Naixis Funds Trust II

N-Q 1 d727903dnq.htm NAIXIS FUNDS TRUST II Naixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: March 31, 2014

ITEM 1.

SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

ASG Diversifying Strategies Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 81.4% of Net Assets
		Certificates of Deposit – 53.9%
$	1,200,000	Canadian Imperial Bank, 0.010%, 4/01/2014	$	1,200,000
	900,000	Credit Agricole, 0.100%, 4/01/2014		900,000
	1,000,000	Royal Bank of Canada, 0.010%, 4/01/2014		1,000,000
	1,000,000	BNP Paribas, 0.110%, 4/07/2014		1,000,000
	1,000,000	Industrial & Commercial Bank of China, 0.400%, 4/24/2014		1,000,000
	1,000,000	Norinchukin Bank, 0.256%, 5/14/2014(b)		1,000,001
	1,000,000	National Bank of Kuwait, 0.270%, 5/15/2014		1,000,100
	1,000,000	Deutsche Bank A.G., 0.230%, 5/29/2014		1,000,000
	900,000	Bank of Montreal (IL), 0.244%, 7/28/2014(b)(c)		900,223
	800,000	Skandinaviska Enskilda Banken (NY), 0.230%, 8/08/2014		799,942
	2,000,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.338%, 8/11/2014(b)(c)		2,000,036
	1,000,000	Toronto Dominion Bank, 0.250%, 10/10/2014		1,000,374
	500,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014		500,182
	800,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014(f)		800,000
	1,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(c)		1,000,274
	500,000	Societe Generale S.A., 0.283%, 2/02/2015(b)(d)		499,921
	2,000,000	China Construction Bank Corp. (NY), 0.406%, 7/20/2015(b)(d)		2,000,000

				17,601,053

		Financial Company Commercial Paper – 15.6%
	400,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(e)		399,999
	600,000	ING (U.S.) Funding LLC, 0.205%, 4/14/2014(e)		599,975
	600,000	Barclays U.S. Funding, 0.150%, 5/05/2014(e)		599,920
	500,000	Barclays U.S. Funding, 0.180%, 5/05/2014(e)		499,934
	1,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 5/19/2014(e)		999,765
	1,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(c)(e)		999,848
	1,000,000	Dexia Credit Local S.A. (NY), 0.230%, 7/08/2014(c)(e)		999,469

				5,098,910


Principal Amount		Description	Value (†)
		Other Notes – 6.1%
$	2,000,000	Wells Fargo, 0.325%, 4/20/2015(b)	$	2,000,400

		Commercial Paper – 5.8%
	900,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 4/17/2014(e)		899,928
	1,000,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 5/09/2014		1,000,020

				1,899,948

		Total Short-Term Investments (Identified Cost $26,598,540)		26,600,311

		Total Investments – 81.4% (Identified Cost $26,598,540)(a)		26,600,311
		Other assets less liabilities – 18.6%		6,098,145

		Net Assets – 100.0%	$	32,698,456

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2014, the value of the Fund’s investment in the Subsidiary was $2,873,290, representing 8.8% of the Fund’s net assets.

(†)

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 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.

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, 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 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 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.

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

(a)	Federal Tax Information:

At March 31, 2014, the net unrealized appreciation on short-term investments based on a cost of $26,598,540 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	$	1,909
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(138	)

Net unrealized appreciation	$	1,771

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

(b)	Variable rate security. Rate as of March 31, 2014 is disclosed.

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

(d)	Security payable on demand at par including accrued interest.

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

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

Forward Foreign Currency Contracts

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

At March 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		6/18/2014	Australian Dollar		2,800,000	$	2,583,103	$	70,498
Buy		6/18/2014	British Pound		62,500		104,137		64
Sell		6/18/2014	British Pound		312,500		520,684		(1,351	)
Buy		6/18/2014	Canadian Dollar		700,000		632,039		4,184
Sell		6/18/2014	Canadian Dollar		100,000		90,291		(337	)
Buy		6/18/2014	Euro		250,000		344,372		(2,340	)
Sell		6/18/2014	Euro		625,000		860,931		5,083
Sell		6/18/2014	Euro		125,000		172,186		(103	)
Buy		6/18/2014	Japanese Yen		37,500,000		363,467		(5,916	)
Sell		6/18/2014	Japanese Yen		25,000,000		242,311		2,485
Sell		6/18/2014	Japanese Yen		100,000,000		969,244		(98	)
Buy		6/18/2014	New Zealand Dollar		3,700,000		3,191,125		73,808
Sell		6/18/2014	New Zealand Dollar		200,000		172,493		(155	)
Buy		6/18/2014	Norwegian Krone		6,000,000		999,060		(6,100	)
Buy		6/18/2014	Singapore Dollar		250,000		198,753		1,209
Sell		6/18/2014	Singapore Dollar		125,000		99,376		(159	)
Buy		6/18/2014	Swiss Franc		125,000		141,482		(2,125	)
Sell		6/18/2014	Swiss Franc		1,125,000		1,273,341		7,976

Total								$	146,623

¹	Counterparty is UBS AG.

Futures Contracts

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

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

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

At March 31, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		4/17/2014		2	$	222,353	$	6,392
ASX SPI 200™		6/19/2014		2		250,074		3,339
DAX		6/20/2014		1		330,171		8,834
E-mini Dow		6/20/2014		45		3,683,925		62,955
E-mini NASDAQ 100		6/20/2014		56		4,016,600		(66,900	)
Euro Schatz		6/06/2014		108		16,428,223		(14,879	)
FTSE/JSE Top 40 Index		6/19/2014		16		659,210		15,833
German Euro BOBL		6/06/2014		21		3,627,034		2,315
Mini-Russell 2000		6/20/2014		73		8,544,650		(20,355	)
Nikkei 225™		6/12/2014		1		143,681		3,682
OMXS30^®		4/16/2014		44		918,777		22,264
S&P/TSX 60 Index		6/19/2014		3		443,962		(2,551	)
UK Long Gilt		6/26/2014		1		182,603		(1,184	)
2 Year U.S. Treasury Note		6/30/2014		81		17,784,562		(20,250	)
3 Year Australia Government Bond		6/16/2014		30		3,015,800		1,011
5 Year U.S. Treasury Note		6/30/2014		17		2,022,203		(9,828	)
10 Year Japan Government Bond		6/11/2014		15		21,017,294		(13,661	)
10 Year U.S. Treasury Note		6/19/2014		311		38,408,500		(50,719	)
30 Year U.S. Treasury Bond		6/19/2014		5		666,094		5,469

Total							$	(68,233	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/15/2014		5	$	538,800	$	(3,900	)
Cotton		5/07/2014		19		888,440		34,305
Gas Oil		5/12/2014		2		179,000		—
Gasoline		4/30/2014		9		1,102,966		4,288
Natural Gas		4/28/2014		1		43,710		(530	)
New York Harbor ULSD		4/30/2014		2		246,103		2,134
Soybean		5/14/2014		27		1,976,400		170,300
Soybean Meal		5/14/2014		42		2,013,060		182,190
Soybean Oil		5/14/2014		10		242,520		(13,080	)
WTI Crude Oil		4/22/2014		9		914,220		32,760

Total							$	408,467

At March 31, 2014, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40^®		4/17/2014		33	$	1,996,255	$	(61,147	)
CBOE SPX Volatility Index		4/15/2014		63		954,450		47,880
E-mini S&P 500^®		6/20/2014		81		7,551,630		(24,390	)
FTSE MIB		6/20/2014		2		294,817		(7,508	)
FTSE 100 Index		6/20/2014		9		981,810		(8,027	)
German Euro Bund		6/06/2014		137		27,061,253		(21,629	)
Hang Seng Index^®		4/29/2014		26		3,710,694		(30,001	)
IBEX 35		4/17/2014		4		568,363		(17,772	)
MSCI Singapore		4/29/2014		63		3,579,967		(100,668	)
MSCI Taiwan Index		4/29/2014		61		1,905,030		(56,425	)
S&P CNX Nifty Futures Index		4/23/2014		118		1,593,944		(23,600	)
TOPIX		6/12/2014		2		233,106		4,224
10 Year Australia Government Bond		6/16/2014		31		3,321,937		(16,929	)
10 Year Canada Government Bond		6/19/2014		5		587,653		905

Total							$	(315,087	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/18/2014		6	$	267,113	$	(3,749	)
Coffee		5/19/2014		1		66,712		5,119
Copper High Grade		5/28/2014		3		226,912		10,325
Copper LME		6/18/2014		1		166,237		688
Corn		5/14/2014		10		251,000		(20,213	)
Gold		6/26/2014		1		128,380		660
Nickel LME		6/18/2014		1		95,400		(3,420	)
Sugar		4/30/2014		12		238,829		(23,251	)
Wheat		5/14/2014		7		244,038		(36,113	)
Zinc LME		6/18/2014		4		198,200		3,794

Total							$	(66,160	)

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

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	26,600,311	$	—	$	26,600,311
Forward Foreign Currency Contracts (unrealized appreciation)		—		165,307		—		165,307
Futures Contracts (unrealized appreciation)		631,666		—		—		631,666

Total	$	631,666	$	26,765,618	$	—	$	27,397,284

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(18,684	)	$	—	$	(18,684	)
Futures Contracts (unrealized depreciation)		(672,679	)							(672,679	)

Total	$	(672,679	)	$	(18,684	)	$	—	$	(691,363	)

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

For the period ended March 31, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

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

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the period ended March 31, 2014, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary), to capture the exposures suggested by the quantitative investment models. The Fund also used short contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.

The following is a summary of derivative instruments for the Fund as of March 31, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	165,307		$	—		$	165,307

Total over-the-counter asset derivatives	$	165,307		$	—		$	165,307

Exchange traded asset derivatives
Interest rate contracts	$	—		$	9,700		$	9,700
Equity contracts		—			175,403			175,403
Commodity contracts		—			446,563			446,563

Total exchange traded asset derivatives	$	—		$	631,666		$	631,666

Total asset derivatives	$	165,307		$	631,666		$	796,973


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(18,684	)	$	—		$	(18,684	)

Total over-the-counter liability derivatives	$	(18,684	)	$	—		$	(18,684	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(149,079	)	$	(149,079	)
Equity contracts		—			(419,344	)		(419,344	)
Commodity contracts		—			(104,256	)		(104,256	)

Total exchange traded liability derivatives	$	—		$	(672,679	)	$	(672,679	)

Total liability derivatives	$	(18,684	)	$	(672,679	)	$	(691,363	)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of March 31, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Cash or securities held at or pledged to counterparties for initial/variation margin for future contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of March 31, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $5,130,213 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $5,111,529.

Investment Summary at March 31, 2013 (Unaudited)


Certificates of Deposit	53.9	%
Financial Company Commercial Paper	15.6
Other Notes	6.1
Commercial Paper	5.8

Total Investments	81.4
Other assets less liabilities (including open forward foreign currency and futures contracts)	18.6

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

ASG Global Alternatives Fund


Principal Amount	Description	Value (†)
Short-Term Investments – 93.1% of Net Assets
	Certificates of Deposit – 72.7%
$43,950,000	Royal Bank of Canada, 0.010%, 4/01/2014	$	43,950,000
125,000,000	Canadian Imperial Bank, 0.010%, 4/01/2014		125,000,000
125,000,000	Abbey National, 0.050%, 4/01/2014		125,000,000
120,000,000	Credit Agricole, 0.100%, 4/01/2014		120,000,000
3,000,000	China Construction Bank Corp. (NY), 0.650%, 4/01/2014		3,000,000
20,000,000	National Bank of Kuwait, 0.155%, 4/03/2014		20,000,010
115,000,000	BNP Paribas, 0.110%, 4/07/2014		115,000,000
40,000,000	China Construction Bank Corp. (NY), 0.250%, 4/07/2014		40,000,000
65,000,000	Agricultural Bank of China, 0.430%, 4/07/2014		65,003,445
20,000,000	Industrial & Commercial Bank of China, 0.550%, 4/11/2014		20,002,380
15,000,000	China Construction Bank Corp. (NY), 0.400%, 4/14/2014		15,001,395
25,000,000	Bank of Montreal (IL), 0.220%, 4/16/2014		25,001,450
40,000,000	Industrial & Commercial Bank of China, 0.400%, 4/24/2014		40,000,000
30,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 5/09/2014(b)		30,000,660
15,500,000	Industrial & Commercial Bank of China, 0.400%, 5/09/2014		15,503,519
50,000,000	Norinchukin Bank, 0.256%, 5/14/2014(c)		50,000,036
100,000,000	National Bank of Kuwait, 0.270%, 5/15/2014		100,010,000
50,000,000	Norinchukin Bank, 0.220%, 5/29/2014		50,003,300
100,000,000	Deutsche Bank A.G., 0.230%, 5/29/2014		100,000,000
25,000,000	Credit Suisse, 0.250%, 6/09/2014		25,002,900
24,500,000	Nordea Bank Finland (NY), 0.155%, 6/11/2014		24,498,775
50,000,000	Skandinaviska Enskilda Banken (NY), 0.200%, 6/27/2014(b)		50,002,450
70,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014		70,001,890
70,000,000	Bank of Montreal (IL), 0.244%, 7/28/2014(b)(c)		70,017,360
50,000,000	Skandinaviska Enskilda Banken (NY), 0.230%, 8/08/2014		49,996,400
75,000,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.338%, 8/11/2014(c)(f)		75,001,349


Principal Amount	Description	Value (†)
	Certificates of Deposit – continued
$25,000,000	Westpac Banking Corp. (NY), 0.245%, 8/15/2014(c)	$	25,006,675
99,650,000	Toronto Dominion Bank, 0.250%, 10/10/2014		99,687,269
45,000,000	National Australia Bank, 0.225%, 10/23/2014(c)(f)		45,007,965
75,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(f)		75,027,375
100,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		100,000,000
50,000,000	Rabobank Nederland, 0.280%, 11/13/2014		50,005,950
70,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(f)		70,019,180
50,000,000	Societe Generale S.A., 0.283%, 2/02/2015(c)(d)		49,992,050
25,000,000	China Construction Bank Corp. (NY), 0.406%, 7/20/2015(c)(d)		25,000,000

			2,006,743,783

	Financial Company Commercial Paper – 14.6%
24,600,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(e)		24,599,951
50,000,000	ING (U.S.) Funding LLC, 0.205%, 4/14/2014(e)		49,997,900
39,800,000	Societe Generale North America, 0.100%, 5/02/2014(e)		39,796,572
100,000,000	Barclays U.S. Funding, 0.180%, 5/05/2014(e)		99,986,700
30,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 5/19/2014(e)		29,992,950
50,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(e)(f)		49,992,400
75,000,000	Dexia Credit Local S.A. (NY), 0.230%, 7/08/2014(e)		74,960,175
35,000,000	Dexia Credit Local S.A. (NY), 0.280%, 9/18/2014(e)		34,956,110

			404,282,758

	Commercial Paper – 4.2%
30,000,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.370%, 4/07/2014(e)		29,998,150
53,600,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 4/17/2014(e)		53,595,712
32,750,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 5/09/2014		32,750,655

			116,344,517

	Other Notes – 1.6%
20,000,000	JP Morgan Chase Bank NA, Series 1, 0.354%, 4/07/2015(c)		20,000,000
25,000,000	Wells Fargo, 0.325%, 4/20/2015(c)		25,005,000

			45,005,000

	Total Short-Term Investments (Identified Cost $2,572,204,337)		2,572,376,058


Description	Value (†)
Total Investments – 93.1% (Identified Cost $2,572,204,337)(a)	$	2,572,376,058
Other assets less liabilities – 6.9%		190,199,166

Net Assets – 100.0%	$	2,762,575,224

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2014, the value of the Fund’s investment in the Subsidiary was $34,226,620, representing 1.2% of the Fund’s net assets.

