N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2014

Item 1. Reports to Stockholders.

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

SEMIANNUAL REPORT

June 30, 2014

ASG Global Alternatives Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

TABLE OF CONTENTS

Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

ASG GLOBAL ALTERNATIVES FUND

Managers	Symbols
Andrew W. Lo, PhD	Class A    GAFAX
Alexander D. Healy, PhD	Class C    GAFCX
Peter A. Lee	Class N    GAFNX
Philippe P. Lüdi, CFA®, PhD	Class Y    GAFYX
Robert W. Sinnott
AlphaSimplex Group, LLC (Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

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

Average Annual Total Returns—June 30, 2014³

	6 Months			1 Year			5 Years			Life of Class
Class A (Inception 9/30/08)										Class A/C/Y	Class N
NAV		1.82	%		9.30	%		5.93	%	5.17%	—
With 5.75% Maximum Sales Charge		-4.03			3.04			4.68		4.09	—
Class C (Inception 9/30/08)
NAV		1.42			8.45			5.12		4.39	—
With CDSC1		0.44			7.47			5.12		4.39	—
Class N (Inception 5/1/13)
NAV		1.89			9.41			—		—	8.61%
Class Y (Inception 9/30/08)
NAV		1.89			9.50			6.20		5.43	—
Comparative Performance
Barclay Fund of Funds Index2		1.86			7.34			3.84		2.08	5.53

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

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

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

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

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ASG MANAGED FUTURES STRATEGY FUND

Managers	Symbols
Andrew W. Lo, PhD	Class A    AMFAX
Alexander D. Healy, PhD	Class C    ASFCX
Peter A. Lee	Class Y    ASFYX
Philippe P. Lüdi, CFA®, PhD
Robert W. Sinnott
AlphaSimplex Group, LLC (Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

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

Average Annual Total Returns—June 30, 2014⁴

	6 Months			1 Year			Life of Fund
Class A (Inception 7/30/10)
NAV		4.70	%		13.45	%		4.57	%
With 5.75% Maximum Sales Charge		-1.36			6.89			3.00
Class C (Inception 7/30/10)
NAV		4.41			12.60			3.77
With CDSC1		3.41			11.60			3.77
Class Y (Inception 7/30/10)
NAV		4.89			13.77			4.80
Comparative Performance
Newedge Trend Index2,3		-0.69			1.19			1.13

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

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

2 Effective March 1, 2014, the Newedge Trend Index replaced the FTSE StableRisk Trend Composite Index as the Fund’s primary benchmark because the FTSE StableRisk Trend Composite Index was discontinued effective March 31, 2014.

3 The Newedge Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers. You may not invest directly in an index.

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

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ASG TACTICAL U.S. MARKET FUND

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

Objective

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

Average Annual Total Returns—June 30, 2014⁴

	6 Months			Life of Fund
Class A (Inception 9/30/13)
NAV		7.74	%		21.71	%
With 5.75% Maximum Sales Charge		1.57			14.71
Class C (Inception 9/30/13)
NAV		7.39			21.10
With CDSC1		6.39			20.10
Class Y (Inception 9/30/13)
NAV		7.83			21.92
Comparative Performance
S&P 500® Index2		7.14			18.40
Barclay Equity Long/Short Index3		2.41			7.21

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

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

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

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

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

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ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the 12 months ended June 30, 2014 is available on the Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

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ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,018.20		$7.76
Hypothetical (5% return before expenses)		$1,000.00		$1,017.11		$7.75
Class C
Actual		$1,000.00		$1,014.20		$11.49
Hypothetical (5% return before expenses)		$1,000.00		$1,013.39		$11.48
Class N
Actual		$1,000.00		$1,018.90		$6.56
Hypothetical (5% return before expenses)		$1,000.00		$1,018.30		$6.56
Class Y
Actual		$1,000.00		$1,018.90		$6.51
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.55%, 2.30%, 1.31% and 1.30% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,047.00		$8.78
Hypothetical (5% return before expenses)		$1,000.00		$1,016.22		$8.65
Class C
Actual		$1,000.00		$1,044.10		$12.57
Hypothetical (5% return before expenses)		$1,000.00		$1,012.50		$12.37
Class Y
Actual		$1,000.00		$1,048.90		$7.52
Hypothetical (5% return before expenses)		$1,000.00		$1,017.46		$7.40

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.73%, 2.48% and 1.48% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,077.40		$7.21
Hypothetical (5% return before expenses)		$1,000.00		$1,017.85		$7.00
Class C
Actual		$1,000.00		$1,073.90		$11.06
Hypothetical (5% return before expenses)		$1,000.00		$1,014.13		$10.74
Class Y
Actual		$1,000.00		$1,078.30		$5.93
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. The ASG Tactical U.S. Market Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory and sub-advisory agreements are effective until September 29, 2015. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

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

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

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

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed by the adviser under these caps for the ASG Managed Futures Strategy Fund. The Trustees also considered that current expenses of the ASG Global Alternatives Fund are below the cap.

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

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

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

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

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

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

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

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.

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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Global Alternatives Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 92.3% of Net Assets
		Certificates of Deposit — 73.1%
$	92,100,000	Canadian Imperial Bank, 0.010%, 7/01/2014	$	92,100,000
	130,000,000	Abbey National, 0.050%, 7/01/2014		130,000,000
	15,000,000	National Bank of Kuwait, 0.155%, 7/01/2014		15,000,000
	5,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.100%, 7/02/2014		5,000,000
	25,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014		25,000,000
	70,000,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014		70,001,120
	35,000,000	Agricultural Bank of China, 0.250%, 7/07/2014		35,000,000
	45,000,000	Industrial & Commercial Bank of China, 0.370%, 7/08/2014		45,000,000
	15,500,000	Industrial & Commercial Bank of China, 0.340%, 7/09/2014		15,500,000
	24,400,000	Bank of Montreal (IL), 0.150%, 7/15/2014		24,400,708
	65,000,000	Agricultural Bank of China, 0.400%, 7/15/2014		65,000,126
	40,000,000	China Construction Bank Corp. (NY), 0.380%, 7/22/2014		40,000,117
	30,000,000	Mizuho Corporate Bank, 0.160%, 7/25/2014		30,000,100
	70,000,000	Bank of Montreal (IL), 0.242%, 7/28/2014(b)(c)		70,005,180
	30,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 7/29/2014		30,000,720
	130,000,000	Credit Agricole, 0.130%, 8/01/2014		130,000,000
	30,000,000	Sumitomo Mitsui Bank (NY), 0.220%, 8/04/2014		30,000,847
	25,000,000	Mitsubishi UFJ Trust and Banking Corp., 0.200%, 8/11/2014		25,000,575
	75,000,000	Bank of Tokyo-Mitsubishi, 0.328%, 8/11/2014(b)(d)		75,000,450
	110,600,000	National Bank of Kuwait, 0.280%, 8/13/2014		110,612,166
	50,000,000	Mizuho Corporate Bank, 0.210%, 8/14/2014		50,000,600
	25,000,000	Westpac Banking Corp. (NY), 0.242%, 8/15/2014(b)		25,002,300
	33,300,000	Standard Chartered Bank (NY), 0.230%, 8/26/2014		33,305,261
	25,100,000	Banco Del Estado de Chile, 0.220%, 8/28/2014		25,101,631
	25,000,000	Bank of Montreal (IL), 0.170%, 9/10/2014		25,000,000
	50,000,000	Norinchukin Bank, 0.220%, 9/22/2014		50,000,000
	50,000,000	Mizuho Corporate Bank, 0.210%, 10/02/2014		49,997,400
	99,650,000	Toronto Dominion Bank, 0.250%, 10/10/2014		99,675,311
	50,000,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014		49,986,500
	50,000,000	Banco Del Estado de Chile, 0.200%, 10/20/2014		49,996,900
	45,000,000	National Australia Bank, 0.223%, 10/23/2014(b)(d)		45,004,590
	75,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(d)		75,029,475
	49,550,000	Banco Del Estado de Chile, 0.231%, 11/10/2014(b)		49,550,000
	100,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		100,018,700
	50,000,000	Norinchukin Bank, 0.250%, 11/14/2014(d)		50,000,000
	70,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(d)		70,027,440
	100,000,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014		99,995,500
	50,000,000	Societe Generale S.A., 0.280%, 2/02/2015(b)(e)		49,994,550
	50,000,000	Rabobank Nederland (NY), 0.307%, 6/15/2015(b)		49,990,300
	25,000,000	China Construction Bank Corp. (NY), 0.404%, 7/20/2015(b)(e)		25,000,000
				2,135,298,567
		Financial Company Commercial Paper — 13.3%
	1,550,000	Dexia Credit Local, 0.180%, 7/08/2014(f)		1,549,952
	75,000,000	Dexia Credit Local, 0.230%, 7/08/2014(f)		74,997,675
	40,000,000	Societe Generale North America, 0.055%, 7/09/2014(f)		39,999,511
	28,700,000	Swedbank, 0.130%, 7/30/2014(f)		28,696,994

See accompanying notes to financial statements.

|  12

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Global Alternatives Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — continued
$	9,550,000	Swedbank, 0.170%, 8/19/2014(f)	$	9,548,491
	30,000,000	Oversea-Chinese Banking Corp. Ltd., 0.190%, 8/19/2014(f)		29,994,030
	50,000,000	ING (U.S.) Funding LLC, 0.200%, 9/04/2014(c)(f)		49,984,050
	35,000,000	Dexia Credit Local, 0.280%, 9/18/2014(d)(f)		34,986,035
	70,000,000	General Electric Capital Corp., 0.120%, 10/03/2014(f)		69,979,140
	50,000,000	General Electric Capital Corp., 0.180%, 12/11/2014(f)		49,963,800
				389,699,678
		Commercial Paper — 4.4%
	14,600,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.390%, 7/14/2014(f)		14,597,944
	30,000,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.400%, 7/14/2014(f)		29,995,667
	50,000,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(f)		49,996,500
	33,150,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 8/07/2014		33,150,994
				127,741,105
		Other Notes — 1.5%
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.351%, 7/07/2015(b)		20,000,460
	25,000,000	Wells Fargo, 0.321%, 7/20/2015(b)		25,004,600
				45,005,060
		Total Short-Term Investments (Identified Cost $2,697,625,383)		2,697,744,410
		Total Investments — 92.3% (Identified Cost $2,697,625,383)(a)		2,697,744,410
		Other assets less liabilities — 7.7%		224,639,780
		Net Assets — 100.0%	$	2,922,384,190
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,697,625,383 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	$	158,621
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(39,594	)
		Net unrealized appreciation	$	119,027
		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 June 30, 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.

See accompanying notes to financial statements.

13  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Global Alternatives Fund – (continued)

(d)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(e)	Security payable on demand at par including accrued interest.
(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

At June 30, 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		9/17/2014	British Pound		812,500	$	1,389,639	$	(28,535	)
Sell		9/17/2014	Canadian Dollar		266,800,000		249,563,871		(6,277,943	)
Buy		9/17/2014	Euro		46,500,000		63,690,831		528,088
Sell		9/17/2014	Euro		56,625,000		77,558,996		(660,415	)
Sell		9/17/2014	Japanese Yen		20,212,500,000		199,631,355		(2,331,327	)
Buy		9/17/2014	Swedish Krona		672,000,000		100,496,726		(385,574	)
Sell		9/17/2014	Swiss Franc		84,125,000		94,925,639		(907,065	)
Total								$	(10,062,771	)

¹ Counterparty is UBS AG.

At June 30, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		9/19/2014		2,350	$	793,161,201	$	(6,724,942	)
E-mini S&P 500®		9/19/2014		8,651		844,553,875		6,849,870
FTSE 100 Index		9/19/2014		3,284		377,174,102		(552,149	)
German Euro Bund		9/08/2014		1,749		352,075,161		4,281,391
Hang Seng Index®		7/30/2014		1,234		183,928,158		2,757,484
TOPIX		9/11/2014		807		100,571,295		1,887,123
UK Long Gilt		9/26/2014		379		71,296,368		58,376
10 Year U.S. Treasury Note		9/19/2014		5,161		646,012,047		188,015
Total							$	8,745,168
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Copper LME		9/17/2014		134	$	23,530,400	$	864,300
Gold		8/27/2014		374		49,442,800		2,230,000
Natural Gas		7/29/2014		1,589		70,885,290		(3,425,910	)
New York Harbor ULSD		7/31/2014		4		499,850		(8,484	)
Nickel LME		9/17/2014		61		6,967,542		(28,548	)
WTI Crude Oil		7/22/2014		657		69,228,090		(328,500	)
Zinc LME		9/17/2014		37		2,053,500		129,038
Total							$	(568,104	)

See accompanying notes to financial statements.

|  14

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Global Alternatives Fund – (continued)

At June 30, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Eurodollar		12/15/2014		536	$	133,631,500	$	13,162
10 Year Japan Government Bond		9/10/2014		155		222,849,316		(718,918	)
Total							$	(705,756	)
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/17/2014		1,015	$	47,977,781	$	(1,554,219	)
Brent Crude Oil		7/16/2014		8		898,880		(33,840	)
Gas Oil		8/12/2014		169		15,526,875		228,150
Total							$	(1,359,909	)

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

Investment Summary at June 30, 2014 (Unaudited)

Certificates of Deposit	73.1	%
Financial Company Commercial Paper	13.3
Commercial Paper	4.4
Other Notes	1.5
Total Investments	92.3
Other assets less liabilities (including forward foreign currency and futures contracts)	7.7
Net Assets	100.0	%

See accompanying notes to financial statements.

15  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 83.8% of Net Assets
		Certificates of Deposit — 66.7%
$	33,000,000	Canadian Imperial Bank, 0.010%, 7/01/2014	$	33,000,000
	44,000,000	Abbey National, 0.050%, 7/01/2014		44,000,000
	30,000,000	Royal Bank of Canada, 0.050%, 7/01/2014		30,000,000
	15,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014		15,000,000
	20,000,000	Industrial & Commercial Bank of China, 0.370%, 7/08/2014		20,000,000
	1,000,000	DNB Bank ASA (NY), 0.220%, 7/10/2014		1,000,027
	15,000,000	Bank of Montreal (IL), 0.150%, 7/15/2014		15,000,435
	27,000,000	Credit Industriel et Commercial, 0.250%, 7/15/2014		27,000,734
	30,000,000	Agricultural Bank of China, 0.400%, 7/15/2014		30,000,058
	18,000,000	China Construction Bank Corp. (NY), 0.380%, 7/22/2014		18,000,052
	5,000,000	Mizuho Corporate Bank, 0.160%, 7/25/2014		5,000,017
	15,000,000	Bank of Montreal (IL), 0.242%, 7/28/2014(b)		15,001,110
	42,000,000	Credit Agricole, 0.130%, 8/01/2014		42,000,000
	15,000,000	Sumitomo Mitsui Bank (NY), 0.220%, 8/04/2014		15,000,424
	25,000,000	Bank of Tokyo-Mitsubishi, 0.328%, 8/11/2014(b)(c)		25,000,150
	35,000,000	National Bank of Kuwait, 0.280%, 8/13/2014		35,003,850
	30,000,000	Mizuho Corporate Bank, 0.210%, 8/14/2014		30,000,360
	15,000,000	Standard Chartered Bank (NY), 0.230%, 8/26/2014		15,002,370
	25,000,000	Banco Del Estado de Chile, 0.220%, 8/28/2014		25,001,625
	5,000,000	Bank of Montreal (IL), 0.170%, 9/10/2014		5,000,000
	5,000,000	Mizuho Corporate Bank, 0.210%, 10/02/2014		4,999,740
	25,000,000	Toronto Dominion Bank, 0.250%, 10/10/2014(c)		25,006,350
	25,000,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014		24,993,250
	15,000,000	Banco Del Estado de Chile, 0.200%, 10/20/2014		14,999,070
	30,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(d)		30,011,790
	30,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		30,005,610
	35,000,000	Norinchukin Bank, 0.250%, 11/14/2014		35,000,000
	25,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(d)		25,009,800
	35,000,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014		34,998,425
	30,500,000	Societe Generale S.A., 0.280%, 2/02/2015(b)(c)(e)		30,496,675
	5,000,000	Rabobank Nederland (NY), 0.307%, 6/15/2015(b)		4,999,030
	15,000,000	China Construction Bank Corp. (NY), 0.404%, 7/20/2015(b)(e)		15,000,000
				720,530,952
		Financial Company Commercial Paper — 13.0%
	30,000,000	Dexia Credit Local, 0.230%, 7/08/2014(d)(f)		29,999,070
	6,000,000	Societe Generale North America, 0.055%, 7/09/2014(f)		5,999,927
	30,000,000	Oversea-Chinese Banking Corp. Ltd., 0.190%, 8/19/2014(f)		29,994,030
	35,000,000	ING (U.S.) Funding LLC, 0.200%, 9/04/2014(f)		34,988,835
	5,000,000	General Electric Capital Corp., 0.120%, 10/03/2014(f)		4,998,510
	35,000,000	General Electric Capital Corp., 0.180%, 12/11/2014(f)		34,974,660
				140,955,032
		Commercial Paper — 2.3%
	24,400,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(f)		24,398,292

See accompanying notes to financial statements.

|  16

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

Principal Amount		Description	Value (†)
		Other Notes — 1.8%
$	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.351%, 7/07/2015(b)	$	5,000,115
	15,000,000	Wells Fargo, 0.321%, 7/20/2015(b)		15,002,760
				20,002,875
		Total Short-Term Investments (Identified Cost $905,849,086)		905,887,151
		Total Investments — 83.8% (Identified Cost $905,849,086)(a)		905,887,151
		Other assets less liabilities — 16.2%		174,767,353
		Net Assets — 100.0%	$	1,080,654,504
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $905,849,086 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	52,246
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,181	)
		Net unrealized appreciation	$	38,065
		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 June 30, 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)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(e)	Security payable on demand at par including accrued interest.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

17  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 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		9/17/2014	Australian Dollar		12,400,000	$	11,629,075	$	120,982
Buy		9/17/2014	British Pound		15,437,500		26,403,139		542,162
Buy		9/17/2014	Canadian Dollar		47,400,000		44,337,809		352,677
Sell		9/17/2014	Canadian Dollar		26,400,000		24,694,476		(621,206	)
Sell		9/17/2014	Euro		2,500,000		3,424,238		(14,753	)
Buy		9/17/2014	Japanese Yen		2,150,000,000		21,234,751		127,163
Sell		9/17/2014	Japanese Yen		1,725,000,000		17,037,184		(198,963	)
Buy		9/17/2014	New Zealand Dollar		26,700,000		23,209,733		923,616
Buy		9/17/2014	Norwegian Krone		20,000,000		3,251,115		(82,241	)
Sell		9/17/2014	Norwegian Krone		24,000,000		3,901,338		58,249
Buy		9/17/2014	Singapore Dollar		64,875,000		52,030,492		175,035
Sell		9/17/2014	South African Rand		143,500,000		13,322,440		(159,270	)
Sell		9/17/2014	Swedish Krona		128,000,000		19,142,233		73,443
Buy		9/17/2014	Swiss Franc		3,375,000		3,808,309		47,533
Sell		9/17/2014	Swiss Franc		3,750,000		4,231,455		(42,522	)
Sell		9/17/2014	Turkish Lira		3,900,000		1,812,092		(9,997	)
Total								$	1,291,908

¹ Counterparty is UBS AG.

