415	)
Sell¹		10/01/2013	Euro		8,930,000		12,080,955		(178,158	)
Sell¹		10/08/2013	Euro		3,155,000		4,268,306		(98,532	)
Sell¹		10/09/2013	Euro		9,845,000		13,319,042		(393,367	)
Sell¹		10/15/2013	Euro		4,265,000		5,770,092		(115,585	)
Sell³		10/16/2013	Euro		6,895,000		9,328,226		(149,353	)
Sell¹		10/16/2013	Euro		7,380,000		9,984,381		(159,874	)
Sell¹		10/17/2013	Euro		6,270,000		8,482,686		(133,949	)
Sell²		10/18/2013	Euro		3,160,000		4,275,176		(71,997	)
Sell²		10/30/2013	Euro		8,100,000		10,958,845		(19,795	)
Sell¹		11/01/2013	Euro		8,930,000		12,081,848		5,774
Buy¹		10/15/2013	Japanese Yen		2,600,000,000		26,452,908		(9,334	)
Sell¹		10/15/2013	Japanese Yen		2,600,000,000		26,452,908		(531,580	)
Buy²		10/03/2013	Malaysian Ringgit		43,300,000		13,283,363		7,263
Sell²		10/03/2013	Malaysian Ringgit		43,300,000		13,283,363		(193,883	)
Sell¹		10/28/2013	Mexican Peso		173,700,000		13,241,247		194,706
Sell³		10/03/2013	New Zealand Dollar		8,860,000		7,358,175		(499,029	)
Buy²		10/03/2013	Philippine Peso		580,000,000		13,321,327		308,089
Buy²		11/04/2013	Philippine Peso		580,000,000		13,325,216		(8,118	)
Sell²		10/03/2013	Philippine Peso		580,000,000		13,321,327		(21,625	)
Buy¹		10/09/2013	Polish Zloty		42,200,000		13,507,654		328,392
Sell¹		10/09/2013	Polish Zloty		42,200,000		13,507,654		(643,958	)
Sell¹		12/13/2013	Swiss Franc		990,000		1,095,367		(31,007	)
Buy¹		10/01/2013	Turkish Lira		13,200,000		6,534,492		45,135
Sell¹		10/01/2013	Turkish Lira		13,200,000		6,534,492		(131,387	)

Total								$	(2,522,976	)

At September 30, 2013, the Fund had the following open forward foreign cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency¹		Unrealized Appreciation (Depreciation)
10/28/2013	Euro	9,833,204	Norwegian Krone	80,000,000	$	(12,553	)

¹	Counterparty is Credit Suisse International.

²	Counterparty is Deutsche Bank AG.

³	Counterparty is Citibank, N.A.

Futures Contracts

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

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund is reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Nikkei 225™		12/12/2013		13	$	1,912,407	$	(47,678	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/20/2013		575	$	48,136,125	$	214,239
Euro STOXX 50^®		12/20/2013		175		6,815,999		(12,233	)
Ultra Long U.S. Treasury Bond		12/19/2013		145		20,603,594		(137,336	)
10 Year U.S. Treasury Note		12/19/2013		794		100,354,156		(2,248,359	)
30 Year U.S. Treasury Bond		12/19/2013		32		4,268,000		(51,308	)

Total							$	(2,234,997	)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	1,812,241	$	1,850,645	(a)	$	3,662,886
Airlines		—		6,395,529		26,492,278	(a)		32,887,807
Commercial Mortgage-Backed Securities		—		38,257,865		2,300,756	(a)		40,558,621
All Other Non-Convertible Bonds*		—		724,372,711		—			724,372,711

Total Non-Convertible Bonds		—		770,838,346		30,643,679			801,482,025

Convertible Bonds*		—		48,605,330		—			48,605,330

Total Bonds and Notes		—		819,443,676		30,643,679			850,087,355

Senior Loans*		—		203,865,442		—			203,865,442
Preferred Stocks
Convertible Preferred Stocks*		36,487,166		—		—			36,487,166
Non-Convertible Preferred Stocks*		22,390,009		3,999,600		—			26,389,609

Total Preferred Stocks		58,877,175		3,999,600		—			62,876,775

Common Stocks*		48,819,481		—		—			48,819,481
Purchased Swaptions*		—		5,520,748		—			5,520,748
Purchased Options*		319,538		—		—			319,538
Short-Term Investments		—		135,249,552		—			135,249,552

Total Investments		108,016,194		1,168,079,018		30,643,679			1,306,738,891

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		185,074		—			185,074
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,173,809		—			1,173,809
Futures Contracts (unrealized appreciation)		214,239		—		—			214,239

Total	$	108,230,433	$	1,169,437,901	$	30,643,679		$	1,308,312,013

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Swaptions*	$	—		$	(3,229,244	)	$	—	$	(3,229,244	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(4,574,089	)		—		(4,574,089	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(814,031	)		—		(814,031	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(3,709,338	)		—		(3,709,338	)
Futures Contracts (unrealized depreciation)		(2,496,914	)		—			—		(2,496,914	)

Total	$	(2,496,914	)	$	(12,326,702	)	$	—	$	(14,823,616	)

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

(a)	Valued using broker-dealer bid prices.