(†)

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.

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

(a)	Federal Tax Information:

At March 31, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,572,204,337 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	184,305
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,584	)

Net unrealized appreciation	$	171,721

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 March 31, 2014 is disclosed.

(d)	Security payable on demand at par including accrued interest.

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

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

Forward Foreign Currency Contracts

At March 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		6/18/2014	Canadian Dollar		50,600,000	$	45,687,415	$	(202,143	)
Buy		6/18/2014	Euro		164,500,000		226,596,924		(1,337,895	)
Buy		6/18/2014	Japanese Yen		7,387,500,000		71,602,913		(586,099	)
Sell		6/18/2014	Japanese Yen		45,875,000,000		444,640,763		(44,917	)
Buy		6/18/2014	Swedish Krona		196,000,000		30,246,266		(458,720	)
Sell		6/18/2014	Swiss Franc		45,625,000		51,641,044		323,471

Total								$	(2,306,303	)

¹	Counterparty is UBS AG.

Futures Contracts

At March 31, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		6/20/2014		1,713	$	565,582,818	$	19,144,800
E-mini S&P 500^®		6/20/2014		8,651		806,532,730		2,904,455
FTSE 100 Index		6/20/2014		2,033		221,779,908		1,700,518
German Euro Bund		6/06/2014		992		195,947,175		470,330
Hang Seng Index^®		4/29/2014		1,202		171,548,250		1,545,394
TOPIX		6/12/2014		367		42,774,887		(775,139	)
10 Year U.S. Treasury Note		6/19/2014		3,878		478,933,000		(950,555	)

Total							$	24,039,803


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/15/2014		43	$	4,633,680	$	(33,540	)
Copper LME		6/18/2014		134		22,275,825		(92,125	)
Natural Gas		4/28/2014		526		22,991,460		(278,780	)
New York Harbor ULSD		4/30/2014		4		492,206		4,267
WTI Crude Oil		4/22/2014		153		15,541,740		568,560
Zinc LME		6/18/2014		37		1,833,350		(55,870	)

Total							$	112,512

At March 31, 2014, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Eurodollar		9/15/2014		12	$	2,991,900	$	(300	)
10 Year Japan Government Bond		6/11/2014		222		311,055,951		344,136

Total							$	343,836


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/18/2014		333	$	14,824,744	$	(110,306	)
Gas Oil		5/12/2014		10		895,000		—
Gold		6/26/2014		164		21,054,320		467,400
Nickel LME		6/18/2014		95		9,063,000		(324,900	)

Total							$	32,194

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	2,572,376,058	$	—	$	2,572,376,058
Forward Foreign Currency Contracts (unrealized appreciation)		—		323,471		—		323,471
Futures Contracts (unrealized appreciation)		27,149,860		—		—		27,149,860

Total	$	27,149,860	$	2,572,699,529	$	—	$	2,599,849,389

Liability Valuation Inputs



Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,629,774	)	$	—	$	(2,629,774	)
Futures Contracts (unrealized depreciation)		(2,621,515	)		—			—		(2,621,515	)

Total	$	(2,621,515	)	$	(2,629,774	)	$	—	$	(5,251,289	)

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

For the period ended March 31, 2014, there were no tranfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2014 the Fund used long contracts on U.S. and foreign equity market indices and long and short contracts on U.S. and foreign government bonds, short-term interest rates, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.

The following is a summary of derivative instruments for the Fund as of March 31, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	323,471		$	—		$	323,471

Total over-the-counter asset derivatives	$	323,471		$	—		$	323,471

Exchange traded asset derivatives
Interest rate contracts	$	—		$	814,466		$	814,466
Equity contracts		—			25,295,167			25,295,167
Commodity contracts		—			1,040,227			1,040,227

Total exchange traded asset derivatives	$	—		$	27,149,860		$	27,149,860

Total asset derivatives	$	323,471		$	27,149,860		$	27,473,331


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,629,774	)	$	—		$	(2,629,774	)

Total over-the-counter liability derivatives	$	(2,629,774	)	$	—		$	(2,629,774	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(950,855	)	$	(950,855	)
Equity contracts		—			(775,139	)		(775,139	)
Commodity contracts		—			(895,521	)		(895,521	)

Total exchange traded liability derivatives	$	—		$	(2,621,515	)	$	(2,621,515	)

Total liability derivatives	$	(2,629,774	)	$	(2,621,515	)	$	(5,251,289	)

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of March 31, 2014, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(2,306,303	)	$	16,400,000

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. 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. As of March 31, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $163,872,439 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $163,548,968.

Investment Summary at March 31, 2014 (Unaudited)


Certificates of Deposit	72.7	%
Financial Company Commercial Paper	14.6
Commercial Paper	4.2
Other Notes	1.6

Total Investments	93.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	6.9

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 81.3% of Net Assets
		Certificates of Deposit – 60.4%
$	36,000,000	Canadian Imperial Bank, 0.010%, 4/01/2014	$	36,000,000
	34,900,000	Royal Bank of Canada, 0.010%, 4/01/2014		34,900,000
	36,000,000	Abbey National, 0.050%, 4/01/2014		36,000,000
	30,000,000	Credit Agricole, 0.100%, 4/01/2014		30,000,000
	30,000,000	BNP Paribas, 0.110%, 4/07/2014		30,000,000
	15,000,000	China Construction Bank Corp. (NY), 0.250%, 4/07/2014		15,000,000
	20,000,000	Agricultural Bank of China, 0.430%, 4/07/2014		20,001,060
	5,000,000	China Construction Bank Corp. (NY), 0.400%, 4/14/2014		5,000,465
	5,000,000	Bank of Montreal (IL), 0.220%, 4/16/2014		5,000,290
	20,000,000	Industrial & Commercial Bank of China, 0.400%, 4/24/2014		20,000,000
	25,300,000	Norinchukin Bank, 0.256%, 5/14/2014(b)		25,300,018
	33,000,000	National Bank of Kuwait, 0.270%, 5/15/2014		33,003,300
	30,000,000	Deutsche Bank A.G., 0.230%, 5/29/2014		30,000,000
	15,000,000	Bank of Montreal (IL), 0.244%, 7/28/2014(b)		15,003,720
	30,000,000	Skandinaviska Enskilda Banken (NY), 0.230%, 8/08/2014		29,997,840
	25,000,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.338%, 8/11/2014(b)(c)		25,000,450
	25,000,000	Toronto Dominion Bank, 0.250%, 10/10/2014(c)		25,009,350
	30,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(f)		30,010,950
	30,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		30,000,000
	5,000,000	Rabobank Nederland, 0.280%, 11/13/2014		5,000,595
	25,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(f)		25,006,850
	30,500,000	Societe Generale S.A., 0.283%, 2/02/2015(b)(c)(d)		30,495,151
	15,000,000	China Construction Bank Corp. (NY), 0.406%, 7/20/2015(b)(d)		15,000,000

				550,730,039

		Financial Company Commercial Paper – 16.5%
	25,000,000	ING (U.S.) Funding LLC, 0.200%, 4/01/2014(e)		24,999,950
	5,000,000	ING (U.S.) Funding LLC, 0.205%, 4/14/2014(e)		4,999,790


Principal Amount		Description	Value (†)
		Financial Company Commercial Paper – continued
$	5,000,000	Societe Generale North America, 0.100%, 5/02/2014(e)	$	4,999,569
	30,000,000	Barclays U.S. Funding, 0.180%, 5/05/2014(e)		29,996,010
	30,000,000	Oversea-Chinese Banking Corp. Ltd., 0.180%, 5/19/2014(e)		29,992,950
	25,000,000	General Electric Capital Corp., 0.180%, 6/10/2014(e)		24,996,200
	30,000,000	Dexia Credit Local S.A. (NY), 0.230%, 7/08/2014(e)(f)		29,984,070

				149,968,539

		Other Notes – 2.2%
	5,000,000	JP Morgan Chase Bank NA, Series 1, 0.354%, 4/07/2015(b)		5,000,000
	15,000,000	Wells Fargo, 0.325%, 4/20/2015(b)		15,003,000

				20,003,000

		Commercial Paper – 2.2%
	20,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 4/17/2014(e)		19,998,400

				19,998,400

		Total Short-Term Investments (Identified Cost $740,658,452)		740,699,978

		Total Investments – 81.3% (Identified Cost $740,658,452)(a)		740,699,978
		Other assets less liabilities – 18.7%		170,300,301

		Net Assets – 100.0%	$	911,000,279

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2014, the value of the Fund’s investment in the Subsidiary was $46,148,786, representing 5.1% of the Fund’s net assets.

(†)

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.

(a)	Federal Tax Information:

At March 31, 2014, the net unrealized appreciation on short-term investments based on a cost of $740,658,452 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	$	48,585
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,059	)

Net unrealized appreciation	$	41,526

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

(b)	Variable rate security. Rate as of March 31, 2014 is disclosed.

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

(d)	Security payable on demand at par including accrued interest.

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

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

Forward Foreign Currency Contracts

At March 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		6/18/2014	Australian Dollar		47,600,000	$	43,912,747	$	404,101
Sell		6/18/2014	Australian Dollar		30,400,000		28,045,116		(765,402	)
Buy		6/18/2014	British Pound		59,000,000		98,305,060		237,419
Sell		6/18/2014	British Pound		19,125,000		31,865,835		(350,126	)
Sell		6/18/2014	Canadian Dollar		14,000,000		12,640,787		18,586
Sell		6/18/2014	Canadian Dollar		62,900,000		56,793,249		(251,280	)
Buy		6/18/2014	Euro		93,375,000		128,623,026		(759,429	)
Buy		6/18/2014	Japanese Yen		4,125,000,000		39,981,322		(369,126	)
Sell		6/18/2014	Japanese Yen		4,400,000,000		42,646,744		(4,308	)
Buy		6/18/2014	New Zealand Dollar		132,600,000		114,363,007		2,242,581
Buy		6/18/2014	Norwegian Krone		344,000,000		57,279,465		(348,943	)
Sell		6/18/2014	Norwegian Krone		230,000,000		38,297,317		(419,074	)
Buy		6/18/2014	Singapore Dollar		16,750,000		13,316,437		20,686
Sell		6/18/2014	Singapore Dollar		8,375,000		6,658,218		(47,135	)
Sell		6/18/2014	South African Rand		332,000,000		31,159,538		(833,384	)
Buy		6/18/2014	Swedish Krona		438,000,000		67,591,146		(1,138,131	)
Sell		6/18/2014	Swedish Krona		130,000,000		20,061,299		2,359
Sell		6/18/2014	Swedish Krona		148,000,000		22,839,018		(97,644	)
Buy		6/18/2014	Swiss Franc		108,125,000		122,382,200		(1,005,274	)
Sell		6/18/2014	Swiss Franc		12,875,000		14,572,678		7,949
Sell		6/18/2014	Swiss Franc		17,250,000		19,524,559		(12,397	)
Sell		6/18/2014	Turkish Lira		67,200,000		30,698,326		(1,435,602	)

Total								$	(4,903,574	)

¹	Counterparty is UBS AG.

Futures Contracts

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

At March 31, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		4/17/2014		519	$	57,700,510	$	2,237,027
ASX SPI 200™		6/19/2014		698		87,275,650		497,087
CAC40^®		4/17/2014		865		52,326,092		1,581,273
DAX		6/20/2014		107		35,328,290		1,195,852
E-mini Dow		6/20/2014		922		75,479,530		1,387,585
E-mini NASDAQ 100		6/20/2014		1,017		72,944,325		(1,189,070	)
E-mini S&P 500^®		6/20/2014		780		72,719,400		306,325
Euribor		9/15/2014		3,822		1,312,658,395		199,949
Euro Schatz		6/06/2014		3,095		470,790,282		(426,383	)
EURO STOXX 50^®		6/20/2014		1,293		55,220,327		2,297,878
Euro-BTP		6/06/2014		1,412		236,755,305		3,065,022
Euro-OAT		6/06/2014		1,347		252,875,416		812,648
Eurodollar		9/15/2014		6,378		1,590,194,850		866,863
FTSE 100 Index		6/20/2014		372		40,581,469		313,191
FTSE MIB		6/20/2014		290		42,748,466		1,065,440
FTSE/JSE Top 40 Index		6/19/2014		1,405		57,886,854		1,270,479
German Euro BOBL		6/06/2014		2,983		515,211,607		113,890
German Euro Bund		6/06/2014		1,413		279,106,209		753,395
IBEX 35		4/17/2014		327		46,463,684		1,432,563
Mini-Russell 2000		6/20/2014		406		47,522,300		(41,595	)
MSCI Taiwan Index		4/29/2014		1,697		52,997,310		1,569,725
Nikkei 225™		6/12/2014		127		18,247,445		(370,363	)
OMXS30^®		4/16/2014		3,588		74,922,083		1,722,314
S&P CNX Nifty Futures Index		4/23/2014		5,518		74,537,144		1,067,493
S&P/TSX 60 Index		6/19/2014		717		106,106,920		905,976
Sterling		9/17/2014		7,024		1,454,828,900		507,585
TOPIX		6/12/2014		98		11,422,177		(206,985	)
UK Long Gilt		6/26/2014		421		76,875,844		(83,358	)
Ultra Long U.S. Treasury Bond		6/19/2014		349		50,419,594		785,094
2 Year U.S. Treasury Note		6/30/2014		2,891		634,755,188		(722,750	)
5 Year U.S. Treasury Note		6/30/2014		813		96,708,891		(796,164	)
10 Year Australia Government Bond		6/16/2014		208		22,289,128		102,593
10 Year Canada Government Bond		6/19/2014		1,222		143,622,307		(149,145	)
10 Year Japan Government Bond		6/11/2014		424		594,088,844		(657,269	)
10 Year U.S. Treasury Note		6/19/2014		713		88,055,500		(520,844	)
30 Year U.S. Treasury Bond		6/19/2014		631		84,061,031		250,023