At June 30, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		7/18/2014		458	$	51,833,082	$	(112,885	)
ASX SPI 200™		9/18/2014		373		47,077,752		(52,758	)
CAC 40®		7/18/2014		453		27,429,358		(563,768	)
DAX		9/19/2014		103		34,764,087		(156,905	)
E-mini Dow		9/19/2014		470		39,339,000		(105,750	)
E-mini NASDAQ 100		9/19/2014		577		44,319,370		564,883
E-mini S&P 500®		9/19/2014		357		34,852,125		282,923
Euribor		12/15/2014		4,035		1,379,071,614		1,066,000
Euro Schatz		9/08/2014		4,413		668,687,635		392,777
EURO STOXX 50®		9/19/2014		731		32,350,979		(450,431	)
Euro-BTP		9/08/2014		493		85,179,707		1,755,443
Euro-OAT		9/08/2014		761		146,437,533		2,834,452
Eurodollar		12/15/2014		3,091		770,624,937		(29,050	)
FTSE 100 Index		9/19/2014		359		41,231,883		(70,655	)
FTSE MIB		9/19/2014		145		21,148,398		(557,921	)
FTSE/JSE Top 40 Index		9/18/2014		783		33,918,956		(10,349	)
German Euro BOBL		9/08/2014		1,392		244,224,237		1,562,974
German Euro Bund		9/08/2014		639		128,631,234		1,732,466
Hang Seng Index®		7/30/2014		235		35,026,837		549,178
IBEX 35		7/18/2014		291		43,255,518		(224,469	)

See accompanying notes to financial statements.

|  18

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Mini-Russell 2000		9/19/2014		308	$	36,661,240	$	604,910
MSCI Singapore		7/30/2014		641		38,092,951		5,141
MSCI Taiwan Index		7/30/2014		1,117		37,129,080		586,425
Nikkei 225™		9/11/2014		127		19,005,182		28,932
OMXS30®		7/18/2014		1,900		39,228,173		(137,193	)
S&P CNX Nifty Futures Index		7/31/2014		2,584		39,413,752		200,126
S&P/TSX 60 Index		9/18/2014		307		49,698,871		960,174
Sterling		12/17/2014		331		70,200,208		(113,295	)
TOPIX		9/11/2014		218		27,167,958		516,460
UK Long Gilt		9/26/2014		381		71,672,602		(34,331	)
Ultra Long U.S. Treasury Bond		9/19/2014		348		52,178,250		168,563
2 Year U.S. Treasury Note		9/30/2014		2,058		451,923,938		(225,092	)
3 Year Australia Government Bond		9/15/2014		2,484		256,430,809		1,026,047
5 Year U.S. Treasury Note		9/30/2014		1,191		142,277,977		(167,483	)
10 Year Australia Government Bond		9/15/2014		709		80,541,927		1,124,313
10 Year Canada Government Bond		9/19/2014		878		111,888,328		954,557
10 Year Japan Government Bond		9/10/2014		181		260,230,492		821,875
10 Year U.S. Treasury Note		9/19/2014		697		87,244,797		43,563
30 Year U.S. Treasury Bond		9/19/2014		477		65,438,438		268,313
Total							$	15,038,160
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/17/2014		29	$	1,370,794	$	44,406
Brent Crude Oil		7/16/2014		204		22,921,440		372,580
Cocoa		9/15/2014		435		13,602,450		218,130
Coffee		9/18/2014		41		2,692,163		8,438
Copper High Grade		9/26/2014		145		11,612,687		118,025
Copper LME		9/17/2014		14		2,458,400		95,785
Gas Oil		8/12/2014		176		16,170,000		(237,600	)
Gasoline		7/31/2014		112		14,315,683		(69,149	)
Gold		8/27/2014		21		2,776,200		17,560
Live Cattle		8/29/2014		378		22,691,340		1,763,190
Natural Gas		7/29/2014		149		6,646,890		(318,360	)
New York Harbor ULSD		7/31/2014		100		12,496,260		(321,472	)
Nickel LME		9/17/2014		165		18,846,630		(77,220	)
Silver		9/26/2014		100		10,528,000		(26,965	)
Soybean		11/14/2014		140		8,100,750		(554,713	)
Soybean Meal		12/12/2014		198		7,274,520		(561,610	)
WTI Crude Oil		7/22/2014		182		19,177,340		(91,000	)
Zinc LME		9/17/2014		226		12,543,000		788,175
Total							$	1,168,200

See accompanying notes to financial statements.

19  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund – (continued)

At June 30, 2014, open short futures contracts were as follows:

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Copper LME		9/17/2014		10	$	1,756,000	$	(88,038	)
Corn		12/12/2014		656		13,948,200		385,538
Cotton		12/08/2014		264		9,703,320		497,055
Nickel LME		9/17/2014		71		8,109,762		(309,702	)
Soybean Oil		12/12/2014		520		12,214,800		151,368
Sugar		9/30/2014		88		1,775,066		(33,152	)
Wheat		9/12/2014		777		22,435,875		713,175
Total							$	1,316,244

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

Investment Summary at June 30, 2014 (Unaudited)

Certificates of Deposit	66.7	%
Financial Company Commercial Paper	13.0
Commercial Paper	2.3
Other Notes	1.8
Total Investments	83.8
Other assets less liabilities (including forward foreign currency and futures contracts)	16.2
Net Assets	100.0	%

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Tactical U.S. Market Fund

Shares		Description	Value (†)
	Common Stocks — 47.0% of Net Assets
		Aerospace & Defense — 1.3%
	1,095	Boeing Co. (The)	$	139,317
	263	Honeywell International, Inc.		24,446
	718	Northrop Grumman Corp.		85,895
	393	Precision Castparts Corp.		99,193
	637	Rockwell Collins, Inc.		49,775
	1,476	United Technologies Corp.		170,404
				569,030
		Air Freight & Logistics — 0.5%
	628	FedEx Corp.		95,067
	1,419	United Parcel Service, Inc., Class B		145,674
				240,741
		Airlines — 0.2%
	3,142	Southwest Airlines Co.		84,394
		Auto Components — 0.2%
	1,807	Johnson Controls, Inc.		90,224
		Banks — 3.1%
	14,514	Bank of America Corp.		223,080
	5,149	Citigroup, Inc.		242,518
	4,927	JPMorgan Chase & Co.		283,894
	1,383	PNC Financial Services Group, Inc. (The)		123,156
	3,509	U.S. Bancorp		152,010
	7,370	Wells Fargo & Co.		387,367
				1,412,025
		Beverages — 1.5%
	3,742	Coca-Cola Co. (The)		158,511
	2,010	Coca-Cola Enterprises, Inc.		96,038
	1,790	Dr Pepper Snapple Group, Inc.		104,858
	3,261	PepsiCo, Inc.		291,338
				650,745
		Biotechnology — 1.8%
	733	Alexion Pharmaceuticals, Inc.(b)		114,531
	515	Biogen Idec, Inc.(b)		162,385
	1,866	Celgene Corp.(b)		160,252
	3,036	Gilead Sciences, Inc.(b)		251,715
	358	Regeneron Pharmaceuticals, Inc.(b)		101,124
				790,007
		Capital Markets — 0.2%
	2,681	Bank of New York Mellon Corp. (The)		100,484
		Chemicals — 1.5%
	490	Air Products & Chemicals, Inc.		63,024
	1,753	Dow Chemical Co. (The)		90,209
	1,676	E.I. du Pont de Nemours & Co.		109,677
	508	Ecolab, Inc.		56,561

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Shares		Description	Value (†)
		Chemicals — continued
	502	LyondellBasell Industries NV, Class A	$	49,020
	879	Monsanto Co.		109,647
	618	Praxair, Inc.		82,095
	275	Sherwin-Williams Co. (The)		56,900
	479	Sigma-Aldrich Corp.		48,609
				665,742
		Commercial Services & Supplies — 0.1%
	513	Stericycle, Inc.(b)		60,749
		Communications Equipment — 1.0%
	7,548	Cisco Systems, Inc.		187,568
	3,301	QUALCOMM, Inc.		261,439
				449,007
		Construction & Engineering — 0.1%
	1,454	Quanta Services, Inc.(b)		50,279
		Consumer Finance — 0.4%
	1,850	American Express Co.		175,510
		Containers & Packaging — 0.2%
	622	MeadWestvaco Corp.		27,530
	1,305	Sealed Air Corp.		44,592
				72,122
		Distributors — 0.1%
	743	Genuine Parts Co.		65,235
		Diversified Financial Services — 0.9%
	2,780	Berkshire Hathaway, Inc., Class B(b)		351,837
	880	McGraw Hill Financial, Inc.		73,066
				424,903
		Diversified Telecommunication Services — 1.1%
	2,456	CenturyLink, Inc.		88,907
	13,274	Frontier Communications Corp.		77,520
	6,591	Verizon Communications, Inc.		322,498
				488,925
		Electric Utilities — 0.8%
	939	American Electric Power Co., Inc.		52,368
	1,017	Duke Energy Corp.		75,451
	679	NextEra Energy, Inc.		69,584
	814	Northeast Utilities		38,478
	1,329	PPL Corp.		47,219
	1,688	Southern Co. (The)		76,602
				359,702
		Electronic Equipment, Instruments & Components — 0.6%
	6,246	Corning, Inc.		137,100
	1,860	TE Connectivity Ltd.		115,022
				252,122

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Shares		Description	Value (†)
		Energy Equipment & Services — 1.1%
	2,346	Halliburton Co.	$	166,589
	836	National Oilwell Varco, Inc.		68,845
	2,255	Schlumberger Ltd.		265,977
				501,411
		Food & Staples Retailing — 1.2%
	2,892	CVS Caremark Corp.		217,970
	1,998	Wal-Mart Stores, Inc.		149,990
	2,586	Walgreen Co.		191,700
				559,660
		Food Products — 0.5%
	2,814	Archer-Daniels-Midland Co.		124,125
	371	Mead Johnson Nutrition Co.		34,566
	2,075	Mondelez International, Inc., Class A		78,041
				236,732
		Health Care Equipment & Supplies — 0.8%
	508	CR Bard, Inc.		72,649
	2,624	Medtronic, Inc.		167,306
	1,388	St. Jude Medical, Inc.		96,119
				336,074
		Health Care Providers & Services — 0.6%
	1,584	DaVita HealthCare Partners, Inc.(b)		114,555
	720	McKesson Corp.		134,071
				248,626
		Hotels, Restaurants & Leisure — 0.8%
	101	Chipotle Mexican Grill, Inc.(b)		59,843
	1,662	McDonald’s Corp.		167,430
	843	Starwood Hotels & Resorts Worldwide, Inc.		68,131
	753	Yum! Brands, Inc.		61,144
				356,548
		Household Durables — 0.3%
	1,215	Garmin Ltd.		73,994
	1,346	Lennar Corp., Class A		56,505
				130,499
		Household Products — 0.6%
	1,350	Colgate-Palmolive Co.		92,043
	2,519	Procter & Gamble Co. (The)		197,968
				290,011
		Industrial Conglomerates — 1.4%
	1,005	3M Co.		143,956
	1,391	Danaher Corp.		109,514
	14,855	General Electric Co.		390,389
				643,859

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Shares		Description	Value (†)
		Insurance — 1.7%
	2,860	American International Group, Inc.	$	156,099
	932	Assurant, Inc.		61,093
	943	Chubb Corp. (The)		86,916
	1,288	Lincoln National Corp.		66,255
	1,848	Marsh & McLennan Cos., Inc.		95,763
	1,395	MetLife, Inc.		77,506
	1,415	Principal Financial Group, Inc.		71,429
	710	Torchmark Corp.		58,163
	2,256	XL Group PLC		73,839
				747,063
		Internet & Catalog Retail — 0.7%
	540	Amazon.com, Inc.(b)		175,381
	100	Priceline Group, Inc. (The)(b)		120,300
				295,681
		Internet Software & Services — 1.5%
	2,595	Facebook, Inc., Class A(b)		174,618
	413	Google, Inc., Class A(b)		241,469
	415	Google, Inc., Class C(b)		238,741
				654,828
		IT Services — 0.4%
	739	International Business Machines Corp.		133,958
	1,496	Paychex, Inc.		62,174
				196,132
		Leisure Products — 0.1%
	807	Hasbro, Inc.		42,811
		Machinery — 0.6%
	1,305	Caterpillar, Inc.		141,814
	578	Dover Corp.		52,569
	946	Illinois Tool Works, Inc.		82,832
				277,215
		Media — 1.8%
	3,668	Comcast Corp., Class A		196,898
	1,240	DIRECTV(b)		105,412
	678	Time Warner Cable, Inc.		99,869
	1,536	Time Warner, Inc.		107,904
	192	Time, Inc.(b)		4,650
	2,570	Twenty-First Century Fox, Inc., Class A		90,336
	2,490	Walt Disney Co. (The)		213,493
				818,562
		Multi-Utilities — 0.7%
	1,829	CMS Energy Corp.		56,973
	681	Consolidated Edison, Inc.		39,321
	1,289	Dominion Resources, Inc.		92,189
	1,716	NiSource, Inc.		67,508
	961	PG&E Corp.		46,147
				302,138

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Shares		Description	Value (†)
		Multiline Retail — 0.5%
	1,301	Macy’s, Inc.	$	75,484
	972	Nordstrom, Inc.		66,028
	1,362	Target Corp.		78,928
				220,440
		Oil, Gas & Consumable Fuels — 3.9%
	2,294	Chevron Corp.		299,482
	1,569	ConocoPhillips		134,510
	2,089	CONSOL Energy, Inc.		96,240
	1,438	EOG Resources, Inc.		168,045
	4,838	ExxonMobil Corp.		487,090
	646	Hess Corp.		63,883
	2,766	Kinder Morgan, Inc.		100,295
	1,123	Marathon Petroleum Corp.		87,672
	1,406	Murphy Oil Corp.		93,471
	1,607	Phillips 66		129,251
	2,654	Spectra Energy Corp.		112,742
				1,772,681
		Pharmaceuticals — 3.2%
	3,199	AbbVie, Inc.		180,552
	601	Actavis PLC(b)		134,053
	751	Allergan, Inc.		127,084
	4,596	Johnson & Johnson		480,833
	5,323	Merck & Co., Inc.		307,936
	1,688	Mylan, Inc.(b)		87,033
	4,209	Pfizer, Inc.		124,923
				1,442,414
		Professional Services — 0.1%
	681	Equifax, Inc.		49,400
		REITs – Apartments — 0.2%
	582	AvalonBay Communities, Inc.		82,755
		REITs – Diversified — 0.4%
	1,183	American Tower Corp.		106,447
	2,692	Weyerhaeuser Co.		89,078
				195,525
		REITs – Storage — 0.2%
	519	Public Storage		88,931
		REITs – Warehouse/Industrials — 0.2%
	2,007	ProLogis, Inc.		82,468
		Road & Rail — 0.6%
	2,687	CSX Corp.		82,786
	1,702	Union Pacific Corp.		169,775
				252,561

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 1.5%
	1,946	Analog Devices, Inc.	$	105,220
	3,814	Applied Materials, Inc.		86,006
	9,795	Intel Corp.		302,666
	1,006	Lam Research Corp.		67,985
	1,907	Microchip Technology, Inc.		93,081
				654,958
		Software — 1.8%
	1,876	Adobe Systems, Inc.(b)		135,747
	9,868	Microsoft Corp.		411,496
	6,792	Oracle Corp.		275,280
				822,523
		Specialty Retail — 0.7%
	82	AutoZone, Inc.(b)		43,972
	2,230	Home Depot, Inc. (The)		180,541
	1,967	Lowe’s Cos., Inc.		94,396
				318,909
		Technology Hardware, Storage & Peripherals — 2.2%
	7,672	Apple, Inc.		712,959
	4,015	EMC Corp.		105,755
	5,161	Hewlett-Packard Co.		173,823
				992,537
		Textiles, Apparel & Luxury Goods — 0.4%
	1,037	NIKE, Inc., Class B		80,419
	441	PVH Corp.		51,421
	702	Under Armour, Inc., Class A(b)		41,762
				173,602
		Thrifts & Mortgage Finance — 0.1%
	6,681	Hudson City Bancorp, Inc.		65,674
		Tobacco — 0.6%
	1,904	Philip Morris International, Inc.		160,526
	1,946	Reynolds American, Inc.		117,441
				277,967
		Trading Companies & Distributors — 0.0%
	209	NOW, Inc.(b)		7,568
		Total Common Stocks (Identified Cost $19,075,560)		21,140,709
	Exchange Traded Funds — 9.0%
	20,703	SPDR® S&P 500® ETF Trust (Identified Cost $3,800,885)		4,051,991

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

Principal Amount		Description	Value (†)
	Short-Term Investments — 39.8%
		Certificates of Deposit — 31.8%
$	800,000	Canadian Imperial Bank, 0.010%, 7/01/2014	$	800,000
	750,000	Royal Bank of Canada, 0.050%, 7/01/2014		750,000
	800,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014(c)		800,000
	600,000	Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014(c)		600,010
	600,000	Industrial & Commercial Bank of China, 0.340%, 7/09/2014(c)		600,000
	200,000	DNB Bank ASA (NY), 0.220%, 7/10/2014(c)		200,005
	600,000	Credit Industriel et Commercial, 0.250%, 7/15/2014(c)		600,016
	700,000	Agricultural Bank of China, 0.400%, 7/15/2014(c)		700,001
	300,000	China Construction Bank Corp. (NY), 0.380%, 7/22/2014(c)		300,001
	650,000	Sumitomo Mitsui Bank (NY), 0.210%, 7/29/2014(c)		650,016
	700,000	Credit Agricole, 0.130%, 8/01/2014(c)		700,000
	500,000	National Bank of Kuwait, 0.280%, 8/13/2014(c)		500,055
	600,000	Mizuho Corporate Bank, 0.210%, 8/14/2014(c)		600,007
	700,000	Standard Chartered Bank (NY), 0.230%, 8/26/2014(c)		700,111
	650,000	Banco Del Estado de Chile, 0.220%, 8/28/2014(c)		650,042
	700,000	Bank of Montreal (IL), 0.170%, 9/10/2014(c)		700,000
	350,000	Toronto Dominion Bank, 0.250%, 10/10/2014(c)		350,089
	700,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014(c)		699,811
	300,000	National Australia Bank, 0.223%, 10/23/2014(c)(d)		300,031
	700,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(c)		700,275
	400,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014(c)		400,075
	700,000	Norinchukin Bank, 0.250%, 11/14/2014(c)		700,000
	700,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(c)		699,968
	100,000	Societe Generale S.A., 0.280%, 2/02/2015(c)(d)(e)		99,989
	500,000	Rabobank Nederland (NY), 0.307%, 6/15/2015(c)(d)		499,903
				14,300,405
		Financial Company Commercial Paper — 8.0%
	550,000	Dexia Credit Local, 0.230%, 7/08/2014(c)(f)		549,983
	600,000	Societe Generale North America, 0.055%, 7/09/2014(c)(f)		599,993
	800,000	Swedbank, 0.130%, 7/30/2014(c)(f)		799,916
	700,000	ING (U.S.) Funding LLC, 0.200%, 9/04/2014(c)(f)		699,777
	250,000	Bank of Nova Scotia (NY), 0.205%, 9/22/2014(c)(f)		249,914
	700,000	General Electric Capital Corp., 0.180%, 12/11/2014(c)(f)		699,493
				3,599,076
		Total Short-Term Investments (Identified Cost $17,899,167)		17,899,481
		Total Investments — 95.8% (Identified Cost $40,775,612)(a)		43,092,181
		Other assets less liabilities — 4.2%		1,878,595
		Net Assets — 100.0%	$	44,970,776