Preferred stocks valued at $3,875,972 were transferred from Level 2 to Level 1 during the period ended September 30, 2013. At September 30, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management 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 reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or September 30, 2013:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	4,474		$	(39,631	)	$	—	$	(647,580	)	$	2,533,382	$	—	$	1,850,645	$	(39,631	)
Airlines		—		1,090		(31,667	)		(807,242	)		11,807,737		(598,124	)		16,120,484		—		26,492,278		(807,242	)
Commercial Mortgage-Backed Securities		—		—		(136	)		1,092			2,310,688		(10,888	)		—		—		2,300,756		1,092
Treasuries		6,211,796		—		(187,627	)		(31,634	)		—		(5,992,535	)		—		—		—		—

Total	$	6,211,796	$	1,090	$	(214,956	)	$	(877,415	)	$	14,118,425	$	(7,249,127	)	$	18,653,866	$	—	$	30,643,679	$	(845,781	)

Debt securities valued at $18,653,866 were transferred from Level 2 to Level 3 during the period ended September 30, 2013. At September 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.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended September 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 Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2013, the Fund engaged in futures contracts for hedging purposes.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2013, the Fund engaged in forward foreign currency and option transactions for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended September 30, 2013, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended September 30, 2013, the Fund engaged in futures and option transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund as of September 30, 2013:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter asset derivatives
Interest rate contracts	$	5,520,748		$	—		$	—		$	—		$	5,520,748
Foreign exchange contracts		—			1,173,809			—			—			1,173,809
Credit contracts		—			—			—			1,549,679			1,549,679

Total over-the-counter asset derivatives	$	5,520,748		$	1,173,809		$	—		$	1,549,679		$	8,244,236

Exchange traded/centrally cleared asset derivatives
Equity contracts	$	319,538		$	—		$	214,239		$	—		$	533,777

Total exchange traded/centrally cleared asset derivatives		319,538			—			214,239			—			533,777

Total asset derivatives	$	5,840,286		$	1,173,809		$	214,239		$	1,549,679		$	8,778,013


Liabilities	Options/swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(3,229,244	)	$	—		$	—		$	—		$	(3,229,244	)
Foreign exchange contracts		—			(3,709,338	)		—			—			(3,709,338	)
Credit contracts		—			—			—			(11,076,436	)		(11,076,436	)

Total over-the-counter liability derivatives	$	(3,229,244	)	$	(3,709,338	)	$	—		$	(11,076,436	)	$	(18,015,018	)

Exchange traded/centrally cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(2,437,003	)	$	—		$	(2,437,003	)
Credit contracts		—			—			—			(5,357,225	)		(5,357,225	)
Equity contracts		—			—			(59,911	)		—			(59,911	)

Total exchange traded/centrally cleared liability derivatives	$	—		$	—		$	(2,496,914	)	$	(5,357,225	)	$	(7,854,139	)

Total liability derivatives	$	(3,229,244	)	$	(3,709,338	)	$	(2,496,914	)	$	(16,433,661	)	$	(25,869,157	)

¹	Represents purchased options/swaptions, at value.

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 Fund and its 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 the 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 Fund 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 Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Credit Suisse International	$	(5,872,808	)	$	6,025,887
Morgan Stanley Capital Services, Inc.		(77,312	)		—
Bank of America, N.A.		(5,941,146	)		9,881,925

Counterparty risk is managed based on policies and procedures established by the 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 the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the 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. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash and/or securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding is $34,557,350 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $28,433,598. These amounts do not take into account collateral received by the Fund in the amount of $1,334,110.

Industry Summary at September 30, 2013 (Unaudited)


ABS Home Equity	9.4	%
Banking	8.8
Automotive	5.8
Treasuries	5.4
Metals & Mining	4.2
Technology	4.1
Food & Beverage	3.2
Commercial Mortgage-Backed Securities	3.1
Wirelines	2.7
Airlines	2.7
Chemicals	2.5
Pharmaceuticals	2.3
Other Investments, less than 2% each	34.1
Short-Term Investments	10.2

Total Investments	98.5
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	1.5

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 90.1% of Net Assets
	Municipals – 90.1%
		Alaska – 2.3%
	$400,000	Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018	$	464,392

		Arizona – 4.0%
	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024		341,874
	400,000	Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022		463,784

				805,658

		California – 10.6%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		283,880
	400,000	Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030(b)		397,132
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		444,782
	500,000	Kern High School District, GO, Refunding, 5.000%, 8/01/2023		580,390
	400,000	Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025		449,488

				2,155,672

		Colorado – 10.4%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(c)		278,985
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		418,220
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		452,016
	400,000	Denver City & County, Airport System Revenue, Series B, 5.000%, 11/15/2029(b)		423,700
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		527,958

				2,100,879

		Connecticut – 4.1%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		426,731
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		413,359

				840,090

		Florida – 8.5%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		540,990
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		269,322


Principal Amount		Description	Value (†)
	Municipals – continued
		Florida – continued
	$400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018	$	461,888
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		450,944

				1,723,144

		Georgia – 2.9%
	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021		577,325