Total							$	21,143,344


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		4/15/2014		211	$	22,737,360	$	(164,580	)
Cocoa		5/14/2014		1,040		30,732,000		167,770
Coffee		5/19/2014		129		8,605,913		(34,331	)
Corn		5/14/2014		789		19,803,900		388,087
Cotton		5/07/2014		694		32,451,440		664,815
Gasoline		4/30/2014		141		17,279,804		(36,716	)
Live Cattle		6/30/2014		1,031		56,705,000		421,110
Natural Gas		4/28/2014		149		6,512,790		(78,970	)
New York Harbor ULSD		4/30/2014		120		14,766,192		128,016
Nickel LME		6/18/2014		16		1,526,400		54,720
Soybean		5/14/2014		701		51,313,200		2,140,388
Soybean Meal		5/14/2014		1,611		77,215,230		3,742,520
Sugar		4/30/2014		80		1,592,192		(18,816	)
Wheat		5/14/2014		427		14,886,287		(11,513	)
WTI Crude Oil		4/22/2014		182		18,487,560		662,480
Zinc LME		6/18/2014		267		13,229,850		(354,358	)

Total							$	7,670,622

At March 31, 2014, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Hang Seng Index^®		4/29/2014		63	$	8,991,298	$	(72,836	)
MSCI Singapore		4/29/2014		110		6,250,735		(175,769	)
3 Year Australia Government Bond		6/16/2014		279		28,046,941		(7,731	)

Total							$	(256,336	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/18/2014		575	$	25,598,281	$	(190,469	)
Copper High Grade		5/28/2014		365		27,607,687		363,625
Copper LME		6/18/2014		199		33,081,263		(330,771	)
Gold		6/26/2014		123		15,790,740		119,110
Silver		5/28/2014		335		33,084,600		601,325
Soybean Oil		5/14/2014		331		8,027,412		53,556
Zinc LME		6/18/2014		292		14,468,600		(117,571	)

Total							$	498,805

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	740,699,978	$	—	$	740,699,978
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,933,681		—		2,933,681
Futures Contracts (unrealized appreciation)		35,814,792		—		—		35,814,792

Total	$	35,814,792	$	743,633,659	$	—	$	779,448,451

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(7,837,255	)	$	—	$	(7,837,255	)
Futures Contracts (unrealized depreciation)		(6,758,357	)		—		$	—		(6,758,357	)

Total	$	(6,758,357	)	$	(7,837,255	)	$	—	$	(14,595,612	)

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

For the period ended March 31, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

The 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 market exposures, which are expected to change over time, may include exposures to the returns of U.S. and non-U.S. equity and fixed income securities indices, currencies and commodities. During the period ended March 31, 2014, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices and short-term interest rates, to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund as of March 31, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	2,933,681	$	—	$	2,933,681

Total over-the-counter asset derivatives	$	2,933,681	$	—	$	2,933,681

Exchange traded asset derivatives
Interest rate contracts	$	—	$	7,457,062	$	7,457,062
Equity contracts		—		18,850,208		18,850,208
Commodity contracts		—		9,507,522		9,507,522

Total exchange traded asset derivatives	$	—	$	35,814,792	$	35,814,792

Total asset derivatives	$	2,933,681	$	35,814,792	$	38,748,473


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(7,837,255	)	$	—		$	(7,837,255	)

Total over-the-counter liability derivatives	$	(7,837,255	)	$	—		$	(7,837,255	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(3,363,644	)	$	(3,363,644	)
Equity contracts		—			(2,056,618	)		(2,056,618	)
Commodity contracts		—			(1,338,095	)		(1,338,095	)

Total exchange traded liability derivatives	$	—		$	(6,758,357	)	$	(6,758,357	)

Total liability derivatives	$	(7,837,255	)	$	(6,758,357	)	$	(14,595,612	)

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of March 31, 2014, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(4,903,574	)	$	25,020,146

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. 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. As of March 31, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $175,578,132 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $172,644,451.

Investment Summary at March 31, 2014 (Unaudited)


Certificates of Deposit	60.4	%
Financial Company Commercial Paper	16.5
Other Notes	2.2
Commercial Paper	2.2

Total Investments	81.3
Other assets less liabilities (including open forward foreign currency and futures contracts)	18.7

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks – 46.2% of Net Assets
		Aerospace & Defense – 1.5%
	700	Boeing Co. (The)	$	87,843
	1,506	Honeywell International, Inc.		139,696
	718	Northrop Grumman Corp.		88,587
	637	Rockwell Collins, Inc.		50,750
	1,476	United Technologies Corp.		172,456

				539,332

		Air Freight & Logistics – 0.1%
	403	FedEx Corp.		53,422

		Airlines – 0.2%
	3,142	Southwest Airlines Co.		74,183

		Auto Components – 0.2%
	1,807	Johnson Controls, Inc.		85,507

		Automobiles – 0.3%
	4,250	Ford Motor Co.		66,300
	936	General Motors Co.		32,217

				98,517

		Banks – 3.1%
	15,659	Bank of America Corp.		269,335
	3,254	Citigroup, Inc.		154,890
	3,744	JPMorgan Chase & Co.		227,298
	3,509	US Bancorp		150,396
	6,773	Wells Fargo & Co.		336,889

				1,138,808

		Beverages – 1.5%
	2,440	Coca-Cola Co. (The)		94,330
	2,010	Coca-Cola Enterprises, Inc.		95,998
	1,790	Dr Pepper Snapple Group, Inc.		97,483
	3,261	PepsiCo, Inc.		272,294

				560,105

		Biotechnology – 1.4%
	1,279	Amgen, Inc.		157,752
	389	Biogen Idec, Inc.(b)		118,983
	2,188	Gilead Sciences, Inc.(b)		155,042
	278	Regeneron Pharmaceuticals, Inc.(b)		83,478

				515,255

		Capital Markets – 0.2%
	1,781	Bank of New York Mellon Corp. (The)		62,852

		Chemicals – 1.3%
	227	Air Products & Chemicals, Inc.		27,022
	944	Dow Chemical Co. (The)		45,869
	1,676	E.I. du Pont de Nemours & Co.		112,460
	508	Ecolab, Inc.		54,859


Shares		Description	Value (†)
	Common Stocks – continued
		Chemicals – continued
	546	Monsanto Co.	$	62,118
	618	Praxair, Inc.		80,939
	275	Sherwin-Williams Co. (The)		54,211
	479	Sigma-Aldrich Corp.		44,729

				482,207

		Commercial Services & Supplies – 0.3%
	513	Stericycle, Inc.(b)		58,287
	1,376	Tyco International Ltd.		58,342

				116,629

		Communications Equipment – 1.0%
	4,370	Cisco Systems, Inc.		97,932
	3,301	QUALCOMM, Inc.		260,317

				358,249

		Construction & Engineering – 0.1%
	1,454	Quanta Services, Inc.(b)		53,653

		Consumer Finance – 0.2%
	1,013	American Express Co.		91,200

		Containers & Packaging – 0.2%
	622	MeadWestvaco Corp.		23,412
	1,305	Sealed Air Corp.		42,895

				66,307

		Distributors – 0.2%
	743	Genuine Parts Co.		64,530

		Diversified Financial Services – 1.0%
	2,580	Berkshire Hathaway, Inc., Class B(b)		322,422
	1,586	NASDAQ OMX Group, Inc. (The)		58,587

				381,009

		Diversified Telecommunication Services – 1.1%
	2,456	CenturyLink, Inc.		80,655
	13,274	Frontier Communications Corp.		75,662
	5,458	Verizon Communications, Inc.		259,637

				415,954

		Electric Utilities – 0.9%
	939	American Electric Power Co., Inc.		47,570
	1,017	Duke Energy Corp.		72,431
	679	NextEra Energy, Inc.		64,926
	814	Northeast Utilities		37,037
	1,329	PPL Corp.		44,043
	1,688	Southern Co. (The)		74,170

				340,177


Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – 0.3%
	1,246	Eaton Corp. PLC	$	93,600

		Electronic Equipment, Instruments & Components – 0.7%
	6,246	Corning, Inc.		130,042
	1,860	TE Connectivity Ltd.		111,990

				242,032

		Energy Equipment & Services – 1.0%
	2,346	Halliburton Co.		138,156
	2,255	Schlumberger Ltd.		219,862

				358,018

		Food & Staples Retailing – 1.3%
	2,892	CVS Caremark Corp.		216,495
	1,088	Wal-Mart Stores, Inc.		83,156
	2,586	Walgreen Co.		170,754

				470,405

		Food Products – 0.6%
	2,814	Archer-Daniels-Midland Co.		122,100
	371	Mead Johnson Nutrition Co.		30,845
	2,075	Mondelez International, Inc., Class A		71,691

				224,636

		Health Care Equipment & Supplies – 0.7%
	508	CR Bard, Inc.		75,174
	2,061	Medtronic, Inc.		126,834
	857	St. Jude Medical, Inc.		56,039

				258,047

		Health Care Providers & Services – 1.3%
	385	Cigna Corp.		32,236
	1,033	DaVita HealthCare Partners, Inc.(b)		71,122
	1,552	Express Scripts Holding Co.(b)		116,540
	564	McKesson Corp.		99,586
	1,855	UnitedHealth Group, Inc.		152,091

				471,575

		Hotels, Restaurants & Leisure – 0.8%
	120	Chipotle Mexican Grill, Inc.(b)		68,166
	1,662	McDonald’s Corp.		162,926
	843	Starwood Hotels & Resorts Worldwide, Inc.		67,103

				298,195

		Household Durables – 0.5%
	1,215	Garmin Ltd.		67,141
	1,346	Lennar Corp., Class A		53,329
	1,937	Newell Rubbermaid, Inc.		57,916

				178,386

		Household Products – 0.4%
	495	Colgate-Palmolive Co.		32,111
	1,636	Procter & Gamble Co. (The)		131,861

				163,972


Shares		Description	Value (†)
	Common Stocks – continued
		Industrial Conglomerates – 1.1%
	661	3M Co.	$	89,671
	1,391	Danaher Corp.		104,325
	8,292	General Electric Co.		214,680

				408,676

		Insurance – 2.1%
	1,545	Aflac, Inc.		97,397
	2,860	American International Group, Inc.		143,028
	932	Assurant, Inc.		60,543
	626	Chubb Corp. (The)		55,902
	627	Lincoln National Corp.		31,770
	1,848	Marsh & McLennan Cos., Inc.		91,106
	1,395	MetLife, Inc.		73,656
	620	Principal Financial Group, Inc.		28,514
	691	Prudential Financial, Inc.		58,493
	710	Torchmark Corp.		55,877
	2,256	XL Group PLC		70,500

				766,786

		Internet & Catalog Retail – 0.6%
	315	Amazon.com, Inc.(b)		106,004
	100	priceline.com, Inc.(b)		119,189

				225,193

		Internet Software & Services – 1.3%
	446	Google, Inc., Class A(b)		497,072

		IT Services – 1.5%
	665	Automatic Data Processing, Inc.		51,378
	739	International Business Machines Corp.		142,250
	1,590	MasterCard, Inc., Class A		118,773
	669	Paychex, Inc.		28,499
	1,037	Visa, Inc., Class A		223,847

				564,747

		Machinery – 0.6%
	1,305	Caterpillar, Inc.		129,678
	575	Deere & Co.		52,210
	637	Illinois Tool Works, Inc.		51,807

				233,695

		Media – 1.5%
	3,917	Comcast Corp., Class A		195,928
	1,240	DIRECTV(b)		94,761
	678	Time Warner Cable, Inc.		93,008
	973	Time Warner, Inc.		63,566
	1,485	Walt Disney Co. (The)		118,904

				566,167

		Metals & Mining – 0.1%
	911	Freeport-McMoRan Copper & Gold, Inc.		30,127
	427	Nucor Corp.		21,580

				51,707


Shares		Description	Value (†)
	Common Stocks – continued
		Multi-Utilities – 0.5%
	771	CMS Energy Corp.	$	22,575
	681	Consolidated Edison, Inc.		36,536
	666	Dominion Resources, Inc.		47,279
	713	NiSource, Inc.		25,333
	961	PG&E Corp.		41,515

				173,238

		Multiline Retail – 0.5%
	860	Family Dollar Stores, Inc.		49,889
	1,301	Macy’s, Inc.		77,136
	972	Nordstrom, Inc.		60,701

				187,726

		Oil, Gas & Consumable Fuels – 3.7%
	1,199	Chevron Corp.		142,573
	958	ConocoPhillips		67,395
	2,089	CONSOL Energy, Inc.		83,456
	719	EOG Resources, Inc.		141,046
	3,248	ExxonMobil Corp.		317,265
	383	Hess Corp.		31,743
	2,766	Kinder Morgan, Inc.		89,867
	1,123	Marathon Petroleum Corp.		97,746
	1,406	Murphy Oil Corp.		88,381
	1,607	Phillips 66		123,835
	2,654	Spectra Energy Corp.		98,039
	2,455	Williams Cos., Inc. (The)		99,624

				1,380,970

		Pharmaceuticals – 2.8%
	496	Actavis PLC(b)		102,101
	328	Bristol-Myers Squibb Co.		17,040
	3,321	Johnson & Johnson		326,222
	4,275	Merck & Co., Inc.		242,692
	1,688	Mylan, Inc.(b)		82,425
	8,794	Pfizer, Inc.		282,463

				1,052,943

		Professional Services – 0.1%
	681	Equifax, Inc.		46,328

		REITs—Diversified – 0.1%
	1,549	Weyerhaeuser Co.		45,463

		REITs—Regional Malls – 0.2%
	480	Simon Property Group, Inc.		78,720

		REITs—Storage – 0.2%
	519	Public Storage		87,446

		REITs—Warehouse/Industrials – 0.2%
	2,007	ProLogis, Inc.		81,946

		Road & Rail – 0.6%
	1,727	CSX Corp.		50,031


Shares		Description	Value (†)
	Common Stocks – continued
		Road & Rail – continued
	851	Union Pacific Corp.	$	159,699

				209,730

		Semiconductors & Semiconductor Equipment – 1.3%
	1,946	Analog Devices, Inc.		103,411
	9,795	Intel Corp.		252,809
	481	Lam Research Corp.(b)		26,455
	1,907	Microchip Technology, Inc.		91,078

				473,753

		Software – 1.7%
	1,876	Adobe Systems, Inc.(b)		123,328
	5,127	Microsoft Corp.		210,156
	6,792	Oracle Corp.		277,861

				611,345

		Specialty Retail – 0.8%
	1,289	Home Depot, Inc. (The)		101,999
	2,229	Lowe’s Cos., Inc.		108,998
	1,642	TJX Cos., Inc. (The)		99,587

				310,584

		Technology Hardware, Storage & Peripherals – 1.3%
	572	Apple, Inc.		307,015
	5,161	Hewlett-Packard Co.		167,010

				474,025

		Textiles, Apparel & Luxury Goods – 0.1%
	183	PVH Corp.		22,833

		Thrifts & Mortgage Finance – 0.2%
	6,681	Hudson City Bancorp, Inc.		65,674

		Tobacco – 0.7%
	1,589	Altria Group, Inc.		59,476
	996	Philip Morris International, Inc.		81,543
	1,946	Reynolds American, Inc.		103,955