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

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

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2014, the net unrealized appreciation on investments based on a cost of $40,775,612 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,387,421
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(70,852	)
	Net unrealized appreciation	$	2,316,569
(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 June 30, 2014 is disclosed.
(e)	Security payable on demand at par including accrued interest.
(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.
ETF	Exchange Traded Fund
REITs	Real Estate Investment Trusts
SPDR	Standard & Poor’s Depositary Receipt

At June 30, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		9/19/2014		326	$	31,825,750	$	249,243

Industry Summary at June 30, 2014 (Unaudited)

Exchange Traded Funds	9.0	%
Oil, Gas & Consumable Fuels	3.9
Pharmaceuticals	3.2
Banks	3.1
Technology Hardware, Storage & Peripherals	2.2
Other Investments, less than 2% each	34.6
Short-Term Investments	39.8
Total Investments	95.8
Other assets less liabilities (including futures contracts)	4.2
Net Assets	100.0	%

See accompanying notes to financial statements.

|  28

Statements of Assets and Liabilities

June 30, 2014 (Unaudited)

	ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	2,697,625,383		$	905,849,086		$	40,775,612
Net unrealized appreciation		119,027			38,065			2,316,569
Investments at value		2,697,744,410			905,887,151			43,092,181
Cash		14,992,507			42,316,906			158,718
Due from brokers (including variation margin on futures contracts) (Note 2)		205,802,957			70,958,378			1,309,853
Receivable for Fund shares sold		14,604,085			43,862,347			172,531
Dividends and interest receivable		884,601			306,567			47,318
Unrealized appreciation on forward foreign currency contracts (Note 2)		528,088			2,420,860			—
Unrealized appreciation on futures contracts (Note 2)		19,486,909			23,223,920			249,243
TOTAL ASSETS		2,954,043,557			1,088,976,129			45,029,844
LIABILITIES
Payable for Fund shares redeemed		4,551,237			305,120			2,645
Unrealized depreciation on forward foreign currency contracts (Note 2)		10,590,859			1,128,952			—
Unrealized depreciation on futures contracts (Note 2)		13,375,510			5,701,316			—
Management fees payable (Note 6)		2,693,699			996,404			24,399
Deferred Trustees’ fees (Note 6)		93,311			49,761			5,811
Administrative fees payable (Note 6)		113,865			60,401			1,545
Payable to distributor (Note 6d)		15,070			17,197			1,691
Other accounts payable and accrued expenses		225,816			62,474			22,977
TOTAL LIABILITIES		31,659,367			8,321,625			59,068
NET ASSETS	$	2,922,384,190		$	1,080,654,504		$	44,970,776
NET ASSETS CONSIST OF:
Paid-in capital	$	2,893,699,506		$	1,081,018,406		$	40,849,412
Accumulated net investment (loss)/Undistributed net investment income		(15,316,249	)		(6,446,932	)		15,122
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		47,833,302			(12,769,522	)		1,540,430
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(3,832,369	)		18,852,552			2,565,812
NET ASSETS	$	2,922,384,190		$	1,080,654,504		$	44,970,776

See accompanying notes to financial statements.

29  |

Statements of Assets and Liabilities (continued)

June 30, 2014 (Unaudited)

	ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)		ASG Tactical U.S. Market Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	236,580,800		$	129,460,418	$	928,755
Shares of beneficial interest		21,183,846			12,177,504		80,063
Net asset value and redemption price per share	$	11.17		$	10.63	$	11.60
Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.85		$	11.28	$	12.31
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	92,400,500		$	20,829,386	$	634,257
Shares of beneficial interest		8,629,583			2,009,265		54,974
Net asset value and offering price per share	$	10.71		$	10.37	$	11.54
Class N shares:
Net assets	$	1,102		$	—	$	—
Shares of beneficial interest		98			—		—
Net asset value, offering and redemption price per share	$	11.27	**	$	—	$	—
Class Y shares:
Net assets	$	2,593,401,788		$	930,364,700	$	43,407,764
Shares of beneficial interest		229,878,368			87,268,954		3,734,497
Net asset value, offering and redemption price per share	$	11.28		$	10.66	$	11.62

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

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

See accompanying notes to financial statements.

|  30

Statements of Operations

For the Six Months Ended June 30, 2014 (Unaudited)

	ASG Global Alternatives Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	2,840,554		$	861,393		$	14,160
Dividends		—			—			211,465
		2,840,554			861,393			225,625
Expenses
Management fees (Note 6)		15,206,247			5,654,451			143,959
Service and distribution fees (Note 6)		706,899			245,629			1,744
Administrative fees (Note 6)		616,261			271,130			7,828
Trustees’ and directors’ fees and expenses (Note 6)		37,645			22,832			7,719
Transfer agent fees and expenses (Notes 6 and 7)		977,440			620,554			12,094
Audit and tax services fees		34,158			32,380			16,634
Custodian fees and expenses		50,646			90,921			16,138
Interest expense (Note 10)		217,636			129,403			—
Legal fees		15,738			5,191			158
Registration fees		122,035			64,075			36,238
Shareholder reporting expenses		51,830			37,663			180
Miscellaneous expenses		34,685			18,055			5,863
Total expenses		18,071,220			7,192,284			248,555
Less waiver and/or expense reimbursement (Note 6)		(14	)		(258,088	)		(39,845	)
Net expenses		18,071,206			6,934,196			208,710
Net investment income (loss)		(15,230,652	)		(6,072,803	)		16,915
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		42,136			9,919			(160,819	)
Futures contracts		150,174,859			83,398,506			2,280,203
Foreign currency transactions		(3,500,541	)		(8,473,621	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		21,447			7,233			1,470,281
Futures contracts		(51,391,754	)		(15,546,358	)		(329,307	)
Foreign currency translations		(20,780,809	)		(2,099,668	)		—
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		74,565,338			57,296,011			3,260,358
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	59,334,686		$	51,223,208		$	3,277,273

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

See accompanying notes to financial statements.

31  |

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|  32

Statements of Changes in Net Assets

	ASG Global Alternatives Fund (Consolidated*)
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(15,230,652	)	$	(18,312,969	)
Net realized gain on investments, futures contracts and foreign currency transactions		146,716,454			184,366,460
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(72,151,116	)		68,659,194
Net increase in net assets resulting from operations		59,334,686			234,712,685
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(193,099	)
Class Y		—			(6,293,230	)
Net realized capital gains
Class A		(6,898,919	)		(12,878,022	)
Class C		(2,937,210	)		(6,465,274	)
Class N		(33	)		(61	)
Class Y		(77,197,372	)		(146,281,079	)
Total distributions		(87,033,534	)		(172,110,765	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		506,944,384			1,180,857,664
Net increase in net assets		479,245,536			1,243,459,584
NET ASSETS
Beginning of the period		2,443,138,654			1,199,679,070
End of the period	$	2,922,384,190		$	2,443,138,654
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(15,316,249	)	$	(85,597	)

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

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

See accompanying notes to financial statements.

33  |

Statements of Changes in Net Assets (continued)

ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013			Six Months Ended June 30, 2014 (Unaudited)			Period Ended December 31, 2013(a)
$	(6,072,803	)	$	(10,134,283	)	$	16,915		$	(6,010	)
	74,934,804			75,477,499			2,119,384			823,676
	(17,638,793	)		27,333,697			1,140,974			1,424,838
	51,223,208			92,676,913			3,277,273			2,242,504
	—			—			—			—
	—			(13,582	)		—			—
	(1,120,489	)		—			(4,364	)		(697	)
	(181,766	)		—			(7,508	)		(183	)
	—			—			—			—
	(7,393,823	)		—			(844,370	)		(545,196	)
	(8,696,078	)		(13,582	)		(856,242	)		(546,076	)
	198,146,965			(13,315,443	)		19,918,692			20,934,625
	240,674,095			79,347,888			22,339,723			22,631,053
	839,980,409			760,632,521			22,631,053			—
$	1,080,654,504		$	839,980,409		$	44,970,776		$	22,631,053
$	(6,446,932	)	$	(374,129	)	$	15,122		$	(1,793	)

See accompanying notes to financial statements.

|  34

Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
ASG GLOBAL ALTERNATIVES FUND (CONSOLIDATED*)
Class A
6/30/2014(h)	$	11.33	$	(0.07	)	$	0.26		$	0.19		$	—		$	(0.35	)	$	(0.35	)
12/31/2013		10.62		(0.15	)		1.79			1.64			(0.02	)		(0.91	)		(0.93	)
12/31/2012		10.26		(0.14	)		0.50			0.36			—			—			—
12/31/2011		10.67		(0.14	)		(0.21	)		(0.35	)		—			(0.06	)		(0.06	)
12/31/2010		10.39		(0.14	)		0.86			0.72			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.69		(0.14	)		1.01			0.87			(0.12	)		(0.05	)		(0.17	)
Class C
6/30/2014(h)		10.92		(0.11	)		0.25			0.14			—			(0.35	)		(0.35	)
12/31/2013		10.32		(0.23	)		1.74			1.51			—			(0.91	)		(0.91	)
12/31/2012		10.05		(0.21	)		0.48			0.27			—			—			—
12/31/2011		10.53		(0.22	)		(0.20	)		(0.42	)		—			(0.06	)		(0.06	)
12/31/2010		10.33		(0.21	)		0.85			0.64			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.22	)		1.01			0.79			(0.11	)		(0.05	)		(0.16	)
Class N
6/30/2014(h)		11.42		(0.06	)		0.26			0.20			—			(0.35	)		(0.35	)
12/31/2013(j)		11.20		(0.09	)		0.99			0.90			—			(0.68	)		(0.68	)
Class Y
6/30/2014(h)		11.43		(0.06	)		0.26			0.20			—			(0.35	)		(0.35	)
12/31/2013		10.72		(0.13	)		1.82			1.69			(0.07	)		(0.91	)		(0.98	)
12/31/2012		10.34		(0.11	)		0.49			0.38			—			—			—
12/31/2011		10.72		(0.12	)		(0.20	)		(0.32	)		—			(0.06	)		(0.06	)
12/31/2010		10.41		(0.11	)		0.86			0.75			(0.00	)		(0.44	)		(0.44	)
12/31/2009		9.70		(0.09	)		0.98			0.89			(0.13	)		(0.05	)		(0.18	)

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

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

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

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

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

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

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

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

(h) For the six months ended June 30, 2014 (Unaudited).

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

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

See accompanying notes to financial statements.

35  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses including interest expense (%) (e)(f)			Gross expenses including interest expense (%) (f)			Net expenses, excluding interest expense (%) (e)(f)			Gross expenses, excluding interest expense (%) (f)			Net investment loss (%) (f)			Portfolio turnover rate (%) (g)
	$11.17		1.82		$	236,581		1.55			1.55			1.53			1.53			(1.34	)		—
	11.33		15.69			189,313		1.58			1.58			1.57			1.57			(1.35	)		—
	10.62		3.51			126,226		1.61	(i)		1.61	(i)		1.60	(i)		1.60	(i)		(1.34	)		—
	10.26		(3.29	)		280,353		1.61			1.61			1.60			1.60			(1.34	)		—
	10.67		6.94			204,313		1.61			1.67			1.60			1.66			(1.28	)		—
	10.39		8.95			82,160		1.61			1.92			1.60			1.92			(1.33	)		—
	10.71		1.42			92,401		2.30			2.30			2.28			2.28			(2.09	)		—
	10.92		14.86			85,323		2.33			2.33			2.32			2.32			(2.10	)		—
	10.32		2.69			71,227		2.36	(i)		2.36	(i)		2.35	(i)		2.35	(i)		(2.10	)		—
	10.05		(4.00	)		92,540		2.36			2.36			2.35			2.35			(2.09	)		—
	10.53		6.21			66,832		2.36			2.42			2.35			2.42			(2.03	)		—
	10.33		8.09			22,367		2.36			2.65			2.35			2.64			(2.08	)		—
	11.27		1.89			1		1.31			4.01			1.30			4.00			(1.10	)		—
	11.42		8.05			1		1.32			3.22			1.30			3.20			(1.12	)		—
	11.28		1.89			2,593,402		1.30			1.30			1.28			1.28			(1.09	)		—
	11.43		16.05			2,168,502		1.33			1.33			1.32			1.32			(1.10	)		—
	10.72		3.68			1,002,226		1.36	(i)		1.36	(i)		1.35	(i)		1.35	(i)		(1.10	)		—
	10.34		(3.00	)		1,071,912		1.36			1.37			1.35			1.36			(1.09	)		—
	10.72		7.22			343,236		1.36			1.42			1.35			1.41			(1.03	)		—
	10.41		9.10			112,591		1.36			2.00			1.35			1.98			(0.90	)		—

See accompanying notes to financial statements.

|  36

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
ASG MANAGED FUTURES STRATEGY FUND (CONSOLIDATED*)
Class A
6/30/2014(h)	$	10.25	$	(0.08	)	$	0.55		$	0.47		$	—		$	(0.09	)	$	(0.09	)
12/31/2013		9.11		(0.14	)		1.28			1.14			—			—			—
12/31/2012		10.34		(0.14	)		(1.00	)		(1.14	)		(0.09	)		—			(0.09	)
12/31/2011		10.61		(0.16	)		0.19	(i)		0.03			(0.30	)		—			(0.30	)
12/31/2010(j)		10.00		(0.07	)		1.41			1.34			(0.33	)		(0.40	)		(0.73	)
Class C
6/30/2014(h)		10.03		(0.11	)		0.54			0.43			—			(0.09	)		(0.09	)
12/31/2013		8.99		(0.21	)		1.25			1.04			—			—			—
12/31/2012		10.25		(0.21	)		(0.99	)		(1.20	)		(0.06	)		—			(0.06	)
12/31/2011		10.58		(0.24	)		0.19	(i)		(0.05	)		(0.28	)		—			(0.28	)
12/31/2010(j)		10.00		(0.10	)		1.40			1.30			(0.32	)		(0.40	)		(0.72	)
Class Y
6/30/2014(h)		10.26		(0.06	)		0.55			0.49			—			(0.09	)		(0.09	)
12/31/2013		9.10		(0.12	)		1.28			1.16			(0.00	)		—			(0.00	)
12/31/2012		10.34		(0.12	)		(1.00	)		(1.12	)		(0.12	)		—			(0.12	)
12/31/2011		10.60		(0.13	)		0.19	(i)		0.06			(0.32	)		—			(0.32	)
12/31/2010(j)		10.00		(0.06	)		1.40			1.34			(0.34	)		(0.40	)		(0.74	)
ASG TACTICAL U.S. MARKET FUND
Class A
6/30/2014(h)	$	11.02	$	(0.00	)	$	0.83		$	0.83		$	—		$	(0.25	)	$	(0.25	)
12/31/2013(k)		10.00		(0.01	)		1.31			1.30			—			(0.28	)		(0.28	)
Class C
6/30/2014(h)		11.00		(0.05	)		0.84			0.79			—			(0.25	)		(0.25	)
12/31/2013(k)		10.00		(0.03	)		1.31			1.28			—			(0.28	)		(0.28	)
Class Y
6/30/2014(h)		11.03		0.01			0.83			0.84			—			(0.25	)		(0.25	)
12/31/2013(k)		10.00		(0.00	)		1.31			1.31			—			(0.28	)		(0.28	)

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

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

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

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

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

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

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

See accompanying notes to financial statements.

37  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses, including interest expense (%) (e)(f)		Gross expenses, including interest expense (%) (f)		Net expenses, excluding interest expense (%) (e)(f)		Gross expenses, excluding interest expense (%) (f)		Net investment income (loss) (%) (f)			Portfolio turnover rate (%) (g)
$	10.63		4.70		$	129,460		1.73		1.78		1.70		1.75		(1.54	)		—
	10.25		12.51			125,903		1.73		1.78		1.70		1.75		(1.51	)		—
	9.11		(11.09	)		145,729		1.73		1.80		1.70		1.77		(1.49	)		—
	10.34		0.25			312,098		1.71		1.78		1.70		1.76		(1.47	)		—
	10.61		13.44			6,511		1.73		2.78		1.70		2.75		(1.43	)		—
	10.37		4.41			20,829		2.48		2.53		2.45		2.50		(2.29	)		—
	10.03		11.57			18,770		2.48		2.53		2.45		2.50		(2.26	)		—
	8.99		(11.74	)		21,891		2.48		2.55		2.45		2.52		(2.24	)		—
	10.25		(0.51	)		24,838		2.46		2.56		2.45		2.54		(2.22	)		—
	10.58		13.04			2,357		2.47		3.31		2.45		3.29		(2.17	)		—
	10.66		4.89			930,365		1.48		1.54		1.45		1.51		(1.29	)		—
	10.26		12.75			695,307		1.48		1.53		1.45		1.51		(1.26	)		—
	9.10		(10.90	)		593,013		1.48		1.56		1.45		1.52		(1.24	)		—
	10.34		0.57			410,166		1.46		1.57		1.45		1.56		(1.22	)		—
	10.60		13.39			49,803		1.48		2.68		1.45		2.65		(1.20	)		—
$	11.60		7.74		$	929		1.40		1.66		1.40		1.66		(0.02	)		43
	11.02		12.96			29		1.40		2.21		1.40		2.21		(0.38	)		13
	11.54		7.39			634		2.15		2.42		2.15		2.42		(0.83	)		43
	11.00		12.76			8		2.15		2.80		2.15		2.80		(1.00	)		13
	11.62		7.83			43,408		1.15		1.37		1.15		1.37		0.10			43
	11.03		13.06			22,595		1.15		1.93		1.15		1.93		(0.13	)		13

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

(h) For the six months ended June 30, 2014 (Unaudited).

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

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

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

See accompanying notes to financial statements.

|  38

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

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

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

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

Each Fund is a diversified investment company.

