N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts	02116
(Address of principal executive offices)	(Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2013

Item 1. Reports to Stockholders.

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

ANNUAL REPORT

December 31, 2013

CGM Advisor Targeted Equity Fund

Harris Associates Large Cap Value Fund

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

TABLE OF CONTENTS

Barron’s/Lipper 2013 one-year fund family ranking based on 64 qualifying U.S. fund companies. Each fund family must have at least three funds in Lipper’s general U.S.-stock category, one world (global and international), one mixed-asset/balanced (stocks and bonds), two taxable bond and one tax-exempt bond fund. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

CGM ADVISOR TARGETED EQUITY FUND

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

Objective

The Fund seeks long-term growth of capital through investments in equity securities of companies whose earnings are expected to grow at a faster rate than that of the overall United States economy.

Market Conditions

The U.S. stock market wrapped up its best year since 1997, defying skeptics as investor fears gave way to a belief in the recovery. Any number of things could have derailed the market’s rally: the U.S. government’s partial shutdown, the possibility of a default on federal government debt, the threat of military action in Syria, federal budget cuts and new worries about European government debt. Instead, the stock market just kept on climbing. Stock prices rose to an all-time high on the final trading day of 2013. This bull market approaches its fifth birthday in March 2014.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of CGM Advisor Targeted Equity Fund returned 29.01% at net asset value. It trailed its benchmark, the S&P 500^® Index, which returned 32.39%.

Explanation of Fund Performance

In a year of impressive gains, the fund’s modest shortfall against the benchmark was generally stock specific. Detractors included Herbalife, eBay and Microsoft. Nutritional supplement and weight management company Herbalife saw its share price fall because of negative publicity generated by a major hedge fund that shorted the stock. (Shorting is a technique that benefits an investor if a security loses value.) Claims by the hedge fund manager about the company’s allegedly abusive business practices pushed stock prices lower. We sold the issue.

During the year, shares of online auction giant eBay suffered as concern mounted about the impact of a new “digital wallet” fee on the company’s PayPal business. Many investors are worried that this move is part of a broader effort by credit card companies to target PayPal, which has recently become more of a direct competitor. We sold shares of eBay to fund other opportunities.

Software giant Microsoft has struggled as the world has moved away from the PC-centric version of computing to a more mobile platform. Unfortunately, the Windows Phone has yet to take off, and the Surface, Microsoft’s answer to the iPad, is a disappointment.

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The fund was positioned throughout the year to benefit from healthy economic growth. In an environment of healthy economic growth, the portfolio maintained significant concentrations in investment banks and homebuilders, which lifted performance. Large investment banks profit from many financial transactions associated with a strengthening economy. Meanwhile, homebuilders are rewarded by increasing employment and consumer confidence. Leading contributors included Morgan Stanley and Citigroup. Morgan Stanley, one of the world’s largest diversified financial services companies, benefitted from the further consolidation of Salomon Smith Barney’s global wealth management business with its own operations. The acquisition, which closed with the purchase of the remaining one-third interest in Salomon Smith Barney, helped the firm take advantage of increased efficiencies. Morgan Stanley also experienced improving results in equity trading and investment banking and scaled back its underperforming fixed income operation.

Citigroup, a global financial services powerhouse, continued to make strong earnings progress as management disposed of unprofitable operations and reduced costs from non-performing assets. The company retains a leadership position in global banking, which is poised to profit from an expanding economy worldwide.

All sectors of the stock market ended the year with positive returns, but among the year’s biggest gainers were companies most exposed to the U.S. economy. In this environment, the fund benefited from its exposure to economically sensitive stocks, including automobile, airline and technology companies, which helped boost fund performance. Delta Airlines enjoyed solid earnings growth due to greater demand and significant industry reconstruction and consolidation. In recent years, the domestic airline industry has become progressively more efficient, reducing costs through bankruptcy and increased pricing power at major cities. For the first time since airline deregulation in the late 1970s, pricing has benefitted from concentration of industry capacity among several large carriers in key markets.

Outlook

We are optimistic about the U.S. economy in 2014. Several factors that have held back growth appear to be lessening. U.S. household finances have improved, and the outlook for home sales is brighter. While the stock market may not provide gains comparable to 2013, we see the potential for further gains as the economy continues to expand. With those expectations in mind, we have positioned CGM Advisor Targeted Equity Fund to continue to benefit from increasing strength in the U.S. economy. As always, we will maintain a portfolio focused on individual stocks with the potential to grow earnings at a rate faster than that of the overall economy.

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CGM ADVISOR TARGETED EQUITY FUND

Growth of $10,000 Investment in Class A Shares

December 31, 2003 through December 31, 2013

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Average Annual Total Returns — December 31, 2013

	1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		29.01	%		13.07	%		7.93	%
With 5.75% Maximum Sales Charge		21.63			11.74			7.29
Class B (Inception 2/28/97)
NAV		28.06			12.26			7.13
With CDSC1		23.06			12.00			7.13
Class C (Inception 9/1/98)
NAV		28.13			12.25			7.13
With CDSC1		27.13			12.25			7.13
Class Y (Inception 6/30/99)
NAV		29.34			13.38			8.22
Comparative Performance
S&P 500® Index2		32.39			17.94			7.41

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

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

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

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

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

Objective

The Fund seeks opportunities for long-term capital growth and income

Market Conditions

In many ways, it was tough to say farewell to 2013. The S&P 500^® Index’s 32% total return was the best in more than a decade-and-a-half, adding meaningfully to the market’s remarkable recovery from the financial crisis five years ago. Although the year started with legitimate concerns regarding new tax hikes and a budget sequester, it ended with reassuring answers to both concerns. As 2014 gets underway, we’re impressed by the broadening strength of both the economy and markets. Many varied economic indicators, such as industrial production, retail sales, auto production, exports and energy production recently approached or reached new highs. More important, we’ve seen impressive corporate performance from the companies we follow. The equity market is also – finally – gaining support from investors reconsidering their own asset allocations.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Harris Associates Large Cap Value Fund returned 37.82% at net asset value. The fund outperformed its benchmark, the Russell 1000^® Value Index, which returned 32.53%.

Explanation of Fund Performance

Because we are value investors with an emphasis on individual stock selection, the fund’s country and sector weights are a byproduct of our bottom-up investment process. Sector-wise, the fund’s relative overweight in consumer discretionary holdings, plus stock selection within the sector, contributed the most to relative performance in the year. The fund also benefited from stock selection in the financials sector. An underweight in health care holdings detracted from fund performance.

The leading contributors to fund performance in 2013 were MasterCard, Applied Materials and Wells Fargo. MasterCard reported what we consider to be strong earnings throughout the year. We recently met with MasterCard’s management, which stated that the company remains focused on “digital conversion” (paper to electronic forms of spending) and expanding market share through new co-branded products and commercial cards, along with other initiatives. Management continues to repurchase shares and increase its dividend to reward shareholders, which remains a priority at MasterCard. We continue to believe that MasterCard has a unique combination of competitive strength, secular growth and low capital intensity. Applied Materials experienced a number of positive events that boosted its

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stock price during the year. The company experienced strengthening sales and gross margins along with market share increases and announced a new long-term growth and profitability strategy and financial model. Also, investors responded positively to news that Applied Materials is acquiring competitor Tokyo Electron in an all-stock transaction. Wells Fargo continues to build its credit quality, and its balance sheet remains strong in our view. Wells Fargo also announced earlier in the year that it is raising its dividend more than 80% (from $0.48 to $0.88 per share for the year). We think Wells Fargo continues to execute quite well in an environment of low interest rates, which has been challenging to many banks.

The holdings with the lowest returns in 2013 were Apache, Caterpillar and Unilever. Apache was the largest detractor from fund performance, and was sold from the portfolio during the first quarter of the year. When investors consider exploration and production company stocks, they are increasingly looking for companies that can find and produce oil and gas efficiently and at low cost. For many years, Apache was seen as a cost leader by its peers. However, the company’s statistics have been eroding meaningfully, which has limited its ability to grow intrinsic value per share, a characteristic that we demand in our investments. Caterpillar released weaker-than-expected earnings per share early in the year, which affected its share price. However, our investment thesis remains intact: Caterpillar’s strong brand is built on tangible product benefits, it offers unique customer-specific cost analysis, and its dealer network is a significant and often overlooked asset. We met with Caterpillar’s CEO Doug Oberhelman during the year. Going forward, he thinks miners will focus more intensely on improving productivity at existing mines. This works to Caterpillar’s advantage, as the company is the industry technology leader with a substantial dealer service/support network. Unilever’s fiscal first-half results included revenue growth of 5% (constant currency) including strong emerging markets growth of 10% (the ninth straight quarter of double-digit growth). However, overall organic growth was short of the company’s estimate (+5.5%) for the period. Nonetheless, margins improved by what we consider to be a notable amount from a combination of both product mix and cost savings across multiple aspects of the business. We think Unilever has the potential to maintain its steady value growth through a high quality formula of end market demand.

Outlook

Our basic fundamental outlook assumes continued company-specific progress on profitability, albeit at a more moderate pace than we’ve recently witnessed. The economy’s long-term potential may have suffered due to too much economic and legislative uncertainty and too much hunger for near-term return of capital. A meaningful increase in sensible long-term capital spending to promote real growth would likely deliver higher profitability than we currently project. It’s possible we’re closer to a change, with less uncertainty in Washington, more stability in Europe and Japan, a more secure and lower-cost energy outlook, rising consumer confidence and a more synchronized global economy as we enter 2014.

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HARRIS ASSOCIATES LARGE CAP VALUE FUND

Growth of $10,000 Investment in Class A Shares³

December 31, 2003 through December 31, 2013

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Average Annual Total Returns — December 31, 2013³

	1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		37.82	%		20.93	%		6.61	%
With 5.75% Maximum Sales Charge		29.91			19.49			5.98
Class B (Inception 9/13/93)
NAV		36.75			20.02			5.82
With CDSC1		31.75			19.83			5.82
Class C (Inception 5/1/95)
NAV		36.88			20.04			5.81
With CDSC1		35.88			20.04			5.81
Class Y (Inception 11/18/98)
NAV		38.21			21.24			6.94
Comparative Performance
Russell 1000® Value Index2		32.53			16.67			7.58

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

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

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

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

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NATIXIS OAKMARK INTERNATIONAL FUND

Managers	Symbols
David G. Herro, CFA	Class A    NOIAX
Robert A. Taylor, CFA	Class C    NOICX
Harris Associates L.P.

Objective

The Fund seeks long-term capital appreciation

Market Conditions

2013 started with an abundance of negative news, including continued structural issues in Europe, slowed growth in the emerging markets and a questionable reform plan in Japan. However, foreign equity markets performed well in 2013. As the year progressed, it became evident that Europe would begin to recover slowly, partially because of self-help initiatives. Japan, too, was seriously tackling its deflation issue, which partially caused a strong yen, weak share prices and slow growth. As a result, both European and Japanese equity markets, which had been aggressively sold-off due to macro fears, began to recover.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Natixis Oakmark International Fund returned 28.13% at net asset value. The fund outperformed its benchmark, the MSCI World ex USA Index (Net), which returned 21.02%.

Explanation of Fund Performance

As of December 31, 2013, the fund’s European holdings totaled 79% of the portfolio, and 12% of the portfolio was invested in Japanese holdings. The remaining positions were in Australia, Canada, South Korea and the Middle East. Because we are value investors with an emphasis on individual stock selection, country and sector weights are a byproduct of our bottom-up investment process.

By sector, financials holdings contributed the most value relative to the benchmark, primarily due to stock selection. Both the fund’s overweight and stock selection in the consumer discretionary sector aided relative performance during the year. The fund’s lack of exposure to the telecommunications services sector detracted relative to the benchmark.

The top contributors to the yearly return were Daiwa Securities, Daimler and Intesa Sanpaolo. Daiwa released its fiscal first-half results during the quarter that showed pre-tax profit at the highest level since the company started reporting in 1995. Revenues rose across the board in retail, wholesale and asset management, and in total they are on track to meet full-year estimates. Of special note, the wholesale banking division became profitable for the first time since 2009. Another top contributor for the year was Daimler, the global auto manufacturer of the Mercedes brand. Shares reacted positively to the company’s 2012 results, which included higher profits than we expected for the company’s Mercedes-Benz Car and Truck divisions. More recently, Daimler announced significantly improved

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earnings and net profits for the second quarter of 2013. Intesa Sanpaolo was another top contributor in 2013. Its fee generation was strong across the board, with fee growth in the commercial banking, portfolio management, insurance distribution and deal/placement fee areas. In addition, cost controls are intact and Intesa Sanpaolo’s capital ratios remain solid in our view and have improved since the end of last year.

The largest detractors from return were Orica, AMP and Canon. Orica’s shares were weakened by a reduction in guidance in July and by the market’s anticipation that the company would miss its 2013 fiscal-year targets. However, shares rebounded when Orica’s fiscal-year results showed 3% revenue growth and relatively flat margins, which put the company in line with expectations. This demonstrated that Orica’s explosives business is much more resilient than most other areas of mining services. We expect Orica to continue its capital-light strategy and that it will produce better cash flow in the future. AMP preannounced its earnings results late in June, which included AUD $32 million worth of losses in its Contemporary Wealth Protection (CWP) business during the first five months of the year. This news sent the share price tumbling. In May, the company noted that investor sentiment, market performance and the economic climate were particularly bad in Australia and had driven up claims and lapse rates. To address the problems in the CWP division, the company is raising its claims assumptions, believing some of its problems are structural. Canon also was a detractor from the yearly return, which was largely the result of the downgrade of the ILC business (digital SLRs and lenses). This business has lagged enough that management has lowered fiscal-year volume estimates from 9 million to 8 million. Despite falling prices due to uncertain consumer markets in developed economies and from trading down in emerging markets, management indicates pricing is normalizing. In addition, print volumes are growing again, and Canon is taking market share. We continue to believe that Canon is a compelling investment opportunity that will reward shareholders in the long term.

We no longer believe the yen to be overvalued and therefore closed the fund’s hedge of the underlying currency. The Australian dollar also weakened in 2013, but we still believe it to be overvalued. As of year end, we hedged 30% of the Australian dollar, 31% of the Swiss franc and 30% of the Swedish krona exposure.

Outlook

Despite strong past performance, we believe there is still value in global equity markets. Certainly, stocks are not selling at the incredible bargains they were in early 2009 or even early 2012, but with global economic growth appearing to be poised to accelerate, and with stock valuations that are still attractive, we believe there are reasons to be confident that global equities will continue to be an attractive asset class.

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NATIXIS OAKMARK INTERNATIONAL FUND

Growth of $10,000 Investment in Class A Shares³

December 15, 2010 (inception) through December 31, 2013

Average Annual Total Returns — December 31, 2013³

	1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		28.13	%		12.54	%
With 5.75% Maximum Sales Charge		20.72			10.37
Class C (Inception 12/15/10)
NAV		27.13			11.71
With CDSC1		26.13			11.71
Comparative Performance
MSCI World ex USA Index (Net)2		21.02			7.73

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

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

2 MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States. The index calculates reinvested dividends net of withholding taxes using Luxembourg tax rates.

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

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VAUGHAN NELSON SMALL CAP VALUE FUND

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

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

Objective

The Fund seeks capital appreciation

Market Conditions

Against a backdrop of stable earnings growth, low inflation and easy money, the U.S. equity markets continued a broad advance, which began in the fourth quarter of 2012. However, the nature of its ascent changed dramatically after the Federal Reserve (the Fed) announced in May that it would begin tapering its monthly bond purchases, a program known as quantitative easing (QE). Prior to the tapering announcement, the equity market rally was led by stocks that were termed “bond proxies,” because of their dividend yields, and by cyclical sectors that responded to the ultra low interest rates, ample liquidity and credit availability. After the Fed’s announcement, these sectors came under pressure as 10-year Treasury rates rose from a low of approximately 1.4% to 3.0%. Despite the Fed’s claim otherwise, tapering QE does represent a tightening of monetary policy. The increase in interest rates across the entire Treasury curve represented an increase in overall real interest rates within the capital markets. (The Treasury curve is a graph that shows interest rates on U.S. Treasury securities across maturities, from short to long.) Given the significant expansion in the equity market’s valuation multiples, coupled with the declining impact of QE on corporate earnings and economic activity, we continue to expect the rate of return for the broader equity indices to moderate materially over the next three years.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Vaughan Nelson Small Cap Value Fund returned 39.01% at net asset value. The fund outperformed its benchmark, the Russell 2000^® Value Index, which returned 34.52%.

Explanation of Fund Performance

Stock selection drove the overwhelming majority of the portfolio’s performance over the past year with broad based expansion of price-to-earnings multiples, a common measure of valuation, providing a healthy tailwind. Cyclical stocks disproportionately benefited the portfolio due to their leverage to an economic recovery. The cyclical exposure stemmed from our team’s focus on company-specific valuations and fundamentals as opposed to any targeted sector exposure. Consequently, the portfolio was materially underweight relative to its benchmark in real estate investment trusts (REITs) and utilities because both sectors

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VAUGHAN NELSON SMALL CAP VALUE FUND

appeared overvalued. Industrials, financials, technology and consumer discretionary stocks were the biggest contributors to the fund’s performance, while no single sector detracted from results.

Stock selection drove returns in the industrials sector. Notable standouts included Towers Watson and KAR Auction Services. Towers Watson began to earn market recognition for its health care exchange investments, as private exchanges are now a practical solution for employers to reduce healthcare costs. We sold the stock as expectations of broad private exchange proliferation were reflected in the stock price. KAR Auction Services stock appreciated as new vehicle sales in the United States continued to recover from the 2009 trough. This is an important indicator for whole car auction volumes, because there is a two to four year lag between new car sales and auction volumes.

Stock selection stood out as a driver in the financials sector, with FirstMerit and CNO Financial Group making the most significant contributions to performance. FirstMerit acquired peer bank Citizens Republic Bancorp in 2013 and realized 40% of its targeted cost savings by the end of the third quarter. Further, organic loan growth rebounded as the economy continued to recover. CNO Financial Group benefited from management’s plan to improve operating efficiency, run off low return blocks of business and return cash to shareholders through share repurchases—all of which contributed to improved returns. Also, management significantly improved CNO’s capital structure by issuing new debt to pay off the existing credit facility, retire expensive debt and repurchase the outstanding convertible bonds.

Strong stock selection also benefited the fund’s technology holdings, with SS&C Technologies and Broadridge Financial Services leading the way. SS&C provides software solutions to the financial services industry to automate client reporting, reconciliation and portfolio and investment accounting. The company has benefitted from the recovery in the stock market since a portion of its revenues is tied to client assets under management. This revenue growth, coupled with SS&C’s effort to pay down debt, has improved profit margins. Broadridge is the leading provider of investor communications and third-party trade processing services. The company has benefited from tighter regulation within the financial services industry and from the recovery in trading volumes.

The consumer discretionary sector was the only sector that detracted from relative performance during the year. Stock selection within specialty retail was the main detractor to relative performance with Aaron’s and Abercrombie & Fitch lagging the most. Both Aaron’s and Abercrombie were impacted by a weak macroeconomic environment that impacted store traffic and resulted in a highly promotional environment. On the other hand, Harman International was the greatest contributor to performance. Harman International enjoyed success as its leadership in automotive infotainment coincided with increased auto sales. Additionally, the company’s margin profile continues to improve as their backlog is becoming increasingly comprised of standardized products as opposed to custom designs.

Other notable performers during the year included: Packaging Corporation of America, LPL Financial Holdings, Oasis Petroleum and Health Management Associates. The

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greatest increases in sector weights were in technology, consumer staples and energy. The rise in technology holdings was primarily the result of adding exposure to software and information technology services, through ACI Worldwide, Fair Isaac, Broadridge and Jack Henry. GNC Holdings and Rite Aid boosted the consumer staples weight, while Forum Energy accounted for most of the increase in the energy weight.

The largest reductions in sector weights were in financials, industrials and materials. The weight in financials was primarily driven by our decision to underweight REITs because valuations looked stretched. We also lowered the fund’s exposure to industrials and materials by reducing building products stocks and chemical stocks, respectively.

Outlook

Despite the rise in real interest rates, we continue to expect modest economic growth as the fiscal drags from government spending reductions will no longer be a headwind in 2014. The continued recovery in capital spending, residential construction, nonresidential construction and the elimination of the fiscal drags have the potential to drive real gross domestic product growth to between 2.5% and 3.5% in 2014. The primary risks to this outlook would be a flare up in the European credit markets, a significant slowdown in China’s economic growth or instability emanating from Japanese credit markets. As we enter 2014, we believe the U.S. equity markets will rely less on the Federal Reserve’s stimulus and more on individual company fundamentals. This will represent an incremental headwind to the broad averages but will have varying effects across individual securities. There are still individual stocks that will perform well despite the lowered return expectations for the general market. This positive outlook continues to be stock-specific and not reflective of opportunities in specific industries or regions of the world.

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2003 through December 31, 2013

See notes to chart on page 15.

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Average Annual Total Returns — December 31, 2013⁴

	1 Year			5 Years			10 Years
Class A (Inception 12/31/96)
NAV		39.01	%		19.53	%		11.81	%
With 5.75% Maximum Sales Charge		31.00			18.12			11.15
Class B (Inception 12/31/96)
NAV		38.03			18.64			10.99
With CDSC1		33.03			18.44			10.99
Class C (Inception 12/31/96)
NAV		37.99			18.64			10.98
With CDSC1		36.99			18.64			10.98
Class Y (Inception 8/31/06)2
NAV		39.43			19.83			12.03
Comparative Performance
Russell 2000® Value Index3		34.52			17.64			8.61

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

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

2 Prior to the inception of Class Y shares (8/31/06), performance is that of Class A shares and reflects the higher net expenses of that share class.

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

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

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VAUGHAN NELSON VALUE OPPORTUNITY FUND

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

Objective

The Fund seeks long-term capital appreciation

Market Conditions

Against a backdrop of stable earnings growth, low inflation and easy money, the U.S. equity markets continued a broad advance, which began in the fourth quarter of 2012. However, the nature of its ascent changed dramatically after the Federal Reserve (the Fed) announced in May that it would begin tapering its monthly bond purchases, a program known as quantitative easing (QE). Prior to the tapering announcement, the equity market rally was led by stocks that were termed “bond proxies,” because of their dividend yields, and by cyclical sectors that responded to the ultra low interest rates, ample liquidity and credit availability. After the Fed’s announcement, these sectors came under pressure as 10-year Treasury rates rose from a low of approximately 1.4% to 3.0%. Despite the Fed’s claim otherwise, tapering QE does represent a tightening of monetary policy. The increase in interest rates across the entire Treasury curve represented an increase in overall real interest rates within the capital markets. (The U.S. Treasury curve is a graph that shows interest rates on U.S. Treasury securities across maturities, from short to long.) Given the significant expansion in the equity market’s valuation multiples, coupled with the declining impact of QE on corporate earnings and economic activity, we continue to expect the rate of return for the broader equity indices to moderate materially over the next three years.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Vaughan Nelson Value Opportunity Fund returned 41.22% at net asset value. The fund outperformed its benchmark, the Russell Midcap^® Value Index, which returned 33.46%.

Explanation of Fund Performance

Stock selection drove the overwhelming majority of the portfolio’s performance over the past year with broad based expansion of price-to-earnings multiples, a common measure of valuation, providing a healthy tailwind. Cyclical stocks disproportionately benefited the portfolio due to their leverage to an economic recovery. The cyclical exposure stemmed from our team’s focus on company-specific valuations and fundamentals as opposed to any targeted sector exposure. Consequently, the portfolio was materially underweight in real estate investment trusts (REITs) and utilities because both sectors appeared overvalued. Industrials, financials, technology and consumer discretionary stocks were the biggest contributors to performance, while no single sector detracted from results.

|  16

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Stock selection drove returns in the industrials sector. Notable standouts included Towers Watson and United Rentals. Towers Watson began to earn market recognition for its health care exchange investments, as private exchanges are now a practical solution for employers to reduce healthcare costs. We sold the stock as expectations of broad private exchange proliferation were reflected in the stock price. United Rentals, the largest equipment rental company in the world, performed well in light of the economic recovery and the synergies gained from its acquisition of RSC. We believe that United Rentals should continue to benefit from the recovery in non-residential construction and from the industry trend toward rental versus owned equipment.

Stock selection stood out as a driver in the financials sector, with The Hartford and Huntington Bancshares making the most significant contributions to performance. The Hartford executed on a turnaround plan that included selling non-core businesses, placing the U.S. annuity business into run-off, refinancing high cost debt and returning cash to shareholders. The implementation of this plan improved shareholder returns, and the market rewarded Hartford shares with a higher valuation. Huntington Bancshares completed a small acquisition during the year and benefited from organic loan growth and better credit.

The technology sector detracted from relative performance during the year. The biggest detractor to relative performance was stock selection within software. Specifically Nuance Communications, a speech recognition software provider, performed poorly during the year due to weak international sales, sluggish Windows-based software sales, and due to a slowdown in its health care business. Further, the company lowered 2014 earnings guidance due to the company’s ongoing transition to on-demand offerings, which will require more investment than originally anticipated. While relative performance lagged the benchmark the portfolio benefitted from owning Avago Technologies and Fiserv, which were strong performers during the year. Avago, an analog semiconductor manufacturer, has benefitted from strong demand for its products in the wireless communications market, which represents fifty percent of the company’s revenue. The company is positioned to benefit from several secular trends including: increased penetration of smart phone handsets, increased complexity in handsets as we move to 4G/LTE, and stronger demand for technology and equipment within the industrial and auto markets. Fiserv is a provider of financial services technology including core bank processing systems, electronic payments products, mobile and internet banking solutions, and loan processing systems. The company has benefited from increased regulation within the financial services industry and from the trend to online banking.

In the consumer discretionary sector, Harman International and Delphi Automotive were the greatest contributors to performance. Harman International enjoyed success as its leadership in automotive “infotainment” coincided with higher auto sales. Additionally, the company’s profit margin profile continues to improve as its backlog is shifting toward standardized products as opposed to custom designs. Delphi Automotive is a supplier of electrical systems, safety products, powertrain systems and thermal management products. The company benefited from the recovery in auto sales.

17  |

Other notable performers during the year were Warner Chilcott, Valeant Pharmaceuticals and HCA Holdings in the health care sector and GNC Holdings and Rite Aid in the consumer staples sector. The greatest additions to sector weights were in consumer staples, industrials, materials and consumer discretionary. The largest reductions in sector weights were in financials, technology and energy. The fund’s financials exposure was primarily driven by our decision to avoid REITs because valuations looked stretched.

Outlook

Despite the rise in real interest rates, we continue to expect modest economic growth as the fiscal drags from government spending reductions will no longer be a headwind in 2014. The continued recovery in capital spending, residential construction, nonresidential construction and the elimination of the fiscal drags have the potential to drive real GDP growth between 2.5% and 3.5% in 2014. We believe the primary risks to this outlook would be a flare up in the European credit markets, a significant slowdown in China’s economic growth or instability emanating from Japanese credit markets. As we enter 2014, we believe the U.S. equity markets will rely less on Federal Reserve stimulus and more on individual company fundamentals. This will represent an incremental headwind to the broad averages, but will have varying effects across individual securities. There are still individual stocks that will perform well despite the lowered return expectations for the general market. This positive outlook continues to be stock-specific and not reflective of opportunities in specific industries or regions of the world.

Growth of $10,000 Investment in Class A Shares³

October 31, 2008 (inception) through December 31, 2013

See notes to chart on page 19.

|  18

Average Annual Total Returns — December 31, 2013³

	1 Year			5 Year			Life of Class
								Class A/C/Y		Class N
Class A (Inception 10/31/08)
NAV		41.22	%		20.07	%		18.48	%	—
With 5.75% Maximum Sales Charge		33.06			18.65			17.13		—
Class C (Inception 10/31/08)
NAV		40.13			19.19			17.61		—
With CDSC1		39.13			19.19			17.61		—
Class N (Inception 5/1/13)
NAV		—			—			—		24.70	%
Class Y (Inception 10/31/08)
NAV		41.52			20.38			18.78		—
Comparative Performance
Russell Midcap® Value Index2		33.46			21.16			19.07		17.05

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

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

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

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

19  |

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

|  20

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2013 through December 31, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,128.00		$6.33
Hypothetical (5% return before expenses)		$1,000.00		$1,019.26		$6.01
Class B
Actual		$1,000.00		$1,123.40		$10.28
Hypothetical (5% return before expenses)		$1,000.00		$1,015.53		$9.75
Class C
Actual		$1,000.00		$1,124.20		$10.33
Hypothetical (5% return before expenses)		$1,000.00		$1,015.48		$9.80
Class Y
Actual		$1,000.00		$1,129.70		$4.99
Hypothetical (5% return before expenses)		$1,000.00		$1,020.52		$4.74

* Expenses are equal to the Fund's annualized expense ratio: 1.18%, 1.92%, 1.93% and 0.93% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

21  |

HARRIS ASSOCIATES LARGE CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,192.20		$7.18
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.61
Class B
Actual		$1,000.00		$1,187.30		$11.30
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class C
Actual		$1,000.00		$1,187.60		$11.30
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class Y
Actual		$1,000.00		$1,193.40		$5.80
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35

* Expenses are equal to the Fund's annualized expense ratio: 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,179.00		$7.91
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.32
Class C
Actual		$1,000.00		$1,174.90		$12.01
Hypothetical (5% return before expenses)		$1,000.00		$1,014.17		$11.12

* Expenses are equal to the Fund’s annualized expense ratio: 1.44% and 2.19% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,191.90		$7.62
Hypothetical (5% return before expenses)		$1,000.00		$1,018.25		$7.02
Class B
Actual		$1,000.00		$1,188.00		$11.75
Hypothetical (5% return before expenses)		$1,000.00		$1,014.47		$10.82
Class C
Actual		$1,000.00		$1,187.50		$11.74
Hypothetical (5% return before expenses)		$1,000.00		$1,014.47		$10.82
Class Y
Actual		$1,000.00		$1,193.60		$6.25
Hypothetical (5% return before expenses)		$1,000.00		$1,019.51		$5.75

* Expenses are equal to the Fund's annualized expense ratio: 1.38%, 2.13%, 2.13% and 1.13% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,190.40		$7.01
Hypothetical (5% return before expenses)		$1,000.00		$1,018.80		$6.46
Class C
Actual		$1,000.00		$1,185.60		$11.13
Hypothetical (5% return before expenses)		$1,000.00		$1,015.02		$10.26
Class N
Actual		$1,000.00		$1,191.30		$5.63
Hypothetical (5% return before expenses)		$1,000.00		$1,020.06		$5.19
Class Y
Actual		$1,000.00		$1,191.90		$5.64
Hypothetical (5% return before expenses)		$1,000.00		$1,020.06		$5.19

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.27%, 2.02%, 1.02% and 1.02% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

23  |

Portfolio of Investments – as of December 31, 2013

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 99.3% of Net Assets
		Aerospace & Defense — 1.3%
	55,000	Boeing Co. (The)	$	7,506,950
		Airlines — 4.7%
	990,000	Delta Air Lines, Inc.		27,195,300
		Automobiles — 8.7%
	800,000	General Motors Co.(b)		32,696,000
	145,000	Toyota Motor Corp., Sponsored ADR		17,678,400
				50,374,400
		Capital Markets — 17.4%
	89,000	BlackRock, Inc.		28,165,830
	2,330,000	Morgan Stanley		73,068,800
				101,234,630
		Computers & Peripherals — 5.5%
	380,000	Western Digital Corp.		31,882,000
		Diversified Financial Services — 6.9%
	765,000	Citigroup, Inc.		39,864,150
		Hotels, Restaurants & Leisure — 5.3%
	160,000	Wynn Resorts Ltd.		31,073,600
		Household Durables — 17.0%
	1,470,000	DR Horton, Inc.		32,810,400
	810,000	Lennar Corp., Class A		32,043,600
	920,000	Toll Brothers, Inc.(b)		34,040,000
				98,894,000
		Insurance — 4.8%
	305,000	Prudential Financial, Inc.		28,127,100
		Internet & Catalog Retail — 5.3%
	26,600	priceline.com, Inc.(b)		30,919,840
		Internet Software & Services — 5.8%
	30,300	Google, Inc., Class A(b)		33,957,513
		IT Services — 7.2%
	29,000	MasterCard, Inc., Class A		24,228,340
	80,000	Visa, Inc., Class A		17,814,400
				42,042,740
		Semiconductors & Semiconductor Equipment — 4.5%
	1,200,000	Micron Technology, Inc.(b)		26,112,000
		Tobacco — 4.9%
	565,000	Lorillard, Inc.		28,634,200
		Total Common Stocks (Identified Cost $486,204,657)		577,818,423

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2013

CGM Advisor Targeted Equity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.8%
$	10,675,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $10,675,000 on 1/02/2014 collateralized by $10,075,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $10,893,594 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $10,675,000)	$	10,675,000
		Total Investments — 101.1% (Identified Cost $496,879,657)(a)		588,493,423
		Other assets less liabilities — (1.1)%		(6,672,741	)
		Net Assets — 100.0%	$	581,820,682
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $497,291,038 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	$	91,657,972
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(455,587	)
		Net unrealized appreciation	$	91,202,385
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2013 (Unaudited)

Capital Markets	17.4	%
Household Durables	17.0
Automobiles	8.7
IT Services	7.2
Diversified Financial Services	6.9
Internet Software & Services	5.8
Computers & Peripherals	5.5
Hotels, Restaurants & Leisure	5.3
Internet & Catalog Retail	5.3
Tobacco	4.9
Insurance	4.8
Airlines	4.7
Semiconductors & Semiconductor Equipment	4.5
Other Investments, less than 2% each	1.3
Short-Term Investments	1.8
Total Investments	101.1
Other assets less liabilities	(1.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2013

Harris Associates Large Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 95.2% of Net Assets
		Air Freight & Logistics — 3.6%
	41,900	FedEx Corp.	$	6,023,963
		Auto Components — 6.0%
	33,800	Autoliv, Inc.		3,102,840
	70,500	Delphi Automotive PLC		4,239,165
	37,200	TRW Automotive Holdings Corp.(b)		2,767,308
				10,109,313
		Automobiles — 4.1%
	167,900	General Motors Co.(b)		6,862,073
		Capital Markets — 8.8%
	14,000	BlackRock, Inc.		4,430,580
	89,600	Franklin Resources, Inc.		5,172,608
	29,500	Goldman Sachs Group, Inc. (The)		5,229,170
				14,832,358
		Commercial Banks — 6.7%
	76,600	US Bancorp		3,094,640
	180,100	Wells Fargo & Co.		8,176,540
				11,271,180
		Consumer Finance — 2.4%
	53,400	Capital One Financial Corp.		4,090,974
		Diversified Financial Services — 3.9%
	113,800	JPMorgan Chase & Co.		6,655,024
		Electrical Equipment — 0.8%
	10,800	Rockwell Automation, Inc.		1,276,128
		Energy Equipment & Services — 2.8%
	60,500	National Oilwell Varco, Inc.		4,811,565
		Food Products — 1.8%
	74,300	Unilever PLC, Sponsored ADR		3,061,160
		Health Care Equipment & Supplies — 1.0%
	29,200	Medtronic, Inc.		1,675,788
		Hotels, Restaurants & Leisure — 6.2%
	111,600	Marriott International, Inc., Class A		5,508,576
	27,000	McDonald’s Corp.		2,619,810
	29,900	Starwood Hotels & Resorts Worldwide, Inc.		2,375,555
				10,503,941
		Insurance — 6.8%
	127,400	American International Group, Inc.		6,503,770
	60,400	Aon PLC		5,066,956
				11,570,726
		Internet Software & Services — 1.1%
	1,700	Google, Inc., Class A(b)		1,905,207

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2013

Harris Associates Large Cap Value Fund – (continued)

Shares		Description	Value (†)
		IT Services — 5.2%
	5,400	MasterCard, Inc., Class A	$	4,511,484
	19,200	Visa, Inc., Class A		4,275,456
				8,786,940
		Machinery — 6.2%
	28,600	Caterpillar, Inc.		2,597,166
	18,100	Cummins, Inc.		2,551,557
	64,700	Illinois Tool Works, Inc.		5,439,976
				10,588,699
		Media — 4.1%
	83,800	Comcast Corp., Special Class A		4,179,944
	37,200	Omnicom Group, Inc.		2,766,564
				6,946,508
		Multiline Retail — 1.1%
	29,600	Family Dollar Stores, Inc.		1,923,112
		Oil, Gas & Consumable Fuels — 2.1%
	35,300	ExxonMobil Corp.		3,572,360
		Road & Rail — 2.4%
	23,900	Union Pacific Corp.		4,015,200
		Semiconductors & Semiconductor Equipment — 9.2%
	301,400	Applied Materials, Inc.		5,331,766
	242,100	Intel Corp.		6,284,916
	57,000	Lam Research Corp.(b)		3,103,650
	19,200	Texas Instruments, Inc.		843,072
				15,563,404
		Software — 3.6%
	160,200	Oracle Corp.		6,129,252
		Specialty Retail — 4.2%
	28,600	Advance Auto Parts, Inc.		3,165,448
	29,900	CarMax, Inc.(b)		1,405,898
	28,200	Tiffany & Co.		2,616,396
				7,187,742
		Textiles, Apparel & Luxury Goods — 1.1%
	23,500	NIKE, Inc., Class B		1,848,040
		Total Common Stocks (Identified Cost $107,796,432)		161,210,657
Principal Amount
	Short-Term Investments — 4.8%
$	8,230,632	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $8,230,632 on 1/02/2014 collateralized by $8,505,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $8,399,079 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,230,632)		8,230,632

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2013

Harris Associates Large Cap Value Fund – (continued)

	Description	Value (†)
	Total Investments — 100.0% (Identified Cost $116,027,064)(a)	$	169,441,289
	Other assets less liabilities — (0.0)%		(38,909	)
	Net Assets — 100.0%	$	169,402,380
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized appreciation on investments based on a cost of $116,679,438 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	$	52,761,851
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		—
	Net unrealized appreciation	$	52,761,851
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2013 (Unaudited)

Semiconductors & Semiconductor Equipment	9.2	%
Capital Markets	8.8
Insurance	6.8
Commercial Banks	6.7
Machinery	6.2
Hotels, Restaurants & Leisure	6.2
Auto Components	6.0
IT Services	5.2
Specialty Retail	4.2
Media	4.1
Automobiles	4.1
Diversified Financial Services	3.9
Software	3.6
Air Freight & Logistics	3.6
Energy Equipment & Services	2.8
Consumer Finance	2.4
Road & Rail	2.4
Oil, Gas & Consumable Fuels	2.1
Other Investments, less than 2% each	6.9
Short-Term Investments	4.8
Total Investments	100.0
Other assets less liabilities	(0.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2013

Natixis Oakmark International Fund

Shares		Description	Value (†)
	Common Stocks — 91.7% of Net Assets
		Australia — 4.9%
	3,102,168	AMP Ltd.	$	12,192,845
	682,390	Orica Ltd.		14,592,039
				26,784,884
		Canada — 1.0%
	153,000	Thomson Reuters Corp.		5,785,841
		France — 14.3%
	228,842	BNP Paribas S.A.		17,851,335
	23,500	Christian Dior S.A.		4,448,101
	153,600	Danone S.A.		11,080,988
	69,350	Kering		14,659,233
	57,200	LVMH Moet Hennessy Louis Vuitton S.A.		10,450,092
	99,800	Pernod-Ricard S.A.		11,370,326
	51,729	Publicis Groupe S.A.		4,739,681
	38,400	Sanofi		4,100,920
				78,700,676
		Germany — 11.0%
	107,930	Allianz SE, (Registered)		19,419,376
	110,000	Bayerische Motoren Werke AG		12,917,591
	9,400	Continental AG		2,065,079
	193,100	Daimler AG, (Registered)		16,758,072
	107,000	SAP AG		9,279,206
				60,439,324
		Ireland — 2.0%
	607,200	Experian PLC		11,216,412
		Israel — 0.8%
	71,900	Check Point Software Technologies Ltd.(b)		4,638,988
		Italy — 3.4%
	7,711,500	Intesa Sanpaolo SpA		18,967,973
		Japan — 11.1%
	477,500	Canon, Inc.		15,236,259
	1,163,000	Daiwa Securities Group, Inc.		11,648,073
	3,500	FANUC Corp.		641,342
	243,200	Honda Motor Co. Ltd.		10,038,591
	30,000	Meitec Corp.		813,296
	265,000	Olympus Corp.(b)		8,404,936
	4,800	Omron Corp.		212,128
	11,700	Secom Co. Ltd.		705,919
	223,800	Toyota Motor Corp.		13,646,219
				61,346,763
		Korea — 1.0%
	4,400	Samsung Electronics Co. Ltd.		5,733,407
		Netherlands — 7.3%
	72,994	Akzo Nobel NV		5,660,385
	1,299,400	CNH Industrial NV(b)		14,810,131
	111,200	Heineken Holding NV		7,038,932

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2013

Natixis Oakmark International Fund – (continued)

Shares		Description	Value (†)
		Netherlands — continued
	306,200	Koninklijke Ahold NV	$	5,502,761
	195,089	Koninklijke Philips Electronics		7,183,402
				40,195,611
		Sweden — 4.1%
	295,600	Atlas Copco AB, Series B		7,514,537
	141,300	Hennes & Mauritz AB, Series B		6,507,775
	322,800	SKF AB, Series B		8,465,554
				22,487,866
		Switzerland — 16.3%
	89,900	Adecco S.A., (Registered)		7,136,862
	115,200	Cie Financiere Richemont S.A., (Registered)		11,508,179
	837,958	Credit Suisse Group AG, (Registered)		25,862,194
	625	Geberit AG, (Registered)		189,613
	3,580	Givaudan S.A., (Registered)		5,121,422
	178,600	Holcim Ltd., (Registered)		13,352,964
	83,300	Kuehne & Nagel International AG, (Registered)		10,948,898
	145,500	Nestle S.A., (Registered)		10,663,698
	61,200	Novartis AG, (Registered)		4,905,137
	1,800	Schindler Holding AG		264,985
				89,953,952
		United Kingdom — 14.3%
	383,400	Diageo PLC		12,705,329
	393,800	GlaxoSmithKline PLC		10,521,339
	9,820,300	Lloyds Banking Group PLC(b)		12,886,063
	193,500	Schroders PLC		8,345,512
	100	Schroders PLC, (Non Voting)		3,346
	300,000	Smiths Group PLC		7,366,681
	2,405,300	Tesco PLC		13,357,430
	270,300	Willis Group Holdings PLC		12,112,143
	10,796	Wolseley PLC		613,787
	44,200	WPP PLC		1,012,354
				78,923,984
		United States — 0.2%
	14,900	Signet Jewelers Ltd.		1,172,630
		Total Common Stocks (Identified Cost $462,251,426)		506,348,311
Principal Amount
	Short-Term Investments — 9.3%
$	51,123,893	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $51,123,893 on 01/02/2014 collateralized by $48,230,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $52,148,688 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $51,123,893)		51,123,893
		Total Investments — 101.0% (Identified Cost $513,375,319)(a)		557,472,204
		Other assets less liabilities — (1.0)%		(5,643,904	)
		Net Assets — 100.0%	$	551,828,300

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2013

Natixis Oakmark International Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized appreciation on investments based on a cost of $514,843,814 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	$	45,828,169
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,199,779	)
	Net unrealized appreciation	$	42,628,390
(b)	Non-income producing security.

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		9/17/2014	Australian Dollar		9,100,000	$	7,989,760	$	19,150
Sell		6/18/2014	Swedish Krona		6,700,000		1,038,784		8
Sell		6/18/2014	Swedish Krona		37,200,000		5,767,574		(93,349	)
Sell		3/19/2014	Swiss Franc		500,000		560,838		1,212
Sell		3/19/2014	Swiss Franc		24,390,000		27,357,694		(653,369	)
Total								$	(726,348	)

¹Counterparty is State Street Bank and Trust Company.

Industry Summary at December 31, 2013 (Unaudited)

Automobiles	9.7	%
Commercial Banks	9.0
Capital Markets	8.3
Insurance	7.9
Textiles, Apparel & Luxury Goods	7.5
Machinery	5.8
Beverages	5.7
Chemicals	4.6
Food Products	3.9
Pharmaceuticals	3.5
Professional Services	3.5
Food & Staples Retailing	3.4
Office Electronics	2.8
Industrial Conglomerates	2.6
Software	2.5
Construction Materials	2.4
Media	2.1
Marine	2.0
Other Investments, less than 2% each	4.5
Short-Term Investments	9.3
Total Investments	101.0
Other assets less liabilities (including open forward foreign currency contracts)	(1.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2013

Natixis Oakmark International Fund – (continued)

Currency Exposure Summary at December 31, 2013 (Unaudited)

Euro	36.0	%
Swiss Franc	16.3
British Pound	14.1
United States Dollar	12.5
Japanese Yen	11.1
Australian Dollar	4.9
Swedish Krona	4.1
Other, less than 2% each	2.0
Total Investments	101.0
Other assets less liabilities (including open forward foreign currency contracts)	(1.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 96.3% of Net Assets
		Aerospace & Defense — 1.5%
	52,325	Esterline Technologies Corp.(b)	$	5,335,057
		Building Products — 1.6%
	65,700	Lennox International, Inc.		5,588,442
		Capital Markets — 2.9%
	158,650	LPL Financial Holdings, Inc.		7,461,309
	162,725	TCP Capital Corp.		2,730,526
				10,191,835
		Commercial Banks — 10.6%
	122,400	Associated Banc-Corp		2,129,760
	144,425	Capital Bank Financial Corp., Class A(b)		3,285,669
	391,730	FirstMerit Corp.		8,708,158
	138,800	Fulton Financial Corp.		1,815,504
	108,750	Hancock Holding Co.		3,988,950
	104,375	Prosperity Bancshares, Inc.		6,616,331
	116,550	Union First Market Bankshares Corp.		2,891,605
	241,800	Webster Financial Corp.		7,539,324
				36,975,301
		Commercial Services & Supplies — 2.4%
	236,625	KAR Auction Services, Inc.		6,992,269
	36,400	McGrath Rentcorp		1,448,720
				8,440,989
		Communications Equipment — 0.5%
	127,450	Ixia(b)		1,696,360
		Construction & Engineering — 1.7%
	186,325	MasTec, Inc.(b)		6,096,554
		Consumer Finance — 1.2%
	70,250	First Cash Financial Services, Inc.(b)		4,344,260
		Containers & Packaging — 4.7%
	590,225	Graphic Packaging Holding Co.(b)		5,666,160
	71,225	Packaging Corp. of America		4,507,118
	128,375	Silgan Holdings, Inc.		6,164,567
				16,337,845
		Diversified Consumer Services — 1.4%
	165,275	Hillenbrand, Inc.		4,862,390
		Electrical Equipment — 0.9%
	116,275	Thermon Group Holdings, Inc.(b)		3,177,796
		Electronic Equipment, Instruments & Components — 1.8%
	68,950	Littelfuse, Inc.		6,407,523
		Energy Equipment & Services — 3.3%
	104,575	Atwood Oceanics, Inc.(b)		5,583,259
	207,200	Forum Energy Technologies, Inc.(b)		5,855,472
				11,438,731

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Food & Staples Retailing — 1.0%
	711,375	Rite Aid Corp.(b)	$	3,599,558
		Gas Utilities — 1.2%
	90,775	Atmos Energy Corp.		4,123,001
		Health Care Equipment & Supplies — 3.8%
	125,775	Integra LifeSciences Holdings Corp.(b)		6,000,725
	19,675	Sirona Dental Systems, Inc.(b)		1,381,185
	62,950	Teleflex, Inc.		5,908,487
				13,290,397
		Health Care Providers & Services — 1.9%
	116,875	Community Health Systems, Inc.(b)		4,589,681
	41,525	LifePoint Hospitals, Inc.(b)		2,194,181
				6,783,862
		Health Care Technology — 1.3%
	223,900	MedAssets, Inc.(b)		4,439,937
		Hotels, Restaurants & Leisure — 1.3%
	90,575	Jack in the Box, Inc.(b)		4,530,561
		Household Durables — 2.8%
	102,800	Harman International Industries, Inc.		8,414,180
	33,875	Ryland Group, Inc. (The)		1,470,514
				9,884,694
		Insurance — 8.2%
	161,425	American Equity Investment Life Holding Co.		4,258,391
	117,350	Aspen Insurance Holdings Ltd.		4,847,728
	336,275	CNO Financial Group, Inc.		5,948,705
	160,762	HCC Insurance Holdings, Inc.		7,417,559
	237,175	Maiden Holdings Ltd.		2,592,323
	59,250	Platinum Underwriters Holdings Ltd.		3,630,840
				28,695,546
		IT Services — 4.0%
	168,875	Broadridge Financial Solutions, Inc.		6,673,940
	91,100	EPAM Systems, Inc.(b)		3,183,034
	72,075	Jack Henry & Associates, Inc.		4,267,561
				14,124,535
		Machinery — 2.4%
	131,525	Actuant Corp., Class A		4,819,076
	303,025	Wabash National Corp.(b)		3,742,359
				8,561,435
		Metals & Mining — 1.7%
	63,950	Globe Specialty Metals, Inc.		1,151,739
	63,400	Reliance Steel & Aluminum Co.		4,808,256
				5,959,995
		Oil, Gas & Consumable Fuels — 2.2%
	163,114	Oasis Petroleum, Inc.(b)		7,661,465

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Paper & Forest Products — 0.8%
	56,750	Clearwater Paper Corp.(b)	$	2,979,375
		Personal Products — 0.9%
	87,925	Elizabeth Arden, Inc.(b)		3,116,941
		Professional Services — 1.2%
	121,525	ICF International, Inc.(b)		4,218,133
		REITs - Hotels — 0.8%
	473,275	Hersha Hospitality Trust		2,636,142
		REITs - Office Property — 0.6%
	62,875	Highwoods Properties, Inc.		2,274,189
		REITs - Shopping Centers — 0.9%
	272,975	Excel Trust, Inc.		3,109,185
		Road & Rail — 1.4%
	62,275	Celadon Group, Inc.		1,213,117
	94,350	Con-way, Inc.		3,746,638
				4,959,755
		Semiconductors & Semiconductor Equipment — 2.0%
	246,200	Skyworks Solutions, Inc.(b)		7,031,472
		Software — 8.4%
	91,100	ACI Worldwide, Inc.(b)		5,921,500
	83,600	BroadSoft, Inc.(b)		2,285,624
	52,525	Ellie Mae, Inc.(b)		1,411,347
	97,150	Fair Isaac Corp.		6,104,906
	172,125	SS&C Technologies Holdings, Inc.(b)		7,618,252
	142,625	Verint Systems, Inc.(b)		6,124,318
				29,465,947
		Specialty Retail — 8.2%
	141,697	Aaron’s, Inc.		4,165,892
	56,825	Abercrombie & Fitch Co., Class A		1,870,111
	251,800	Chico’s FAS, Inc.		4,743,912
	94,225	GNC Holdings, Inc., Class A		5,507,451
	84,600	Group 1 Automotive, Inc.		6,008,292
	123,050	Men’s Wearhouse, Inc. (The)		6,285,394
				28,581,052
		Textiles, Apparel & Luxury Goods — 1.1%
	108,400	Wolverine World Wide, Inc.		3,681,264
		Trading Companies & Distributors — 3.7%
	39,500	DXP Enterprises, Inc.(b)		4,550,400
	53,000	United Rentals, Inc.(b)		4,131,350
	46,125	WESCO International, Inc.(b)		4,200,604
				12,882,354
		Total Common Stocks (Identified Cost $249,563,234)		337,483,878
	Closed-End Investment Companies — 2.4%
	464,975	Ares Capital Corp. (Identified Cost $7,448,797)		8,262,606

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Small Cap Value Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.2%
$	4,393,645	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $4,393,645 on 1/02/2014 collateralized by $4,660,000 Federal National Mortgage Association, Zero Coupon due 6/01/2017 valued at $4,485,250 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,393,645)	$	4,393,645
		Total Investments — 99.9% (Identified Cost $261,405,676)(a)		350,140,129
		Other assets less liabilities — 0.1%		203,089
		Net Assets — 100.0%	$	350,343,218
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $262,746,874 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	89,928,935
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,535,680	)
		Net unrealized appreciation	$	87,393,255
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2013 (Unaudited)

Commercial Banks	10.6	%
Software	8.4
Insurance	8.2
Specialty Retail	8.2
Containers & Packaging	4.7
IT Services	4.0
Health Care Equipment & Supplies	3.8
Trading Companies & Distributors	3.7
Energy Equipment & Services	3.3
Capital Markets	2.9
Household Durables	2.8
Machinery	2.4
Commercial Services & Supplies	2.4
Closed End Investment Companies	2.4
Oil, Gas & Consumable Fuels	2.2
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	26.7
Short-Term Investments	1.2
Total Investments	99.9
Other assets less liabilities	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 96.6% of Net Assets
		Aerospace & Defense — 1.2%
	62,775	B/E Aerospace, Inc.(b)	$	5,463,308
		Auto Components — 2.3%
	98,650	Delphi Automotive PLC		5,931,825
	80,725	Tenneco, Inc.(b)		4,566,613
				10,498,438
		Capital Markets — 1.3%
	165,925	SEI Investments Co.		5,762,575
		Chemicals — 4.0%
	42,275	Airgas, Inc.		4,728,459
	91,625	FMC Corp.		6,914,022
	89,050	Rockwood Holdings, Inc.		6,404,476
				18,046,957
		Commercial Banks — 7.0%
	116,600	CIT Group, Inc.		6,078,358
	329,300	Fifth Third Bancorp		6,925,179
	555,450	First Niagara Financial Group, Inc.		5,898,879
	717,525	Huntington Bancshares, Inc.		6,924,116
	548,400	Regions Financial Corp.		5,423,676
				31,250,208
		Commercial Services & Supplies — 0.9%
	131,975	KAR Auction Services, Inc.		3,899,861
		Computers & Peripherals — 2.1%
	279,975	NCR Corp.(b)		9,535,949
		Construction & Engineering — 1.5%
	213,975	Quanta Services, Inc.(b)		6,753,051
		Containers & Packaging — 5.9%
	193,475	Crown Holdings, Inc.(b)		8,623,181
	852,075	Graphic Packaging Holding Co.(b)		8,179,920
	170,425	Owens-Illinois, Inc.(b)		6,097,806
	58,950	Packaging Corp. of America		3,730,356
				26,631,263
		Energy Equipment & Services — 3.9%
	137,100	Atwood Oceanics, Inc.(b)		7,319,769
	50,600	Helmerich & Payne, Inc.		4,254,448
	224,875	Superior Energy Services, Inc.(b)		5,983,924
				17,558,141
		Food & Staples Retailing — 1.2%
	1,076,925	Rite Aid Corp.(b)		5,449,241
		Food Products — 1.1%
	71,100	Ingredion, Inc.		4,867,506

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 3.8%
	192,200	Community Health Systems, Inc.(b)	$	7,547,694
	196,050	HCA Holdings, Inc.(b)		9,353,546
				16,901,240
		Health Care Technology — 1.4%
	322,250	MedAssets, Inc.(b)		6,390,218
		Household Durables — 3.4%
	115,325	Harman International Industries, Inc.		9,439,351
	144,150	Lennar Corp., Class A		5,702,574
				15,141,925
		Household Products — 0.5%
	32,675	Spectrum Brands Holdings, Inc.		2,305,221
		Insurance — 7.3%
	213,975	First American Financial Corp.		6,034,095
	233,200	Hartford Financial Services Group, Inc. (The)		8,448,836
	85,200	Reinsurance Group of America, Inc., Class A		6,595,332
	56,375	RenaissanceRe Holdings Ltd.		5,487,543
	153,750	Validus Holdings Ltd.		6,194,587
				32,760,393
		Internet & Catalog Retail — 1.6%
	117,875	HSN, Inc.		7,343,613
		Internet Software & Services — 1.8%
	116,600	IAC/InterActiveCorp		8,009,254
		IT Services — 3.4%
	128,775	Fiserv, Inc.(b)		7,604,164
	115,325	Global Payments, Inc.		7,494,972
				15,099,136
		Machinery — 4.4%
	58,950	Flowserve Corp.		4,647,028
	103,150	Navistar International Corp.(b)		3,939,299
	87,775	Pentair Ltd. (Registered)		6,817,484
	41,000	Snap-on, Inc.		4,490,320
				19,894,131
		Media — 1.5%
	96,100	AMC Networks, Inc., Class A(b)		6,545,371
		Metals & Mining — 5.3%
	126,200	Carpenter Technology Corp.		7,849,640
	417,075	Constellium NV, Class A(b)		9,705,335
	85,200	Reliance Steel & Aluminum Co.		6,461,568
				24,016,543
		Oil, Gas & Consumable Fuels — 2.6%
	91,625	Noble Energy, Inc.		6,240,579
	30,100	Pioneer Natural Resources Co.		5,540,507
				11,781,086

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Personal Products — 1.2%
	148,000	Elizabeth Arden, Inc.(b)	$	5,246,600
		Pharmaceuticals — 3.0%
	36,877	Actavis PLC(b)		6,195,336
	62,186	Valeant Pharmaceuticals International, Inc.(b)		7,300,636
				13,495,972
		Road & Rail — 3.5%
	144,150	Con-way, Inc.		5,724,197
	348,525	Hertz Global Holdings, Inc.(b)		9,974,785
				15,698,982
		Semiconductors & Semiconductor Equipment — 4.6%
	116,600	Avago Technologies Ltd.		6,166,974
	301,750	Micron Technology, Inc.(b)		6,566,080
	283,800	Skyworks Solutions, Inc.(b)		8,105,328
				20,838,382
		Software — 4.0%
	105,700	Check Point Software Technologies Ltd.(b)		6,819,764
	295,975	Nuance Communications, Inc.(b)		4,498,820
	331,850	Rovi Corp.(b)		6,534,126
				17,852,710
		Specialty Retail — 5.0%
	168,500	Abercrombie & Fitch Co., Class A		5,545,335
	142,875	GNC Holdings, Inc., Class A		8,351,044
	134,525	Rent-A-Center, Inc.		4,485,063
	51,900	Signet Jewelers Ltd.		4,084,530
				22,465,972
		Textiles, Apparel & Luxury Goods — 1.5%
	50,600	PVH Corp.		6,882,612
		Trading Companies & Distributors — 4.4%
	238,975	MRC Global, Inc.(b)		7,709,333
	96,100	United Rentals, Inc.(b)		7,490,995
	49,325	WESCO International, Inc.(b)		4,492,028
				19,692,356
		Total Common Stocks (Identified Cost $344,499,269)		434,078,215
	Closed-End Investment Companies — 1.6%
	392,075	Ares Capital Corp. (Identified Cost $6,482,848)		6,967,173

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2013

Vaughan Nelson Value Opportunity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 2.7%
$	12,338,308	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $12,338,308 on 1/02/2014 collateralized by $13,080,000 Federal National Mortgage Association, Zero Coupon due 6/01/2017 valued at $12,589,500 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $12,338,308)	$	12,338,308
		Total Investments — 100.9% (Identified Cost $363,320,425)(a)		453,383,696
		Other assets less liabilities — (0.9)%		(3,840,454	)
		Net Assets — 100.0%	$	449,543,242
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $364,589,128 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	$	94,677,067
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,882,499	)
		Net unrealized appreciation	$	88,794,568
	(b)	Non-income producing security.