				244,974

		Total Common Stocks (Identified Cost $15,919,420)		17,118,503

	Exchange Traded Funds – 9.3%
	18,336	SPDR^® S&P 500^® ETF Trust (Identified Cost $3,369,914)		3,429,565


Principal Amount
	Short-Term Investments – 38.4%
		Certificates of Deposit – 26.7%
$	500,000	Royal Bank of Canada, 0.010%, 4/01/2014		500,000
	700,000	Canadian Imperial Bank, 0.010%, 4/01/2014		700,000


Principal Amount		Description	Value (†)
	Short-Term Investments – continued
		Certificates of Deposit – continued
$	600,000	Credit Agricole, 0.100%, 4/01/2014 (c)	$	600,000
	200,000	National Bank of Kuwait, 0.155%, 4/03/2014 (c)		200,000
	250,000	China Construction Bank Corp. (NY), 0.500%, 4/03/2014 (c)		250,001
	550,000	BNP Paribas, 0.110%, 4/07/2014 (c)		550,000
	270,000	Bank of Montreal (IL), 0.190%, 4/07/2014 (c)		270,009
	400,000	China Construction Bank Corp. (NY), 0.250%, 4/07/2014 (c)		400,000
	300,000	Agricultural Bank of China, 0.430%, 4/07/2014 (c)		300,016
	300,000	Bank of Montreal (IL), 0.220%, 4/16/2014 (c)		300,017
	500,000	Sumitomo Mitsui Bank (NY), 0.210%, 5/09/2014 (c)		500,011
	500,000	Industrial & Commercial Bank of China, 0.400%, 5/09/2014 (c)		500,114
	500,000	Norinchukin Bank, 0.256%, 5/14/2014 (c)(d)		500,000
	500,000	National Bank of Kuwait, 0.270%, 5/15/2014 (c)		500,050
	350,000	Credit Suisse, 0.250%, 6/09/2014 (c)		350,041
	500,000	Nordea Bank Finland (NY), 0.155%, 6/11/2014 (c)		499,975
	500,000	Skandinaviska Enskilda Banken (NY), 0.200%, 6/27/2014 (c)		500,025
	600,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014 (c)		600,016
	350,000	Toronto Dominion Bank, 0.250%, 10/10/2014 (c)		350,131
	300,000	National Australia Bank, 0.225%, 10/23/2014 (c)(d)		300,053
	200,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014 (c)		200,073
	400,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014 (c)		400,000
	500,000	Rabobank Nederland, 0.280%, 11/13/2014 (c)		500,060
	100,000	Societe Generale S.A., 0.283%, 2/02/2015 (c)(d)(f)		99,984

				9,870,576

		Financial Company Commercial Paper – 11.7%
	100,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.130%, 4/01/2014 (c)(e)		100,000
	100,000	ING (U.S.) Funding LLC, 0.130%, 4/17/2014 (c)(e)		99,994
	400,000	Societe Generale North America, 0.100%, 5/02/2014 (c)(e)		399,966
	500,000	Barclays U.S. Funding, 0.180%, 5/05/2014 (c)(e)		499,933
	500,000	Bank of Tokyo—Mitsubishi UFJ (NY), 0.200%, 5/07/2014 (c)(e)		499,911


Principal Amount		Description	Value (†)
	Short-Term Investments – continued
		Financial Company Commercial Paper – continued
$	550,000	Swedbank, 0.160%, 5/20/2014 (c)(e)	$	549,880
	150,000	Rabobank USA Financial Corp., 0.150%, 6/02/2014 (c)(e)		149,965
	600,000	ING (U.S.) Funding LLC, 0.180%, 6/04/2014 (c)(e)		599,810
	150,000	General Electric Capital Corp., 0.140%, 6/10/2014 (c)(e)		149,977
	350,000	General Electric Capital Corp., 0.180%, 6/10/2014 (c)(e)		349,947
	150,000	General Electric Capital Corp., 0.100%, 6/24/2014 (c)(e)		149,969
	550,000	Dexia Credit Local S.A. (NY), 0.230%, 7/08/2014 (c)(e)		549,708
	250,000	Bank of Nova Scotia (NY), 0.205%, 9/22/2014 (c)(e)		249,747

				4,348,807

		Total Short-Term Investments (Identified Cost $14,218,643)		14,219,383

		Total Investments – 93.9% (Identified Cost $33,507,977)(a)		34,767,451
		Other assets less liabilities – 6.1%		2,255,556

		Net Assets – 100.0%	$	37,023,007

(†)

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.

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.

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 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, 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 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 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.

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

At March 31, 2014, the net unrealized appreciation on investments based on a cost of $33,507,977 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	$	1,345,010
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(85,536	)

Net unrealized appreciation	$	1,259,474

(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 March 31, 2014 is disclosed.

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

(f)	Security payable on demand at par including accrued interest.

ETF	Exchange Traded Fund

REITs

Real Estate Investment Trusts

SPDR	Standard & Poor’s Depositary Receipt

Futures Contracts

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

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

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

At March 31, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/20/2014		286	$	26,663,780	$	83,900

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	17,118,503	$	—	$	—	$	17,118,503
Exchange Traded Funds		3,429,565		—		—		3,429,565
Short-Term Investments*		—		14,219,383		—		14,219,383

Total Investments		20,548,068		14,219,383		—		34,767,451

Futures Contracts (unrealized appreciation)		83,900		—		—		83,900

Total	$	20,631,968	$	14,219,383	$	—	$	34,851,351

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

For the period ended March 31, 2014 there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. For the period ended March 31, 2014 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 the Fund, as of March 31, 2014.


Assets	Unrealized appreciation on futures contracts
Exchange traded asset derivatives Equity contracts	$	83,900

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of March 31, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $1,563,705.

Industry Summary at March 31, 2014 (Unaudited)


Exchange Traded Funds	9.3	%
Oil, Gas & Consumable Fuels	3.7
Banks	3.1
Pharmaceuticals	2.8
Insurance	2.1
Other Investments, less than 2% each	34.5
Short-Term Investments	38.4

Total Investments	93.9
Other assets less liabilities (including open futures contracts)	6.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

Natixis Oakmark Fund*


Shares		Description	Value (†)
	Common Stocks – 98.1% of Net Assets
		Air Freight & Logistics – 2.3%
	30,000	FedEx Corp.	$	3,976,800

		Automobiles – 2.3%
	87,700	General Motors Co.		3,018,634
	15,600	Harley-Davidson, Inc.		1,039,116

				4,057,750

		Banks – 8.9%
	343,400	Bank of America Corp.		5,906,480
	48,400	Citigroup, Inc.		2,303,840
	64,600	JPMorgan Chase & Co.		3,921,866
	69,000	Wells Fargo & Co.		3,432,060

				15,564,246

		Beverages – 1.9%
	26,700	Diageo PLC, Sponsored ADR		3,326,553

		Capital Markets – 7.2%
	79,100	Bank of New York Mellon Corp. (The)		2,791,439
	72,300	Franklin Resources, Inc.		3,917,214
	17,400	Goldman Sachs Group, Inc. (The)		2,850,990
	42,900	State Street Corp.		2,983,695

				12,543,338

		Communications Equipment – 2.0%
	43,800	QUALCOMM, Inc.		3,454,068

		Consumer Finance – 2.4%
	53,600	Capital One Financial Corp.		4,135,776

		Electronic Equipment, Instruments & Components – 2.3%
	67,100	TE Connectivity Ltd.		4,040,091

		Energy Equipment & Services – 3.6%
	56,400	Halliburton Co.		3,321,396
	38,600	National Oilwell Varco, Inc.		3,005,782

				6,327,178

		Food & Staples Retailing – 1.2%
	28,100	Wal-Mart Stores, Inc.		2,147,683

		Food Products – 3.7%
	29,500	General Mills, Inc.		1,528,690
	25,700	Nestle S.A., Sponsored ADR		1,933,154
	72,500	Unilever PLC, Sponsored ADR		3,101,550

				6,563,394

		Health Care Equipment & Supplies – 4.9%
	23,100	Baxter International, Inc.		1,699,698
	38,600	Covidien PLC		2,843,276


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – continued
	65,400	Medtronic, Inc.	$	4,024,716

				8,567,690

		Health Care Providers & Services – 2.3%
	49,700	UnitedHealth Group, Inc.		4,074,903

		Hotels, Restaurants & Leisure – 1.9%
	34,200	McDonald’s Corp.		3,352,626

		Industrial Conglomerates – 1.8%
	23,500	3M Co.		3,188,010

		Insurance – 7.3%
	45,800	Aflac, Inc.		2,887,232
	78,500	American International Group, Inc.		3,925,785
	35,800	Aon PLC		3,017,224
	63,000	Principal Financial Group, Inc.		2,897,370

				12,727,611

		Internet & Catalog Retail – 2.0%
	123,800	Liberty Interactive Corp., Class A(b)		3,574,106

		Internet Software & Services – 1.8%
	2,810	Google, Inc., Class A(b)		3,131,773

		IT Services – 4.1%
	20,300	Automatic Data Processing, Inc.		1,568,378
	44,600	MasterCard, Inc., Class A		3,331,620
	10,600	Visa, Inc., Class A		2,288,116

				7,188,114

		Machinery – 5.5%
	19,700	Cummins, Inc.		2,935,103
	43,600	Illinois Tool Works, Inc.		3,545,988
	26,800	Parker Hannifin Corp.		3,208,228

				9,689,319

		Media – 5.8%
	57,000	Comcast Corp., Special Class A		2,779,320
	53,500	DIRECTV(b)		4,088,470
	45,100	Omnicom Group, Inc.		3,274,260

				10,142,050

		Multiline Retail – 1.0%
	29,300	Kohl’s Corp.		1,664,240

		Oil, Gas & Consumable Fuels – 6.1%
	49,400	Apache Corp.		4,097,730
	56,900	Cenovus Energy, Inc.		1,647,824
	28,500	Devon Energy Corp.		1,907,505
	31,000	ExxonMobil Corp.		3,028,080

				10,681,139

		Pharmaceuticals – 1.1%
	37,100	Sanofi, ADR		1,939,588


Shares		Description	Value (†)
	Common Stocks – continued
		Road & Rail – 1.3%
	12,200	Union Pacific Corp.	$	2,289,452

		Semiconductors & Semiconductor Equipment – 5.4%
	102,100	Applied Materials, Inc.		2,084,882
	142,300	Intel Corp.		3,672,763
	77,500	Texas Instruments, Inc.		3,654,125

				9,411,770

		Software – 4.4%
	84,400	Microsoft Corp.		3,459,556
	105,100	Oracle Corp.		4,299,641

				7,759,197

		Specialty Retail – 1.9%
	42,100	Home Depot, Inc. (The)		3,331,373

		Technology Hardware, Storage & Peripherals – 1.7%
	5,450	Apple, Inc.		2,925,233

		Total Common Stocks (Identified Cost $146,019,929)		171,775,071


Principal Amount
	Short-Term Investments – 1.8%
$	3,131,034	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2014 at 0.000% to be repurchased at $3,131,034 on 04/01/2014 collateralized by $3,585,000 Federal Home Loan Bank, 3.500% due 03/04/2033 valued at $3,195,131 including accrued interest(c) (Identified Cost $3,131,034)		3,131,034

		Total Investments – 99.9% (Identified Cost $149,150,963)(a)		174,906,105
		Other assets less liabilities – 0.1%		195,250

		Net Assets – 100.0%	$	175,101,355

*	Formerly Harris Associates Large Cap Value Fund.

(†)

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:

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.

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

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

At March 31, 2014, the net unrealized appreciation on investments based on a cost of $149,150,963 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	$	26,041,678
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(286,536	)

Net unrealized appreciation	$	25,755,142

(b)	Non-income producing security.

(c)

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 dispose of the underlying securities. As of March 31, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	171,775,071	$	—	$	—	$	171,775,071
Short-Term Investments		—		3,131,034		—		3,131,034

Total	$	171,775,071	$	3,131,034	$	—	$	174,906,105

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

For the period ended March 31, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2014 (Unaudited)


Banks	8.9	%
Insurance	7.3
Capital Markets	7.2
Oil, Gas & Consumable Fuels	6.1
Media	5.8
Machinery	5.5
Semiconductors & Semiconductor Equipment	5.4
Health Care Equipment & Supplies	4.9
Software	4.4
IT Services	4.1
Food Products	3.7
Energy Equipment & Services	3.6
Consumer Finance	2.4
Health Care Providers & Services	2.3
Automobiles	2.3
Electronic Equipment, Instruments & Components	2.3
Air Freight & Logistics	2.3
Internet & Catalog Retail	2.0
Communications Equipment	2.0
Other Investments, less than 2% each	15.6
Short-Term Investments	1.8

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 62.6% of Net Assets
	Non-Convertible Bonds – 58.4%
		ABS Car Loan – 2.2%
$	4,050,000	Ally Master Owner Trust, Series 2014-2, Class A, 0.526%, 1/16/2018(b)	$	4,050,000
	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019		2,331,162
	4,253,253	Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(c)		4,256,941
	5,575,000	Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(c)		5,582,002
	4,127,241	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(c)		4,129,833
	4,625,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018(c)		4,631,563
	1,565,000	USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017		1,567,715

				26,549,216

		ABS Credit Card – 3.0%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.575%, 2/16/2021(b)(c)		3,158,718
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019		1,856,970
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 0.535%, 6/15/2021(b)		2,053,013
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019		3,063,543
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c)		6,596,911
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018		3,190,738
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.584%, 9/10/2020(b)		5,844,613
	6,700,000	Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(c)		6,709,956
	2,925,000	Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.356%, 5/09/2018(b)		2,924,874
	1,990,000	World Financial Network Credit Card Master Trust, Series 2014-A, Class A, 0.535%, 12/15/2019(b)		1,990,277

				37,389,613

		ABS Home Equity – 12.8%
	1,279,304	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.556%, 4/25/2035(b)		1,243,035
	2,363,159	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.617%, 4/25/2035(b)		2,334,862
	1,096,798	Adjustable Rate Mortgage Trust 2004-4, Series 2004-4, Class 3A1, 2.685%, 3/25/2035(b)		1,034,381
	1,169,012	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		1,227,340
	1,012,291	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033		1,032,135


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	2,541,645	Alternative Loan Trust 2005-J1, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025	$	2,589,171
	1,515,861	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		1,562,298
	1,652,887	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		1,701,220
	2,449,535	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		2,513,597
	849,887	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.604%, 7/25/2037, 144A(b)		537,626
	2,340,929	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.580%, 11/20/2034(b)		2,220,994
	1,014,190	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035		1,060,691
	1,935,136	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		1,986,316
	872,447	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.834%, 9/25/2034(b)		815,310
	1,991,944	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.646%, 2/25/2037(b)		1,961,806
	2,152,327	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		2,200,397
	366,845	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.619%, 5/25/2035(b)		353,138
	641,463	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		572,401
	3,119,150	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036		2,713,342
	2,220,871	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037		1,878,208
	1,207,442	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		1,021,144
	2,012,369	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		1,747,217
	2,770,884	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(c)		2,879,159
	1,326,949	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		1,379,813
	4,605,389	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(c)		4,554,205
	1,197,624	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		1,250,670
	260,946	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034		269,742
	1,261,797	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.364%, 5/25/2035(b)		1,053,593
	1,041,832	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		961,867
	824,256	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		560,737
	905,474	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		811,009
	1,456,194	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		1,519,548