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

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

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

39  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

As of June 30, 2014, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Investment in Subsidiary		Percentage of Net Assets
Global Alternatives Fund	$	39,333,090		1.3	%
Managed Futures Strategy Fund		58,943,045		5.5	%

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

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

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

Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value). Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. 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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

quotations on the applicable NASDAQ Market. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

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

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

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

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

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

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

h.  Federal and Foreign Income Taxes.  The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2014, at value:

Global Alternatives Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	2,697,744,410	$	—	$	2,697,744,410
Forward Foreign Currency Contracts (unrealized appreciation)		—		528,088		—		528,088
Futures Contracts (unrealized appreciation)		19,486,909		—		—		19,486,909
Total	$	19,486,909	$	2,698,272,498	$	—	$	2,717,759,407

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Global Alternatives Fund (continued)

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(10,590,859	)	$	—	$	(10,590,859	)
Futures Contracts (unrealized depreciation)		(13,375,510	)		—			—		(13,375,510	)
Total	$	(13,375,510	)	$	(10,590,859	)	$	—	$	(23,966,369	)

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

Managed Futures Strategy Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	905,887,151	$	—	$	905,887,151
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,420,860		—		2,420,860
Futures Contracts (unrealized appreciation)		23,223,920		—		—		23,223,920
Total	$	23,223,920	$	908,308,011	$	—	$	931,531,931

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,128,952	)	$	—	$	(1,128,952	)
Futures Contracts (unrealized depreciation)		(5,701,316	)		—			—		(5,701,316	)
Total	$	(5,701,316	)	$	(1,128,952	)	$	—	$	(6,830,268	)

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Tactical U.S. Market Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	21,140,709	$	—	$	—	$	21,140,709
Exchange Traded Funds		4,051,991		—		—		4,051,991
Short-Term Investments(a)		—		17,899,481		—		17,899,481
Total Investments		25,192,700		17,899,481		—		43,092,181
Futures Contracts (unrealized appreciation)		249,243		—		—		249,243
Total	$	25,441,943	$	17,899,481	$	—	$	43,341,424

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

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

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 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.

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 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.

Tactical U.S. Market 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. During the six months ended June 30, 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 Global Alternatives Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	528,088	$	—	$	528,088
Exchange traded asset derivatives
Interest rate contracts	$	—	$	4,540,944	$	4,540,944
Equity contracts		—		11,494,477		11,494,477
Commodity contracts		—		3,451,488		3,451,488
Total exchange traded asset derivatives	$	—	$	19,486,909	$	19,486,909
Total asset derivatives	$	528,088	$	19,486,909	$	20,014,997

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	10,590,859	$	—	$	10,590,859
Exchange traded liability derivatives
Interest rate contracts	$	—	$	718,918	$	718,918
Equity contracts		—		7,277,091		7,277,091
Commodity contracts		—		5,379,501		5,379,501
Total exchange traded liability derivatives	$	—	$	13,375,510	$	13,375,510
Total liability derivatives	$	10,590,859	$	13,375,510	$	23,966,369

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	12,744,232		$	—
Foreign exchange contracts		—			3,802,020
Equity contracts		129,044,746			—
Commodity contracts		8,385,881			—
Total	$	150,174,859		$	3,802,020
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	8,169,463		$	—
Foreign exchange contracts		—			(20,780,465	)
Equity contracts		(58,817,331	)		—
Commodity contracts		(743,886	)		—
Total	$	(51,391,754	)	$	(20,780,465	)

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	2,420,860	$	—	$	2,420,860
Exchange traded asset derivatives
Interest rate contracts	$	—	$	13,751,343	$	13,751,343
Equity contracts		—		4,299,152		4,299,152
Commodity contracts		—		5,173,425		5,173,425
Total exchange traded asset derivatives	$	—	$	23,223,920	$	23,223,920
Total asset derivatives	$	2,420,860	$	23,223,920	$	25,644,780
Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	1,128,952	$	—	$	1,128,952
Exchange traded liability derivatives
Interest rate contracts	$	—	$	569,250	$	569,250
Equity contracts		—		2,443,085		2,443,085
Commodity contracts		—		2,688,981		2,688,981
Total exchange traded liability derivatives	$	—	$	5,701,316	$	5,701,316
Total liability derivatives	$	1,128,952	$	5,701,316	$	6,830,268

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	46,272,797		$	—
Foreign exchange contracts		—			(8,580,436	)
Equity contracts		44,505,579			—
Commodity contracts		(7,379,870	)		—
Total	$	83,398,506		$	(8,580,436	)
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	13,373,006		$	—
Foreign exchange contracts		—			(2,107,803	)
Equity contracts		(31,498,456	)		—
Commodity contracts		2,579,092			—
Total	$	(15,546,358	)	$	(2,107,803	)

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

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on futures contracts
Exchange traded asset derivatives
Equity contracts	$	249,243

Transactions in derivative instruments for Tactical U.S. Market Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts
Equity contracts	$	2,280,203
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Equity contracts	$	(329,307	)

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

Global Alternatives Fund	Forwards			Futures
Average Notional Amount Outstanding		40.08	%		130.86	%
Highest Notional Amount Outstanding		74.51	%		161.07	%
Lowest Notional Amount Outstanding		26.94	%		105.36	%
Notional Amount Outstanding as of June 30, 2014		26.94	%		137.29	%
Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		156.21	%		874.40	%
Highest Notional Amount Outstanding		247.78	%		1,300.18	%
Lowest Notional Amount Outstanding		25.31	%		566.51	%
Notional Amount Outstanding as of June 30, 2014		25.31	%		566.51	%
Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding		71.46	%
Highest Notional Amount Outstanding		73.81	%
Lowest Notional Amount Outstanding		69.69	%
Notional Amount Outstanding as of June 30, 2014		70.77	%

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

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

not offset derivative assets and liabilities, and any related collateral pledged, on the Statements of Assets and Liabilities.

As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Alternatives Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	528,088		$	(528,088	)	$	—		$	—	$	—
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(10,590,859	)	$	528,088		$	(10,062,771	)	$	10,062,771	$	—
Managed Futures Strategy Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	2,420,860		$	(1,128,952	)	$	1,291,908		$	—	$	1,291,908	(a)
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(1,128,952	)	$	1,128,952		$	—		$	—	$	—

(a) In lieu of receiving cash collateral for its net exposure to the counterparty, the Fund’s unrealized gains are used to satisfy the independent amount of collateral required by the counterparty for open contracts.

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2014, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

Fund	Independent Amount of Collateral		Increase (Decrease) for Change in Value			Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	16,491,044	$	10,011,797		$	26,502,841	$	26,238,496	$	(264,345	)
Managed Futures Strategy Fund	$	5,593,914	$	(1,450,129	)	$	4,143,785	$	3,698,540	$	(445,245	)

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, each as of June 30, 2014:

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	528,088	$	—
Collateral pledged to UBS AG		26,238,495		26,238,495
Total over-the-counter counterparty credit risk		26,766,583		26,238,495
Exchange traded counterparty credit risk
Futures contracts		19,486,909		19,486,909
Margin with brokers		179,692,081		179,692,081
Total exchange traded counterparty credit risk		199,178,990		199,178,990
Total counterparty credit risk	$	225,945,573	$	225,417,485
Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	2,420,860	$	1,291,908
Collateral pledged to UBS AG		3,698,539		3,698,539
Total over-the-counter counterparty credit risk		6,119,399		4,990,447
Exchange traded counterparty credit risk
Futures contracts		23,223,920		23,223,920
Margin with brokers		67,344,084		67,344,084
Total exchange traded counterparty credit risk		90,568,004		90,568,004
Total counterparty credit risk	$	96,687,403	$	95,558,451
Tactical U.S. Market Fund
Exchange traded counterparty credit risk
Futures contracts	$	249,243	$	249,243
Margin with brokers		1,309,853		1,309,853
Total exchange traded counterparty credit risk	$	1,559,096	$	1,559,096

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2014, purchases and proceeds from sales or maturities of short-term investments were as follows:

Fund	Purchases		Sales/Maturities
Global Alternatives Fund	$	36,679,342,737	$	36,243,146,638
Managed Futures Strategy Fund		12,180,653,564		11,977,572,866

For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases		Sales
Tactical U.S. Market Fund	$	19,560,283	$	8,710,554

6.  Management Fees and Other Transactions with Affiliates.

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

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

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

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

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

Additionally, AlphaSimplex has entered into a subadvisory agreement with NGAM Advisors (through its division, Active Investment Advisors), on behalf of Tactical U.S.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Market Fund. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.10% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by NGAM Advisors.

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

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

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

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

For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Global Alternatives Fund	$	15,206,247	$	—	$	15,206,247		1.14	%		1.14	%
Managed Futures Strategy Fund		5,654,451		258,088		5,396,363		1.25	%		1.19	%
Tactical U.S. Market Fund		143,959		39,845		104,114		0.80	%		0.58	%

¹ Management fee waivers are subject to possible recovery until December 31, 2015.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, class specific expenses have been reimbursed as follows:

Fund	Reimbursement2 Class N
Global Alternatives Fund	$	14

² Expense reimbursements are subject to possible recovery until December 31, 2015.

No expenses were recovered for any of the Funds during the six months ended June 30, 2014 under the terms of the expense limitation agreements.

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

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

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

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

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

For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Global Alternatives Fund	$	268,062	$	109,709	$	329,128
Managed Futures Strategy Fund		151,160		23,617		70,852
Tactical U.S. Market Fund		281		366		1,097

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

For the six months ended June 30, 2014, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees Paid to NGAM Advisors
Global Alternatives Fund	$	582,010
Managed Futures Strategy Fund		196,848
Tactical U.S. Market Fund		7,828

Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the

59  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Global Alternatives Fund	$	583,405
Managed Futures Strategy Fund		587,274
Tactical U.S. Market Fund		11,600

As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Global Alternatives Fund	$	15,070
Managed Futures Strategy Fund		17,197
Tactical U.S. Market Fund		1,691

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 were as follows:

Fund	Commissions
Global Alternatives Fund	$	142,507
Managed Futures Strategy Fund		54,793
Tactical U.S. Market Fund		4,813

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at an annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

g.  Affiliated Ownership.  As of June 30, 2014, Natixis US held shares of Global Alternatives Fund and Tactical U.S. Market Fund representing less than 0.01% and 40.67% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Global Alternatives Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2016.

61  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

7.  Class-Specific Transfer Agent Fees and Expenses.  For the six months ended June 30, 2014, Global Alternatives Fund incurred the following class-specific transfer agent fees and expenses:

Fund	Class A		Class C		Class N		Class Y
Transfer Agent Fees and Expenses	$	78,313	$	32,106	$	15	$	867,006

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

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

For the six months ended June 30, 2014, none of the Funds had borrowings under this agreement.

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

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

10.  Interest Expense.  Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2014 is reflected on the Statements of Operations.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than

|  62

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

Fund	Number of >5% Non-Affiliated Account Shareholders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Global Alternatives Fund		2		45.08	%		0.00	%*		45.08	%
Managed Futures Strategy Fund		2		25.33	%		—			25.33	%
Tactical U.S. Market Fund		1		51.88	%		40.67	%		92.55	%

* Represents less than 0.01% of the Fund’s net assets.

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

	Six Months Ended June 30, 2014					Year Ended December 31, 2013*
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	6,856,155		$	75,893,439		9,255,476		$	105,133,683
Issued in connection with the reinvestment of distributions	588,519			6,338,344		1,078,510			12,091,299
Redeemed	(2,973,501	)		(32,885,863	)	(5,509,604	)		(61,053,583	)
Net change	4,471,173		$	49,345,920		4,824,382		$	56,171,399
Class C
Issued from the sale of shares	1,480,855		$	15,758,503		2,213,016		$	24,377,767
Issued in connection with the reinvestment of distributions	158,144			1,635,212		332,687			3,596,587
Redeemed	(826,362	)		(8,766,657	)	(1,630,903	)		(17,586,855	)
Net change	812,637		$	8,627,058		914,800		$	10,387,499
Class N
Issued from the sale of shares	—	(a)	$	1		90		$	1,000
Issued in connection with the reinvestment of distributions	3			33		5			61
Redeemed	—			—		—			—
Net change	3		$	34		95		$	1,061
Class Y
Issued from the sale of shares	69,447,857		$	777,767,389		136,977,976		$	1,571,204,245
Issued in connection with the reinvestment of distributions	3,242,468			35,245,561		7,103,742			79,970,492
Redeemed	(32,611,438	)		(364,041,578	)	(47,757,768	)		(536,877,032	)
Net change	40,078,887		$	448,971,372		96,323,950		$	1,114,297,705
Increase (decrease) from capital share transactions	45,362,700		$	506,944,384		102,063,227		$	1,180,857,664

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

(a) Amount rounds to less than one share.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

12.  Capital Shares (continued).

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,091,479		$	31,255,055		5,560,803		$	53,140,778
Issued in connection with the reinvestment of distributions	105,677			1,044,086		—			—
Redeemed	(3,305,394	)		(33,483,091	)	(9,269,437	)		(88,138,943	)
Net change	(108,238	)	$	(1,183,950	)	(3,708,634	)	$	(34,998,165	)
Class C
Issued from the sale of shares	439,681		$	4,343,788		668,726		$	6,337,507
Issued in connection with the reinvestment of distributions	10,984			105,991		—			—
Redeemed	(312,294	)		(3,069,727	)	(1,233,925	)		(11,633,458	)
Net change	138,371		$	1,380,052		(565,199	)	$	(5,295,951	)
Class Y
Issued from the sale of shares	31,047,872		$	314,773,962		37,299,578		$	357,017,117
Issued in connection with the reinvestment of distributions	693,884			6,876,392		1,192			12,231
Redeemed	(12,213,763	)		(123,699,491	)	(34,714,808	)		(330,050,675	)
Net change	19,527,993		$	197,950,863		2,585,962		$	26,978,673
Increase (decrease) from capital share transactions	19,558,126		$	198,146,965		(1,687,871	)	$	(13,315,443	)

65  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

12.  Capital Shares (continued).

	Six Months Ended June 30, 2014					Period Ended December 31, 2013*
Tactical U.S. Market Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	78,454		$	888,188		2,909		$	29,541
Issued in connection with the reinvestment of distributions	384			4,137		63			697
Redeemed	(1,372	)		(15,322	)	(375	)		(4,095	)
Net change	77,466		$	877,003		2,597		$	26,143
Class C
Issued from the sale of shares	53,633		$	592,976		665		$	7,001
Issued in connection with the reinvestment of distributions	700			7,508		17			183
Redeemed	(41	)		(436	)	—			—
Net change	54,292		$	600,048		682		$	7,184
Class Y
Issued from the sale of shares	1,755,816		$	19,248,215		2,016,489		$	20,544,458
Issued in connection with the reinvestment of distributions	78,326			844,352		49,426			542,699
Redeemed	(148,563	)		(1,650,926	)	(16,997	)		(185,859	)
Net change	1,685,579		$	18,441,641		2,048,918		$	20,901,298
Increase (decrease) from capital share transactions	1,817,337		$	19,918,692		2,052,197		$	20,934,625

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

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SEMIANNUAL REPORT

June 30, 2014

ASG Diversifying Strategies Fund

TABLE OF CONTENTS

ASG DIVERSIFYING STRATEGIES FUND

Managers	Symbols
Andrew W. Lo, PhD	Class A    DSFAX
Alexander D. Healy, PhD	Class C    DSFCX
Peter A. Lee	Class Y    DSFYX
Philippe P. Lüdi, CFA®, PhD
Robert W. Sinnott
AlphaSimplex Group, LLC (Adviser)
Robert S. Rickard
Reich & Tang Asset Management, LLC (Subadviser)

Objective

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

Average Annual Total Returns—June 30, 2014⁴

	6 Months			1 Year			Life of Fund
Class A (Inception 8/3/09)
NAV		-1.57	%		-3.21	%		-1.16	%
With 5.75% Maximum Sales Charge		-7.18			-8.74			-2.34
Class C (Inception 8/3/09)
NAV		-1.86			-4.00			-1.90
With CDSC1		-2.84			-4.96			-1.90
Class Y (Inception 8/3/09)
NAV		-1.56			-3.19			-0.96
Comparative Performance
3-Month LIBOR2		0.12			0.26			0.35
Barclay Fund of Funds Index3		1.86			7.34			3.61

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

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

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

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

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

1  |

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the 12 months ended June 30, 2014 is available on the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

ASG DIVERSIFYING STRATEGIES FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$984.30		$8.86
Hypothetical (5% return before expenses)		$1,000.00		$1,015.87		$9.00
Class C
Actual		$1,000.00		$981.40		$12.48
Hypothetical (5% return before expenses)		$1,000.00		$1,012.20		$12.67
Class Y
Actual		$1,000.00		$984.40		$7.53
Hypothetical (5% return before expenses)		$1,000.00		$1,017.21		$7.65

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.80%, 2.54% and 1.53% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

3  |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

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

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

|  4

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

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

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

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

Investment performance of the Fund and the Advisers. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of peer groups and categories of funds and the Fund’s respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis.

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

5  |

improvement relative to its category; or (3) that the Fund is meeting its targets for volatility and equity market correlation.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory and sub-advisory services as well as the total expense levels of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for the Fund, and they considered the amounts waived or reimbursed by the adviser under these caps for the Fund.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to the Fund were fair and reasonable, and that the costs of these services generally and the

related profitability of the Advisers and their affiliates in respect of their relationships with the Fund supported the renewal of the Agreements.

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

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

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

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

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

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.

7  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Diversifying Strategies Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 84.0% of Net Assets
		Certificates of Deposit — 50.9%
$	500,000	Canadian Imperial Bank, 0.010%, 7/01/2014	$	500,000
	350,000	Royal Bank of Canada, 0.050%, 7/01/2014		350,000
	500,000	Credit Agricole, 0.070%, 7/01/2014		500,000
	450,000	Industrial & Commercial Bank of China, 0.340%, 7/09/2014		450,000
	500,000	DNB Bank ASA (NY), 0.220%, 7/10/2014		500,014
	600,000	Bank of Montreal (IL), 0.150%, 7/15/2014		600,017
	400,000	Credit Industriel et Commercial, 0.250%, 7/15/2014		400,011
	250,000	Agricultural Bank of China, 0.400%, 7/15/2014		250,000
	500,000	Mitsubishi UFJ Trust and Banking Corp., 0.200%, 8/11/2014(b)		500,011
	500,000	Sumitomo Mitsui Bank (NY), 0.210%, 9/10/2014		499,980
	500,000	Mizuho Corporate Bank, 0.210%, 10/02/2014		499,974
	450,000	Banco Del Estado de Chile, 0.231%, 11/10/2014(b)(c)		450,000
	600,000	Norinchukin Bank, 0.250%, 11/14/2014		600,000
	500,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014		499,978
				6,599,985
		Financial Company Commercial Paper — 26.2%
	500,000	ING (U.S.) Funding LLC, 0.150%, 7/03/2014(d)		499,996
	450,000	Dexia Credit Local, 0.180%, 7/08/2014(d)		449,986
	500,000	Societe Generale North America, 0.055%, 7/09/2014(d)		499,994
	500,000	Oversea-Chinese Banking Corp. Ltd., 0.130%, 7/14/2014(d)		499,977
	500,000	General Electric Capital Corp., 0.050%, 7/15/2014(d)		499,990
	500,000	Bank of Nova Scotia (NY), 0.150%, 8/06/2014(d)		499,951
	450,000	Swedbank, 0.170%, 8/19/2014(b)(d)		449,929
				3,399,823
		Commercial Paper — 6.9%
	400,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.390%, 7/14/2014(d)		399,944
	500,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(d)		499,965
				899,909
		Total Short-Term Investments (Identified Cost $10,899,698)		10,899,717
		Total Investments — 84.0% (Identified Cost $10,899,698)(a)		10,899,717
		Other assets less liabilities — 16.0%		2,080,897
		Net Assets — 100.0%	$	12,980,614

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $10,899,698 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	$	87
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(68	)
	Net unrealized appreciation	$	19
	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 June 30, 2014 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

At June 30, 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		9/17/2014	Australian Dollar		1,300,000	$	1,219,177	$	20,742
Sell		9/17/2014	Australian Dollar		200,000		187,566		(672	)
Buy		9/17/2014	British Pound		62,500		106,895		959
Sell		9/17/2014	British Pound		125,000		213,791		(4,390	)
Buy		9/17/2014	Canadian Dollar		300,000		280,619		7,059
Sell		9/17/2014	Canadian Dollar		100,000		93,540		(2,142	)
Sell		9/17/2014	Euro		250,000		342,424		(1,475	)
Sell		9/17/2014	Japanese Yen		37,500,000		370,374		(4,325	)
Buy		9/17/2014	New Zealand Dollar		2,100,000		1,825,485		70,087
Sell		9/17/2014	New Zealand Dollar		400,000		347,711		(2,727	)
Buy		9/17/2014	Norwegian Krone		2,000,000		325,112		(7,333	)
Buy		9/17/2014	Swiss Franc		125,000		141,049		1,250
Sell		9/17/2014	Swiss Franc		500,000		564,194		(5,391	)
Total								$	71,642

¹Counterparty is UBS AG.