Industry Summary at December 31, 2013 (Unaudited)

Insurance	7.3	%
Commercial Banks	7.0
Containers & Packaging	5.9
Metals & Mining	5.3
Specialty Retail	5.0
Semiconductors & Semiconductor Equipment	4.6
Machinery	4.4
Trading Companies & Distributors	4.4
Chemicals	4.0
Software	4.0
Energy Equipment & Services	3.9
Health Care Providers & Services	3.8
Road & Rail	3.5
Household Durables	3.4
IT Services	3.4
Pharmaceuticals	3.0
Oil, Gas & Consumable Fuels	2.6
Auto Components	2.3
Computers & Peripherals	2.1
Other Investments, less than 2% each	18.3
Short-Term Investments	2.7
Total Investments	100.9
Other assets less liabilities	(0.9	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  40

Statements of Assets and Liabilities

December 31, 2013

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Oakmark International Fund			Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	496,879,657		$	116,027,064		$	513,375,319		$	261,405,676		$	363,320,425
Net unrealized appreciation		91,613,766			53,414,225			44,096,885			88,734,453			90,063,271
Investments at value		588,493,423			169,441,289			557,472,204			350,140,129			453,383,696
Cash		3,450			—			—			197,495			166,174
Foreign currency at value (identified cost $0, $0, $173, $0 and $0)		—			—			173			—			—
Receivable for Fund shares sold		58,498			290,765			14,263,436			218,546			3,069,660
Receivable for securities sold		9,175,780			223,777			112,795			348,453			—
Dividends receivable		198,375			144,877			569,057			330,033			296,721
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			20,370			—			—
Tax reclaims receivable		—			—			124,097			—			—
TOTAL ASSETS		597,929,526			170,100,708			572,562,132			351,234,656			456,916,251
LIABILITIES
Payable for securities purchased		12,060,716			—			18,115,790			—			6,380,187
Payable for Fund shares redeemed		2,621,454			18,587			1,258,405			302,178			543,845
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			746,718			—			—
Management fees payable (Note 6)		347,546			100,158			457,476			267,335			290,881
Deferred Trustees’ fees (Note 6)		899,985			472,053			29,006			215,121			57,126
Administrative fees payable (Note 6)		21,504			6,148			18,432			13,065			15,992
Payable to distributor (Note 6d)		2,644			719			3,793			3,213			3,878
Other accounts payable and accrued expenses		154,995			100,663			104,212			90,526			81,100
TOTAL LIABILITIES		16,108,844			698,328			20,733,832			891,438			7,373,009
NET ASSETS	$	581,820,682		$	169,402,380		$	551,828,300		$	350,343,218		$	449,543,242
NET ASSETS CONSIST OF:
Paid-in capital	$	474,358,487		$	112,816,158		$	507,910,164		$	252,353,001		$	355,310,377
Undistributed (Distributions in excess of) net investment income		(899,985	)		(472,053	)		844,145			(213,083	)		(57,126	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		16,748,414			3,644,050			(294,570	)		9,468,847			4,226,720
Net unrealized appreciation on investments and foreign currency translations		91,613,766			53,414,225			43,368,561			88,734,453			90,063,271
NET ASSETS	$	581,820,682		$	169,402,380		$	551,828,300		$	350,343,218		$	449,543,242

See accompanying notes to financial statements.

41  |

Statements of Assets and Liabilities (continued)

December 31, 2013

	CGM Advisor Targeted Equity Fund		Harris Associates Large Cap Value Fund		Natixis Oakmark International Fund		Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	493,102,202	$	145,270,297	$	314,578,665	$	152,791,916	$	67,716,268
Shares of beneficial interest		43,032,090		6,787,540		22,901,357		6,838,052		3,282,582
Net asset value and redemption price per share	$	11.46	$	21.40	$	13.74	$	22.34	$	20.63
Offering price per share (100/94.25 of net asset value) (Note 1)	$	12.16	$	22.71	$	14.58	$	23.70	$	21.89
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,205,318	$	1,531,723	$	—	$	2,238,963	$	—
Shares of beneficial interest		221,025		78,260		—		127,030		—
Net asset value and offering price per share	$	9.98	$	19.57	$	—	$	17.63	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	36,417,287	$	8,424,812	$	237,249,635	$	31,475,936	$	21,005,498
Shares of beneficial interest		3,676,584		432,527		17,532,615		1,787,430		1,046,535
Net asset value and offering price per share	$	9.91	$	19.48	$	13.53	$	17.61	$	20.07
Class N shares:
Net assets	$	—	$	—	$	—	$	—	$	1,247
Shares of beneficial interest		—		—		—		—		60
Net asset value, offering and redemption price per share	$	—	$	—	$	—	$	—	$	20.76	*
Class Y shares:
Net assets	$	50,095,875	$	14,175,548	$	—	$	163,836,403	$	360,820,229
Shares of beneficial interest		4,235,723		639,619		—		7,207,873		17,361,782
Net asset value, offering and redemption price per share	$	11.83	$	22.16	$	—	$	22.73	$	20.78

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

See accompanying notes to financial statements.

|  42

Statements of Operations

For the Year Ended December 31, 2013

	CGM Advisor Targeted Equity Fund			Harris Associates Large Cap Value Fund			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	5,760,050		$	2,468,763		$	4,839,589
Interest		363			255			3,938
Less net foreign taxes withheld		(101,133	)		(1,871	)		(373,838	)
		5,659,280			2,467,147			4,469,689
Expenses
Management fees (Note 6)		4,052,633			1,064,864			1,891,496
Service and distribution fees (Note 6)		1,586,068			410,771			1,397,724
Administrative fees (Note 6)		251,461			67,152			98,162
Trustees’ fees and expenses (Note 6)		169,857			90,909			24,758
Transfer agent fees and expenses (Note 6)		529,170			214,131			173,056
Audit and tax services fees		48,828			43,537			44,709
Custodian fees and expenses		27,643			21,877			207,472
Legal fees		7,460			1,941			1,972
Registration fees		65,249			65,038			68,121
Shareholder reporting expenses		36,051			11,562			21,655
Miscellaneous expenses		23,810			13,986			23,531
Total expenses		6,798,230			2,005,768			3,952,656
Fee/expense recovery (Note 6)		—			2,299			101,206
Net expenses		6,798,230			2,008,067			4,053,862
Net investment income (loss)		(1,138,950	)		459,080			415,827
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		98,423,009			16,250,184			9,808,782
Foreign currency transactions		874			—			1,592,426
Net change in unrealized appreciation (depreciation) on:
Investments		46,132,544			32,080,893			37,675,478
Foreign currency translations		—			—			(1,078,978	)
Net realized and unrealized gain on investments and foreign currency transactions		144,556,427			48,331,077			47,997,708
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	143,417,477		$	48,790,157		$	48,413,535

See accompanying notes to financial statements.

43  |

Statements of Operations (continued)

For the Year Ended December 31, 2013

	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	5,827,956	(a)	$	3,525,745
Interest		269			215
Less net foreign taxes withheld		(3,715	)		—
		5,824,510			3,525,960
Expenses
Management fees (Note 6)		3,031,921			2,480,359
Service and distribution fees (Note 6)		696,361			218,949
Administrative fees (Note 6)		148,719			136,839
Trustees’ fees and expenses (Note 6)		56,539			30,420
Transfer agent fees and expenses (Note 6)		408,918			284,955
Audit and tax services fees		41,527			40,306
Custodian fees and expenses		27,677			32,425
Legal fees		4,228			3,580
Registration fees		59,987			92,586
Shareholder reporting expenses		38,123			45,628
Miscellaneous expenses		20,450			18,802
Total expenses		4,534,450			3,384,849
Less waiver and/or expense reimbursement (Note 6)		—			(20	)
Net expenses		4,534,450			3,384,829
Net investment income		1,290,060			141,131
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		58,527,993			26,959,140
Foreign currency transactions		(7	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		50,817,080			76,536,470
Net realized and unrealized gain on investments and foreign currency transactions		109,345,066			103,495,610
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	110,635,126		$	103,636,741

(a) Includes a non-recurring dividend of $1,084,329.

See accompanying notes to financial statements.

|  44

Statements of Changes in Net Assets

	CGM Advisor Targeted Equity Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income (loss)	$	(1,138,950	)	$	4,315,207
Net realized gain on investments and foreign currency transactions		98,423,883			47,298,215
Net change in unrealized appreciation (depreciation) on investments		46,132,544			31,061,066
Net increase in net assets resulting from operations		143,417,477			82,674,488
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(4,304	)		(3,813,264	)
Class B		(97	)		(610	)
Class C		(360	)		(31,566	)
Class Y		(464	)		(557,124	)
Net realized capital gains
Class A		(64,422,015	)		(19,506,253	)
Class B		(319,115	)		(170,718	)
Class C		(5,418,797	)		(1,766,210	)
Class Y		(6,313,726	)		(2,163,006	)
Total distributions		(76,478,878	)		(28,008,751	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(11,961,194	)		(140,868,009	)
Net increase (decrease) in net assets		54,977,405			(86,202,272	)
NET ASSETS
Beginning of the year		526,843,277			613,045,549
End of the year	$	581,820,682		$	526,843,277
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(899,985	)	$	(765,786	)

See accompanying notes to financial statements.

45  |

Statements of Changes in Net Assets (continued)

	Harris Associates Large Cap Value Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	459,080		$	996,366
Net realized gain on investments		16,250,184			3,988,484
Net change in unrealized appreciation (depreciation) on investments		32,080,893			15,718,145
Net increase in net assets resulting from operations		48,790,157			20,702,995
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(432,563	)		(913,298	)
Class C		—			(8,756	)
Class Y		(70,778	)		(122,737	)
Net realized capital gains
Class A		(4,641,585	)		—
Class B		(53,345	)		—
Class C		(294,950	)		—
Class Y		(435,710	)		—
Total distributions		(5,928,931	)		(1,044,791	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(7,589,261	)		(10,081,022	)
Net increase in net assets		35,271,965			9,577,182
NET ASSETS
Beginning of the year		134,130,415			124,553,233
End of the year	$	169,402,380		$	134,130,415
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(472,053	)	$	(405,387	)

See accompanying notes to financial statements.

|  46

Statements of Changes in Net Assets (continued)

	Natixis Oakmark International Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	415,827		$	598,170
Net realized gain (loss) on investments and foreign currency transactions		11,401,208			(573,920	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		36,596,500			13,239,495
Net increase in net assets resulting from operations		48,413,535			13,263,745
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,179,127	)		(784,779	)
Class C		(154,136	)		(464,918	)
Net realized capital gains
Class A		(3,755,164	)		—
Class C		(2,995,185	)		—
Total distributions		(8,083,612	)		(1,249,697	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		441,801,535			10,329,896
Net increase in net assets		482,131,458			22,343,944
NET ASSETS
Beginning of the year		69,696,842			47,352,898
End of the year	$	551,828,300		$	69,696,842
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	844,145		$	(84,170	)

See accompanying notes to financial statements.

47  |

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	1,290,060		$	2,665,810
Net realized gain on investments and foreign currency transactions		58,527,986			25,929,887
Net change in unrealized appreciation (depreciation) on investments		50,817,080			24,173,221
Net increase in net assets resulting from operations		110,635,126			52,768,918
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(368,339	)		(1,095,844	)
Class B		(812	)		—
Class C		(8,031	)		(23,674	)
Class Y		(821,635	)		(1,287,864	)
Net realized capital gains
Class A		(23,147,106	)		(11,383,253	)
Class B		(433,209	)		(256,797	)
Class C		(5,802,683	)		(2,136,731	)
Class Y		(25,293,191	)		(8,612,912	)
Total distributions		(55,875,006	)		(24,797,075	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(27,872,472	)		(98,018,043	)
Net increase (decrease) in net assets		26,887,648			(70,046,200	)
NET ASSETS
Beginning of the year		323,455,570			393,501,770
End of the year	$	350,343,218		$	323,455,570
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(213,083	)	$	(129,472	)

See accompanying notes to financial statements.

|  48

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Value Opportunity Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	141,131		$	2,073,764
Net realized gain on investments		26,959,140			6,478,478
Net change in unrealized appreciation (depreciation) on investments		76,536,470			14,399,847
Net increase in net assets resulting from operations		103,636,741			22,952,089
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(246,978	)
Class C		—			(7,944	)
Class N		(1	)		—
Class Y		(163,927	)		(1,789,205	)
Net realized capital gains
Class A		(3,567,518	)		(707,026	)
Class C		(1,069,705	)		(78,628	)
Class N		(60	)		—
Class Y		(18,839,663	)		(4,019,631	)
Total distributions		(23,640,874	)		(6,849,412	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		174,487,517			46,408,042
Net increase in net assets		254,483,384			62,510,719
NET ASSETS
Beginning of the year		195,059,858			132,549,139
End of the year	$	449,543,242		$	195,059,858
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(57,126	)	$	(40,624	)

See accompanying notes to financial statements.

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|  50

Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
12/31/2013	$	10.23	$	(0.02	)	$	2.94		$	2.92		$	(0.00	)	$	(1.69	)	$	(1.69	)
12/31/2012		9.36		0.08	(g)		1.36			1.44			(0.09	)		(0.48	)		(0.57	)
12/31/2011		11.12		0.05			(1.76	)		(1.71	)		(0.05	)		—			(0.05	)
12/31/2010		9.54		0.05	(h)		1.58			1.63			(0.05	)		—			(0.05	)
12/31/2009		7.66		0.05			1.88			1.93			(0.05	)		—			(0.05	)
Class B
12/31/2013		9.15		(0.10	)		2.62			2.52			(0.00	)		(1.69	)		(1.69	)
12/31/2012		8.41		(0.00	)(g)		1.22			1.22			(0.00	)		(0.48	)		(0.48	)
12/31/2011		10.01		(0.03	)		(1.57	)		(1.60	)		—			—			—
12/31/2010		8.61		(0.02	)(h)		1.42			1.40			(0.00	)		—			(0.00	)
12/31/2009		6.92		(0.01	)		1.70			1.69			—			—			—
Class C
12/31/2013		9.09		(0.10	)		2.61			2.51			(0.00	)		(1.69	)		(1.69	)
12/31/2012		8.37		(0.00	)(g)		1.20			1.20			(0.00	)		(0.48	)		(0.48	)
12/31/2011		9.96		(0.03	)		(1.56	)		(1.59	)		—			—			—
12/31/2010		8.57		(0.02	)(h)		1.41			1.39			(0.00	)		—			(0.00	)
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		—			(0.00	)
Class Y
12/31/2013		10.49		0.01			3.02			3.03			(0.00	)		(1.69	)		(1.69	)
12/31/2012		9.59		0.11	(g)		1.39			1.50			(0.12	)		(0.48	)		(0.60	)
12/31/2011		11.40		0.07			(1.80	)		(1.73	)		(0.08	)		—			(0.08	)
12/31/2010		9.78		0.07	(h)		1.63			1.70			(0.08	)		—			(0.08	)
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		—			(0.08	)

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

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

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

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

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

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

See accompanying notes to financial statements.

51  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)		Gross expenses (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	11.46		29.01		$	493,102		1.17		1.17		(0.17	)		205
	10.23		15.44	(g)		438,288		1.18		1.18		0.78	(g)		192
	9.36		(15.36	)		503,330		1.13		1.13		0.45			236
	11.12		17.14			753,518		1.16		1.16		0.52	(h)		146
	9.54		25.19			693,386		1.19		1.19		0.69			170
	9.98		28.06			2,205		1.91		1.91		(0.94	)		205
	9.15		14.54	(g)		3,447		1.93		1.93		(0.05	)(g)		192
	8.41		(15.98	)		5,296		1.88		1.88		(0.32	)		236
	10.01		16.26			9,934		1.91		1.91		(0.28	)(h)		146
	8.61		24.42			12,401		1.94		1.94		(0.11	)		170
	9.91		28.13			36,417		1.91		1.91		(0.92	)		205
	9.09		14.45	(g)		35,225		1.93		1.93		(0.02	)(g)		192
	8.37		(15.96	)		47,416		1.88		1.88		(0.32	)		236
	9.96		16.22			81,291		1.91		1.91		(0.23	)(h)		146
	8.57		24.42			75,098		1.95		1.95		(0.14	)		170
	11.83		29.34			50,096		0.91		0.91		0.08			205
	10.49		15.69	(g)		49,884		0.93		0.93		1.02	(g)		192
	9.59		(15.16	)		57,003		0.87		0.87		0.62			236
	11.40		17.39			137,631		0.91		0.91		0.69	(h)		146
	9.78		25.75			265,441		0.94		0.94		0.64			170

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

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

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
HARRIS ASSOCIATES LARGE CAP VALUE FUND
Class A
12/31/2013	$	16.09	$	0.06		$	6.03		$	6.09		$	(0.07	)	$	(0.71	)	$	(0.78	)
12/31/2012		13.86		0.12			2.24			2.36			(0.13	)		—			(0.13	)
12/31/2011		14.17		0.08			(0.30	)		(0.22	)		(0.09	)		—			(0.09	)
12/31/2010		12.58		0.05			1.60			1.65			(0.06	)		—			(0.06	)
12/31/2009		8.77		0.05	(i)		3.81			3.86			(0.05	)		—			(0.05	)
Class B
12/31/2013		14.83		(0.07	)		5.52			5.45			—			(0.71	)		(0.71	)
12/31/2012		12.76		(0.01	)		2.08			2.07			—			—			—
12/31/2011		13.07		(0.03	)		(0.28	)		(0.31	)		(0.00	)		—			(0.00	)
12/31/2010		11.65		(0.05	)		1.48			1.43			(0.01	)		—			(0.01	)
12/31/2009		8.16		(0.02	)(i)		3.52			3.50			(0.01	)		—			(0.01	)
Class C
12/31/2013		14.75		(0.07	)		5.51			5.44			—			(0.71	)		(0.71	)
12/31/2012		12.72		0.00			2.05			2.05			(0.02	)		—			(0.02	)
12/31/2011		13.02		(0.03	)		(0.27	)		(0.30	)		(0.00	)		—			(0.00	)
12/31/2010		11.61		(0.05	)		1.47			1.42			(0.01	)		—			(0.01	)
12/31/2009		8.13		(0.02	)(i)		3.51			3.49			(0.01	)		—			(0.01	)
Class Y
12/31/2013		16.63		0.11			6.24			6.35			(0.11	)		(0.71	)		(0.82	)
12/31/2012		14.32		0.17			2.31			2.48			(0.17	)		—			(0.17	)
12/31/2011		14.65		0.12			(0.33	)		(0.21	)		(0.12	)		—			(0.12	)
12/31/2010		12.99		0.08			1.67			1.75			(0.09	)		—			(0.09	)
12/31/2009		9.05		0.08	(i)		3.93			4.01			(0.07	)		—			(0.07	)

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

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

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

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

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

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

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

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

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

See accompanying notes to financial statements.

53  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	21.40		37.82		$	145,270		1.30	(g)		1.30	(g)		0.33			29
	—		16.09		17.03			113,870		1.30			1.33			0.77			25
	—		13.86		(1.56	)		107,978		1.30	(h)		1.30	(h)		0.57			36
	—		14.17		13.08			118,938		1.30			1.39			0.36			32
	0.00		12.58		44.03			113,309		1.30			1.50			0.53			131
	—		19.57		36.75			1,532		2.05	(g)		2.05	(g)		(0.43	)		29
	—		14.83		16.22			2,145		2.05			2.08			(0.04	)		25
	—		12.76		(2.34	)		3,341		2.05	(h)		2.05	(h)		(0.21	)		36
	—		13.07		12.31			5,614		2.05			2.13			(0.40	)		32
	0.00		11.65		42.88			7,864		2.05			2.25			(0.22	)		131
	—		19.48		36.88			8,425		2.05	(g)		2.05	(g)		(0.42	)		29
	—		14.75		16.13			6,016		2.05			2.08			0.02			25
	—		12.72		(2.28	)		5,667		2.05	(h)		2.05	(h)		(0.19	)		36
	—		13.02		12.26			7,399		2.05			2.14			(0.39	)		32
	0.00		11.61		42.91			7,208		2.05			2.25			(0.22	)		131
	—		22.16		38.21			14,176		1.05	(g)		1.05	(g)		0.54			29
	—		16.63		17.33			12,100		1.05			1.09			1.04			25
	—		14.32		(1.40	)		7,567		1.05	(h)		1.05	(h)		0.80			36
	—		14.65		13.47			9,586		1.05			1.14			0.61			32
	0.00		12.99		44.39			7,450		1.05			1.12			0.77			131

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
NATIXIS OAKMARK INTERNATIONAL FUND
Class A
12/31/2013	$	10.94	$	0.07		$	2.99		$	3.06		$	(0.08	)	$	(0.18	)	$	(0.26	)
12/31/2012		8.68		0.14			2.35			2.49			(0.23	)		—			(0.23	)
12/31/2011		10.16		0.09	(h)		(1.57	)		(1.48	)		(0.00	)		(0.00	)		(0.00	)
12/31/2010(i)		10.00		0.00			0.16			0.16			(0.00	)		—			(0.00	)
Class C
12/31/2013		10.82		(0.02	)		2.94			2.92			(0.03	)		(0.18	)		(0.21	)
12/31/2012		8.61		0.06			2.34			2.40			(0.19	)		—			(0.19	)
12/31/2011		10.15		0.02	(h)		(1.56	)		(1.54	)		(0.00	)		(0.00	)		(0.00	)
12/31/2010(i)		10.00		(0.00	)		0.15			0.15			(0.00	)		—			(0.00	)

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

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

(c) Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

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

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

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

(g) Includes fee/expense recovery of 0.05% and 0.04% for Class A and Class C, respectively.

(h) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08 and $0.01 for Class A and Class C shares, respectively, total return would have been (14.65)% and (15.27)% for Class A and Class C shares, respectively, the ratio of net investment income to average net assets would have been 0.81% and 0.08% for Class A and Class C shares, respectively.

(i) From commencement of operations on December 15, 2010 through December 31, 2010.

(j) Amount rounds to less than 1%.

See accompanying notes to financial statements.

55  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	13.74		28.13		$	314,579		1.44	(g)		1.44	(g)		0.52			20
	10.94		28.78			35,555		1.45			1.64			1.50			53
	8.68		(14.55	)(h)		33,852		1.45			1.87			0.93	(h)		48
	10.16		1.62			5,487		1.45			22.77			0.23			0	(j)
	13.53		27.13			237,250		2.19	(g)		2.19	(g)		(0.14	)		20
	10.82		27.93			34,142		2.20			2.39			0.59			53
	8.61		(15.17	)(h)		13,501		2.20			2.59			0.20	(h)		48
	10.15		1.52			700		2.20			25.08			(0.08	)		0	(j)

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
12/31/2013	$	18.97	$	0.07	(g)	$	7.14		$	7.21		$	(0.06	)	$	(3.78	)	$	(3.84	)
12/31/2012		17.74		0.13	(i)		2.50			2.63			(0.14	)		(1.26	)		(1.40	)
12/31/2011		22.69		0.10			(0.83	)		(0.73	)		(0.09	)		(4.13	)		(4.22	)
12/31/2010		22.31		(0.01	)		5.27			5.26			—			(4.90	)		(4.90	)
12/31/2009		17.42		0.05	(j)		4.88			4.93			(0.04	)		—			(0.04	)
Class B
12/31/2013		15.65		(0.07	)(g)		5.84			5.77			(0.01	)		(3.78	)		(3.79	)
12/31/2012		14.84		(0.02	)(i)		2.09			2.07			—			(1.26	)		(1.26	)
12/31/2011		19.73		(0.07	)		(0.69	)		(0.76	)		(0.00	)		(4.13	)		(4.13	)
12/31/2010		20.06		(0.17	)		4.72			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.09	)(j)		4.39			4.30			—			—			—
Class C
12/31/2013		15.64		(0.07	)(g)		5.83			5.76			(0.01	)		(3.78	)		(3.79	)
12/31/2012		14.85		(0.01	)(i)		2.08			2.07			(0.02	)		(1.26	)		(1.28	)
12/31/2011		19.74		(0.06	)		(0.70	)		(0.76	)		—			(4.13	)		(4.13	)
12/31/2010		20.07		(0.16	)		4.71			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.08	)(j)		4.39			4.31			—			—			—
Class Y
12/31/2013		19.24		0.13	(g)		7.26			7.39			(0.12	)		(3.78	)		(3.90	)
12/31/2012		17.99		0.18	(i)		2.53			2.71			(0.20	)		(1.26	)		(1.46	)
12/31/2011		22.96		0.15			(0.84	)		(0.69	)		(0.15	)		(4.13	)		(4.28	)
12/31/2010		22.47		0.06			5.31			5.37			—			(4.90	)		(4.90	)
12/31/2009		17.55		0.12	(j)		4.90			5.02			(0.10	)		—			(0.10	)

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

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

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

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

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

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

(g) Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.00, $(0.14), $(0.13) and $0.06 for Class A, Class B, Class C and Class Y shares, respectively, total return would have been 38.63%, 37.63%, 37.59% and 39.06% for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.02%, (0.77)%, (0.73)% and 0.27% for Class A, Class B, Class C and Class Y shares, respectively.

See accompanying notes to financial statements.

57  |

									Ratios to Average Net Assets:
Increase from regulatory settlements		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	—	$	22.34		39.01	(g)	$	152,792		1.39	(h)		1.39	(h)		0.33	(g)		58
	—		18.97		14.93	(i)		160,400		1.39			1.39			0.67	(i)		73
	—		17.74		(3.77	)		228,445		1.36			1.36			0.44			88
	0.02		22.69		23.67			267,192		1.41			1.41			(0.03	)		80
	—		22.31		28.30			322,961		1.45			1.49			0.27			102
	—		17.63		38.03	(g)		2,239		2.14	(h)		2.14	(h)		(0.40	)(g)		58
	—		15.65		14.12	(i)		3,106		2.14			2.14			(0.14	)(i)		73
	—		14.84		(4.51	)		4,657		2.11			2.11			(0.38	)		88
	0.02		19.73		22.78			7,996		2.16			2.16			(0.78	)		80
	—		20.06		27.28			10,630		2.20			2.24			(0.56	)		102
	—		17.61		37.99	(g)		31,476		2.14	(h)		2.14	(h)		(0.40	)(g)		58
	—		15.64		14.08	(i)		26,980		2.14			2.14			(0.07	)(i)		73
	—		14.85		(4.51	)		30,284		2.11			2.11			(0.33	)		88
	0.02		19.74		22.78			38,855		2.16			2.16			(0.76	)		80
	—		20.07		27.35			39,238		2.20			2.24			(0.48	)		102
	—		22.73		39.43	(g)		163,836		1.14	(h)		1.14	(h)		0.59	(g)		58
	—		19.24		15.18	(i)		132,970		1.14			1.14			0.95	(i)		73
	—		17.99		(3.54	)		130,115		1.10			1.10			0.65			88
	0.02		22.96		24.00			217,305		1.16			1.16			0.24			80
	—		22.47		28.61			232,903		1.18	(k)		1.18	(k)		0.60			102

(h) Includes interest expense of less than 0.01%.

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

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

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

See accompanying notes to financial statements.

|  58

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Distributions from paid-in capital
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
12/31/2013	$	15.49	$	(0.03	)	$	6.36		$	6.33		$	—		$	(1.19	)	$	—
12/31/2012		13.83		0.15	(g)		2.05			2.20			(0.14	)		(0.40	)		—
12/31/2011		14.75		(0.01	)		(0.39	)		(0.40	)		—			(0.52	)		—
12/31/2010		12.46		0.08	(i)		2.36			2.44			(0.07	)		(0.02	)		(0.06	)
12/31/2009		9.60		0.09			2.88			2.97			(0.04	)		(0.07	)		—
Class C
12/31/2013		15.21		(0.17	)		6.22			6.05			—			(1.19	)		—
12/31/2012		13.60		0.04	(g)		2.01			2.05			(0.04	)		(0.40	)		—
12/31/2011		14.63		(0.12	)		(0.39	)		(0.51	)		—			(0.52	)		—
12/31/2010		12.39		(0.03	)(i)		2.36			2.33			(0.04	)		(0.02	)		(0.03	)
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		—
Class N
12/31/2013(j)		17.53		(0.04	)		4.35			4.31			(0.02	)		(1.06	)		—
Class Y
12/31/2013		15.57		0.02			6.39			6.41			(0.01	)		(1.19	)		—
12/31/2012		13.89		0.18	(g)		2.08			2.26			(0.18	)		(0.40	)		—
12/31/2011		14.80		0.03			(0.41	)		(0.38	)		(0.01	)		(0.52	)		—
12/31/2010		12.49		0.12	(i)		2.37			2.49			(0.09	)		(0.02	)		(0.07	)
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		—

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

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

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

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

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

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

See accompanying notes to financial statements.

59  |

									Ratios to Average Net Assets:
Total distributions		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	(1.19)	$	20.63		41.22		$	67,716		1.27			1.27			(0.13	)		39
	(0.54)		15.49		15.93	(g)		28,381		1.31			1.31			0.97	(g)		65
	(0.52)		13.83		(2.71	)		21,308		1.40	(h)		1.40	(h)		(0.07	)		75
	(0.15)		14.75		19.64			11,268		1.40			1.69			0.62	(i)		143
	(0.11)		12.46		30.98			3,645		1.40			5.24			0.79			45
	(1.19)		20.07		40.13			21,005		2.02			2.02			(0.89	)		39
	(0.44)		15.21		15.10	(g)		3,090		2.06			2.06			0.24	(g)		65
	(0.52)		13.60		(3.48	)		1,822		2.15	(h)		2.15	(h)		(0.83	)		75
	(0.09)		14.63		18.85			824		2.15			2.46			(0.23	)(i)		143
	(0.07)		12.39		30.01			370		2.15			8.54			(0.14	)		45
	(1.08)		20.76		24.70			1		1.03			2.07			(0.33	)		39
	(1.20)		20.78		41.52			360,820		1.02			1.02			0.12			39
	(0.58)		15.57		16.28	(g)		163,589		1.06			1.06			1.22	(g)		65
	(0.53)		13.89		(2.53	)		109,419		1.15	(h)		1.15	(h)		0.23			75
	(0.18)		14.80		19.96			40,715		1.15			1.43			0.92	(i)		143
	(0.11)		12.49		31.37			8,626		1.15			7.22			0.90			45

(g) Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.08) and $0.06 for Class A, Class C and Class Y shares, respectively, total returns would have been 15.06%, 14.21% and 15.41% for Class A, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.16%, (0.57)% and 0.42% for Class A, Class C and Class Y shares, respectively.

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

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

(j) From commencement of Class operations on May 1, 2013 through December 31, 2013.

See accompanying notes to financial statements.

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Notes to Financial Statements

December 31, 2013

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

Natixis Funds Trust I:

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

Natixis Oakmark International Fund

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

Natixis Funds Trust II:

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

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

Each Fund is a diversified investment company.

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

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

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries primarily intended for employer-sponsored

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Notes to Financial Statements (continued)

December 31, 2013

retirement plans. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

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

a.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable

|  62

Notes to Financial Statements (continued)

December 31, 2013

securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of December 31, 2013, approximately 84% of the market value of Natixis Oakmark International Fund’s investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received

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Notes to Financial Statements (continued)

December 31, 2013

from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement

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Notes to Financial Statements (continued)

December 31, 2013

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.

e.  Federal and Foreign Income Taxes.  Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2013 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the

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Notes to Financial Statements (continued)

December 31, 2013

United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, distribution redesignations, return of capital and capital gain distributions received, foreign currency gains and losses, distributions in excess of current earnings, passive foreign investment companies adjustment and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, return of capital distributions received and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2013 and 2012 was as follows:

	2013 Distributions Paid From:						2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Target Equity Fund	$	37,213,633	$	39,265,245	$	76,478,878	$	4,402,564	$	23,606,187	$	28,008,751
Large Cap Value Fund		503,341		5,425,590		5,928,931		1,044,791		—		1,044,791
Natixis Oakmark International Fund		1,974,167		6,109,445		8,083,612		1,249,697		—		1,249,697
Small Cap Value Fund		14,068,610		41,806,396		55,875,006		4,733,385		20,063,690		24,797,075
Value Opportunity Fund		4,109,936		19,530,938		23,640,874		4,894,888		1,954,524		6,849,412

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

As of December 31, 2013, the components of distributable earnings on a tax basis were as follows:

	Targeted Equity Fund		Large Cap Value Fund		Natixis Oakmark International Fund		Small Cap Value Fund		Value Opportunity Fund
Undistributed ordinary income	$	15,826,541	$	—	$	558,540	$	2,446,452	$	1,633,290
Undistributed long-term capital gains		1,333,254		4,296,424		760,996		8,365,631		3,862,133
Total undistributed earnings		17,159,795		4,296,424		1,319,536		10,812,083		5,495,423
Unrealized appreciation		91,202,385		52,761,851		42,627,606		87,393,255		88,794,568
Total accumulated earnings	$	108,362,180	$	57,058,275	$	43,947,142	$	98,205,338	$	94,289,991
Capital loss carryforward utilized in the current year	$	—	$	6,087,105	$	1,048,759	$	—	$	—

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Notes to Financial Statements (continued)

December 31, 2013

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2013, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

For the year ended December 31, 2013, none of the Funds had loaned securities under this agreement.

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

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Notes to Financial Statements (continued)

December 31, 2013

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2013, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	577,818,423	$	—	$	—	$	577,818,423
Short-Term Investments		—		10,675,000		—		10,675,000
Total	$	577,818,423	$	10,675,000	$	—	$	588,493,423

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Large Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	161,210,657	$	—	$	—	$	161,210,657
Short-Term Investments		—		8,230,632		—		8,230,632
Total	$	161,210,657	$	8,230,632	$	—	$	169,441,289

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

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Natixis Oakmark International Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	26,784,884	$	—	$	26,784,884
France		—		78,700,676		—		78,700,676
Germany		—		60,439,324		—		60,439,324
Ireland		—		11,216,412		—		11,216,412
Italy		—		18,967,973		—		18,967,973
Japan		—		61,346,763		—		61,346,763
Korea		—		5,733,407		—		5,733,407
Netherlands		14,810,131		25,385,480		—		40,195,611
Sweden		—		22,487,866		—		22,487,866
Switzerland		—		89,953,952		—		89,953,952
United Kingdom		12,112,143		66,811,841		—		78,923,984
All Other Common Stocks(a)		11,597,459		—		—		11,597,459
Total Common Stocks		38,519,733		467,828,578		—		506,348,311
Short-Term Investments		—		51,123,893		—		51,123,893
Total Investments		38,519,733		518,952,471		—		557,472,204
Forward Foreign Currency Contracts (unrealized appreciation)		—		20,370		—		20,370
Total	$	38,519,733	$	518,972,841	$	—	$	557,492,574

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(746,718	)	$	—	$	(746,718	)

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

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	337,483,878	$	—	$	—	$	337,483,878
Closed End Investment Companies		8,262,606		—		—		8,262,606
Short-Term Investments		—		4,393,645		—		4,393,645
Total	$	345,746,484	$	4,393,645	$	—	$	350,140,129

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	434,078,215	$	—	$	—	$	434,078,215
Closed End Investment Companies		6,967,173		—		—		6,967,173
Short-Term Investments		—		12,338,308		—		12,338,308
Total	$	441,045,388	$	12,338,308	$	—	$	453,383,696

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

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

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 contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes.

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Notes to Financial Statements (continued)

December 31, 2013

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of December 31, 2013, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	20,370
Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(746,718	)

Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2013, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Foreign currency transactions1
Foreign exchange contracts	$	1,628,302
Net Change in Unrealized Appreciation (Depreciation) on:	Foreign currency translations1
Foreign exchange contracts	$	(1,075,141	)

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

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does 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 these disclosures.

The Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain, master netting provisions in the event of a default or other termination event. 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, to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statement of Assets and Liabilities.

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Notes to Financial Statements (continued)

December 31, 2013

As of December 31, 2013, gross amounts of derivative assets and liabilities not offset in the Statement of Assets & Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Natixis Oakmark International Fund

Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Amount
State Street Bank and Trust Company	$	20,370		$	(20,370	)	$	—
Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Amount
State Street Bank and Trust Company	$	(746,718	)	$	20,370		$	(726,348	)

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 and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the maximum amount of loss the Fund would incur if the counterparty failed to meet its obligations is $20,370 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2013:

Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		8.31	%
Highest Notional Amount Outstanding		11.93	%
Lowest Notional Amount Outstanding		6.01	%
Notional Amount Outstanding as of December 31, 2013		7.74	%

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

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

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Notes to Financial Statements (continued)

December 31, 2013

5.  Purchases and Sales of Securities.  For the year ended December 31, 2013, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	1,136,482,110	$	1,214,971,936
Large Cap Value Fund		41,652,800		57,771,161
Natixis Oakmark International Fund		437,708,044		41,831,229
Small Cap Value Fund		191,546,889		275,806,382
Value Opportunity Fund		270,060,081		119,436,641

6. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $300 million			Next $500 million			Next $1 billion			Over $2 billion
Targeted Equity Fund		0.75	%		0.70	%		0.65	%		0.65	%		0.60	%
Large Cap Value Fund		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Value Opportunity Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%

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

Large Cap Value Fund	Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund	Harris
Small Cap Value Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Value Opportunity Fund	Vaughan Nelson

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Notes to Financial Statements (continued)

December 31, 2013

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

			Percentage of Average Daily Net Assets
Fund	Subadviser		First $250 Million			Over $250 Million
Large Cap Value Fund		Harris		0.45	%		0.40	%
Natixis Oakmark International Fund		Harris		0.60	%		0.60	%
Small Cap Value Fund		Vaughan Nelson		0.55	%		0.55	%
Value Opportunity Fund		Vaughan Nelson		0.50	%		0.50	%

Payments to NGAM Advisors are reduced by the amount of payments to the subadvisers, as calculated based on the table above.

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

For the year ended December 31, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class N			Class Y
Large Cap Value Fund		1.30	%		2.05	%		2.05	%		—			1.05	%
Natixis Oakmark International Fund		1.45	%		—			2.20	%		—			—
Small Cap Value Fund		1.45	%		2.20	%		2.20	%		—			1.20	%
Value Opportunity Fund		1.40	%		—			2.15	%		1.10	%		1.15	%

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

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Targeted Equity Fund	$	4,052,633	$	—	$	4,052,633		0.71	%		0.71	%
Large Cap Value Fund		1,064,864		—		1,064,864		0.70	%		0.70	%
Natixis Oakmark International Fund		1,891,496		—		1,891,496		0.85	%		0.85	%
Small Cap Value Fund		3,031,921		—		3,031,921		0.90	%		0.90	%
Value Opportunity Fund		2,480,359		—		2,480,359		0.80	%		0.80	%

For the period ended December 31, 2013 class specific expenses have been reimbursed as follows:

Fund	Reimbursement1 Class N
Value Opportunity Fund	$	20

¹  Expense reimbursements are subject to possible recovery until December 31, 2014.

For the year ended December 31, 2013, expense reimbursements related to the prior fiscal year were recovered as follows:

Fund	Recovered Expenses
Large Cap Value Fund	$	2,299
Natixis Oakmark International Fund		101,206

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

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

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

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Notes to Financial Statements (continued)

December 31, 2013

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

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

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

For the year ended December 31, 2013, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	1,193,175	$	6,905	$	91,318	$	20,715	$	273,955
Large Cap Value Fund		321,486		4,567		17,755		13,700		53,263
Natixis Oakmark International Fund		275,855		—		280,467		—		841,402
Small Cap Value Fund		378,960		6,576		72,775		19,727		218,323
Value Opportunity Fund		117,078		—		25,468		—		76,403

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

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Targeted Equity Fund	$	251,461
Large Cap Value Fund		67,152
Natixis Oakmark International Fund		98,162
Small Cap Value Fund		148,719
Value Opportunity Fund		136,839

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

For the year ended December 31, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were the following:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	208,556
Large Cap Value Fund		54,434
Natixis Oakmark International Fund		160,744
Small Cap Value Fund		294,608
Value Opportunity Fund		275,125

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Notes to Financial Statements (continued)

December 31, 2013

As of December 31, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Targeted Equity Fund	$	2,644
Large Cap Value Fund		719
Natixis Oakmark International Fund		3,793
Small Cap Value Fund		3,213
Value Opportunity Fund		3,878

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2013, were as follows:

Fund	Commissions
Targeted Equity Fund	$	137,517
Large Cap Value Fund		34,710
Natixis Oakmark International Fund		1,423,008
Small Cap Value Fund		24,744
Value Opportunity Fund		87,029

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

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Notes to Financial Statements (continued)

December 31, 2013

on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2014, the Chairperson of the Board will receive a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $130,000. All other Trustee fees will remain unchanged.

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

g.  Affiliated Ownership.  At December 31, 2013, Natixis US held shares of Value Opportunity Fund representing less than 0.01% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the period from May 1, 2013 through December 31, 2013, Value Opportunity Fund incurred the following class-specific expenses (including sub-transfer agent fees, where applicable):

	Class A		Class C		Class Y		Class N
Transfer Agent Fees and Expenses	$	42,906	$	9,270	$	232,759	$	20

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

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

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Notes to Financial Statements (continued)

December 31, 2013

During the year ended December 31, 2013, Small Cap Value Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $20,519,304 at a weighted average interest rate of 1.42%. Interest expense incurred was $2,428.

9.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2013, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	295,793

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

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2013, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:

Fund	Number of > 5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Large Cap Value Fund		1		6.41	%		—			6.41	%
Small Cap Value Fund		2		13.22	%		—			13.22	%
Value Opportunity Fund		1		9.24	%		0.00	%*		9.24	%

Omnibus shareholders accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

* Represents less than 0.01%.

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Notes to Financial Statements (continued)

December 31, 2013

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

	Year Ended December 31, 2013					Year Ended December 31, 2012
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,458,995		$	16,947,507		1,244,172		$	12,681,069
Issued in connection with the reinvestment of distributions	5,498,306			61,361,100		2,186,579			22,106,299
Redeemed	(6,773,819	)		(79,452,307	)	(14,333,293	)		(145,957,912	)
Net change	183,482		$	(1,143,700	)	(10,902,542	)	$	(111,170,544	)
Class B
Issued from the sale of shares	9,622		$	104,266		11,137		$	102,054
Issued in connection with the reinvestment of distributions	31,669			307,820		17,902			161,835
Redeemed	(197,033	)		(2,058,965	)	(282,048	)		(2,571,222	)
Net change	(155,742	)	$	(1,646,879	)	(253,009	)	$	(2,307,333	)
Class C
Issued from the sale of shares	346,867		$	3,419,390		354,260		$	3,184,715
Issued in connection with the reinvestment of distributions	357,986			3,454,570		128,372			1,154,067
Redeemed	(902,542	)		(9,267,379	)	(2,275,351	)		(20,591,593	)
Net change	(197,689	)	$	(2,393,419	)	(1,792,719	)	$	(16,252,811	)
Class Y
Issued from the sale of shares	1,018,288		$	12,174,489		2,271,561		$	24,317,133
Issued in connection with the reinvestment of distributions	385,629			4,442,449		177,324			1,838,849
Redeemed	(1,924,481	)		(23,394,134	)	(3,636,450	)		(37,293,303	)
Net change	(520,564	)	$	(6,777,196	)	(1,187,565	)	$	(11,137,321	)
Increase (decrease) from capital share transactions	(690,513	)	$	(11,961,194	)	(14,135,835	)	$	(140,868,009	)

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12.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
Large Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	594,097		$	11,371,063		571,312		$	8,808,474
Issued in connection with the reinvestment of distributions	206,364			4,393,477		48,834			781,803
Redeemed	(1,091,588	)		(20,603,657	)	(1,333,266	)		(20,652,590	)
Net change	(291,127	)	$	(4,839,117	)	(713,120	)	$	(11,062,313	)
Class B
Issued from the sale of shares	2,215		$	39,142		5,514		$	79,569
Issued in connection with the reinvestment of distributions	2,720			52,955		—			—
Redeemed	(71,336	)		(1,232,916	)	(122,644	)		(1,722,972	)
Net change	(66,401	)	$	(1,140,819	)	(117,130	)	$	(1,643,403	)
Class C
Issued from the sale of shares	77,627		$	1,397,844		44,036		$	614,371
Issued in connection with the reinvestment of distributions	10,127			196,273		374			5,481
Redeemed	(63,084	)		(1,112,010	)	(82,147	)		(1,165,567	)
Net change	24,670		$	482,107		(37,737	)	$	(545,715	)
Class Y
Issued from the sale of shares	423,721		$	8,459,458		446,523		$	7,104,087
Issued in connection with the reinvestment of distributions	20,978			462,557		6,927			114,635
Redeemed	(532,575	)		(11,013,447	)	(254,239	)		(4,048,313	)
Net change	(87,876	)	$	(2,091,432	)	199,211		$	3,170,409
Increase (decrease) from capital share transactions	(420,734	)	$	(7,589,261	)	(668,776	)	$	(10,081,022	)

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December 31, 2013

12.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	21,056,422		$	277,082,046		2,642,366		$	26,019,184
Issued in connection with the reinvestment of distributions	319,731			4,302,790		74,189			751,291
Redeemed	(1,725,547	)		(21,871,254	)	(3,366,763	)		(32,086,386	)
Net change	19,650,606		$	259,513,582		(650,208	)	$	(5,315,911	)
Class C
Issued from the sale of shares	14,898,386		$	188,703,775		1,911,903		$	18,721,734
Issued in connection with the reinvestment of distributions	162,333			2,145,259		39,078			395,921
Redeemed	(684,178	)		(8,561,081	)	(362,158	)		(3,471,848	)
Net change	14,376,541		$	182,287,953		1,588,823		$	15,645,807
Increase (decrease) from capital share transactions	34,027,147		$	441,801,535		938,615		$	10,329,896
Small Cap Value Fund
Class A
Issued from the sale of shares	599,022		$	13,053,903		905,472		$	16,716,388
Issued in connection with the reinvestment of distributions	912,982			19,850,490		438,554			8,273,160
Redeemed	(3,131,075	)		(66,811,043	)	(5,765,681	)		(110,211,901	)
Net change	(1,619,071	)	$	(33,906,650	)	(4,421,655	)	$	(85,222,353	)
Class B
Issued from the sale of shares	11,456		$	209,832		16,274		$	256,874
Issued in connection with the reinvestment of distributions	25,074			431,817		16,395			255,633
Redeemed	(108,007	)		(1,942,239	)	(147,930	)		(2,337,894	)
Net change	(71,477	)	$	(1,300,590	)	(115,261	)	$	(1,825,387	)
Class C
Issued from the sale of shares	129,833		$	2,289,227		87,893		$	1,380,808
Issued in connection with the reinvestment of distributions	252,715			4,356,398		100,469			1,566,065
Redeemed	(320,688	)		(5,693,761	)	(502,562	)		(7,960,221	)
Net change	61,860		$	951,864		(314,200	)	$	(5,013,348	)
Class Y
Issued from the sale of shares	1,039,846		$	23,037,927		1,264,819		$	24,842,034
Issued in connection with the reinvestment of distributions	785,493			17,359,014		390,474			7,473,169
Redeemed	(1,527,529	)		(34,014,037	)	(1,978,724	)		(38,272,158	)
Net change	297,810		$	6,382,904		(323,431	)	$	(5,956,955	)
Increase (decrease) from capital share transactions	(1,330,878	)	$	(27,872,472	)	(5,174,547	)	$	(98,018,043	)

83  |

Notes to Financial Statements (continued)

December 31, 2013

12.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,783,255		$	33,448,462		1,004,548		$	15,213,332
Issued in connection with the reinvestment of distributions	173,512			3,452,669		61,029			941,234
Redeemed	(506,160	)		(9,482,644	)	(774,396	)		(11,761,310	)
Net change	1,450,607		$	27,418,487		291,181		$	4,393,256
Class C
Issued from the sale of shares	851,169		$	15,880,914		126,208		$	1,867,002
Issued in connection with the reinvestment of distributions	45,963			896,367		5,492			83,139
Redeemed	(53,768	)		(967,373	)	(62,517	)		(925,300	)
Net change	843,364		$	15,809,908		69,183		$	1,024,841
Class N*
Issued from the sale of shares	57		$	1,892		—		$	—
Issued in connection with the reinvestment of distributions	3			61		—			—
Redeemed	—			—		—			—
Net change	60		$	1,953		—		$	—
Class Y
Issued from the sale of shares	9,218,173		$	175,491,968		5,743,517		$	87,929,210
Issued in connection with the reinvestment of distributions	775,935			15,564,482		280,268			4,346,477
Redeemed	(3,139,077	)		(59,799,281	)	(3,392,058	)		(51,285,742	)
Net change	6,855,031		$	131,257,169		2,631,727		$	40,989,945
Increase (decrease) from capital share transactions	9,149,062		$	174,487,517		2,992,091		$	46,408,042

* From commencement of Class operations on May 1, 2013 through December 31, 2013.