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	247,332	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.501%, 9/20/2034(b)	$	241,291
	3,700,875	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.556%, 4/25/2035(b)		2,698,060
	519,899	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.424%, 4/25/2035(b)		425,909
	1,944,851	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035		1,793,016
	2,229,478	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036		2,060,834
	2,960,913	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037		2,721,671
	1,018,183	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.672%, 11/25/2033(b)		975,383
	865,267	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.603%, 12/25/2033(b)		832,202
	2,713,659	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.573%, 5/25/2034(b)		2,628,651
	406,896	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		413,634
	1,306,309	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,161,975
	682,453	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		564,978
	1,684,174	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035		1,719,998
	1,314,090	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035		1,222,602
	2,072,335	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A		2,102,369
	240,486	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		248,232
	2,227,349	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.869%, 6/19/2035(b)(c)		2,218,872
	931,377	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.108%, 7/19/2035(b)		858,269
	322,590	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.761%, 12/25/2034(b)		288,478
	1,932,177	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.753%, 12/25/2034(b)		1,931,087
	884,443	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.710%, 7/25/2035(b)		819,090
	2,945,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.679%, 9/25/2035(b)(c)		2,914,157
	1,731,339	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,472,414
	2,554,187	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.264%, 5/25/2037(b)		1,714,759
	1,220,357	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.934%, 12/25/2034(b)		1,024,176


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	2,721,081	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.794%, 7/25/2045(b)	$	2,465,985
	3,202,454	JP Morgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.440%, 3/25/2036(b)		2,782,830
	2,964,447	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.424%, 4/25/2035(b)(c)		2,964,127
	1,195,305	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.858%, 8/25/2035(b)		1,201,915
	3,384,099	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A11, 6.000%, 1/25/2036(c)		2,979,523
	3,040,084	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036		2,676,654
	3,640,436	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.526%, 1/25/2037(b)		3,212,900
	3,106,547	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037		2,550,705
	238	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.304%, 8/25/2046(b)(d)		238
	2,715,991	Lehman XS Trust, Series 2006-4N, Class A2A, 0.374%, 4/25/2046(b)		1,983,662
	538,954	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.144%, 5/25/2034(b)		522,273
	3,372,339	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.496%, 7/25/2034(b)		3,330,363
	756,862	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.702%, 4/25/2036(b)		720,120
	644,431	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.314%, 1/25/2047(b)		463,743
	1,029,320	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		1,066,047
	564,111	MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034		568,230
	1,170,650	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		1,224,875
	1,283,516	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		1,355,244
	2,859,808	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		2,929,232
	2,123,885	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,541,620
	1,959,739	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037		1,422,475
	431,548	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.106%, 5/25/2036(b)		433,066
	1,305,691	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,218,971
	2,800,000	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c)		2,848,983
	898,888	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.648%, 10/25/2035(b)		901,766
	2,634,762	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(u)		2,213,795
	1,047,183	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,077,878


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,288,436	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.655%, 9/25/2034(b)	$	1,272,525
	7,242,365	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.403%, 11/25/2034(b)(c)		7,131,818
	714,589	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.464%, 7/25/2035(b)		588,801
	1,860,050	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		1,959,987
	2,315,033	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.404%, 1/25/2035(b)		2,325,645
	825,641	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		870,889
	1,438,428	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.284%, 9/25/2046(b)		1,359,061
	3,146,552	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.034%, 1/25/2047(b)		2,835,550
	428,888	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(b)		436,134
	1,539,397	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.634%, 2/25/2034(b)		1,568,356
	629,314	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		658,013
	759,839	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		783,499
	2,625,000	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		2,601,588
	1,129,881	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)		1,144,028

				156,792,193

		ABS Other – 1.4%
	1,518,359	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,555,735
	2,775,469	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(b)(e)		2,817,101
	511,923	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		523,312
	2,126,793	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		2,134,964
	4,687,118	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A		4,703,907
	1,895,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		1,890,346
	3,586,333	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A		3,599,707

				17,225,072

		Aerospace & Defense – 0.9%
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c)		5,417,707
	825,000	Rockwell Collins, Inc., 0.583%, 12/15/2016(b)		825,454


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Aerospace & Defense – continued
$	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c)	$	5,270,213

				11,513,374

		Airlines – 0.5%
	2,505,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		2,536,538
	825,000	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		830,659
	2,765,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		2,872,752

				6,239,949

		Automotive – 3.2%
	6,590,000	Daimler Finance North America LLC, 0.918%, 8/01/2016, 144A(b)(c)		6,649,613
	5,250,000	Ford Motor Credit Co. LLC, 1.487%, 5/09/2016(b)(c)		5,337,738
	670,000	Lear Corp., 5.375%, 3/15/2024		681,725
	5,960,000	Nissan Motor Acceptance Corp., 0.786%, 3/03/2017, 144A(b)(c)		5,970,382
	6,640,000	Nissan Motor Acceptance Corp., 0.935%, 9/26/2016, 144A(b)(c)		6,677,476
	10,650,000	Toyota Motor Credit Corp., 0.526%, 5/17/2016(b)(c)		10,690,907
	3,210,000	Volkswagen International Finance NV, 0.676%, 11/18/2016, 144A(b)		3,215,040

				39,222,881

		Banking – 3.6%
	15,025,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)(c)		6,116,943
	3,310,000	Bank of America Corp., 1.279%, 1/15/2019(b)		3,347,039
	9,030,000	Bank of America Corp., 2.650%, 4/01/2019		9,058,797
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c)		7,679,757
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c)		11,661,429
	6,150,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A(c)		6,128,647

				43,992,612

		Brokerage – 0.1%
	900,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		906,750

		Building Materials – 0.6%
	2,250,000	Cemex Finance LLC, 5.250%, 4/01/2021, 144A, (EUR)		3,150,082
	2,590,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		2,784,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)	$	1,435,214

				7,369,546

		Chemicals – 0.5%
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(c)		2,789,600
	3,230,000	Monsanto Co., 0.436%, 11/07/2016(b)		3,235,023

				6,024,623

		Collateralized Mortgage Obligations – 0.7%
	30,030,055	Government National Mortgage Association, Series 2010-83, Class IO, 0.513%, 7/16/2050(b)(f)		944,926
	12,907,635	Government National Mortgage Association, Series 2012-78, Class IO, 1.060%, 6/16/2052(b)(f)		909,240
	74,248,008	Government National Mortgage Association, Series 2012-135, Class IO, 1.046%, 1/16/2053(b)(c)(f)		5,896,999
	582,415	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.633%, 1/25/2036(b)		569,328

				8,320,493

		Commercial Mortgage-Backed Securities – 3.9%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.553%, 5/11/2039, 144A(b)		976,491
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.546%, 4/15/2044, 144A(b)(c)		4,966,816
	2,765,000	Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 5/10/2035, 144A(b)		2,534,631
	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c)		2,442,494
	5,109,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.558%, 11/10/2046, 144A(b)(c)		5,285,685
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.155%, 3/15/2018, 144A(b)		1,303,640
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 4.036%, 12/05/2031, 144A(b)(c)		7,696,930
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.819%, 8/10/2045(b)(c)		4,481,328
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A		1,939,717
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		1,485,208
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 4.453%, 11/05/2030, 144A(b)		1,598,799
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		1,589,134
	984,112	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.155%, 4/15/2018, 144A(b)		993,658
	1,300,000	Morgan Stanley Capital I, Series 2011-C1, Class E, 5.252%, 9/15/2047, 144A(b)		1,351,411
	2,125,000	Morgan Stanley Capital I, Series 2011-C2, Class E, 5.306%, 6/15/2044, 144A(b)		2,178,303


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.577%, 4/12/2049(b)	$	1,438,291
	5,175,000	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b)(c)		5,349,672

				47,612,208

		Construction Machinery – 1.5%
	473,000	BlueLine Rental Finance Corp., 7.000%, 2/01/2019, 144A		500,197
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.474%, 2/26/2016(b)(c)		17,698,252
	475,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		488,062

				18,686,511

		Consumer Cyclical Services – 0.5%
	5,720,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		6,056,050

		Diversified Manufacturing – 0.7%
	2,200,000	Alfa SAB de CV, 6.875%, 3/25/2044, 144A		2,263,250
	7,860,000	Ottawa Holdings Pte Ltd., 5.875%, 5/16/2018, 144A(c)		6,405,900

				8,669,150

		Electric – 1.2%
	320,000	AES Corp., 5.500%, 3/15/2024		317,600
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		1,755,944
	11,005,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c)		12,348,711

				14,422,255

		Financial Other – 2.0%
	6,100,000	Hyundai Capital Services, Inc., 1.035%, 3/18/2017, 144A(b)		6,107,064
	5,176,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019, 144A(c)		5,266,580
	4,420,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022, 144A		4,486,300
	8,700,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c)		8,961,000

				24,820,944

		Food & Beverage – 1.0%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c)		3,919,700
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		871,750
	2,336,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		2,592,960
	3,500,000	General Mills, Inc., Series FRN, 0.536%, 1/29/2016(b)(c)		3,503,353


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Food & Beverage – continued
$	810,000		KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A	$	870,750

					11,758,513

			Government Owned – No Guarantee – 1.6%
	8,020,000		Petrobras Global Finance BV, 6.250%, 3/17/2024		8,262,693
	11,335,000		Petroleos de Venezuela S.A., 5.500%, 4/12/2037(c)		5,865,863
	700,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c)		5,593,539

					19,722,095

			Healthcare – 1.5%
	5,450,000		Baxter International, Inc., 0.406%, 12/11/2014(b)(c)		5,456,006
	2,505,000		BioScrip, Inc., 8.875%, 2/15/2021, 144A		2,611,463
	1,740,000		Catamaran Corp., 4.750%, 3/15/2021		1,763,925
	2,485,000		CHS/Community Health Systems, Inc., 6.875%, 2/01/2022, 144A		2,596,825
	2,742,000		HCA, Inc., 5.000%, 3/15/2024		2,747,141
	2,740,000		WellCare Health Plans, Inc., 5.750%, 11/15/2020		2,877,000

					18,052,360

			Home Construction – 0.3%
	1,720,000		Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(g)		191,350
	2,830,000		KB Home, 7.000%, 12/15/2021(c)		3,045,787

					3,237,137

			Independent Energy – 0.7%
	6,105,000		Continental Resources, Inc., 5.000%, 9/15/2022(c)		6,410,250
	1,705,000		Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022, 144A		1,736,969
	7,460,000		OGX Austria GmbH, 8.375%, 4/01/2022, 144A(g)		335,700
	4,420,000		OGX Austria GmbH, 8.500%, 6/01/2018, 144A(g)		221,000

					8,703,919

			Integrated Energy – 0.2%
	2,935,000		BP Capital Markets PLC, 0.656%, 11/07/2016(b)		2,947,113

			Life Insurance – 1.5%
	8,600,000		Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c)		14,144,953


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	3,300,000	MetLife Capital Trust IV, 7.875%, 12/15/2067, 144A(c)	$	3,894,000

				18,038,953

		Lodging – 0.2%
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022		2,290,404

		Media Cable – 0.2%
	3,050,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		3,088,125

		Media Non-Cable – 0.1%
	840,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		907,200

		Metals & Mining – 0.1%
	1,076,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		1,135,720

		Non-Captive Diversified – 0.4%
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(c)(h)		5,358,000

		Oil Field Services – 0.6%
	294,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022, 144A		299,145
	3,436,067	Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(c)		3,311,509
	3,310,000	Shell International Finance BV, 0.446%, 11/15/2016(b)		3,313,472

				6,924,126

		Packaging – 0.3%
	2,930,000	Ardagh Packaging Finance PLC, 9.125%, 10/15/2020, 144A		3,266,950

		Pharmaceuticals – 0.2%
	3,070,000	Johnson & Johnson, 0.303%, 11/28/2016(b)		3,073,282

		Railroads – 0.4%
	4,700,000	Canadian National Railway Co., 0.437%, 11/06/2015(b)(c)		4,700,028

		Sovereigns – 0.2%
	7,091,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)(c)		2,929,842

		Technology – 1.1%
	5,015,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A(c)		5,253,213
	2,855,000	iGATE Corp., 4.750%, 4/15/2019, 144A		2,865,706


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	4,900,000		Jabil Circuit, Inc., 4.700%, 9/15/2022(c)	$	4,844,875

					12,963,794

			Textile – 0.1%
	1,080,000		Phillips-Van Heusen Corp., 7.750%, 11/15/2023		1,263,532

			Treasuries – 6.6%
	2,610,000,000		Hungary Government Bond, 5.500%, 12/22/2016, (HUF)(c)		12,132,397
	4,271,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		34,118,471
	465,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c)		3,670,496
	1,860,000	(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(c)		15,244,079
	1,700,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		14,862,478
	130,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,126,894

					81,154,815

			Wirelines – 1.8%
	3,150,000		Columbus International, Inc., 7.375%, 3/30/2021, 144A		3,240,563
	7,800,000		Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(c)		3,102,468
	2,800,000		Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,611,000
	480,000		Telecom Italia Capital S.A., 7.200%, 7/18/2036		488,400
	12,225,000		Verizon Communications, Inc., 4.150%, 3/15/2024		12,419,964

					21,862,395

			Total Non-Convertible Bonds (Identified Cost $718,053,111)		715,191,743

	Convertible Bonds – 4.2%
			Automotive – 0.7%
	3,195,000		Ford Motor Co., 4.250%, 11/15/2016(c)		5,784,947
	755,000		TRW Automotive, Inc., 3.500%, 12/01/2015		2,093,709

					7,878,656

			Healthcare – 0.3%
	3,155,000		Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		3,224,016

			Independent Energy – 0.0%
	425,000		Chesapeake Energy Corp., 2.750%, 11/15/2035		442,797


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Metals & Mining – 0.3%
$	2,195,000	Peabody Energy Corp., 4.750%, 12/15/2066	$	1,775,206
	1,840,000	United States Steel Corp., 2.750%, 4/01/2019		2,383,950

				4,159,156

		Oil Field Services – 0.2%
	2,445,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		2,782,716

		Pharmaceuticals – 0.9%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		491,935
	623,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		691,530
	2,210,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(c)		6,874,481
	750,000	Mylan, Inc., 3.750%, 9/15/2015		2,756,719

				10,814,665

		Retailers – 0.6%
	4,430,000	priceline.com, Inc., 0.350%, 6/15/2020, 144A(c)		5,230,169
	1,603,000	priceline.com, Inc., 1.000%, 3/15/2018		2,269,247