At June 30, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		7/18/2014		3	$	339,518	$	(739	)
E-mini Dow		9/19/2014		20		1,674,000		(4,500	)
E-mini NASDAQ 100		9/19/2014		21		1,613,010		20,559
Euro Schatz		9/08/2014		49		7,424,812		4,354
EURO STOXX 50®		9/19/2014		7		309,791		(4,313	)

See accompanying notes to financial statements.

9  |

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
FTSE MIB		9/19/2014		1	$	145,851	$	(3,848	)
FTSE/JSE Top 40 Index		9/18/2014		10		433,192		(446	)
German Euro BOBL		9/08/2014		9		1,579,036		10,064
German Euro Bund		9/08/2014		16		3,220,813		42,202
IBEX 35		7/18/2014		3		445,933		(2,342	)
Mini-Russell 2000		9/19/2014		17		2,023,510		49,640
OMXS30®		7/18/2014		38		784,563		(2,758	)
S&P/TSX 60 Index		9/18/2014		3		485,657		9,379
UK Long Gilt		9/26/2014		40		7,524,683		10,440
2 Year U.S. Treasury Note		9/30/2014		26		5,709,437		(2,844	)
3 Year Australia Government Bond		9/15/2014		12		1,238,796		7,334
5 Year U.S. Treasury Note		9/30/2014		5		597,305		(703	)
10 Year U.S. Treasury Note		9/19/2014		58		7,259,969		57,375
30 Year U.S. Treasury Bond		9/19/2014		2		274,375		1,125
Total							$	189,979
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Brent Crude Oil		7/16/2014		2	$	224,720	$	8,460
Gasoline		7/31/2014		7		894,730		(4,322	)
Soybean		11/14/2014		10		578,625		(38,550	)
Soybean Meal		12/12/2014		22		808,280		(61,710	)
WTI Crude Oil		7/22/2014		4		421,480		(2,000	)
Total							$	(98,122	)

At June 30, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CAC 40®		7/18/2014		8	$	484,404	$	7,600
CBOE SPX Volatility Index		7/15/2014		42		522,900		39,060
E-mini S&P 500®		9/19/2014		25		2,440,625		(19,812	)
FTSE 100 Index		9/19/2014		4		459,408		2,772
Hang Seng Index®		7/30/2014		9		1,341,454		(19,218	)
MSCI Singapore		7/30/2014		11		653,701		(353	)
Nikkei 225™		9/11/2014		1		149,647		(79	)
S&P CNX Nifty Futures Index		7/31/2014		57		869,421		(1,197	)
TOPIX		9/11/2014		6		747,742		(14,214	)
10 Year Australia Government Bond		9/15/2014		114		12,950,324		(225,192	)
10 Year Canada Government Bond		9/19/2014		18		2,293,838		(12,877	)
Total							$	(243,510	)

See accompanying notes to financial statements.

|  10

Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)

ASG Diversifying Strategies Fund – (continued)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Cocoa		9/15/2014		1	$	31,270	$	(840	)
Coffee		9/18/2014		2		131,325		(206	)
Corn		12/12/2014		10		212,625		6,275
Soybean Oil		12/12/2014		4		93,960		3,192
Sugar		9/30/2014		12		242,054		34
Wheat		9/12/2014		15		433,125		12,137
Total							$	20,592

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

Investment Summary at June 30, 2014 (Unaudited)

Certificates of Deposit	50.9	%
Financial Company Commercial Paper	26.2
Commercial Paper	6.9
Total Investments	84.0
Other assets less liabilities (including forward foreign currency and futures contracts)	16.0
Net Assets	100.0	%

See accompanying notes to financial statements.

11  |

Consolidated Statement of Assets and Liabilities

June 30, 2014 (Unaudited)

ASSETS
Investments at cost	$	10,899,698
Net unrealized appreciation		19
Investments at value		10,899,717
Cash		710,697
Due from brokers (including variation margin on futures contracts) (Note 2)		1,644,169
Receivable for Fund shares sold		65
Receivable from investment adviser (Note 6)		10,472
Interest receivable		1,774
Unrealized appreciation on forward foreign currency contracts (Note 2)		100,097
Unrealized appreciation on futures contracts (Note 2)		292,002
Receivable from distributor (Note 6d)		539
TOTAL ASSETS		13,659,532
LIABILITIES
Payable for Fund shares redeemed		128,987
Unrealized depreciation on forward foreign currency contracts (Note 2)		28,455
Unrealized depreciation on futures contracts (Note 2)		423,063
Deferred Trustees’ fees (Note 6)		51,649
Administrative fees payable (Note 6)		11,657
Other accounts payable and accrued expenses		35,107
TOTAL LIABILITIES		678,918
NET ASSETS	$	12,980,614
NET ASSETS CONSIST OF:
Paid-in capital	$	83,143,198
Accumulated net investment loss		(268,061	)
Accumulated net realized loss on investments, futures contracts and foreign currency transactions		(69,834,793	)
Net unrealized depreciation on investments, futures contracts and foreign currency translations		(59,730	)
NET ASSETS	$	12,980,614
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	4,299,183
Shares of beneficial interest		527,986
Net asset value and redemption price per share	$	8.14
Offering price per share (100/94.25 of net asset value) (Note 1)	$	8.64
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,364,964
Shares of beneficial interest		298,810
Net asset value and offering price per share	$	7.91
Class Y shares:
Net assets	$	6,316,467
Shares of beneficial interest		769,458
Net asset value, offering and redemption price per share	$	8.21

See accompanying notes to financial statements.

|  12

Consolidated Statement of Operations

For the Six Months Ended June 30, 2014 (Unaudited)

INVESTMENT INCOME
Interest	$	26,610
Expenses
Management fees (Note 6)		178,617
Service and distribution fees (Note 6)		21,687
Administrative fees (Note 6)		38,769
Trustees’ and directors’ fees and expenses (Note 6)		18,507
Transfer agent fees and expenses (Note 6)		20,379
Audit and tax services fees		17,952
Custodian fees and expenses		25,862
Interest expense (Note 9)		11,886
Legal fees		6,503
Registration fees		36,964
Shareholder reporting expenses		5,945
Miscellaneous expenses		11,576
Total expenses		394,647
Less waiver and/or expense reimbursement (Note 6)		(153,842	)
Net expenses		240,805
Net investment loss		(214,195	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		2,185
Futures contracts		(856,013	)
Foreign currency transactions		181,198
Net change in unrealized appreciation (depreciation) on:
Investments		(1,839	)
Futures contracts		617,142
Foreign currency translations		122,081
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		64,754
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(149,441	)

See accompanying notes to financial statements.

13  |

Consolidated Statement of Changes in Net Assets

	Six Months Ended June 30,  2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment loss	$	(214,195	)	$	(1,222,023	)
Net realized loss on investments, futures contracts and foreign currency transactions		(672,630	)		(5,137,727	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		737,384			(442,697	)
Net decrease in net assets resulting from operations		(149,441	)		(6,802,447	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(26,818,458	)		(130,804,494	)
Net decrease in net assets		(26,967,899	)		(137,606,941	)
NET ASSETS
Beginning of the period		39,948,513			177,555,454
End of the period	$	12,980,614		$	39,948,513
ACCUMULATED NET INVESTMENT (LOSS)	$	(268,061	)	$	(53,866	)

See accompanying notes to financial statements.

|  14

Consolidated Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment loss (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
Class A
6/30/2014(g)	$	8.27	$	(0.07	)	$	(0.06	)(h)	$	(0.13	)	$	—		$	—		$	—
12/31/2013		9.00		(0.13	)		(0.60	)		(0.73	)		—			—			—
12/31/2012		9.75		(0.14	)		(0.61	)		(0.75	)		—			—			—
12/31/2011		10.45		(0.15	)		(0.14	)		(0.29	)		(0.41	)		—			(0.41	)
12/31/2010		10.19		(0.16	)		1.02	(h)		0.86			(0.15	)		(0.45	)		(0.60	)
12/31/2009(i)		10.00		(0.07	)		0.80			0.73			(0.10	)		(0.44	)		(0.54	)
Class C
6/30/2014(g)		8.06		(0.09	)		(0.06	)(h)		(0.15	)		—			—			—
12/31/2013		8.85		(0.20	)		(0.59	)		(0.79	)		—			—			—
12/31/2012		9.65		(0.21	)		(0.59	)		(0.80	)		—			—			—
12/31/2011		10.34		(0.23	)		(0.12	)		(0.35	)		(0.34	)		—			(0.34	)
12/31/2010		10.16		(0.24	)		1.01	(h)		0.77			(0.14	)		(0.45	)		(0.59	)
12/31/2009(i)		10.00		(0.10	)		0.79			0.69			(0.09	)		(0.44	)		(0.53	)
Class Y
6/30/2014(g)		8.33		(0.06	)		(0.06	)(h)		(0.12	)		—			—			—
12/31/2013		9.05		(0.11	)		(0.61	)		(0.72	)		—			—			—
12/31/2012		9.77		(0.12	)		(0.60	)		(0.72	)		—			—			—
12/31/2011		10.46		(0.13	)		(0.13	)		(0.26	)		(0.43	)		—			(0.43	)
12/31/2010		10.19		(0.13	)		1.01	(h)		0.88			(0.16	)		(0.45	)		(0.61	)
12/31/2009(i)		10.00		(0.05	)		0.78			0.73			(0.10	)		(0.44	)		(0.54	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

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

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

See accompanying notes to financial statements.

15  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)			Net assets, end of the period (000’s)		Net expenses including interest expense (%)  (d)(e)		Gross expenses including interest expense (%)  (e)		Net expenses, excluding interest expense (%)  (d)(e)		Gross expenses, excluding interest expense (%)  (e)		Net investment loss (%) (e)			Portfolio turnover rate (%) (f)
$	8.14		(1.57	)	$	4,299		1.80		3.00		1.70		2.90		(1.62	)		—
	8.27		(8.11	)		9,602		1.75		2.11		1.70		2.07		(1.54	)		—
	9.00		(7.69	)		69,190		1.74		1.83		1.70		1.79		(1.49	)		—
	9.75		(2.75	)		134,758		1.72		1.80		1.70		1.78		(1.46	)		—
	10.45		8.46			61,411		1.74		2.05		1.70		2.02		(1.45	)		—
	10.19		7.26			2,887		1.71		4.88		1.70		4.87		(1.48	)		—
	7.91		(1.86	)		2,365		2.54		3.78		2.45		3.69		(2.36	)		—
	8.06		(8.93	)		3,536		2.50		2.88		2.45		2.83		(2.29	)		—
	8.85		(8.29	)		11,263		2.49		2.58		2.45		2.54		(2.24	)		—
	9.65		(3.43	)		26,032		2.47		2.55		2.45		2.53		(2.21	)		—
	10.34		7.58			20,742		2.49		2.72		2.45		2.68		(2.20	)		—
	10.16		6.90			131		2.47		5.76		2.45		5.75		(2.23	)		—
	8.21		(1.56	)		6,316		1.53		2.55		1.45		2.47		(1.34	)		—
	8.33		(7.96	)		26,810		1.50		1.87		1.45		1.83		(1.29	)		—
	9.05		(7.37	)		97,102		1.49		1.57		1.45		1.54		(1.24	)		—
	9.77		(2.48	)		243,695		1.47		1.55		1.45		1.53		(1.21	)		—
	10.46		8.63			173,034		1.49		1.94		1.45		1.91		(1.21	)		—
	10.19		7.29			19,549		1.47		5.11		1.45		5.09		(1.22	)		—

See accompanying notes to financial statements.

|  16

Consolidated Notes to Financial Statements

June 30, 2014 (Unaudited)

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

The Fund is a diversified investment company.

The Fund offers Class A, Class C and Class Y shares. As of the close of business on June 12, 2014 and July 11, 2014, the Fund ceased to offer its shares to new investors and no longer accepted additional investments from existing shareholders, respectively. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.

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

The Fund invests in commodity-related instruments through ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”) of the Fund, organized under the laws of the Cayman Islands. A Subscription agreement was entered into between the Fund and the Subsidiary with the intent that the Fund will remain the sole shareholder and primary beneficiary of the Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Fund’s Board of Trustees.

As of June 30, 2014, the value of the Fund’s investment in the Subsidiary was as follows:

Investment in Subsidiary	Percentage of Net Assets
$779,694	6.0%

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements are prepared in accordance with

17  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

a.  Consolidation.  The accompanying financial statements of the Fund present the consolidated accounts of the Fund and its Subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

b.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-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. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-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

|  18

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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 Net Asset Value (“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.

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

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

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

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

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

19  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

f.  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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund 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 is reduced; however, in the event that a counterparty enters into bankruptcy,

|  20

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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.

g.  Due from Brokers.  Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund or the Subsidiary and the various broker/dealers. Due from brokers’ balances in the Statement of Assets and Liabilities represent cash, including foreign currency, on deposit with the broker for open futures contracts. In certain circumstances the Fund’s or the Subsidiary’s use of cash and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

h.  Federal and Foreign Income Taxes.  The Trust treats each fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

21  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, futures and forward foreign currency contract mark-to-market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

As of December 31, 2013, the capital loss carryforwards were as follows:

Capital loss carryforward:
Short-term:
No expiration date	$	(34,288,729	)
Long-term:
No expiration date		(7,976,544	)
Total capital loss carryforward	$	(42,265,273	)

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

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

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

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

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

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

|  22

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	10,899,717		$	—	$	10,899,717
Forward Foreign Currency Contracts (unrealized appreciation)		—			100,097			—		100,097
Futures Contracts (unrealized appreciation)		292,002			—			—		292,002
Total	$	292,002		$	10,999,814		$	—	$	11,291,816
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(28,455	)	$	—	$	(28,455	)
Futures Contracts (unrealized depreciation)		(423,063	)		—			—		(423,063	)
Total	$	(423,063	)	$	(28,455	)	$	—	$	(451,518	)

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that 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 six months ended June 30, 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

23  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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 June 30, 2014, as reflected within the Statement of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives Foreign exchange contracts	$	100,097	$	—	$	100,097
Exchange traded asset derivatives
Interest rate contracts	$	—	$	132,894	$	132,894
Equity contracts		—		129,010		129,010
Commodity contracts		—		30,098		30,098
Total exchange traded asset derivatives	$	—	$	292,002	$	292,002
Total asset derivatives	$	100,097	$	292,002	$	392,099
Liabilities	Unrealized depreciation on forward foreign currency contracts		Unrealized depreciation on futures contracts		Total
Over-the-counter liability derivatives Foreign exchange contracts	$	28,455	$	—	$	28,455
Exchange traded liability derivatives
Interest rate contracts	$	—	$	241,616	$	241,616
Equity contracts		—		73,819		73,819
Commodity contracts		—		107,628		107,628
Total exchange traded liability derivatives	$	—	$	423,063	$	423,063
Total liability derivatives	$	28,455	$	423,063	$	451,518

|  24

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Transactions in derivative instruments for the Fund during the six months ended June 30, 2014 as reflected within the Statement of Operations were as follows:

Net Realized Gain (Loss) on:	Futures Contracts			Foreign currency transactions1
Interest rate contracts	$	(689,172	)	$	—
Foreign exchange contracts		—			183,882
Equity contracts		(318,955	)		—
Commodity contracts		152,114			—
Total	$	(856,013	)	$	183,882
Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts			Foreign currency translations1
Interest rate contracts	$	1,115,466		$	—
Foreign exchange contracts		—			122,254
Equity contracts		(500,515	)		—
Commodity contracts		2,191			—
Total	$	617,142		$	122,254

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

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

	Forwards			Futures
Average Notional Amount Outstanding		65.11	%		617.30	%
Highest Notional Amount Outstanding		130.32	%		755.44	%
Lowest Notional Amount Outstanding		39.63	%		458.52	%
Notional Amount Outstanding as of June 30, 2014		46.36	%		539.80	%

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

25  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement negotiated between the Fund and its counterparty. 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 agreement contains provisions that allow the counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral pledged, on the Statement of Assets and Liabilities.

As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	100,097		$	(28,455	)	$	71,642	$	—	$	71,642
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(28,455	)	$	28,455		$	—	$	—	$	—

The Fund is required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Fund’s ISDA agreement. As of June 30, 2014, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

Independent Amount of Collateral	Increase (Decrease) for Change in Value	Required Collateral	Collateral Pledged	Excess/ (Shortfall)
$158,177	$(72,766)	$85,411	$  —	$(85,411)

|  26

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the

27  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:

	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	100,097	$	71,642
Exchange traded counterparty credit risk
Futures contracts		292,002		292,002
Margin with brokers		1,737,771		1,737,771
Total exchange traded counterparty credit risk		2,029,773		2,029,773
Total counterparty credit risk	$	2,129,870	$	2,101,415

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2014, purchases and proceeds from sales or maturities of short-term investments were $332,041,361 and $354,195,633, respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 1.25% of the Fund’s average daily net assets, less the net asset value of the Subsidiary, calculated daily and payable monthly.

AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., which pays AlphaSimplex a management fee at the annual rate of 1.25% of its average daily net assets.

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

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

AlphaSimplex has given binding undertakings to the Fund to waive management fees and/or reimburse certain expenses, including expenses of the Subsidiary, if applicable, to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.

|  28

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

Expense Limit as a Percentage of Average Daily Net Assets
Class A	Class C	Class Y
1.70%	2.45%	1.45%

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

For the six months ended June 30, 2014, the management fees and waivers of management fees for the Fund were as follows:

Gross Management Fees	Waivers of Management Fees1	Net Management Fees	Percentage of Average Daily Net Assets
			Gross	Net
$178,617	$153,842	$24,775	1.25%	0.17%

¹ Management fee waivers are subject to possible recovery until December 31, 2015.

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

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

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

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

29  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

For the six months ended June 30, 2014, the service and distribution fees for the Fund were as follows:

Service Fees		Distribution Fees
Class A	Class C	Class C
$7,063	$3,656	$10,968

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

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

For the six months ended June 30, 2014, the administrative fees paid to NGAM Advisors for the Fund were $6,231 (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiary).

Effective July 1, 2014, the Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping,

|  30

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.

For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $10,735.

As of June 30, 2014, NGAM Distribution owes the Fund $539 for overpayments of sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as receivable from distributor).

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 amounted to $1,225.