		Hawaii – 2.2%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		446,756

		Illinois – 4.2%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028(b)		401,283
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		113,799
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		346,029

				861,111

		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		332,335
		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		165,443
		Michigan – 2.9%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		597,178

		Minnesota – 3.0%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		279,458
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		335,724

				615,182

		Missouri – 2.7%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		548,240

		New Jersey – 3.1%
	580,000	New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM Insured), 5.000%, 6/15/2019		625,466


Principal Amount		Description	Value (†)
	Municipals – continued
		New York – 2.0%
	$350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017	$	395,112
		Ohio – 7.7%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		449,240
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		597,575
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		522,775

				1,569,590

		Pennsylvania – 5.8%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		386,034
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		286,661
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		494,532

				1,167,227

		Texas – 6.4%
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		440,396
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		411,576
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		447,012

				1,298,984

		Utah – 1.4%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		280,695
		Washington – 3.5%
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		447,960
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		260,713

				708,673

		Total Bonds and Notes (Identified Cost $18,771,178)		18,279,152

	Short-Term Investments – 10.4%
	2,108,249	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $2,108,249 on 10/01/2013 collateralized by $2,155,000 Federal Home Loan Bank, 0.120% due 3/28/2014 valued at $2,155,000 including accrued interest(d) (Identified Cost $2,108,249)		2,108,249


Description	Value (†)
Total Investments – 100.5% (Identified Cost $20,879,427)(a)	$	20,387,401
Other assets less liabilities – (0.5)%		(105,860	)

Net Assets – 100.0%	$	20,281,541

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser and subadviser and approved by the Board of Trustees, which 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.

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

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

At September 30, 2013, the net unrealized depreciation on investments based on a cost of $20,879,427 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	$	61,622
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(553,648	)

Net unrealized depreciation	$	(492,026	)

(b)	All or a portion of this security has been designated to cover the Fund’s obligations under delayed delivery securities.

(c)

Delayed delivery. The Fund 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 Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters 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 Fund’s commitment. No interest accrues to the Fund until the transaction settles. Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may 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.

(d)

AGM	Assured Guaranty Municipal Corporation

AMT	Alternative Minimum Tax

FGIC	Financial Guaranty Insurance Company

GO	General Obligation

NATL-RE

National Public Finance Guarantee Corporation

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	18,279,152	$	—	$	18,279,152
Short-Term Investments		—		2,108,249		—		2,108,249

Total	$	—	$	20,387,401	$	—	$	20,387,401

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Holdings Summary at September 30, 2013 (Unaudited)


General Obligation	17.2	%
Higher Education	15.1
Medical	14.1
Transportation	10.9
General	8.2
Water	7.1
Airport	5.9
School District	5.1
Power	5.1
Utilities	1.4
Short-Term Investments	10.4

Total Investments	100.5
Other assets less liabilities	(0.5	)

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

Loomis Sayles Multi-Asset Real Return Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 34.0% of Net Assets
	Non-Convertible Bonds – 32.4%
		ABS Home Equity – 0.9%
$	396,669	Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.123%, 8/25/2046(b)(c)	$	247,156

		Airlines – 0.2%
	55,000	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026(c)		53,075

		Automotive – 2.9%
	500,000	Ford Motor Credit Co. LLC, 4.375%, 8/06/2023(c)		500,282
	275,000	General Motors Co., 4.875%, 10/02/2023, 144A		268,813

				769,095

		Banking – 0.8%
	250,000	JPMorgan Chase & Co., Series Q, (fixed rate to 5/01/2023, variable rate thereafter), 5.150%(c)(o)		218,750

		Chemicals – 2.6%
	200,000	INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A(c)		195,500
	500,000	PetroLogistics LP/PetroLogistics Finance Corp., 6.250%, 4/01/2020, 144A(c)		490,000

				685,500

		Construction Machinery – 1.2%
	300,000	United Rentals North America, Inc., 7.625%, 4/15/2022(c)		326,250

		Government Owned - No Guarantee – 4.0%
	500,000	Gazprom OAO Via Gaz Capital S.A., 4.950%, 7/19/2022, 144A(c)		483,125
	250,000	Petrobras Global Finance BV, 4.375%, 5/20/2023(c)		228,696
	370,000	Petroleos Mexicanos, 4.875%, 1/18/2024(c)		370,000

				1,081,821

		Independent Energy – 0.0%
	5,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(c)		5,050

		Life Insurance – 4.2%
	250,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(c)(o)		411,808
	55,000	ING U.S., Inc., 5.700%, 7/15/2043, 144A(c)		54,591
	625,000	MetLife, Inc., Series D, 4.368%, 9/15/2023(c)		653,378

				1,119,777


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Non-Cable – 2.8%
$	500,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A(c)	$	467,500
	175,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(c)		181,125
	100,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A(c)		105,500

				754,125

		Oil Field Services – 1.6%
	75,000	Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c)		79,781
	350,000	Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2022, 144A(c)		358,750

				438,531

		Pharmaceuticals – 0.5%
	135,000	Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(c)		128,359

		Property & Casualty Insurance – 0.6%
	175,000	Trinity Acquisition PLC, 6.125%, 8/15/2043(c)		171,071