13.  Subsequent Event.  Effective at the close of business on February 28, 2014, Harris Associates Large Cap Value Fund will change its name to Natixis Oakmark Fund and the Fund’s principal investment strategies will be amended and restated as described in the Supplement dated December 16, 2013 to the Prospectus and Summary Prospectus of Harris Associates Large Cap Value Fund.

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Report of Independent Registered Public

Accounting Firm

To the Trustees of Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of CGM Advisor Targeted Equity Fund, Harris Associates Large Cap Value Fund, Natixis Oakmark International Fund, Vaughan Nelson Small Cap Value Fund and Vaughan Nelson Value Opportunity Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, Natixis Oakmark International Fund, and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; and the Harris Associates Large Cap Value Fund and Vaughan Nelson Value Opportunity Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2013, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 24, 2014

85  |

2013 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2013, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Targeted Equity		8.10	%
Large Cap Value		100.00	%
Small Cap Value		33.13	%
Value Opportunity		43.11	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2013.

Fund	Amount
Targeted Equity	$	39,265,245
Large Cap Value		5,425,590
Natixis Oakmark International		6,109,445
Small Cap Value		41,806,396
Value Opportunity		19,530,938

Qualified Dividend Income.  For the fiscal year ended December 31, 2013, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2013, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Targeted Equity		14.82	%
Large Cap Value		100.00	%
Natixis Oakmark International		100.00	%
Small Cap Value		21.98	%
Value Opportunity		68.31	%

Foreign Tax Credit.  For the year ended December 31, 2013, the Natixis Oakmark International Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:

Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
Natixis Oakmark International	$	348,312	$	4,839,589

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Daniel M. Cain (1945)	Trustee Since 1996 Chairman of the Contract Review and Governance Committee	Chairman of Cain Brothers & Company, Incorporated (investment banking)	42 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee Since 2008 Chairman of the Audit Committee	Retired	42 None	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

87  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Edmond J. English (1953)	Trustee Since 2013 Contract Review and Governance Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)
Wendell J. Knox (1948)	Trustee Since 2009 Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee Since 2012 Contract Review and Governance Committee Member	Chancellor and faculty member, University of Massachusetts Lowell	42 None	Experience on the Board and on the board of other business organizations; experience as Chancellor of the University of Massachusetts Lowell; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee Since 1982 for Natixis Funds Trust I (including its predecessors); and since 1993 for Natixis Funds Trust II Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	42 Director, Verizon Communications (telecommunications company); Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

89  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee Since 2009 Audit Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	42 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee Since 2009 Audit Committee Member	Retired	42 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee Since 2005 Contract Review and Governance Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	42 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	42 None	Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee Since 2011 President and Chief Executive Officer	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	42 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
John T. Hailer5 (1960)	Trustee Since 2000	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	42 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

²  The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

91  |

Trustee and Officer Information

³  Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. and Director of Loomis Sayles Investment Asia Pte., Ltd.

⁴  Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵ Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUSTS
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

93  |

ANNUAL REPORT

December 31, 2013

ASG Diversifying Strategies Fund

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

TABLE OF CONTENTS

Barron’s/Lipper 2013 one-year fund family ranking based on 64 qualifying U.S. fund companies. Each fund family must have at least three funds in Lipper’s general U.S.-stock category, one world (global and international), one mixed-asset/balanced (stocks and bonds), two taxable bond and one tax-exempt bond fund. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

ASG DIVERSIFYING STRATEGIES FUND

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

Objective

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

Market Conditions

The resolution of the fiscal cliff in the United States provided a better foundation for growth in 2013, while Japan’s announcement of a new inflation target raised expectations in that country for further stimulus. Equities began the year strongly and, with the benefit of monetary stimulus, continued this trend into the second quarter. These gains in global equities were primarily driven by developed markets, while emerging markets lagged in performance. However, markets retreated after the U.S. Federal Reserve (the Fed) hinted that it might taper its monthly asset purchases, a program known as quantitative easing (QE), before year end. Emerging markets came under pressure, notably in China where interbank rates rose to record levels. Meanwhile, Europe pulled back in response to the financial collapse in Cyprus during March. The threat of tighter monetary conditions drove industrial and precious metal prices lower.

Macro indicators in developed markets turned positive during the second half of 2013, with employment, housing, and manufacturing data suggesting improvements in the economic environment. Consequently, bond yields in developed markets began to rise. During the third quarter, growth in the U.S. economy exceeded expectations and growth in the European economy, albeit slow, turned positive for the year. Japan continued making progress towards its inflation goals with extraordinary stimulus measures that weakened the yen considerably, improving corporate growth and propelling a large year-end rally in the Japanese equity market. As the year came to an end, the biggest news of the fourth quarter concerned the anticipated Fed tapering. Investors had been expecting tapering to begin in 2014. However, the December announcement of a small reduction in the monthly amount of its QE provided more explicit forward guidance, which eased investor concerns about the prospects for a sharp rise in rates. Consequently, equities reached new highs at the end of the year.

1  |

Performance Results

For the 12 months ended December 31, 2013, Class A shares of ASG Diversifying Strategies Fund returned -8.11% at net asset value. Although the fund does not seek to track an index, the 3-month London Interbank Offered Rate (LIBOR) can be used as a benchmark for performance analysis. Over the same period, this benchmark returned 0.29%. It is important to note that there are material differences between the fund and this benchmark.

Explanation of Fund Performance

The fund determines its positions using multiple quantitative investment models and strategies, which may involve a broad range of market exposures, including exposure to the returns of equity and fixed-income markets, currencies and commodities. The fund typically makes extensive use of futures and forward contracts, to capture these exposures, while also managing volatility and correlation.

For the year, the fund’s performance was dominated by losses in fixed-income, which subtracted approximately 7.9%. Foreign currencies and commodities also performed negatively, returning about -2.2% and -0.4%, respectively. Gains in equities of around 2.4% failed to compensate for performance in the other asset classes. The strongest positive contributors during 2013 were the Russell 2000^® Index, the VIX and the Dow Jones Industrial Average. Conversely, the largest detractors from performance were the S&P 500^® Index hedge, as well as U.S. and Japanese government bonds.

By design, ASG Diversifying Strategies Fund is actively managed to a low-to-negative correlation with global equity markets so as to improve diversification for investors with significant equity exposure. Specifically, when the trailing 12-month equity correlation of its holdings would otherwise be too high, the fund takes short positions in futures on global stock indicies to lower the correlation. (Such short positions decline in value when stock indicies rise.) Buoyant stock markets, particularly in the United States, and rising sovereign bond yields will usually be a challenging environment for such strategies. In this case, the correlation control mechanism had a negative impact on performance overall, as exposure to rising stock market indicies was reduced. Moreover, speculation about a tapering of central banks’ QE also proved challenging for most of our fixed-income strategies, both for our trend-following and relative-value signals. Such periods of challenging performance are not unexpected, given the fund’s mandate and recent market conditions.

The fund’s realized annualized volatility in 2013 was 9%, which is consistent with our risk management objectives. We continued to scale the size of the fund’s positions to keep total portfolio risk at or below its target. As market volatility increased, position sizes were reduced, and as market volatility decreased, position sizes were increased. The correlation with the S&P 500^® Index was 47% in 2013 and 18% since inception. Given low interest rates, the fund’s money market allocation contributed only slightly to fund performance.

Outlook

Despite higher interest rates, the global economy continues to recover, with developed economies beginning 2014 in better condition than the previous year. Going forward, the

|  2

ASG DIVERSIFYING STRATEGIES FUND

fiscal drag from budgetary issues in the United States is expected to be less of an issue and the gradual reduction in QE is expected to continue with the appointment of Janet Yellen as the new Chairperson of the Fed. In Japan, it is anticipated that the monetary stimulus will continue with a possible increase to combat the nation’s consumption tax hike scheduled for April. In the United Kingdom and Europe, rates are expected to remain low although further stimulus is unlikely unless inflation remains well below target. Pressure on the European Central Bank for additional easing will be further alleviated if peripheral European economies remain on a positive trajectory, with yield spreads relative to Germany continuing to narrow.

Uncertainty associated with European debt and equity markets may increase if and when nations attempt to exit the constraining safety of the European bailout programs. If the peripheral nations falter, a strain could be put on markets globally. The performance of emerging markets appears likely to continue to lag that of developed markets in 2014. Rising rates are pressuring the equity and bond markets of several emerging economies, and those with large current account deficits have seen their currencies weaken. Liquidity issues may persist in China, particularly if growth moderates. For the U.S. equity market, it will be important to see if valuations are still viewed as attractive and if the economy will be able to maintain its momentum as extraordinary stimulus measures are progressively reduced. An accelerated reduction in stimulus would likely have a negative impact on asset prices even if prompted by economic activity that exceeds expectations.

Consistent with the fund’s investment objective, we will continue to seek to identify diversifying return opportunities across models and asset classes, while maintaining a low correlation to global equity markets.

Growth of $10,000 Investment in Class A Shares⁴

August 3, 2009 (inception) through December 31, 2013

3  |

Average Annual Total Returns—December 31, 2013⁴

	1 Year			Life of Fund
Class A (Inception 8/3/09)
NAV		-8.11	%		-0.93	%
With 5.75% Maximum Sales Charge		-13.40			-2.25
Class C (Inception 8/3/09)
NAV		-8.93			-1.69
With CDSC1		-9.84			-1.69
Class Y (Inception 8/3/09)
NAV		-7.96			-0.71
Comparative Performance
3-Month LIBOR2		0.29			0.36
Barclay Fund of Funds Index3		8.30			3.48

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

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

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

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

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

|  4

ASG GLOBAL ALTERNATIVES FUND

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

Objective

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

Market Conditions

The resolution of the fiscal cliff in the United States provided a better foundation for growth in 2013, while Japan’s announcement of a new inflation target raised expectations in that country for further stimulus. Equities began the year strongly and, with the benefit of monetary stimulus, continued this trend into the second quarter. These gains in global equities were primarily driven by developed markets, while emerging markets lagged in performance. However, markets retreated after the U.S. Federal Reserve (the Fed) hinted that it might taper its monthly asset purchases, a program known as quantitative easing (QE), before year end. Emerging markets came under pressure, notably in China, where interbank rates rose to record levels. Meanwhile, Europe pulled back in response to the financial collapse in Cyprus during March. The threat of tighter monetary conditions drove industrial and precious metal prices lower.

Macro indicators in developed markets turned positive during the second half of 2013, with employment, housing, and manufacturing data suggesting improvements in the economic environment. Consequently, bond yields in developed markets began to rise. During the third quarter, growth in the U.S. economy exceeded expectations and growth in the European economy, albeit slow, turned positive for the year. Japan continued making progress towards its inflation goals with extraordinary stimulus measures that weakened the yen considerably, improving corporate growth and propelling a large year end rally in the Japanese equity market. As the year came to an end, the biggest news of the fourth quarter concerned the anticipated Fed tapering. Investors had been expecting tapering to begin in 2014. However, the December announcement of a small reduction in the monthly amount of its QE provided more explicit forward guidance, which eased investor concerns about the prospects for a sharp rise in rates. Consequently, equities reached new highs at the end of the year.

5  |

Performance Results

For the 12 months ended December 31, 2013, Class A shares of ASG Global Alternatives Fund returned 15.69% at net asset value. Although the fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. This benchmark returned 8.30% for the same period. It is important to note that there are material differences between the fund and this benchmark.

Explanation of Fund Performance

The fund seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as estimated by a proprietary, systematic process. When the fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying market rises and suffers losses when the price falls. When the fund takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying market rises and profits as the price falls. The fund typically makes extensive use of futures and forward contracts on global stock indicies, fixed-income securities, currencies and commodities. As market events unfold, these exposures result in a profit or loss for the fund.

In 2013, the fund’s largest gains came from exposure to stocks and foreign exchange. This performance was partially offset by losses resulting from exposure to bonds and oil. At a finer level of detail, the strongest contributors to performance were U.S. stocks, German stocks, the Japanese yen, Japanese stocks and UK stocks. The largest detractors from performance were the U.S. 10-year bond, crude oil, German bonds, the euro and the Swiss franc. At times during the period the fund had short exposure to various bonds, currencies and commodities, which contributed positively overall to the fund’s returns. Short-term interest rates remained low, so the fund’s money market allocation contributed only slightly to fund performance.

The fund’s portfolio is adjusted on a monthly basis to incorporate new information about hedge funds’ exposures, and, on a daily basis, to control risk. The risk control mechanism is designed to produce an average annual volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The fund’s realized volatility in 2013 was 6.6%, which is consistent with our risk management objectives. As the year progressed, the fund closed out most of its long exposure to fixed-income markets, as hedge fund managers appeared to reposition their portfolios in anticipation of rising rates.

Outlook

Despite higher interest rates, the global economy continues to recover, with developed economies beginning 2014 in better condition than the previous year. Going forward, the fiscal drag from budgetary issues in the United States is expected to be less of an issue and the gradual reduction in QE is expected to continue with the appointment of Janet Yellen as the new Chairman of the Fed. In Japan, it is anticipated that the monetary stimulus will continue with a possible increase to combat the nation’s consumption tax hike scheduled for April. In the United Kingdom and Europe, rates are expected to remain low although further stimulus is unlikely unless inflation remains well below target. Pressure on the European Central Bank for additional easing will be further alleviated if peripheral

|  6

ASG GLOBAL ALTERNATIVES FUND

European economies remain on a positive trajectory, with yield spreads relative to Germany continuing to narrow.

Uncertainty associated with European debt and equity markets may increase if and when nations attempt to exit the constraining safety of the European bailout programs. If the peripheral nations falter, a strain could be put on markets globally. The performance of emerging markets appears likely to continue to lag that of developed markets in 2014. Rising rates are pressuring the equity and bond markets of several emerging economies, and those with large current account deficits have seen their currencies weaken. Liquidity issues may persist in China, particularly if growth moderates. For the U.S. equity market, it will be important to see if valuations are still viewed as attractive and if the economy will be able to maintain its momentum as extraordinary stimulus measures are progressively reduced. An accelerated reduction in stimulus would likely have a negative impact on asset prices even if prompted by economic activity that exceeds expectations.

Consistent with the fund’s investment objective, we will continue to seek exposure to the liquid, broad asset class exposures suggested by the returns of the hedge fund industry.

Growth of $10,000 Investment in Class A Shares³

September 30, 2008 (inception) through December 31, 2013

7  |

Average Annual Total Returns—December 31, 2013³

	1 Year			5 Year			Life of Class
Class A (Inception 9/30/08)							Class A/C/Y	Class N
NAV		15.69	%		6.17	%	5.31%	—
With 5.75% Maximum Sales Charge		9.01			4.93		4.13	—
Class C (Inception 9/30/08)
NAV		14.86			5.38		4.54	—
With CDSC1		13.86			5.38		4.54	—
Class N (Inception 5/1/13)
NAV		—			—		—	8.05%
Class Y (Inception 9/30/08)
NAV		16.05			6.42		5.58	—
Comparative Performance
Barclay Fund of Funds Index2		8.30			4.22		1.82	4.01

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

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

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

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

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ASG MANAGED FUTURES STRATEGY FUND

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

Objective

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

Market Conditions

The resolution of the fiscal cliff in the United States provided a better foundation for growth in 2013, while Japan’s announcement of a new inflation target raised expectations in that country for further stimulus. Equities began the year strongly and, with the benefit of monetary stimulus, continued this trend into the second quarter. These gains in global equities were primarily driven by developed markets, while emerging markets lagged in performance. However, markets retreated after the U.S. Federal Reserve (the Fed) hinted that it might taper its monthly asset purchases, a program known as quantitative easing (QE), before year end. Emerging markets came under pressure, notably in China where interbank rates rose to record levels. Meanwhile, Europe pulled back in response to the financial collapse in Cyprus during March. The threat of tighter monetary conditions drove industrial and precious metal prices lower.

Macro indicators in developed markets turned positive during the second half of 2013, with employment, housing, and manufacturing data suggesting improvements in the economic environment. Consequently, bond yields in developed markets began to rise. During the third quarter, growth in the U.S. economy exceeded expectations and growth in the European economy, albeit slow, turned positive for the year. Japan continued making progress towards its inflation goals with extraordinary stimulus measures that weakened the yen considerably, improving corporate growth and propelling a large year-end rally in the Japanese equity market. As the year came to an end, the biggest news of the fourth quarter concerned the anticipated Fed tapering. Investors had been expecting tapering to begin in 2014. However, the December announcement of a small reduction in the amount of its QE provided more explicit forward guidance, which eased investor concerns about the prospects for a sharp rise in rates. Consequently, equities reached new highs at the end of the year.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of ASG Managed Futures Strategy Fund returned 12.51% at net asset value. Although the fund does not seek to track any particular index, the FTSE StableRisk Trend Composite Index may be used as a benchmark for performance. Over the same period, the benchmark returned -1.30%. It is important to note that there are material differences between the fund and this benchmark.

9  |

Explanation of Fund Performance

The fund uses a set of proprietary systematic models to identify and follow trends in global stock, fixed-income, currency and commodity markets. When the fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying market rises and suffers losses when the price falls. When the fund takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying market rises and profits as the price falls. The fund typically makes extensive use of futures and forward contracts to capture these exposures.

For the year, the fund’s performance was dominated by gains in global equity markets, which added approximately 22.7%. Additional gains were contributed by precious metals and agricultural commodities. Partially offsetting the gains was exposure to foreign currencies, fixed income, and energy contracts, which returned about -2.7%, -6.0%, and -1.7%, respectively. The strongest individual positive contributors to performance during 2013 were the Japanese TOPIX, the Japanese NIKKEI 225 and the U.S. NASDAQ 100 contracts. The largest individual detractors from performance were the German Euro-Schatz note, the Indian SGX Nifty Fifty Index and the German bundesobligation (Bobl) note.

Buoyant stock markets, particularly in the United States, Japan, and Europe, combined with strong trends in precious metals, agricultural commodities and certain currencies, to provide a rewarding environment for trend following. However, strong reversals in fixed-income markets, particularly in May and June, and range-bound energy and base metal markets somewhat dampened overall fund performance. Across the fund’s trend models, both long- and short-horizon trends contributed positively overall, with long-term trends performing best in currency markets, while short-term trends performed best in commodity markets.

The fund’s realized annualized volatility in 2013 was 10.9%, which is consistent with our risk management objectives. We continued to scale the size of the fund’s positions to keep total portfolio risk at or below its target. As market volatility increased, positions were reduced, and as market volatility decreased, positions were increased. The correlation with the S&P 500^® Index was 51% in 2013 and 21% since inception. The correlation with the JP Morgan Global Bond Index was 6% in 2013 and 19% since inception. Given low interest rates, the fund’s money market allocation contributed only slightly to fund performance.

Outlook

Despite higher interest rates, the global economy continues to recover, with developed economies beginning 2014 in better condition than the previous year. Going forward, the fiscal drag from budgetary issues in the United States is expected to be less of an issue and the gradual reduction in QE is expected to continue with the appointment of Janet Yellen as the new Chairperson of the U.S. Federal Reserve. In Japan, it is anticipated that the monetary stimulus will continue with a possible increase to combat the nation’s consumption tax hike scheduled for April. In the United Kingdom and Europe, rates are expected to remain low although further stimulus is unlikely unless inflation remains well below target. Pressure on the European Central Bank for additional easing will be further

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ASG MANAGED FUTURES STRATEGY FUND

alleviated if peripheral European economies remain on a positive trajectory, with yield spreads relative to Germany continuing to narrow.

Uncertainty associated with European debt and equity markets may increase if and when nations attempt to exit the constraining safety of the European bailout programs. If the peripheral nations falter, a strain could be put on markets globally. The performance of emerging markets appears likely to continue to lag that of developed markets in 2014. Rising rates are pressuring the equity and bond markets of several emerging economies, and those with large current account deficits have seen their currencies weaken. Liquidity issues may persist in China, particularly if growth moderates. For the U.S. equity market, it will be important to see if valuations are still viewed as attractive and if the economy will be able to maintain its momentum as extraordinary stimulus measures are progressively reduced. An accelerated reduction in stimulus would likely have a negative impact on asset prices even if prompted by economic activity that exceeds expectations.

Consistent with the fund’s investment objective, we will continue to seek long positions in assets whose prices are trending up and short positions in assets whose prices are trending down.

Growth of $10,000 Investment in Class A Shares³

July 30, 2010 (inception) through December 31, 2013

11  |

Average Annual Total Returns—December 31, 2013³

	1 Year			Life of Fund
Class A (Inception 7/30/10)
NAV		12.51	%		3.84	%
With 5.75% Maximum Sales Charge		6.00			2.06
Class C (Inception 7/30/10)
NAV		11.57			3.03
With CDSC1		10.57			3.03
Class Y (Inception 7/30/10)
NAV		12.75			4.05
Comparative Performance
FTSE StableRisk Trend Composite Index2		-1.30			-4.57

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

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

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

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

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ASG TACTICAL U.S. MARKET FUND

Managers	Symbols
Andrew W. Lo, PhD	Class A    USMAX
Jeremiah H. Chafkin	Class C    USMCX
Alexander D. Healy, PhD	Class Y    USMYX
AlphaSimplex Group, LLC (Adviser)
Kevin H. Maeda
Serena V. Stone, CFA
Active Investment Advisors, a division of NGAM Advisors, L.P.
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

Seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions.

Market Conditions

The resolution of the fiscal cliff in the United States provided a better foundation for growth in 2013, while Japan’s announcement of a new inflation target raised expectations in that country for further stimulus. Equities began the year strongly and, with the benefit of monetary stimulus, continued this trend into the second quarter. These gains in global equities were primarily driven by developed markets, while emerging markets lagged in performance. However, markets retreated after the U.S. Federal Reserve (the Fed) hinted that it might taper its monthly asset purchases, a program known as quantitative easing (QE), before year end. Emerging markets came under pressure, notably in China where interbank rates rose to record levels. Meanwhile, Europe pulled back in response to the financial collapse in Cyprus during March. The threat of tighter monetary conditions drove industrial and precious metal prices lower.

Macro indicators in developed markets turned positive during the second half of 2013, with employment, housing, and manufacturing data suggesting improvements in the economic environment. Consequently, bond yields in developed markets began to rise. During the third quarter, growth in the U.S. economy exceeded expectations and growth in the European economy, albeit slow, turned positive for the year. Japan continued making progress towards its inflation goals with extraordinary stimulus measures that weakened the yen considerably, improving corporate growth and propelling a large year-end rally in the Japanese equity market. As the year came to an end, the biggest news of the fourth quarter concerned the anticipated Fed tapering. Investors had been expecting tapering to begin in 2014. However, the December announcement of a small reduction in the monthly amount of its QE provided more explicit forward guidance, which eased investor concerns about the prospects for a sharp rise in rates. Consequently, equities reached new highs at the end of the year.

Performance Results

For the three months from the fund’s inception on September 30, 2013 through December 31, 2013, Class A shares of ASG Tactical U.S. Market Fund returned 12.96% at net asset value. The fund’s benchmark, the S&P 500^® Index, returned 10.51% over the same period. The fund’s outperformance relative to its benchmark was largely the result of

13  |

the manager’s decision to maintain increased market exposure during this period of strong equity market performance.

Explanation of Fund Performance

The fund’s strategy is to manage a core portfolio of large capitalization U.S. equities and exchange-traded funds, together with an overlay of futures contracts that is designed to increase or decrease the portfolio’s overall exposure to U.S. equity markets based on a proprietary risk-of-loss model. During periods when the risk-of-loss in the U.S. equity market appears high, the futures overlay is employed to reduce the portfolio’s overall sensitivity to the market, and during more favorable periods the overlay is employed to increase the portfolio’s market participation.

During the period from September 30, 2013 through December 31, 2013, the core equity portfolio offered performance broadly consistent with the performance of U.S. equity markets. The difference in performance between the fund and its benchmark over this period was primarily the result of long positions in futures contracts on the S&P 500^® Index. These long futures positions were held in order to achieve an overall market exposure approximately 30% greater than that of the benchmark. This increased market exposure was based on the manager’s risk-of-loss index, a proprietary, systematic assessment of recent risk and return in U.S. equity markets. This metric suggested that downside risk in the market was low compared to historical norms and that the risk associated with positions in large-cap U.S. equities was expected to continue to be adequately compensated.

Outlook

Despite higher interest rates, the global economy continues to recover, with developed economies beginning 2014 in better condition than the previous year. Going forward, the fiscal drag from budgetary issues in the United States is expected to be less of an issue and the gradual reduction in QE is expected to continue with the appointment of Janet Yellen as the new Chairman of the Fed. In Japan, it is anticipated that the monetary stimulus will continue with a possible increase to combat the nation’s consumption tax hike scheduled for April. In the United Kingdom and Europe, rates are expected to remain low although further stimulus is unlikely unless inflation remains well below target. Pressure on the European Central Bank for additional easing will be further alleviated if peripheral European economies remain on a positive trajectory, with yield spreads relative to Germany continuing to narrow.

Uncertainty associated with European debt and equity markets may increase if and when nations attempt to exit the constraining safety of the European bailout programs. If the peripheral nations falter, a strain could be put on markets globally. The performance of emerging markets appears likely to continue to lag that of developed markets in 2014. Rising rates are pressuring the equity and bond markets of several emerging economies, and those with large current account deficits have seen their currencies weaken. Liquidity issues may persist in China, particularly if growth moderates. For the U.S. equity market, it will be important to see if valuations are still viewed as attractive and if the economy will be able to maintain its momentum as extraordinary stimulus measures are progressively reduced. An accelerated reduction in stimulus would likely have a negative impact on asset prices even if prompted by economic activity that exceeds expectations.

Consistent with the fund’s investment objective, we will continue to monitor the risk-of-loss in the U.S. equity market and position the portfolio accordingly.

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ASG TACTICAL U.S. MARKET FUND

Total Returns—December 31, 2013⁴

	Life of Fund
Class A (Inception 9/30/13)
NAV		12.96	%
With 5.75% Maximum Sales Charge		6.47
Class C (Inception 9/30/13)
NAV		12.76
With CDSC1		11.76
Class Y (Inception 9/30/13)
NAV		13.06
Comparative Performance
S&P 500® Index2		10.51
Barclay Equity Long/Short Index3		4.95

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

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

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

3 The Barclay Equity Long/Short Index is comprised of roughly 400 equity-oriented hedge funds which hold both long and short stock positions and tend to tactically vary their net market exposure, i.e., market beta, based on their assessment of market risk and expected return. Index returns are recalculated by Barclay Hedge Ltd. Throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Equity Long/Short Index returns reported by the fund may differ from the index returns for the same period published by others.

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

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2013 through December 31, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$983.40		$8.80
Hypothetical (5% return before expenses)		$1,000.00		$1,016.33		$8.94
Class C
Actual		$1,000.00		$978.20		$12.52
Hypothetical (5% return before expenses)		$1,000.00		$1,012.55		$12.73
Class Y
Actual		$1,000.00		$983.50		$7.55
Hypothetical (5% return before expenses)		$1,000.00		$1,017.59		$7.68

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.76%, 2.51% and 1.51% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

17  |

ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,073.50		$8.15
Hypothetical (5% return before expenses)		$1,000.00		$1,017.34		$7.93
Class C
Actual		$1,000.00		$1,069.30		$12.05
Hypothetical (5% return before expenses)		$1,000.00		$1,013.56		$11.72
Class N
Actual		$1,000.00		$1,073.80		$6.85
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.67
Class Y
Actual		$1,000.00		$1,074.70		$6.90
Hypothetical (5% return before expenses)		$1,000.00		$1,018.55		$6.72

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.56%, 2.31%, 1.31% and 1.32% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,083.50		$9.09
Hypothetical (5% return before expenses)		$1,000.00		$1,016.48		$8.79
Class C
Actual		$1,000.00		$1,078.50		$12.99
Hypothetical (5% return before expenses)		$1,000.00		$1,012.70		$12.58
Class Y
Actual		$1,000.00		$1,084.60		$7.72
Hypothetical (5% return before expenses)		$1,000.00		$1,017.80		$7.48

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.73%, 2.48% and 1.47% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 7/1/20131		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD 7/1/20131 – 12/31/2013
Class A
Actual		$1,000.00		$1,129.60		$3.76	1
Hypothetical (5% return before expenses)		$1,000.00		$1,018.15		$7.12	*
Class C
Actual		$1,000.00		$1,127.60		$5.76	1
Hypothetical (5% return before expenses)		$1,000.00		$1,014.37		$10.92	*
Class Y
Actual		$1,000.00		$1,130.60		$3.09	1
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85	*

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

¹  Fund commenced operations on September 30, 2013. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (92), divided by 365 (to reflect the partial period).

19  |

BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR ASG TACTICAL U.S. MARKET FUND

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the ASG Tactical U.S. Market Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Fund at an in-person meeting held on September 13, 2013.

In connection with this review, Fund management and other representatives of the Fund’s adviser, AlphaSimplex Group, LLC (“ASG”) and the Fund’s sub-advisers, NGAM Advisors, L.P. (“NGAM”) and Reich & Tang Asset Management, LLC (“Reich & Tang” and, together with ASG and NGAM, the “Advisers”), distributed to the Trustees materials including, among other items, (i) information on the proposed advisory fee, sub-advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expected expenses to those of a peer group of funds and information on fees charged to other accounts advised or sub-advised by the Advisers and information on the proposed expense cap, (ii) the Fund’s investment objective and strategies, including the complexity of those strategies and the steps that the Advisers would be taking to accommodate such complexity, (iii) the size, education and experience of the Advisers’ respective investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares and the related costs, (v) the procedures proposed to be employed to determine the value of the Fund’s assets, (vi) the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about the Advisers’ performance, (viii) information obtained through questionnaires completed by the Advisers (the Trustees are consulted as to the information required through the questionnaire) and (ix) the general economic outlook with particular emphasis on the mutual fund industry. The Trustees also considered the fact that they oversee other funds advised or sub-advised by the Advisers as well as information about the Advisers they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Advisers.

In considering whether to initially approve the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

|  20

The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their respective affiliates to the Fund, and the resources to be dedicated to the Fund by the Advisers and their respective affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Advisers, as well as any affiliations between the Advisers and Natixis Global Asset Management, L.P. In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Advisers to the Fund, but also the monitoring and oversight services proposed to be provided by NGAM to the Fund. The Trustees also considered the administrative services proposed to be provided by NGAM and its affiliates to the Fund.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the scope of the services to be provided to the Fund under the Agreements seemed consistent with the Fund’s operational requirements, and that the Advisers had the capabilities, resources and personnel necessary to provide the advisory and sub-advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreements supported approval of the Agreements.

Investment performance of the Fund and the Advisers. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Advisers. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the Advisers’ performance records and/or other relevant factors supported approval of the Agreements.

The costs of the services to be provided by the Advisers and their affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Fund’s share classes with the fees and expenses of comparable share classes of comparable funds identified by the Advisers and of other accounts managed by the Advisers, as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to such comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets. In evaluating the Fund’s proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund and the need for the Advisers to offer competitive compensation. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Advisers’ affiliates.

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information

21  |

provided in court cases in which adviser compensation or profitability were issues, the estimated expense levels of the Fund and that the Fund would be subject to an expense cap.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory and sub-advisory fees proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreements.

Economies of scale. The Trustees considered the extent to which the Advisers may realize economies of scale or other efficiencies in managing the Fund, and whether those economies could be shared with the Fund through breakpoints in the advisory and sub-advisory fees or other means, such as expense waivers or caps. The Trustees noted that the Fund would be subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following: the compliance-related resources the Advisers and their respective affiliates would provide to the Fund and the potential so-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Fund, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the fact that NGAM’s parent company would benefit from the retention of affiliated advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreements should be approved.

|  22

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Diversifying Strategies Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 82.7% of Net Assets
		Certificates of Deposit — 54.2%
$	1,600,000	Canadian Imperial Bank, 0.010%, 1/02/2014	$	1,600,000
	1,550,000	Skandinaviska Enskilda Banken, 0.010%, 1/02/2014		1,550,000
	1,500,000	Credit Agricole, 0.030%, 1/07/2014		1,500,000
	1,000,000	BNP Paribas, 0.100%, 1/07/2014		1,000,000
	1,000,000	Agricultural Bank of China, 0.380%, 1/07/2014		1,000,043
	1,000,000	Industrial & Commercial Bank of China, 0.380%, 1/14/2014		1,000,086
	1,000,000	National Australia Bank, 0.220%, 1/16/2014(b)		1,000,049
	2,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b)		2,000,538
	1,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014(b)		1,000,142
	1,000,000	National Bank of Kuwait, 0.250%, 2/28/2014		1,000,000
	1,000,000	Mizuho Corporate Bank, 0.220%, 3/24/2014		1,000,000
	1,000,000	Norinchukin Bank, 0.267%, 5/14/2014(c)		1,000,002
	1,500,000	Bank of Montreal (IL), 0.255%, 7/28/2014(b)(c)		1,500,274
	2,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.344%, 8/11/2014(b)(c)		2,000,060
	500,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014		500,043
	1,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014		999,811
	2,000,000	China Construction Bank Corp. (NY), 0.415%, 7/20/2015(c)(d)		2,000,000
				21,651,048
		Financial Company Commercial Paper — 16.0%
	1,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 1/07/2014(e)		999,984
	1,500,000	Societe Generale North America, 0.405%, 1/09/2014(e)		1,499,964
	1,000,000	ING (U.S.) Funding LLC, 0.200%, 1/16/2014(e)		999,950
	1,500,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(b)(e)		1,499,494
	400,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(e)		399,797
	1,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(e)		999,329
				6,398,518
		Commercial Paper — 7.5%
	1,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 1/16/2014(e)		999,925
	1,000,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 2/05/2014		1,000,030
	1,000,000	Tennessee School Bond Authority, 0.170%, 3/11/2014		1,000,020
				2,999,975
		Other Notes — 5.0%
	2,000,000	Wells Fargo, 0.335%, 1/20/2015(c)		2,000,244
		Total Short-Term Investments (Identified Cost $33,047,927)		33,049,785
		Total Investments — 82.7% (Identified Cost $33,047,927)(a)		33,049,785
		Other assets less liabilities — 17.3%		6,898,728
		Net Assets — 100.0%	$	39,948,513
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

23  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Diversifying Strategies Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $33,047,927 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,051
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(193	)
	Net unrealized appreciation	$	1,858
	Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b)	All 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 December 31, 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.

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/19/2014	Australian Dollar		4,400,000	$	3,909,422	$	(82,793	)
Sell		3/19/2014	Australian Dollar		1,000,000		888,505		(1,153	)
Buy		3/19/2014	British Pound		375,000		620,651		6,345
Sell		3/19/2014	British Pound		812,500		1,344,743		(10,580	)
Buy		3/19/2014	Canadian Dollar		400,000		375,860		62
Buy		3/19/2014	Canadian Dollar		300,000		281,895		(589	)
Sell		3/19/2014	Canadian Dollar		100,000		93,965		146
Buy		3/19/2014	Euro		500,000		687,835		3,698
Buy		3/19/2014	Euro		125,000		171,959		(366	)
Sell		3/19/2014	Euro		1,375,000		1,891,545		2,910
Sell		3/19/2014	Euro		125,000		171,959		(20	)
Buy		3/19/2014	Japanese Yen		87,500,000		831,179		(8,917	)
Sell		3/19/2014	Japanese Yen		225,000,000		2,137,318		52,456
Buy		3/19/2014	New Zealand Dollar		400,000		327,242		548
Buy		3/19/2014	New Zealand Dollar		4,700,000		3,845,099		(35,282	)
Sell		3/19/2014	New Zealand Dollar		1,200,000		981,727		(2,238	)
Buy		3/19/2014	Norwegian Krone		10,000,000		1,644,102		13,417
Sell		3/19/2014	Norwegian Krone		4,000,000		657,641		(10,469	)
Buy		3/19/2014	Singapore Dollar		250,000		198,112		(1,519	)
Sell		3/19/2014	Singapore Dollar		125,000		99,056		(455	)
Buy		3/19/2014	Swiss Franc		750,000		841,257		3,261
Buy		3/19/2014	Swiss Franc		125,000		140,210		(96	)
Sell		3/19/2014	Swiss Franc		2,375,000		2,663,982		21,022
Total								$	(50,612	)

¹ Counterparty is UBS AG.

See accompanying notes to financial statements.

|  24

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Diversifying Strategies Fund – (continued)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		1/17/2014		7	$	774,918	$	44,779
ASX SPI 200™		3/20/2014		7		830,978		40,471
E-mini Dow		3/21/2014		64		5,278,080		252,295
E-mini NASDAQ 100		3/21/2014		68		4,873,900		172,385
Euro Schatz		3/06/2014		165		25,037,041		(52,208	)
EURO STOXX 50®		3/21/2014		1		42,757		2,463
FTSE/JSE Top 40 Index		3/20/2014		22		874,547		55,807
German Euro BOBL		3/06/2014		40		6,847,131		(69,335	)
Mini-Russell 2000		3/21/2014		96		11,149,440		607,680
Nikkei 225™		3/13/2014		6		928,117		41,734
OMXS30®		1/17/2014		44		913,268		50,555
S&P/TSX 60 Index		3/20/2014		1		147,027		5,008
UK Long Gilt		3/27/2014		140		24,704,123		(404,085	)
2 Year U.S. Treasury Note		3/31/2014		138		30,334,125		(56,063	)
3 Year Australia Government Bond		3/17/2014		37		3,586,060		12,338
5 Year U.S. Treasury Note		3/31/2014		41		4,891,812		(55,344	)
10 Year Canada Government Bond		3/20/2014		18		2,147,630		(2,419	)
10 Year U.S. Treasury Note		3/20/2014		304		37,406,250		(586,547	)
30 Year U.S. Treasury Bond		3/20/2014		8		1,026,500		(17,625	)
Total							$	41,889

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		4	$	179,475	$	2,798
Brent Crude Oil		1/16/2014		12		1,329,600		14,410
Copper LME		3/19/2014		1		184,144		6,121
Cotton		3/07/2014		13		550,160		39,325
Gas Oil		1/10/2014		12		1,133,100		4,450
Natural Gas		1/29/2014		34		1,438,200		(60,350	)
New York Harbor ULSD		1/31/2014		8		1,029,907		24,587
Nickel LME		3/19/2014		2		166,680		(2,280	)
Soybean		3/14/2014		29		1,874,125		(38,738	)
Soybean Meal		3/14/2014		48		2,001,600		(54,040	)
WTI Crude Oil		1/21/2014		15		1,476,300		6,180
Zinc LME		3/19/2014		3		154,350		(986	)
Total							$	(58,523	)

See accompanying notes to financial statements.

25  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Diversifying Strategies Fund – (continued)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40®		1/17/2014		49	$	2,897,587	$	(156,279	)
CBOE SPX Volatility Index		1/21/2014		119		1,660,050		111,530
E-mini S&P 500®		3/21/2014		113		10,402,215		(373,765	)
FTSE 100 Index		3/21/2014		13		1,441,794		(64,300	)
FTSE MIB		3/21/2014		8		1,046,907		(63,592	)
German Euro Bund		3/06/2014		48		9,189,892		47,847
Hang Seng Index®		1/29/2014		16		2,407,232		(46,426	)
IBEX 35		1/17/2014		5		678,866		(40,501	)
MSCI Singapore		1/29/2014		35		2,025,754		(44,930	)
MSCI Taiwan Index		1/24/2014		57		1,728,240		(37,620	)
S&P CNX Nifty Futures Index		1/30/2014		104		1,321,008		4,784
TOPIX		3/13/2014		1		123,683		(6,372	)
10 Year Australia Government Bond		3/17/2014		278		28,462,434		(65,341	)
10 Year Japan Government Bond		3/11/2014		7		9,526,541		24,594
Total							$	(710,371	)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		7	$	314,081	$	(3,281	)
Coffee		3/19/2014		36		1,494,450		(48,600	)
Copper High Grade		3/27/2014		2		169,825		(10,513	)
Copper LME		3/19/2014		2		368,288		(14,738	)
Corn		3/14/2014		74		1,561,400		33,300
Gasoline		1/31/2014		35		4,095,273		(191,566	)
Gold		2/26/2014		5		601,150		19,510
Nickel LME		3/19/2014		3		250,020		(1,584	)
Silver		3/27/2014		4		387,400		16,935
Soybean Oil		3/14/2014		59		1,385,202		52,782
Sugar		2/28/2014		82		1,507,094		49,157
Wheat		3/14/2014		40		1,210,500		101,813
Zinc LME		3/19/2014		6		308,700		(24,413	)
Total							$	(21,198	)

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

See accompanying notes to financial statements.

|  26

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Diversifying Strategies Fund – (continued)

Investment Summary at December 31, 2013 (Unaudited)

Certificates of Deposit	54.2	%
Financial Company Commercial Paper	16.0
Commercial Paper	7.5
Other Notes	5.0
Total Investments	82.7
Other Assets Less Liabilities (including open forward foreign currency and futures contracts)	17.3
Total Net Assets	100.0	%

See accompanying notes to financial statements.

27  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Global Alternatives Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 92.5% of Net Assets
		Certificates of Deposit — 68.0%
$	105,000,000	Canadian Imperial Bank, 0.010%, 1/02/2014	$	105,000,000
	84,200,000	Royal Bank of Canada, 0.010%, 1/02/2014		84,200,000
	105,000,000	Skandinaviska Enskilda Banken, 0.010%, 1/02/2014		105,000,000
	30,000,000	Bank of China, 0.320%, 1/03/2014		30,000,000
	105,000,000	Credit Agricole, 0.030%, 1/07/2014		105,000,000
	50,000,000	BNP Paribas, 0.100%, 1/07/2014		50,000,000
	28,800,000	Agricultural Bank of China, 0.380%, 1/07/2014		28,801,239
	15,000,000	China Construction Bank Corp. (NY), 0.380%, 1/13/2014(b)		15,001,185
	40,000,000	Industrial & Commercial Bank of China, 0.380%, 1/14/2014		40,003,440
	50,000,000	National Australia Bank, 0.220%, 1/16/2014		50,002,450
	15,500,000	Industrial & Commercial Bank of China, 0.380%, 1/21/2014		15,501,984
	25,000,000	Norinchukin Bank, 0.267%, 1/29/2014(c)		25,002,525
	20,000,000	China Construction Bank Corp. (NY), 0.430%, 2/03/2014		20,004,540
	9,330,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.200%, 2/07/2014		9,330,093
	75,000,000	Credit Suisse (NY), 0.290%, 2/07/2014(c)		75,009,450
	20,000,000	Industrial & Commercial Bank of China, 0.510%, 2/12/2014		20,002,558
	40,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(d)		40,010,760
	25,000,000	Norinchukin Bank, 0.230%, 2/19/2014		25,001,375
	50,000,000	Mizuho Corporate Bank, 0.220%, 2/20/2014		50,002,100
	80,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014		80,011,360
	100,000,000	National Bank of Kuwait, 0.250%, 2/28/2014		100,000,000
	24,550,000	Nordea Bank Finland (NY), 0.160%, 3/11/2014		24,548,576
	30,000,000	Sumitomo Mitsui Bank (NY), 0.260%, 3/17/2014		30,001,890
	50,000,000	Mizuho Corporate Bank, 0.220%, 3/24/2014		50,000,000
	25,000,000	Bank of Montreal (IL), 0.220%, 4/16/2014		25,002,200
	50,000,000	Norinchukin Bank, 0.267%, 5/14/2014(c)		50,000,100
	25,000,000	Credit Suisse (NY), 0.250%, 6/09/2014		24,996,675
	70,000,000	Bank of Montreal (IL), 0.255%, 7/28/2014(b)(c)		70,012,810
	75,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.344%, 8/11/2014(d)(c)		75,002,250
	25,000,000	Westpac Banking Corp. (NY), 0.257%, 8/15/2014(c)		25,004,700
	45,000,000	National Australia Bank, 0.235%, 10/23/2014(c)		45,003,600
	75,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(d)		75,006,375
	70,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014		69,986,770
	25,000,000	China Construction Bank Corp. (NY), 0.415%, 7/20/2015(c)(e)		25,000,000
				1,662,451,005
		Financial Company Commercial Paper — 18.8%
	50,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 1/07/2014(f)		49,999,200
	50,000,000	Societe Generale North America, 0.405%, 1/09/2014(b)(f)		49,998,800
	9,600,000	ING (U.S.) Funding LLC, 0.200%, 1/16/2014(f)		9,599,520
	50,000,000	Societe Generale North America, 0.250%, 1/31/2014(f)		49,989,584
	50,000,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(d)(f)		49,983,150
	100,000,000	Barclays U.S. Funding, 0.180%, 2/24/2014(f)		99,975,600
	25,000,000	Dexia Credit Local S.A. (NY), 0.360%, 3/05/2014(f)		24,988,700
	24,600,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(f)		24,587,503

See accompanying notes to financial statements.

|  28

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Global Alternatives Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — continued
$	50,000,000	Oversea-Chinese Banking Corp. Ltd., 0.190%, 4/03/2014(f)	$	49,975,350
	50,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(f)		49,966,450
				459,063,857
		Commercial Paper — 3.9%
	53,200,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 1/16/2014(f)		53,196,010
	41,300,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 2/05/2014(d)		41,301,239
				94,497,249
		Other Notes — 1.8%
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.322%, 1/07/2015(c)		20,000,820
	25,000,000	Wells Fargo, 0.335%, 1/20/2015(c)		25,003,050
				45,003,870
		Total Short-Term Investments (Identified Cost $2,260,918,401)		2,261,015,981
		Total Investments — 92.5% (Identified Cost $2,260,918,401)(a)		2,261,015,981
		Other assets less liabilities — 7.5%		182,122,673
		Net Assets — 100.0%	$	2,443,138,654
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $2,260,918,401 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	$	117,145
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(19,565	)
		Net unrealized appreciation	$	97,580
		Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
	(b)	All 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 December 31, 2013 is disclosed.
	(d)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(e)	Security payable on demand at par including accrued interest with thirty days notice.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

29  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Global Alternatives Fund – (continued)

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		3/19/2014	British Pound		16,062,500	$	26,584,539	$	(195,057	)
Sell		3/19/2014	Canadian Dollar		5,000,000		4,698,247		(778	)
Buy		3/19/2014	Euro		25,750,000		35,423,486		(54,503	)
Sell		3/19/2014	Japanese Yen		51,625,000,000		490,395,660		10,098,610
Buy		3/19/2014	Swedish Krona		196,000,000		30,434,011		461,531
Sell		3/19/2014	Swiss Franc		45,625,000		51,176,499		407,891
Total								$	10,717,694

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		3/21/2014		2,134	$	704,981,855	$	31,691,539
E-mini S&P 500®		3/21/2014		5,435		500,318,925		14,621,168
Eurodollar		6/16/2014		1,527		380,547,487		64,950
FTSE 100 Index		3/21/2014		2,359		261,630,192		9,616,664
German Euro Bund		3/06/2014		1,448		277,228,406		(3,179,076	)
Hang Seng Index®		1/29/2014		1,202		180,843,313		3,325,458
TOPIX		3/13/2014		621		76,806,808		3,779,888
UK Long Gilt		3/27/2014		114		20,116,215		(315,906	)
10 Year U.S. Treasury Note		3/20/2014		1,205		148,271,484		(2,814,851	)
Total							$	56,789,834
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		609	$	27,325,069	$	(46,089	)
Brent Crude Oil		1/16/2014		43		4,764,400		71,810
Copper LME		3/19/2014		154		28,358,137		1,134,787
Natural Gas		1/29/2014		197		8,333,100		(236,400	)
New York Harbor ULSD		1/31/2014		4		514,954		14,146
Total							$	938,254

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year Japan Government Bond		3/11/2014		292	$	397,392,840	$	1,897,446

See accompanying notes to financial statements.

|  30

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Global Alternatives Fund – (continued)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		942	$	42,266,363	$	(441,562	)
Copper LME		3/19/2014		207		38,117,756		(1,539,045	)
Gas Oil		1/10/2014		33		3,116,025		(29,700	)
Gold		2/26/2014		38		4,568,740		(6,570	)
Nickel LME		3/19/2014		95		7,917,300		(50,160	)
WTI Crude Oil		1/21/2014		50		4,921,000		(35,000	)
Zinc LME		3/19/2014		5		257,250		(20,344	)
Total							$	(2,122,381	)

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

Investment Summary at December 31, 2013 (Unaudited)

Certificates of Deposit	68.0	%
Financial Company Commercial Paper	18.8
Commercial Paper	3.9
Other Notes	1.8
Total Investments	92.5
Other Assets Less Liabilities (including open forward foreign currency and futures contracts)	7.5
Total Net Assets	100.0	%

See accompanying notes to financial statements.

31  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 83.6% of Net Assets
		Certificates of Deposit — 58.1%
$	34,000,000	Canadian Imperial Bank, 0.010%, 1/02/2014	$	34,000,000
	3,200,000	Royal Bank of Canada, 0.010%, 1/02/2014		3,200,000
	34,000,000	Skandinaviska Enskilda Banken, 0.010%, 1/02/2014		34,000,000
	20,000,000	Bank of China, 0.320%, 1/03/2014		20,000,000
	34,000,000	Credit Agricole, 0.030%, 1/07/2014		34,000,000
	30,000,000	BNP Paribas, 0.100%, 1/07/2014		30,000,000
	5,000,000	China Construction Bank Corp. (NY), 0.380%, 1/13/2014		5,000,395
	20,000,000	Industrial & Commercial Bank of China, 0.380%, 1/14/2014		20,001,720
	25,000,000	National Australia Bank, 0.220%, 1/16/2014		25,001,225
	30,000,000	Credit Suisse (NY), 0.290%, 2/07/2014(b)(c)		30,003,780
	25,000,000	Bank of Nova Scotia (TX), 0.320%, 2/13/2014(f)		25,006,725
	25,000,000	Deutsche Bank A.G., 0.250%, 2/26/2014(b)		25,003,550
	33,000,000	National Bank of Kuwait, 0.250%, 2/28/2014		33,000,000
	30,000,000	Mizuho Corporate Bank, 0.220%, 3/24/2014		30,000,000
	5,000,000	Bank of Montreal (IL), 0.220%, 4/16/2014		5,000,440
	25,300,000	Norinchukin Bank, 0.267%, 5/14/2014(c)		25,300,051
	15,000,000	Bank of Montreal (IL), 0.255%, 7/28/2014(c)		15,002,745
	25,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.344%, 8/11/2014(c)		25,000,750
	30,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014		30,002,550
	25,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(b)		24,995,275
	15,000,000	China Construction Bank Corp. (NY), 0.415%, 7/20/2015(c)(d)		15,000,000
				488,519,206
		Financial Company Commercial Paper — 17.9%
	25,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 1/07/2014(e)		24,999,600
	25,500,000	Societe Generale North America, 0.405%, 1/09/2014(b)(e)		25,499,388
	20,000,000	Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(e)		19,993,260
	30,000,000	Barclays U.S. Funding, 0.180%, 2/24/2014(e)		29,992,680
	25,000,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(e)		24,987,300
	25,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(e)		24,983,225
				150,455,453
		Commercial Paper — 5.2%
	20,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 1/16/2014(e)		19,998,500
	7,200,000	Tennessee School Bond Authority, 0.160%, 3/10/2014		7,200,144
	16,461,000	Tennessee School Bond Authority, 0.170%, 3/11/2014		16,461,329
				43,659,973
		Other Notes — 2.4%
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.322%, 1/07/2015(c)		5,000,205
	15,000,000	Wells Fargo, 0.335%, 1/20/2015(c)		15,001,830
				20,002,035
		Total Short-Term Investments (Identified Cost $702,605,835)		702,636,667

See accompanying notes to financial statements.

|  32

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Managed Futures Strategy Fund – (continued)

	Description	Value (†)
	Total Investments — 83.6% (Identified Cost $702,605,835)(a)	$	702,636,667
	Other assets less liabilities — 16.4%		137,343,742
	Net Assets — 100.0%	$	839,980,409
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized appreciation on short-term investments based on a cost of $702,605,835 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	$	35,770
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,938	)
	Net unrealized appreciation	$	30,832
	Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b)	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 December 31, 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.
(f)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/19/2014	Australian Dollar		9,900,000	$	8,796,200	$	43,194
Buy		3/19/2014	Australian Dollar		12,400,000		11,017,463		(2,764	)
Sell		3/19/2014	Australian Dollar		17,600,000		15,637,689		203,049
Sell		3/19/2014	Australian Dollar		32,500,000		28,876,415		(217,164	)
Buy		3/19/2014	British Pound		30,875,000		51,100,243		597,883
Sell		3/19/2014	British Pound		9,937,500		16,447,244		(132,961	)
Buy		3/19/2014	Canadian Dollar		23,700,000		22,269,692		(1,060	)
Sell		3/19/2014	Canadian Dollar		9,600,000		9,020,635		26,947
Sell		3/19/2014	Canadian Dollar		61,800,000		58,070,336		(255,897	)
Buy		3/19/2014	Euro		98,125,000		134,987,557		823,760
Buy		3/19/2014	Euro		48,250,000		66,376,047		(88,399	)
Sell		3/19/2014	Euro		18,750,000		25,793,801		13,531
Sell		3/19/2014	Euro		25,750,000		35,423,486		(191,332	)
Buy		3/19/2014	Japanese Yen		5,100,000,000		48,445,867		(348,873	)
Sell		3/19/2014	Japanese Yen		16,225,000,000		154,124,351		2,439,056
Buy		3/19/2014	New Zealand Dollar		8,300,000		6,790,281		(66,681	)

See accompanying notes to financial statements.