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

31  |

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

g.   Affiliated Ownership.   At June 30, 2014, Natixis US and AlphaSimplex Group held shares of Diversifying Strategies Fund representing 15.37% and 2.62% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

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

For the six months ended June 30, 2014, the Fund had no borrowings under this agreement.

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

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

9.  Interest Expense.  The Fund incurs interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2014 is reflected on the Statement of Operations.

|  32

Consolidated Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	31,823		$	264,071		581,643		$	5,101,556
Redeemed	(665,602	)		(5,562,930	)	(7,105,046	)		(62,540,450	)
Net change	(633,779	)	$	(5,298,859	)	(6,523,403	)	$	(57,438,894	)
Class C
Issued from the sale of shares	11,558		$	94,017		33,890		$	292,651
Redeemed	(151,417	)		(1,225,123	)	(868,533	)		(7,400,661	)
Net change	(139,859	)	$	(1,131,106	)	(834,643	)	$	(7,108,010	)
Class Y
Issued from the sale of shares	473,509		$	3,943,432		1,420,736		$	12,558,419
Redeemed	(2,923,690	)		(24,331,925	)	(8,934,974	)		(78,816,009	)
Net change	(2,450,181	)	$	(20,388,493	)	(7,514,238	)	$	(66,257,590	)
Increase (decrease) from capital share transactions	(3,223,819	)	$	(26,818,458	)	(14,872,284	)	$	(130,804,494	)

11.  Subsequent Event.  On June 13, 2014, the Board of Trustees approved the liquidation and termination of the Fund and its Subsidiary. The Fund liquidated its position in the Subsidiary on July 22, 2014. The sale of the Fund’s assets and the corresponding liquidating distributions to shareholders were completed on August 8, 2014.

33  |

SEMIANNUAL REPORT

June 30, 2014

CGM Advisor Targeted Equity Fund

Natixis Oakmark Fund (formerly Harris Associates Large Cap Value Fund)

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

TABLE OF CONTENTS

Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

CGM ADVISOR TARGETED EQUITY FUND

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

Objective

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

Average Annual Total Returns — June 30, 2014

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		5.83	%		19.38	%		14.25	%		8.20	%
With 5.75% Maximum Sales Charge		-0.26			12.55			12.90			7.57
Class B (Inception 2/28/97)
NAV		5.39			18.39			13.41			7.40
With CDSC1		0.39			13.53			13.17			7.40
Class C (Inception 9/1/98)
NAV		5.43			18.53			13.41			7.40
With CDSC1		4.43			17.56			13.41			7.40
Class Y (Inception 6/30/99)
NAV		5.91			19.64			14.52			8.48
Comparative Performance
S&P 500® Index2		7.14			24.61			18.83			7.78

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

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

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

1  |

NATIXIS OAKMARK FUND (formerly Harris Associates Large Cap Value Fund)

Managers	Symbols
William C. Nygren, CFA®	Class A    NEFOX
Kevin G. Grant, CFA®	Class B    NEGBX
M. Colin Hudson, CFA®	Class C    NECOX
Michael J. Mangan, CFA®, CPA*	Class Y    NEOYX
Harris Associates L.P.

* Michael J. Mangan became a portfolio manager of the Fund effective August 1, 2014.

Objective

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

** Effective July 1, 2014, the Fund’s Objective changed to “The Fund seeks long-term capital appreciation.”

Average Annual Total Returns — June 30, 2014⁴

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		6.55	%		27.03	%		19.67	%		6.96	%
With 5.75% Maximum Sales Charge		0.40			19.76			18.26			6.33
Class B (Inception 9/13/93)
NAV		6.13			26.02			18.77			6.16
With CDSC1		1.13			21.02			18.57			6.16
Class C (Inception 5/1/95)
NAV		6.11			26.02			18.77			6.16
With CDSC1		5.11			25.02			18.77			6.16
Class Y (Inception 11/18/98)
NAV		6.64			27.27			19.96			7.28
Comparative Performance
S&P 500® Index2		7.14			24.61			18.83			7.78
Russell 1000® Value Index3		8.28			23.81			19.23			8.03

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

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

2 S&P 500^® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. Effective at the close of business on February 28, 2014, the S&P 500^® Index replaced the Russell 1000^® Value Index as the Fund’s primary benchmark because Harris Associates believes the S&P 500^® Index is a more appropriate representation of the universe of securities in which the Fund may invest.

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

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

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NATIXIS OAKMARK INTERNATIONAL FUND

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

Objective

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2014³

	6 Months			1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		1.83	%		20.07	%		11.26	%
With 5.75% Maximum Sales Charge		-4.03			13.19			9.42
Class C (Inception 12/15/10)
NAV		1.49			19.24			10.45
With CDSC1		0.49			18.24			10.45
Comparative Performance
MSCI World ex USA Index (Net)2		5.40			23.83			8.21

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

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

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

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

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VAUGHAN NELSON SMALL CAP VALUE FUND

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

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

Objective

The Fund seeks capital appreciation.

Average Annual Total Returns — June 30, 2014⁴

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 12/31/96)
NAV		6.46	%		26.89	%		20.32	%		12.00	%
With 5.75% Maximum Sales Charge		0.35			19.57			18.91			11.34
Class B (Inception 12/31/96)
NAV		5.96			25.88			19.42			11.17
With CDSC1		0.96			20.88			19.23			11.17
Class C (Inception 12/31/96)
NAV		6.03			25.91			19.42			11.16
With CDSC1		5.03			24.91			19.42			11.16
Class Y (Inception 8/31/06)2
NAV		6.57			27.21			20.62			12.24
Comparative Performance
Russell 2000® Value Index3		4.20			22.54			19.88			8.24

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

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

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

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

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

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VAUGHAN NELSON VALUE OPPORTUNITY FUND

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

Objective

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2014³

	6 Months			1 Year			5 Years			Life of Class
										Class A/C/Y			Class N
Class A (Inception 10/31/08)
NAV		7.98	%		28.53	%		20.60	%		18.33	%		—
With 5.75% Maximum Sales Charge		1.76			21.16			19.18			17.10
Class C (Inception 10/31/08)
NAV		7.60			27.57			19.70			17.46			—
With CDSC1		6.60			26.57			19.70			17.46
Class N (Inception 5/1/13)
NAV		8.07			28.74			—			—			29.21	%
Class Y (Inception 10/31/08)
NAV		8.11			28.86			20.89			18.62			—
Comparative Performance
Russell Midcap® Value Index2		11.14			27.76			22.97			19.47			25.36

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

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

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

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

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ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available from the Fund’s website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,058.30		$5.77
Hypothetical (5% return before expenses)		$1,000.00		$1,019.19		$5.66
Class B
Actual		$1,000.00		$1,053.90		$9.57
Hypothetical (5% return before expenses)		$1,000.00		$1,015.47		$9.39
Class C
Actual		$1,000.00		$1,054.30		$9.58
Hypothetical (5% return before expenses)		$1,000.00		$1,015.47		$9.39
Class Y
Actual		$1,000.00		$1,059.10		$4.49
Hypothetical (5% return before expenses)		$1,000.00		$1,020.43		$4.41

* Expenses are equal to the Fund’s annualized expense ratio: 1.13%, 1.88%, 1.88% and 0.88% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS OAKMARK FUND (formerly Harris Associates Large Cap Value Fund)	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,065.50		$6.35
Hypothetical (5% return before expenses)		$1,000.00		$1,018.65		$6.21
Class B
Actual		$1,000.00		$1,061.30		$10.12
Hypothetical (5% return before expenses)		$1,000.00		$1,014.98		$9.89
Class C
Actual		$1,000.00		$1,061.10		$10.22
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$9.99
Class Y
Actual		$1,000.00		$1,066.40		$5.07
Hypothetical (5% return before expenses)		$1,000.00		$1,019.89		$4.96

* Expenses are equal to the Fund’s annualized expense ratio: 1.24%, 1.98%, 2.00% and 0.99% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,018.30		$6.51
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class C
Actual		$1,000.00		$1,014.90		$10.24
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24

* Expenses are equal to the Fund’s annualized expense ratio: 1.30% and 2.05% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,064.60		$7.01
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$6.85
Class B
Actual		$1,000.00		$1,059.60		$10.78
Hypothetical (5% return before expenses)		$1,000.00		$1,014.33		$10.54
Class C
Actual		$1,000.00		$1,060.30		$10.83
Hypothetical (5% return before expenses)		$1,000.00		$1,014.28		$10.59
Class Y
Actual		$1,000.00		$1,065.70		$5.74
Hypothetical (5% return before expenses)		$1,000.00		$1,019.24		$5.61

* Expenses are equal to the Fund’s annualized expense ratio: 1.37%, 2.11%, 2.12% and 1.12% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,079.80		$6.55
Hypothetical (5% return before expenses)		$1,000.00		$1,018.50		$6.36
Class C
Actual		$1,000.00		$1,076.00		$10.40
Hypothetical (5% return before expenses)		$1,000.00		$1,014.78		$10.09
Class N
Actual		$1,000.00		$1,080.70		$4.75
Hypothetical (5% return before expenses)		$1,000.00		$1,020.23		$4.61
Class Y
Actual		$1,000.00		$1,081.10		$5.26
Hypothetical (5% return before expenses)		$1,000.00		$1,019.74		$5.11

* Expenses are equal to the Fund’s annualized expense ratio: 1.27%, 2.02%, 0.92% and 1.02% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

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

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

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.

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

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

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors

11  |

included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain periods, was stronger over the long term; (3) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category and benchmark; or (4) that although the Fund’s performance lagged that of its relevant category for certain periods, performance was competitive when compared to relevant performance benchmarks or peer groups.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that four of the five Natixis Equity Funds included in this report have expense caps in place. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s net expense ratio was near, at, or below the median of a peer group of; and (2) that the Fund’s investment discipline was capacity constrained. The Trustees also noted that the Natixis Oakmark Fund had a net expense ratio that was above the median of a peer group of funds, but noted that the Fund’s current net expense ratio is only slightly higher than its peer group median.

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that two Funds had breakpoints in their advisory fees and that four of the Funds were subject to an expense cap. With respect to the CGM Advisor Targeted Equity Fund, which does not have an expense cap, the Trustees noted that the Fund’s assets have been declining over time. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

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

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

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

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

13  |

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

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.

|  14

Portfolio of Investments – as of June 30, 2014 (Unaudited)

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 97.6% of Net Assets
		Airlines — 9.0%
	670,000	American Airlines Group, Inc.(b)	$	28,783,200
	580,000	Delta Air Lines, Inc.		22,457,600
				51,240,800
		Auto Components — 5.1%
	420,000	Delphi Automotive PLC		28,870,800
		Banks — 5.2%
	620,000	Citigroup, Inc.		29,202,000
		Biotechnology — 5.7%
	390,000	Gilead Sciences, Inc.(b)		32,334,900
		Capital Markets — 20.3%
	260,000	Ameriprise Financial, Inc.		31,200,000
	54,000	BlackRock, Inc.		17,258,400
	1,060,000	Charles Schwab Corp. (The)		28,545,800
	1,170,000	Morgan Stanley		37,826,100
				114,830,300
		Energy Equipment & Services — 5.4%
	260,000	Schlumberger Ltd.		30,667,000
		Hotels, Restaurants & Leisure — 5.0%
	440,000	Marriott International, Inc., Class A		28,204,000
		Household Durables — 18.4%
	1,470,000	DR Horton, Inc.		36,132,600
	810,000	Lennar Corp., Class A		34,003,800
	920,000	Toll Brothers, Inc.(b)		33,948,000
				104,084,400
		Insurance — 5.2%
	335,000	Prudential Financial, Inc.		29,737,950
		Machinery — 4.2%
	155,000	Cummins, Inc.		23,914,950
		Media — 5.4%
	360,000	Walt Disney Co. (The)		30,866,400
		Oil, Gas & Consumable Fuels — 1.2%
	60,000	EOG Resources, Inc.		7,011,600
		Semiconductors & Semiconductor Equipment — 6.3%
	1,080,000	Micron Technology, Inc.(b)		35,586,000
		Textiles, Apparel & Luxury Goods — 1.2%
	110,000	VF Corp.		6,930,000
		Total Common Stocks (Identified Cost $480,922,624)		553,481,100

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

CGM Advisor Targeted Equity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 2.3%
$	13,055,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $13,055,004 on 7/01/2014 collateralized by $13,420,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $13,319,350 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,055,000)	$	13,055,000
		Total Investments — 99.9% (Identified Cost $493,977,624)(a)		566,536,100
		Other assets less liabilities — 0.1%		723,549
		Net Assets — 100.0%	$	567,259,649
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $493,977,624 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	$	72,558,476
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		0
		Net unrealized appreciation	$	72,558,476
	(b)	Non-income producing security.

Industry Summary at June 30, 2014 (Unaudited)

Capital Markets	20.3	%
Household Durables	18.4
Airlines	9.0
Semiconductors & Semiconductor Equipment	6.3
Biotechnology	5.7
Media	5.4
Energy Equipment & Services	5.4
Insurance	5.2
Banks	5.2
Auto Components	5.1
Hotels, Restaurants & Leisure	5.0
Machinery	4.2
Other Investments, less than 2% each	2.4
Short-Term Investments	2.3
Total Investments	99.9
Other assets less liabilities	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark Fund*

Shares		Description	Value (†)
	Common Stocks — 86.4% of Net Assets
		Air Freight & Logistics — 2.0%
	30,000	FedEx Corp.	$	4,541,400
		Automobiles — 2.2%
	103,000	General Motors Co.		3,738,900
	15,600	Harley-Davidson, Inc.		1,089,660
				4,828,560
		Banks — 8.4%
	425,000	Bank of America Corp.		6,532,250
	90,000	Citigroup, Inc.		4,239,000
	72,100	JPMorgan Chase & Co.		4,154,402
	72,400	Wells Fargo & Co.		3,805,344
				18,730,996
		Beverages — 1.6%
	28,200	Diageo PLC, Sponsored ADR		3,589,014
		Capital Markets — 7.2%
	91,800	Bank of New York Mellon Corp. (The)		3,440,664
	76,300	Franklin Resources, Inc.		4,413,192
	24,800	Goldman Sachs Group, Inc. (The)		4,152,512
	61,900	State Street Corp.		4,163,394
				16,169,762
		Chemicals — 1.3%
	23,000	Monsanto Co.		2,869,020
		Communications Equipment — 1.8%
	51,000	QUALCOMM, Inc.		4,039,200
		Consumer Finance — 2.0%
	53,600	Capital One Financial Corp.		4,427,360
		Electronic Equipment, Instruments & Components — 1.9%
	67,100	TE Connectivity Ltd.		4,149,464
		Energy Equipment & Services — 3.6%
	56,400	Halliburton Co.		4,004,964
	48,200	National Oilwell Varco, Inc.		3,969,270
				7,974,234
		Food & Staples Retailing — 1.2%
	35,000	Wal-Mart Stores, Inc.		2,627,450
		Food Products — 4.2%
	76,200	General Mills, Inc.		4,003,548
	25,700	Nestle S.A., Sponsored ADR		1,996,119
	72,500	Unilever PLC, Sponsored ADR		3,284,975
				9,284,642
		Health Care Equipment & Supplies — 2.6%
	23,100	Baxter International, Inc.		1,670,130
	65,400	Medtronic, Inc.		4,169,904
				5,840,034

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark Fund* – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 1.8%
	49,700	UnitedHealth Group, Inc.	$	4,062,975
		Hotels, Restaurants & Leisure — 1.5%
	34,200	McDonald’s Corp.		3,445,308
		Insurance — 6.3%
	50,200	Aflac, Inc.		3,124,950
	78,500	American International Group, Inc.		4,284,530
	39,400	Aon PLC		3,549,546
	63,000	Principal Financial Group, Inc.		3,180,240
				14,139,266
		Internet & Catalog Retail — 3.6%
	13,240	Amazon.com, Inc.(b)		4,300,087
	129,700	Liberty Interactive Corp., Class A(b)		3,807,992
				8,108,079
		Internet Software & Services — 2.0%
	4,790	Google, Inc., Class A(b)		2,800,569
	2,810	Google, Inc., Class C(b)		1,616,537
				4,417,106
		IT Services — 5.7%
	53,000	Automatic Data Processing, Inc.		4,201,840
	59,600	MasterCard, Inc., Class A		4,378,812
	20,080	Visa, Inc., Class A		4,231,057
				12,811,709
		Machinery — 3.2%
	43,600	Illinois Tool Works, Inc.		3,817,616
	26,800	Parker Hannifin Corp.		3,369,564
				7,187,180
		Media — 3.4%
	57,000	Comcast Corp., Special Class A		3,039,810
	48,500	News Corp., Class A(b)		870,090
	51,100	Omnicom Group, Inc.		3,639,342
				7,549,242
		Multiline Retail — 1.0%
	41,200	Kohl’s Corp.		2,170,416
		Oil, Gas & Consumable Fuels — 3.3%
	49,400	Apache Corp.		4,970,628
	56,900	Cenovus Energy, Inc.		1,841,853
	6,900	Devon Energy Corp.		547,860
				7,360,341
		Pharmaceuticals — 1.6%
	69,600	Sanofi, ADR		3,700,632
		Road & Rail — 1.1%
	24,400	Union Pacific Corp.		2,433,900

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark Fund* – (continued)

Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment — 4.7%
	102,100	Applied Materials, Inc.	$	2,302,355
	142,300	Intel Corp.		4,397,070
	77,500	Texas Instruments, Inc.		3,703,725
				10,403,150
		Software — 3.7%
	84,400	Microsoft Corp.		3,519,480
	114,900	Oracle Corp.		4,656,897
				8,176,377
		Specialty Retail — 1.9%
	52,700	Home Depot, Inc. (The)		4,266,592
		Technology Hardware, Storage & Peripherals — 1.6%
	38,150	Apple, Inc.		3,545,280
		Total Common Stocks (Identified Cost $160,014,043)		192,848,689
Principal Amount
	Short-Term Investments — 10.0%
$	22,324,457	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $22,324,463 on 7/01/2014 collateralized by $23,355,000 Federal National Mortgage Association, 1.630% due 1/10/2020 valued at $22,771,125 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,324,457)		22,324,457
		Total Investments — 96.4% (Identified Cost $182,338,500)(a)		215,173,146
		Other assets less liabilities — 3.6%		8,098,630
		Net Assets — 100.0%	$	223,271,776
	*	Formerly Harris Associates Large Cap Value Fund.
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $182,338,500 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	$	33,459,135
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(624,489	)
		Net unrealized appreciation	$	32,834,646
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark Fund* – (continued)

Industry Summary at June 30, 2014 (Unaudited)

Banks	8.4	%
Capital Markets	7.2
Insurance	6.3
IT Services	5.7
Semiconductors & Semiconductor Equipment	4.7
Food Products	4.2
Software	3.7
Internet & Catalog Retail	3.6
Energy Equipment & Services	3.6
Media	3.4
Oil, Gas & Consumable Fuels	3.3
Machinery	3.2
Health Care Equipment & Supplies	2.6
Automobiles	2.2
Air Freight & Logistics	2.0
Consumer Finance	2.0
Internet Software & Services	2.0
Other Investments, less than 2% each	18.3
Short-Term Investments	10.0
Total Investments	96.4
Other assets less liabilities	3.6
Net Assets	100.0	%