		Technology – 1.3%
	325,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A(c)		342,875

		Wireless – 6.1%
	905,000	Sprint Corp., 7.875%, 9/15/2023, 144A(c)		923,100
	420,000	Verizon Communications, Inc., 6.400%, 9/15/2033		466,415
	250,000	VimpelCom Holdings BV, 5.950%, 2/13/2023, 144A(c)		236,415

				1,625,930

		Wirelines – 2.7%
	235,000	Frontier Communications Corp., 9.000%, 8/15/2031(c)		230,300
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)(c)		487,526

				717,826

		Total Non-Convertible Bonds (Identified Cost $8,564,108)		8,685,191

	Convertible Bonds – 1.6%
		Independent Energy – 0.8%
	190,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019 (c)		200,925

		Technology – 0.8%
	195,000	Intel Corp., 2.950%, 12/15/2035 (c)		211,088


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Total Convertible Bonds (Identified Cost $405,461)	$	412,013

		Total Bonds and Notes (Identified Cost $8,969,569)		9,097,204

	Senior Loans – 4.7%
		Airlines – 1.6%
$	423,798	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)		424,484

		Chemicals – 2.2%
	180,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		180,225
	422,074	Houghton International, Inc., Term Loan B, 4.000%, 12/20/2019(b)		419,259

				599,484

		Financial Other – 0.4%
	102,624	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b)		103,265

		Food & Beverage – 0.5%
	129,675	H.J. Heinz Company, Term Loan B2, 3.500%, 6/05/2020(b)		129,955

		Total Senior Loans (Identified Cost $1,254,171)		1,257,188

Shares
	Common Stocks – 5.9%
		Automobiles – 1.1%
	8,000	General Motors Co.(c)(d)		287,760

		Commercial Banks – 0.7%
	168,702	Lloyds Banking Group PLC(d)		200,865

		Computers & Peripherals – 0.3%
	156	Apple, Inc.(c)		74,373

		Diversified Financial Services – 0.4%
	2,000	Citigroup, Inc.		97,020

		Energy Equipment & Services – 1.2%
	3,640	Halliburton Co.		175,266
	1,600	Schlumberger Ltd.		141,376

				316,642

		Industrial Conglomerates – 1.1%
	12,000	General Electric Co.		286,680

		Oil, Gas & Consumable Fuels – 1.1%
	12,404	Cobalt International Energy, Inc.(c)(d)		308,363

		Total Common Stocks (Identified Cost $1,583,542)		1,571,703


Shares		Description	Value (†)
	Exchange Traded Funds – 1.7%
	7,700	Consumer Discretionary Select Sector SPDR^® Fund(c) (Identified Cost $453,785)	$	466,851


Units of Currency/Notional Amount (††)
	Purchased Options – 0.1%
		Over-the-Counter Options on Currency – 0.1%
	1,300,000	EUR Put, expiring April 25, 2014 at 1.3053(e)(f)		15,972
	630,000	JPY Call, expiring January 14, 2015 at 88.3000(e)(f)		12,043
	315,000	JPY Call, expiring March 12, 2015 at 94.8000(e)(g)		13,149

		Total Purchased Options (Identified Cost $106,334)		41,164

	Purchased Swaptions – 0.2%
		Interest Rate Swaptions – 0.2%
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 1.078%, Receive 6-month LIBOR(JPY)(f)(h)		34,478
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 1.01%, Receive 6-month LIBOR(JPY)(h)(i)		10,280

		Total Purchased Swaptions (Identified Cost $97,229)		44,758


Principal Amount (‡)
	Short-Term Investments – 51.6%
$	1,659,589	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2013 at 0.000% to be repurchased at $1,659,589 on 10/01/2013 collateralized by $5,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $4,646; $1,680,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $1,694,043 including accrued interest(c)(j)(k)		1,659,589
	7,212,612	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $7,212,612 on 10/01/2013 collateralized by $7,180,000 U.S. Treasury Note, 2.625% due 7/31/2014 valued at $7,359,500 including accrued interest(k)		7,212,612
	4,950,000	U.S. Treasury Bills, 0.010%-0.021%, 2/27/2014(c)(j)(l)(m)(n)		4,949,797

		Total Short-Term Investments (Identified Cost $13,821,966)		13,821,998

		Total Investments – 98.2% (Identified Cost $26,286,596)(a)		26,300,866
		Other assets less liabilities – 1.8%		480,468

		Net Assets – 100.0%	$	26,781,334


Units of Currency/Notional Amount (††)
	Written Options – (0.1%)
		Over-the-Counter Options on Currency – (0.1%)
	630,000	JPY Call, expiring January 14, 2015 at 84(e)(f)		(7,597	)
	315,000	JPY Call, expiring March 12, 2015 at 90(e)(g)		(8,270	)

		Total Written Options (Premiums Received $36,426)	$	(15,867	)


Units of Currency/Notional Amount (††)		Description	Value (†)
	Written Swaptions – (0.0%)
		Interest Rate Swaptions – (0.0%)
	230,000,000	7-year Interest Rate Swap Call, expiring 2/08/2016, Pay 6-month LIBOR, Receive 1.828% (JPY)(f)(h)	$	(15,432	)
	190,000,000	10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 6-month LIBOR, Receive 1.760% (JPY)(h)(i)		(415	)

		Total Written Swaptions (Premiums Received $43,966)	$	(15,847	)

Consolidation

The Fund invests in commodity-related derivatives through its investment in the Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2013, the value of the Fund’s investment in the Subsidiary was $3,745,524, representing 14.0% of the Fund’s net assets.