33  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Managed Futures Strategy Fund – (continued)

Contract to Buy/Sell1 (continued)	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/19/2014	Norwegian Krone		94,000,000	$	15,454,562	$	121,254
Sell		3/19/2014	Norwegian Krone		278,000,000		45,706,045		(591,445	)
Buy		3/19/2014	Singapore Dollar		6,625,000		5,249,980		(57,914	)
Sell		3/19/2014	Singapore Dollar		9,250,000		7,330,160		37,234
Buy		3/19/2014	South African Rand		272,000,000		25,647,086		(330,337	)
Sell		3/19/2014	South African Rand		674,000,000		63,551,969		367,529
Buy		3/19/2014	Swedish Krona		94,000,000		14,595,903		185,735
Buy		3/19/2014	Swedish Krona		40,000,000		6,211,023		(10,342	)
Sell		3/19/2014	Swedish Krona		122,000,000		18,943,619		(457,088	)
Buy		3/19/2014	Swiss Franc		25,500,000		28,602,755		230,394
Buy		3/19/2014	Swiss Franc		34,750,000		38,978,265		(266,765	)
Sell		3/19/2014	Swiss Franc		10,875,000		12,198,234		7,386
Sell		3/19/2014	Swiss Franc		14,500,000		16,264,312		(66,543	)
Buy		3/19/2014	Turkish Lira		21,300,000		9,752,783		(109,935	)
Sell		3/19/2014	Turkish Lira		89,400,000		40,934,216		1,498,259
Total								$	3,399,711

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		1/17/2014		434	$	48,044,897	$	2,143,670
ASX SPI 200™		3/20/2014		446		52,945,142		1,332,787
CAC40®		1/17/2014		463		27,379,245		995,050
DAX		3/21/2014		199		65,741,045		2,624,009
E-mini Dow		3/21/2014		893		73,645,710		2,188,565
E-mini NASDAQ 100		3/21/2014		1,030		73,825,250		1,937,002
E-mini S&P 500®		3/21/2014		664		61,124,520		1,591,175
Euribor		6/16/2014		3,661		1,255,457,434		(225,580	)
EURO STOXX 50®		3/21/2014		1,139		48,699,923		2,071,886
Euro-BTP		3/06/2014		645		101,882,782		85,335
Euro-OAT		3/06/2014		319		57,682,194		(396,298	)
Eurodollar		6/16/2014		3,896		970,931,900		61,825
FTSE 100 Index		3/21/2014		431		47,801,023		1,168,844
FTSE MIB		3/21/2014		200		26,172,681		1,250,339
FTSE/JSE Top 40 Index		3/20/2014		1,014		40,308,675		1,541,376
Hang Seng Index®		1/29/2014		199		29,939,949		566,563
IBEX 35		1/17/2014		329		44,669,407		2,025,086
Mini-Russell 2000		3/21/2014		591		68,638,740		2,792,625
MSCI Singapore		1/29/2014		369		21,357,233		500,527
MSCI Taiwan Index		1/24/2014		2,204		66,825,280		1,188,240
Nikkei 225™		3/13/2014		304		47,024,594		1,900,342
OMXS30®		1/17/2014		2,327		48,299,401		1,981,270

See accompanying notes to financial statements.

|  34

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Managed Futures Strategy Fund – (continued)

Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
S&P CNX Nifty Futures Index		1/30/2014		3,306	$	41,992,812	$	(82,684	)
S&P/TSX 60 Index		3/20/2014		473		69,544,024		1,533,255
Sterling		6/18/2014		2,884		593,089,638		(238,664	)
TOPIX		3/13/2014		454		56,151,837		2,104,596
2 Year U.S. Treasury Note		3/31/2014		1,425		313,232,813		(86,188	)
10 Year Japan Government Bond		3/11/2014		163		221,832,305		(869,718	)
Total							$	31,685,235

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		198	$	8,884,013	$	495
Brent Crude Oil		1/16/2014		346		38,336,800		43,400
Cocoa		3/14/2014		516		13,978,440		(328,620	)
Copper High Grade		3/27/2014		112		9,510,200		213,062
Copper LME		3/19/2014		262		48,245,662		987,244
Gas Oil		1/10/2014		329		31,065,825		227,425
Gasoline		1/31/2014		292		34,166,278		758,096
Live Cattle		2/28/2014		423		22,778,550		23,440
Natural Gas		1/29/2014		463		19,584,900		(697,170	)
New York Harbor ULSD		1/31/2014		141		18,152,114		274,546
Nickel LME		3/19/2014		268		22,335,120		(270,557	)
Soybean		3/14/2014		283		18,288,875		(467,575	)
Soybean Meal		3/14/2014		460		19,182,000		(691,380	)
WTI Crude Oil		1/21/2014		144		14,172,480		(73,020	)
Zinc LME		3/19/2014		448		23,049,600		937,541
Total							$	936,927

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Euro Schatz		3/06/2014		1,948	$	295,588,820	$	(99,030	)
German Euro BOBL		3/06/2014		60		10,270,697		(19,480	)
German Euro Bund		3/06/2014		78		14,933,574		42,729
UK Long Gilt		3/27/2014		412		72,700,705		577,860
Ultra Long U.S. Treasury Bond		3/20/2014		281		38,286,250		295,594
3 Year Australia Government Bond		3/17/2014		11		1,066,126		(1,175	)
5 Year U.S. Treasury Note		3/31/2014		662		78,984,875		(9,875	)
10 Year Australia Government Bond		3/17/2014		567		58,051,079		(489,338	)
10 Year Canada Government Bond		3/20/2014		735		87,694,893		483,653
10 Year U.S. Treasury Note		3/20/2014		720		88,593,750		328,078
30 Year U.S. Treasury Bond		3/20/2014		360		46,192,500		369,359
Total							$	1,478,375

See accompanying notes to financial statements.

35  |

Consolidated Portfolio of Investments – as of December 31, 2013

ASG Managed Futures Strategy Fund – (continued)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/19/2014		477	$	21,402,394	$	(223,594	)
Coffee		3/19/2014		354		14,695,425		162,150
Copper LME		3/19/2014		112		20,624,100		(825,300	)
Corn		3/14/2014		839		17,702,900		388,663
Cotton		3/07/2014		175		7,406,000		(130,375	)
Gold		2/26/2014		176		21,160,480		(149,590	)
Nickel LME		3/19/2014		185		15,417,900		(97,680	)
Silver		3/27/2014		129		12,493,650		119,375
Soybean Oil		3/14/2014		1,461		34,301,358		473,742
Sugar		2/28/2014		1,252		23,010,758		(130,816	)
Wheat		3/14/2014		934		28,265,175		415,313
Zinc LME		3/19/2014		254		13,068,300		(1,033,463	)
Total							$	(1,031,575	)

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

Investment Summary at December 31, 2013 (Unaudited)

Certificates of Deposit	58.1	%
Financial Company Commercial Paper	17.9
Commercial Paper	5.2
Other Notes	2.4
Total Investments	83.6
Other assets less liabilities (including open forward foreign currency and futures contracts)	16.4
Net Assets	100.0	%

See accompanying notes to financial statements.

|  36

Portfolio of Investments — as of December 31, 2013

ASG Tactical U.S. Market Fund

Shares		Description	Value (†)
	Common Stocks — 47.7% of Net Assets
		Aerospace & Defense — 1.1%
	681	Boeing Co. (The)	$	92,950
	319	Northrop Grumman Corp.		36,560
	354	Rockwell Collins, Inc.		26,168
	828	United Technologies Corp.		94,226
				249,904
		Air Freight & Logistics — 0.7%
	405	C.H. Robinson Worldwide, Inc.		23,628
	403	FedEx Corp.		57,939
	766	United Parcel Service, Inc., Class B		80,491
				162,058
		Automobiles — 0.5%
	4,137	Ford Motor Co.		63,834
	1,271	General Motors Co.(b)		51,946
				115,780
		Beverages — 1.3%
	3,300	Coca-Cola Co. (The)		136,323
	606	Coca-Cola Enterprises, Inc.		26,743
	553	Dr Pepper Snapple Group, Inc.		26,942
	1,389	PepsiCo, Inc.		115,204
				305,212
		Biotechnology — 1.3%
	290	Biogen Idec, Inc.(b)		81,128
	513	Celgene Corp.(b)		86,676
	1,539	Gilead Sciences, Inc.(b)		115,656
				283,460
		Capital Markets — 0.3%
	1,781	Bank of New York Mellon Corp. (The)		62,228
		Chemicals — 1.2%
	227	Air Products & Chemicals, Inc.		25,374
	962	E.I. du Pont de Nemours & Co.		62,501
	269	Ecolab, Inc.		28,049
	546	Monsanto Co.		63,636
	356	Praxair, Inc.		46,291
	159	Sherwin-Williams Co. (The)		29,176
	213	Sigma-Aldrich Corp.		20,024
				275,051
		Commercial Banks — 1.2%
	2,087	US Bancorp		84,315
	3,950	Wells Fargo & Co.		179,330
				263,645
		Communications Equipment — 0.5%
	1,547	QUALCOMM, Inc.		114,865

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Shares		Description	Value (†)
		Computers & Peripherals — 2.2%
	659	Apple, Inc.	$	369,771
	2,635	EMC Corp.		66,270
	2,365	Hewlett-Packard Co.		66,173
				502,214
		Construction & Engineering — 0.1%
	818	Quanta Services, Inc.(b)		25,816
		Consumer Finance — 0.4%
	1,013	American Express Co.		91,909
		Containers & Packaging — 0.2%
	622	MeadWestvaco Corp.		22,971
	687	Sealed Air Corp.		23,392
				46,363
		Diversified Financial Services — 3.0%
	9,241	Bank of America Corp.		143,882
	1,479	Berkshire Hathaway, Inc., Class B(b)		175,350
	2,650	Citigroup, Inc.		138,091
	3,074	JPMorgan Chase & Co.		179,768
	952	NASDAQ OMX Group, Inc. (The)		37,890
				674,981
		Diversified Telecommunication Services — 1.0%
	3,745	AT&T, Inc.		131,674
	2,048	Verizon Communications, Inc.		100,639
				232,313
		Electric Utilities — 0.8%
	513	American Electric Power Co., Inc.		23,978
	743	Duke Energy Corp.		51,275
	358	NextEra Energy, Inc.		30,652
	439	Northeast Utilities		18,609
	701	PPL Corp.		21,093
	1,022	Southern Co. (The)		42,014
				187,621
		Electronic Equipment, Instruments & Components — 0.4%
	2,119	Corning, Inc.		37,760
	835	TE Connectivity Ltd.		46,017
				83,777
		Energy Equipment & Services — 1.1%
	831	Baker Hughes, Inc.		45,921
	1,142	Halliburton Co.		57,956
	624	Noble Corp. PLC		23,381
	1,224	Schlumberger Ltd.		110,295
				237,553

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Shares		Description	Value (†)
		Food & Staples Retailing — 0.8%
	1,458	Wal-Mart Stores, Inc.	$	114,730
	1,081	Walgreen Co.		62,093
				176,823
		Food Products — 0.7%
	1,160	Archer-Daniels-Midland Co.		50,344
	371	Mead Johnson Nutrition Co.		31,075
	2,075	Mondelez International, Inc., Class A		73,247
				154,666
		Health Care Equipment & Supplies — 0.4%
	261	CR Bard, Inc.		34,958
	857	St. Jude Medical, Inc.		53,091
				88,049
		Health Care Providers & Services — 1.6%
	833	Cardinal Health, Inc.		55,653
	638	Cigna Corp.		55,812
	781	DaVita HealthCare Partners, Inc.(b)		49,492
	1,125	Express Scripts Holding Co.(b)		79,020
	477	Humana, Inc.		49,236
	390	McKesson Corp.		62,946
				352,159
		Hotels, Restaurants & Leisure — 0.9%
	939	McDonald’s Corp.		91,111
	817	Starbucks Corp.		64,045
	621	Yum! Brands, Inc.		46,954
				202,110
		Household Durables — 0.4%
	435	Garmin Ltd.		20,106
	809	Lennar Corp., Class A		32,004
	756	Newell Rubbermaid, Inc.		24,502
	154	Whirlpool Corp.		24,156
				100,768
		Household Products — 0.8%
	2,197	Procter & Gamble Co. (The)		178,858
		Industrial Conglomerates — 1.7%
	661	3M Co.		92,705
	785	Danaher Corp.		60,602
	7,953	General Electric Co.		222,923
				376,230
		Insurance — 2.5%
	562	ACE Ltd.		58,184
	826	Aflac, Inc.		55,177
	944	Allstate Corp. (The)		51,486
	574	Assurant, Inc.		38,096
	529	Chubb Corp. (The)		51,117

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Shares		Description	Value (†)
		Insurance — continued
	1,264	Hartford Financial Services Group, Inc. (The)	$	45,795
	841	Lincoln National Corp.		43,412
	1,395	MetLife, Inc.		75,218
	866	Principal Financial Group, Inc.		42,703
	691	Prudential Financial, Inc.		63,724
	513	Torchmark Corp.		40,091
				565,003
		Internet & Catalog Retail — 0.8%
	316	Amazon.com, Inc.(b)		126,018
	55	priceline.com, Inc.(b)		63,932
				189,950
		Internet Software & Services — 1.1%
	214	Google, Inc., Class A(b)		239,832
		IT Services — 1.9%
	900	Accenture PLC, Class A		73,998
	665	Automatic Data Processing, Inc.		53,739
	853	International Business Machines Corp.		159,997
	14	MasterCard, Inc., Class A		11,696
	669	Paychex, Inc.		30,460
	488	Visa, Inc., Class A		108,668
				438,558
		Machinery — 0.5%
	767	Caterpillar, Inc.		69,651
	637	Illinois Tool Works, Inc.		53,559
				123,210
		Media — 1.9%
	2,292	Comcast Corp., Class A		119,104
	715	DIRECTV(b)		49,399
	314	Discovery Communications, Inc., Class A(b)		28,392
	1,196	Interpublic Group of Cos., Inc. (The)		21,169
	293	Time Warner Cable, Inc.		39,702
	1,004	Time Warner, Inc.		69,999
	1,485	Walt Disney Co. (The)		113,454
				441,219
		Metals & Mining — 0.3%
	911	Freeport-McMoRan Copper & Gold, Inc.		34,381
	427	Nucor Corp.		22,793
				57,174
		Multi Utilities — 0.6%
	771	CMS Energy Corp.		20,640
	358	Consolidated Edison, Inc.		19,790
	666	Dominion Resources, Inc.		43,084

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Shares		Description	Value (†)
		Multi Utilities — continued
	713	NiSource, Inc.	$	23,443
	426	SCANA Corp.		19,992
				126,949
		Oil, Gas & Consumable Fuels — 3.9%
	1,530	Chevron Corp.		191,112
	1,228	ConocoPhillips		86,758
	986	CONSOL Energy, Inc.		37,508
	3,248	ExxonMobil Corp.		328,698
	564	Hess Corp.		46,812
	1,299	Marathon Oil Corp.		45,855
	532	Marathon Petroleum Corp.		48,800
	671	Noble Energy, Inc.		45,702
	1,347	Spectra Energy Corp.		47,980
				879,225
		Pharmaceuticals — 3.0%
	1,860	AbbVie, Inc.		98,226
	355	Actavis PLC(b)		59,640
	2,279	Johnson & Johnson		208,734
	2,717	Merck & Co., Inc.		135,986
	5,610	Pfizer, Inc.		171,834
				674,420
		Professional Services — 0.1%
	389	Equifax, Inc.		26,876
		REITs—Diversified — 0.2%
	1,549	Weyerhaeuser Co.		48,902
		Road & Rail — 0.7%
	1,727	CSX Corp.		49,686
	307	Kansas City Southern		38,016
	487	Union Pacific Corp.		81,816
				169,518
		Semiconductors & Semiconductor Equipment — 1.1%
	591	Analog Devices, Inc.		30,100
	2,531	Applied Materials, Inc.		44,773
	4,572	Intel Corp.		118,689
	481	Lam Research Corp.(b)		26,191
	823	Microchip Technology, Inc.		36,829
				256,582
		Software — 1.7%
	832	Adobe Systems, Inc.(b)		49,820
	5,827	Microsoft Corp.		218,105
	3,222	Oracle Corp.		123,274
				391,199

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Shares		Description	Value (†)
		Specialty Retail — 1.1%
	327	Bed Bath & Beyond, Inc.(b)	$	26,258
	1,289	Home Depot, Inc. (The)		106,136
	540	L Brands, Inc.		33,399
	1,244	Lowe’s Cos., Inc.		61,640
	1,488	Staples, Inc.		23,645
				251,078
		Textiles, Apparel & Luxury Goods — 0.1%
	183	PVH Corp.		24,892
		Thrifts & Mortgage Finance — 0.2%
	4,053	Hudson City Bancorp, Inc.		38,220
		Tobacco — 1.1%
	2,143	Altria Group, Inc.		82,270
	1,435	Philip Morris International, Inc.		125,031
	797	Reynolds American, Inc.		39,842
				247,143
		Trading Companies & Distributors — 0.2%
	151	W.W. Grainger, Inc.		38,568
		Wireless Telecommunication Services — 0.1%
	223	Crown Castle International Corp.(b)		16,375
		Total Common Stocks (Identified Cost $9,952,097)		10,789,306
	Exchange Traded Funds — 9.9%
	12,154	SPDR® S&P 500® ETF Trust (Identified Cost $2,235,668)		2,244,479
Principal Amount
	Short-Term Investments — 37.3%
		Certificates of Deposit — 24.5%
$	300,000	Canadian Imperial Bank, 0.010%, 1/02/2014		300,000
	350,000	BNP Paribas, 0.100%, 1/07/2014(c)		350,000
	200,000	Agricultural Bank of China, 0.380%, 1/07/2014(c)		200,009
	500,000	Industrial & Commercial Bank of China, 0.380%, 1/21/2014(c)		500,064
	500,000	China Construction Bank Corp. (NY), 0.430%, 2/03/2014(c)		500,113
	400,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.200%, 2/07/2014(c)		400,004
	500,000	Wells Fargo, 0.140%, 2/10/2014(c)		500,006
	100,000	Mizuho Corporate Bank, 0.220%, 2/20/2014(c)		100,004
	400,000	National Bank of Kuwait, 0.250%, 2/28/2014(c)		400,000
	350,000	Nordea Bank Finland (NY), 0.160%, 3/11/2014(c)		349,980
	300,000	Mizuho Corporate Bank, 0.220%, 3/24/2014(c)		300,000
	300,000	Bank of Montreal (IL), 0.220%, 4/16/2014(c)		300,026
	500,000	Norinchukin Bank, 0.267%, 5/14/2014(c)(d)		500,001
	350,000	Credit Suisse (NY), 0.250%, 6/09/2014(c)		349,953
	300,000	National Australia Bank, 0.235%, 10/23/2014(c)(d)		300,024
	200,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(c)		200,017
				5,550,201

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — 12.8%
$	250,000	Bank of Nova Scotia (NY), 0.100%, 1/03/2014(c)(e)	$	249,999
	350,000	Deutsche Bank, 0.130%, 1/03/2014(c)(e)		349,997
	200,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 1/07/2014(c)(e)		199,997
	400,000	Societe Generale North America, 0.250%, 1/31/2014(c)(e)		399,917
	300,000	Dexia Credit Local S.A. (NY), 0.320%, 2/20/2014(c)(e)		299,899
	400,000	Swedbank, 0.120%, 2/24/2014(c)(e)		399,902
	300,000	Barclays U.S. Funding, 0.180%, 2/24/2014(c)(e)		299,927
	350,000	ING (U.S.) Funding LLC, 0.200%, 3/07/2014(c)(e)		349,887
	350,000	General Electric Capital Corp., 0.180%, 6/10/2014(c)(e)		349,765
				2,899,290
		Total Short-Term Investments (Identified Cost $8,449,223)		8,449,491
		Total Investments — 94.9% (Identified Cost $20,636,988)(a)		21,483,276
		Other assets less liabilities — 5.1%		1,147,777
		Net Assets — 100.0%	$	22,631,053
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $20,636,988 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	$	855,862
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,574	)
		Net unrealized appreciation	$	846,288
	(b)	Non-income producing security.
	(c)	All of this security has been designated to cover the Fund’s obligations under open futures contracts.
	(d)	Variable rate security. Rate as of December 31, 2013 is disclosed.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	ETF	Exchange Traded Fund
	REITs	Real Estate Investment Trusts
	SPDR	Standard & Poor’s Depositary Receipt

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		3/21/2014		174	$	16,017,570	$	578,550

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2013

ASG Tactical U.S. Market Fund – (continued)

Industry Summary at December 31, 2013 (Unaudited)

Exchange Traded Funds	9.9	%
Oil, Gas & Consumable Fuels	3.9
Diversified Financial Services	3.0
Pharmaceuticals	3.0
Insurance	2.5
Computers & Peripherals	2.2
Other Investments, less than 2% each	33.1
Short-Term Investments	37.3
Total Investments	94.9
Other assets less liabilities (including open futures contracts)	5.1
Net Assets	100.0	%

See accompanying notes to financial statements.

|  44

Statements of Assets and Liabilities

December 31, 2013

	ASG Diversifying Strategies Fund (Consolidated*)			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	33,047,927		$	2,260,918,401		$	702,605,835		$	20,636,988
Net unrealized appreciation		1,858			97,580			30,832			846,288
Investments at value		33,049,785			2,261,015,981			702,636,667			21,483,276
Cash		1,487,521			15,181,431			22,240,286			2,358,900
Due from brokers (including variation margin on futures contracts) (Note 2)		6,753,946			72,539,396			76,802,447			261,870
Receivable for Fund shares sold		19,979			32,597,169			4,934,940			220,282
Dividends and interest receivable		11,620			617,753			229,468			15,433
Unrealized appreciation on forward foreign currency contracts (Note 2)		103,865			10,968,032			6,595,211			—
Tax reclaims receivable		—			—			—			39
Unrealized appreciation on futures contracts (Note 2)		1,845,638			66,217,856			40,706,132			578,550
TOTAL ASSETS		43,272,354			2,459,137,618			854,145,151			24,918,350
LIABILITIES
Payable for securities purchased		—			—			—			2,235,668
Payable for Fund shares redeemed		410,333			4,141,573			2,217,335			18
Unrealized depreciation on forward foreign currency contracts (Note 2)		154,477			250,338			3,195,500			—
Unrealized depreciation on futures contracts (Note 2)		2,593,841			8,714,703			7,637,170			—
Management fees payable (Note 6)		30,624			2,318,389			761,540			8,528
Deferred Trustees’ fees (Note 6)		50,791			85,597			45,615			1,793
Administrative fees payable (Note 6)		12,651			100,616			49,470			803
Payable to distributor (Note 6d)		708			10,793			11,769			533
Other accounts payable and accrued expenses		70,416			376,955			246,343			39,954
TOTAL LIABILITIES		3,323,841			15,998,964			14,164,742			2,287,297
NET ASSETS	$	39,948,513		$	2,443,138,654		$	839,980,409		$	22,631,053
NET ASSETS CONSIST OF:
Paid-in capital	$	109,961,656		$	2,386,755,122		$	882,871,441		$	20,930,720
Distributions in excess of net investment income/Accumulated net investment (loss)		(53,866	)		(85,597	)		(374,129	)		(1,793	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(69,162,163	)		(11,849,618	)		(79,008,248	)		277,288
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(797,114	)		68,318,747			36,491,345			1,424,838
NET ASSETS	$	39,948,513		$	2,443,138,654		$	839,980,409		$	22,631,053

See accompanying notes to financial statements.

45  |

Statements of Assets and Liabilities (continued)

December 31, 2013

	ASG Diversifying Strategies Fund (Consolidated*)		ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)		ASG Tactical U.S. Market Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	9,602,185	$	189,313,249		$	125,903,163	$	28,615
Shares of beneficial interest		1,161,765		16,712,673			12,285,742		2,597
Net asset value and redemption price per share	$	8.27	$	11.33		$	10.25	$	11.02
Offering price per share (100/94.25 of net asset value) (Note 1)	$	8.77	$	12.02		$	10.88	$	11.69
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	3,535,875	$	85,322,601		$	18,770,220	$	7,500
Shares of beneficial interest		438,669		7,816,946			1,870,894		682
Net asset value and offering price per share	$	8.06	$	10.92		$	10.03	$	11.00
Class N shares:
Net assets	$	—	$	1,081		$	—	$	—
Shares of beneficial interest		—		95			—		—
Net asset value, offering and redemption price per share	$	—	$	11.42	**	$	—	$	—
Class Y shares:
Net assets	$	26,810,453	$	2,168,501,723		$	695,307,026	$	22,594,938
Shares of beneficial interest		3,219,639		189,799,481			67,740,961		2,048,918
Net asset value, offering and redemption price per share	$	8.33	$	11.43		$	10.26	$	11.03

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

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

See accompanying notes to financial statements.

|  46

Statements of Operations

For the Year Ended December 31, 2013

	ASG Diversifying Strategies Fund (Consolidated*)			ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund (a)
INVESTMENT INCOME
Interest	$	178,531		$	3,582,358		$	1,689,357		$	4,074
Dividends		—			—			—			44,850
Less net foreign taxes withheld		—			—			—			(29	)
		178,531			3,582,358			1,689,357			48,895
Expenses
Management fees (Note 6)		1,053,324			17,957,581			9,550,065			38,174
Service and distribution fees (Note 6)		137,397			1,066,885			521,762			29
Administrative fees (Note 6)		102,387			752,941			428,817			2,101
Trustees’ and directors’ fees and expenses (Note 6)		40,798			70,976			52,049			3,642
Transfer agent fees and expenses (Note 6)		124,325			1,331,521			1,070,352			583
Audit and tax services fees		68,197			68,230			64,875			33,236
Custodian fees and expenses		67,833			82,233			111,223			7,023
Interest expense (Note 10)		41,087			208,869			223,721			—
Legal fees		1,652			22,264			11,679			57
Registration fees		53,177			192,916			81,548			4,287
Shareholder reporting expenses		10,350			82,670			101,632			262
Miscellaneous expenses		13,812			58,254			29,983			2,898
Total expenses		1,714,339			21,895,340			12,247,706			92,292
Less waiver and/or expense reimbursement (Note 6)		(313,785	)		(13	)		(424,066	)		(37,387	)
Net expenses		1,400,554			21,895,327			11,823,640			54,905
Net investment loss		(1,222,023	)		(18,312,969	)		(10,134,283	)		(6,010	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		21,316			158,860			102,162			(40,565	)
Futures contracts		(3,406,160	)		158,056,345			89,745,463			864,241
Foreign currency transactions		(1,752,883	)		26,151,255			(14,370,126	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(7,013	)		32,667			(14,917	)		846,288
Futures contracts		(308,202	)		59,548,237			26,253,789			578,550
Foreign currency translations		(127,482	)		9,078,290			1,094,825			—
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(5,580,424	)		253,025,654			102,811,196			2,248,514
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(6,802,447	)	$	234,712,685		$	92,676,913		$	2,242,504

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

(a) From commencement of operations on September 30, 2013 through December 31, 2013.

See accompanying notes to financial statements.

47  |

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|  48

Statements of Changes in Net Assets

	ASG Diversifying Strategies Fund (Consolidated*)						ASG Global Alternatives Fund (Consolidated*)
	Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment loss	$	(1,222,023	)	$	(4,390,794	)	$	(18,312,969	)	$	(16,883,133	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,137,727	)		(17,414,102	)		184,366,460			60,573,679
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(442,697	)		(3,996,397	)		68,659,194			(5,810,730	)
Net increase (decrease) in net assets resulting from operations		(6,802,447	)		(25,801,293	)		234,712,685			37,879,816
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			—			(193,099	)		—
Class C		—			—			—			—
Class Y		—			—			(6,293,230	)		—
Net realized capital gains
Class A		—			—			(12,878,022	)		—
Class C		—			—			(6,465,274	)		—
Class N		—			—			(61	)		—
Class Y		—			—			(146,281,079	)		—
Total distributions		—			—			(172,110,765	)		—
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(130,804,494	)		(201,127,836	)		1,180,857,664			(283,005,886	)
Net increase (decrease) in net assets		(137,606,941	)		(226,929,129	)		1,243,459,584			(245,126,070	)
NET ASSETS
Beginning of the year		177,555,454			404,484,583			1,199,679,070			1,444,805,140
End of the year	$	39,948,513		$	177,555,454		$	2,443,138,654		$	1,199,679,070
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(53,866	)	$	(4,212,223	)	$	(85,597	)	$	5,917,791

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

(a) From commencement of operations on September 30, 2013 through December 31, 2013.

See accompanying notes to financial statements.

49  |

Statements of Changes in Net Assets (continued)

ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Period Ended December 31, 2013 (a)
$	(10,134,283	)	$	(10,805,294	)	$	(6,010	)
	75,477,499			(82,772,425	)		823,676
	27,333,697			(3,282,864	)		1,424,838
	92,676,913			(96,860,583	)		2,242,504
	—			(1,688,047	)		—
	—			(154,596	)		—
	(13,582	)		(6,746,855	)		—
	—			—			(697	)
	—			—			(183	)
	—			—			—
	—			—			(545,196	)
	(13,582	)		(8,589,498	)		(546,076	)
	(13,315,443	)		118,979,815			20,934,625
	79,347,888			13,529,734			22,631,053
	760,632,521			747,102,787			—
$	839,980,409		$	760,632,521		$	22,631,053
$	(374,129	)	$	(4,648,871	)	$	(1,793	)

See accompanying notes to financial statements.

|  50

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
ASG DIVERSIFYING STRATEGIES FUND (CONSOLIDATED*)
Class A
12/31/2013	$	9.00	$	(0.13	)	$	(0.60	)	$	(0.73	)	$	—		$	—		$	—
12/31/2012		9.75		(0.14	)		(0.61	)		(0.75	)		—			—			—
12/31/2011		10.45		(0.15	)		(0.14	)		(0.29	)		(0.41	)		—			(0.41	)
12/31/2010		10.19		(0.16	)		1.02	(h)		0.86			(0.15	)		(0.45	)		(0.60	)
12/31/2009(i)		10.00		(0.07	)		0.80			0.73			(0.10	)		(0.44	)		(0.54	)
Class C
12/31/2013		8.85		(0.20	)		(0.59	)		(0.79	)		—			—			—
12/31/2012		9.65		(0.21	)		(0.59	)		(0.80	)		—			—			—
12/31/2011		10.34		(0.23	)		(0.12	)		(0.35	)		(0.34	)		—			(0.34	)
12/31/2010		10.16		(0.24	)		1.01	(h)		0.77			(0.14	)		(0.45	)		(0.59	)
12/31/2009(i)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
12/31/2013		9.05		(0.11	)		(0.61	)		(0.72	)		—			—			—
12/31/2012		9.77		(0.12	)		(0.60	)		(0.72	)		—			—			—
12/31/2011		10.46		(0.13	)		(0.13	)		(0.26	)		(0.43	)		—			(0.43	)
12/31/2010		10.19		(0.13	)		1.01	(h)		0.88			(0.16	)		(0.45	)		(0.61	)
12/31/2009(i)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)
ASG GLOBAL ALTERNATIVES FUND (CONSOLIDATED*)
Class A
12/31/2013	$	10.62	$	(0.15	)	$	1.79		$	1.64		$	(0.02	)	$	(0.91	)	$	(0.93	)
12/31/2012		10.26		(0.14	)		0.50			0.36			—			—			—
12/31/2011		10.67		(0.14	)		(0.21	)		(0.35	)		—			(0.06	)		(0.06	)
12/31/2010		10.39		(0.14	)		0.86			0.72			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.69		(0.14	)		1.01			0.87			(0.12	)		(0.05	)		(0.17	)
Class C
12/31/2013		10.32		(0.23	)		1.74			1.51			—			(0.91	)		(0.91	)
12/31/2012		10.05		(0.21	)		0.48			0.27			—			—			—
12/31/2011		10.53		(0.22	)		(0.20	)		(0.42	)		—			(0.06	)		(0.06	)
12/31/2010		10.33		(0.21	)		0.85			0.64			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
Class N
12/31/2013(k)		11.20		(0.09	)		0.99			0.90			—			(0.68	)		(0.68	)
Class Y
12/31/2013		10.72		(0.13	)		1.82			1.69			(0.07	)		(0.91	)		(0.98	)
12/31/2012		10.34		(0.11	)		0.49			0.38			—			—			—
12/31/2011		10.72		(0.12	)		(0.20	)		(0.32	)		—			(0.06	)		(0.06	)
12/31/2010		10.41		(0.11	)		0.86			0.75			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)

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

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

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

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

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

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

See accompanying notes to financial statements.

51  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses, including interest expense (%) (e)(f)			Gross expenses, including interest expense (%) (f)			Net expenses excluding interest expense (%) (e)(f)			Gross expenses excluding interest expense (%) (f)			Net investment loss (%) (f)			Portfolio turnover rate (%) (g)
$	8.27		(8.11	)	$	9,602		1.75			2.11			1.70			2.07			(1.54	)		—
	9.00		(7.69	)		69,190		1.74			1.83			1.70			1.79			(1.49	)		—
	9.75		(2.75	)		134,758		1.72			1.80			1.70			1.78			(1.46	)		—
	10.45		8.46			61,411		1.74			2.05			1.70			2.02			(1.45	)		—
	10.19		7.26			2,887		1.71			4.88			1.70			4.87			(1.48	)		—
	8.06		(8.93	)		3,536		2.50			2.88			2.45			2.83			(2.29	)		—
	8.85		(8.29	)		11,263		2.49			2.58			2.45			2.54			(2.24	)		—
	9.65		(3.43	)		26,032		2.47			2.55			2.45			2.53			(2.21	)		—
	10.34		7.58			20,742		2.49			2.72			2.45			2.68			(2.20	)		—
	10.16		6.90			131		2.47			5.76			2.45			5.75			(2.23	)		—
	8.33		(7.96	)		26,810		1.50			1.87			1.45			1.83			(1.29	)		—
	9.05		(7.37	)		97,102		1.49			1.57			1.45			1.54			(1.24	)		—
	9.77		(2.48	)		243,695		1.47			1.55			1.45			1.53			(1.21	)		—
	10.46		8.63			173,034		1.49			1.94			1.45			1.91			(1.21	)		—
	10.19		7.29			19,549		1.47			5.11			1.45			5.09			(1.22	)		—
$	11.33		15.69		$	189,313		1.58			1.58			1.57			1.57			(1.35	)		—
	10.62		3.51			126,226		1.61	(j)		1.61	(j)		1.60	(j)		1.60	(j)		(1.34	)		—
	10.26		(3.29	)		280,353		1.61			1.61			1.60			1.60			(1.34	)		—
	10.67		6.94			204,313		1.61			1.67			1.60			1.66			(1.28	)		—
	10.39		8.95			82,160		1.61			1.92			1.60			1.92			(1.33	)		—
	10.92		14.86			85,323		2.33			2.33			2.32			2.32			(2.10	)		—
	10.32		2.69			71,227		2.36	(j)		2.36	(j)		2.35	(j)		2.35	(j)		(2.10	)		—
	10.05		(4.00	)		92,540		2.36			2.36			2.35			2.35			(2.09	)		—
	10.53		6.21			66,832		2.36			2.42			2.35			2.42			(2.03	)		—
	10.33		8.09			22,367		2.36			2.65			2.35			2.64			(2.08	)		—
	11.42		8.05			1		1.32			3.22			1.30			3.20			(1.12	)		—
	11.43		16.05			2,168,502		1.33			1.33			1.32			1.32			(1.10	)		—
	10.72		3.68			1,002,226		1.36	(j)		1.36	(j)		1.35	(j)		1.35	(j)		(1.10	)		—
	10.34		(3.00	)		1,071,912		1.36			1.37			1.35			1.36			(1.09	)		—
	10.72		7.22			343,236		1.36			1.42			1.35			1.41			(1.03	)		—
	10.41		9.10			112,591		1.36			2.00			1.35			1.98			(0.90	)		—

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

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

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

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

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

(k) From commencement of Class operations on May 1, 2013 through December 31, 2013.

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period

			Income (Loss) From Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
ASG MANAGED FUTURES STRATEGY FUND (CONSOLIDATED*)
Class A
12/31/2013	$	9.11	$	(0.14	)	$	1.28		$	1.14		$	—		$	—		$	—
12/31/2012		10.34		(0.14	)		(1.00	)		(1.14	)		(0.09	)		—			(0.09	)
12/31/2011		10.61		(0.16	)		0.19	(h)		0.03			(0.30	)		—			(0.30	)
12/31/2010(i)		10.00		(0.07	)		1.41			1.34			(0.33	)		(0.40	)		(0.73	)
Class C
12/31/2013		8.99		(0.21	)		1.25			1.04			—			—			—
12/31/2012		10.25		(0.21	)		(0.99	)		(1.20	)		(0.06	)		—			(0.06	)
12/31/2011		10.58		(0.24	)		0.19	(h)		(0.05	)		(0.28	)		—			(0.28	)
12/31/2010(i)		10.00		(0.10	)		1.40			1.30			(0.32	)		(0.40	)		(0.72	)
Class Y
12/31/2013		9.10		(0.12	)		1.28			1.16			(0.00	)		—			(0.00	)
12/31/2012		10.34		(0.12	)		(1.00	)		(1.12	)		(0.12	)		—			(0.12	)
12/31/2011		10.60		(0.13	)		0.19	(h)		0.06			(0.32	)		—			(0.32	)
12/31/2010(i)		10.00		(0.06	)		1.40			1.34			(0.34	)		(0.40	)		(0.74	)
ASG TACTICAL U.S. MARKET FUND
Class A
12/31/2013(j)	$	10.00	$	(0.01	)	$	1.31		$	1.30		$	—		$	(0.28	)	$	(0.28	)
Class C
12/31/2013(j)		10.00		(0.03	)		1.31			1.28			—			(0.28	)		(0.28	)
Class Y
12/31/2013(j)		10.00		(0.00	)		1.31			1.31			—			(0.28	)		(0.28	)

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

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

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

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

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

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

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

(g) Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation for ASG Managed Futures Strategy Fund.

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

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

(j) From commencement of operations on September 30, 2013 through December 31, 2013.

See accompanying notes to financial statements.

53  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses, including interest expense (%) (e)(f)		Gross expenses, including interest expense (%) (f)		Net expenses excluding interest expense (%) (e)(f)		Gross expenses excluding interest expense (%) (f)		Net investment loss (%) (f)			Portfolio turnover rate (%) (g)
$	10.25		12.51		$	125,903		1.73		1.78		1.70		1.75		(1.51	)		—
	9.11		(11.09	)		145,729		1.73		1.80		1.70		1.77		(1.49	)		—
	10.34		0.25			312,098		1.71		1.78		1.70		1.76		(1.47	)		—
	10.61		13.44			6,511		1.73		2.78		1.70		2.75		(1.43	)		—
	10.03		11.57			18,770		2.48		2.53		2.45		2.50		(2.26	)		—
	8.99		(11.74	)		21,891		2.48		2.55		2.45		2.52		(2.24	)		—
	10.25		(0.51	)		24,838		2.46		2.56		2.45		2.54		(2.22	)		—
	10.58		13.04			2,357		2.47		3.31		2.45		3.29		(2.17	)		—
	10.26		12.75			695,307		1.48		1.53		1.45		1.51		(1.26	)		—
	9.10		(10.90	)		593,013		1.48		1.56		1.45		1.52		(1.24	)		—
	10.34		0.57			410,166		1.46		1.57		1.45		1.56		(1.22	)		—
	10.60		13.39			49,803		1.48		2.68		1.45		2.65		(1.20	)		—
$	11.02		12.96		$	29		1.40		2.21		1.40		2.21		(0.38	)		13
	11.00		12.76			8		2.15		2.80		2.15		2.80		(1.00	)		13
	11.03		13.06			22,595		1.15		1.93		1.15		1.93		(0.13	)		13

See accompanying notes to financial statements.

|  54

Notes to Financial Statements

December 31, 2013

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

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

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

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

ASG Tactical U.S. Market Fund (the “Tactical U.S. Market Fund”)

The Tactical U.S. Market Fund commenced operations on September 30, 2013 via contribution to the Fund by Natixis Global Asset Management, L.P. (“Natixis US”) and affiliates of $15,000,000.

Each Fund is a diversified investment company.

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

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

Each Fund, except Tactical U.S. Market Fund, invests in commodity-related instruments through ASG Diversifying Strategies Cayman Fund Ltd., ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., wholly-owned

55  |

Notes to Financial Statements (continued)

December 31, 2013

subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of December 31, 2013, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Investment in Subsidiary		Percentage of Net Assets
Diversifying Strategies Fund	$	2,690,485		6.7	%
Global Alternatives Fund		21,926,289		0.9	%
Managed Futures Strategy Fund		54,171,223		6.4	%

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

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

b.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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 valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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Notes to Financial Statements (continued)

December 31, 2013

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, a Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

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

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December 31, 2013

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

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

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

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

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

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Notes to Financial Statements (continued)

December 31, 2013

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

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

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

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

h.  Federal and Foreign Income Taxes.  The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment

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December 31, 2013

income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2013 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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Notes to Financial Statements (continued)

December 31, 2013

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2013 and 2012 were as follows:

	2013 Distributions Paid From:						2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long- Term Capital Gains		Total
Diversifying Strategies Fund	$	—	$	—	$	—	$	—	$	—	$	—
Global Alternatives Fund		98,942,838		73,167,927		172,110,765		—		—		—
Managed Futures Strategy Fund		13,582		—		13,582		8,589,498		—		8,589,498
Tactical U.S. Market Fund		218,073		328,003		546,076		—		—		—

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

As of December 31, 2013, the components of distributable earnings on a tax basis were as follows:

	Diversifying Strategies Fund			Global Alternatives Fund			Managed Futures Strategy Fund			Tactical U.S. Market Fund
Undistributed ordinary income	$	—		$	37,058,133		$	8,694,280		$	317,943
Undistributed capital gains		—			49,952,987			—			537,895
Total undistributed earnings		—			87,011,120			8,694,280			855,838
Capital loss carryforward:
Short-term:
No expiration date		(34,288,729	)		—			—			—
Long-term:
No expiration date		(7,976,544	)		—			—			—
Total capital loss carryforward		(42,265,273	)		—			—			—
Unrealized appreciation (depreciation)		(27,697,079	)		(30,541,991	)		(51,539,697	)		846,288
Total accumulated earnings (losses)	$	(69,962,352	)	$	56,469,129		$	(42,845,417	)	$	1,702,126
Capital loss carryforward utilized in the current year	$	—		$	—		$	76,825,701		$	—

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December 31, 2013

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

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2013, at value:

Diversifying Strategies Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	33,049,785	$	—	$	33,049,785
Forward Foreign Currency Contracts (unrealized appreciation)		—		103,865		—		103,865
Futures Contracts (unrealized appreciation)		1,845,638		—		—		1,845,638
Total	$	1,845,638	$	33,153,650	$	—	$	34,999,288

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Notes to Financial Statements (continued)

December 31, 2013

Diversifying Strategies Fund (continued)

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(154,477	)	$	—	$	(154,477	)
Futures Contracts (unrealized depreciation)		(2,593,841	)		—			—		(2,593,841	)
Total	$	(2,593,841	)	$	(154,477	)	$	—	$	(2,748,318	)

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Global Alternatives Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	2,261,015,981	$	—	$	2,261,015,981
Forward Foreign Currency Contracts (unrealized appreciation)		—		10,968,032		—		10,968,032
Futures Contracts (unrealized appreciation)		66,217,856		—		—		66,217,856
Total	$	66,217,856	$	2,271,984,013	$	—	$	2,338,201,869

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(250,338	)	$	—	$	(250,338	)
Futures Contracts (unrealized depreciation)		(8,714,703	)		—			—		(8,714,703	)
Total	$	(8,714,703	)	$	(250,338	)	$	—	$	(8,965,041	)

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

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Notes to Financial Statements (continued)

December 31, 2013

Managed Futures Strategy Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	702,636,667	$	—	$	702,636,667
Forward Foreign Currency Contracts (unrealized appreciation)		—		6,595,211		—		6,595,211
Futures Contracts (unrealized appreciation)		40,706,132		—		—		40,706,132
Total	$	40,706,132	$	709,231,878	$	—	$	749,938,010

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,195,500	)	$	—	$	(3,195,500	)
Futures Contracts (unrealized depreciation)		(7,637,170	)		—			—		(7,637,170	)
Total	$	(7,637,170	)	$	(3,195,500	)	$	—	$	(10,832,670	)

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Tactical U.S. Market Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	10,789,306	$	—	$	—	$	10,789,306
Exchange Traded Funds		2,244,479		—		—		2,244,479
Short-Term Investments(a)		—		8,449,491		—		8,449,491
Total Investments		13,033,785		8,449,491		—		21,483,276
Futures Contracts (unrealized appreciation)		578,550		—		—		578,550
Total	$	13,612,335	$	8,449,491	$	—	$	22,061,826

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

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

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Notes to Financial Statements (continued)

December 31, 2013

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

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

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 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.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These

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December 31, 2013

market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the year ended December 31, 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.

Tactical U.S. Market Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. 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 extreme market drawdowns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market in order to enhance return or to manage volatility. For the year ended December 31, 2013, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.

The following is a summary of derivative instruments for Diversifying Strategies Fund as of December 31, 2013, as reflected in the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	103,865	$	—	$	103,865
Total over-the-counter asset derivatives	$	103,865	$	—	$	103,865
Exchange traded asset derivatives
Interest rate contracts	$	—	$	84,779	$	84,779
Equity contracts		—		1,389,491		1,389,491
Commodity contracts		—		371,368		371,368
Total exchange traded asset derivatives	$	—	$	1,845,638	$	1,845,638
Total asset derivatives	$	103,865	$	1,845,638	$	1,949,503

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Notes to Financial Statements (continued)

December 31, 2013

Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	154,477	$	—	$	154,477
Total over-the-counter liability derivatives	$	154,477	$	—	$	154,477
Exchange traded liability derivatives
Interest rate contracts	$	—	$	1,308,967	$	1,308,967
Equity contracts		—		833,785		833,785
Commodity contracts		—		451,089	$	451,089
Total exchange traded liability derivatives	$	—	$	2,593,841	$	2,593,841
Total liability derivatives	$	154,477	$	2,593,841	$	2,748,318

Transactions in derivative instruments for Diversifying Strategies Fund during the year ended December 31, 2013 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	(4,888,781	)	$	—
Foreign exchange contracts		—			(1,782,257	)
Equity contracts		2,150,888			—
Commodity contracts		(668,267	)		—
Total	$	(3,406,160	)	$	(1,782,257	)
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	(1,196,813	)	$	—
Foreign exchange contracts		—			(134,875	)
Equity contracts		456,331			—
Commodity contracts		432,280			—
Total	$	(308,202	)	$	(134,875	)

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

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Notes to Financial Statements (continued)

December 31, 2013

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2013, as reflected in the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	10,968,032	$	—	$	10,968,032
Total over-the-counter asset derivatives	$	10,968,032		—	$	10,968,032
Exchange traded asset derivatives
Interest rate contracts	$	—	$	1,962,396	$	1,962,396
Equity contracts		—		63,034,717		63,034,717
Commodity contracts		—		1,220,743		1,220,743
Total exchange traded asset derivatives	$	—	$	66,217,856	$	66,217,856
Total asset derivatives	$	10,968,032	$	66,217,856	$	77,185,888
Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	250,338	$	—	$	250,338
Total over-the-counter liability derivatives	$	250,338	$	—	$	250,338
Exchange traded liability derivatives
Interest rate contracts	$	—	$	6,309,833	$	6,309,833
Equity contracts		—		—		—
Commodity contracts		—		2,404,870		2,404,870
Total exchange traded liability derivatives	$	—	$	8,714,703	$	8,714,703
Total liability derivatives	$	250,338	$	8,714,703	$	8,965,041

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Notes to Financial Statements (continued)

December 31, 2013

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2013 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	(7,237,724	)	$	—
Foreign exchange contracts		—			25,932,627
Equity contracts		167,543,538			—
Commodity contracts		(2,249,469	)		—
Total	$	158,056,345		$	25,932,627
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	(2,643,725	)	$	—
Foreign exchange contracts		—			9,080,869
Equity contracts		64,376,279			—
Commodity contracts		(2,184,317	)		—
Total	$	59,548,237		$	9,080,869

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

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2013, as reflected in the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	6,595,211	$	—	$	6,595,211
Total over-the-counter asset derivatives	$	6,595,211	$	—	$	6,595,211
Exchange traded asset derivatives
Interest rate contracts	$	—	$	2,244,433	$	2,244,433
Equity contracts		—		33,437,207		33,437,207
Commodity contracts		—		5,024,492		5,024,492
Total exchange traded asset derivatives	$	—	$	40,706,132	$	40,706,132
Total asset derivatives	$	6,595,211	$	40,706,132	$	47,301,343

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December 31, 2013

Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	3,195,500	$	—	$	3,195,500
Total over-the-counter liability derivatives	$	3,195,500	$	—	$	3,195,500
Exchange traded liability derivatives
Interest rate contracts	$	—	$	2,435,346	$	2,435,346
Equity contracts		—		82,684		82,684
Commodity contracts		—		5,119,140		5,119,140
Total exchange traded liability derivatives	$	—	$	7,637,170	$	7,637,170
Total liability derivatives	$	3,195,500	$	7,637,170	$	10,832,670

Transactions in derivative instruments for Managed Futures Strategy during the year ended December 31, 2013 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	(41,286,144	)	$	—
Foreign exchange contracts		—			(14,616,878	)
Equity contracts		137,952,414			—
Commodity contracts		(6,920,807	)		—
Total	$	89,745,463		$	(14,616,878	)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	(1,656,614	)	$	—
Foreign exchange contracts		—			1,117,710
Equity contracts		26,813,064			—
Commodity contracts		1,097,339			—
Total	$	26,253,789		$	1,117,710

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

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Notes to Financial Statements (continued)

December 31, 2013

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of December 31, 2013, as reflected in the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on futures contracts
Exchange traded asset derivatives
Equity contracts	$	578,550

Transactions in derivative instruments for Tactical U.S. Market Fund during the year ended December 31, 2013 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts
Equity contracts	$	864,241

Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Equity contracts	$	578,550

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

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

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Notes to Financial Statements (continued)

December 31, 2013

As of December 31, 2013, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Diversifying Strategies Fund

Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	103,865		$	(103,865	)	$	—		$	—	$	—
Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(154,477	)	$	103,865		$	(50,612	)	$	50,612	$	—

Global Alternatives Fund

Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	10,968,032		$	(250,338	)	$	10,717,694	$	—	$	10,717,694
Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(250,338	)	$	250,338		$	—	$	—	$	—

Managed Futures Strategy Fund

Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	6,595,211		$	(3,195,500	)	$	3,399,711	$	—	$	3,399,711
Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(3,195,500	)	$	3,195,500		$	—	$	—	$	—

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’

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Notes to Financial Statements (continued)

December 31, 2013

ISDA agreements. As of December 31, 2013, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

	Independent Amount of Collateral		Increase (Decrease) for Change in Value			Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Diversifying Strategies Fund	$	388,731	$	78,047		$	466,778	$	476,634	$	9,856
Global Alternatives Fund	$	17,157,646	$	(10,803,564	)	$	6,354,082	$	7,910,000	$	1,555,918
Managed Futures Strategy Fund	$	10,215,339	$	(4,032,714	)	$	6,182,625	$	7,560,145	$	1,377,520

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Cash or securities held at or pledged to counterparties for initial/variation margin for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations, and the amount of loss that the Funds would incur after taking into account master netting provisions pursuant to ISDA agreements, are as follows as of December 31, 2013:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Diversifying Strategies Fund	$	9,193,204	$	9,089,339
Global Alternatives Fund		153,726,923		153,476,585
Managed Futures Strategy Fund		127,429,344		124,233,844
Tactical U.S. Market Fund		840,420		840,420

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Notes to Financial Statements (continued)

December 31, 2013

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2013:

Diversifying Strategies Fund	Forwards	Futures
Average Notional Amount Outstanding	227.00%	601.97%
Highest Notional Amount Outstanding	846.01%	1,299.96%
Lowest Notional Amount Outstanding	62.09%	436.73%
Notional Amount Outstanding as of December 31, 2013	62.09%	650.53%

Global Alternatives Fund	Forwards	Futures
Average Notional Amount Outstanding	54.48%	252.72%
Highest Notional Amount Outstanding	145.71%	592.45%
Lowest Notional Amount Outstanding	23.79%	81.86%
Notional Amount Outstanding as of December 31, 2013	26.14%	127.65%

Managed Futures Strategy Fund	Forwards	Futures
Average Notional Amount Outstanding	105.60%	785.95%
Highest Notional Amount Outstanding	216.53%	1,912.89%
Lowest Notional Amount Outstanding	55.26%	278.83%
Notional Amount Outstanding as of December 31, 2013	124.12%	706.91%

Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding	78.65%
Highest Notional Amount Outstanding	87.52%
Lowest Notional Amount Outstanding	70.78%
Notional Amount Outstanding as of December 31, 2013	70.78%

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

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

5.  Purchases and Sales of Securities.  For the year ended December 31, 2013, purchases and proceeds from sales or maturities of short-term investments were as follows:

Fund	Purchases		Sales/Maturities
Diversifying Strategies Fund	$	2,747,793,589	$	2,872,168,624
Global Alternatives Fund		61,244,106,549		60,047,672,100
Managed Futures Strategy Fund		23,611,744,385		23,595,303,071
Tactical U.S. Market Fund		143,613,717		135,165,603

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases		Sales
Tactical U.S. Market Fund	$	13,441,000	$	1,212,675

6.  Management Fees and Other Transactions with Affiliates.

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

Fund	Percentage of Average Daily Net Assets
Diversifying Strategies Fund		1.25	%
Managed Futures Strategy Fund		1.25	%
Tactical U.S. Market Fund		0.80	%

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

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

AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of each Fund. Under the terms of the subadvisory agreement, each Fund pays a subadvisory fee at the annual rate of 0.05% of the average daily net assets of the Funds that are allocated by AlphaSimplex to be managed by Reich & Tang, subject to a minimum annual subadvisory fee of $50,000 per Fund.