				7,499,416

		Technology – 1.2%
	1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		2,532,869
	2,085,000	Intel Corp., 3.250%, 8/01/2039		2,915,090
	310,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		769,769
	915,000	Novellus Systems, Inc., 2.625%, 5/15/2041		1,561,791
	1,985,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,988,722
	1,675,000	SanDisk Corp., 1.500%, 8/15/2017		2,754,328
	1,015,000	Xilinx, Inc., 2.625%, 6/15/2017		1,903,125

				14,425,694

		Total Convertible Bonds (Identified Cost $44,422,923)		51,227,116

		Total Bonds and Notes (Identified Cost $762,476,034)		766,418,859

	Senior Loans – 20.7%
		Aerospace & Defense – 0.1%
	641,875	Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b)		627,966


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Aerospace & Defense – continued
$	693,731	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(b)	$	693,731

				1,321,697

		Automotive – 0.6%
	664,253	Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.863%, 4/27/2020(j)		664,253
	778,930	American Tire Distributors Holdings, Inc., Term Loan B, 6/01/2018(k)		782,825
	4,078,066	Chrysler Group LLC, New Term Loan B, 3.500%, 5/24/2017(b)		4,075,538
	945,238	Dealertrack Technologies, Inc., Term Loan B, 3.500%, 2/28/2021(b)		947,601
	1,163,000	Navistar International Corp., Term Loan B, 5.750%, 8/17/2017(b)		1,181,410

				7,651,627

		Banking – 0.2%
	1,818,482	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.484%, 6/30/2017(b)		1,815,645

		Building Materials – 0.3%
	1,117,385	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(b)		1,118,547
	2,811,530	Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(b)		2,803,630

				3,922,177

		Chemicals – 1.6%
	1,615,789	Arysta LifeScience Corp., 1st Lien Term Loan, 4.500%, 5/29/2020(b)		1,616,468
	3,255,808	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		3,190,692
	1,636,228	Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 4.000%, 2/01/2020(b)		1,636,228
	413,484	Chemtura Corp., Term Loan B, 3.500%, 8/27/2016(b)		415,725
	2,765,000	Huntsman International LLC, Incremental Term Loan, 10/15/2020(k)		2,765,000
	1,191,000	MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/07/2020(b)		1,193,084
	680,582	Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b)		680,582
	2,508,527	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		2,508,527
	741,265	OCI Beaumont LLC, Term Loan B2, 6.250%, 8/20/2019(b)		748,677
	1,285,448	Taminco Global Chemical Corp., USD Term Loan B3, 3.250%, 2/15/2019(b)		1,281,271
	731,473	Tata Chemicals North America, Inc., Term Loan B, 3.750%, 8/07/2020(b)		733,301
	3,319,315	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)		3,309,157

				20,078,712


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Consumer Cyclical Services – 0.9%
$	2,390,385	Affinion Group, Inc., Term Loan B, 6.750%, 10/09/2016(b)	$	2,353,836
	1,073,000	AVSC Holding Corp., 1st Lien Term Loan, 4.500%, 1/22/2021(b)		1,078,365
	294,632	Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(b)		295,000
	1,151,743	Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(b)		1,153,183
	2,975,000	IMG Worldwide, Inc., 1st Lien Term Loan, 5/06/2021(k)		2,954,562
	2,411,700	Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b)		2,390,597
	330,173	Realogy Corp., New Term Loan B, 3.750%, 3/05/2020(b)		331,163
	619,889	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b)		618,804

				11,175,510

		Consumer Products – 0.6%
	2,477,550	Catalina Marketing Corp., Term Loan B, 5.250%, 10/11/2020(b)		2,474,453
	1,064,650	Jarden Corp., Add-On Term Loan B1, 2.903%, 9/30/2020(b)		1,063,990
	654,107	Serta Simmons Holdings LLC, Term Loan, 4.250%, 10/01/2019(b)		656,109
	2,768,092	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b)		2,755,995

				6,950,547

		Electric – 0.5%
	1,837,118	Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(b)		1,803,590
	465,500	Calpine Corp., Delayed Draw Term Loan, 4.000%, 10/30/2020(b)		466,520
	615,625	Calpine Corp., Term Loan B3, 4.000%, 10/09/2019(b)		616,782
	2,786,850	NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(b)		2,759,846

				5,646,738

		Entertainment – 0.3%
	1,063,613	Activision Blizzard, Inc., Term Loan B, 3.250%, 10/12/2020(b)		1,062,549
	1,925,000	Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(b)		1,910,562

				2,973,111

		Environmental – 0.1%
	972,115	Allflex Holdings III, Inc., New 1st Lien Term Loan, 4.250%, 7/17/2020(b)		973,738

		Financial Other – 0.5%
	2,468,813	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b)		2,481,156
	1,085,799	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b)		1,089,534


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Financial Other – continued
$	1,241,888	Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(b)	$	1,234,908
	671,098	Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(b)		666,065

				5,471,663

		Food & Beverage – 1.4%
	2,700,000	Aramark Corp., USD Term Loan F, 3.250%, 2/24/2021(b)		2,672,433
	5,150,000	Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(b)		5,133,932
	1,115,000	Del Monte Foods, Inc., 1st Lien Term Loan, 4.250%, 2/18/2021(b)		1,116,371
	2,832,900	DS Waters of America, Inc., New Term Loan, 5.250%, 8/30/2020(b)		2,875,394
	1,628,000	New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(b)		1,691,085
	1,079,202	Pinnacle Foods Finance LLC, Term Loan G, 4/29/2020(k)		1,073,320
	719,730	Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(b)		715,808
	1,308,392	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(j)		1,295,308

				16,573,651

		Gaming – 0.3%
	1,343,250	Boyd Gaming Corp., Term Loan B, 4.000%, 8/14/2020(b)		1,343,922
	2,626,796	Las Vegas Sands LLC, New Term Loan B, 3.250%, 12/19/2020(b)		2,622,251

				3,966,173

		Health Insurance – 0.3%
	3,023,692	Sedgwick, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(b)		2,989,675

		Healthcare – 0.9%
	605,306	Community Health Systems, Inc., Term Loan D, 4.250%, 1/27/2021(b)		609,961
	506,730	Connolly Holdings, Inc., New 1st Lien Term Loan, 5.000%, 1/29/2021(b)		511,377
	873,673	National Mentor Holdings, Inc., Term Loan B, 4.750%, 1/31/2021(b)		878,312
	1,441,097	Planet Fitness Holdings LLC, Term Loan, 3/31/2021(k)		1,441,097
	3,059,625	Renaissance Learning, Inc., 1st Lien Term Loan B, 6.250%, 10/16/2020(b)		3,063,449
	3,169,075	Springer Science+Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(b)		3,171,452
	265,000	TriZetto Group, Inc. (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(b)		266,325
	1,275,465	TriZetto Group, Inc. (The), Term Loan B, 4.750%, 5/02/2018(b)		1,269,088

				11,211,061


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Independent Energy – 0.3%
$	1,214,897	Fieldwood Energy LLC, 1st Lien Term Loan, 3.875%, 9/28/2018(b)	$	1,214,678
	2,258,658	SRAM LLC, New Term Loan B, 4.008%, 4/10/2020(j)		2,247,364

				3,462,042

		Industrial Other – 2.3%
	3,269,970	Brand Energy & Infrastructure Services, Inc., New Term Loan B, 4.750%, 11/26/2020(b)		3,278,145
	1,097,250	Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(b)		1,098,446
	2,333,153	Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 4.000%, 11/23/2020(b)		2,319,550
	864,833	Filtration Group Corp., 1st Lien Term Loan, 4.500%, 11/21/2020(b)		869,875
	3,980,000	Gardner Denver, Inc., USD Term Loan, 4.250%, 7/30/2020(b)		3,978,209
	2,825,800	Generac Power Systems, Inc., Term Loan B, 3.500%, 5/31/2020(b)		2,823,681
	519,294	Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(b)		520,161
	1,980,050	Pacific Industrial Services U.S. Finco LLC, USD 1st Lien Term Loan, 5.000%, 10/02/2018(b)		2,004,801
	1,945,222	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b)		1,947,653
	6,392,219	Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(b)		6,374,256
	2,538,369	TNT Crane & Rigging, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(b)		2,563,753
	755,205	Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(b)		758,664
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(b)		92,570

				28,629,764

		Lodging – 0.3%
	2,612,978	Hilton Worldwide Finance LLC, USD Term Loan B2, 4.000%, 10/26/2020(b)		2,616,009
	935,000	La Quinta Intermediate Holdings LLC, Term Loan B, 4/14/2021(k)		934,420

				3,550,429

		Media Cable – 0.5%
	3,206,708	CSC Holdings, Inc., New Term Loan B, 2.653%, 4/17/2020(b)		3,163,834
	3,295,000	Virgin Media Investment Holdings Ltd., USD Term Loan B, 3.500%, 6/05/2020(b)		3,286,202

				6,450,036

		Media Non-Cable – 0.5%
	907,332	Cumulus Media Holdings, Inc., 2013 Term Loan, 4.250%, 12/23/2020(b)		910,735
	1,126,738	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b)		1,079,088


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Media Non-Cable – continued
$	1,184,032	Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(b)	$	1,167,017
	2,822,925	Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(b)		2,820,102

				5,976,942

		Metals & Mining – 0.7%
	1,540,819	Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b)		1,549,802
	1,692,420	Murray Energy Corp., 1st Lien Term Loan, 5.250%, 12/05/2019(b)		1,705,113
	2,278,550	Peabody Energy Corp., Term Loan B, 4.250%, 9/24/2020(b)		2,281,922
	3,391,500	TMS International Corp., New Term Loan B, 4.500%, 10/16/2020(b)		3,395,740

				8,932,577

		Non-Captive Diversified – 0.2%
	2,955,000	International Lease Finance Corp., New Term Loan B, 3.500%, 3/06/2021(b)		2,955,621

		Oil Field Services – 0.2%
	1,443,095	Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(b)		1,447,785
	340,000	Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 10.500%, 7/24/2020(b)		343,682
	630,231	Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(b)		643,624

				2,435,091

		Other Utility – 0.0%
	457,543	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		454,875
	31,074	PowerTeam Services LLC, Delayed Draw Term Loan, 3.250%, 5/06/2020(l)		30,894
	23,376	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		23,239

				509,008

		Packaging – 0.1%
	453,000	Ardagh Holdings USA, Inc., Incremental Term Loan, 12/17/2019(k)		452,810
	612,465	Ardagh Holdings USA, Inc., USD Term Loan B, 4.250%, 12/17/2019(b)		614,382

				1,067,192

		Pharmaceuticals – 1.3%
	1,373,000	Akorn, Inc., Term Loan B, 4/16/2021(k)		1,385,014
	2,271,582	Amneal Pharmaceuticals LLC, New Term Loan, 5.753%, 11/01/2019(j)		2,280,101
	3,243,000	Grifols Worldwide Operations USA, Inc., USD Term Loan B, 2/27/2021(k)		3,239,627
	994,000	IMS Health, Inc., New USD Term Loan, 3.750%, 3/17/2021(b)		991,694


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Pharmaceuticals – continued
$	1,562,000	JLL/Delta Dutch Newco BV, USD 2021 Term Loan, 4.250%, 3/11/2021(b)	$	1,552,800
	1,866,000	Mallinckrodt International Finance S.A., Term Loan B, 3.500%, 3/19/2021(b)		1,865,776
	839,838	PharMedium Healthcare Corp., 1st Lien Term Loan, 4.250%, 1/28/2021(b)		839,317
	2,601,762	Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(b)		2,599,811
	1,532,014	Salix Pharmaceuticals Ltd., Term Loan, 4.250%, 1/02/2020(b)		1,545,419

				16,299,559

		Pipelines – 0.2%
	1,930,000	Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(b)		1,924,847

		Property & Casualty Insurance – 0.4%
	1,155,384	AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b)		1,162,247
	2,621,792	Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.000%, 4/16/2020(b)		2,621,792
	1,115,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(b)		1,084,337

				4,868,376

		Restaurants – 0.0%
	443,571	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		445,789

		Retailers – 0.5%
	706,450	Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.750%, 7/26/2019(b)		713,077
	1,493,875	Hudson’s Bay Co., 1st Lien Term Loan, 4.750%, 11/04/2020(b)		1,512,548
	1,190,000	J Crew Group, Inc., New Term Loan B, 3/05/2021(k)		1,186,728
	1,023,000	J Crew Group, Inc., New Term Loan B, 4.080%, 3/05/2021(j)		1,020,187
	1,920,565	The Talbots, Inc., 1st Lien Term Loan, 3/19/2020(k)		1,918,164

				6,350,704

		Supermarkets – 0.1%
	631,825	Acosta, Inc., New Term Loan B, 4.250%, 3/02/2018(b)		634,036
	968,980	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(b)		968,380

				1,602,416

		Technology – 3.0%
	7,861,944	Alcatel-Lucent USA, Inc., USD Term Loan C, 4.500%, 1/30/2019(b)		7,895,121
	2,890,000	Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b)		2,897,225
	2,276,234	Blackboard, Inc., Term Loan B3, 4.750%, 10/04/2018(b)		2,291,598


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Technology – continued
$	1,530,824	BMC Software Finance, Inc., Term Loan, 5.000%, 9/10/2020(b)	$	1,529,738
	3,066,768	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b)		3,070,049
	2,892,750	Dell, Inc., USD Term Loan B, 4.500%, 4/29/2020(b)		2,871,662
	1,240,000	Entegris, Inc., Term Loan B, 4/30/2021(k)		1,236,900
	3,145,589	Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(b)		3,133,793
	1,100,000	IQOR U.S., Inc., Term Loan B, 4/01/2021(k)		1,067,000
	2,198,964	Microsemi Corp., Term Loan B2, 4.204%, 2/19/2020(j)		2,193,466
	965,138	Nuance Communications, Inc., Term Loan C, 2.910%, 8/07/2019(b)		954,454
	1,457,675	NXP BV, Term Loan D, 3.750%, 1/11/2020(b)		1,451,844
	1,070,318	Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(b)		1,077,895
	1,805,475	Open Text Corp., Term Loan B, 3.250%, 1/16/2021(b)		1,804,717
	850,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b)		851,420
	832,465	SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/08/2020(b)		834,546
	1,680,000	Verint Systems, Inc., USD Term Loan, 3.500%, 9/06/2019(b)		1,674,540

				36,835,968

		Textile – 0.1%
	1,184,000	Nine West Holdings, Inc., Term Loan B, 10/08/2019(k)		1,187,457

		Transportation Services – 0.1%
	157,639	Drew Marine Partners LP, 1st Lien Term Loan, 4.500%, 11/19/2020(b)		158,427
	789,123	FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b)		778,076

				936,503

		Wireless – 0.7%
	3,073,804	Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b)		3,078,814
	927,988	Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(b)		924,174
	3,364,589	Crown Castle International Corp., Non-Extended Incremental B, 3.250%, 1/31/2019(b)		3,360,047
	685,000	SBA Senior Finance II LLC, Term Loan B1, 3/24/2021(k)		681,945
	685,000	SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(b)		681,945