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser and approved by the Board of Trustees, which 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.

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 on 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 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.

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

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

(††)	Options on 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 September 30, 2013, the net unrealized appreciation on investments based on a cost of $26,288,639 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	$	284,883
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(272,656	)

Net unrealized appreciation	$	12,227

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

(b)	Variable rate security. Rate as of September 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)

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

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

(f)	Counterparty is Citibank, N.A.

(g)	Counterparty is Credit Suisse AG.

(h)

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)	Counterparty is Bank of America, N.A.

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


	(k)			It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
	(l)			A portion of this security has been pledged as collateral for outstanding options, interest rate swaptions or as initial margin for open futures contracts.
	(m)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(n)			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.
	(o)			Perpetual bond with no specific maturity date.
	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 September 30, 2013, the value of Rule 144A holdings amounted to $4,315,434 or 16.1% of net assets.
	ABS			Asset-Backed Securities
	EMTN			Euro Medium Term Note
	SPDR			Standard & Poor’s Depositary Receipt
	EUR			Euro
	GBP			British Pound
	JPY			Japanese Yen

Swap Agreements

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


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)			Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Buy Protection
Morgan Stanley Capital Services Inc.	France Telecom		(1.00	%)		6/20/2017		500,000	*		11,814		$	(6,845	)	$	(18,659	)	$	(206	)
UBS AG	Japan Government		(1.00	%)		6/20/2017		1,000,000			(1,323	)		(19,941	)		(18,618	)		(306	)
UBS AG	State of Israel		(1.00	%)		9/20/2017		1,000,000			20,699			(2,159	)		(22,858	)		(306	)

Total													$	(28,945	)	$	(60,135	)	$	(818	)

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


	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)		Market Value			Unrealized Appreciation (Depreciation)		Fees Receivable/ (Payable)
Buy Protection
	CDX.NA.HY Series 21, 5-Year		(5.00	%)		12/20/2018	$	1,000,000	$	(41,410	)	$	—	$	(1,528	)

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

*	Notional value denominated in euros.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 Fund’s or counterparty’s net obligations under the contracts.

At September 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)
Buy²		10/15/2013	Australian Dollar		900,000	$	838,893	$	3,918
Buy¹		10/17/2013	Australian Dollar		1,040,000		969,260		(8,852	)
Sell²		10/15/2013	Australian Dollar		900,000		838,893		(8,193	)
Buy¹		10/21/2013	Brazilian Real		915,000		410,992		(3,035	)
Sell¹		10/21/2013	Brazilian Real		915,000		410,992		(679	)
Buy¹		10/22/2013	British Pound		665,000		1,076,400		4,554
Sell⁴		10/07/2013	British Pound		300,000		485,651		(18,992	)
Sell¹		10/21/2013	British Pound		380,000		615,091		(5,840	)
Buy²		10/07/2013	Chilean Peso		280,300,000		554,955		3,996
Sell²		10/07/2013	Chilean Peso		280,300,000		554,955		(9,624	)


Buy¹	10/15/2013	Colombian Peso	1,060,000,000	555,458		3,949
Sell¹	10/15/2013	Colombian Peso	1,060,000,000	555,458		3,260
Sell¹	10/25/2013	Euro	200,000	270,585		147
Sell¹	10/25/2013	Euro	330,000	446,466		(1,100	)
Buy¹	2/04/2014	Indian Rupee	14,400,000	222,875		(32,444	)
Sell¹	2/04/2014	Indian Rupee	14,400,000	222,875		23,362
Buy⁴	10/15/2013	Japanese Yen	54,800,000	557,546		5,655
Sell⁴	10/15/2013	Japanese Yen	54,800,000	557,546		(10,951	)
Sell³	10/21/2013	Japanese Yen	4,940,750	50,270		51
Buy¹	10/17/2013	Malaysian Ringgit	3,140,000	962,378		(15,851	)
Sell¹	10/17/2013	Malaysian Ringgit	3,140,000	962,378		31,922
Buy¹	10/15/2013	Mexican Peso	3,600,000	274,729		(48	)
Sell¹	10/15/2013	Mexican Peso	3,600,000	274,729		4,226
Buy¹	10/21/2013	New Zealand Dollar	845,000	700,909		(2,688	)
Sell¹	10/21/2013	New Zealand Dollar	845,000	700,909		(6,953	)
Buy¹	10/15/2013	Philippine Peso	30,500,000	700,595		1,855
Buy¹	10/16/2013	Philippine Peso	24,200,000	555,887		76
Buy¹	10/21/2013	Philippine Peso	24,200,000	555,912		(7,534	)
Sell¹	10/15/2013	Philippine Peso	30,500,000	700,595		1,847
Sell¹	10/21/2013	Philippine Peso	24,200,000	555,912		4,273
Buy¹	10/21/2013	South African Rand	5,440,000	540,349		(18,038	)
Sell¹	10/21/2013	South African Rand	5,440,000	540,349		12,177
Sell¹	10/28/2013	South African Rand	5,325,000	528,397		5,202
Sell¹	10/16/2013	South Korean Won	600,000,000	557,802		(5,010	)
Buy¹	10/21/2013	Turkish Lira	1,100,000	542,636		(13,678	)
Sell¹	10/21/2013	Turkish Lira	1,100,000	542,636		11,035