Additionally, AlphaSimplex has entered into a subadvisory agreement with NGAM Advisors (through its division, Active Investment Advisors), on behalf of Tactical U.S. Market Fund. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.10% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by NGAM Advisors.

Payments to AlphaSimplex are reduced by the amount of payments to NGAM Advisors and Reich & Tang, as described above.

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable,

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Notes to Financial Statements (continued)

December 31, 2013

to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2014, except for Tactical U.S. Market Fund, which is in effect until April 30, 2015, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the year ended December 31, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Diversifying Strategies Fund		1.70	%		2.45	%		—			1.45	%
Global Alternatives Fund		1.60	%		2.35	%		1.30	%		1.35	%
Managed Futures Strategy Fund		1.70	%		2.45	%		—			1.45	%
Tactical U.S. Market Fund		1.40	%		2.15	%		—			1.15	%

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

For the year ended December 31, 2013, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Diversifying Strategies Fund	$	1,053,324	$	313,785	$	739,539		1.25	%		0.88	%
Global Alternatives Fund		17,957,581		—		17,957,581		1.15	%		1.15	%
Managed Futures Strategy Fund		9,550,065		424,066		9,125,999		1.25	%		1.19	%
Tactical U.S. Market Fund		38,174		37,387		787		0.80	%		0.02	%

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

For the period ended December 31, 2013, class specific expenses have been reimbursed as follows:

	Reimbursement2
Fund	Class N
Global Alternatives Fund	$	13

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

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Notes to Financial Statements (continued)

December 31, 2013

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

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

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

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

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

For the year ended December 31, 2013, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Diversifying Strategies Fund	$	69,100	$	17,074	$	51,223
Global Alternatives Fund		336,853		182,508		547,524
Managed Futures Strategy Fund		324,255		49,377		148,130
Tactical U.S. Market Fund		17		3		9

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

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December 31, 2013

Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

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

For the year ended December 31, 2013, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees Paid to NGAM Advisors
Diversifying Strategies Fund	$	37,213
Global Alternatives Fund		690,393
Managed Futures Strategy Fund		337,254
Tactical U.S. Market Fund		2,101

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

For the year ended December 31, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	86,349
Global Alternatives Fund		954,905
Managed Futures Strategy Fund		991,141
Tactical U.S. Market Fund		540

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Notes to Financial Statements (continued)

December 31, 2013

As of December 31, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Diversifying Strategies Fund	$	708
Global Alternatives Fund		10,793
Managed Futures Strategy Fund		11,769
Tactical U.S. Market Fund		533

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2013 were as follows:

Fund	Commissions
Diversifying Strategies Fund	$	5,717
Global Alternatives Fund		136,914
Managed Futures Strategy Fund		110,349
Tactical U.S. Market Fund		145

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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Notes to Financial Statements (continued)

December 31, 2013

Effective January 1, 2014, the Chairperson of the Board will receive a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $130,000. All other Trustee fees will remain unchanged.

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

g.  Payments by Affiliates.  For the year ended December 31, 2013, AlphaSimplex voluntarily reimbursed Global Alternatives Fund $490 in connection with a trade placed for the Fund.

h.  Affiliated Ownership.  At December 31, 2013, Natixis US held shares of Global Alternatives Fund and Tactical U.S. Market Fund representing less than 0.01% and 74.94% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the period from May 1, 2013 through December 31, 2013, Global Alternatives Fund incurred the following class-specific expenses (including sub-transfer agent fees, where applicable):

	Class A		Class C		Class N		Class Y
Transfer Agent Fees and Expenses	$	114,653	$	62,509	$	13	$	1,154,346

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

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

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Notes to Financial Statements (continued)

December 31, 2013

For the year ended December 31, 2013, none of the Funds had borrowings under this agreement.

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

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

10.  Interest Expense.  Diversifying Strategies Fund, Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the year ended December 31, 2013 is reflected on the Statements of Operations.

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

	Year Ended December 31, 2013					Year Ended December 31, 2012
Diversifying Strategies Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	581,643		$	5,101,556		4,099,031		$	38,970,945
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(7,105,046	)		(62,540,450	)	(10,236,217	)		(95,779,012	)
Net change	(6,523,403	)	$	(57,438,894	)	(6,137,186	)	$	(56,808,067	)
Class C
Issued from the sale of shares	33,890		$	292,651		241,880		$	2,303,417
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(868,533	)		(7,400,661	)	(1,666,089	)		(15,459,772	)
Net change	(834,643	)	$	(7,108,010	)	(1,424,209	)	$	(13,156,355	)
Class Y
Issued from the sale of shares	1,420,736		$	12,558,419		11,424,744		$	109,289,687
Issued in connection with the reinvestment of distributions	—			—		—			—
Redeemed	(8,934,974	)		(78,816,009	)	(25,631,204	)		(240,453,101	)
Net change	(7,514,238	)	$	(66,257,590	)	(14,206,460	)	$	(131,163,414	)
Increase (decrease) from capital share transactions	(14,872,284	)	$	(130,804,494	)	(21,767,855	)	$	(201,127,836	)

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Notes to Financial Statements (continued)

December 31, 2013

11.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	9,255,476		$	105,133,683		6,671,859		$	69,656,715
Issued in connection with the reinvestment of distributions	1,078,510			12,091,299		—			—
Redeemed	(5,509,604	)		(61,053,583	)	(22,096,972	)		(229,884,273	)
Net change	4,824,382		$	56,171,399		(15,425,113	)	$	(160,227,558	)
Class C
Issued from the sale of shares	2,213,016		$	24,377,767		1,312,558		$	13,451,528
Issued in connection with the reinvestment of distributions	332,687			3,596,587		—			—
Redeemed	(1,630,903	)		(17,586,855	)	(3,617,306	)		(36,399,756	)
Net change	914,800		$	10,387,499		(2,304,748	)	$	(22,948,228	)
Class N*
Issued from the sale of shares	90		$	1,000		—		$	—
Issued in connection with the reinvestment of distributions	5			61		—			—
Redeemed	—			—		—			—
Net change	95		$	1,061		—		$	—
Class Y
Issued from the sale of shares	136,977,976		$	1,571,204,245		49,694,765		$	523,953,187
Issued in connection with the reinvestment of distributions	7,103,742			79,970,492		—			—
Redeemed	(47,757,768	)		(536,877,032	)	(59,893,411	)		(623,783,287	)
Net change	96,323,950		$	1,114,297,705		(10,198,646	)	$	(99,830,100	)
Increase (decrease) from capital share transactions	102,063,227		$	1,180,857,664		(27,928,507	)	$	(283,005,886	)

* From commencement of Class operations on May 1, 2013 through December 31, 2013.

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Notes to Financial Statements (continued)

December 31, 2013

11.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	5,560,803		$	53,140,778		19,088,248		$	186,697,025
Issued in connection with the reinvestment of distributions	—			—		151,550			1,430,714
Redeemed	(9,269,437	)		(88,138,943	)	(33,421,613	)		(323,499,035	)
Net change	(3,708,634	)	$	(34,998,165	)	(14,181,815	)	$	(135,371,296	)
Class C
Issued from the sale of shares	668,726		$	6,337,507		1,472,002		$	14,295,148
Issued in connection with the reinvestment of distributions	—			—		6,597			62,822
Redeemed	(1,233,925	)		(11,633,458	)	(1,465,967	)		(14,003,106	)
Net change	(565,199	)	$	(5,295,951	)	12,632		$	354,864
Class Y
Issued from the sale of shares	37,299,578		$	357,017,117		67,366,684		$	652,785,497
Issued in connection with the reinvestment of distributions	1,192			12,231		560,531			5,199,365
Redeemed	(34,714,808	)		(330,050,675	)	(42,443,142	)		(403,988,615	)
Net change	2,585,962		$	26,978,673		25,484,073		$	253,996,247
Increase (decrease) from capital share transactions	(1,687,871	)	$	(13,315,443	)	11,314,890		$	118,979,815

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Notes to Financial Statements (continued)

December 31, 2013

11.  Capital Shares (continued).

	Year Ended December 31, 2013*
Tactical U.S. Market Fund	Shares			Amount
Class A
Issued from the sale of shares	2,909		$	29,541
Issued in connection with the reinvestment of distributions	63			697
Redeemed	(375	)		(4,095	)
Net change	2,597		$	26,143
Class C
Issued from the sale of shares	665		$	7,001
Issued in connection with the reinvestment of distributions	17			183
Redeemed	—			—
Net change	682		$	7,184
Class Y
Issued from the sale of shares	2,016,489		$	20,544,458
Issued in connection with the reinvestment of distributions	49,426			542,699
Redeemed	(16,997	)		(185,859	)
Net change	2,048,918		$	20,901,298
Increase (decrease) from capital share transactions	2,052,197		$	20,934,625

* From commencement of operations on September 30, 2013 through December 31, 2013.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Natixis Funds Trust II and Shareholders of ASG Diversifying Strategies Fund, ASG Global Alternatives Fund, ASG Managed Futures Strategy Fund, and ASG Tactical U.S. Market Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the ASG Diversifying Strategies Fund (Consolidated), ASG Global Alternatives Fund (Consolidated), ASG Managed Futures Strategy Fund (Consolidated) and ASG Tactical U.S. Market Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2013, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 24, 2014

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2013 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2013, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Tactical U.S. Market Fund		8.12	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2013.

Fund	Amount
Global Alternatives Fund	$	73,167,927
Tactical U.S. Market Fund		328,003

Qualified Dividend Income.  For the fiscal year ended December 31, 2013, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2013, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Tactical U.S. Market Fund		17.10	%

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Daniel M. Cain (1945)	Trustee Since 1996 Chairman of the Contract Review and Governance Committee	Chairman of Cain Brothers & Company, Incorporated (investment banking)	42 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee Since 2008 Chairman of the Audit Committee	Retired	42 None	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Edmond J. English (1953)	Trustee Since 2013 Contract Review and Governance Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)
Wendell J. Knox (1948)	Trustee Since 2009 Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee Since 2012 Contract Review and Governance Committee Member	Chancellor and faculty member, University of Massachusetts Lowell	42 None	Experience on the Board and on the board of other business organizations; experience as Chancellor of the University of Massachusetts Lowell; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee Since 1993 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	42 Director, Verizon Communications (telecommunications company); Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee Since 2009 Audit Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	42 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee Since 2009 Audit Committee Member	Retired	42 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee Since 2005 Contract Review and Governance Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	42 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	42 None	Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee Since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	42 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
John T. Hailer5 (1960)	Trustee Since 2000	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	42 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

²  The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

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Trustee and Officer Information

³  Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. and Director of Loomis Sayles Investment Asia Pte., Ltd.

⁴  Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵ Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUST
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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ANNUAL REPORT

December 31, 2013

McDonnell Intermediate Municipal Bond Fund

Natixis Diversified Income Fund

Natixis U.S. Multi-Cap Equity Fund

TABLE OF CONTENTS

Portfolio Review  page 1  

Portfolio of Investments  page 19

Financial Statements  page 52

Notes to Financial Statements page 65

Barron’s/Lipper 2013 one-year fund family ranking based on 64 qualifying U.S. fund companies. Each fund family must have at least three funds in Lipper’s general U.S.-stock category, one world (global and international), one mixed-asset/balanced (stocks and bonds), two taxable bond and one tax-exempt bond fund. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

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

Objective

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

Market Conditions

Higher interest rates and a steepening yield curve (a graph of Treasury yields, from short-term to long-term) characterized much of the year, and most areas of the municipal market registered modestly negative returns for the first time since 2008. Much of the pressure during 2013 was driven by fears of the Federal Reserve (the Fed) ‘tapering’ its bond-buying program, which was initiated in September of 2012. The issue of on-again, off-again tapering was closely correlated with most of the interest rate volatility that the bond market experienced during the second and third quarters. During the past year, yields in the municipal market rose by more than 100 basis points from the 10-year part of the curve and longer, while yields rose more modestly on the shorter part of the curve. Municipals outperformed Treasuries across much of the curve, with the exception of the longer-end, which bore the brunt of mutual fund liquidations stemming from a steady drumbeat of shareholder redemptions. In addition to the rate increases of the past year, the market has been characterized by strong investor preference for shorter maturity securities inside of 10 years. Despite well-publicized fiscal woes facing a few high profile issuers, the credit environment broadly continued to improve. Alongside improving credit fundamentals, spreads (the yield difference between U.S, Treasuries and other fixed-income sectors) have narrowed, particularly on the shorter-end of the curve, where the limited availability of investment grade municipals continues to be met with strong demand from investors seeking additional yield.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of McDonnell Intermediate Municipal Bond Fund returned -2.66% at net asset value. The fund underperformed its benchmark, the Barclays 3-15 Year Blend Municipal Bond Index, which returned -1.24%.

Explanation of Fund Performance

Fund performance was hurt by generally rising interest rates across the bond market. The municipal market, in particular, faced pressure from mutual fund liquidations necessitated by a significant level of shareholder redemptions that occurred during the year. The municipal market this past year was in some ways a mirror image of the market in the

1  |

previous year. In 2013, rates rose and the yield curve steepened, in contrast to 2012 when rates fell and the yield curve flattened. Also, investors reversed course with mutual fund outflows that exceeded 2012 inflows by a comfortable margin.

The fund underperformed the benchmark in large part because of an overweight in the 10- to 15-year portion of the curve, as well as a portfolio structure that was somewhat more sensitive to changes in interest rates due to holding fewer shorter duration callable bonds than the index. With regard to exposure to various states, the fund benefited significantly from lack of exposure to Commonwealth of Puerto Rico issuers, whose bonds severely underperformed the broad market during the period. In addition, fund performance was hurt somewhat by an underweight relative to the index in California exposure, as valuations tightened following the passage of California Proposition 30, which temporarily boosted marginal tax rates for higher income residents.

With a significant rise in interest rates during the year, the fund actively executed tax loss harvesting trades, repositioned along the yield curve and increased its income component. Tax loss harvesting allows the fund to carry forward losses realized to offset potential future gains in an effort to reduce negative tax consequences. With respect to yield curve positioning, at the beginning of the year, the fund was positioned with a considerable overweight versus its benchmark in the 6- to 7-year portion of the yield curve. Given a significant rise in interest rates, particularly in the long end of the curve during the second and third quarters, the fund reduced its weight in the middle portion of the intermediate curve and extended further out on the yield curve to take advantage of relative underperformance, attractive security valuations and higher yields. The result of tax loss harvesting and yield curve repositioning enhanced the income component of the fund by increasing the average acquisition yield of fund holdings.

Outlook

The economic recovery is in its fifth year, and we expect that it will continue and perhaps accelerate modestly in 2014 as fiscal drag at the federal level moderates. The Fed, while announcing its intention to reduce its bond purchases, has also strengthened forward guidance, indicating the expectation that near-zero short-term rates would likely be in place well into 2015. The global credit crisis and subsequent Great Recession coincided with massive private deleveraging and credit contraction. There is little evidence to suggest that re-leveraging, tight labor markets or accelerating inflation are anywhere on the near-term horizon. Last year’s rate rise, while painful to endure, has resulted in a significant improvement in fixed-income valuation metrics, as higher rates provide more potential cushion should rates continue to drift higher.

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MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2012 (inception) through December 31, 2013

3  |

Average Annual Total Returns — December 31, 2013⁴

	1 Year			Life of Fund
Class A (Inception 12/31/12)1
NAV		-2.66	%		-2.66	%
With 3.50% Maximum Sales Charge		-6.08			-6.08
Class C (Inception 12/31/12)1
NAV		-3.35			-3.35
With CDSC2		-4.32			-4.32
Class Y (Inception 12/31/12)1
NAV		-2.31			-2.31
Comparative Performance
Barclays 3-15 Year Blend Municipal Bond Index3		-1.24			-1.24

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

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

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

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

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

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NATIXIS DIVERSIFIED INCOME FUND

Managers	Symbols
Dividend Equity Segment	Class A    IIDPX
Active Investment Advisors	Class C    CIDPX
(a division of NGAM Advisors, L.P.)	Class Y    YIDPX
Diversified REIT Segment
AEW Capital Management, L.P.
Inflation Protected Securities Segment
Multi-Sector Bond Segment
Loomis, Sayles & Company, L.P.

Objective

Seeks current income with a secondary objective of capital appreciation

Market Conditions

Economic growth picked up in the United States in 2013, and the global economy showed signs of recovery, as the euro zone emerged from recession and key emerging markets stabilized in the second half of the year. Solid new job growth helped bolster U.S. consumer confidence, and the nation’s housing market continued to heal despite rising mortgage rates. Robust durable goods production, supported by rising auto sales, contributed to solid manufacturing activity. Despite a host of concerns over spending cuts, budget and debt ceiling standoffs and a Federal Reserve (the Fed) poised to begin its wind down of stimulus measures in 2014, investors bid stocks and other risky assets higher over the course of the year. Convertible bonds and high-yield bonds, both domestic and foreign, delivered modest gains. However, the threat of rising interest rates weighed on U.S. government bond sectors and real estate investment trusts (REITs), which lost some ground in 2013. Treasury Inflation Protected Securities (TIPS) was the weakest fixed-income sector for the year.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Natixis Diversified Income Fund returned 5.84% at net asset value. The portfolio outperformed its primary benchmark, the Barclays U.S. Aggregate Bond Index, which returned -2.02%. The fund also outperformed its secondary benchmark, which returned 3.83% for the period. This benchmark is a blended, unmanaged index composed of 40% Barclays U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones U.S. Select Dividend™ Index and 15% Barclays U.S. TIPS Index.

Explanation of Fund Performance

Natixis Diversified Income Fund allows investors to participate in four income-oriented market segments, each featuring a different investment discipline. They are:

· Active Dividend Equity Segment, an indexed portfolio of dividend-paying common stocks, based on the Dow Jones U.S. Select Dividend™ Index, and tracked by Active Investment Advisors (AIA), a division of NGAM Advisors, L.P.

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· AEW Diversified REIT Segment, composed of REITs. This segment is managed by AEW Capital Management, L.P. (“AEW”), a specialist in this income-producing equity field.

· Loomis Sayles Inflation Protected Securities Segment, a portfolio of TIPS. The segment is managed by Loomis, Sayles & Company, L.P. (“Loomis Sayles”).

· Loomis Sayles Multi-Sector Bond Segment, a portfolio composed of domestic and foreign bonds also managed by Loomis Sayles.

The Loomis Sayles Multi-Sector Bond segment most contributed to the fund’s outperformance relative to its secondary benchmark for the 12 months ended December 31, 2013.

Active Dividend Equity Segment

This segment is designed to replicate the Dow Jones U.S. Select Dividend™ Index by holding substantially all of the securities in the index in the same proportions. The benchmark is composed of 100 of the highest dividend-paying equity securities (other than REITs) in the Dow Jones U.S. Total Stock Market Index — a broad based index designed to represent the total market for U.S. equity securities.

The Dow Jones U.S. Select Dividend™ Index returned 29.06% for the 12-month period ended December 31, 2013. Industrials, utilities and financials made the strongest contribution to index gains, while telecommunications, technology and energy were the weakest performers for the period. Telecommunications was the only sector with a negative return for the year. As of December 31, 2013, the largest sectors in the index were generally the same as at the beginning of the period: utilities, industrials and consumer staples.

During the course of the year, 12 stocks were deleted from the index and 12 replacements were named. Heinz and NYSE Euronext were both acquired and therefore dropped from the index. Briggs & Stratton was also removed. Philip Morris, Old Republic International and Intel were added to the index. As a result of year-end index rebalancing, Allstate, Hubbell, Hudson City Bancorp, International Flavors & Fragrances, McGraw Hill Financial, Mondelez International, PPG Industries, Sensient Technologies and Watsco were removed from the index and replaced with Campbell Soup, Ensco, Federated Investors, HollyFrontier, IDACORP, Questar, Staples, Wisconsin Energy and Xcel Energy.

AEW Diversified REIT Segment

The U.S. REIT sector returned 2.47%, as measured by the MSCI U.S. REIT Index, for the 12-month period ended December 31, 2013. Despite suffering through what was a volatile year, some uncertainty over the Fed’s tapering timetable was reduced as the Fed announced in December that it would be taking the first steps toward normalizing monetary policy by reducing its bond purchases beginning in January. The fund’s REIT segment benefited from solid sector allocation, which was partially offset by negative stock selection results in

|  6

NATIXIS DIVERSIFIED INCOME FUND

the industrial, healthcare and diversified sectors. Among the strongest contributors were healthcare REIT Omega Healthcare Investors and hotel REITs Pebblebrook and RLJ Lodging. Detractors from performance were American Campus Communities, Armada Hoffler Properties and HCP.

While the overall economic outlook has improved, this also makes rising interest rates more likely as we begin 2014. Key determinants of where REIT values are headed are how fast and far interest rates rise, and how much improving economic fundamentals offset the impact of any rate increases. Interest rates are not the only factor determining REIT performance, as REITs benefit from income growth as property fundamentals improve. This should allow REITs to deliver positive returns under most scenarios where interest rates rise at a slow to moderate pace, though a large, rapid increase would likely be a negative. REIT valuations are back in line with historical averages after several years at elevated valuations. AEW’s U.S. Relative Value Index begins the year at fair value, the most attractive valuations have looked at the start of a year since 2009.

Loomis Sayles Inflation Protected Securities Segment

Treasury inflation-protected securities (TIPS) posted negative total returns during the year, as interest rates moved higher and inflation remained tepid. Although short-term interest rates remained anchored by Fed policy, intermediate- to long-term yields began to shift higher in anticipation of a wind down in the Fed’s bond-buying program and an eventual tightening of monetary policy. Both observed inflation and inflation expectations trended lower during the year, negatively influencing TIPS (whose coupon payments are adjusted for inflation). The year-over-year change in the Consumer Price Index remained below the Fed’s target of 2% throughout much of the year, and forward-looking inflation expectations (as measured by forward breakeven rates) trended lower.

As a means to generate returns, the Inflation Protected Securities segment used interest rate swaps and swaptions (options on interest rate swaps). As a whole, these instruments aided performance during the year. The swaptions, which expressed our view that the yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) would steepen, were particularly beneficial. The Fund also utilized interest rate futures during the year to manage duration. The futures were additive & performed as expected.

Loomis Sayles Multi-Sector Bond Segment

The Multi-Sector Bond segment benefited from strong showings by individual convertible names, which allowed the sector to contribute positively to return. A considerable rally in the stock market during much of the year, specifically late in the fourth quarter, also buoyed equity-sensitive issues. In addition, the majority of the segment’s high yield holdings produced strong positive returns throughout the year, as investors continued to favor higher-beta (higher risk/reward potential) assets in their search for yield. Industrial names generally were the biggest contributors to performance, while financial and utility names also aided results.

The segment held a basket of common stocks and American depositary receipts (ADRs, which are certificates issued by U.S. banks in U.S. dollars that represent shares in foreign companies) during the year. This allocation boosted performance, as the stocks benefited

7  |

from a strong equity market rally in 2013. Equity holdings in the oil refining, natural gas and automotive industries were the allocation’s largest contributors.

The segment’s underweight in U.S. Treasuries relative to the benchmark aided performance, as investors moved away from traditional “safe-haven” investments and toward higher-beta issues. Expectations for rising interest rates also prompted investors to move away from Treasuries.

The U.S. dollar’s value fluctuated during the year but trended toward appreciation, particularly in the latter half of 2013. The segment’s allocations to non-U.S.-dollar-denominated issues — particularly those denominated in the Brazilian real, Mexican peso and Canadian dollar — weighed on performance.

Growth of $10,000 Investment in Class A Shares⁵

November 17, 2005 (inception) through December 31, 2013

|  8

NATIXIS DIVERSIFIED INCOME FUND

Average Annual Total Returns — December 31, 2013⁵

	1 Year			5 Year			Life of Class A, C			Life of Class Y
Class A (Inception 11/17/05)
NAV		5.84	%		14.86	%		6.59	%		—
With 4.50% Maximum Sales Charge		1.05			13.81			5.98			—
Class C (Inception 11/17/05)
NAV		4.98			13.98			5.78			—
With CDSC2		3.98			13.98			5.78			—
Class Y (Inception 12/3/12)1
NAV		5.93			14.89			—			6.82	%
Comparative Performance
Barclays U.S. Aggregate Bond Index3		-2.02			4.44			4.88			-1.98
Blended Index4		3.83			10.61			6.15			4.34

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

1 Prior to the inception of Class Y shares (12/3/2012), performance is that of Class A shares and reflects the higher net expenses of that share class.

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

3 Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

4 Blended Index is an unmanaged, blended index composed of the following weights: 40% Barclays U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones U.S. Select Dividend^™ Index, and 15% Barclays U.S. TIPS Index. The four indices composing the Blended Index measure, respectively, the performance of investment-grade fixed-income securities, equity REIT securities, dividend-yielding equity securities, and Treasury inflation-protected securities. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancings of the fund’s investment portfolio, and the relative weightings of the asset classes in the fund will generally differ to some extent from the weightings in the Blended Index.

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

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NATIXIS U.S. MULTI-CAP EQUITY FUND

Managers	Symbols
Harris Associates Segment	Class A    NEFSX
Harris Associates L.P.	Class B    NESBX
Large Cap Growth Segment	Class C    NECCX
Mid Cap Growth Segment	Class Y    NESYX
Small/Mid Cap Core Segment
Loomis, Sayles & Company, L.P.

Objective

Seeks long-term growth of capital

Market Conditions

Economic growth picked up in the United States in 2013, and the global economy showed signs of recovery, as the euro zone emerged from recession and key emerging markets stabilized in the second half of the year. Solid new job growth helped bolster U.S. consumer confidence, and the nation’s housing market continued to heal despite rising mortgage rates. Robust durable goods production, supported by rising auto sales, contributed to solid manufacturing activity. Despite a host of concerns over spending cuts, budget and debt ceiling standoffs and a Federal Reserve (the Fed) poised to begin its wind down of stimulus measures in 2014, investors bid stocks and other risky assets higher over the course of the year. Small-cap growth stocks were the period’s strongest performers, with a nearly 10 percentage point advantage over large-cap growth stocks. Overall, small-caps outperformed large- and mid-cap stocks, and growth stocks edged out value stocks.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Natixis U.S. Multi-Cap Equity Fund returned 35.75% at net asset value. For the same period, the S&P 500^® Index (the Fund’s primary benchmark) returned 32.39%, the Wilshire 4500 Index returned 38.39% and the S&P MidCap 400^® Index returned 33.50%.

Explanation of Fund Performance

Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks and strategies:

· The Harris Associates L.P. segment invests primarily in common stocks of large- and mid-cap companies that they believe are trading at a substantial discount to their “true business value.”

· Loomis, Sayles & Company, L.P. manages three segments. One invests in mid-cap growth stocks, one invests in large-cap growth stocks and one focuses on small/mid-cap core stocks.

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NATIXIS U.S. MULTI-CAP EQUITY FUND

Each fund segment contributed 30%+ returns for the period, led by the Harris Associates segment and the Loom Sayles is Large Cap Growth segment on the strength of superior stock selection. Commentary on each segment follows below.

The Harris Associates Segment

Because we are value investors with an emphasis on individual stock selection, the segment’s sector weights are a byproduct of our bottom-up investment process. Sector-wise, industrials gained the most value during the year, followed by consumer discretionary shares. Securities held in the consumer staples sector posted the lowest collective return for the period.

The leading contributors to the segment’s performance in 2013 were MasterCard, Applied Materials and Wells Fargo. MasterCard reported what we consider to be strong earnings throughout the year. We recently met with MasterCard’s management, which stated that the company remains focused on “digital conversion” (paper to electronic forms of spending) and expanding market share through new co-branded products and commercial cards, along with other initiatives. Management continues to repurchase shares and increase its dividend to reward shareholders, which remains a priority at MasterCard. We continue to believe that MasterCard has a unique combination of competitive strength, secular growth, and low capital intensity. Applied Materials experienced a number of positive events during the year that boosted its stock price. The company experienced strengthening sales and gross margins along with market share increases during the year, and announced a new long-term growth and profitability strategy and financial model. Also, investors responded positively to news that Applied Materials is acquiring competitor Tokyo Electron in an all-stock transaction. Wells Fargo continues to build its credit quality, and its balance sheet remains strong in our view. Wells Fargo also announced earlier in the year that it is raising its dividend more than 80% (from $0.48 to $0.88 per share for the year). We think Wells Fargo continues to execute quite well in an environment of low interest rates, which has proved challenging to many banks.

The segment’s holdings with the lowest returns in 2013 were Apache, Caterpillar and Unilever. Apache was the largest detractor from the segment’s performance, and was sold from the portfolio during the first quarter of the year. When investors consider exploration and production company stocks, they are increasingly looking for companies that can find and produce oil and gas efficiently and at low cost. For many years, Apache was seen by its peers as a cost leader, but the company’s statistics have been eroding meaningfully, which limited its ability to grow intrinsic value per share, a characteristic that we demand in our investments. Caterpillar released weaker-than-expected earnings per share early in the year, which hurt its share price. However, our investment thesis remains intact: Caterpillar’s strong brand is built on tangible product benefits, it offers unique customer-specific cost analysis and its dealer network is a significant and often overlooked asset. We met with Caterpillar’s management during the year. Going forward, management believes miners will focus more intensely on improving productivity at existing mines. This works to Caterpillar’s advantage, as the company is the industry technology leader with a substantial dealer service/support network. Unilever’s fiscal first-half results included revenue growth of 5% (constant currency) including strong emerging markets growth of 10% (the ninth

11  |

straight quarter of double-digit growth). However, overall organic growth was short of the company’s estimate (+5.5%) for the period. Nonetheless, margins improved by what we consider to be a notable amount from a combination of both product mix and cost savings across multiple aspects of the business. We think Unilever has the potential to maintain its steady value growth through a high quality formula of end market demand.

Loomis Sayles Large Cap Growth Segment

The Growth segment posted robust performance for the 12-month period, primarily due to stock selection in the information technology and financials sectors. Stock selection in the healthcare, industrials and consumer staples sectors, along with the allocation to consumer discretionary, detracted from performance.

Social networking company Facebook, one of the segment’s top ten holdings, was the largest contributor to performance. We first purchased Facebook in the second quarter of 2012 at the company’s initial public offering and have since added to our position on price weakness. Facebook reported strong results throughout the year, with key metrics above consensus expectation. The company’s mobile platform was the primary driver of performance. Facebook also continued to demonstrate strong user growth, positive engagement trends, product innovation and strong financials. Additionally, in December Standard & Poor’s announced it would add Facebook to the broad S&P 500^® Index. We believe Facebook continues to offer a compelling reward-to-risk opportunity.

Global online search and advertising leader Google, another top ten holding, was also a top contributor to performance. Google reported solid results with strong revenue and margin growth, driven by increased advertising revenue through mobile, video and online channels. We believe Google continues to offer a disruptive business model in the advertising and technology industries, allowing it to persistently gain market share. Because market expectations continue to discount Google’s ability to deliver long-term sustainable growth, we believe the company is selling at a meaningful discount to intrinsic value.

Blue Nile, a major online jewelry retailer, was the largest performance detractor. Blue Nile’s new management team has been shifting its strategic focus to the fashion jewelry segment, away from its core diamond engagement business. With fewer competitive advantages and increased business risk due to required inventory, the cash flow characteristics of the company’s new business model became less attractive and lowered our intrinsic value estimate. We were further concerned this strategic shift signaled management’s lack of conviction in the growth prospects for the diamond business. Given the negative structural changes in Blue Nile’s strategy, we sold the position during the second quarter of 2013 and reallocated the capital to more compelling reward-to-risk opportunities.

In addition, semiconductor company Altera slightly detracted from performance, reporting mixed quarterly results, due in part to a shortfall in emerging market mobile technology advancements. The semiconductor industry as a whole experienced similar weakness, but we believe the downturn is short term and shares of Altera are trading at a discount to our estimate of intrinsic value.

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NATIXIS U.S. MULTI-CAP EQUITY FUND

Loomis Sayles Mid Cap Growth Segment

The Mid Cap Growth segment generated strong performance during the 12-month period, primarily due to solid results in the consumer discretionary, technology and healthcare sectors.

Consumer discretionary made the largest contribution to returns. The segment’s two strongest performers in the sector were Melco Crown Entertainment (Melco), an operator of three casinos in Macau, and Lions Gate Entertainment, a leading independent film and television producer and distributor. Visitation to Macau has been robust, and Melco has been gaining market share in the lucrative mass-market segment. It also entered into a joint venture to open a casino in the Philippines. For Lions Gate, the company has strung together several strong quarters on both the top and bottom line. In addition, the stock rose on high expectations for the November release of Catching Fire, the next installment of the Hunger Games franchise. Within the technology sector, LinkedIn, a leading online professional network, was the top contributor. The company has increased user engagement with its platform by offering new features and functionality, and it continues to report strong results.

The segment’s weakest holding was Ulta Salon Cosmetics & Fragrance, a beauty products retailer that has been gaining share from department store competitors as it continues to expand its product offerings and move into new geographies. The stock sold off in the first quarter of 2013 following the unexpected departure of the CEO, and again in the third quarter after reporting weak results and providing disappointing guidance for 2014.

After a strong fourth quarter in 2012, the segment’s homebuilders experienced a modest correction during the spring of 2013, followed by a more severe selloff that began in late June, as mortgage rates rose after the Fed warned it might begin to taper the pace of mortgage-backed bond purchases. The fund’s position in D.R. Horton, the nation’s largest homebuilder, was a primary detractor. The company reported a mixed fiscal year third quarter (strong margins but disappointing orders), and management noted sales had moderated in response to higher mortgage rates. Finally, a position in Rackspace Hosting, a provider of outsourced IT infrastructure and cloud computing solutions, also detracted from performance. The company has been migrating its cloud customers to its next-generation platform, which was disruptive to operations and revenues.

The segment owned out-of-the-money puts on Medivation, a biopharmaceutical company, as a hedge against the risk of failure in a key clinical trial. For the reporting period, Medivation puts were a small drag on performance, as implied volatility declined once the clinical events transpired. We also owned calls on Cobalt International Energy to gain investment exposure to several high-impact exploratory drilling programs. Cobalt calls declined in value when the drilling programs had disappointing results. While the segment’s derivative positions detracted modestly from return, all instruments behaved as expected. We no longer own the puts on Medivation or the calls on Cobalt.

13  |

Loomis Sayles Small/Mid Cap Core Segment

Small cap stocks were the strongest-performing segment of the U.S. equity market during the 12-month period. In this environment, the Small/Mid Cap segment posted strong performance, led by robust results from Alliance Data Systems Corporation, Jarden Corporation and Avis Budget Group. Alliance Data Systems, a provider of co-branded credit cards and customer loyalty programs, had a strong year due to excellent credit performance in the private label business, strong receivable growth and stable earnings from its loyalty programs. Jarden, a consumer products company with more than 120 brands, continued to show solid earnings growth. Further, the company recently added the Yankee Candle Company to its portfolio. Avis Budget Group, a leading provider of vehicle rental services in North America, Europe and Australia, rose on continued structural improvements in the car rental industry.

A position in NETGEAR, a provider of networking equipment to small businesses, consumers and telecom carriers, was a primary detractor from performance. The company reported disappointing earnings and provided lower revenue guidance for the first quarter of 2014. In addition, positions in two real estate investment trusts (REITs) — Digital Realty Trust, which owns and manages technology-related real estate, and American Campus Communities, an owner, operator and developer of student housing projects, detracted from performance. Rising interest rates weighed on both REITs. We sold our positions in NETGEAR, Digital Realty Trust and American Campus Communities during 2013.

Growth of $10,000 Investment in Class A Shares⁵

December 31, 2003 through December 31, 2013

See notes to chart on page 15.

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NATIXIS U.S. MULTI-CAP EQUITY FUND

Average Annual Total Returns — December 31, 2013⁵

	1 Year			5 Years			10 Years
Class A (Inception 7/7/94)
NAV		35.75	%		20.92	%		9.29	%
With 5.75% Maximum Sales Charge		27.93			19.50			8.65
Class B (Inception 7/7/94)
NAV		34.70			20.01			8.48
With CDSC1		29.70			19.81			8.48
Class C (Inception 7/7/94)
NAV		34.69			20.01			8.47
With CDSC1		33.69			20.01			8.47
Class Y (Inception 11/15/94)
NAV		36.06			21.22			9.65
Comparative Performance
S&P 500® Index2		32.39			17.94			7.41
Wilshire 4500 Index3		38.39			22.47			10.24
S&P MidCap 400® Index4		33.50			21.89			10.36

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

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

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

3 Wilshire 4500 Index is an unmanaged index that measures the performance of U.S. small- and mid-cap stocks.

4 S&P MidCap 400^® Index is an unmanaged index that measures the performance of the mid-cap segment of the U.S. equities market.

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

15  |

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2013 through December 31, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,005.80		$4.04
Hypothetical (5% return before expenses)		$1,000.00		$1,021.17		$4.08
Class C
Actual		$1,000.00		$1,003.10		$7.83
Hypothetical (5% return before expenses)		$1,000.00		$1,017.39		$7.88
Class Y
Actual		$1,000.00		$1,007.10		$2.78
Hypothetical (5% return before expenses)		$1,000.00		$1,022.43		$2.80

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

17  |

NATIXIS DIVERSIFIED INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,031.70		$5.68
Hypothetical (5% return before expenses)		$1,000.00		$1,019.61		$5.65
Class C
Actual		$1,000.00		$1,027.00		$9.50
Hypothetical (5% return before expenses)		$1,000.00		$1,015.83		$9.45
Class Y
Actual		$1,000.00		$1,032.20		$4.41
Hypothetical (5% return before expenses)		$1,000.00		$1,020.87		$4.38

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.11%, 1.86% and 0.86% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

NATIXIS U.S. MULTI-CAP EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,195.00		$7.19
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.61
Class B
Actual		$1,000.00		$1,190.30		$11.32
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class C
Actual		$1,000.00		$1,190.30		$11.32
Hypothetical (5% return before expenses)		$1,000.00		$1,014.87		$10.41
Class Y
Actual		$1,000.00		$1,196.50		$5.81
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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Portfolio of Investments – as of December 31, 2013

McDonnell Intermediate Municipal Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 89.2% of Net Assets
	Municipals — 89.2%
		Arizona — 3.5%
$	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024	$	335,595
	400,000	Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022		454,728
				790,323
		California — 7.6%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		278,300
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		437,585
	500,000	Kern High School District, GO, Refunding, 5.000%, 8/01/2023		572,840
	400,000	Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025		442,844
				1,731,569
		Colorado — 9.1%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		276,853
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		414,820
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		446,880
	400,000	Denver City & County, Airport System Revenue, Series B, 5.000%, 11/15/2029		420,724
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		526,455
				2,085,732
		Connecticut — 3.6%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		418,466
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		409,943
				828,409
		Florida — 9.5%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		535,550
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		266,752
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		461,460
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		444,340
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		466,360
				2,174,462
		Georgia — 3.7%
	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021		568,000
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		266,543
				834,543

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of December 31, 2013

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Hawaii — 2.0%
$	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016	$	445,280
		Illinois — 3.7%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028		398,127
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		112,464
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		342,634
				853,225
		Kentucky — 1.4%
	275,000	Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037		331,185
		Massachusetts — 0.7%
	150,000	Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018		165,798
		Michigan — 2.6%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		591,652
		Minnesota — 3.7%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		277,940
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		334,248
	200,000	Northern Municipal Power Agency Electric System Revenue, Series A, 5.000%, 1/01/2023		223,286
				835,474
		Missouri — 2.4%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		544,925
		New Jersey — 5.9%
	400,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030		422,528
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		292,796
	580,000	New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM Insured), 5.000%, 6/15/2019		619,359
				1,334,683
		New York — 1.7%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		392,966
		Ohio — 6.8%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		444,336

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of December 31, 2013

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Ohio — continued
$	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023	$	587,550
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		520,010
				1,551,896
		Pennsylvania — 5.1%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		384,858
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		282,652
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		491,935
				1,159,445
		Texas — 9.7%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		285,625
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		437,228
	500,000	Harris County Health Facilities Development Corp. Revenue, Memorial Hermann Healthcare System, Prerefunded 12/01/2018@100, Series B, 7.125%, 12/01/2031		636,805
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		405,604
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		443,892
				2,209,154
		Utah — 1.2%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		275,663
		Washington — 5.3%
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		512,525
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		442,592
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		258,668
				1,213,785
		Total Bonds and Notes (Identified Cost $20,855,117)		20,350,169
	Short-Term Investments — 11.8%
	2,681,354	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $2,681,354 on 1/02/2014 collateralized by $2,400,000 Federal Farm Credit Bank, 4.875% due 1/17/2017 valued at $2,737,303 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,681,354)		2,681,354
		Total Investments — 101.0% (Identified Cost $23,536,471)(a)		23,031,523
		Other assets less liabilities — (1.0)%		(225,997	)
		Net Assets — 100.0%	$	22,805,526

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of December 31, 2013

McDonnell Intermediate Municipal Bond Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized depreciation on investments based on a cost of $23,536,471 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	$	35,395
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(540,343	)
	Net unrealized depreciation	$	(504,948	)
AGM	Assured Guaranty Municipal Corporation
AMT	Alternative Minimum Tax
GO	General Obligation
NATL-RE	National Public Finance Guarantee Corporation

Holdings Summary at December 31, 2013 (Unaudited)

Medical	17.7	%
Higher Education	13.4
General Obligation	13.1
General	9.4
Water	8.3
Transportation	7.9
Airport	5.2
School District	4.5
Power	4.4
Utilities	3.4
Education	1.9
Short-Term Investments	11.8
Total Investments	101.0
Other assets less liabilities	(1.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund

Shares		Description	Value (†)
	Common Stocks — 50.6% of Net Assets
		Aerospace & Defense — 1.8%
	4,667	General Dynamics Corp.	$	445,932
	3,892	Honeywell International, Inc.		355,612
	7,234	Lockheed Martin Corp.		1,075,406
	4,242	Northrop Grumman Corp.		486,176
				2,363,126
		Automobiles — 0.8%
	10,180	Ford Motor Co.		157,077
	21,908	General Motors Co.(b)		895,380
				1,052,457
		Beverages — 0.2%
	5,217	Coca-Cola Co. (The)		215,514
		Biotechnology — 0.1%
	13,804	PDL BioPharma, Inc.		116,506
		Capital Markets — 0.2%
	7,285	Federated Investors, Inc., Class B		209,808
		Chemicals — 0.3%
	5,459	Olin Corp.		157,492
	4,534	RPM International, Inc.		188,207
				345,699
		Commercial Banks — 1.0%
	5,901	Bank of Hawaii Corp.		348,985
	4,959	BB&T Corp.		185,070
	7,200	F.N.B. Corp.		90,864
	5,590	First Niagara Financial Group, Inc.		59,366
	5,471	FirstMerit Corp.		121,620
	6,481	Trustmark Corp.		173,950
	7,693	United Bankshares, Inc.		241,945
	8,444	Valley National Bancorp		85,453
				1,307,253
		Commercial Services & Supplies — 0.8%
	3,816	Deluxe Corp.		199,157
	6,361	Pitney Bowes, Inc.		148,211
	10,221	R.R. Donnelley & Sons Co.		207,282
	5,733	Republic Services, Inc.		190,336
	6,236	Waste Management, Inc.		279,809
				1,024,795
		Computers & Peripherals — 0.3%
	6,486	Seagate Technology PLC		364,254
		Containers & Packaging — 0.5%
	4,505	Avery Dennison Corp.		226,106
	5,350	MeadWestvaco Corp.		197,576
	5,757	Sonoco Products Co.		240,182
				663,864

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Distributors — 0.3%
	4,923	Genuine Parts Co.	$	409,544
		Diversified Telecommunication Services — 0.7%
	9,911	AT&T, Inc.		348,471
	13,148	CenturyLink, Inc.		418,764
	7,493	Telefonica S.A., Sponsored ADR		122,435
				889,670
		Electric Utilities — 3.8%
	8,167	American Electric Power Co., Inc.		381,726
	6,010	Cleco Corp.		280,186
	5,579	Edison International		258,308
	10,200	Entergy Corp.		645,354
	8,275	Exelon Corp.		226,652
	12,800	FirstEnergy Corp.		422,144
	6,364	IDACORP, Inc.		329,910
	5,989	NextEra Energy, Inc.		512,778
	6,709	Northeast Utilities		284,394
	4,648	OGE Energy Corp.		157,567
	8,075	Pinnacle West Capital Corp.		427,329
	9,375	PPL Corp.		282,094
	7,095	UNS Energy Corp.		424,636
	7,586	Xcel Energy, Inc.		211,953
				4,845,031
		Electrical Equipment — 0.5%
	4,425	Eaton Corp. PLC		336,831
	4,842	Emerson Electric Co.		339,812
				676,643
		Energy Equipment & Services — 0.4%
	9,685	Ensco PLC, Class A		553,788
		Food & Staples Retailing — 0.2%
	5,870	Sysco Corp.		211,907
		Food Products — 0.4%
	5,741	Campbell Soup Co.		248,470
	5,616	General Mills, Inc.		280,295
				528,765
		Gas Utilities — 1.1%
	7,778	AGL Resources, Inc.		367,355
	4,250	National Fuel Gas Co.		303,450
	7,201	New Jersey Resources Corp.		332,974
	4,875	Oneok, Inc.		303,128
	6,082	Questar Corp.		139,825
				1,446,732
		Hotels, Restaurants & Leisure — 1.0%
	7,990	Darden Restaurants, Inc.		434,416
	13,100	Hilton Worldwide Holdings, Inc.(b)		291,475

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Hotels, Restaurants & Leisure — continued
	6,358	McDonald’s Corp.	$	616,917
				1,342,808
		Household Durables — 1.0%
	6,985	Garmin Ltd.		322,847
	10,525	KB Home		192,397
	7,751	Leggett & Platt, Inc.		239,816
	4,919	Tupperware Brands Corp.		464,993
				1,220,053
		Household Products — 0.9%
	5,611	Clorox Co. (The)		520,476
	5,747	Kimberly-Clark Corp.		600,332
				1,120,808
		Industrial Conglomerates — 0.1%
	5,348	General Electric Co.		149,904
		Insurance — 0.9%
	5,690	Arthur J. Gallagher & Co.		267,032
	6,110	Cincinnati Financial Corp.		319,981
	9,626	Mercury General Corp.		478,508
	8,272	Old Republic International Corp.		142,857
				1,208,378
		Leisure Equipment & Products — 0.2%
	5,925	Mattel, Inc.		281,912
		Media — 0.4%
	5,721	Cinemark Holdings, Inc.		190,681
	6,179	Meredith Corp.		320,072
				510,753
		Metals & Mining — 0.2%
	4,671	Cliffs Natural Resources, Inc.		122,427
	4,613	Commercial Metals Co.		93,782
				216,209
		Multi Utilities — 3.8%
	6,959	Alliant Energy Corp.		359,085
	8,481	Avista Corp.		239,079
	5,715	Black Hills Corp.		300,095
	6,794	CenterPoint Energy, Inc.		157,485
	7,342	CMS Energy Corp.		196,545
	6,654	Dominion Resources, Inc.		430,447
	7,421	DTE Energy Co.		492,680
	9,615	Integrys Energy Group, Inc.		523,152
	6,069	NiSource, Inc.		199,549
	8,450	PG&E Corp.		340,366
	8,446	Public Service Enterprise Group, Inc.		270,610
	8,198	SCANA Corp.		384,732
	5,428	Sempra Energy		487,217

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Multi Utilities — continued
	9,780	TECO Energy, Inc.	$	168,607
	7,050	Wisconsin Energy Corp.		291,447
				4,841,096
		Oil, Gas & Consumable Fuels — 1.5%
	6,124	Chevron Corp.		764,949
	7,465	ConocoPhillips		527,402
	13,029	HollyFrontier Corp.		647,411
				1,939,762
		Pharmaceuticals — 0.9%
	5,166	Bristol-Myers Squibb Co.		274,573
	7,330	Eli Lilly & Co.		373,830
	6,568	Merck & Co., Inc.		328,728
	5,859	Pfizer, Inc.		179,461
				1,156,592
		Real Estate Management & Development — 0.5%
	1,500	Alexander & Baldwin, Inc.		62,595
	27,500	Forest City Enterprises, Inc., Class A(b)		525,250
				587,845
		Real Estate Management/Services — 0.1%
	11,700	American Homes 4 Rent, Class A		189,540
		REITs – Apartments — 3.6%
	12,100	American Campus Communities, Inc.		389,741
	11,700	AvalonBay Communities, Inc.		1,383,291
	6,800	BRE Properties, Inc.		372,028
	10,000	Camden Property Trust		568,800
	37,100	Equity Residential		1,924,377
				4,638,237
		REITs – Diversified — 2.5%
	13,200	American Assets Trust, Inc.		414,876
	21,500	DuPont Fabros Technology, Inc.		531,265
	14,700	EPR Properties		722,652
	16,700	First Potomac Realty Trust		194,221
	17,700	Liberty Property Trust		599,499
	7,900	Vornado Realty Trust		701,441
				3,163,954
		REITs – Healthcare — 2.6%
	34,000	HCP, Inc.		1,234,880
	17,300	Health Care REIT, Inc.		926,761
	19,800	Ventas, Inc.		1,134,144
				3,295,785
		REITs – Hotels — 1.4%
	70,700	Host Hotels & Resorts, Inc.		1,374,408
	18,600	RLJ Lodging Trust		452,352
				1,826,760

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs – Manufactured Homes — 0.4%
	12,800	Equity Lifestyle Properties, Inc.	$	463,744
		REITs – Multi Asset Class — 0.1%
	11,600	Armada Hoffler Properties, Inc.		107,648
		REITs – Office Property — 3.5%
	8,500	Alexandria Real Estate Equities, Inc.		540,770
	27,000	BioMed Realty Trust, Inc.		489,240
	15,600	Boston Properties, Inc.		1,565,772
	14,800	Douglas Emmett, Inc.		344,692
	22,800	Empire State Realty Trust, Inc., Class A		348,840
	19,900	Kilroy Realty Corp.		998,582
	11,000	Piedmont Office Realty Trust, Inc., Class A		181,720
				4,469,616
		REITs – Regional Malls — 3.8%
	12,800	Macerich Co. (The)		753,792
	24,000	Simon Property Group, Inc.		3,651,840
	7,700	Taubman Centers, Inc.		492,184
				4,897,816
		REITs – Shopping Centers — 2.3%
	11,700	Acadia Realty Trust		290,511
	37,200	DDR Corp.		571,764
	8,200	Federal Realty Investment Trust		831,562
	18,500	Ramco-Gershenson Properties Trust		291,190
	12,400	Regency Centers Corp.		574,120
	22,200	Retail Opportunity Investments Corp.		326,784
				2,885,931
		REITs – Single Tenant — 0.3%
	10,700	National Retail Properties, Inc.		324,531
		REITs – Storage — 2.0%
	17,200	CubeSmart		274,168
	17,000	Extra Space Storage, Inc.		716,210
	10,300	Public Storage		1,550,356
				2,540,734
		REITs – Warehouse/Industrials — 1.3%
	45,900	ProLogis, Inc.		1,696,005
		Semiconductors & Semiconductor Equipment — 0.1%
	6,889	Intel Corp.		178,838
		Specialty Retail — 0.1%
	5,650	Staples, Inc.		89,779
		Thrifts & Mortgage Finance — 0.2%
	11,603	New York Community Bancorp, Inc.		195,511
	8,283	People’s United Financial, Inc.		125,239
				320,750

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Tobacco — 1.5%
	9,528	Altria Group, Inc.	$	365,780
	8,132	Lorillard, Inc.		412,130
	8,181	Philip Morris International, Inc.		712,811
	7,524	Universal Corp.		410,810
				1,901,531
		Trading Companies & Distributors — 0.0%
	176	United Rentals, Inc.(b)		13,719
		Total Common Stocks (Identified Cost $60,482,343)		64,806,394
Principal Amount (‡)
	Bonds and Notes — 45.6%
	Non-Convertible Bonds — 42.2%
		ABS Car Loan — 0.9%
$	100,000	Ford Credit Auto Owner Trust, Series 2011-B, Class A4, 1.350%, 12/15/2016		100,653
	160,000	Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.570%, 10/15/2017		160,188
	310,000	Honda Auto Receivables Owner Trust, Series 2013-2, Class A3, 0.530%, 2/16/2017		309,899
	80,000	Nissan Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.940%, 9/15/2017		80,982
	48,000	Nissan Auto Receivables Owner Trust, Series 2013-A, Class A3, 0.500%, 5/15/2017		47,975
	325,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018		324,133
	94,000	World Omni Auto Receivables Trust, Series 2013-A, Class A3, 0.640%, 4/16/2018		93,969
				1,117,799
		ABS Credit Card — 0.6%
	300,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.407%, 5/15/2020(c)		299,017
	100,000	Chase Issuance Trust, Series 2012-A5, Class A5, 0.590%, 8/15/2017		100,011
	100,000	Chase Issuance Trust, Series 2012-A8, Class A8, 0.540%, 10/16/2017		99,864
	298,000	Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2, 0.444%, 5/26/2020(c)		296,609
				795,501
		ABS Home Equity — 2.4%
	57,222	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		59,412
	62,705	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		63,618
	101,950	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		103,092
	140,302	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.583%, 11/20/2034(c)		131,169
	41,550	Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035		41,913