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark International Fund

Shares		Description	Value (†)
	Common Stocks — 94.9% of Net Assets
		Australia — 4.3%
	4,703,768	AMP Ltd.	$	23,513,416
	1,077,490	Orica Ltd.		19,789,592
				43,303,008
		Canada — 0.6%
	153,000	Thomson Reuters Corp.		5,570,545
		France — 15.1%
	490,500	BNP Paribas S.A.		33,333,761
	32,600	Christian Dior S.A.		6,490,614
	366,658	Danone		27,264,106
	124,100	Kering		27,223,950
	98,500	LVMH Moet Hennessy Louis Vuitton S.A.		19,007,434
	167,000	Pernod-Ricard S.A.		20,060,130
	62,829	Publicis Groupe S.A.		5,325,163
	142,400	Safran S.A.		9,322,175
	52,900	Sanofi		5,622,714
				153,650,047
		Germany — 10.4%
	214,200	Allianz SE, (Registered)		35,752,938
	216,400	Bayerische Motoren Werke AG		27,402,659
	273,200	Daimler AG, (Registered)		25,520,859
	219,700	SAP AG		16,928,916
				105,605,372
		Ireland — 2.5%
	1,534,031	Experian PLC		25,917,688
		Israel — 0.5%
	71,900	Check Point Software Technologies Ltd.(b)		4,819,457
		Italy — 3.3%
	8,202,100	Intesa Sanpaolo SpA		25,306,179
	1,144,000	Prada SpA		8,092,766
				33,398,945
		Japan — 13.9%
	799,300	Canon, Inc.		26,122,710
	2,727,000	Daiwa Securities Group, Inc.		23,627,469
	987,900	Honda Motor Co. Ltd.		34,472,519
	81,600	Meitec Corp.		2,547,408
	414,900	Olympus Corp.(b)		14,275,184
	87,600	Omron Corp.		3,694,056
	49,900	Secom Co. Ltd.		3,046,166
	568,400	Toyota Motor Corp.		34,031,594
				141,817,106
		Korea — 2.1%
	16,580	Samsung Electronics Co. Ltd.		21,652,628

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark International Fund – (continued)

Shares		Description	Value (†)
		Netherlands — 7.1%
	42,554	Akzo Nobel NV	$	3,190,666
	2,781,300	CNH Industrial NV		28,538,640
	209,200	Heineken Holding NV		13,747,592
	216,746	Koninklijke Ahold NV		4,064,223
	723,424	Koninklijke Philips NV		22,960,244
				72,501,365
		Sweden — 4.5%
	359,900	Atlas Copco AB, Series B		9,604,079
	420,000	Hennes & Mauritz AB, Series B		18,337,126
	709,500	SKF AB, Series B		18,090,577
				46,031,782
		Switzerland — 15.4%
	105,600	Adecco S.A., (Registered)		8,690,238
	262,800	Cie Financiere Richemont S.A., (Registered)		27,538,607
	1,734,358	Credit Suisse Group AG, (Registered)		49,324,207
	125	Geberit AG, (Registered)		43,849
	2,430	Givaudan S.A., (Registered)		4,048,201
	214,000	Holcim Ltd., (Registered)		18,797,199
	152,300	Kuehne & Nagel International AG, (Registered)		20,251,304
	238,700	Nestle S.A., (Registered)		18,496,124
	32,700	Novartis AG, (Registered)		2,961,258
	42,600	Schindler Holding AG		6,470,748
				156,621,735
		United Kingdom — 15.2%
	865,600	Diageo PLC		27,568,555
	621,100	GlaxoSmithKline PLC		16,536,899
	20,608,700	Lloyds Banking Group PLC(b)		26,195,142
	30,400	Meggitt PLC		263,205
	327,200	Schroders PLC		14,021,187
	100	Schroders PLC, (Non Voting)		3,295
	538,400	Smiths Group PLC		11,930,817
	5,472,000	Tesco PLC		26,594,926
	421,900	Willis Group Holdings PLC		18,268,270
	60,496	Wolseley PLC		3,314,035
	479,000	WPP PLC		10,438,307
				155,134,638
		Total Common Stocks (Identified Cost $929,095,508)		966,024,316

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark International Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 4.7%
$	48,317,803	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $48,317,816 on 7/01/2014 collateralized by $49,660,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $49,287,550 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $48,317,803)	$	48,317,803
		Total Investments — 99.6% (Identified Cost $977,413,311)(a)		1,014,342,119
		Other assets less liabilities — 0.4%		3,801,162
		Net Assets — 100.0%	$	1,018,143,281
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $977,413,311 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	$	51,995,517
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(15,066,709	)
		Net unrealized appreciation	$	36,928,808
	(b)	Non-income producing security.

At June 30, 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		9/17/2014	Australian Dollar		15,146,000	$	14,204,352	$	(606,520	)
Sell		3/18/2015	Swedish Krona		92,571,000		13,824,398		(36,312	)
Sell		12/17/2014	Swiss Franc		45,300,000		51,162,623		876,435
Total								$	233,603

¹ Counterparty is State Street Bank and Trust Company.

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Oakmark International Fund – (continued)

Industry Summary at June 30, 2014 (Unaudited)

Automobiles	11.9	%
Textiles, Apparel & Luxury Goods	8.7
Capital Markets	8.5
Banks	8.4
Insurance	7.6
Machinery	6.1
Beverages	6.0
Food Products	4.5
Professional Services	3.6
Industrial Conglomerates	3.5
Food & Staples Retailing	3.0
Chemicals	2.7
Technology Hardware, Storage & Peripherals	2.6
Pharmaceuticals	2.4
Software	2.2
Semiconductors & Semiconductor Equipment	2.1
Media	2.1
Marine	2.0
Other Investments, less than 2% each	7.0
Short-Term Investments	4.7
Total Investments	99.6
Other assets less liabilities (including forward foreign currency contracts)	0.4
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2014 (Unaudited)

Euro	35.1	%
British Pound	15.9
Swiss Franc	15.4
Japanese Yen	13.9
United States Dollar	7.0
Swedish Krona	4.5
Australian Dollar	4.3
South Korean Won	2.1
Other, less than 2% each	1.4
Total Investments	99.6
Other assets less liabilities (including forward foreign currency contracts)	0.4
Net Assets	100.0	%

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 97.9% of Net Assets
		Aerospace & Defense — 1.8%
	53,675	Esterline Technologies Corp.(b)	$	6,179,066
		Banks — 8.9%
	142,150	Capital Bank Financial Corp., Class A(b)		3,356,161
	430,680	FirstMerit Corp.		8,505,930
	97,850	Prosperity Bancshares, Inc.		6,125,410
	175,500	Union Bankshares Corp.		4,501,575
	267,150	Webster Financial Corp.		8,425,911
				30,914,987
		Building Products — 1.0%
	38,450	Lennox International, Inc.		3,443,967
		Capital Markets — 2.5%
	120,475	LPL Financial Holdings, Inc.		5,992,426
	147,950	TCP Capital Corp.		2,694,170
				8,686,596
		Chemicals — 1.0%
	154,225	Taminco Corp.(b)		3,587,274
		Commercial Services & Supplies — 2.4%
	260,925	KAR Auction Services, Inc.		8,315,680
		Communications Equipment — 2.1%
	213,075	CommScope Holding Co., Inc.(b)		4,928,425
	199,350	Ixia(b)		2,278,570
				7,206,995
		Consumer Finance — 2.9%
	92,150	First Cash Financial Services, Inc.(b)		5,306,918
	78,450	Portfolio Recovery Associates, Inc.(b)		4,670,129
				9,977,047
		Containers & Packaging — 5.2%
	645,200	Graphic Packaging Holding Co.(b)		7,548,840
	65,625	Packaging Corp. of America		4,691,531
	118,125	Silgan Holdings, Inc.		6,003,113
				18,243,484
		Electrical Equipment — 0.9%
	120,175	Thermon Group Holdings, Inc.(b)		3,163,006
		Electronic Equipment, Instruments & Components — 1.4%
	53,375	Littelfuse, Inc.		4,961,206
		Energy Equipment & Services — 2.2%
	213,550	Forum Energy Technologies, Inc.(b)		7,779,626
		Gas Utilities — 0.5%
	32,750	Atmos Energy Corp.		1,748,850
		Health Care Equipment & Supplies — 6.6%
	150,425	Alere, Inc.(b)		5,628,904
	110,150	Haemonetics Corp.(b)		3,886,092

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — continued
	120,325	Integra LifeSciences Holdings Corp.(b)	$	5,662,494
	98,250	Merit Medical Systems, Inc.(b)		1,483,575
	61,625	Teleflex, Inc.		6,507,600
				23,168,665
		Health Care Providers & Services — 3.2%
	113,550	Amsurg Corp.(b)		5,174,473
	65,275	Community Health Systems, Inc.(b)		2,961,527
	48,650	LifePoint Hospitals, Inc.(b)		3,021,165
				11,157,165
		Health Care Technology — 1.4%
	212,850	MedAssets, Inc.(b)		4,861,494
		Hotels, Restaurants & Leisure — 1.4%
	28,700	Bob Evans Farms, Inc.		1,436,435
	57,025	Jack in the Box, Inc.		3,412,376
				4,848,811
		Household Durables — 0.7%
	60,175	Ryland Group, Inc. (The)		2,373,302
		Insurance — 7.4%
	142,050	American Equity Investment Life Holding Co.		3,494,430
	112,775	Aspen Insurance Holdings Ltd.		5,122,241
	289,275	CNO Financial Group, Inc.		5,149,095
	152,512	HCC Insurance Holdings, Inc.		7,463,937
	72,975	Platinum Underwriters Holdings Ltd.		4,732,429
				25,962,132
		Internet & Catalog Retail — 1.3%
	77,925	HSN, Inc.		4,616,277
		IT Services — 5.5%
	158,675	Broadridge Financial Solutions, Inc.		6,607,227
	59,875	CACI International, Inc., Class A(b)		4,203,824
	120,025	iGATE Corp.(b)		4,367,709
	64,400	Jack Henry & Associates, Inc.		3,827,292
				19,006,052
		Machinery — 6.8%
	69,675	Actuant Corp., Class A		2,408,665
	118,350	Barnes Group, Inc.		4,561,209
	170,100	Hillenbrand, Inc.		5,548,662
	207,175	Rexnord Corp.(b)		5,831,976
	26,625	Standex International Corp.		1,983,030
	229,925	Wabash National Corp.(b)		3,276,431
				23,609,973
		Metals & Mining — 2.1%
	106,600	Globe Specialty Metals, Inc.		2,215,148
	69,375	Reliance Steel & Aluminum Co.		5,113,631
				7,328,779

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 3.8%
	311,350	Kodiak Oil & Gas Corp.(b)	$	4,530,143
	153,914	Oasis Petroleum, Inc.(b)		8,602,253
				13,132,396
		Paper & Forest Products — 1.0%
	54,875	Clearwater Paper Corp.(b)		3,386,885
		Professional Services — 2.4%
	47,150	Dun & Bradstreet Corp. (The)		5,195,930
	94,675	ICF International, Inc.(b)		3,347,708
				8,543,638
		REITs – Hotels — 1.3%
	675,250	Hersha Hospitality Trust		4,530,928
		REITs – Office Property — 0.7%
	58,450	Highwoods Properties, Inc.		2,451,978
		Road & Rail — 2.0%
	58,450	Celadon Group, Inc.		1,246,154
	110,650	Con-way, Inc.		5,577,867
				6,824,021
		Software — 7.0%
	118,450	BroadSoft, Inc.(b)		3,125,896
	66,025	CommVault Systems, Inc.(b)		3,246,449
	65,400	Ellie Mae, Inc.(b)		2,035,902
	56,475	Fair Isaac Corp.		3,600,846
	125,250	SS&C Technologies Holdings, Inc.(b)		5,538,555
	141,525	Verint Systems, Inc.(b)		6,941,801
				24,489,449
		Specialty Retail — 6.7%
	144,672	Aaron’s, Inc.		5,156,110
	77,175	Abercrombie & Fitch Co., Class A		3,337,819
	126,500	GNC Holdings, Inc., Class A		4,313,650
	53,600	Group 1 Automotive, Inc.		4,519,016
	111,025	Men’s Wearhouse, Inc. (The)		6,195,195
				23,521,790
		Textiles, Apparel & Luxury Goods — 1.7%
	88,900	Steven Madden Ltd.(b)		3,049,270
	113,500	Wolverine World Wide, Inc.		2,957,810
				6,007,080
		Trading Companies & Distributors — 2.1%
	30,725	DXP Enterprises, Inc.(b)		2,320,966
	58,000	WESCO International, Inc.(b)		5,010,040
				7,331,006
		Total Common Stocks (Identified Cost $265,774,692)		341,359,605

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
	Closed-End Investment Companies — 0.8%
	151,250	Ares Capital Corp. (Identified Cost $2,409,228)	$	2,701,325
Principal Amount
	Short-Term Investments — 1.1%
$	3,807,211	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $3,807,212 on 7/01/2014 collateralized by $3,985,000 Federal National Mortgage Association, 1.630% due 1/10/2020 valued at $3,885,375 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,807,211)		3,807,211
		Total Investments — 99.8% (Identified Cost $271,991,131)(a)		347,868,141
		Other assets less liabilities — 0.2%		857,438
		Net Assets — 100.0%	$	348,725,579
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $271,991,131 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	$	77,541,107
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,664,097	)
		Net unrealized appreciation	$	75,877,010
	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Industry Summary at June 30, 2014 (Unaudited)

Banks	8.9	%
Insurance	7.4
Software	7.0
Machinery	6.8
Specialty Retail	6.7
Health Care Equipment & Supplies	6.6
IT Services	5.5
Containers & Packaging	5.2
Oil, Gas & Consumable Fuels	3.8
Health Care Providers & Services	3.2
Consumer Finance	2.9
Capital Markets	2.5
Professional Services	2.4
Commercial Services & Supplies	2.4
Energy Equipment & Services	2.2
Trading Companies & Distributors	2.1
Metals & Mining	2.1
Communications Equipment	2.1
Road & Rail	2.0
Other Investments, less than 2% each	16.9
Short-Term Investments	1.1
Total Investments	99.8
Other assets less liabilities	0.2
Net Assets	100.0	%

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 95.4% of Net Assets
		Auto Components — 2.2%
	145,075	Delphi Automotive PLC	$	9,972,455
	84,125	Tenneco, Inc.(b)		5,527,013
				15,499,468
		Banks — 7.1%
	223,475	CIT Group, Inc.		10,226,216
	423,700	Fifth Third Bancorp		9,045,995
	916,125	Investors Bancorp, Inc.		10,123,181
	293,100	PacWest Bancorp		12,653,127
	842,600	Regions Financial Corp.		8,948,412
				50,996,931
		Capital Markets — 3.0%
	213,775	LPL Financial Holdings, Inc.		10,633,169
	330,825	SEI Investments Co.		10,841,135
				21,474,304
		Chemicals — 1.3%
	134,425	FMC Corp.		9,569,716
		Commercial Services & Supplies — 0.9%
	193,475	KAR Auction Services, Inc.		6,166,048
		Communications Equipment — 1.5%
	462,375	CommScope Holding Co., Inc.(b)		10,694,734
		Construction & Engineering — 1.0%
	205,050	Quanta Services, Inc.(b)		7,090,629
		Consumer Finance — 1.9%
	231,150	Portfolio Recovery Associates, Inc.(b)		13,760,360
		Containers & Packaging — 4.7%
	245,000	Crown Holdings, Inc.(b)		12,191,200
	332,775	Owens-Illinois, Inc.(b)		11,527,326
	137,325	Packaging Corp. of America		9,817,364
				33,535,890
		Diversified Financial Services — 1.5%
	284,350	NASDAQ OMX Group, Inc. (The)		10,981,597
		Energy Equipment & Services — 3.1%
	219,600	Atwood Oceanics, Inc.(b)		11,524,608
	293,100	Superior Energy Services, Inc.		10,592,634
				22,117,242
		Health Care Equipment & Supplies — 1.6%
	311,475	Alere, Inc.(b)		11,655,395
		Health Care Providers & Services — 3.8%
	244,275	Community Health Systems, Inc.(b)		11,082,757
	287,300	HCA Holdings, Inc.(b)		16,197,974
				27,280,731

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Health Care Technology — 1.5%
	472,075	MedAssets, Inc.(b)	$	10,782,193
		Household Durables — 4.3%
	82,200	Harman International Industries, Inc.		8,830,746
	215,700	Jarden Corp.(b)		12,801,795
	211,825	Lennar Corp., Class A		8,892,413
				30,524,954
		Household Products — 1.4%
	113,150	Spectrum Brands Holdings, Inc.		9,734,295
		Insurance — 4.0%
	355,000	First American Financial Corp.		9,865,450
	124,775	Reinsurance Group of America, Inc., Class A		9,844,747
	225,350	Validus Holdings Ltd.		8,617,384
				28,327,581
		Internet & Catalog Retail — 1.6%
	189,600	HSN, Inc.		11,231,904
		Internet Software & Services — 1.4%
	143,125	IAC/InterActiveCorp		9,908,544
		IT Services — 8.2%
	169,250	CACI International, Inc., Class A(b)		11,883,042
	189,600	Fiserv, Inc.(b)		11,436,672
	158,650	Global Payments, Inc.		11,557,653
	567,175	Sabre Corp.(b)		11,371,859
	405,300	Total System Services, Inc.		12,730,473
				58,979,699
		Machinery — 4.6%
	86,075	Flowserve Corp.		6,399,676
	128,675	Pentair PLC		9,280,041
	59,950	Snap-on, Inc.		7,105,274
	98,650	WABCO Holdings, Inc.(b)		10,537,793
				33,322,784
		Media — 1.5%
	171,175	AMC Networks, Inc., Class A(b)		10,525,551
		Metals & Mining — 4.9%
	184,750	Carpenter Technology Corp.		11,685,438
	447,875	Constellium NV, Class A(b)		14,358,872
	124,775	Reliance Steel & Aluminum Co.		9,197,165
				35,241,475
		Oil, Gas & Consumable Fuels — 3.0%
	178,950	Gulfport Energy Corp.(b)		11,238,060
	134,425	Noble Energy, Inc.		10,412,560
				21,650,620

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 2.1%
	42,700	Mallinckrodt PLC(b)	$	3,416,854
	91,011	Valeant Pharmaceuticals International, Inc.(b)		11,478,307
				14,895,161
		Road & Rail — 3.2%
	226,325	Con-way, Inc.		11,409,043
	408,225	Hertz Global Holdings, Inc.(b)		11,442,547
				22,851,590
		Semiconductors & Semiconductor Equipment — 5.1%
	171,175	Avago Technologies Ltd.		12,336,582
	363,700	Micron Technology, Inc.(b)		11,983,915
	259,225	Skyworks Solutions, Inc.		12,173,206
				36,493,703
		Software — 2.4%
	132,500	Check Point Software Technologies Ltd.(b)		8,881,475
	434,325	Nuance Communications, Inc.(b)		8,152,280
				17,033,755
		Specialty Retail — 4.9%
	182,750	Cabela’s, Inc.(b)		11,403,600
	302,125	GNC Holdings, Inc., Class A		10,302,463
	118,950	Signet Jewelers Ltd.		13,154,680
				34,860,743
		Technology Hardware, Storage & Peripherals — 2.4%
	498,175	NCR Corp.(b)		17,480,961
		Textiles, Apparel & Luxury Goods — 1.5%
	92,825	PVH Corp.		10,823,395
		Trading Companies & Distributors — 3.8%
	371,475	HD Supply Holdings, Inc.(b)		10,546,175
	278,325	MRC Global, Inc.(b)		7,873,814
	86,075	United Rentals, Inc.(b)		9,014,635
				27,434,624
		Total Common Stocks (Identified Cost $584,136,565)		682,926,577
	Closed-End Investment Companies — 1.7%
	681,025	Ares Capital Corp. (Identified Cost $11,520,009)		12,163,106

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 3.2%
$	22,739,937	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $22,739,943 on 7/01/2014 collateralized by $23,080,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $23,195,400 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,739,937)	$	22,739,937
		Total Investments — 100.3% (Identified Cost $618,396,511)(a)		717,829,620
		Other assets less liabilities — (0.3)%		(2,390,575	)
		Net Assets — 100.0%	$	715,439,045
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $618,396,511 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	$	103,386,658
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,953,549	)
		Net unrealized appreciation	$	99,433,109
	(b)	Non-income producing security.