Total					$	(48,005	)

At September 30, 2013, the Fund had the following open forward foreign cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive¹/Units of Currency		Unrealized Appreciation (Depreciation)
10/16/2013	British Pound	699,845	Euro	833,000	$	(5,892	)
10/16/2013	Euro	415,000	British Pound	348,792		3,145
10/16/2013	Euro	418,000	British Pound	349,721		590
10/07/2013	Mexican Peso	9,000,000	Polish Zloty	2,174,717		8,896
10/07/2013	Polish Zloty	2,187,934	Mexican Peso	9,000,000		(13,127	)

Total					$	(6,388	)

¹	Counterparty is Credit Suisse International.

²	Counterparty is Deutsche Bank AG.

³	Counterparty is Morgan Stanley Capital Services Inc.

⁴	Counterparty is UBS AG.

Futures Contracts

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


Commodity Futures⁵	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		10/16/2013		3	$	325,110	$	82
Cotton		12/06/2013		4		174,420		443
Lead		10/16/2013		8		419,450		(1,800	)
Lead		12/18/2013		10		528,813		6,250
Nickel		10/16/2013		12		1,000,476		(41,241	)
Nickel		12/18/2013		3		251,037		638
Palladium		12/27/2013		3		218,145		3,520

Total							$	(32,108	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200 ™		12/19/2013		6	$	730,881	$	2,086
S&P CNX Nifty Futures Index		10/31/2013		23		265,213		8,625
UK Long Gilt		12/27/2013		1		178,597		(1,880	)
10 Year U.S. Treasury Note		12/19/2013		21		2,654,203		(77,757	)
30 Year U.S. Treasury Bond		12/19/2013		5		666,875		(19,447	)

Total							$	(88,373	)


Commodity Futures⁵	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Gold		12/27/2013		3	$	398,100	$	(1,255	)
Lead		10/16/2013		8		419,450		17,300
Nickel		10/16/2013		12		1,000,476		28,041

Total							$	44,086

⁵	Commodity futures are held by Loomis Sayles Multi-Asset Real Return Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—		$	—		$	53,075	$	53,075
All Other Non-Convertible Bonds*		—			8,632,116			—		8,632,116

Total Non-Convertible Bonds		—			8,632,116			53,075		8,685,191

Convertible Bonds*		—			412,013			—		412,013

Total Bonds and Notes		—			9,044,129			53,075		9,097,204

Senior Loans*		—			1,257,188			—		1,257,188
Common Stocks
Commercial Banks		—			200,865			—		200,865
All Other Common Stocks*		1,370,838			—			—		1,370,838

Total Common Stocks		1,370,838			200,865			—		1,571,703

Exchange Traded Funds		466,851			—			—		466,851
Purchased Options*		—			41,164			—		41,164
Purchased Swaptions*		—			44,758			—		44,758
Short-Term Investments		—			13,821,998			—		13,821,998

Total Investments		1,837,689			24,410,102			53,075		26,300,866

Forward Foreign Currency Contracts (unrealized appreciation)		—			134,136			—		134,136
Futures Contracts (unrealized appreciation)		66,985			—			—		66,985

Total	$	1,904,674		$	24,544,238		$	53,075	$	26,501,987


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options*	$	—		$	(15,867	)	$	—	$	(15,867	)
Written Swaptions*		—			(15,847	)		—		(15,847	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(60,135	)		—		(60,135	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(188,529	)		—		(188,529	)
Futures Contracts (unrealized depreciation)		(143,380	)		—			—		(143,380	)

Total	$	(143,380	)	$	(280,378	)	$	—	$	(423,758	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2012 and/or September 30, 2013:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	—	$	(2,888	)	$	—	$	—	$	55,963	$	—	$	53,075	$	(2,888	)

A debt security valued at $55,963 was transferred from Level 2 to Level 3 during the period ended September 30, 2013. At September 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.