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	78,995	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035	$	79,167
	79,918	Banc of America Mortgage Securities, Inc., Series 2004-8, Class 1A19, 5.500%, 10/25/2034		82,294
	107,970	Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.910%, 2/25/2034(c)		106,519
	34,724	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.944%, 2/25/2035(c)		34,431
	4,313	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.686%, 1/25/2035(c)		4,179
	13,740	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.595%, 7/25/2034(c)		13,486
	117,739	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		121,059
	188,981	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		181,646
	51,595	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		52,651
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		24,207
	59,644	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		61,346
	26,810	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.503%, 9/20/2034(c)		25,588
	39,801	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.435%, 4/25/2035(c)		32,464
	12,219	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035		12,180
	17,901	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		18,199
	14,809	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		15,068
	78,530	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.102%, 7/19/2035(c)		71,676
	72,223	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.761%, 12/25/2034(c)		65,000
	108,076	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.742%, 12/25/2034(c)		106,771
	200,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(c)		195,582
	125,864	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.590%, 5/19/2034(c)		123,210
	11,661	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.805%, 7/25/2045(c)		10,931
	49,825	JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.753%, 7/25/2035(c)		49,969
	50,694	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.325%, 1/25/2047(c)		36,366
	53,131	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		55,225
	52,292	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		53,959
	75,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		74,868
	56,491	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.755%, 5/25/2036(c)		49,306

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	75,000	Residential Accredit Loans, Inc., Series 2003-QS17, Class CB5, 5.500%, 9/25/2033	$	77,719
	42,964	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.656%, 9/25/2034(c)		42,034
	157,192	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		165,923
	41,083	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034		41,327
	36,662	WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.530%, 3/25/2034(c)		36,364
	123,341	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.406%, 1/25/2035(c)		122,661
	85,957	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		88,595
	11,348	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.949%, 12/25/2046(c)		10,684
	23,792	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.899%, 4/25/2047(c)		20,951
	44,473	Wells Fargo Mortgage Backed Securities, Series 2003-N, Class 1A2, 2.484%, 12/25/2033(c)		45,302
	59,224	Wells Fargo Mortgage Backed Securities Trust, Series 2003-M, Class A1, 2.619%, 12/25/2033(c)		59,887
	99,554	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 3.305%, 2/25/2034(c)		100,075
	53,989	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		54,407
				3,022,480
		ABS Other — 0.2%
	280,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		284,200
		Aerospace & Defense — 0.4%
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		169,261
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		281,411
				450,672
		Airlines — 1.5%
	50,000	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		48,750
	35,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		34,037
	200,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		204,048
	180,000	British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A		187,951
	20,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		20,600
	80,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		83,600

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	38,491	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022	$	44,022
	12,900	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		14,093
	755,597	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d)		800,933
	124,860	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		136,098
	110,207	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		122,880
	172,602	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		182,095
				1,879,107
		Automotive — 0.0%
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		40,000
		Banking — 3.3%
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		76,560
	600,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		235,244
	500,000	Bank of Montreal, 1.950%, 1/30/2018		512,592
	500,000	Bank of Nova Scotia, 1.950%, 1/30/2017		512,700
	355,000	Citigroup, Inc., 5.500%, 9/13/2025		373,900
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		107,921
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		26,356
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		21,323
	250,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.625%, 12/01/2023		251,755
	100,000	HBOS PLC, 6.000%, 11/01/2033, 144A		96,387
	200,000	ING Bank NV, 5.800%, 9/25/2023, 144A		209,119
	100,000	Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A		109,498
	120,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		93,021
	400,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		431,388
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		104,248
	65,000	Morgan Stanley, 5.000%, 11/24/2025		65,194
	175,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		171,588
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		95,045
	720,000	Morgan Stanley, MTN, 4.100%, 5/22/2023(d)		696,781
	40,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(g)		46,499
				4,237,119
		Brokerage — 0.5%
	140,000	Jefferies Group LLC, 5.125%, 1/20/2023		141,605
	45,000	Jefferies Group LLC, 6.250%, 1/15/2036		43,425
	20,000	Jefferies Group LLC, 6.450%, 6/08/2027		20,781
	295,000	Jefferies Group LLC, 6.500%, 1/20/2043		292,518
	95,000	Jefferies Group LLC, 6.875%, 4/15/2021		108,208
				606,537
		Building Materials — 0.3%
	25,000	HD Supply, Inc., 7.500%, 7/15/2020		26,938
	170,000	Masco Corp., 5.850%, 3/15/2017		186,575
	40,000	Masco Corp., 6.500%, 8/15/2032		39,300

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Building Materials — continued
$	15,000	Masco Corp., 7.750%, 8/01/2029	$	16,472
	300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		105,224
				374,509
		Chemicals — 0.2%
	200,000	Hercules, Inc., 6.500%, 6/30/2029		174,000
	25,000	Methanex Corp., 5.250%, 3/01/2022		26,467
				200,467
		Collateralized Mortgage Obligations — 0.0%
	24,866	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.652%, 1/25/2036(c)		23,522
		Commercial Mortgage-Backed Securities — 1.5%
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		292,660
	75,000	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048		77,015
	200,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(c)		203,442
	400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(c)		401,424
	185,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(c)		187,968
	100,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		100,082
	25,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		25,827
	100,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.597%, 4/12/2049(c)		109,119
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.804%, 8/12/2045, 144A(c)		109,233
	100,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		99,033
	130,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048		139,548
	125,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.465%, 2/15/2044, 144A(c)		126,286
				1,871,637
		Consumer Products — 0.1%
	160,000	Avon Products, Inc., 5.000%, 3/15/2023		155,555
		Diversified Manufacturing — 0.1%
	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		190,000
		Electric — 0.9%
	500,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		508,750
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		62,881
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		47,214
	100,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		106,765
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		287,740

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	265,975	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250% (12.250% PIK), 12/01/2018, 144A(e)	$	184,853
				1,198,203
		Financial Other — 0.1%
	200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		178,000
		Food & Beverage — 0.0%
	50,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		51,089
		Government Guaranteed — 0.1%
	165,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		146,559
		Government Owned – No Guarantee — 0.5%
	59,000	Ecopetrol S.A., 5.875%, 9/18/2023		62,245
	600,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A		522,000
				584,245
		Healthcare — 1.2%
	25,000	HCA, Inc., 7.050%, 12/01/2027		24,625
	75,000	HCA, Inc., 7.500%, 12/15/2023		81,000
	520,000	HCA, Inc., 7.500%, 11/06/2033		520,000
	310,000	HCA, Inc., 7.690%, 6/15/2025		323,950
	20,000	HCA, Inc., 8.360%, 4/15/2024		22,000
	140,000	HCA, Inc., MTN, 7.580%, 9/15/2025		145,250
	50,000	HCA, Inc., MTN, 7.750%, 7/15/2036		49,750
	345,000	Owens & Minor, Inc., 6.350%, 4/15/2016		376,421
				1,542,996
		Home Construction — 0.8%
	40,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		40,000
	80,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		85,600
	80,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(f)		9,000
	105,000	KB Home, 7.250%, 6/15/2018		115,763
	150,000	KB Home, 7.500%, 9/15/2022		157,875
	145,000	Lennar Corp., 4.750%, 11/15/2022		134,487
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		67,800
	515,000	Pulte Group, Inc., 6.375%, 5/15/2033		466,075
				1,076,600
		Independent Energy — 0.8%
	60,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		41,250
	85,000	Continental Resources, Inc., 4.500%, 4/15/2023		86,169
	240,000	Newfield Exploration Co., 5.625%, 7/01/2024		238,800
	400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f)		32,000
	200,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(f)		16,000
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		170,738
	50,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		50,750
	45,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		47,700
	105,000	Southwestern Energy Co., 4.100%, 3/15/2022		104,088
	125,000	Talisman Energy, Inc., 3.750%, 2/01/2021		121,019

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	100,000	Whiting Petroleum Corp., 5.750%, 3/15/2021	$	103,500
				1,012,014
		Life Insurance — 0.4%
	85,000	American International Group, Inc., 4.875%, 6/01/2022		91,360
	300,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		363,000
				454,360
		Local Authorities — 1.0%
	260,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		334,164
	780,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)(d)		793,951
	140,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		119,951
				1,248,066
		Lodging — 0.0%
	35,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		37,363
	1,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,103
				38,466
		Media Cable — 0.1%
	10,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		9,275
	40,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		30,303
	30,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		24,858
				64,436
		Metals & Mining — 1.5%
	255,000	Alcoa, Inc., 5.900%, 2/01/2027		249,856
	40,000	Alcoa, Inc., 6.750%, 1/15/2028		41,980
	100,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022		86,250
	245,000	ArcelorMittal, 6.000%, 3/01/2021		259,700
	135,000	ArcelorMittal, 6.750%, 2/25/2022		146,813
	225,000	ArcelorMittal, 7.250%, 3/01/2041		214,875
	100,000	ArcelorMittal, 7.500%, 10/15/2039		98,250
	75,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		72,214
	250,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A		199,749
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		204,000
	200,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		180,000
	10,000	United States Steel Corp., 6.650%, 6/01/2037		8,600
	145,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		146,875
				1,909,162
		Non-Captive Consumer — 1.0%
	15,000	SLM Corp., 4.875%, 6/17/2019		14,947
	412,000	SLM Corp., 5.500%, 1/25/2023		389,180
	5,000	SLM Corp., MTN, 5.500%, 1/15/2019		5,189
	180,000	SLM Corp., MTN, 7.250%, 1/25/2022		190,350
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		63,684
	95,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		110,675
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		302,400

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Captive Consumer — continued
$	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023	$	119,075
	115,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		125,695
				1,321,195
		Non-Captive Diversified — 1.1%
	165,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		170,811
	110,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		119,618
	25,000	CIT Group, Inc., 5.000%, 8/15/2022		24,375
	30,000	CIT Group, Inc., 5.000%, 8/01/2023		28,875
	400,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(g)		447,000
	15,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		12,731
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		85,200
	80,000	International Lease Finance Corp., 6.250%, 5/15/2019		86,600
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		40,950
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		124,084
	140,000	iStar Financial, Inc., 7.125%, 2/15/2018		154,350
	70,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		73,500
				1,368,094
		Oil Field Services — 0.0%
	28,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		29,680
		Packaging — 0.1%
	65,000	Sealed Air Corp., 6.500%, 12/01/2020, 144A		69,875
		Paper — 0.2%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		241,788
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,768
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		36,710
				284,266
		Pharmaceuticals — 0.5%
	620,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		653,325
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		15,900
	10,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		10,763
				679,988
		Pipelines — 0.1%
	70,000	Energy Transfer Partners LP, 5.200%, 2/01/2022		73,696
	100,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		105,313
				179,009
		Retailers — 1.5%
	125,000	Advance Auto Parts, Inc., 4.500%, 12/01/2023		124,939
	215,000	Best Buy Co., Inc., 5.000%, 8/01/2018		225,213
	255,000	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A		254,668
	211,250	CVS Pass Through Trust, 7.507%, 1/10/2032, 144A		251,827
	400,000	Dillard’s, Inc., 6.625%, 1/15/2018		443,000
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		209,100

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Retailers — continued
$	100,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027	$	111,428
	225,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		255,325
	55,000	Toys R Us, Inc., 7.375%, 10/15/2018		40,700
	65,000	William Carter Co. (The), 5.250%, 8/15/2021, 144A		65,975
				1,982,175
		Sovereigns — 0.2%
	700,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		259,616
		Supermarkets — 0.4%
	35,000	Delhaize Group S.A., 5.700%, 10/01/2040		33,184
	320,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		230,400
	260,000	SUPERVALU, Inc., 6.750%, 6/01/2021		256,750
				520,334
		Supranational — 0.1%
	400,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		169,122
		Technology — 1.4%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		415,950
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		341,250
	110,000	Arrow Electronics, Inc., 3.000%, 3/01/2018		110,057
	195,000	Flextronics International Ltd., 5.000%, 2/15/2023		182,812
	280,000	Hewlett-Packard Co., 4.650%, 12/09/2021		288,309
	415,000	Jabil Circuit, Inc., 4.700%, 9/15/2022		398,400
				1,736,778
		Treasuries — 13.1%
	240,000	Canadian Government, 2.750%, 9/01/2016, (CAD)(d)		234,813
	515,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		501,987
	15,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		22,264
	160,000	Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)		247,714
	140,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		1,100,105
	31,500(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		246,289
	7,300(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		71,394
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		238,833
	205,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, 144A, (EUR)		259,884
	180,000	Spain Government Bond, 4.650%, 7/30/2025, (EUR)		254,168
	965,111	U.S. Treasury Inflation Indexed Bond, 0.625%, 2/15/2043(h)		742,079
	1,669,880	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(d)(h)		1,962,370
	4,745,743	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2017(h)		4,877,732
	171,770	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(h)		175,192
	3,003,003	U.S. Treasury Inflation Indexed Note, 0.125%, 1/15/2022(h)		2,886,168
	2,671,212	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2022(h)		2,558,730
	182,140	U.S. Treasury Inflation Indexed Note, 0.125%, 1/15/2023(h)		172,023
	85,309	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2023(h)		82,277
	1,960,000	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		110,827
				16,744,849

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wireless — 1.2%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)	$	288,703
	230,000	American Tower Corp., 4.700%, 3/15/2022		229,896
	495,000	Sprint Capital Corp., 6.875%, 11/15/2028		466,538
	20,000	Sprint Capital Corp., 8.750%, 3/15/2032		21,450
	480,000	Sprint Corp., 7.875%, 9/15/2023, 144A		516,000
				1,522,587
		Wirelines — 1.9%
	10,000	CenturyLink, Inc., 5.625%, 4/01/2020		10,175
	80,000	CenturyLink, Inc., 7.650%, 3/15/2042		71,400
	240,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		213,600
	75,000	Embarq Corp., 7.995%, 6/01/2036		75,933
	175,000	Frontier Communications Corp., 7.125%, 3/15/2019		188,562
	35,000	Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A		35,350
	75,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		79,500
	70,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		76,650
	85,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		95,200
	400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		152,591
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		15,750
	269,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		233,021
	402,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		363,810
	40,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		38,500
	45,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		45,000
	75,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		79,677
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		79,136
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		82,676
	100,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		176,665
	205,000	Verizon Communications, Inc., 5.150%, 9/15/2023		220,107
	110,000	Verizon Communications, Inc., 6.400%, 9/15/2033		126,513
				2,459,816
		Total Non-Convertible Bonds (Identified Cost $54,865,091)		54,080,685
	Convertible Bonds — 3.4%
		Automotive — 0.2%
	115,000	Ford Motor Co., 4.250%, 11/15/2016		212,175
		Construction Machinery — 0.2%
	190,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		289,631
	20,000	Trinity Industries, Inc., 3.875%, 6/01/2036		26,338
				315,969
		Healthcare — 0.1%
	95,000	Hologic, Inc., Series 2010, (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(i)		110,734
		Home Construction — 0.8%
	160,000	Lennar Corp., 2.750%, 12/15/2020, 144A		294,500
	240,000	Lennar Corp., 3.250%, 11/15/2021, 144A		431,400

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Home Construction — continued
$	220,000	Standard Pacific Corp., 1.250%, 8/01/2032	$	291,225
				1,017,125
		Independent Energy — 0.1%
	75,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		76,125
		Life Insurance — 0.1%
	100,000	Old Republic International Corp., 3.750%, 3/15/2018		124,375
		Metals & Mining — 0.2%
	135,000	Peabody Energy Corp., 4.750%, 12/15/2066		106,734
	85,000	United States Steel Corp., 2.750%, 4/01/2019		112,519
				219,253
		Oil Field Services — 0.1%
	135,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		160,059
		Pharmaceuticals — 0.4%
	8,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		8,475
	12,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		12,833
	75,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		247,359
	65,000	Mylan, Inc., 3.750%, 9/15/2015		213,119
				481,786
		REITs – Mortgage — 0.1%
	70,000	iStar Financial, Inc., 3.000%, 11/15/2016		95,550
		Retailers — 0.2%
	246,000	priceline.com, Inc., 0.350%, 6/15/2020, 144A		280,286
	20,000	priceline.com, Inc., 1.000%, 3/15/2018		27,575
				307,861
		Technology — 0.9%
	65,000	Ciena Corp., 3.750%, 10/15/2018, 144A		93,641
	300,000	Intel Corp., 2.950%, 12/15/2035		336,000
	150,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		346,969
	35,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		79,691
	72,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		70,875
	70,000	Novellus Systems, Inc., 2.625%, 5/15/2041		116,987
	80,000	Xilinx, Inc., 2.625%, 6/15/2017		127,600
				1,171,763
		Textile — 0.0%
	45,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		61,847
		Total Convertible Bonds (Identified Cost $3,339,386)		4,354,622

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Municipals — 0.0%
		Michigan — 0.0%
$	45,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 (Identified Cost $44,998)	$	35,146
		Total Bonds and Notes (Identified Cost $58,249,475)		58,470,453
Shares
	Preferred Stocks — 1.4%
	Non-Convertible Preferred Stocks — 0.7%
		Banking — 0.7%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		117,469
	288	Ally Financial, Inc., Series G, 7.000%, 144A		275,067
	4,125	Countrywide Capital IV, 6.750%		102,671
	20,424	SunTrust Banks, Inc., Series E, 5.875%		428,904
		Total Non-Convertible Preferred Stocks (Identified Cost $879,854)		924,111
	Convertible Preferred Stocks — 0.7%
		Banking — 0.1%
	70	Wells Fargo & Co., Series L, Class A, 7.500%		77,350
		Electric — 0.0%
	276	NextEra Energy, Inc., 5.889%		15,630
		Independent Energy — 0.0%
	45	Chesapeake Energy Corp., Series A, 5.750%, 144A		52,144
		Metals & Mining — 0.1%
	3,937	Cliffs Natural Resources, Inc., 7.000%		90,393
		Non-Captive Diversified — 0.0%
	19	Bank of America Corp., Series L, 7.250%		20,159
		REITs – Healthcare — 0.1%
	2,311	Health Care REIT, Inc., Series I, 6.500%		118,462
		REITs – Mortgage — 0.1%
	1,780	iStar Financial, Inc., Series J, 4.500%		110,360
		Utility Other — 0.2%
	2,409	Dominion Resources, Inc., Series A, 6.125%		130,375
	2,890	Dominion Resources, Inc., Series B, 6.000%		156,667
				287,042
		Wireless — 0.1%
	890	Crown Castle International Corp., Series A, 4.500%		89,334
		Total Convertible Preferred Stocks (Identified Cost $820,440)		860,874
		Total Preferred Stocks (Identified Cost $1,700,294)		1,784,985

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

National Amount		Description	Value (†)
	Purchased Swaptions — 0.8%
		Interest Rate Swaptions — 0.8%
$	10,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 3-month LIBOR, Receive 0.674%(j)	$	26,481
	6,000,000	2-year Interest Rate Swap Put, expiring 9/19/2014, Pay 3-month LIBOR, Receive 1.080%(k)		37,218
	6,950,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 3-month LIBOR, Receive 1.378%(j)		528
	17,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.440%, Receive 3-month LIBOR(j)		957,110
		Total Purchased Swaptions (Identified Cost $1,007,753)		1,021,337
Principal Amount (‡)
	Short-Term Investments — 1.5%
	1,849,768	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $1,849,768 on 1/02/2014 collateralized by $1,750,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $1,892,188 including accrued interest (Note 2 of Notes to Financial Statements)		1,849,768
	125,000	U.S. Treasury Bill, 0.097%, 7/24/2014(l)(m)		124,946
		Total Short-Term Investments (Identified Cost $1,974,700)		1,974,714
		Total Investments — 99.9% (Identified Cost $123,414,565)(a)		128,057,883
		Other assets less liabilities — 0.1%		121,427
		Net Assets — 100.0%	$	128,179,310
Notional Amount
	Written Swaptions — (0.5)%
		Interest Rate Swaptions — (0.5)%
$	10,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 0.398%, Receive 3-month LIBOR(j)	$	(326	)
	6,950,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 0.957%, Receive 3-month LIBOR(j)		—
	17,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 3.940%(j)		(593,477	)
		Total Written Swaptions (Premiums Received $588,139)	$	(593,803	)
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2013, the net unrealized appreciation on investments based on a cost of $123,854,048 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	11,024,014
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,820,179	)
	Net unrealized appreciation	$	4,203,835
(b)	Non-income producing security.
(c)	Variable rate security. Rate as of December 31, 2013 is disclosed.
(d)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swaptions.
(e)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2013, the issuer has paid 100% of the interest payments in-kind.
(f)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(g)	Perpetual bond with no specified maturity date.
(h)	Treasury Inflation Protected Security (TIPS).
(i)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(j)	Counterparty is Citibank, N.A.
(k)	Counterparty is Credit Suisse International.
(l)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(m)	A portion of this security has been pledged as initial margin for open futures contracts.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, the value of Rule 144A holdings amounted to $10,592,137 or 8.3% 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
GMTN	Global Medium Term Note
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts
REMIC	Real Estate Mortgage Investment Conduit
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
COP	Colombian Peso
EUR	Euro
GBP	British Pound
MXN	Mexican Peso
NZD	New Zealand Dollar
PHP	Philippine Peso
UYU	Uruguayan Peso

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2013

Natixis Diversified Income Fund – (continued)

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		3/04/2014	British Pound		67,000	$	110,902	$	(2,791	)
Sell2		1/31/2014	Euro		838,000		1,152,821		4,072
Total								$	1,281

¹ Counterparty is Credit Suisse International.

² Counterparty is Barclays Bank PLC.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2014		2	$	256,625	$	3,871

Industry Summary at December 31, 2013 (Unaudited)

Treasuries	13.1	%
Banking	4.1
REITs – Regional Malls	3.8
Electric Utilities	3.8
Multi Utilities	3.8
REITs – Apartments	3.6
REITs – Office Property	3.5
REITs – Healthcare	2.7
REITs – Diversified	2.5
ABS Home Equity	2.4
REITs – Shopping Centers	2.3
Technology	2.2
Aerospace & Defense	2.2
REITs – Storage	2.0
Metals & Mining	2.0
Other Investments, less than 2% each	44.4
Short-Term Investments	1.5
Total Investments	99.9
Other assets less liabilities (including open written swaptions, forward foreign currency contracts and futures contracts)	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund

Shares		Description	Value (†)
	Common Stocks — 96.7% of Net Assets
		Air Freight & Logistics — 2.2%
	53,610	Expeditors International of Washington, Inc.	$	2,372,242
	34,600	FedEx Corp.		4,974,442
	22,384	United Parcel Service, Inc., Class B		2,352,111
				9,698,795
		Auto Components — 2.4%
	28,200	Autoliv, Inc.		2,588,760
	58,700	Delphi Automotive PLC		3,529,631
	31,138	Lear Corp.		2,521,244
	31,000	TRW Automotive Holdings Corp.(b)		2,306,090
				10,945,725
		Automobiles — 1.3%
	139,400	General Motors Co.(b)		5,697,278
		Beverages — 1.3%
	16,658	Beam, Inc.		1,133,744
	31,057	Coca-Cola Co. (The)		1,282,965
	1,793	Diageo PLC, Sponsored ADR		237,429
	28,582	Monster Beverage Corp.(b)		1,937,002
	27,415	SABMiller PLC, Sponsored ADR		1,405,841
				5,996,981
		Biotechnology — 1.9%
	9,803	Alexion Pharmaceuticals, Inc.(b)		1,304,387
	13,672	Amgen, Inc.		1,560,796
	22,323	Incyte Corp. Ltd.(b)		1,130,213
	15,064	Intercept Pharmaceuticals, Inc.(b)		1,028,570
	10,415	Isis Pharmaceuticals, Inc.(b)		414,934
	8,003	Pharmacyclics, Inc.(b)		846,557
	10,718	Puma Biotechnology, Inc.(b)		1,109,635
	3,904	Regeneron Pharmaceuticals, Inc.(b)		1,074,537
				8,469,629
		Building Products — 0.7%
	28,098	Armstrong World Industries, Inc.(b)		1,618,726
	32,545	Fortune Brands Home & Security, Inc.		1,487,306
				3,106,032
		Capital Markets — 4.9%
	9,119	Affiliated Managers Group, Inc.(b)		1,977,729
	13,394	Artisan Partners Asset Management, Inc.		873,155
	11,500	BlackRock, Inc.		3,639,405
	90,998	Franklin Resources, Inc.		5,253,315
	24,500	Goldman Sachs Group, Inc. (The)		4,342,870
	16,295	Greenhill & Co., Inc.		944,132
	43,234	Raymond James Financial, Inc.		2,256,382

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Capital Markets — continued
	55,881	SEI Investments Co.	$	1,940,747
	4,169	Virtus Investment Partners, Inc.(b)		834,008
				22,061,743
		Chemicals — 1.9%
	30,604	Axiall Corp.		1,451,854
	25,721	Cytec Industries, Inc.		2,396,168
	16,499	Westlake Chemical Corp.		2,014,033
	25,658	WR Grace & Co.(b)		2,536,807
				8,398,862
		Commercial Banks — 4.0%
	186,528	KeyCorp		2,503,206
	36,557	Prosperity Bancshares, Inc.		2,317,348
	17,143	Signature Bank(b)		1,841,501
	28,175	Texas Capital Bancshares, Inc.(b)		1,752,485
	63,600	US Bancorp		2,569,440
	149,400	Wells Fargo & Co.		6,782,760
				17,766,740
		Commercial Services & Supplies — 0.7%
	28,237	ADT Corp. (The)		1,142,751
	27,917	Rollins, Inc.		845,606
	11,610	Stericycle, Inc.(b)		1,348,734
				3,337,091
		Communications Equipment — 1.7%
	153,206	Cisco Systems, Inc.		3,439,475
	23,178	Palo Alto Networks, Inc.(b)		1,332,040
	36,574	QUALCOMM, Inc.		2,715,619
				7,487,134
		Computers & Peripherals — 0.3%
	15,855	3D Systems Corp.(b)		1,473,405
		Consumer Finance — 1.2%
	23,168	American Express Co.		2,102,033
	44,600	Capital One Financial Corp.		3,416,806
				5,518,839
		Diversified Consumer Services — 0.3%
	18,230	Ascent Media Corp., Class A(b)		1,559,759
		Diversified Financial Services — 3.1%
	36,557	CBOE Holdings, Inc.		1,899,502
	8,676	IntercontinentalExchange Group, Inc.		1,951,406
	94,800	JPMorgan Chase & Co.		5,543,904
	20,180	MarketAxess Holdings, Inc.		1,349,437
	79,457	NASDAQ OMX Group, Inc. (The)		3,162,388
				13,906,637

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Electric Utilities — 0.3%
	16,225	ITC Holdings Corp.	$	1,554,679
		Electrical Equipment — 0.7%
	62,555	Babcock & Wilcox Co.		2,138,755
	9,000	Rockwell Automation, Inc.		1,063,440
				3,202,195
		Electronic Equipment, Instruments & Components — 1.4%
	26,712	Amphenol Corp., Class A		2,382,176
	41,093	Avnet, Inc.		1,812,612
	32,301	Belden, Inc.		2,275,606
				6,470,394
		Energy Equipment & Services — 3.0%
	6,969	Dril-Quip, Inc.(b)		766,102
	79,572	Helix Energy Solutions Group, Inc.(b)		1,844,479
	50,000	National Oilwell Varco, Inc.		3,976,500
	41,945	Oceaneering International, Inc.		3,308,622
	16,591	Oil States International, Inc.(b)		1,687,636
	22,819	Schlumberger Ltd.		2,056,220
				13,639,559
		Food Products — 2.2%
	184,427	Danone, Sponsored ADR		2,677,880
	66,721	Darling International, Inc.(b)		1,393,134
	15,483	Hain Celestial Group, Inc. (The)(b)		1,405,547
	13,014	Ingredion, Inc.		890,938
	10,943	J.M. Smucker Co. (The)		1,133,914
	61,300	Unilever PLC, Sponsored ADR		2,525,560
				10,026,973
		Health Care Equipment & Supplies — 3.4%
	58,620	CareFusion Corp.(b)		2,334,249
	32,774	DexCom, Inc.(b)		1,160,527
	63,738	Hologic, Inc.(b)		1,424,544
	26,429	Insulet Corp.(b)		980,516
	24,600	Medtronic, Inc.		1,411,794
	19,280	Sirona Dental Systems, Inc.(b)		1,353,456
	20,168	Teleflex, Inc.		1,892,969
	24,196	Varian Medical Systems, Inc.(b)		1,879,787
	29,086	Zimmer Holdings, Inc.		2,710,524
				15,148,366
		Health Care Providers & Services — 1.3%
	40,466	MEDNAX, Inc.(b)		2,160,075
	22,531	Universal Health Services, Inc., Class B		1,830,869
	24,789	WellCare Health Plans, Inc.(b)		1,745,642
				5,736,586

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Health Care Technology — 0.5%
	8,625	athenahealth, Inc.(b)	$	1,160,062
	14,524	Medidata Solutions, Inc.(b)		879,719
				2,039,781
		Hotels, Restaurants & Leisure — 4.5%
	3,144	Chipotle Mexican Grill, Inc.(b)		1,675,060
	35,430	Dunkin’ Brands Group, Inc.		1,707,726
	33,689	Interval Leisure Group, Inc.		1,040,990
	87,500	Marriott International, Inc., Class A		4,319,000
	22,500	McDonald’s Corp.		2,183,175
	75,472	Melco Crown Entertainment Ltd., Sponsored ADR(b)		2,960,012
	42,600	Six Flags Entertainment Corp.		1,568,532
	24,700	Starwood Hotels & Resorts Worldwide, Inc.		1,962,415
	34,527	Wyndham Worldwide Corp.		2,544,295
				19,961,205
		Household Durables — 1.1%
	18,023	Harman International Industries, Inc.		1,475,183
	53,527	Jarden Corp.(b)		3,283,881
				4,759,064
		Household Products — 0.4%
	21,844	Procter & Gamble Co. (The)		1,778,320
		Industrial Conglomerates — 0.2%
	18,595	Raven Industries, Inc.		764,998
		Insurance — 2.5%
	105,800	American International Group, Inc.		5,401,090
	50,000	Aon PLC		4,194,500
	52,529	Brown & Brown, Inc.		1,648,885
				11,244,475
		Internet & Catalog Retail — 2.7%
	11,449	Amazon.com, Inc.(b)		4,565,747
	79,569	Liberty Interactive Corp., Class A(b)		2,335,350
	20,154	Liberty Ventures, Series A(b)		2,470,679
	7,371	Netflix, Inc.(b)		2,713,781
				12,085,557
		Internet Software & Services — 4.1%
	37,415	Cornerstone OnDemand, Inc.(b)		1,995,716
	60,018	Facebook, Inc., Class A(b)		3,280,584
	5,695	Google, Inc., Class A(b)		6,382,443
	30,988	IAC/InterActiveCorp		2,128,566
	10,904	LinkedIn Corp., Class A(b)		2,364,314
	39,149	Pandora Media, Inc.(b)		1,041,363
	16,309	Yelp, Inc.(b)		1,124,506
				18,317,492

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		IT Services — 4.3%
	11,986	Alliance Data Systems Corp.(b)	$	3,151,479
	12,309	Automatic Data Processing, Inc.		994,690
	4,500	MasterCard, Inc., Class A		3,759,570
	35,182	Teradata Corp.(b)		1,600,429
	31,607	Visa, Inc., Class A		7,038,247
	25,541	WEX, Inc.(b)		2,529,325
				19,073,740
		Life Sciences Tools & Services — 0.6%
	11,740	Mettler-Toledo International, Inc.(b)		2,848,007
		Machinery — 4.9%
	17,989	Actuant Corp., Class A		659,117
	23,500	Caterpillar, Inc.		2,134,035
	15,000	Cummins, Inc.		2,114,550
	17,390	Flowserve Corp.		1,370,854
	53,500	Illinois Tool Works, Inc.		4,498,280
	59,407	ITT Corp.		2,579,452
	16,766	Kadant, Inc.		679,358
	5,585	Middleby Corp. (The)(b)		1,340,232
	11,207	RBC Bearings, Inc.(b)		792,895
	56,658	TriMas Corp.(b)		2,260,088
	26,594	Trinity Industries, Inc.		1,449,905
	23,686	WABCO Holdings, Inc.(b)		2,212,509
				22,091,275
		Marine — 0.5%
	22,571	Kirby Corp.(b)		2,240,172
		Media — 3.7%
	69,200	Comcast Corp., Special Class A		3,451,696
	9,988	Discovery Communications, Inc., Class A(b)		903,115
	93,915	Entravision Communications Corp.		571,942
	20,500	Liberty Media Corp., Class A(b)		3,002,225
	44,494	Lions Gate Entertainment Corp.		1,408,680
	57,664	Live Nation Entertainment, Inc.(b)		1,139,441
	30,700	Omnicom Group, Inc.		2,283,159
	38,115	Sinclair Broadcast Group, Inc., Class A		1,361,849
	31,121	Starz, Class A(b)		909,978
	18,050	Tribune Co.(b)		1,397,070
				16,429,155
		Metals & Mining — 0.5%
	27,193	Reliance Steel & Aluminum Co.		2,062,317
		Multi Utilities — 0.3%
	44,872	CMS Energy Corp.		1,201,223
		Multiline Retail — 0.7%
	23,179	Dollar Tree, Inc.(b)		1,307,759
	24,800	Family Dollar Stores, Inc.		1,611,256
				2,919,015

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 2.7%
	20,129	Antero Resources Corp.(b)	$	1,276,984
	33,878	Cheniere Energy, Inc.(b)		1,460,819
	16,107	Clayton Williams Energy, Inc.(b)		1,319,969
	21,848	Diamondback Energy, Inc.(b)		1,154,885
	29,500	ExxonMobil Corp.		2,985,400
	34,203	Gulfport Energy Corp.(b)		2,159,920
	51,171	QEP Resources, Inc.		1,568,391
				11,926,368
		Pharmaceuticals — 2.3%
	14,112	Actavis PLC(b)		2,370,816
	14,137	Jazz Pharmaceuticals PLC(b)		1,789,179
	28,010	Mallinckrodt PLC(b)		1,463,802
	20,619	Merck & Co., Inc.		1,031,981
	25,574	Novartis AG, ADR		2,055,638
	44,396	Prestige Brands Holdings, Inc.(b)		1,589,377
				10,300,793
		REITs – Diversified — 0.3%
	35,995	Potlatch Corp.		1,502,431
		REITs – Healthcare — 0.4%
	75,111	Sabra Healthcare REIT, Inc.		1,963,402
		REITs – Office Property — 0.3%
	62,121	BioMed Realty Trust, Inc.		1,125,633
		REITs – Shopping Centers — 0.2%
	36,500	Brixmor Property Group, Inc.		742,045
		REITs – Storage — 0.3%
	18,646	Sovran Self Storage, Inc.		1,215,160
		Road & Rail — 2.3%
	53,069	Avis Budget Group, Inc.(b)		2,145,049
	43,081	Celadon Group, Inc.		839,218
	11,312	Genesee & Wyoming, Inc., Class A(b)		1,086,518
	14,115	J.B. Hunt Transport Services, Inc.		1,091,089
	15,523	Kansas City Southern		1,922,213
	19,700	Union Pacific Corp.		3,309,600
				10,393,687
		Semiconductors & Semiconductor Equipment — 5.5%
	4,926	Altera Corp.		160,243
	5,891	Analog Devices, Inc.		300,029
	253,200	Applied Materials, Inc.		4,479,108
	38,408	ARM Holdings PLC, Sponsored ADR		2,102,454
	16,821	Hittite Microwave Corp.(b)		1,038,360
	201,100	Intel Corp.		5,220,556
	93,013	Kulicke & Soffa Industries, Inc.(b)		1,237,073
	47,200	Lam Research Corp.(b)		2,570,040
	80,458	LSI Corp.		886,647
	33,860	Microchip Technology, Inc.		1,515,235

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — continued
	70,853	NXP Semiconductors NV(b)	$	3,254,278
	15,700	Texas Instruments, Inc.		689,387
	28,029	Xilinx, Inc.		1,287,092
				24,740,502
		Software — 5.2%
	38,279	Autodesk, Inc.(b)		1,926,582
	12,172	FactSet Research Systems, Inc.		1,321,636
	21,772	FireEye, Inc.(b)		949,477
	35,692	Informatica Corp.(b)		1,481,218
	24,242	MICROS Systems, Inc.(b)		1,390,764
	39,912	Microsoft Corp.		1,493,906
	13,336	NetSuite, Inc.(b)		1,373,875
	211,509	Oracle Corp.		8,092,334
	25,714	ServiceNow, Inc.(b)		1,440,241
	31,721	Splunk, Inc.(b)		2,178,281
	40,472	Synopsys, Inc.(b)		1,641,949
				23,290,263
		Specialty Retail — 2.9%
	23,800	Advance Auto Parts, Inc.		2,634,184
	24,600	CarMax, Inc.(b)		1,156,692
	9,795	Conn’s, Inc.(b)		771,748
	49,778	Lowe’s Cos., Inc.		2,466,500
	67,252	Sally Beauty Holdings, Inc.(b)		2,033,028
	23,300	Tiffany & Co.		2,161,774
	23,478	Tractor Supply Co.		1,821,423
				13,045,349
		Textiles, Apparel & Luxury Goods — 0.8%
	26,356	Michael Kors Holdings Ltd.(b)		2,139,844
	19,400	NIKE, Inc., Class B		1,525,616
				3,665,460
		Trading Companies & Distributors — 0.7%
	23,068	United Rentals, Inc.(b)		1,798,150
	14,066	WESCO International, Inc.(b)		1,280,991
				3,079,141
		Transportation Infrastructure — 0.4%
	31,213	Macquarie Infrastructure Co. LLC		1,698,924
		Water Utilities — 0.7%
	75,869	American Water Works Co., Inc.		3,206,224
		Total Common Stocks (Identified Cost $283,593,444)		432,914,580
	Closed-End Investment Companies — 0.5%
	106,323	Ares Capital Corp. (Identified Cost $1,497,686)		1,889,360

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 3.0%
$	13,506,279	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $13,506,279 on 1/02/2014 collateralized by $7,660,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $7,564,602; $5,755,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $6,222,594 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,506,279)	$	13,506,279
		Total Investments — 100.2% (Identified Cost $298,597,409)(a)		448,310,219
		Other assets less liabilities — (0.2)%		(689,125	)
		Net Assets — 100.0%	$	447,621,094
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $299,249,838 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	$	149,496,828
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(436,447	)
		Net unrealized appreciation	$	149,060,381
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of December 31, 2013

Natixis U.S. Multi-Cap Equity Fund – (continued)

Industry Summary at December 31, 2013 (Unaudited)

Semiconductors & Semiconductor Equipment	5.5	%
Software	5.2
Machinery	4.9
Capital Markets	4.9
Hotels, Restaurants & Leisure	4.5
IT Services	4.3
Internet Software & Services	4.1
Commercial Banks	4.0
Media	3.7
Health Care Equipment & Supplies	3.4
Diversified Financial Services	3.1
Energy Equipment & Services	3.0
Specialty Retail	2.9
Internet & Catalog Retail	2.7
Oil, Gas & Consumable Fuels	2.7
Insurance	2.5
Auto Components	2.4
Road & Rail	2.3
Pharmaceuticals	2.3
Food Products	2.2
Air Freight & Logistics	2.2
Other Investments, less than 2% each	24.4
Short-Term Investments	3.0
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

51  |

Statements of Assets and Liabilities

December 31, 2013

	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Multi-Cap Equity Fund
ASSETS
Investments at cost	$	20,855,117		$	121,564,797		$	285,091,130
Repurchase agreement(s) at cost		2,681,354			1,849,768			13,506,279
Net unrealized appreciation (depreciation)		(504,948	)		4,643,318			149,712,810
Investments at value		23,031,523			128,057,883			448,310,219
Cash		—			48,012			45,738
Foreign currency at value (identified cost $0, $16,271 and $0)		—			16,202			—
Receivable for Fund shares sold		199,994			133,489			271,313
Receivable from investment adviser (Note 6)		17,350			—			—
Receivable for securities sold		—			222,574			167,832
Collateral received for open interest rate swaptions (Notes 2 and 4)		—			260,000			—
Dividends and interest receivable		254,173			805,952			237,037
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			4,072			—
Tax reclaims receivable		—			314			—
Receivable for variation margin on futures contracts (Note 2)		—			938			—
TOTAL ASSETS		23,503,040			129,549,436			449,032,139
LIABILITIES
Swaptions written, at value (premiums received $0, $588,139 and $0) (Note 2)		—			593,803			—
Payable for securities purchased		641,084			24,869			93,950
Payable for Fund shares redeemed		52			266,472			313,008
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			2,791			—
Due to broker (Note 2)		—			260,000			—
Distributions payable		408			—			—
Management fees payable (Note 6)		—			59,155			266,521
Deferred Trustees’ fees (Note 6)		8,723			87,994			533,755
Administrative fees payable (Note 6)		806			4,789			16,203
Payable to distributor (Note 6d)		3			1,051			1,882
Other accounts payable and accrued expenses		46,438			69,202			185,726
TOTAL LIABILITIES		697,514			1,370,126			1,411,045
NET ASSETS	$	22,805,526		$	128,179,310		$	447,621,094
NET ASSETS CONSIST OF:
Paid-in capital	$	23,659,126		$	134,172,757		$	292,408,289
Distributions in excess of net investment income		(326	)		(165,741	)		(533,755	)
Accumulated net realized gain (loss) on investments, futures contracts, swaptions written, swap agreements and foreign currency transactions		(348,326	)		(10,468,946	)		6,033,750
Net unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		(504,948	)		4,641,240			149,712,810
NET ASSETS	$	22,805,526		$	128,179,310		$	447,621,094

See accompanying notes to financial statements.

|  52

Statements of Assets and Liabilities (continued)

December 31, 2013

	McDonnell Intermediate Municipal Bond Fund		Natixis Diversified Income Fund		Natixis U.S. Multi-Cap Equity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,046,988	$	79,038,962	$	371,101,597
Shares of beneficial interest		109,710		6,475,015		11,223,091
Net asset value and redemption price per share	$	9.54	$	12.21	$	33.07
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	9.89	$	12.79	$	35.09
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	—	$	—	$	7,707,956
Shares of beneficial interest		—		—		286,423
Net asset value and offering price per share	$	—	$	—	$	26.91
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	55,038	$	48,511,894	$	44,150,444
Shares of beneficial interest		5,772		3,985,803		1,640,094
Net asset value and offering price per share	$	9.54	$	12.17	$	26.92
Class Y shares:
Net assets	$	21,703,500	$	628,454	$	24,661,097
Shares of beneficial interest		2,274,594		51,545		679,052
Net asset value, offering and redemption price per share	$	9.54	$	12.19	$	36.32

See accompanying notes to financial statements.

53  |

Statements of Operations

For the Year Ended December 31, 2013

	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Multi-Cap Equity Fund
INVESTMENT INCOME
Dividends	$	—		$	2,236,615		$	4,696,408
Interest		328,976			2,514,144			391
Less net foreign taxes withheld		—			(1,392	)		(21,657	)
		328,976			4,749,367			4,675,142
Expenses
Management fees (Note 6)		78,518			761,527			3,162,705
Service and distribution fees (Note 6)		1,204			744,634			1,286,352
Administrative fees (Note 6)		8,665			61,123			174,513
Trustees’ fees and expenses (Note 6)		18,059			32,859			108,418
Transfer agent fees and expenses (Note 6)		718			99,417			552,211
Audit and tax services fees		43,492			49,195			58,746
Custodian fees and expenses		12,516			49,931			33,487
Legal fees		248			1,864			5,007
Registration fees		32,616			59,482			69,002
Shareholder reporting expenses		1,158			33,263			41,423
Miscellaneous expenses		8,608			16,008			16,957
Total expenses		205,802			1,909,303			5,508,821
Less waiver and/or expense reimbursement (Note 6)		(96,635	)		(2,263	)		(71,229	)
Net expenses		109,167			1,907,040			5,437,592
Net investment income (loss)		219,809			2,842,327			(762,450	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(348,326	)		7,138,276			37,957,408
Futures contracts		—			2,463			—
Swaptions written		—			(213,115	)		—
Swap agreements		—			(5,600	)		—
Foreign currency transactions		—			(105,061	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(347,464	)		(2,947,754	)		82,618,997
Futures contracts		—			3,871			—
Swaptions written		—			(7,069	)		—
Foreign currency translations		—			28,602			—
Net realized and unrealized gain (loss) on investments, futures contracts, swaptions written, swap agreements and foreign currency transactions		(695,790	)		3,894,613			120,576,405
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(475,981	)	$	6,736,940		$	119,813,955

See accompanying notes to financial statements.

|  54

Statements of Changes in Net Assets

	McDonnell Intermediate Municipal Bond Fund
	Year Ended December 31, 2013			Period Ended December 31, 2012(a)
FROM OPERATIONS:
Net investment income (loss)	$	219,809		$	(15,423	)
Net realized gain (loss) on investments		(348,326	)		—
Net change in unrealized appreciation (depreciation) on investments		(347,464	)		(157,484	)
Net decrease in net assets resulting from operations		(475,981	)		(172,907	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(3,763	)		—
Class C		(41	)		—
Class Y		(222,054	)		—
Total distributions		(225,858	)		—
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		8,678,272			15,002,000
Net increase in net assets		7,976,433			14,829,093
NET ASSETS
Beginning of the year		14,829,093			—
End of the year	$	22,805,526		$	14,829,093
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(326	)	$	—

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

See accompanying notes to financial statements.

55  |

Statements of Changes in Net Assets (continued)

	Natixis Diversified Income Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	2,842,327		$	2,365,007
Net realized gain on investments, futures contracts, swaptions written, swap agreements and foreign currency transactions		6,816,963			3,192,967
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		(2,922,350	)		6,339,253
Net increase in net assets resulting from operations		6,736,940			11,897,227
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(2,123,101	)		(1,812,951	)
Class C		(943,848	)		(841,232	)
Class Y		(21,931	)		(4	)
Total distributions		(3,088,880	)		(2,654,187	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(3,382,992	)		43,646,015
Net increase in net assets		265,068			52,889,055
NET ASSETS
Beginning of the year		127,914,242			75,025,187
End of the year	$	128,179,310		$	127,914,242
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(165,741	)	$	(111,602	)

See accompanying notes to financial statements.

|  56

Statements of Changes in Net Assets (continued)

	Natixis U.S. Multi-Cap Equity Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income (loss)	$	(762,450	)	$	573,658
Net realized gain on investments		37,957,408			21,303,004
Net change in unrealized appreciation (depreciation) on investments		82,618,997			33,931,856
Net increase in net assets resulting from operations		119,813,955			55,808,518
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(729,498	)
Class Y		—			(50,735	)
Net realized capital gains
Class A		(27,351,336	)		(14,045,378	)
Class B		(739,952	)		(644,004	)
Class C		(3,885,125	)		(1,754,423	)
Class Y		(1,541,929	)		(486,679	)
Total distributions		(33,518,342	)		(17,710,717	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		18,695,182			(24,263,141	)
Net increase in net assets		104,990,795			13,834,660
NET ASSETS
Beginning of the year		342,630,299			328,795,639
End of the year	$	447,621,094		$	342,630,299
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(533,755	)	$	(450,777	)

See accompanying notes to financial statements.

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Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains		Total distributions
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
Class A
12/31/2013	$	9.89	$	0.09		$	(0.35	)	$	(0.26	)	$	(0.09	)	$	—	$	(0.09	)
12/31/2012(f)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class C
12/31/2013		9.89		0.01			(0.34	)		(0.33	)		(0.02	)		—		(0.02	)
12/31/2012(f)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class Y
12/31/2013		9.88		0.11			(0.34	)		(0.23	)		(0.11	)		—		(0.11	)
12/31/2012(f)		10.00		(0.01	)		(0.11	)		(0.12	)		—			—		—

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

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

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

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

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

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

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

See accompanying notes to financial statements.

59  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%)(b)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)(e)			Gross expenses (%)(e)		Net investment income (loss) (%)(e)			Portfolio turnover rate(%)
$	9.54		(2.66	)	$	1,047		0.80			1.37		0.90			37
	9.89		(1.10	)		1		2.19	(g)		2.23		(0.71	)		0
	9.54		(3.35	)		55		1.55			2.08		0.14			37
	9.89		(1.10	)		1		2.20	(g)		2.24		(0.73	)		0
	9.54		(2.31	)		21,704		0.55			1.04		1.13			37
	9.88		(1.20	)		14,827		2.33	(g)		2.37		(0.84	)		0

See accompanying notes to financial statements.

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Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:							Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)		Total from investment operations		Dividends from net investment income			Distributions from net realized capital gains		Total distributions
NATIXIS DIVERSIFIED INCOME FUND
Class A
12/31/2013	$	11.83	$	0.29		$	0.40	$	0.69	$	(0.31	)	$	—	$	(0.31	)
12/31/2012		10.74		0.29			1.12		1.41		(0.32	)		—		(0.32	)
12/31/2011		10.41		0.34			0.40		0.74		(0.41	)		—		(0.41	)
12/31/2010		9.22		0.34			1.18		1.52		(0.33	)		—		(0.33	)
12/31/2009		7.18		0.36			1.97		2.33		(0.29	)		—		(0.29	)
Class C
12/31/2013		11.80		0.19			0.39		0.58		(0.21	)		—		(0.21	)
12/31/2012		10.71		0.20			1.12		1.32		(0.23	)		—		(0.23	)
12/31/2011		10.39		0.26			0.39		0.65		(0.33	)		—		(0.33	)
12/31/2010		9.20		0.27			1.17		1.44		(0.25	)		—		(0.25	)
12/31/2009		7.17		0.30			1.97		2.27		(0.24	)		—		(0.24	)
Class Y
12/31/2013		11.83		0.33			0.37		0.70		(0.34	)		—		(0.34	)
12/31/2012(f)		11.72		(0.02	)		0.18		0.16		(0.05	)		—		(0.05	)

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

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

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

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

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

(f) From commencement of Class operations on December 3, 2012, through December 31, 2012.

See accompanying notes to financial statements.

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						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)		Net assets, end of the period (000’s)		Net expenses (%) (d)(e)		Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
$	12.21		5.84	$	79,039		1.09		1.09		2.34			41
	11.83		13.22		78,216		1.11		1.11		2.53			29
	10.74		7.21		45,211		1.13		1.13		3.17			20
	10.41		16.73		35,787		1.19		1.19		3.51			28
	9.22		33.32		33,796		1.21		1.21		4.67			22
	12.17		4.98		48,512		1.84		1.84		1.59			41
	11.80		12.43		49,697		1.86		1.86		1.79			29
	10.71		6.33		29,814		1.88		1.88		2.42			20
	10.39		15.90		27,355		1.94		1.94		2.76			28
	9.20		32.24		25,301		1.96		1.96		3.90			22
	12.19		5.93		628		0.83		0.83		2.71			41
	11.83		1.35		1		1.00		1.00		(2.37	)		29

See accompanying notes to financial statements.

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Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
NATIXIS U.S. MULTI-CAP EQUITY FUND
Class A
12/31/2013	$	26.35	$	(0.04	)	$	9.34		$	9.30		$	—		$	(2.58	)	$	(2.58	)
12/31/2012		23.56		0.07			4.12			4.19			(0.07	)		(1.33	)		(1.40	)
12/31/2011		25.17		(0.04	)		(0.69	)		(0.73	)		—			(0.88	)		(0.88	)
12/31/2010		20.68		0.03	(h)		4.50			4.53			(0.04	)		—			(0.04	)
12/31/2009		15.16		(0.01	)		5.53			5.52			—			—			—
Class B
12/31/2013		21.98		(0.22	)		7.73			7.51			—			(2.58	)		(2.58	)
12/31/2012		19.93		(0.12	)		3.50			3.38			—			(1.33	)		(1.33	)
12/31/2011		21.60		(0.21	)		(0.58	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.85		(0.12	)(h)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.78			4.66			—			—			—
Class C
12/31/2013		21.99		(0.22	)		7.73			7.51			—			(2.58	)		(2.58	)
12/31/2012		19.94		(0.11	)		3.49			3.38			—			(1.33	)		(1.33	)
12/31/2011		21.61		(0.20	)		(0.59	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.86		(0.12	)(h)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.79			4.67			—			—			—
Class Y
12/31/2013		28.68		0.05			10.17			10.22			—			(2.58	)		(2.58	)
12/31/2012		25.52		0.17			4.46			4.63			(0.14	)		(1.33	)		(1.47	)
12/31/2011		27.12		0.04			(0.76	)		(0.72	)		—			(0.88	)		(0.88	)
12/31/2010		22.27		0.05	(h)		4.90			4.95			(0.10	)		—			(0.10	)
12/31/2009		16.29		0.04			5.94			5.98			—			—			—

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

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

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

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

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

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

(g) Effective June 1, 2011, the expense limit decreased to 1.30%, 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively.

(h) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively.

See accompanying notes to financial statements.

63  |

									Ratios to Average Net Assets:
Increase from regulatory settlements(b)		Net asset value, end of the period		Total return (%)(c)(d)			Net assets, end of the period (000’s)		Net expenses (%)(e)(f)			Gross expenses (%)(f)		Net investment income (loss) (%)(f)			Portfolio turnover rate(%)
$	—	$	33.07		35.75		$	371,102		1.30			1.32		(0.12	)		50
	—		26.35		17.79			289,898		1.30			1.35		0.25			52
	—		23.56		(2.79	)		281,467		1.34	(g)		1.38		(0.15	)		97
	0.00		25.17		21.90			314,384		1.40			1.50		0.14	(h)		79
	—		20.68		36.41			280,846		1.40			1.56		(0.05	)		115
	—		26.91		34.70			7,708		2.05			2.07		(0.89	)		50
	—		21.98		16.97			11,172		2.05			2.10		(0.55	)		52
	—		19.93		(3.53	)		16,820		2.10	(g)		2.13		(0.94	)		97
	0.00		21.60		21.01			28,787		2.15			2.25		(0.66	)(h)		79
	—		17.85		35.33			37,406		2.15			2.31		(0.80	)		115
	—		26.92		34.69			44,150		2.05			2.07		(0.86	)		50
	—		21.99		16.96			30,525		2.05			2.10		(0.49	)		52
	—		19.94		(3.53	)		28,462		2.09	(g)		2.13		(0.90	)		97
	0.00		21.61		21.00			30,912		2.15			2.25		(0.62	)(h)		79
	—		17.86		35.41			28,580		2.15			2.31		(0.80	)		115
	—		36.32		36.06			24,661		1.05			1.07		0.13			50
	—		28.68		18.15			11,035		1.05			1.10		0.61			52
	—		25.52		(2.56	)		2,047		1.09	(g)		1.14		0.16			97
	0.00		27.12		22.21			1,317		1.15			1.24		0.22	(h)		79
	—		22.27		36.71			5,325		1.15			1.22		0.20			115

See accompanying notes to financial statements.

|  64

Notes to Financial Statements

December 31, 2013

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

Natixis Funds Trust I:

Natixis Diversified Income Fund (the “Diversified Income Fund”)

Natixis U.S. Multi-Cap Equity Fund (the “U.S. Multi-Cap Equity Fund”)

Natixis Funds Trust II:

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

On February 14, 2013, Natixis Global Asset Management, L.P. (“Natixis US”) made an additional seed money investment of $5,000,000 in Intermediate Municipal Bond Fund.