				8,726,925


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – 0.6%
$	1,308,425	Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(b)	$	1,307,614
	475,200	Integra Telecom, Inc., Term Loan B, 5.250%, 2/22/2019(b)		477,239
	2,140,810	Level 3 Financing, Inc., 2020 Term Loan B, 4.000%, 1/15/2020(b)		2,143,486
	542,007	Level 3 Financing, Inc., New 2019 Term Loan, 4.000%, 8/01/2019(b)		543,226
	2,022,223	LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(b)		2,008,331
	810,628	Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(b)		810,831

				7,290,727

		Total Senior Loans (Identified Cost $252,105,021)		253,159,698


Shares
	Common Stocks – 5.2%
		Automobiles – 0.5%
	99,173	General Motors Co.		3,413,535
	19,989	Toyota Motor Corp., Sponsored ADR		2,256,758

				5,670,293

		Banks – 0.1%
	23,543	HSBC Holdings PLC, Sponsored ADR		1,196,691

		Chemicals – 0.6%
	82,634	Dow Chemical Co. (The)		4,015,186
	29,800	Rockwood Holdings, Inc.		2,217,120
	54,452	Tronox Ltd., Class A		1,294,324

				7,526,630

		Diversified Telecommunication Services – 0.5%
	58,003	AT&T, Inc.		2,034,165
	83,630	Verizon Communications, Inc.		3,978,279

				6,012,444

		Food & Staples Retailing – 0.4%
	35,903	CVS Caremark Corp.		2,687,698
	25,113	Wal-Mart Stores, Inc.		1,919,387

				4,607,085

		Gas Utilities – 0.1%
	58,444	Tokyo Gas Co Ltd., ADR		1,196,933

		Industrial Conglomerates – 0.1%
	10,144	Siemens AG, Sponsored ADR		1,370,961

		Oil, Gas & Consumable Fuels – 0.3%
	21,550	ExxonMobil Corp.		2,105,004
	54,651	Statoil ASA, Sponsored ADR		1,542,251

				3,647,255


Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 1.5%
	28,438	Bayer AG, Sponsored ADR	$	3,846,524
	64,155	Eli Lilly & Co.		3,776,163
	24,258	GlaxoSmithKline PLC, Sponsored ADR		1,296,105
	29,105	Johnson & Johnson		2,858,984
	62,096	Pfizer, Inc.		1,994,524
	71,312	Roche Holding AG, ADR		2,689,889
	36,223	Sanofi, ADR		1,893,738

				18,355,927

		Semiconductors & Semiconductor Equipment – 0.2%
	19,771	KLA-Tencor Corp.		1,366,967
	32,227	Texas Instruments, Inc.		1,519,503

				2,886,470

		Technology Hardware, Storage & Peripherals – 0.2%
	12,269	Canon, Inc., Sponsored ADR		381,075
	80,565	EMC Corp.		2,208,287

				2,589,362

		Tobacco – 0.3%
	34,555	Altria Group, Inc.		1,293,394
	11,732	British American Tobacco PLC, Sponsored ADR		1,307,297
	14,375	Philip Morris International, Inc.		1,176,881

				3,777,572

		Trading Companies & Distributors – 0.3%
	47,823	Mitsubishi Corp., Sponsored ADR		1,775,190
	6,777	Mitsui & Co. Ltd., Sponsored ADR		1,911,588

				3,686,778

		Wireless Telecommunication Services – 0.1%
	40,938	Vodafone Group PLC, Sponsored ADR		1,506,928

		Total Common Stocks (Identified Cost $59,008,082)		64,031,329

	Preferred Stocks – 4.6%
	Convertible Preferred Stocks – 2.8%
		Banking – 0.3%
	1,388	Bank of America Corp., Series L, 7.250%		1,588,163
	2,240	Wells Fargo & Co., Series L, Class A, 7.500%(c)		2,627,520

				4,215,683

		Electric – 0.1%
	9,050	NextEra Energy, Inc., 5.889%		555,037

		Independent Energy – 0.2%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A		2,210,533


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Metals & Mining – 0.4%
	130,975	ArcelorMittal, 6.000%	$	3,140,781
	77,732	Cliffs Natural Resources, Inc., 7.000%		1,611,384

				4,752,165

		REITs—Diversified – 1.3%
	41,171	Crown Castle International Corp., Series A, 4.500%		4,174,328
	223,896	Weyerhaeuser Co., Series A, 6.375%(c)		12,224,721

				16,399,049

		REITs—Healthcare – 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		444,240

		REITs—Mortgage – 0.4%
	67,436	iStar Financial, Inc., Series J, 4.500%(c)		4,332,763

		Utility Other – 0.1%
	9,938	Dominion Resources, Inc., Series B, 6.000%		574,118
	11,055	Dominion Resources, Inc., Series A, 6.125%		635,663

				1,209,781

		Total Convertible Preferred Stocks (Identified Cost $31,044,155)		34,119,251

	Non-Convertible Preferred Stocks – 1.8%
		Banking – 1.3%
	6,776	Ally Financial, Inc., Series G, 7.000%, 144A(c)		6,692,570
	148,056	Capital One Financial Corp., Series B, 6.000%(c)		3,473,394
	247,273	SunTrust Banks, Inc., Series E, 5.875%(c)		5,553,752

				15,719,716

		Media Cable – 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(c)		4,080,400

		Property & Casualty Insurance – 0.2%
	102,000	Montpelier Re Holdings Ltd., 8.875%(c)		2,745,840

		Total Non-Convertible Preferred Stocks (Identified Cost $23,054,349)		22,545,956

		Total Preferred Stocks (Identified Cost $54,098,504)		56,665,207


Shares		Description	Value (†)
	Exchange Traded Funds – 1.0%
	253,847	WisdomTree Japan Hedged Equity Fund (Identified Cost $12,158,407)	$	12,017,117


Notional Amount/ Units of Currency(†††)
	Purchased Swaptions – 0.3%
		Interest Rate Swaptions – 0.3%
$	125,000,000	1-year Interest Rate Swap Put, expiring 9/15/2014, Pay 3-month LIBOR, Receive 0.843%(m)(n)		560,125
	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(m)(n)		2,863,531

		Total Purchased Swaptions (Identified Cost $5,936,835)		3,423,656

	Purchased Options – 0.0%
		Over-the-Counter Options on Currency – 0.0%
	36,000,000	CLP Call, expiring May 22, 2014 at 549.50(o)(p)		484,200
	42,000,000	KRW Put, expiring May 15, 2014 at 1099(o)(q)		101,976

		Total Purchased Options (Identified Cost $457,800)		586,176


Principal Amount (‡)
	Short-Term Investments – 5.8%
	1,735,646	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2014 at 0.000% to be repurchased at $1,735,646 on 4/01/2014 collateralized by $1,885,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $1,771,634 including accrued interest(r)		1,735,646
	59,625,947	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2014 at 0.000% to be repurchased at $59,625,947 on 4/01/2014 collateralized by $60,315,000 U.S. Treasury Note, 1.375% due 9/30/2018 valued at $59,711,850; $1,085,000 U.S. Treasury Note, 1.500% due 6/30/2016 valued at $1,110,769 including accrued interest(r)		59,625,947
	9,400,000	U.S. Treasury Bills, 0.060%-0.106%, 8/21/2014(s)(t)(u)		9,397,866

		Total Short-Term Investments (Identified Cost $70,759,366)		70,759,459

		Total Investments – 100.2% (Identified Cost $1,217,000,049)(a)		1,227,061,501
		Other assets less liabilities – (0.2)%		(2,063,344	)

		Net Assets – 100.0%	$	1,224,998,157


Notional Amount
	Written Swaptions – (0.1%)
		Interest Rate Swaptions – (0.1%)
$	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(m)(n) (Premiums Received $3,740,333)	$	(1,378,809	)

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

(†)

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

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 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).

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

(†††)

Interest rate swaptions are expressed as notional amount. Options on currency are expressed as units of currency.

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

At March 31, 2014, the net unrealized appreciation on investments based on a cost of $1,217,562,709 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	$	38,762,560
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(29,263,768	)

Net unrealized appreciation	$	9,498,792

At December 31, 2013, the Fund had a short-term capital loss carryforward of $28,564,283 with no expiration date and a long-term capital loss carryforward of $6,849,896 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of March 31, 2014 is disclosed.

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

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

(e)	Illiquid security. At March 31, 2014, the value of this security amounted to $2,817,101 or 0.2% of net assets.

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

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

(h)	Perpetual bond with no specified maturity date.

(i)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(j)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2014.

(k)	Position is unsettled. Contract rate was not determined at March 31, 2014 and does not take effect until settlement date.

(l)	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.

(m)

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

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

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

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

(n)	Counterparty is Citibank, N.A.

(o)

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.

(p)	Counterparty is Morgan Stanley Capital Services, Inc.

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

(r)

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

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

(u)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements and interest rate swaptions.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2014, the value of Rule 144A holdings amounted to $233,033,768 or 19.0% 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

HUF	Hungarian Forint

KRW	South Korean Won

MXN	Mexican Peso

NZD	New Zealand Dollar

USD	U.S. Dollar

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.

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

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At March 31, 2014, the Fund had the following open bilateral credit default swap agreements:


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Notional Value(‡)			Unamortized Up Front Premium Paid/ (Received)		Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Buy Protection
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year		(5.00	%)		12/20/2017		3,797,500	*	$	70,865	$	(627,521	)	$	(698,386	)	$	(8,727	)
Bank of America, N.A.	Republic of Brazil		(1.00	%)		6/20/2019		24,550,000			958,008		833,795			(124,213	)		(8,183	)
Deutsche Bank AG	Republic of Venezuela		(5.00	%)		6/20/2019		5,650,000			1,423,637		1,481,756			58,119			(9,417	)

Total												$	1,688,030		$	(764,480	)	$	(26,327	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Sell Protection
Credit Suisse International	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.		5.00	%		6/20/2015		43.67	%	$	5,300,000	$	(326,275	)	$	(1,669,500	)	$	(1,343,225	)	$	8,833

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

*	Notional value denominated in euros.

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

Forward Foreign Currency Contracts

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

At March 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		4/03/2014	Australian Dollar		13,500,000	$	12,519,043	$	481,863
Sell¹		4/28/2014	Brazilian Real		46,200,000		20,224,276		(395,099	)
Buy¹		4/25/2014	Chilean Peso		6,900,000,000		12,551,571		300,150
Sell¹		4/03/2014	Euro		12,000,000		16,531,759		(74,623	)


Sell¹	4/15/2014	Euro	9,845,000	13,562,576		111,647
Sell¹	4/28/2014	Euro	2,200,000	3,030,658		10,473
Buy²	4/11/2014	Indian Rupee	753,000,000	12,582,768		318,924
Sell¹	4/30/2014	Mexican Peso	491,200,000	37,542,801		(56,634	)
Sell¹	4/03/2014	New Zealand Dollar	14,500,000	12,582,787		(487,612	)
Sell³	4/10/2014	New Zealand Dollar	8,860,000	7,684,085		(180,666	)
Buy¹	4/07/2014	Polish Zloty	76,000,000	25,125,850		111,861
Sell¹	4/07/2014	Polish Zloty	76,000,000	25,125,850		(1,103,344	)
Sell¹	4/07/2014	Swiss Franc	2,156,000	2,438,873		(8,339	)

Total					$	(971,399	)

¹	Counterparty is Credit Suisse International.

²	Counterparty is Barclays Bank PLC.

³	Counterparty is Citibank, N.A.

Futures Contracts

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

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

At March 31, 2014, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/20/2014		660	$	61,531,800	$	(31,291	)
EURO STOXX 50^®		6/20/2014		220		9,395,570		(249,034	)
German Euro Bund		6/06/2014		388		76,640,629		26,905
Nikkei 225™		6/12/2014		102		7,576,050		(86,788	)
5 Year U.S. Treasury Note		6/30/2014		228		27,121,912		(40,204	)
10 Year U.S. Treasury Note		6/19/2014		157		19,389,500		(29,725	)
30 Year U.S. Treasury Bond		6/19/2014		82		10,923,937		(97,525	)

Total							$	(507,662	)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	10,961,890	$	6,263,182	(a)	$	17,225,072
Commercial Mortgage-Backed Securities		—		45,314,910		2,297,298	(a)		47,612,208
All Other Non-Convertible Bonds*		—		650,354,463		—			650,354,463

Total Non-Convertible Bonds		—		706,631,263		8,560,480			715,191,743

Convertible Bonds*		—		51,227,116		—			51,227,116

Total Bonds and Notes		—		757,858,379		8,560,480			766,418,859

Senior Loans*		—		253,159,698		—			253,159,698
Common Stocks*		64,031,329		—		—			64,031,329
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		—		2,210,533		—			2,210,533
REITs—Mortgage		—		4,332,763		—			4,332,763
All Other Convertible Preferred Stocks*		27,575,955		—		—			27,575,955
Non-Convertible Preferred Stocks
Media Cable		—		4,080,400		—			4,080,400
All Other Non-Convertible Preferred Stocks*		18,465,556		—		—			18,465,556

Total Preferred Stocks		46,041,511		10,623,696		—			56,665,207

Exchange Traded Funds		12,017,117		—		—			12,017,117
Purchased Swaptions*		—		3,423,656		—			3,423,656
Purchased Options*		—		586,176		—			586,176
Short-Term Investments		—		70,759,459		—			70,759,459

Total Investments		122,089,957		1,096,411,064		8,560,480			1,227,061,501

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		58,119		—			58,119
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,334,918		—			1,334,918
Futures Contracts (unrealized appreciation)		26,905		—		—			26,905

Total	$	122,116,862	$	1,097,804,101	$	8,560,480		$	1,228,481,443

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Swaptions*	$	—		$	(1,378,809	)	$	—	$	(1,378,809	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(2,165,824	)		—		(2,165,824	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(2,306,317	)		—		(2,306,317	)
Futures Contracts (unrealized depreciation)		(534,567	)		—			—		(534,567	)

Total	$	(534,567	)	$	(5,850,950	)	$	—	$	(6,385,517	)

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

(a)	Valued using broker-dealer bid prices.