Derivatives

The Fund seeks to maximize real returns through exposure to investments in fixed-income securities, equity securities, currencies, and commodity linked instruments (through investments in the Subsidiary). The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments, including forward foreign currency, futures and option contracts, interest rate swaptions and swap agreements. During the period ended September 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 Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The 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 period ended September 30, 2013, the Fund engaged in futures contracts for hedging purposes and to manage duration and in interest rate swaptions to manage duration.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended September 30, 2013, the Fund engaged in futures and option transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund as of September 30, 2013:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter asset derivatives
Interest rate contracts	$	44,758		$	—		$	—		$	—		$	44,758
Foreign exchange contracts		41,164			134,136			—			—			175,300

Total over-the-counter asset derivatives	$	85,922		$	134,136		$	—		$	—		$	220,058

Exchange traded/cleared asset derivatives
Equity contracts	$	—		$	—		$	10,711		$	—		$	10,711
Commodity contracts		—			—			56,274			—			56,274

Total exchange traded/cleared asset derivatives	$	—		$	—		$	66,985		$	—		$	66,985

Total asset derivatives	$	85,922		$	134,136		$	66,985		$	—		$	287,043


Liabilities	Options/swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(15,847	)	$	—		$	—		$	—		$	(15,847	)
Foreign exchange contracts		(15,867	)		(188,529	)		—			—			(204,396	)
Credit contracts		—			—			—			(28,945	)		(28,945	)

Total over-the-counter liability derivatives	$	(31,714	)	$	(188,529	)	$	—		$	(28,945	)	$	(249,188	)

Exchange traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(99,084	)	$	—		$	(99,084	)
Credit contracts		—			—			—			(41,410	)		(41,410	)
Commodity contracts		—			—			(44,296	)		—			(44,296	)

Total exchange traded/cleared liability derivatives	$	—		$	—		$	(143,380	)	$	(41,410	)	$	(184,790	)

Total liability derivatives	$	(31,714	)	$	(188,529	)	$	(143,380	)	$	(70,355	)	$	(433,978	)

¹	Represents purchased options/swaptions, at value.


Counterparty	Derivatives			Collateral Pledged
Credit Suisse International	$	(15,374	)	$	—
Deutsche Bank AG		(9,903	)		—
Morgan Stanley Capital Services Inc.		(6,794	)		75,000
UBS AG		(46,388	)		—

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the 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. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, 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, is $1,026,060 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $855,331.

Industry Summary at September 30, 2013 (Unaudited)


Wireless	6.1	%
Chemicals	4.8
Life Insurance	4.2
Government Owned - No Guarantee	4.0
Automotive	2.9
Media Non-Cable	2.8
Wirelines	2.7
Technology	2.1
Other Investments, less than 2% each	17.0
Short-Term Investments	51.6

Total Investments	98.2
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	1.8

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2013 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 95.5% of Net Assets
		Aerospace & Defense – 1.1%
	56,250	B/E Aerospace, Inc.(b)	$	4,152,375

		Auto Components – 2.4%
	88,075	Delphi Automotive PLC		5,145,341
	72,175	Tenneco, Inc.(b)		3,644,838

				8,790,179

		Capital Markets – 1.3%
	148,325	SEI Investments Co.		4,584,726

		Chemicals – 4.1%
	37,500	Airgas, Inc.		3,976,875
	81,825	FMC Corp.		5,868,489
	78,975	Rockwood Holdings, Inc.		5,283,427

				15,128,791

		Commercial Banks – 6.8%
	103,425	CIT Group, Inc.(b)		5,044,037
	293,800	Fifth Third Bancorp		5,300,152
	495,525	First Niagara Financial Group, Inc.		5,138,594
	638,725	Huntington Bancshares, Inc.		5,275,868
	489,275	Regions Financial Corp.		4,530,687

				25,289,338

		Commercial Services & Supplies – 0.9%
	117,050	KAR Auction Services, Inc.		3,301,981

		Computers & Peripherals – 2.3%
	217,075	NCR Corp.(b)		8,598,341

		Construction & Engineering – 1.4%
	190,375	Quanta Services, Inc.(b)		5,237,216

		Containers & Packaging – 4.0%
	172,750	Crown Holdings, Inc.(b)		7,303,870
	151,150	Owens-Illinois, Inc.(b)		4,537,523
	52,275	Packaging Corp. of America		2,984,380

				14,825,773

		Distributors – 0.9%
	102,275	LKQ Corp.(b)		3,258,482

		Energy Equipment & Services – 3.8%
	107,400	Atwood Oceanics, Inc.(b)		5,911,296
	45,450	Helmerich & Payne, Inc.		3,133,777
	200,025	Superior Energy Services, Inc.(b)		5,008,626

				14,053,699

		Food & Staples Retailing – 1.6%
	1,259,250	Rite Aid Corp.(b)		5,994,030


Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – 1.1%
	63,650	Ingredion, Inc.	$	4,211,721

		Health Care Providers & Services – 2.0%
	174,450	HCA Holdings, Inc.		7,457,737

		Health Care Technology – 1.3%
	188,100	MedAssets, Inc.(b)		4,781,502

		Household Durables – 3.1%
	102,275	Harman International Industries, Inc.		6,773,673
	127,850	Lennar Corp., Class A		4,525,890

				11,299,563

		Household Products – 0.5%
	28,975	Spectrum Brands Holdings, Inc.		1,907,714

		Insurance – 8.3%
	107,400	Endurance Specialty Holdings Ltd.		5,769,528
	152,400	First American Financial Corp.		3,710,940
	208,550	Hartford Financial Services Group, Inc. (The)		6,490,076
	75,575	Reinsurance Group of America, Inc., Class A		5,062,769
	49,450	RenaissanceRe Holdings Ltd.		4,476,709
	136,375	Validus Holdings Ltd.		5,043,147