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares of U.S. Multi-Cap Equity Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.

Class A shares are sold with a maximum front-end sales charge of 3.50%, 4.50% and 5.75%, for Intermediate Municipal Bond Fund, Diversified Income Fund and U.S. Multi-Cap Equity Fund, respectively. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in Funds’ prospectus.

Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each

65  |

Notes to Financial Statements (continued)

December 31, 2013

class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

a.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations 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 valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Centrally cleared interest rate swaps are valued at settlement prices of the

|  66

Notes to Financial Statements (continued)

December 31, 2013

clearinghouse on which the contracts were traded, if available, or prices obtained from broker-dealers. Interest rate swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions

67  |

Notes to Financial Statements (continued)

December 31, 2013

is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

|  68

Notes to Financial Statements (continued)

December 31, 2013

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

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

f.  Option Contracts.  Certain Funds 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.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase

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December 31, 2013

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 equity underlying the written option.

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

For the year ended December 31, 2013, the Funds were not party to any OTC options.

g.  Swaptions.  Diversified Income 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. The notional amounts of swaptions are not recorded in the financial statements.

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

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

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

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Notes to Financial Statements (continued)

December 31, 2013

h.  Swap Agreements.  Diversified Income Fund may enter into interest rate swaps.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

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

i.  Due to Brokers.  Transactions and positions in certain interest rate swaptions are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. The due to broker balance in the Statements of Assets and Liabilities for Diversified Income Fund represents cash received as collateral for open interest rate swaptions. In certain circumstances the Fund’s use of cash and/or securities pledged as collateral is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2013 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or

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December 31, 2013

decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, inflation protected securities, contingent payment debt instruments, premium amortization, paydown gains and losses, defaulted bonds, interest rate swap adjustments, return of capital and capital gain distributions received, foreign currency transactions and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted bonds, trust preferred securities, contingent payment debt instruments, return of capital distributions received, wash sales and futures and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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Notes to Financial Statements (continued)

December 31, 2013

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2013 and 2012 were as follows:

	2013 Distributions Paid From:
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	—	$	225,858	$	—	$	225,858
Diversified Income Fund		3,088,880		—		—		3,088,880
U.S Multi-Cap Equity Fund		2,591,791		—		30,926,551		33,518,342
	2012 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	—	$	—	$	—
Diversified Income Fund		2,654,187		—		2,654,187
U.S Multi-Cap Equity Fund		3,574,177		14,136,540		17,710,717

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

As of December 31, 2013, the components of distributable earnings on a tax basis were as follows:

	Intermediate Municipal Bond Fund			Diversified Income Fund			U.S. Multi-Cap Equity Fund
Undistributed ordinary income	$	—		$	37,265		$	95,386
Undistributed tax exempt income		8,397			—			—
Undistributed long-term capital gains		—			—			6,590,793
Total undistributed earnings		8,397			37,265			6,686,179
Capital loss carryforward:
Short-term:
Expires December 31, 2017		—			(10,106,858	)		—
No expiration date		(342,616	)		—			—
Long-term:
No expiration date		(5,710	)		—			—
Total capital loss carryforward		(348,326	)		(10,106,858	)		—
Unrealized appreciation (depreciation)		(504,948	)		4,196,605			149,060,381
Total accumulated earnings (losses)	$	(844,877	)	$	(5,872,988	)	$	155,746,560
Capital loss carryforward utilized in the current year	$	—		$	6,557,308		$	—

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Notes to Financial Statements (continued)

December 31, 2013

Capital losses may be utilized to offset future capital gains until expiration. The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital loss carryforwards to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date may expire unused.

l.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2013, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

m.  Delayed Delivery Commitments.  The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, 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 actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. 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.

No delayed delivery securities were held by the Funds as of December 31, 2013.

n.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in

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Notes to Financial Statements (continued)

December 31, 2013

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

For the year ended December 31, 2013, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

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Notes to Financial Statements (continued)

December 31, 2013

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2013, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	20,350,169	$	—	$	20,350,169
Short-Term Investments		—		2,681,354		—		2,681 ,354
Total	$	—	$	23,031,523	$	—	$	23,031,523

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Diversified Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Common Stocks(a)	$	64,806,394	$	—	$	—		$	64,806,394
Bonds and Notes
Non-Convertible Bonds
ABS Other		—		—		284,200	(b)		284,200
Airlines		—		391,999		1,487,108	(b)		1,879,107
Retailers		—		1,727,507		254,668	(b)		1,982,175
All Other Non-Convertible Bonds(a)		—		49,935,203		—			49,935,203
Total Non-Convertible Bonds		—		52,054,709		2,025,976			54,080,685
Convertible Bonds(a)		—		4,354,622		—			4,354,622
Municipals(a)		—		35,146		—			35,146
Total Bonds and Notes		—		56,444,477		2,025,976			58,470,453
Preferred Stocks
Non-Convertible Preferred Stocks(a)		924,111		—		—			924,111
Convertible Preferred Stocks
REITs — Mortgage		—		110,360		—			110,360
Wireless		—		89,334		—			89,334
All Other Convertible Preferred Stocks(a)		661,180		—		—			661,180
Total Convertible Preferred Stocks		661,180		199,694		—			860,874
Total Preferred Stocks		1,585,291		199,694		—			1,784,985

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Notes to Financial Statements (continued)

December 31, 2013

Diversified Income Fund (continued)

Asset Valuation Inputs (continued)

Description	Level 1		Level 2			Level 3		Total
Purchased Swaptions(a)	$	—	$	1,021,337		$	—	$	1,021,337
Short-Term Investments		—		1,974,714			—		1,974,714
Total Investments		66,391,685		59,640,222			2,025,976		128,057,883
Forward Foreign Currency Contracts (unrealized appreciation)		—		4,072			—		4,072
Futures Contracts (unrealized appreciation)		3,871		—			—		3,871
Total	$	66,395,556	$	59,644,294		$	2,025,976	$	128,065,826
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3		Total
Written Swaptions(a)	$	—	$	(593,803	)	$	—	$	(593,803	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(2,791	)		—		(2,791	)
Total	$	—	$	(596,594	)	$	—	$	(596,594	)

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

(b) Valued using broker-dealer bid prices where the inputs are unobservable.

Preferred stocks valued at $166,664 were transferred from Level 2 to Level 1 during the period ended December 31, 2013. At December 31, 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

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Notes to Financial Statements (continued)

December 31, 2013

U.S. Multi-Cap Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	432,914,580	$	—	$	—	$	432,914,580
Closed End Investment Companies		1,889,360		—		—		1,889,360
Short-Term Investments		—		13,506,279		—		13,506,279
Total	$	434,803,940	$	13,506,279	$	—	$	448,310,219

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

For the year ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

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

Diversified Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2012			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	—	$	—	$	4,632		$	279,568
Airlines		—			69		35		(6,819	)		85,000
Retailers		—			—		—		(332	)		255,000
Total	$	—		$	69	$	35	$	(2,519	)	$	619,568
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2013			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	—	$	—	$	284,200		$	4,632
Airlines		(88,455	)		1,497,278		—		1,487,108			(6,819	)
Retailers		—			—		—		254,668			(332	)
Total	$	(88,455	)	$	1,497,278	$	—	$	2,025,976		$	(2,519	)

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Notes to Financial Statements (continued)

December 31, 2013

Debt securities valued at $1,497,278 were transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that Diversified Income Fund and U.S. Multi-Cap Equity Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and interest rate swaps and swaptions.

Diversified Income Fund may use interest rate swaps and interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the year ended December 31, 2013, the Fund engaged in interest rate swaps and interest rate swaptions for this purpose.

Diversified Income 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 contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes.

Diversified Income 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, interest rate swaps and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the year ended December 31, 2013, the Fund used futures contracts, interest rate swaps and interest rate swaptions for hedging purposes and to manage duration.

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. U.S. Multi-Cap Equity Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options and written put options for investment purposes. During the year ended December 31, 2013, the Fund engaged in purchased put option transactions for hedging purposes and purchased call option transactions for investment purposes.

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Notes to Financial Statements (continued)

December 31, 2013

The following is a summary of derivative instruments for Diversified Income Fund as of December 31, 2013, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts2			Total
Over-the-counter asset derivatives
Interest rate contracts	$	1,021,337		$	—		$	—		$	1,021,337
Foreign exchange contracts		—			4,072			—			4,072
Total over-the-counter asset derivatives	$	1,021,337		$	4,072		$	—		$	1,025,409
Exchange traded/cleared asset derivatives
Interest rate contracts		—			—			3,871			3,871
Total asset derivatives	$	1,021,337		$	4,072		$	3,871		$	1,029,280
Liabilities	Swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(593,803	)	$	—		$	(593,803	)
Foreign exchange contracts		—			(2,791	)		(2,791	)
Total over-the-counter liability derivatives	$	(593,803	)	$	(2,791	)	$	(596,594	)
Total liability derivatives	$	(593,803	)	$	(2,791	)	$	(596,594	)

¹  Represents purchased swaptions, at value.

²  Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Diversified Income Fund during the year ended December 31, 2013 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments3			Futures contracts		Swaptions written			Swap agreements			Foreign currency transactions4
Interest rate contracts	$	347,887		$	2,463	$	(213,115	)	$	(5,600	)	$	—
Foreign exchange contracts		—			—		—			—			(102,163	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments3			Futures contracts		Swaptions written			Foreign currency translations4
Interest rate contracts	$	(2,642	)	$	3,871	$	(7,069	)	$	—
Foreign exchange contracts		—			—					32,372

³  Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased swaptions during the period.

⁴  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

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Notes to Financial Statements (continued)

December 31, 2013

Transactions in derivative instruments for U.S. Multi-Cap Equity Fund during the year ended December 31, 2013 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments1
Equity contracts	$	(283,328	)

¹  Represents realized loss for purchased options during the period.

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

Diversified Income Fund enters into over-the counter derivatives, including forward foreign currency contracts, interest rate swaps, and interest rate swaptions, pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements 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 Diversified Income 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 Diversified Income 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. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statement of Assets and Liabilities.

As of December 31, 2013, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets & Liabilities and the related net amounts after taking into account master netting arrangements for Diversified Income Fund, by counterparty, are as follows:

Counterparty	Gross Amounts of Derivative Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Barclays Bank PLC	$	4,072	$	—		$	4,072	$	—		$	4,072
Citibank, N.A.		984,119		(593,803	)		390,316		(260,000	)		130,316
Credit Suisse International		37,218		(2,791	)		34,427		—			34,427
	$	1,025,409	$	(596,594	)	$	428,815	$	(260,000	)	$	168,815

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December 31, 2013

Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount		Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
Citibank, N.A.	$	(593,803	)	$	593,803	$	—	$	—	$	—
Credit Suisse International		(2,791	)		2,791		—		—		—
	$	(596,594	)	$	596,594	$	—	$	—	$	—

The actual collateral received or pledged may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements for Diversified Income Fund include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by 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 undercollateralized 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 for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, including securities held at or pledged to counterparties for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $1,046,338 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $189,744.

These amounts include cash received as collateral for Diversified Income Fund of $260,000.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, for Diversified Income Fund, based on gross month-end and/or daily notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2013:

Diversified Income Fund	Forwards			Futures			Swaps
Average Notional Amount Outstanding		1.30	%		0.08	%		0.03	%
Highest Notional Amount Outstanding		1.58	%		0.92	%		1.44	%
Lowest Notional Amount Outstanding		0.95	%		0.00	%		0.00	%
Notional Amount Outstanding as of December 31, 2013		0.99	%		0.20	%		0.00	%

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December 31, 2013

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

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

The volume of interest rate swaption activity, as a percentage of net assets, for Diversified Income Fund, based on average premiums paid or received during the period, including long and short positions, at absolute value, was as follows for the year ended December 31, 2013:

Diversified Income Fund	Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written			Interest Rate Call Swaptions Purchased			Interest Rate Put Swaptions Purchased
Average Premium Paid/Received		0.03	%		0.32	%		0.51	%		0.10	%
Highest Premium Paid/Received		0.05	%		0.44	%		0.67	%		0.12	%
Lowest Premium Paid/Received		0.02	%		0.20	%		0.33	%		0.08	%
Premium Paid/Received as of December 31, 2013		0.02	%		0.44	%		0.67	%		0.12	%

The volume of option contract activity, as a percentage of net assets, for U.S. Multi-Cap Equity Fund, based on month-end market values of equity securities underlying purchased options, at absolute value, was as follows for the year ended December 31, 2013:

U.S. Multi-Cap Equity Fund*	Call Options Purchased			Put Options Purchased
Average Market Value of Underlying Securities		0.19	%		0.04	%
Highest Market Value of Underlying Securities		0.86	%		0.20	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of December 31, 2013		0.00	%		0.00	%

* Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

Market value of underlying securities at the end of the prior period are included in the averages above.

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December 31, 2013

The following is a summary of Diversified Income Fund’s written swaption activity:

	Notional Amount			Premiums
Outstanding at December 31, 2012	$	77,000,000		$	397,200
Swaptions written		41,950,000			879,806
Swaptions terminated in closing purchase transactions		(84,000,000	)		(688,867	)
Outstanding at December 31, 2013	$	34,950,000		$	588,139

5.  Purchases and Sales of Securities.  For the year ended December 31, 2013, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Intermediate Municipal Bond Fund	$	13,714,169	$	6,666,326
Diversified Income Fund		46,213,301		41,606,665
U.S. Multi-Cap Equity Fund		191,206,621		213,278,550

For the year ended December 31, 2013, purchases and sales of U.S. Government/Agency securities by Diversified Income Fund were $8,183,856 and $13,262,119, respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $800 million			Over $1 billion
Intermediate Municipal Bond Fund		0.40	%		0.40	%		0.40	%
Diversified Income Fund		0.55	%		0.55	%		0.50	%
U.S. Multi-Cap Equity Fund		0.80	%		0.80	%		0.80	%

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

Intermediate Municipal Bond Fund	McDonnell Investment Management, LLC (“McDonnell”)
Diversified Income Fund	AEW Capital Management, L.P. (“AEW”)
	Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Multi-Cap Equity Fund	Harris
	Loomis Sayles

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Notes to Financial Statements (continued)

December 31, 2013

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser(s) a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $250 Million			Over $250 Million
Intermediate Municipal Bond Fund	McDonnell		0.20	%		0.20	%
Diversified Income Fund
Diversified REIT Segment	AEW		0.45	%		0.40	%
Inflation Protected Securities Segment	Loomis Sayles		0.25	%		0.20	%
Multi-Sector Bond Segment	Loomis Sayles		0.35	%		0.30	%
U.S. Multi-Cap Equity Fund
Harris Associates Segment	Harris		0.45	%		0.40	%
Large Cap Growth Segment	Loomis Sayles		0.25	%		0.25	%
Mid Cap Growth Segment	Loomis Sayles		0.50	%		0.45	%
Small/Mid Core Segment	Loomis Sayles		0.50	%		0.45	%

Payments to NGAM Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

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

For the year ended December 31, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Intermediate Municipal Bond Fund		0.80	%		—			1.55	%		0.55	%
Diversified Income Fund		1.25	%		—			2.00	%		1.00	%
U.S. Multi-Cap Equity Fund		1.30	%		2.05	%		2.05	%		1.05	%

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

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December 31, 2013

For the year ended December 31, 2013, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Contractual Waivers of Management Fees1		Voluntary Waiver of Management Fee		Net Management Fees		Percentage of Average Daily Net Assets
									Gross			Net
Intermediate Municipal Bond Fund	$	78,518	$	78,518	$	—	$	—		0.40	%		—
Diversified Income Fund		761,527		—		2,263		759,264		0.55	%		0.55	%
U.S. Multi-Cap Equity Fund		3,162,705		71,229		—		3,091,476		0.80	%		0.78	%

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

For the year ended December 31, 2013, expenses have been reimbursed as follows:

Fund	Reimbursement2
Intermediate Municipal Bond Fund	$	18,117

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

No expenses were recovered for any of the Funds during the year ended December 31, 2013 under the terms of the expense limitation agreements.

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, AEW, McDonnell, Hansberger, Loomis Sayles and Harris are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

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

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

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

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

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Notes to Financial Statements (continued)

December 31, 2013

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

For the year ended December 31, 2013, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Intermediate Municipal Bond Fund	$	1,009	$	—	$	49	$	—	$	146
Diversified Income Fund		210,953		—		133,420		—		400,261
U.S. Multi-Cap Equity Fund		828,113		23,137		91,423		69,411		274,268

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

For the year ended December 31, 2013, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Intermediate Municipal Bond Fund	$	8,665
Diversified Income Fund		61,123
U.S. Multi-Cap Equity Fund		174,513

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board,

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December 31, 2013

which is based on fees for similar services paid to the Funds’ transfer agent and other service providers.

For the year ended December 31, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	131
Diversified Income Fund		88,429
U.S. Multi-Cap Equity Fund		140,306

As of December 31, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	3
Diversified Income Fund		1,051
U.S. Multi-Cap Equity Fund		1,882

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2013 were as follows:

Fund	Commissions
Intermediate Municipal Bond Fund	$	3,255
Diversified Income Fund		91,555
U.S. Multi-Cap Equity Fund		170,573

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

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Notes to Financial Statements (continued)

December 31, 2013

on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2014, the Chairperson of the Board will receive a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $130,000. All other Trustee fees will remain unchanged.

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

g.  Affiliated Ownership.  At December 31, 2013, Natixis US held shares of Intermediate Municipal Bond Fund representing 84.77% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

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

For the six months ended December 31, 2013, none of the Funds had borrowings under this agreement.

8.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2013, amounts rebated under these agreements were as follows:

Fund	Rebates
Diversified Income Fund	$	1,123
U.S. Multi-Cap Equity Fund		19,338

9.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of

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regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

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

	Year Ended December 31, 2013					Year Ended December 31, 2012*
Intermediate Municipal Bond Fund	Shares			Amount		Shares		Amount
Class A
Issued from the sale of shares	110,750		$	1,054,332		100	$	1,000
Issued in connection with the reinvestment of distributions	394			3,760		—		—
Redeemed	(1,534	)		(14,587	)	—		—
Net change	109,610		$	1,043,505		100	$	1,000
Class C
Issued from the sale of shares	5,672		$	54,216		100	$	1,000
Issued in connection with the reinvestment of distributions	3			32		—		—
Redeemed	(3	)		(30	)	—		—
Net change	5,672		$	54,218		100	$	1,000
Class Y
Issued from the sale of shares	764,014		$	7,476,085		1,500,000	$	15,000,000
Issued in connection with the reinvestment of distributions	22,939			221,518		—		—
Redeemed	(12,359	)		(117,054	)	—		—
Net change	774,594		$	7,580,549		1,500,000	$	15,000,000
Increase (decrease) from capital share transactions	889,876		$	8,678,272		1,500,200	$	15,002,000

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

	Year Ended December 31, 2013					Year Ended December 31, 2012*
Diversified Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,296,819		$	28,186,176		3,830,370		$	43,949,653
Issued in connection with the reinvestment of distributions	143,499			1,747,254		126,943			1,459,732
Redeemed	(2,574,911	)		(31,275,395	)	(1,556,939	)		(18,059,938	)
Net change	(134,593	)	$	(1,341,965	)	2,400,374		$	27,349,447
Class C
Issued from the sale of shares	1,235,545		$	15,057,397		1,866,725		$	21,303,074
Issued in connection with the reinvestment of distributions	44,750			543,265		39,405			452,182
Redeemed	(1,505,441	)		(18,273,142	)	(477,710	)		(5,459,692	)
Net change	(225,146	)	$	(2,672,480	)	1,428,420		$	16,295,564
Class Y
Issued from the sale of shares	101,531		$	1,240,996		85		$	1,000
Issued in connection with the reinvestment of distributions	1,769			21,605		1			4
Redeemed	(51,841	)		(631,148	)	—			—
Net change	51,459		$	631,453		86		$	1,004
Increase (decrease) from capital share transactions	(308,280	)	$	(3,382,992	)	3,828,880		$	43,646,015

* From commencement of operations on December 3, 2012 through December 31, 2012 for Class Y Shares.

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10.  Capital Shares (continued).

	Year Ended December 31, 2013					Year Ended December 31, 2012
U.S. Multi-Cap Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	758,252		$	23,078,823		489,422		$	12,752,911
Issued in connection with the reinvestment of distributions	830,421			26,527,755		545,630			14,382,807
Redeemed	(1,366,195	)		(41,781,217	)	(1,981,672	)		(51,920,694	)
Net change	222,478		$	7,825,361		(946,620	)	$	(24,784,976	)
Class B
Issued from the sale of shares	8,879		$	231,157		8,494		$	188,334
Issued in connection with the reinvestment of distributions	28,040			726,359		28,842			634,251
Redeemed	(258,805	)		(6,503,881	)	(372,827	)		(8,159,137	)
Net change	(221,886	)	$	(5,546,365	)	(335,491	)	$	(7,336,552	)
Class C
Issued from the sale of shares	328,959		$	8,489,719		89,119		$	1,971,424
Issued in connection with the reinvestment of distributions	131,853			3,444,408		70,199			1,544,393
Redeemed	(209,109	)		(5,252,836	)	(198,142	)		(4,360,005	)
Net change	251,703		$	6,681,291		(38,824	)	$	(844,188	)
Class Y
Issued from the sale of shares	696,498		$	23,425,027		427,922		$	12,215,388
Issued in connection with the reinvestment of distributions	39,615			1,392,630		17,974			515,680
Redeemed	(441,890	)		(15,082,762	)	(141,281	)		(4,028,493	)
Net change	294,223		$	9,734,895		304,615		$	8,702,575
Increase (decrease) from capital share transactions	546,518		$	18,695,182		(1,016,320	)	$	(24,263,141	)

11.  Subsequent Event.  Effective at the close of business on February 28, 2014, Natixis U.S. Multi-Cap Equity Fund will change its name to Natixis U.S. Equity Opportunities Fund and the Fund’s principal investment strategies will be amended and restated as described in the Supplement dated December 16, 2013 to the Prospectus and Summary Prospectus of Natixis U.S. Multi-Cap Equity Fund.

91  |

Report of Independent Registered Public

Accounting Firm

To the Trustees of Natixis Funds Trust I, Natixis Funds Trust II and Shareholders of Natixis Diversified Income Fund, Natixis U.S. Multi-Cap Equity Fund, and McDonnell Intermediate Municipal Bond:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Natixis Diversified Income Fund and Natixis U.S. Multi-Cap Equity Fund each a series of Natixis Funds Trust I; and the McDonnell Intermediate Municipal Bond Fund, a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2013, and the results of each of their operations, the changes in each of their net assets and their financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 24, 2014

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2013 U.S. Tax Distribution Information to

Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2013, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Diversified Income		40.38	%
U.S. Multi-Cap Equity		100.00	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2013.

Fund	Amount
U.S. Multi-Cap Equity	$	30,926,551

Qualified Dividend Income.  For the fiscal year ended December 31, 2013, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2013, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Diversified Income		42.46	%
U.S. Multi-Cap Equity		100.00	%

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Daniel M. Cain (1945)	Trustee Since 1996 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Contract Review and Governance Committee	Chairman of Cain Brothers & Company, Incorporated (investment banking)	42 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee Since 2008 for Natixis Funds Trust I and Natixis Funds Trust II Chairman of the Audit Committee	Retired	42 None	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Edmond J. English (1953)	Trustee Since 2013 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)
Wendell J. Knox (1948)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

95  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee Since 2012 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Chancellor and faculty member, University of Massachusetts Lowell	42 None	Experience on the Board and on the board of other business organizations; experience as Chancellor of the University of Massachusetts Lowell; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee Since 1982 for Natixis Funds Trust I (including its predecessors); since 1993 for Natixis Funds Trust II Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	42 Director, Verizon Communications (telecommunications company); Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	42 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee Since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Retired	42 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee Since 2005 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review and Governance Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	42 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

97  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003 for Natixis Funds Trust I and Natixis Funds Trust II	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	42 None	Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee Since 2011 for Natixis Funds Trust I and Natixis Funds Trust II President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	42 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
John T. Hailer5 (1960)	Trustee Since 2000 for Natixis Funds Trust I and Natixis Funds Trust II	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	42 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

²  The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

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Trustee and Officer Information

³  Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. and Director of Loomis Sayles Investment Asia Pte., Ltd.

⁴  Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵ Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

99  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s)	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUST
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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ANNUAL REPORT

December 31, 2013

Loomis Sayles Strategic Alpha Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 7

Financial Statements page  31

Notes to Financial Statements page 37

Barron’s/Lipper 2013 one-year fund family ranking based on 64 qualifying U.S. fund companies. Each fund family must have at least three funds in Lipper’s general U.S.-stock category, one world (global and international), one mixed-asset/balanced (stocks and bonds), two taxable bond and one tax-exempt bond fund. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

LOOMIS SAYLES STRATEGIC ALPHA FUND

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

Objective

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

Market Conditions

After falling as low as 1.61% in the spring of 2013, the yield on the 10-year U.S. Treasury note surged to 3.04% at the end of 2013 — its highest level since mid-2011. Steady U.S. job gains and the Federal Reserve’s (the Fed’s) decision in December to begin paring back its monthly bond-buying program fueled this move. After its December policy meeting, the Fed announced that it would trim its monthly asset purchases by $10 billion in January. The central bank also provided strong forward guidance, assuring markets that the first federal funds rate hike would not take place until 2015 at the earliest.

As the Fed prepared to wind down central bank stimulus, European Central Bank President Mario Draghi surprised investors in November by cutting the euro region’s main interest rate to a record-low 0.25%. Meanwhile, the Bank of Japan continued its stimulus efforts, buying more than ¥7 trillion ($66 billion) of bonds a month to reach its target 2% inflation rate in approximately two years. These efforts lifted stocks but also caused the yen to weaken significantly versus the U.S. dollar.

Performance Results

For the 12 months ended December 31, 2013, Class A shares of Loomis Sayles Strategic Alpha Fund returned 0.96% at net asset value. The fund outperformed its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.29% for the period. The fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

The fund’s positive performance primarily was due to credit exposures, namely convertible bonds, securitized credits, bank loans and investment-grade and high-yield corporates. The fund’s dividend-paying equities also boosted return, as did its duration (price sensitivity to interest rate changes) management tools. However, losses among emerging market holdings and in non-U.S. currency holdings partially offset these gains.

The fund’s convertible securities generated a positive return, benefiting from a considerable rally in the stock market. Specifically, selected holdings in the technology and consumer non-cyclical industries performed well. The fund’s dividend-paying equities also proved

1  |

beneficial, particularly due to a specific automotive name. Meanwhile, short positions in S&P 500 E-mini futures, a hedge for the fund’s convertible bond and equity positions, slightly weighed on performance.

The fund’s securitized holdings, particularly non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS), generated positive returns in 2013. Central bank policy and investors’ search for incremental yield drove CMBS performance, while improving housing market data pushed RMBS higher.

The fund’s performance also benefited from our efforts to protect against rising interest rates. Specifically, the use of short interest rate futures to manage duration helped results.

The fund’s highly diversified group of bank loans also boosted performance during the year. This asset class experienced substantial inflows, as investors were drawn to the relative safety of loans, given their senior position in the capital structure and ample yield relative to other sectors.

Strong equity markets, an accommodative Fed and an improved U.S. growth outlook helped support investment-grade and high-yield corporate bond positions. Security selection proved critical in these sectors.

Within the fund’s investment-grade holdings, banking credits performed best, and within high-yield corporate holdings, communications credits performed best.

The fund’s currency positioning detracted from performance. During the second quarter of 2013, we expected the U.S. dollar to decline relative to various higher-yielding currencies because of stronger global growth and the surge of liquidity from central banks around the world. However, the U.S. dollar rallied sharply, as the Fed indicated a possible moderation in the pace of its bond purchases sooner than generally expected. In addition, commodities sold off in response to China’s attempt to reform its lending policies. As a result of these two events, some of the fund’s long currency positions, including the Australian dollar, Brazilian real, Mexican peso, New Zealand dollar and Canadian dollar, declined.

The fund’s emerging market holdings also posted a negative return. Slower-than-expected growth in many emerging market countries, combined with periodic concerns about a hard landing in China, led to a selloff in the asset class. Furthermore, rising inflation caused several emerging market central banks to begin raising rates, and the sharp rise in Treasury yields reduced investors’ appetite for risk.

Our use of investment-grade and high-yield credit default index swap contracts, which we used to protect capital, detracted from performance. We put these derivative positions in place for risk management purposes, and they performed as expected. We will accept losses in the name of risk management and capital protection.

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LOOMIS SAYLES STRATEGIC ALPHA FUND – (continued)

Outlook

Our views on U.S. growth and inflation have moved in line with general market consensus. Even with interest rates rising, we believe credit spreads (the yield difference between corporate securities and comparable-maturity Treasuries) can tighten and the environment for credit can remain constructive. But we recognize that ending unconventional policies, such as the Fed’s quantitative easing program, introduces the potential risk of wider spreads and a deteriorating environment for credit. Given the recent upturn in the U.S. and European economies, we have a negative bias on duration. U.S. Treasury yields have increased from their historical lows and likely will continue to rise.

Fed tapering should support a stronger U.S. dollar, which has also benefited from improving domestic growth and employment. Given the Bank of Japan’s aggressive monetary policy, the Japanese yen may depreciate further and any recovery in U.S. yields will likely augment this trend.

We remain bullish on Mexico’s economy given the country’s recent upgrade from Standard & Poor’s. The government’s move to open the state-run energy sector to private investment has inspired confidence in the economy and should energize investment and growth. The government also has introduced measures aimed at reaching greater transparency in its fiscal budget.

Looking ahead, credit valuations do not appear as compelling as they were in 2013. We are closely monitoring profits and U.S. gross domestic product growth, which are critical for credit metrics. Credit spreads have the potential to tighten further in 2014 if economic growth continues to improve and interest rate volatility remains subdued. But we remain cautious on valuations at these levels, and we may consider adding back liquid hedges.

Growth of $10,000 Investment in Class A Shares⁴

December 15, 2010 (inception) through December 31, 2013

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Average Annual Total Returns – December 31, 2013⁴

	1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		0.96	%		2.98	%
With 4.50% Maximum Sales Charge		-3.59			1.43
Class C (Inception 12/15/10)
NAV		0.22			2.17
With CDSC1		-0.76			2.17
Class Y (Inception 12/15/10)
NAV		1.19			3.20
Comparative Performance
3-Month LIBOR2		0.29			0.35
3-Month LIBOR + 300 basis points3		3.34			3.41

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

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

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

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

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

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the fund is actively managed, there is no assurance that it will continue to invest in the securities or industries mentioned.

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

5  |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from July 1, 2013 through December 31, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 7/1/2013		ENDING ACCOUNT VALUE 12/31/2013		EXPENSES PAID DURING PERIOD* 7/1/2013 – 12/31/2013
Class A
Actual		$1,000.00		$1,015.10		$5.74
Hypothetical (5% return before expenses)		$1,000.00		$1,019.51		$5.75
Class C
Actual		$1,000.00		$1,012.00		$9.53
Hypothetical (5% return before expenses)		$1,000.00		$1,015.73		$9.55
Class Y
Actual		$1,000.00		$1,016.50		$4.47
Hypothetical (5% return before expenses)		$1,000.00		$1,020.77		$4.48

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.13%, 1.88% and 0.88% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 60.1% of Net Assets
	Non-Convertible Bonds — 56.0%
		ABS Car Loan — 1.9%
$	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019	$	2,290,685
	5,510,000	Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(b)		5,512,237
	5,575,000	Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(b)		5,579,337
	4,300,000	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(b)		4,303,492
	4,625,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018		4,612,665
	1,565,000	USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017		1,565,297
				23,863,713
		ABS Credit Card — 2.2%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.587%, 2/16/2021(b)(c)		3,152,325
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019		1,854,773
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019		3,059,797
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(b)		6,591,697
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018		3,186,608
	3,075,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.600%, 9/10/2020(c)		3,080,430
	6,700,000	Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(b)		6,694,191
				27,619,821
		ABS Home Equity — 12.0%
	1,292,228	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.557%, 4/25/2035(c)		1,237,780
	2,423,078	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.608%, 4/25/2035(c)		2,359,976
	1,103,877	Adjustable Rate Mortgage Trust 2004-4, Series 2004-4, Class 3A1, 2.666%, 3/25/2035(c)		1,041,349
	1,206,735	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		1,252,909
	1,041,424	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033		1,046,428
	1,722,479	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		1,747,576
	2,515,720	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		2,543,889
	855,424	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.615%, 7/25/2037, 144A(c)		523,952

See accompanying notes to financial statements.

7  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	2,414,567	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.583%, 11/20/2034(c)	$	2,257,386
	1,039,401	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035		1,062,326
	1,973,187	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		1,977,481
	917,987	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.833%, 9/25/2034(c)		857,906
	1,481,441	Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.705%, 2/22/2035(c)		1,267,845
	751,291	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.730%, 2/25/2037(c)		747,746
	2,245,319	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		2,272,395
	667,800	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		580,850
	3,201,201	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036		2,721,220
	1,975,237	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037		1,629,392
	1,268,449	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		1,046,356
	2,075,120	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		1,754,745
	2,844,724	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(b)		2,924,962
	1,354,498	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		1,375,694
	4,723,486	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(b)		4,540,153
	1,289,156	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		1,315,547
	341,683	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034		346,347
	1,273,542	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.375%, 5/25/2035(c)		1,065,563
	1,090,293	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		979,319
	869,490	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		575,700
	930,032	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		817,804
	1,491,101	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		1,533,661
	251,124	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.503%, 9/20/2034(c)		239,679
	3,737,041	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.645%, 4/25/2035(c)		2,769,760
	529,347	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.435%, 4/25/2035(c)		431,773

See accompanying notes to financial statements.

|  8

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	321,775	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(b)	$	320,736
	2,376,098	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036		2,088,203
	3,107,346	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037		2,793,492
	1,150,597	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.653%, 11/25/2033(c)		1,089,131
	874,984	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.602%, 12/25/2033(c)		830,041
	2,814,788	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.572%, 5/25/2034(c)		2,679,622
	443,952	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		451,333
	1,329,928	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,152,301
	691,225	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		578,176
	1,794,114	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035		1,789,222
	1,365,347	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035		1,239,506
	2,282,832	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A		2,307,827
	2,423,562	Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.315%, 11/25/2036(c)		1,096,669
	257,685	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		262,183
	2,270,281	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.881%, 6/19/2035(b)(c)		2,231,338
	996,611	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.102%, 7/19/2035(c)		909,636
	326,729	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.761%, 12/25/2034(c)		294,055
	2,096,423	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.742%, 12/25/2034(c)		2,071,100
	941,949	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.712%, 7/25/2035(c)		858,577
	2,945,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(b)(c)		2,879,942
	1,762,214	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,469,552
	2,612,107	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.275%, 5/25/2037(c)		1,670,743
	1,246,775	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.945%, 12/25/2034(c)		1,019,321
	2,770,570	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.805%, 7/25/2045(c)		2,597,088
	3,039,951	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.545%, 4/25/2035(b)(c)		2,995,373
	1,267,996	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.867%, 8/25/2035(c)		1,259,915
	3,413,186	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A11, 6.000%, 1/25/2036(b)		2,956,723
	3,066,213	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036		2,656,172
	3,702,447	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.530%, 1/25/2037(c)		3,225,435
	3,225,547	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037		2,790,453

See accompanying notes to financial statements.

9  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	778	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.315%, 8/25/2046(c)(o)	$	778
	2,743,499	Lehman XS Trust, Series 2006-4N, Class A2A, 0.385%, 4/25/2046(c)		2,023,419
	541,400	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.455%, 5/25/2034(c)		525,914
	825,999	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.736%, 4/25/2036(c)		773,687
	659,022	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.325%, 1/25/2047(c)		472,754
	2,057,417	MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.405%, 5/25/2037(c)		1,387,839
	1,077,865	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		1,120,347
	1,179,809	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		1,205,854
	1,297,622	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		1,338,997
	2,910,384	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		2,909,726
	2,208,998	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,650,619
	2,038,274	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037		1,523,049
	447,363	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.118%, 5/25/2036(c)		442,022
	1,345,908	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,227,395
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b)		2,795,064
	938,425	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.650%, 10/25/2035(c)		927,978
	2,729,262	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(b)		2,280,037
	905,860	Residential Asset Securitization Trust, Series 2007-A5, Class 2A5, 6.000%, 5/25/2037		789,311
	1,100,025	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,105,556
	1,301,167	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.656%, 9/25/2034(c)		1,273,009
	7,345,861	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.424%, 11/25/2034(b)(c)		7,103,866
	722,882	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.475%, 7/25/2035(c)		610,685
	2,094,987	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		2,211,351
	2,416,903	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.406%, 1/25/2035(c)		2,403,586
	850,137	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		876,234
	1,501,397	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.463%, 9/25/2046(c)		1,425,343

See accompanying notes to financial statements.

|  10

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	280,969	WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.949%, 12/25/2046(c)	$	264,529
	3,240,973	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.213%, 1/25/2047(c)		3,030,935
	433,675	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(c)		435,713
	1,651,404	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 3.305%, 2/25/2034(c)		1,660,045
	662,641	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		677,377
	791,845	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		797,969
	2,625,000	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		2,598,658
				149,278,980
		ABS Other — 1.1%
	1,656,372	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,703,269
	730,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		731,001
	425,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		423,181
	569,800	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		580,245
	2,449,190	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		2,437,422
	3,659,555	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A		3,637,524
	3,679,083	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A		3,655,935
				13,168,577
		Aerospace & Defense — 0.9%
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(b)		5,080,369
	825,000	Rockwell Collins, Inc., 0.593%, 12/15/2016		824,990
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(b)		5,255,450
				11,160,809
		Airlines — 1.2%
	6,365,000	American Airlines Pass Through Trust, Series 2013-2, Class B, 5.600%, 1/15/2022, 144A(b)		6,428,650
	2,505,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		2,555,701
	2,890,000	British Airways Pass Through Trust, Series 2013-1, Class A, 4.625%, 6/20/2024, 144A(b)		2,923,409
	2,765,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		2,813,083
				14,720,843

See accompanying notes to financial statements.

11  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Automotive — 3.6%
$	6,590,000	Daimler Finance North America LLC, 0.922%, 8/01/2016, 144A(b)(c)	$	6,603,549
	5,250,000	Ford Motor Credit Co. LLC, 1.489%, 5/09/2016(b)(c)		5,327,033
	3,080,000	General Motors Co., 4.875%, 10/02/2023, 144A(b)		3,118,500
	6,640,000	Nissan Motor Acceptance Corp., 0.946%, 9/26/2016, 144A(b)(c)		6,675,325
	10,650,000	Toyota Motor Credit Corp., 0.529%, 5/17/2016(b)(c)		10,680,374
	8,500,000	Toyota Motor Credit Corp., MTN, 0.391%, 3/10/2015(b)(c)		8,511,628
	3,210,000	Volkswagen International Finance NV, 0.676%, 11/18/2016, 144A(c)		3,217,287
				44,133,696
		Banking — 3.5%
	15,025,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)(b)		5,890,908
	2,484,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(b)		4,732,104
	3,310,000	Bank of America Corp., 1.281%, 1/15/2019(c)		3,335,871
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(b)		7,193,652
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(b)		11,379,981
	7,420,000	UniCredit S.p.A., EMTN, 6.950%, 10/31/2022, (EUR)(b)		11,119,460
				43,651,976
		Building Materials — 0.7%
	2,590,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		2,693,600
	3,620,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A(b)		3,158,450
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,367,913
	935,000	USG Corp., 5.875%, 11/01/2021, 144A		972,400
				8,192,363
		Chemicals — 0.5%
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(b)		2,757,900
	3,230,000	Monsanto Co., 0.438%, 11/07/2016(c)		3,231,806
				5,989,706
		Collateralized Mortgage Obligations — 0.7%
	33,090,171	Government National Mortgage Association, Series 2010-83, Class IO, 0.520%, 7/16/2050(c)(d)		1,100,149
	12,963,791	Government National Mortgage Association, Series 2012-78, Class IO, 1.059%, 6/16/2052(c)(d)		929,620
	74,575,382	Government National Mortgage Association, Series 2012-135, Class IO, 1.044%, 1/16/2053(b)(c)(d)		6,062,307
	604,184	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.652%, 1/25/2036(c)		571,540
				8,663,616
		Commercial Mortgage-Backed Securities — 3.8%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.540%, 5/11/2039, 144A(c)		981,469
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.546%, 4/15/2044, 144A(b)(c)		4,770,087
	2,765,000	Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 5/10/2035, 144A(c)		2,404,563

See accompanying notes to financial statements.

|  12

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(b)	$	2,440,464
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)(c)		5,196,926
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.167%, 3/15/2018, 144A(c)		1,304,550
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)(c)		7,456,458
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(b)(c)		4,409,631
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A		1,912,273
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		1,461,191
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(c)		1,588,952
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		1,570,253
	984,112	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.167%, 4/15/2018, 144A(c)		995,823
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.252%, 9/15/2047, 144A(c)		1,294,827
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.306%, 6/15/2044, 144A(c)		2,105,578
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.597%, 4/12/2049(c)		1,445,833
	5,175,000	WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.465%, 2/15/2044, 144A(b)(c)		5,228,230
				46,567,108
		Construction Machinery — 1.4%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.477%, 2/26/2016(b)(c)		17,676,318
		Consumer Products — 0.3%
	3,295,000	Procter & Gamble Co. (The), 0.322%, 11/04/2016(c)		3,294,984
		Diversified Manufacturing — 0.5%
	7,860,000	Ottawa Holdings Pte Ltd., 5.875%, 5/16/2018, 144A(b)		6,052,200
		Electric — 0.4%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		1,702,141
	3,020,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		3,283,848
				4,985,989
		Financial Other — 0.5%
	6,225,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		6,287,250
		Food & Beverage — 1.5%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		3,790,357
	7,345,000	Coca-Cola Co. (The), 0.342%, 11/01/2016(b)(c)		7,351,163
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		838,402
	2,336,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		2,505,360
	3,500,000	General Mills, Inc., Series FRN, 0.537%, 1/29/2016(b)(c)		3,503,031
	810,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		858,600
				18,846,913
		Gaming — 0.2%
	2,580,000	GLP Capital LP/GLP Financing II, Inc., 4.375%, 11/01/2018, 144A		2,638,050

See accompanying notes to financial statements.

13  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Government Owned – No Guarantee — 0.8%
$	9,400,000	Petroleos de Venezuela S.A., 5.500%, 4/12/2037(b)	$	4,817,500
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		5,500,800
				10,318,300
		Healthcare — 1.1%
	10,900,000	Baxter International, Inc., 0.413%, 12/11/2014(b)(c)		10,913,778
	2,740,000	WellCare Health Plans, Inc., 5.750%, 11/15/2020		2,801,650
				13,715,428
		Home Construction — 0.4%
	1,920,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(e)		216,000
	4,535,000	KB Home, 7.000%, 12/15/2021		4,727,737
				4,943,737
		Independent Energy — 1.8%
	6,105,000	Continental Resources, Inc., 5.000%, 9/15/2022		6,341,569
	620,000	Halcon Resources Corp., 9.750%, 7/15/2020(b)		646,350
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(e)		596,800
	5,575,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(e)		446,000
	11,677,000	Talisman Energy, Inc., 3.750%, 2/01/2021(b)		11,305,146
	3,080,000	Whiting Petroleum Corp., 5.000%, 3/15/2019(b)		3,149,300
				22,485,165
		Integrated Energy — 0.8%
	2,935,000	BP Capital Markets PLC, 0.658%, 11/07/2016(c)		2,947,400
	6,400,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A(b)		6,448,000
				9,395,400
		Life Insurance — 1.7%
	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)		13,590,878
	3,563,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)(g)		3,482,832
	3,300,000	MetLife Capital Trust IV, 7.875%, 12/15/2067, 144A(b)		3,786,750
				20,860,460
		Local Authorities — 0.8%
	7,853,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(b)		10,093,046
		Lodging — 0.2%
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022		2,194,387
		Metals & Mining — 0.2%
	2,910,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A		2,325,078
		Non-Captive Consumer — 0.3%
	2,790,000	SLM Corp., MTN, 8.000%, 3/25/2020		3,159,675
		Non-Captive Diversified — 0.8%
	1,625,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		1,682,236
	2,390,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		2,598,965

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(b)(g)	$	5,252,250
				9,533,451
		Oil Field Services — 1.1%
	3,465,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A(b)		3,672,900
	2,900,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(b)		3,233,500
	3,544,600	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(b)		3,385,093
	3,310,000	Shell International Finance BV, 0.451%, 11/15/2016(c)		3,312,804
				13,604,297
		Packaging — 0.3%
	2,930,000	Ardagh Packaging Finance PLC, 9.125%, 10/15/2020, 144A		3,208,350
	915,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II, 6.000%, 6/15/2017, 144A		926,437
				4,134,787
		Pharmaceuticals — 1.0%
	3,070,000	Johnson & Johnson, 0.311%, 11/28/2016(c)		3,071,741
	9,125,000	Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(b)		8,421,809
	741,000	Salix Pharmaceuticals Ltd., 6.000%, 1/15/2021, 144A		759,525
				12,253,075
		Railroads — 0.4%
	4,700,000	Canadian National Railway Co., 0.438%, 11/06/2015(c)		4,703,422
		Sovereigns — 0.2%
	7,091,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)(b)		2,629,914
		Technology — 1.5%
	8,080,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		8,393,100
	610,000	Amkor Technology, Inc., 6.375%, 10/01/2022		626,775
	545,000	Amkor Technology, Inc., 6.625%, 6/01/2021		565,438
	5,015,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A(b)		4,977,387
	4,900,000	Jabil Circuit, Inc., 4.700%, 9/15/2022(b)		4,704,000
				19,266,700
		Textile — 0.1%
	1,080,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		1,250,908
		Treasuries — 4.8%
	4,271,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		33,561,068
	465,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(b)		3,600,318
	1,700,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(b)		14,724,182
	130,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,107,437
	74,115,781	Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(b)		3,508,136
	71,994,801	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)(b)		3,432,532
				59,933,673
		Wirelines — 0.8%
	1,835,000	Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A		1,853,350
	7,800,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(b)		2,975,522

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	2,800,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	2,425,500
	850,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		818,125
	2,237,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		2,237,000
				10,309,497
		Total Non-Convertible Bonds (Identified Cost $707,352,443)		693,903,312
	Convertible Bonds — 4.1%
		Automotive — 0.6%
	3,195,000	Ford Motor Co., 4.250%, 11/15/2016(b)		5,894,775
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015		1,914,869
				7,809,644
		Healthcare — 0.3%
	3,155,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		3,222,044
		Independent Energy — 0.0%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		444,390
		Metals & Mining — 0.3%
	2,195,000	Peabody Energy Corp., 4.750%, 12/15/2066		1,735,422
	1,840,000	United States Steel Corp., 2.750%, 4/01/2019		2,435,700
				4,171,122
		Oil Field Services — 0.2%
	2,420,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		2,869,212
		Pharmaceuticals — 0.9%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		475,659
	623,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		666,221
	2,210,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(b)		7,288,856
	750,000	Mylan, Inc., 3.750%, 9/15/2015		2,459,063
				10,889,799
		Retailers — 0.6%
	4,430,000	priceline.com, Inc., 0.350%, 6/15/2020, 144A(b)		5,047,431
	1,603,000	priceline.com, Inc., 1.000%, 3/15/2018		2,210,136
				7,257,567
		Technology — 1.2%
	1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		2,607,531
	2,085,000	Intel Corp., 3.250%, 8/01/2039		2,834,297
	1,180,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		2,686,713
	1,985,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,939,097
	1,675,000	SanDisk Corp., 1.500%, 8/15/2017		2,468,531
	1,015,000	Xilinx, Inc., 2.625%, 6/15/2017		1,618,925
				14,155,094
		Total Convertible Bonds (Identified Cost $44,035,458)		50,818,872
		Total Bonds and Notes (Identified Cost $751,387,901)		744,722,184

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Senior Loans — 20.6%
		Aerospace & Defense — 0.1%
$	643,500	Sequa Corp., New Term Loan B, 5.250%, 6/18/2017(c)	$	627,065
	695,487	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(c)		696,753
				1,323,818
		Automotive — 0.7%
	665,926	Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.750%, 4/27/2020(c)		674,250
	4,099,033	Chrysler Group LLC, New Term Loan B, 5/24/2017(i)		4,123,504
	1,163,000	Navistar International Corp., Term Loan B, 5.750%, 8/17/2017(c)		1,178,631
	2,570,575	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/28/2019(c)		2,602,707
	230,088	Transtar Holding Co., 1st Lien Term Loan, 5.500%, 10/09/2018(c)		225,486
				8,804,578
		Banking — 0.1%
	1,871,785	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.497%, 6/30/2017(c)		1,883,484
		Building Materials — 0.5%
	1,817,445	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(c)		1,819,462
	1,120,193	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(c)		1,124,181
	2,818,648	Wilsonart International Holdings LLC, Term Loan B, 4.000%, 10/31/2019(c)		2,795,760
				5,739,403
		Chemicals — 1.6%
	575,833	Allnex USA, Inc., USD Term Loan B1, 4.500%, 10/03/2019(c)		580,514
	298,772	Allnex USA, Inc., USD Term Loan B2, 4.500%, 10/03/2019(c)		301,201
	1,619,860	Arysta LifeScience Corp., 1st Lien Term Loan, 4.500%, 5/29/2020(c)		1,627,457
	3,264,114	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(c)		3,121,309
	632,357	Chemtura Corp., Term Loan B, 3.500%, 8/27/2016(c)		634,886
	2,765,000	Huntsman International LLC, Incremental Term Loan, 10/15/2020(i)		2,765,000
	1,194,000	MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/07/2020(c)		1,201,833
	682,309	Nexeo Solutions LLC, Incremental Term Loan, 9/08/2017(i)		680,603
	2,514,992	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(c)		2,508,705
	743,127	OCI Beaumont LLC, Term Loan B2, 6.250%, 8/20/2019(c)		750,559
	1,235,520	Taminco Global Chemical Corp., USD Term Loan B2, 4.250%, 2/15/2019(c)		1,239,276
	733,315	Tata Chemicals North America, Inc., Term Loan B, 3.750%, 8/07/2020(c)		733,315
	3,327,876	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(c)		3,297,360
				19,442,018
		Consumer Cyclical Services — 0.3%
	1,311,599	Affinion Group, Inc., Term Loan B, 6.750%, 10/10/2016(c)		1,291,165
	295,370	Garda World Security Corp., Delayed Draw Term Loan, 0.500%, 11/08/2020(j)		295,648
	1,154,630	Garda World Security Corp., New Term Loan B, 4.000%, 11/08/2020(c)		1,155,715
	91,997	Instant Web, Inc., Delayed Draw Term Loan, 3.622%, 8/07/2014(c)		83,257
	877,003	Instant Web, Inc., Term Loan B, 3.622%, 8/07/2014(c)		793,688
	621,443	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(c)		624,164
				4,243,637
		Consumer Products — 0.8%
	2,483,775	Catalina Marketing Corp., New Term Loan B, 5.250%, 10/12/2020(c)		2,514,822
	1,067,325	Jarden Corp., Add-On Term Loan B1, 2.919%, 9/30/2020(c)		1,066,524

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Consumer Products — continued
$	654,107	Serta Simmons Holdings LLC, Term Loan, 4.250%, 10/01/2019(c)	$	657,378
	2,277,801	SRAM LLC, New Term Loan B, 4.026%, 4/10/2020(k)		2,274,954
	2,824,179	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(c)		2,819,632
				9,333,310
		Diversified Manufacturing — 0.4%
	1,510,080	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(c)		1,516,996
	1,205,888	Doncasters Finance US LLC, USD Term Loan, 5.500%, 4/09/2020(c)		1,217,440
	1,838,411	Edwards (Cayman Islands II) Ltd., New Term Loan B, 5.500%, 3/26/2020(c)		1,838,980
				4,573,416
		Electric — 0.5%
	1,841,745	Calpine Construction Finance Co., LP, Original Term Loan B1, 3.000%, 5/03/2020(c)		1,823,033
	1,400,000	Calpine Corp., Delayed Draw Term Loan, 4.000%, 10/30/2020(c)		1,407,504
	617,188	Calpine Corp., Term Loan B3, 4.000%, 10/09/2019(c)		620,767
	2,793,888	NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(c)		2,785,506
				6,636,810
		Entertainment — 0.2%
	1,925,000	Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(c)		1,912,969
	879,117	WMG Acquisition Corp., New Term Loan, 3.750%, 7/01/2020(c)		878,458
				2,791,427
		Environmental — 0.1%
	974,558	Allflex Holdings III, Inc., New 1st Lien Term Loan, 4.250%, 7/17/2020(c)		977,725
		Financial Other — 0.4%
	2,475,000	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(c)		2,481,187
	1,088,532	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(c)		1,085,810
	1,245,000	Grosvenor Capital Management Holdings, LLP, New Term Loan B, 11/25/2020(i)		1,243,444
	673,868	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(c)		673,868
				5,484,309
		Food & Beverage — 1.6%
	1,115,000	Del Monte Foods Co., 1st Lien Term Loan, 11/06/2020(i)		1,120,575
	6,575,000	Del Monte Foods Co., Term Loan, 4.000%, 3/08/2018(c)		6,590,188
	2,832,900	DS Waters of America, Inc., New Term Loan, 5.250%, 8/31/2020(c)		2,871,853
	2,615,855	H.J. Heinz Co., Term Loan B2, 3.500%, 6/05/2020(c)		2,634,061
	1,628,000	New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(c)		1,684,980
	721,548	Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(c)		720,198
	1,311,696	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(k)		1,310,057
	2,837,740	US Foods, Inc., Refi Term Loan, 4.500%, 3/29/2019(c)		2,861,974
				19,793,886
		Gaming — 0.3%
	1,346,625	Boyd Gaming Corp., Term Loan B, 4.000%, 8/14/2020(c)		1,348,726
	2,633,379	Las Vegas Sands LLC, New Term Loan B, 12/19/2020(i)		2,629,824
				3,978,550