A preferred stock valued at $2,290,849 was transferred from Level 1 to Level 2 during the period ended March 31, 2014. At March 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

A preferred stock valued at $1,378,651 was transferred from Level 2 to Level 1 during the period ended March 31, 2014. At March 31, 2014, this security was 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 following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or March 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2013		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	1,703,269	$	—	$	844	$	6,000		$	4,705,613	$	(152,544	)	$	—	$	—	$	6,263,182	$	10,861
Airlines		6,428,650		—		155,058		(63,650	)		—		(6,520,058	)		—		—		—		—
Commercial Mortgage-Backed Securities		2,300,373		—		—		(3,075	)		—		—			—		—		2,297,298		(3,075	)

Total	$	10,432,292	$	—	$	155,902	$	(60,725	)	$	4,705,613	$	(6,672,602	)	$	—	$	—	$	8,560,480	$	7,786

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended March 31, 2014, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended March 31, 2014, the Fund engaged in futures contracts for hedging purposes.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2014, 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 period ended March 31, 2014, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2014, the Fund engaged in futures and option transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund as of March 31, 2014:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter asset derivatives
Interest rate contracts	$	3,423,656		$	—		$	—		$	—		$	3,423,656
Foreign exchange contracts		586,176			1,334,918			—			—			1,921,094
Credit contracts		—			—			—			2,315,551			2,315,551

Total over-the-counter asset derivatives	$	4,009,832		$	1,334,918		$	—		$	2,315,551		$	7,660,301

Exchange traded/centrally cleared asset derivatives
Interest rate contracts	$	—		$	—		$	26,905		$	—		$	26,905

Total exchange traded/centrally cleared asset derivatives	$	—		$	—		$	26,905		$	—		$	26,905

Total asset derivatives	$	4,009,832		$	1,334,918		$	26,905		$	2,315,551		$	7,687,206


Liabilities	Swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap Agreements at value			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(1,378,809	)	$	—		$	—		$	—		$	(1,378,809	)
Foreign exchange contracts		—			(2,306,317	)		—			—			(2,306,317	)
Credit contracts		—			—			—			(2,297,021	)		(2,297,021	)

Total over-the-counter liability derivatives	$	(1,378,809	)	$	(2,306,317	)	$	—		$	(2,297,021	)	$	(5,982,147	)

Exchange traded/centrally cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(167,454	)	$	—		$	(167,454	)
Equity contracts		—			—			(367,113	)		—			(367,113	)

Total exchange traded/centrally cleared liability derivatives	$	—		$	—		$	(534,567	)	$	—		$	(534,567	)

Total liability derivatives	$	(1,378,809	)	$	(2,306,317	)	$	(534,567	)	$	(2,297,021	)	$	(6,516,714	)

¹	Represents purchased options/swaptions, at value.

Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of March 31, 2014, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Credit Suisse International	$	(2,779,157	)	$	3,614,520

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 future contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of March 31, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $20,023,573 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $11,168,995.

These amounts include cash and U.S. government and agency securities received as collateral of $3,440,453. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Fund’s books and records.

Industry Summary at March 31, 2014 (Unaudited)


ABS Home Equity	12.8	%
Treasuries	6.6
Banking	5.4
Technology	5.3
Automotive	4.5
Pharmaceuticals	3.9
Commercial Mortgage-Backed Securities	3.9
ABS Credit Card	3.0
Chemicals	2.7
Healthcare	2.7
Financial Other	2.5
Wirelines	2.4
Food & Beverage	2.4
Industrial Other	2.3
ABS Car Loan	2.2
Other Investments, less than 2% each	31.8
Short-Term Investments	5.8

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

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 92.6% of Net Assets
	Municipals – 92.6%
		Arizona – 3.5%
$	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024	$	342,111
	400,000	Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022		469,192

				811,303

		California – 7.5%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		285,935
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		447,059
	500,000	Kern High School District, GO, Refunding, 5.000%, 8/01/2023		583,920
	400,000	Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025		454,384

				1,771,298

		Colorado – 7.2%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		287,576
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		429,016
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		457,980
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		528,907

				1,703,479

		Connecticut – 3.5%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		428,306
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		406,166

				834,472

		Florida – 9.4%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		551,665
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		264,090
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		457,708
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		458,032
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		475,492

				2,206,987


Principal Amount		Description	Value (†)
	Municipals – continued
		Georgia – 3.6%
$	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021	$	577,120
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		278,520

				855,640

		Hawaii – 1.9%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		441,208

		Illinois – 3.6%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028		404,410
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		113,070
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		339,082

				856,562

		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		327,907

		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		165,428

		Michigan – 2.5%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		586,186

		Minnesota – 3.6%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		277,577
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		331,098
	200,000	Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023		229,066

				837,741

		Missouri – 2.3%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		540,225

		New Jersey – 8.1%
	400,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030		418,000
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		298,827


Principal Amount		Description	Value (†)
	Municipals – continued
		New Jersey – continued
$	580,000	New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM Insured), 5.000%, 6/15/2019	$	613,350
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		587,190

				1,917,367

		New York – 1.7%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		388,937

		Ohio – 6.8%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		448,212
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		601,480
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		541,985

				1,591,677

		Pennsylvania – 4.9%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		383,719
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		292,034
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		488,754

				1,164,507

		Rhode Island – 2.5%
	500,000	Rhode Island Clean Water Finance Agency, Series A, 5.000%, 10/01/2024		591,155

		South Dakota – 2.0%
	465,000	Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036		481,210

		Texas – 9.4%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		288,135
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		432,776
	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		633,375
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		410,802
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		454,692

				2,219,780

		Utah – 1.2%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		282,220


Principal Amount		Description	Value (†)
	Municipals – continued
		Washington – 5.3%
$	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029	$	531,930
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		453,340
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		256,375

				1,241,645

		Total Bonds and Notes (Identified Cost $21,921,584)		21,816,934

	Short-Term Investments – 6.2%
	1,478,591	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2014 at 0.000% to be repurchased at $1,478,591 on 4/01/2014 collateralized by $1,525,000 U.S. Treasury Note, 1.375% due 9/30/2018 valued at $1,509,750 including accrued interest(b) (Identified Cost $1,478,591)		1,478,591

		Total Investments – 98.8% (Identified Cost $23,400,175)(a)		23,295,525
		Other assets less liabilities – 1.2%		271,032

		Net Assets – 100.0%	$	23,566,557

(†)

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:

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

At March 31, 2014, the net unrealized depreciation on investments based on a cost of $23,400,175 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	$	179,374
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(284,024	)

Net unrealized depreciation	$	(104,650	)

At December 31, 2013, the Fund had a short-term capital loss carryforward of $342,616 with no expiration date and a long term capital loss carryforward of $5,710 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)

AGM	Assured Guaranty Municipal Corporation

AMT	Alternative Minimum Tax

GO	General Obligation

NATL-RE

National Public Finance Guarantee Corporation

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes *	$	—	$	21,816,934	$	—	$	21,816,934
Short-Term Investments		—		1,478,591		—		1,478,591

Total	$	—	$	23,295,525	$	—	$	23,295,525

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

For the period ended March 31, 2014, there were no transfers among Levels 1, 2 and 3.

Holdings Summary at March 31, 2014 (Unaudited)


Medical	17.3	%
Higher Education	15.6
General Obligation	12.8
General	11.3
Water	10.7
Transportation	7.7
School District	4.4
Power	4.3
Utilities	3.4
Airport	3.3
Education	1.8
Short-Term Investments	6.2

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 96.5% of Net Assets
		Aerospace & Defense – 1.2%
	77,525	B/E Aerospace, Inc.(b)	$	6,728,395

		Auto Components – 2.4%
	121,950	Delphi Automotive PLC		8,275,527
	100,125	Tenneco, Inc.(b)		5,814,259

				14,089,786

		Banks – 8.4%
	143,750	CIT Group, Inc.		7,046,625
	406,200	Fifth Third Bancorp		9,322,290
	744,575	First Niagara Financial Group, Inc.		7,036,234
	885,075	Huntington Bancshares, Inc.		8,824,198
	219,650	PacWest Bancorp		9,447,146
	676,725	Regions Financial Corp.		7,518,415

				49,194,908

		Capital Markets – 1.2%
	205,125	SEI Investments Co.		6,894,251

		Chemicals – 2.4%
	52,500	Airgas, Inc.		5,591,775
	113,050	FMC Corp.		8,655,108

				14,246,883

		Commercial Services & Supplies – 0.8%
	162,325	KAR Auction Services, Inc.		4,926,564

		Communications Equipment – 1.7%
	391,675	CommScope Holding Co., Inc.(b)		9,666,539

		Construction & Engineering – 1.7%
	264,075	Quanta Services, Inc.(b)		9,744,367

		Consumer Finance – 1.2%
	125,175	Portfolio Recovery Associates, Inc.(b)		7,242,626

		Containers & Packaging – 5.7%
	238,225	Crown Holdings, Inc.(b)		10,658,186
	1,050,625	Graphic Packaging Holding Co.(b)		10,674,350
	209,975	Owens-Illinois, Inc.(b)		7,103,454
	72,675	Packaging Corp. of America		5,114,140

				33,550,130

		Energy Equipment & Services – 2.9%
	184,125	Atwood Oceanics, Inc.(b)		9,278,059
	247,100	Superior Energy Services, Inc.		7,600,796

				16,878,855

		Food & Staples Retailing – 1.0%
	891,550	Rite Aid Corp.(b)		5,590,019


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – 0.9%
	160,700	Alere, Inc.(b)	$	5,520,045

		Health Care Providers & Services – 3.8%
	247,100	Community Health Systems, Inc.(b)		9,678,907
	242,275	HCA Holdings, Inc.(b)		12,719,437

				22,398,344

		Health Care Technology – 1.7%
	397,325	MedAssets, Inc.(b)		9,817,901

		Household Durables – 2.5%
	68,650	Harman International Industries, Inc.		7,304,360
	177,650	Lennar Corp., Class A		7,038,493

				14,342,853

		Household Products – 0.6%
	40,375	Spectrum Brands Holdings, Inc.		3,217,888

		Insurance – 5.8%
	299,600	First American Financial Corp.		7,954,380
	287,500	Hartford Financial Services Group, Inc. (The)		10,140,125
	104,975	Reinsurance Group of America, Inc., Class A		8,359,159
	189,775	Validus Holdings Ltd.		7,156,415

				33,610,079

		Internet & Catalog Retail – 1.5%
	145,350	HSN, Inc.		8,681,756

		Internet Software & Services – 1.5%
	120,325	IAC/InterActiveCorp		8,590,002

		IT Services – 5.7%
	96,100	CACI International, Inc., Class A(b)		7,092,180
	159,100	Fiserv, Inc.(b)		9,019,379
	142,125	Global Payments, Inc.		10,106,509
	240,650	Total System Services, Inc.		7,318,166

				33,536,234

		Machinery – 3.4%
	72,675	Flowserve Corp.		5,693,359
	108,200	Pentair Ltd. (Registered)		8,584,588
	50,875	Snap-on, Inc.		5,773,295

				20,051,242

		Media – 1.5%
	118,700	AMC Networks, Inc., Class A(b)		8,675,783

		Metals & Mining – 5.6%
	155,850	Carpenter Technology Corp.		10,292,334
	514,425	Constellium NV, Class A(b)		15,098,374
	104,975	Reliance Steel & Aluminum Co.		7,417,533

				32,808,241

		Oil, Gas & Consumable Fuels – 3.2%
	152,625	Gulfport Energy Corp.(b)		10,863,847


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – continued
	113,050	Noble Energy, Inc.	$	8,031,072

				18,894,919

		Personal Products – 0.9%
	182,500	Elizabeth Arden, Inc.(b)		5,385,575

		Pharmaceuticals – 3.3%
	45,677	Actavis PLC(b)		9,402,611
	76,786	Valeant Pharmaceuticals International, Inc.(b)		10,122,698

				19,525,309

		Road & Rail – 3.5%
	218,050	Con-way, Inc.		8,957,494
	429,625	Hertz Global Holdings, Inc.(b)		11,445,210

				20,402,704

		Semiconductors & Semiconductor Equipment – 4.9%
	143,750	Avago Technologies Ltd.		9,258,937
	372,275	Micron Technology, Inc.(b)		8,808,027
	282,650	Skyworks Solutions, Inc.(b)		10,605,028

				28,671,992

		Software – 3.5%
	130,025	Check Point Software Technologies Ltd.(b)		8,793,591
	365,825	Nuance Communications, Inc.(b)		6,281,215
	236,625	Rovi Corp.(b)		5,390,317

				20,465,123

		Specialty Retail – 4.1%
	208,350	Abercrombie & Fitch Co., Class A		8,021,475
	211,575	GNC Holdings, Inc., Class A		9,313,531
	64,600	Signet Jewelers Ltd.		6,838,556

				24,173,562

		Technology Hardware, Storage & Peripherals – 2.2%
	344,825	NCR Corp.(b)		12,603,354

		Textiles, Apparel & Luxury Goods – 1.5%
	69,450	PVH Corp.		8,665,277

		Trading Companies & Distributors – 4.3%
	313,325	HD Supply Holdings, Inc.(b)		8,193,449
	294,750	MRC Global, Inc.(b)		7,946,460
	94,475	United Rentals, Inc.(b)		8,969,456

				25,109,365

		Total Common Stocks (Identified Cost $458,817,594)		563,900,871

	Closed-End Investment Companies – 1.5%
	483,725	Ares Capital Corp. (Identified Cost $8,121,817)		8,523,235


Principal Amount		Description	Value (†)
	Short-Term Investments – 3.3%
$	19,492,397	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2014 at 0.000% to be repurchased at $19,492,397 on 4/01/2014 collateralized by $175,000 U.S. Treasury Note, 1.500% due 6/30/2016 valued at $179,156; $22,395,000 Federal National Mortgage Association, 3.250% due 12/27/2032 valued at $19,707,600 including accrued interest(c) (Identified Cost $19,492,397)	$	19,492,397

		Total Investments – 101.3% (Identified Cost $486,431,808)(a)		591,916,503
		Other assets less liabilities – (1.3)%		(7,361,174	)

		Net Assets – 100.0%	$	584,555,329

(†)

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:

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.

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

At March 31, 2014, the net unrealized appreciation on investments based on a cost of $486,431,808 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	$	110,119,827
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,635,132	)

Net unrealized appreciation	$	105,484,695

(b)	Non-income producing security.

(c)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	563,900,871	$	—	$	—	$	563,900,871
Closed-End Investment Companies		8,523,235		—		—		8,523,235
Short-Term Investments		—		19,492,397		—		19,492,397

Total	$	572,424,106	$	19,492,397	$	—	$	591,916,503

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

For the period ended March 31, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2014 (Unaudited)


Banks	8.4	%
Insurance	5.8
Containers & Packaging	5.7
IT Services	5.7
Metals & Mining	5.6
Semiconductors & Semiconductor Equipment	4.9
Trading Companies & Distributors	4.3
Specialty Retail	4.1
Health Care Providers & Services	3.8
Software	3.5
Road & Rail	3.5
Machinery	3.4
Pharmaceuticals	3.3
Oil, Gas & Consumable Fuels	3.2
Energy Equipment & Services	2.9
Household Durables	2.5
Chemicals	2.4
Auto Components	2.4
Technology Hardware, Storage & Peripherals	2.2
Other Investments, less than 2% each	20.4
Short-Term Investments	3.3

Total Investments	101.3
Other assets less liabilities	(1.3	)

Net Assets	100.0	%

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS


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

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

SIGNATURES

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


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		May 22, 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:		May 22, 2014


By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 22, 2014