				30,553,169

		Internet Software & Services – 1.5%
	103,425	IAC/InterActiveCorp		5,654,245

		IT Services – 3.8%
	57,400	Fiserv, Inc.(b)		5,800,270
	102,275	Global Payments, Inc.		5,224,207
	67,050	MAXIMUS, Inc.		3,019,932

				14,044,409

		Machinery – 5.7%
	92,625	AGCO Corp.		5,596,402
	52,275	Flowserve Corp.		3,261,437
	92,050	Navistar International Corp.(b)		3,357,984
	77,850	Pentair Ltd. (Registered)		5,055,579
	36,375	Snap-on, Inc.		3,619,313

				20,890,715

		Media – 1.6%
	85,250	AMC Networks, Inc., Class A(b)		5,837,920

		Metals & Mining – 4.9%
	111,950	Carpenter Technology Corp.		6,505,415
	316,050	Constellium NV, Class A(b)		6,131,370
	75,575	Reliance Steel & Aluminum Co.		5,537,380

				18,174,165

		Oil, Gas & Consumable Fuels – 3.0%
	81,825	Noble Energy, Inc.		5,483,093
	29,550	Pioneer Natural Resources Co.		5,579,040

				11,062,133


Shares		Description	Value (†)
	Common Stocks – continued
		Personal Products – 1.3%
	131,825	Elizabeth Arden, Inc.(b)	$	4,866,979

		Pharmaceuticals – 4.0%
	62,561	Valeant Pharmaceuticals International, Inc.(b)		6,526,989
	365,950	Warner Chilcott PLC, Class A		8,361,958

				14,888,947

		Professional Services – 0.9%
	30,675	Towers Watson & Co., Class A		3,280,998

		Road & Rail – 3.0%
	106,275	Con-way, Inc.		4,579,390
	297,350	Hertz Global Holdings, Inc.(b)		6,589,276

				11,168,666

		Semiconductors & Semiconductor Equipment – 3.4%
	132,975	Avago Technologies Ltd.		5,733,882
	276,750	Skyworks Solutions, Inc.(b)		6,874,470

				12,608,352

		Software – 4.3%
	93,750	Check Point Software Technologies Ltd.(b)		5,302,500
	264,250	Nuance Communications, Inc.(b)		4,940,154
	295,500	Rovi Corp.(b)		5,664,735

				15,907,389

		Specialty Retail – 5.3%
	126,725	Abercrombie & Fitch Co., Class A		4,482,263
	134,100	GNC Holdings, Inc., Class A		7,325,883
	119,325	Rent-A-Center, Inc.		4,546,283
	46,025	Signet Jewelers Ltd.		3,297,691

				19,652,120

		Textiles, Apparel & Luxury Goods – 1.3%
	41,475	PVH Corp.		4,922,668

		Trading Companies & Distributors – 4.6%
	192,075	MRC Global, Inc.(b)		5,147,610
	109,675	United Rentals, Inc.(b)		6,392,955
	70,475	WESCO International, Inc.(b)		5,393,452

				16,934,017

		Total Common Stocks (Identified Cost $288,775,950)		353,320,060

	Closed End Investment Companies – 1.7%
	350,025	Ares Capital Corp. (Identified Cost $5,741,200)		6,051,932


Principal Amount
	Short-Term Investments – 2.1%
	$7,855,022	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $7,855,022 on 10/01/2013 collateralized by $8,015,000 Federal Home Loan Bank, 0.120% due 03/28/2014 valued at $8,015,000 including accrued interest(c) (Identified Cost $7,855,022)		7,855,022

		Total Investments – 99.3% (Identified Cost $302,372,172)(a)		367,227,014
		Other assets less liabilities – 0.7%		2,646,243

		Net Assets – 100.0%	$	369,873,257

(†)

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, recommended by the investment adviser and subadviser and approved by the Board of Trustees, which 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.

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

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

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

At September 30, 2013, the net unrealized appreciation on investments based on a cost of $302,372,172 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	$	68,063,569
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,208,727	)

Net unrealized appreciation	$	64,854,842

(b)	Non-income producing security.

(c)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	353,320,060	$	—	$	—	$	353,320,060
Closed End Investment Companies		6,051,932		—		—		6,051,932
Short-Term Investments		—		7,855,022		—		7,855,022

Total	$	359,371,992	$	7,855,022	$	—	$	367,227,014

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

For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2013 (Unaudited)


Insurance	8.3	%
Commercial Banks	6.8
Machinery	5.7
Specialty Retail	5.3
Metals & Mining	4.9
Trading Companies & Distributors	4.6
Software	4.3
Chemicals	4.1
Pharmaceuticals	4.0
Containers & Packaging	4.0
Energy Equipment & Services	3.8
IT Services	3.8
Semiconductors & Semiconductor Equipment	3.4
Household Durables	3.1
Road & Rail	3.0
Oil, Gas & Consumable Fuels	3.0
Auto Components	2.4
Computers & Peripherals	2.3
Health Care Providers & Services	2.0
Other Investments, less than 2% each	18.4
Short-Term Investments	2.1

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS


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

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

SIGNATURES

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


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		November 21, 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:		November 21, 2013

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 21, 2013