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Healthcare — 0.9%
$	2,432,775	Apria Healthcare Group, Inc., Term Loan, 6.750%, 4/05/2020(c)	$	2,437,835
	3,067,313	Renaissance Learning, Inc., New Term Loan B, 5.000%, 10/16/2020(c)		3,078,815
	3,184,711	Springer Science+Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(c)		3,195,316
	265,000	TriZetto Group, Inc. (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(c)		253,075
	1,278,744	TriZetto Group, Inc. (The), Term Loan B, 4.750%, 5/02/2018(c)		1,263,565
	395,015	United Surgical Partners International, Inc., Incremental Term Loan, 4.750%, 4/03/2019(c)		396,496
				10,625,102
		Independent Energy — 0.1%
	1,217,948	Fieldwood Energy LLC, 1st Lien Term Loan, 3.875%, 9/28/2018(c)		1,225,389
		Industrial Other — 2.4%
	1,101,675	Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(c)		1,105,531
	3,280,000	Brand Energy & Infrastructure Services, Inc., New Term Loan B, 4.750%, 11/26/2020(c)		3,295,383
	1,100,000	Brickman Group Holdings, Inc., 1st Lien Term Loan, 12/18/2020(i)		1,104,125
	39,383	CeramTec Acquisition Corp., USD Term Loan B2, 4.250%, 8/28/2020(c)		39,465
	2,339,000	Crosby US Acquisition Corp., 1st Lien Term Loan, 4.000%, 11/28/2020(c)		2,339,725
	399,963	Faenza Acquisition GmbH, USD Term Loan B1, 4.250%, 8/31/2020(c)		400,795
	121,655	Faenza Acquisition GmbH, USD Term Loan B3, 4.250%, 8/28/2020(c)		121,908
	867,000	Filtration Group Corp., 1st Lien Term Loan, 4.500%, 11/21/2020(c)		875,132
	3,990,000	Gardner Denver, Inc., USD Term Loan, 4.250%, 7/30/2020(c)		3,989,521
	2,825,800	Generac Power Systems, Inc., Term Loan B, 3.500%, 5/31/2020(c)		2,824,613
	549,450	Mirror Bidco Corp., USD Term Loan, 5.250%, 12/27/2019(c)		551,857
	1,985,025	Pacific Industrial Services US Finco LLC, USD 1st Lien Term Loan, 5.000%, 10/02/2018(c)		2,010,671
	1,950,134	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(c)		1,957,447
	6,448,232	Silver II US Holdings LLC, Term Loan, 4.000%, 12/13/2019(c)		6,454,938
	2,544,731	TNT Crane & Rigging, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(c)		2,519,284
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(c)		92,743
				29,683,138
		Lodging — 0.2%
	2,703,081	Hilton Worldwide Finance LLC, USD Term Loan B2, 3.750%, 10/26/2020(c)		2,723,354
		Media Cable — 0.8%
	1,958,160	Charter Communications Operating LLC, Term Loan E, 3.000%, 7/01/2020(c)		1,942,867
	1,302,455	Charter Communications Operating LLC, Term Loan F, 3.000%, 1/31/2021(c)		1,291,059
	374,060	CSC Holdings, Inc., New Term Loan B, 4/17/2020(i)		370,088
	2,840,725	CSC Holdings, Inc., New Term Loan B, 2.669%, 4/17/2020(c)		2,810,556
	671,000	TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(c)		689,036
	3,295,000	Virgin Media Investment Holdings Ltd., USD Term Loan B, 3.500%, 6/08/2020(c)		3,299,942
				10,403,548
		Media Non-Cable — 0.6%
	1,251,863	Activision Blizzard, Inc., Term Loan B, 3.250%, 10/12/2020(c)		1,259,048
	910,000	Cumulus Media Holdings, Inc., 2013 Term Loan, 4.250%, 12/23/2020(c)		914,550

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Media Non-Cable — continued
$	1,129,590	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(c)	$	1,052,439
	1,187,016	Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(c)		1,177,520
	2,830,000	Tribune Co., 2013 Term Loan, 11/12/2020(i)		2,812,312
				7,215,869
		Metals & Mining — 1.0%
	3,107,152	FMG Resources (August 2006) Pty Ltd., New Term Loan B, 4.250%, 6/28/2019(c)		3,145,029
	1,544,681	Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(c)		1,554,721
	1,692,420	Murray Energy Corp., 1st Lien Term Loan, 5.250%, 11/21/2019(c)		1,708,295
	2,284,275	Peabody Energy Corp., Term Loan B, 4.250%, 9/24/2020(c)		2,297,524
	3,400,000	TMS International Corp., New Term Loan B, 4.500%, 10/16/2020(c)		3,424,072
				12,129,641
		Oil Field Services — 0.2%
	1,446,730	Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(c)		1,462,109
	340,000	Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 10.500%, 7/24/2020(c)		341,275
	646,750	Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(c)		659,685
				2,463,069
		Other Utility — 0.0%
	458,695	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		451,815
	31,074	PowerTeam Services LLC, Delayed Draw Term Loan, 3.250%, 5/06/2020(j)		30,608
	23,926	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(c)		23,567
				505,990
		Packaging — 0.2%
	614,000	Ardagh Packaging Finance PLC, USD Term Loan B, 4.250%, 12/17/2019(c)		617,070
	1,711,400	Berlin Packaging LLC, 1st Lien Term Loan, 4.750%, 4/02/2019(c)		1,721,035
				2,338,105
		Pharmaceuticals — 0.6%
	1,373,000	Akorn, Inc., Term Loan B, 8/27/2020(i)		1,379,865
	2,277,293	Amneal Pharmaceuticals LLC, New Term Loan, 5.753%, 11/01/2019(k)		2,288,679
	2,601,762	Quintiles Transnational Corp., Term Loan B3, 2.747%, 6/08/2018(c)		2,598,510
	1,551,407	Salix Pharmaceuticals Ltd., Term Loan, 1/02/2020(i)		1,566,440
				7,833,494
		Pipelines — 0.2%
	1,930,000	Energy Transfer Equity, LP, New Term Loan, 3.250%, 12/02/2019(c)		1,922,280
		Property & Casualty Insurance — 0.4%
	1,158,879	AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(c)		1,164,673
	330,000	Applied Systems, Inc., 2nd Lien Term Loan, 8.250%, 6/08/2017(c)		330,412
	2,628,396	Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.000%, 4/16/2020(c)		2,560,505
	1,115,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(c)		1,075,975
				5,131,565

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Restaurants — 0.1%
$	443,571	Brasa Holdings, Inc., 2nd Lien Term Loan, 9.747%, 1/20/2020(c)	$	444,680
	535,310	Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.500%, 5/14/2020(c)		534,866
				979,546
		Retailers — 0.4%
	708,225	Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.750%, 7/26/2019(c)		716,008
	1,615,000	Hudson’s Bay Co., 1st Lien Term Loan, 4.750%, 11/04/2020(c)		1,639,839
	2,835,000	Neiman Marcus Group, Inc. (The), New Term Loan B, 5.000%, 10/26/2020(c)		2,867,688
				5,223,535
		Supermarkets — 0.4%
	633,413	Acosta, Inc., New Term Loan B, 4.250%, 3/02/2018(c)		636,738
	974,368	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(c)		975,995
	3,323,378	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(c)		3,351,926
				4,964,659
		Technology — 3.2%
	7,901,751	Alcatel-Lucent USA, Inc., USD Term Loan C, 1/30/2019(i)		7,929,407
	7,883,842	Alcatel-Lucent USA, Inc., USD Term Loan C, 5.750%, 1/30/2019(c)		7,911,436
	2,281,938	Blackboard, Inc., Term Loan B3, 4.750%, 10/04/2018(c)		2,310,463
	1,534,661	BMC Software Finance, Inc., Term Loan, 5.000%, 9/10/2020(c)		1,540,416
	3,074,454	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(c)		3,088,873
	2,900,000	Dell, Inc., USD Term Loan B, 4.500%, 4/29/2020(c)		2,905,191
	469,260	Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(c)		470,433
	3,153,473	Infor (US), Inc., USD Term Loan B5, 6/03/2020(i)		3,146,252
	2,204,475	Microsemi Corp., Term Loan B2, 3.500%, 2/19/2020(c)		2,214,131
	967,569	Nuance Communications, Inc., Term Loan C, 2.920%, 8/07/2019(c)		958,899
	1,461,338	NXP B.V., Term Loan D, 3.250%, 1/11/2020(c)		1,463,164
	1,073,000	Oberthur Technologies Holding SAS, New USD Term Loan B, 5.750%, 10/18/2019(c)		1,081,047
	1,810,000	Open Text Corp., Term Loan B, 1/04/2021(i)		1,810,000
	850,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c)		851,420
	451,440	SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(c)		453,323
	947,838	SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/09/2020(c)		953,761
				39,088,216
		Transportation Services — 0.1%
	158,034	Drew Marine Partners LP, 1st Lien Term Loan, 4.500%, 11/19/2020(c)		158,034
	791,121	FleetPride Corp., 1st Lien Term Loan, 5.250%, 11/19/2019(c)		780,742
				938,776
		Utility Other — 0.0%
	380,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(c)		378,457
		Wireless — 0.6%
	3,134,146	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(c)		3,131,795
	930,325	Asurion LLC, New Term Loan B2, 3.500%, 7/08/2020(c)		912,109
	3,373,022	Crown Castle International Corp., New Term Loan, 3.250%, 1/31/2019(c)		3,376,193
				7,420,097

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — 0.6%
$	1,311,713	Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(c)	$	1,313,352
	476,400	Integra Telecom, Inc., 1st Lien Term Loan, 5.250%, 2/22/2019(c)		482,155
	2,140,810	Level 3 Financing, Inc., 2020 Term Loan B, 4.000%, 1/15/2020(c)		2,155,539
	542,007	Level 3 Financing, Inc., New 2019 Term Loan, 4.000%, 8/01/2019(c)		544,489
	1,692,495	LTS Buyer LLC, 1st Lien Term Loan, 4.500%, 4/13/2020(c)		1,698,317
	812,689	Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(c)		812,876
				7,006,728
		Total Senior Loans (Identified Cost $253,745,397)		255,206,929
Shares
	Common Stocks — 5.6%
		Automobiles — 0.5%
	99,173	General Motors Co.(f)		4,053,200
	19,989	Toyota Motor Corp., Sponsored ADR		2,437,059
				6,490,259
		Chemicals — 0.6%
	82,634	Dow Chemical Co. (The)		3,668,949
	29,800	Rockwood Holdings, Inc.		2,143,216
	54,452	Tronox Ltd., Class A		1,256,208
				7,068,373
		Commercial Banks — 0.1%
	23,543	HSBC Holdings PLC, Sponsored ADR		1,297,926
		Computers & Peripherals — 0.2%
	80,565	EMC Corp.		2,026,210
		Diversified Telecommunication Services — 0.4%
	58,003	AT&T, Inc.		2,039,385
	63,891	Verizon Communications, Inc.		3,139,604
				5,178,989
		Food & Staples Retailing — 0.4%
	32,945	CVS Caremark Corp.		2,357,874
	25,113	Wal-Mart Stores, Inc.		1,976,142
				4,334,016
		Gas Utilities — 0.1%
	58,444	Tokyo Gas Co Ltd., ADR		1,157,776
		Industrial Conglomerates — 0.1%
	10,144	Siemens AG, Sponsored ADR		1,405,045
		Office Electronics — 0.0%
	12,269	Canon, Inc., Sponsored ADR		392,608
		Oil, Gas & Consumable Fuels — 0.8%
	16,420	Chevron Corp.		2,051,022
	21,550	ExxonMobil Corp.		2,180,860

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — continued
	28,970	Royal Dutch Shell PLC, ADR	$	2,064,692
	54,651	Statoil ASA, Sponsored ADR		1,318,729
	40,268	Total S.A., Sponsored ADR		2,467,220
				10,082,523
		Pharmaceuticals — 1.4%
	28,438	Bayer AG, Sponsored ADR		4,038,196
	64,155	Eli Lilly & Co.		3,271,905
	24,258	GlaxoSmithKline PLC, Sponsored ADR		1,295,135
	29,105	Johnson & Johnson		2,665,727
	62,096	Pfizer, Inc.		1,902,000
	27,900	Roche Holding AG, ADR		1,958,580
	36,223	Sanofi, ADR		1,942,639
				17,074,182
		Semiconductors & Semiconductor Equipment — 0.2%
	19,771	KLA-Tencor Corp.		1,274,439
	32,227	Texas Instruments, Inc.		1,415,087
				2,689,526
		Tobacco — 0.3%
	34,555	Altria Group, Inc.		1,326,567
	11,732	British American Tobacco PLC, Sponsored ADR		1,260,251
	14,375	Philip Morris International, Inc.		1,252,494
				3,839,312
		Trading Companies & Distributors — 0.3%
	47,823	Mitsubishi Corp., Sponsored ADR		1,833,438
	6,777	Mitsui & Co. Ltd., Sponsored ADR		1,897,967
				3,731,405
		Wireless Telecommunication Services — 0.2%
	75,054	Vodafone Group PLC, Sponsored ADR		2,950,373
		Total Common Stocks (Identified Cost $63,120,637)		69,718,523
	Preferred Stocks — 4.4%
	Convertible Preferred Stocks — 2.7%
		Banking — 0.2%
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%(b)		2,475,200
		Independent Energy — 0.2%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A		2,290,849
		Metals & Mining — 0.4%
	130,175	ArcelorMittal, 6.000%		3,384,550
	77,732	Cliffs Natural Resources, Inc., 7.000%		1,784,727
				5,169,277
		Non-Captive Diversified — 0.1%
	1,388	Bank of America Corp., Series L, 7.250%		1,472,668

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		REITs – Diversified — 1.0%
	213,072	Weyerhaeuser Co., Series A, 6.375%(b)	$	11,940,555
		REITs – Healthcare — 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		410,080
		REITs – Mortgage — 0.4%
	67,436	iStar Financial, Inc., Series J, 4.500%(b)		4,181,032
		Utility Other — 0.3%
	34,648	Dominion Resources, Inc., Series B, 6.000%		1,878,268
	30,295	Dominion Resources, Inc., Series A, 6.125%		1,639,565
				3,517,833
		Wireless — 0.1%
	13,735	Crown Castle International Corp., Series A, 4.500%		1,378,650
		Total Convertible Preferred Stocks (Identified Cost $29,477,505)		32,836,144
	Non-Convertible Preferred Stocks — 1.7%
		Banking — 1.2%
	6,776	Ally Financial, Inc., Series G, 7.000%, 144A(b)		6,471,716
	148,056	Capital One Financial Corp., Series B, 6.000%(b)		3,218,737
	247,273	SunTrust Banks, Inc., Series E, 5.875%(b)		5,192,733
				14,883,186
		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)		2,742,780
		Total Non-Convertible Preferred Stocks (Identified Cost $23,054,349)		21,625,566
		Total Preferred Stocks (Identified Cost $52,531,854)		54,461,710
	Exchange Traded Funds — 1.5%
	371,346	WisdomTree Japan Hedged Equity Fund (Identified Cost $17,780,642)		18,879,231
Notional Amount
	Purchased Swaptions — 0.5%
		Interest Rate Swaptions — 0.5%
$	125,000,000	1-year Interest Rate Swap Put, expiring 9/15/2014, Pay 3-month LIBOR, Receive 0.843%(l)		489,000
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(l)		5,833,317
		Total Purchased Swaptions (Identified Cost $5,936,835)		6,322,317

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 8.3%
$	830,907	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2013 at 0.000% to be repurchased at $830,907 on 1/02/2014 collateralized by $930,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $848,598 including accrued interest (Note 2 of Notes to Financial Statements)	$	830,907
	64,878,178	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $64,878,178 on 1/02/2014 collateralized by $31,095,000 Federal Farm Credit Bank, 4.875% due 1/17/2017 valued at $35,465,185; $21,470,000 U.S. Treasury Note, 3.125% due 1/31/2017 valued at $23,236,616; $7,265,000 U.S. Treasury Note, 1.500% due 7/31/2016 valued at $7,476,876 including accrued interest (Note 2 of Notes to Financial Statements)		64,878,178
	9,800,000	U.S. Treasury Bill, 0.021%-0.053%, 2/27/2014(m)(n)		9,799,618
	27,600,000	U.S. Treasury Bill, 0.106%, 8/21/2014(b)(m)(n)		27,587,608
		Total Short-Term Investments (Identified Cost $103,089,806)		103,096,311
		Total Investments — 101.0% (Identified Cost $1,247,593,072)(a)		1,252,407,205
		Other assets less liabilities — (1.0)%		(12,835,645	)
		Net Assets — 100.0%	$	1,239,571,560
Notional Amount
	Written Swaptions — (0.3%)
		Interest Rate Swaptions — (0.3)%
$	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(l) (Premiums Received $3,740,334)	$	(3,593,125	)
	(†)	See Note 2 of Notes to Financial Statements.
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At December 31, 2013, the net unrealized appreciation on investments based on a cost of $1,248,625,919 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	$	37,625,817
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(33,844,531	)
		Net unrealized appreciation	$	3,781,286
	(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 December 31, 2013 is disclosed.

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

(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)	Perpetual bond with no specified maturity date.
(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(i)	Position is unsettled. Contract rate was not determined at December 31, 2013 and does not take effect until settlement date.
(j)	Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.
(k)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2013.
(l)	Counterparty is Citibank, N.A.
(m)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements, or as initial margin for open futures contracts.
(n)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(o)	The issuer is making partial payments with respect to principal.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, the value of Rule 144A holdings amounted to $243,544,796 or 19.6% 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
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
BRL	Brazilian Real
CLP	Chilean Peso
EUR	Euro
MXN	Mexican Peso
NZD	New Zealand Dollar
UYU	Uruguayan Peso
USD	U.S. Dollar

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2013, the Fund had the following open bilateral credit default swap agreements:

Buy Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year		(5.00%)			12/20/2017		3,797,500	*	$	76,014		$	(579,684	)	$	(655,698	)	$	(8,675	)
Bank of America, N.A.	Republic of Venezuela		(5.00%)			12/20/2018		4,700,000			874,434			1,059,100			184,666			(7,833	)
JPMorgan Chase Bank N.A.	Jones Group Inc./Apparel Group Holding		(5.00%)			3/20/2019		1,010,000			(53,132	)		(49,537	)		3,595			(1,683	)
JPMorgan Chase Bank N.A.	Jones Group Inc./Apparel Group Holding		(5.00%)			3/20/2019		2,115,000			(116,080	)		(103,734	)		12,346			(3,525	)
Morgan Stanley Capital Services, Inc.	Frontier Communications Corp.		(5.00%	)		3/20/2019		3,150,000			(246,845	)		(267,940	)		(21,095	)		(5,250	)
Total													$	58,205		$	(476,186	)	$	(26,966	)

Sell Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate		Expiration Date		Implied Credit Spread^		Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.		5.00%		6/20/2015		39.98%	$	5,300,000	$	(392,263	)	$	(1,745,742	)	$	(1,353,479	)	$	8,833

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2013, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection
Reference Obligation	(Pay)/ Receive Fixed Rate		Expiration Date		Implied Credit Spread^		Notional Value(‡)		Market Value		Unrealized Appreciation (Depreciation)		Fees Receivable/ (Payable)
CDX.NA.HY Series 21, 5-Year		5.00%		12/20/2018		3.04%	$	1,010,000	$	85,913	$	5,113	$	140
CDX.NA.HY Series 21, 5-Year		5.00%		12/20/2018		3.04%		3,150,000		267,945		40,554		438
CDX.NA.HY Series 21, 5-Year		5.00%		12/20/2018		3.04%		2,115,000		179,907		5,419		294
Total									$	533,765	$	51,086	$	872

(‡) 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.

At December 31, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		1/30/2014	Brazilian Real		46,000,000	$	19,365,107	$	(20,307	)
Buy1		1/03/2014	Chilean Peso		2,540,000,000		4,833,952		(13,376	)
Sell1		1/03/2014	Chilean Peso		2,540,000,000		4,833,952		(21,979	)
Sell1		2/03/2014	Chilean Peso		2,540,000,000		4,816,764		11,216
Sell1		1/06/2014	Euro		1,785,000		2,455,620		(37,621	)
Sell2		1/10/2014	Euro		9,300,000		12,793,962		(57,426	)
Sell1		1/13/2014	Euro		3,155,000		4,340,311		1,773
Sell1		1/14/2014	Euro		9,845,000		13,543,690		29,749
Sell2		1/31/2014	Euro		8,100,000		11,143,019		36,350
Sell1		2/03/2014	Euro		12,000,000		16,508,152		11,503
Sell1		1/16/2014	Japanese Yen		1,300,000,000		12,345,031		280,006
Sell1		1/21/2014	Japanese Yen		811,000,000		7,701,582		182,385
Sell1		1/31/2014	Mexican Peso		305,200,000		23,322,501		(43,095	)
Buy3		1/06/2014	New Zealand Dollar		8,860,000		7,286,466		12,583
Sell3		1/06/2014	New Zealand Dollar		8,860,000		7,286,466		(58,655	)
Sell3		2/07/2014	New Zealand Dollar		8,860,000		7,270,075		(13,558	)
Sell1		2/06/2014	Swiss Franc		1,765,000		1,979,099		(39,176	)
Total								$	260,372

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2013

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2013, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency			Receive/Units of Currency1		Unrealized Appreciation (Depreciation)
1/09/2014		Euro	9,625,000	British Pound	8,056,587	$	99,705

¹ Counterparty is Credit Suisse International.

² Counterparty is Deutsche Bank AG.

³ Counterparty is Citibank, N.A.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		3/21/2014		581	$	53,483,955	$	(1,979,705	)
EURO STOXX 50®		3/21/2014		245		10,475,400		(276,941	)
Ultra Long U.S. Treasury Bond		3/20/2014		145		19,756,250		306,727
10 Year U.S. Treasury Note		3/20/2014		1,519		186,908,203		3,201,908
30 Year U.S. Treasury Bond		3/20/2014		207		26,560,688		455,668
Total							$	1,707,657

Industry Summary at December 31, 2013 (Unaudited)

ABS Home Equity	12.0	%
Technology	5.9
Banking	5.0
Automotive	4.9
Treasuries	4.8
Pharmaceuticals	3.9
Commercial Mortgage-Backed Securities	3.8
Food & Beverage	3.1
Chemicals	2.7
Industrial Other	2.4
Healthcare	2.3
ABS Credit Card	2.2
Independent Energy	2.1
Other Investments, less than 2% each	37.6
Short-Term Investments	8.3
Total Investments	101.0
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	(1.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

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|  30

Statement of Assets and Liabilities

December 31, 2013

ASSETS
Investments at cost	$	1,247,593,072
Net unrealized appreciation		4,814,133
Investments at value		1,252,407,205
Cash		203,625
Due from brokers (Note 2)		4,369,584
Foreign currency at value (identified cost $9,902,375)		9,812,274
Receivable for Fund shares sold		3,494,990
Receivable for securities sold		6,752,068
Collateral received for open forward foreign currency contracts, swaptions or swap agreements (Notes 2 and 4)		2,901,735
Dividends and interest receivable		7,430,352
Unrealized appreciation on bilateral swap agreements (Note 2)		200,607
Unrealized appreciation on forward foreign currency contracts (Note 2)		665,270
Tax reclaims receivable		6,089
Receivable for variation margin on futures contracts (Note 2)		286,487
Receivable for variation margin on centrally cleared swap agreements (Note 2)		16,364
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		950,448
Fees receivable on swap agreements (Note 2)		9,705
TOTAL ASSETS		1,289,506,803
LIABILITIES
Swaptions written, at value (premiums received $3,740,334) (Note 2)		3,593,125
Payable for securities purchased		32,849,240
Unrealized depreciation on bilateral swap agreements (Note 2)		2,030,272
Payable for Fund shares redeemed		6,347,264
Unrealized depreciation on forward foreign currency contracts (Note 2)		305,193
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		808,320
Due to brokers (Note 2)		2,901,735
Fees payable on swap agreements (Note 2)		26,998
Management fees payable (Note 6)		728,829
Deferred Trustees’ fees (Note 6)		41,492
Administrative fees payable (Note 6)		46,971
Payable to distributor (Note 6d)		8,641
Other accounts payable and accrued expenses		247,163
TOTAL LIABILITIES		49,935,243
NET ASSETS	$	1,239,571,560
NET ASSETS CONSIST OF:
Paid-in capital	$	1,272,828,879
Distributions in excess of net investment income		(569,723	)
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(37,823,228	)
Net unrealized appreciation on investments, futures contracts, swaptions written, swap agreements and foreign currency translations		5,135,632
NET ASSETS	$	1,239,571,560

See accompanying notes to financial statements.

31  |

Statement of Assets and Liabilities (continued)

December 31, 2013

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	177,339,392
Shares of beneficial interest		17,623,187
Net asset value and redemption price per share	$	10.06
Offering price per share (100/95.50 of net asset value) (Note 1)	$	10.53
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	91,693,594
Shares of beneficial interest		9,142,876
Net asset value and offering price per share	$	10.03
Class Y shares:
Net assets	$	970,538,574
Shares of beneficial interest		96,529,231
Net asset value, offering and redemption price per share	$	10.05

See accompanying notes to financial statements.

|  32

Statement of Operations

For the Year Ended December 31, 2013

INVESTMENT INCOME
Interest	$	48,699,258
Dividends		4,733,527
Less net foreign taxes withheld		(55,040	)
		53,377,745
Expenses
Management fees (Note 6)		7,806,931
Service and distribution fees (Note 6)		1,355,336
Administrative fees (Note 6)		492,301
Trustees’ fees and expenses (Note 6)		41,921
Transfer agent fees and expenses (Note 6)		626,577
Audit and tax services fees		66,172
Custodian fees and expenses		237,274
Legal fees		13,950
Registration fees		182,658
Shareholder reporting expenses		76,760
Miscellaneous expenses		67,557
Total expenses		10,967,437
Less waiver and/or expense reimbursement (Note 6)		(18,694	)
Net expenses		10,948,743
Net investment income		42,429,002
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized loss on:
Investments		(4,072,209	)
Futures contracts		(5,492,550	)
Options/swaptions written		(1,197,156	)
Swap agreements		(15,941,313	)
Foreign currency transactions		(2,562,169	)
Net change in unrealized appreciation (depreciation) on:
Investments		(13,020,732	)
Futures contracts		1,835,936
Options/swaptions written		(112,551	)
Swap agreements		(724,333	)
Foreign currency translations		387,897
Net realized and unrealized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(40,899,180	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,529,822

See accompanying notes to financial statements.

33  |

Statement of Changes in Net Assets

	Year Ended December 31, 2013			Year Ended December 31, 2012
FROM OPERATIONS:
Net investment income	$	42,429,002		$	20,369,587
Net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(29,265,397	)		(14,539,671	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		(11,633,783	)		54,591,068
Net increase in net assets resulting from operations		1,529,822			60,420,984
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(4,183,150	)		(2,250,451	)
Class C		(1,514,071	)		(1,446,714	)
Class Y		(22,714,766	)		(12,641,328	)
Total distributions		(28,411,987	)		(16,338,493	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		620,354,079			120,621,883
Net increase in net assets		593,471,914			164,704,374
NET ASSETS
Beginning of the year		646,099,646			481,395,272
End of the year	$	1,239,571,560		$	646,099,646
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(569,723	)	$	(2,510,699	)

See accompanying notes to financial statements.

|  34

Financial Highlights

For a share outstanding throughout each period

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)(b)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
Class A
12/31/2013	$	10.20	$	0.37	$	(0.28	)	$	0.09		$	(0.23	)	$	—		$	(0.23	)
12/31/2012		9.34		0.37		0.77			1.14			(0.28	)		—			(0.28	)
12/31/2011		10.06		0.34		(0.75	)		(0.41	)		(0.31	)		(0.00	)		(0.31	)
12/31/2010(h)		10.00		0.00		0.06			0.06			(0.00	)		—			(0.00	)
Class C
12/31/2013		10.16		0.30		(0.28	)		0.02			(0.15	)		—			(0.15	)
12/31/2012		9.31		0.30		0.76			1.06			(0.21	)		—			(0.21	)
12/31/2011		10.05		0.28		(0.77	)		(0.49	)		(0.25	)		(0.00	)		(0.25	)
12/31/2010(h)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)
Class Y
12/31/2013		10.19		0.40		(0.29	)		0.11			(0.25	)		—			(0.25	)
12/31/2012		9.33		0.41		0.76			1.17			(0.31	)		—			(0.31	)
12/31/2011		10.05		0.37		(0.75	)		(0.38	)		(0.34	)		(0.00	)		(0.34	)
12/31/2010(h)		10.00		0.00		0.05			0.05			(0.00	)		—			(0.00	)

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

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

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

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

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

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

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

(h) From commencement of operations on December 15, 2010 through December 31, 2010.

See accompanying notes to financial statements.

35  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (%)  (f)		Portfolio turnover rate (%)
$	10.06		0.96		$	177,339		1.11			1.11			3.68		115
	10.20		12.24			80,704		1.12			1.12			3.77		116
	9.34		(3.90	)		130,662		1.15	(g)		1.15	(g)		3.50		141
	10.06		0.41			2,465		1.30			6.98			0.86		39
	10.03		0.22			91,694		1.86			1.86			2.96		115
	10.16		11.44			67,748		1.87			1.87			3.05		116
	9.31		(4.69	)		77,398		1.89	(g)		1.89	(g)		2.82		141
	10.05		0.31			563		2.05			8.68			0.24		39
	10.05		1.19			970,539		0.86			0.86			3.92		115
	10.19		12.57			497,648		0.87			0.87			4.09		116
	9.33		(3.78	)		273,335		0.90	(g)		0.90	(g)		3.81		141
	10.05		0.41			26,758		1.05			5.37			0.06		39

See accompanying notes to financial statements.

|  36

Notes to Financial Statements

December 31, 2013

1.  Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to Loomis Sayles Strategic Alpha Fund (the “Fund”).

The Fund is a non-diversified investment company.

The Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.

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

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

a.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value

37  |

Notes to Financial Statements (continued)

December 31, 2013

as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary

|  38

Notes to Financial Statements (continued)

December 31, 2013

events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

c.  Foreign Currency Translation.  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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign

39  |

Notes to Financial Statements (continued)

December 31, 2013

withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

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

d.  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 reflected in the Fund’s Statement of Assets and Liabilities. 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.

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

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

|  40

Notes to Financial Statements (continued)

December 31, 2013

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

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

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

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

g.  Swaptions.  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. The notional amounts of swaptions are not recorded in the financial statements.

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

41  |

Notes to Financial Statements (continued)

December 31, 2013

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.

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

|  42

Notes to Financial Statements (continued)

December 31, 2013

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

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statement of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Fund are recorded on the Statement of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the 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. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. The due from broker balance in the Statement of Assets and Liabilities represents cash pledged as collateral for forward foreign currency contracts, option contracts and bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to broker balance in the

43  |

Notes to Financial Statements (continued)

December 31, 2013

Statement of Assets and Liabilities represents cash and securities received as collateral for forward foreign currency contracts, interest rate swaptions and swap agreements. In certain circumstances the Fund’s use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trust treats each fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of December 31, 2013 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statement of Asset and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement of Assets and Liabilities and are recorded as a realized gain when received.

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

|  44

Notes to Financial Statements (continued)

December 31, 2013

fees and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, contingent payment debt instruments, defaulted and/or non-income producing securities, swap payable/receivable, wash sales and forward foreign currency and futures contracts mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2013 and 2012 were as follows:

2013 Distributions Paid From:					2012 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
$28,411,987	$	—	$	28,411,987	$	16,338,493	$	—	$	16,338,493

As of December 31, 2013, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	$	864,319
Undistributed capital gains		—
Total undistributed earnings		864,319
Capital loss carryforward:
Short-term:
No expiration date		(28,564,283	)
Long-term:
No expiration date		(6,849,896	)
Total capital loss carryforward		(35,414,179	)
Unrealized appreciation		2,017,464
Total accumulated losses	$	(32,532,396	)

l.  Repurchase Agreements.  The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to

45  |

Notes to Financial Statements (continued)

December 31, 2013

dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.

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

For the year ended December 31, 2013, the Fund did not loan securities under this agreement.

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

3.  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

|  46

Notes to Financial Statements (continued)

December 31, 2013

• 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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	11,465,308	$	1,703,269	$	13,168,577
Airlines		—		8,292,193		6,428,650		14,720,843
Commercial Mortgage-Backed Securities		—		44,266,735		2,300,373		46,567,108
All Other Non-Convertible Bonds(a)		—		619,446,784		—		619,446,784
Total Non-Convertible Bonds		—		683,471,020		10,432,292		693,903,312
Convertible Bonds(a)		—		50,818,872		—		50,818,872
Total Bonds and Notes		—		734,289,892		10,432,292		744,722,184
Senior Loans(a)		—		255,206,929		—		255,206,929
Common Stocks(a)		69,718,523		—		—		69,718,523
Preferred Stocks
Convertible Preferred Stocks
REITs – Mortgage		—		4,181,032		—		4,181,032
Wireless		—		1,378,650		—		1,378,650
All Other Convertible Preferred Stocks(a)		27,276,462		—		—		27,276,462
Non-Convertible Preferred Stocks
Media Cable		—		3,999,600		—		3,999,600
All Other Non-Convertible Preferred Stocks(a)		17,625,966		—		—		17,625,966
Total Preferred Stocks		44,902,428		9,559,282		—		54,461,710

47  |

Notes to Financial Statements (continued)

December 31, 2013

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	18,879,231	$	—	$	—	$	18,879,231
Purchased Swaptions(a)		—		6,322,317		—		6,322,317
Short-Term Investments		—		103,096,311		—		103,096,311
Total Investments		133,500,182		1,108,474,731		10,432,292		1,252,407,205
Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		200,607		—		200,607
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		51,086		—		—		51,086
Forward Foreign Currency Contracts (unrealized appreciation)		—		665,270		—		665,270
Futures Contracts (unrealized appreciation)		3,964,303		—		—		3,964,303
Total	$	137,515,571	$	1,109,340,608	$	10,432,292	$	1,257,288,471

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Swaptions(a)	$	—		$	(3,593,125	)	$	—	$	(3,593,125	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(2,030,272	)		—		(2,030,272	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(305,193	)		—		(305,193	)
Futures Contracts (unrealized depreciation)		(2,256,646	)		—			—		(2,256,646	)
Total	$	(2,256,646	)	$	(5,928,590	)	$	—	$	(8,185,236	)

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

Preferred stocks valued at $3,875,972 were transferred from Level 2 to Level 1 during the period ended December 31, 2013. At December 31, 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.

|  48

Notes to Financial Statements (continued)

December 31, 2013

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 December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2012			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	—	$	5,565		$	(30,123	)	$	—
Airlines		—			—		—			63,650			6,365,000
Commercial Mortgage-Backed Securities		—			—		(136	)		710			2,310,687
Treasuries		6,211,796			—		(187,627	)		(31,634	)		—
Total	$	6,211,796		$	—	$	(182,198	)	$	2,603		$	8,675,687
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2013			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(805,555	)	$	2,533,382	$	—		$	1,703,269		$	(30,123	)
Airlines		—			—		—			6,428,650			63,650
Commercial Mortgage-Backed Securities		(10,888	)		—		—			2,300,373			710
Treasuries		(5,992,535	)		—		—			—			—
Total	$	(6,808,978	)	$	2,533,382	$	—		$	10,432,292		$	34,237

A debt security valued at $2,533,382 was transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 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.

49  |

Notes to Financial Statements (continued)

December 31, 2013

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

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

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 year ended December 31, 2013, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

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

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 year ended December 31, 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 it holds without having to sell the bonds. During the year ended December 31, 2013, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

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

|  50

Notes to Financial Statements (continued)

December 31, 2013

purposes. During the year ended December 31, 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 December 31, 2013, as reflected within the Statement of Assets and Liabilities:

Assets	Investments at value1			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts2			Swap Agreements at value3			Total
Over-the-counter asset derivatives
Interest rate contracts	$	6,322,317		$	—		$	—		$	—		$	6,322,317
Foreign exchange contracts		—			665,270			—			—			665,270
Credit contracts		—			—			—			1,059,100			1,059,100
Total over-the-counter asset derivatives	$	6,322,317		$	665,270		$	—		$	1,059,100		$	8,046,687
Exchange traded/cleared asset derivatives
Interest rate contracts	$	—		$	—		$	3,964,303		$	—		$	3,964,303
Credit contracts		—			—			—			533,765			533,765
Total exchange traded/cleared asset derivatives		—			—			3,964,303			533,765			4,498,068
Total asset derivatives	$	6,322,317		$	665,270		$	3,964,303		$	1,592,865		$	12,544,755
Liabilities	Swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts2			Swap Agreements at value3			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(3,593,125	)	$	—		$	—		$	—		$	(3,593,125	)
Foreign exchange contracts		—			(305,193	)		—			—			(305,193	)
Credit contracts		—			—			—			(2,746,637	)		(2,746,637	)
Total over-the-counter liability derivatives	$	(3,593,125	)	$	(305,193	)	$	—		$	(2,746,637	)	$	(6,644,955	)
Exchange traded/cleared liability derivatives
Equity contracts	$	—		$	—		$	(2,256,646	)	$	—		$	(2,256,646	)
Total exchange traded/cleared liability derivatives		—			—			(2,256,646	)		—			(2,256,646	)
Total liability derivatives	$	(3,593,125	)	$	(305,193	)	$	(2,256,646	)	$	(2,746,637	)	$	(8,901,601	)

¹ Represents purchased swaptions, at value.

² Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable.

³ Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statement of Assets and Liabilities.

51  |

Notes to Financial Statements (continued)

December 31, 2013

Transactions in derivative instruments for the Fund during the year ended December 31, 2013 as reflected in the Statement of Operations were as follows:

Net Realized Gain (Loss) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions5
Interest rate contracts	$	1,839,450		$	2,166,741		$	(1,421,559	)	$	—		$	—
Foreign exchange contracts		(204,000	)		—			—			—			(2,504,966	)
Credit contracts		—			—			—			(15,941,313	)		—
Equity contracts		(3,967,895	)		(7,659,291	)		224,403			—			—
Total	$	(2,332,445	)	$	(5,492,550	)	$	(1,197,156	)	$	(15,941,313	)	$	(2,504,966	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency translations5
Interest rate contracts	$	623,872		$	4,072,452		$	(112,551	)	$	—		$	—
Foreign exchange contracts		—			—			—			—			533,261
Credit contracts		—			—			—			(724,333	)		—
Equity contracts		102,828			(2,236,516	)		—			—			—
Total	$	726,700		$	1,835,936		$	(112,551	)	$	(724,333	)	$	533,261

⁴  Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does 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 these disclosures.

Over-the-counter derivatives, including forward foreign currency contracts, 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. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statement of Assets and Liabilities.

|  52

Notes to Financial Statements (continued)

December 31, 2013

As of December 31, 2013, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets & Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Counterparty	Gross Amounts of Derivative Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	1,059,100		$	(579,684	)	$	479,416		$	(391,735	)	$	87,681
Citibank, N.A.		6,334,900			(3,665,338	)		2,669,562			(2,510,000	)		159,562
Credit Suisse International		616,337			(616,337	)		—			—			—
Deutsche Bank AG		36,350			(36,350	)		—			—			—
	$	8,046,687		$	(4,897,709	)	$	3,148,978		$	(2,901,735	)	$	247,243
Counterparty	Gross Amounts of Derivative Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	(579,684	)	$	579,684		$	—		$	—		$	—
Citibank, N.A.		(3,665,338	)		3,665,338			—			—			—
Credit Suisse International		(1,921,296	)		616,337			(1,304,959	)		1,248,951			(56,008	)
Deutsche Bank AG		(57,426	)		36,350			(21,076	)		21,076			—
JPMorgan Chase Bank N.A.		(153,271	)		—			(153,271	)		—			(153,271	)
Morgan Stanley Capital Services, Inc.		(267,940	)		—			(267,940	)		150,000			(117,940	)
	$	(6,644,955	)	$	4,897,709		$	(1,747,246	)	$	1,420,027		$	(327,219	)

The actual collateral received or pledged may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by 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 for futures contracts and centrally cleared swap agreements or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. Based on the balances reflected on the Fund’s Statement of Assets and Liabilities, including cash and securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss the Fund would incur if counterparties failed to meet their obligations is $19,458,230 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $10,238,759.

53  |

Notes to Financial Statements (continued)

December 31, 2013

These amounts include cash and U.S. government and agency securities received as collateral of $2,901,735. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Statement of Assets and Liabilities.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2013:

	Forwards		Futures		Swaps
Average Notional Amount Outstanding		25.69%		17.65%		18.89%
Highest Notional Amount Outstanding		51.30%		25.63%		30.46%
Lowest Notional Amount Outstanding		14.41%		10.63%		2.13%
Notional Amount Outstanding as of December 31, 2013		15.20%		23.97%		2.13%

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

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

The volume of option contract activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2013:

	Put Options Purchased*		Put Options Written*
Average Market Value of Underlying Instruments		6.41%		0.97%
Highest Market Value of Underlying Instruments		19.95%		7.69%
Lowest Market Value of Underlying Instruments		0.00%		0.00%
Market Value of Underlying Instruments as of December 31, 2013		0.00%		0.00%

* Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

|  54

Notes to Financial Statements (continued)

December 31, 2013

The volume of interest rate swaption activity, as a percentage of net assets based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2013:

	Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written			Interest Rate Put Swaptions Purchased			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.02	%		0.28	%		0.07	%		0.45	%
Highest Premium Paid/Received		0.07	%		0.32	%		0.11	%		0.54	%
Lowest Premium Paid/Received		0.00	%		0.22	%		0.02	%		0.38	%
Premium Paid/Received as of December 31, 2013		0.00	%		0.30	%		0.02	%		0.45	%

The following is a summary of the Fund’s written option activity (excluding interest rate swaptions):

	Number of Contracts			Premiums
Outstanding at December 31, 2012		—		$	—
Options written		13,907			664,857
Options terminated in closing purchase transactions		(13,907	)		(664,857	)
Outstanding at December 31, 2013		—		$	—

The following is a summary of the Fund’s written interest rate swaption activity:

	Notional Amount			Premiums
Outstanding at December 31, 2012	$	640,000,000		$	3,148,500
Swaptions written		250,500,000			6,590,334
Swaptions expired		(83,500,000	)		(225,000	)
Swaptions terminated in closing purchase transactions		(692,500,000	)		(5,773,500	)
Outstanding at December 31, 2013	$	114,500,000		$	3,740,334

5.  Purchases and Sales of Securities.  For the year ended December 31, 2013, purchases and sales of securities (excluding short-term investments and including paydowns) were $ $1,653,704,945 and $1,101,987,632, respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to the Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

55  |

Notes to Financial Statements (continued)

December 31, 2013

Loomis Sayles have given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. This undertaking is in effect until April 30, 2014 and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to this undertaking.

For the year ended December 31, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

Expense Limit as a Percentage of Average Daily Net Assets
Class A	Class C		Class Y
1.30%		2.05%		1.05%

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

For the year ended December 31, 2013, the management fees for the Fund were $7,806,931 (0.70% of average daily net assets). Loomis Sayles voluntarily reimbursed expenses of $18,694.

No expenses were recovered for the Fund during the year ended December 31, 2013 under the terms of the expense limitation agreement.

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

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

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

|  56

Notes to Financial Statements (continued)

December 31, 2013

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

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

For the year ended December 31, 2013, the service and distribution fees for the Fund were as follows:

Service Fees			Distribution Fees
Class A	Class C		Class C
$  420,285		$  233,763	$	701,288

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

For the year ended December 31, 2013, the administrative fees for the Fund were $492,301.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries.

57  |

Notes to Financial Statements (continued)

December 31, 2013

The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.

For the year ended December 31, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $579,269.

As of December 31, 2013, the Fund owes NGAM Distribution $8,641 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2013 amounted to $317,733.

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2014, the Chairperson of the Board will receive a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $130,000. All other Trustee fees will remain unchanged.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based

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Notes to Financial Statements (continued)

December 31, 2013

on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.

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

For the year ended December 31, 2013, the Fund had no borrowings under these agreements.

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

The Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of December 31, 2013, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Number of >5% Non-Affiliated Account Holders	Percentage of Ownership
1	5.31%

59  |

Notes to Financial Statements (continued)

December 31, 2013

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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

	Year Ended December 31, 2013					Year Ended December 31, 2012
	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	19,193,046		$	197,179,839		3,368,991		$	33,423,777
Issued in connection with the reinvestment of distributions	355,486			3,564,612		208,555			2,083,348
Redeemed	(9,839,761	)		(99,155,890	)	(9,652,105	)		(94,597,229	)
Net change	9,708,771		$	101,588,561		(6,074,559	)	$	(59,090,104	)
Class C
Issued from the sale of shares	6,543,786		$	67,379,172		1,159,013		$	11,483,158
Issued in connection with the reinvestment of distributions	97,192			971,450		99,708			993,353
Redeemed	(4,163,033	)		(41,773,151	)	(2,906,551	)		(28,567,885	)
Net change	2,477,945		$	26,577,471		(1,647,830	)	$	(16,091,374	)
Class Y
Issued from the sale of shares	88,033,948		$	900,107,320		30,864,515		$	307,198,920
Issued in connection with the reinvestment of distributions	1,447,322			14,486,878		791,524			7,923,627
Redeemed	(41,806,087	)		(422,406,151	)	(12,086,981	)		(119,319,186	)
Net change	47,675,183		$	492,188,047		19,569,058		$	195,803,361
Increase (decrease) from capital share transactions	59,861,899		$	620,354,079		11,846,669		$	120,621,883

|  60

Report of Independent Registered Public

Accounting Firm

To the Board of Trustees of Natixis Funds Trust II and Shareholders of Loomis Sayles Strategic Alpha Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Strategic Alpha Fund, a series of Natixis Funds Trust II (the “Fund”), at December 31, 2013, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 24, 2014

61  |

2013 U.S. Tax Distribution Information to Shareholders (Unaudited)

Qualified Dividend Income.  For the fiscal year ended December 31, 2013, 14.03% of the ordinary income dividends paid by the Strategic Alpha Fund are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. Complete information will be reported in conjunction with Form 1099-DIV.

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2013, 10.82% of dividends distributed by the Fund qualify for the dividends received deduction for corporate shareholders.

|  62

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Fund’s Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Daniel M. Cain (1945)	Trustee Since 1996 Chairman of the Contract Review and Governance Committee	Chairman of Cain Brothers & Company, Incorporated (investment banking)	42 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on the Board and on the board of other business organizations (including at a health care organization); experience in the financial industry (including roles as chairman and former chief executive officer of an investment banking firm)
Kenneth A. Drucker (1945)	Trustee Since 2008 Chairman of the Audit Committee	Retired	42 None	Significant experience on the Board and on the board of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

63  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Edmond J. English (1953)	Trustee Since 2013 Contract Review and Governance Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Significant experience on the board of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)
Wendell J. Knox (1948)	Trustee Since 2009 Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the board of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

|  64

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee Since 2012 Contract Review and Governance Committee Member	Chancellor and faculty member, University of Massachusetts Lowell	42 None	Experience on the Board and on the board of other business organizations; experience as Chancellor of the University of Massachusetts Lowell; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee Since 1993 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting)	42 Director, Verizon Communications (telecommunications company); Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on the Board and on the board of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

65  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee Since 2009 Audit Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	42 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee Since 2009 Audit Committee Member	Retired	42 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee Since 2005 Contract Review and Governance Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	42 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

|  66

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	42 None	Significant experience on the Board; continuing service as President, Chairman, and Chief Executive Officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee Since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	42 None	Experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
John T. Hailer5 (1960)	Trustee Since 2000	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	42 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

²  The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

67  |

Trustee and Officer Information

³  Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P. and Director of Loomis Sayles Investment Asia Pte., Ltd.

⁴  Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵ Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

|  68

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUST
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

¹  Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

69  |

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Kenneth A. Drucker, Mr. Wendell J. Knox, Mr. Erik R. Sirri and Mr. Peter J. Smail are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.

	Audit fees				Audit-related fees1				Tax fees2				All other fees
	1/1/12- 12/31/12		1/1/13- 12/31/13		1/1/12- 12/31/12		1/1/13- 12/31/13		1/1/12- 12/31/12		1/1/13- 12/31/13		1/1/12- 12/31/12		1/1/13- 12/31/13
Natixis Funds Trust II	$	330,445	$	344,473	$	619	$	1,699	$	88,950	$	91,718	$	—	$	—

1. Audit-related fees consist of:

2012 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2013 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan and review of Form N-1A filings.

2. Tax fees consist of:

2012 & 2013 – review of the Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2012 and 2013 were $89,569 and $93,417, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“ASG”), Loomis, Sayles & Company, L.P. (“Loomis”), NGAM Advisors, L.P. (“NGAM”) and entities controlling, controlled by or under common control with ASG, Loomis and NGAM (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

1/1/12- 12/31/12

1/1/13- 12/31/13

1/1/12- 12/31/12

1/1/13- 12/31/13

1/1/12- 12/31/12

1/1/13- 12/31/13

Control Affiliates

$

—

$

—

$

—

$

—

$

—

$

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to ASG, Loomis, NGAM and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

	Aggregate Non-Audit Fees
	1/1/12- 12/31/12	1/1/13- 12/31/13
Control Affiliates	$179,460	$163,835

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1)and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 24, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 24, 2014

By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 24, 2014

EX-99.(CODE)

Exhibit (a)(1)

NATIXIS FUNDS TRUST I

NATIXIS FUNDS TRUST II

NATIXIS FUNDS TRUST IV

LOOMIS SAYLES FUNDS I

LOOMIS SAYLES FUNDS II

GATEWAY TRUST

HANSBERGER INTERNATIONAL SERIES

CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY

ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL

OFFICERS

I. Covered Persons/Purpose of the Code

This Code of Ethics (this “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a “Fund” and, collectively, the “Funds”) listed on Exhibit A and applies to each Fund’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the “Covered Persons,” all covered persons are set forth in Exhibit B) for the purpose of promoting:

• Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (the “SEC”) and in other public communications made by the registrant

• Compliance with applicable governmental laws, rules and regulations;

• The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code of violations of the Code; and

• Accountability for adherence to the Code.

Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.

II. Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Person’s private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Person’s, or a member of the Covered Person’s family or household, receives improper personal benefits as a result of the Covered Person’s position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the “1940 Act”) and the Investment Advisers Act of 1940 (including the regulations thereunder, the “Investment Advisers Act”). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as “affiliated persons” of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a “Service Provider” and, collectively, the “Service Providers”) compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.

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Each Covered Person must not:

• use his/her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund;

• cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit the Fund; or

• retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of potential violations that are made in good faith.

There are some conflict of interest situations that should always be approved by the Chief Legal Officer (“CLO”) of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President ). These conflict of interest situations are listed below:

• service on the board of directors or governing board of a publicly traded entity;

• acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable;

• any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the outstanding securities of the relevant class; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person’s employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other benefits in exchange for “soft dollars”.

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III. Disclosure and Compliance

• Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund;

• Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Fund’s Board and auditors, and to governmental regulators and self-regulatory organizations;

• Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

• It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

IV. Reporting and Accountability

Each Covered Person must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the Funds that he/she has received, read, and understands the Code;

• annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and

• notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code.

The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Fund’s Audit Committee (the “Committee”).

The Funds will follow these procedures in investigating and enforcing this Code:

• the CLO will take all appropriate action to investigate any potential violations reported, which may include the use of internal or external counsel, accountants or other personnel;

-4-

• if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action;

• any matter that the CLO believes is a violation will be reported to the Committee;

• if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Person;

• the Committee will be authorized to grant waivers, as it deems appropriate; and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds’ Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers’ codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers’ more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Fund’s Board, including a majority of independent trustees.

VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.

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VIII. Internal Use

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

-6-

Exhibit A

Registered Investment Companies

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

Hansberger International Series

-7-

Exhibit B

Persons Covered by this Code of Ethics

Trust	Principal Executive Officer	Principal Financial Officer	Principal Accounting Officer
Natixis Funds Trust I	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust II	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust IV	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds I	Robert J. Blanding, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds II	Robert J. Blanding, Trustee, Chief Executive Officer; David L. Giunta, Trustee, President	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Gateway Trust	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Hansberger International Series	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer

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EX-99.(CERT)

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: February 24, 2014

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: February 24, 2014

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.(906CT)

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended December 31, 2013 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

By:	By:
President and Chief Executive Officer	Treasurer
Natixis Funds Trust II	Natixis Funds Trust II
/s/ David L. Giunta	/s/ Michael C. Kardok
David L. Giunta	Michael C. Kardok
Date: February 24, 2014	Date: February 24, 2014

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