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund – (continued)

Industry Summary at June 30, 2014 (Unaudited)

IT Services	8.2	%
Banks	7.1
Semiconductors & Semiconductor Equipment	5.1
Metals & Mining	4.9
Specialty Retail	4.9
Containers & Packaging	4.7
Machinery	4.6
Household Durables	4.3
Insurance	4.0
Trading Companies & Distributors	3.8
Health Care Providers & Services	3.8
Road & Rail	3.2
Energy Equipment & Services	3.1
Oil, Gas & Consumable Fuels	3.0
Capital Markets	3.0
Technology Hardware, Storage & Peripherals	2.4
Software	2.4
Auto Components	2.2
Pharmaceuticals	2.1
Other Investments, less than 2% each	20.3
Short-Term Investments	3.2
Total Investments	100.3
Other assets less liabilities	(0.3	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  34

Statements of Assets and Liabilities

June 30, 2014 (Unaudited)

	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund*			Natixis Oakmark International Fund		Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	480,922,624		$	160,014,043		$	929,095,508	$	268,183,920		$	595,656,574
Repurchase agreement(s) at cost		13,055,000			22,324,457			48,317,803		3,807,211			22,739,937
Net unrealized appreciation		72,558,476			32,834,646			36,928,808		75,877,010			99,433,109
Investments at value		566,536,100			215,173,146			1,014,342,119		347,868,141			717,829,620
Cash		1,246			11,846			—		194,173			—
Foreign currency at value (identified cost $0, $0, $54, $0 and $0, respectively)		—			—			54		—			—
Receivable for Fund shares sold		67,829			8,741,759			9,272,286		140,294			2,677,549
Receivable for securities sold		3,137,323			—			2,013,934		3,980,646			15,799,000
Dividends and interest receivable		80,000			127,813			2,828,273		253,407			268,755
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			876,435		—			—
Tax reclaims receivable		—			—			876,392		—			—
TOTAL ASSETS		569,822,498			224,054,564			1,030,209,493		352,436,661			736,574,924
LIABILITIES
Payable for securities purchased		958,545			—			10,030,497		2,741,540			20,296,259
Payable for Fund shares redeemed		316,139			132,894			559,886		432,799			215,319
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			642,832		—			—
Management fees payable (Note 6)		328,297			117,441			693,942		256,143			456,637
Deferred Trustees’ fees (Note 6)		814,425			445,830			32,546		198,514			59,245
Administrative fees payable (Note 6)		19,887			7,256			35,229		12,284			24,632
Payable to distributor (Note 6d)		2,403			1,073			14,337		3,786			12,462
Other accounts payable and accrued expenses		123,153			78,294			56,943		66,016			71,325
TOTAL LIABILITIES		2,562,849			782,788			12,066,212		3,711,082			21,135,879
NET ASSETS	$	567,259,649		$	223,271,776		$	1,018,143,281	$	348,725,579		$	715,439,045
NET ASSETS CONSIST OF:
Paid-in capital	$	445,608,589		$	159,114,257		$	958,035,258	$	239,952,385		$	579,057,131
Accumulated net investment (loss)/Undistributed net investment income		(1,658,460	)		(77,898	)		11,101,490		(447,726	)		(664,478	)
Accumulated net realized gain on investments and foreign currency transactions		50,751,044			31,400,771			11,818,283		33,343,910			37,613,283
Net unrealized appreciation on investments and foreign currency translations		72,558,476			32,834,646			37,188,250		75,877,010			99,433,109
NET ASSETS	$	567,259,649		$	223,271,776		$	1,018,143,281	$	348,725,579		$	715,439,045

See accompanying notes to financial statements.

35  |

Statements of Assets and Liabilities (continued)

June 30, 2014 (Unaudited)

	CGM Advisor Targeted Equity Fund		Natixis Oakmark Fund*		Natixis Oakmark International Fund		Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	485,323,630	$	175,419,167	$	661,741,967	$	152,356,140	$	113,484,061
Shares of beneficial interest		41,307,927		7,889,052		47,354,153		6,607,492		5,142,280
Net asset value and redemption price per share	$	11.75	$	22.24	$	13.97	$	23.06	$	22.07
Offering price per share (100/94.25 of net asset value) (Note 1)	$	12.47	$	23.60	$	14.82	$	24.47	$	23.42
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,492,225	$	1,026,231	$	—	$	1,405,406	$	—
Shares of beneficial interest		147,121		50,780		—		78,232		—
Net asset value and offering price per share	$	10.14	$	20.21	$	—	$	17.96	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	34,184,466	$	25,831,683	$	356,401,314	$	30,905,620	$	30,754,327
Shares of beneficial interest		3,396,000		1,284,472		25,986,806		1,721,924		1,438,029
Net asset value and offering price per share	$	10.07	$	20.11	$	13.71	$	17.95	$	21.39
Class N shares:
Net assets	$	—	$	—	$	—	$	—	$	9,021,161
Shares of beneficial interest		—		—		—		—		405,781
Net asset value, offering and redemption price per share	$	—	$	—	$	—	$	—	$	22.23
Class Y shares:
Net assets	$	46,259,328	$	20,994,695	$	—	$	164,058,413	$	562,179,496
Shares of beneficial interest		3,806,084		909,861		—		6,981,616		25,253,060
Net asset value, offering and redemption price per share	$	12.15	$	23.07	$	—	$	23.50	$	22.26

* Formerly Harris Associates Large Cap Value Fund.

See accompanying notes to financial statements.

|  36

Statements of Operations

For the Six Months Ended June 30, 2014 (Unaudited)

	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund*			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	2,483,949		$	1,547,091		$	18,344,766
Interest		12			47			125
Less net foreign taxes withheld		(4,490	)		(24,536	)		(1,620,710	)
		2,479,471			1,522,602			16,724,181
Expenses
Management fees (Note 6)		1,988,080			618,901			3,402,803
Service and distribution fees (Note 6)		774,890			253,254			2,114,648
Administrative fees (Note 6)		121,539			38,491			174,112
Trustees’ fees and expenses (Note 6)		18,142			12,838			13,340
Transfer agent fees and expenses (Note 6)		229,268			99,386			314,626
Audit and tax services fees		23,559			21,448			22,107
Custodian fees and expenses		14,130			11,562			162,506
Legal fees		2,992			827			3,748
Registration fees		30,855			52,554			73,993
Shareholder reporting expenses		22,438			11,677			24,764
Miscellaneous expenses		12,053			7,509			14,155
Total expenses		3,237,946			1,128,447			6,320,802
Net investment income (loss)		(758,475	)		394,155			10,403,379
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		51,167,336			32,053,917			14,465,093
Foreign currency transactions		162			23			(1,171,785	)
Net change in unrealized appreciation (depreciation) on:
Investments		(19,055,290	)		(20,579,579	)		(7,168,077	)
Foreign currency translations		—			—			987,766
Net realized and unrealized gain on investments and foreign currency transactions		32,112,208			11,474,361			7,112,997
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	31,353,733		$	11,868,516		$	17,516,376

* Formerly Harris Associates Large Cap Value Fund.

See accompanying notes to financial statements.

37  |

Statements of Operations (continued)

For the Six Months Ended June 30, 2014 (Unaudited)

	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	2,023,465		$	2,539,650
Interest		18			48
		2,023,483			2,539,698
Expenses
Management fees (Note 6)		1,539,844			2,284,103
Service and distribution fees (Note 6)		346,389			247,340
Administrative fees (Note 6)		74,484			124,193
Trustees’ fees and expenses (Note 6)		11,842			12,197
Transfer agent fees and expenses (Note 6)		187,357			304,285
Audit and tax services fees		20,460			19,858
Custodian fees and expenses		15,446			18,291
Legal fees		1,830			2,706
Registration fees		31,168			106,022
Shareholder reporting expenses		16,906			17,223
Miscellaneous expenses		12,400			10,812
Total expenses		2,258,126			3,147,030
Fee/expense recovery (Note 6)		—			20
Net expenses		—			3,147,050
Net investment loss		(234,643	)		(607,352	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		34,508,134			38,762,062
Net change in unrealized appreciation (depreciation) on:
Investments		(12,857,443	)		9,369,838
Net realized and unrealized gain on investments		21,650,691			48,131,900
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	21,416,048		$	47,524,548

See accompanying notes to financial statements.

|  38

Statements of Changes in Net Assets

	CGM Advisor Targeted Equity Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment loss	$	(758,475	)	$	(1,138,950	)
Net realized gain on investments and foreign currency transactions		51,167,498			98,423,883
Net change in unrealized appreciation (depreciation) on investments		(19,055,290	)		46,132,544
Net increase in net assets resulting from operations		31,353,733			143,417,477
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(4,304	)
Class B		—			(97	)
Class C		—			(360	)
Class Y		—			(464	)
Net realized capital gains
Class A		(14,477,715	)		(64,422,015	)
Class B		(61,939	)		(319,115	)
Class C		(1,228,632	)		(5,418,797	)
Class Y		(1,396,582	)		(6,313,726	)
Total distributions		(17,164,868	)		(76,478,878	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		(28,749,898	)		(11,961,194	)
Net increase (decrease) in net assets		(14,561,033	)		54,977,405
NET ASSETS
Beginning of the period		581,820,682			526,843,277
End of the period	$	567,259,649		$	581,820,682
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(1,658,460	)	$	(899,985	)

See accompanying notes to financial statements.

39  |

Statements of Changes in Net Assets (continued)

	Natixis Oakmark Fund*
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	394,155		$	459,080
Net realized gain on investments and foreign currency transactions		32,053,940			16,250,184
Net change in unrealized appreciation (depreciation) on investments		(20,579,579	)		32,080,893
Net increase in net assets resulting from operations		11,868,516			48,790,157
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(432,563	)
Class Y		—			(70,778	)
Net realized capital gains
Class A		(3,498,484	)		(4,641,585	)
Class B		(32,778	)		(53,345	)
Class C		(330,730	)		(294,950	)
Class Y		(435,227	)		(435,710	)
Total distributions		(4,297,219	)		(5,928,931	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		46,298,099			(7,589,261	)
Net increase in net assets		53,869,396			35,271,965
NET ASSETS
Beginning of the period		169,402,380			134,130,415
End of the period	$	223,271,776		$	169,402,380
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(77,898	)	$	(472,053	)

* Formerly Harris Associates Large Cap Value Fund.

See accompanying notes to financial statements.

|  40

Statements of Changes in Net Assets (continued)

	Natixis Oakmark International Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	10,403,379		$	415,827
Net realized gain on investments and foreign currency transactions		13,293,308			11,401,208
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(6,180,311	)		36,596,500
Net increase in net assets resulting from operations		17,516,376			48,413,535
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(91,934	)		(1,179,127	)
Class C		(54,100	)		(154,136	)
Net realized capital gains
Class A		(743,149	)		(3,755,164	)
Class C		(437,306	)		(2,995,185	)
Total distributions		(1,326,489	)		(8,083,612	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		450,125,094			441,801,535
Net increase in net assets		466,314,981			482,131,458
NET ASSETS
Beginning of the period		551,828,300			69,696,842
End of the period	$	1,018,143,281		$	551,828,300
UNDISTRIBUTED NET INVESTMENT INCOME	$	11,101,490		$	844,145

See accompanying notes to financial statements.

41  |

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(234,643	)	$	1,290,060
Net realized gain on investments		34,508,134			58,527,986
Net change in unrealized appreciation (depreciation) on investments		(12,857,443	)		50,817,080
Net increase in net assets resulting from operations		21,416,048			110,635,126
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(368,339	)
Class B		—			(812	)
Class C		—			(8,031	)
Class Y		—			(821,635	)
Net realized capital gains
Class A		(4,587,599	)		(23,147,106	)
Class B		(68,029	)		(433,209	)
Class C		(1,199,019	)		(5,802,683	)
Class Y		(4,980,114	)		(25,293,191	)
Total distributions		(10,834,761	)		(55,875,006	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		(12,400,616	)		(27,872,472	)
Increase from class action settlements (Note 8)		201,690			—
Net increase (decrease) in net assets		(1,617,639	)		26,887,648
NET ASSETS
Beginning of the period		350,343,218			323,455,570
End of the period	$	348,725,579		$	350,343,218
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(447,726	)	$	(213,083	)

See accompanying notes to financial statements.

|  42

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Value Opportunity Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(607,352	)	$	141,131
Net realized gain on investments		38,762,062			26,959,140
Net change in unrealized appreciation (depreciation) on investments		9,369,838			76,536,470
Net increase in net assets resulting from operations		47,524,548			103,636,741
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class N		—			(1	)
Class Y		—			(163,927	)
Net realized capital gains
Class A		(934,042	)		(3,567,518	)
Class C		(248,968	)		(1,069,705	)
Class N		(78,221	)		(60	)
Class Y		(4,114,268	)		(18,839,663	)
Total distributions		(5,375,499	)		(23,640,874	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)		223,746,754			174,487,517
Net increase in net assets		265,895,803			254,483,384
NET ASSETS
Beginning of the period		449,543,242			195,059,858
End of the period	$	715,439,045		$	449,543,242
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(664,478	)	$	(57,126	)

See accompanying notes to financial statements.

43  |

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|  44

Financial Highlights

For a share outstanding throughout the period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
CGM ADVISOR TARGETED EQUITY FUND
Class A
6/30/2014(f)	$	11.46	$	(0.01	)	$	0.65		$	0.64		$	—		$	(0.35	)	$	(0.35	)
12/31/2013		10.23		(0.02	)		2.94			2.92			(0.00	)		(1.69	)		(1.69	)
12/31/2012		9.36		0.08	(g)		1.36			1.44			(0.09	)		(0.48	)		(0.57	)
12/31/2011		11.12		0.05			(1.76	)		(1.71	)		(0.05	)		—			(0.05	)
12/31/2010		9.54		0.05	(h)		1.58			1.63			(0.05	)		—			(0.05	)
12/31/2009		7.66		0.05			1.88			1.93			(0.05	)		—			(0.05	)
Class B
6/30/2014(f)		9.98		(0.05	)		0.56			0.51			–			(0.35	)		(0.35	)
12/31/2013		9.15		(0.10	)		2.62			2.52			(0.00	)		(1.69	)		(1.69	)
12/31/2012		8.41		(0.00	)(g)		1.22			1.22			(0.00	)		(0.48	)		(0.48	)
12/31/2011		10.01		(0.03	)		(1.57	)		(1.60	)		—			—			—
12/31/2010		8.61		(0.02	)(h)		1.42			1.40			(0.00	)		—			(0.00	)
12/31/2009		6.92		(0.01	)		1.70			1.69			—			—			—
Class C
6/30/2014(f)		9.91		(0.05	)		0.56			0.51			—			(0.35	)		(0.35	)
12/31/2013		9.09		(0.10	)		2.61			2.51			(0.00	)		(1.69	)		(1.69	)
12/31/2012		8.37		(0.00	)(g)		1.20			1.20			(0.00	)		(0.48	)		(0.48	)
12/31/2011		9.96		(0.03	)		(1.56	)		(1.59	)		—			—			—
12/31/2010		8.57		(0.02	)(h)		1.41			1.39			(0.00	)		—			(0.00	)
12/31/2009		6.89		(0.01	)		1.69			1.68			(0.00	)		—			(0.00	)
Class Y
6/30/2014(f)		11.83		0.00			0.67			0.67			—			(0.35	)		(0.35	)
12/31/2013		10.49		0.01			3.02			3.03			(0.00	)		(1.69	)		(1.69	)
12/31/2012		9.59		0.11	(g)		1.39			1.50			(0.12	)		(0.48	)		(0.60	)
12/31/2011		11.40		0.07			(1.80	)		(1.73	)		(0.08	)		—			(0.08	)
12/31/2010		9.78		0.07	(h)		1.63			1.70			(0.08	)		—			(0.08	)
12/31/2009		7.84		0.06			1.96			2.02			(0.08	)		—			(0.08	)

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

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

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

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

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

(f) For the six months ended June 30, 2014 (Unaudited).

See accompanying notes to financial statements.

45  |

							Ratios to Average Net Assets:
Net asset value, end of the  period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)		Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
$	11.75		5.83		$	485,324		1.13		1.13		(0.24	)		124
	11.46		29.01			493,102		1.17		1.17		(0.17	)		205
	10.23		15.44	(g)		438,288		1.18		1.18		0.78	(g)		192
	9.36		(15.36	)		503,330		1.13		1.13		0.45			236
	11.12		17.14			753,518		1.16		1.16		0.52	(h)		146
	9.54		25.19			693,386		1.19		1.19		0.69			170
	10.14		5.39			1,492		1.88		1.88		(0.99	)		124
	9.98		28.06			2,205		1.91		1.91		(0.94	)		205
	9.15		14.54	(g)		3,447		1.93		1.93		(0.05	)(g)		192
	8.41		(15.98	)		5,296		1.88		1.88		(0.32	)		236
	10.01		16.26			9,934		1.91		1.91		(0.28	)(h)		146
	8.61		24.42			12,401		1.94		1.94		(0.11	)		170
	10.07		5.43			34,184		1.88		1.88		(0.99	)		124
	9.91		28.13			36,417		1.91		1.91		(0.92	)		205
	9.09		14.45	(g)		35,225		1.93		1.93		(0.02	)(g)		192
	8.37		(15.96	)		47,416		1.88		1.88		(0.32	)		236
	9.96		16.22			81,291		1.91		1.91		(0.23	)(h)		146
	8.57		24.42			75,098		1.95		1.95		(0.14	)		170
	12.15		5.91			46,259		0.88		0.88		0.01			124
	11.83		29.34			50,096		0.91		0.91		0.08			205
	10.49		15.69	(g)		49,884		0.93		0.93		1.02	(g)		192
	9.59		(15.16	)		57,003		0.87		0.87		0.62			236
	11.40		17.39			137,631		0.91		0.91		0.69	(h)		146
	9.78		25.75			265,441		0.94		0.94		0.64			170

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

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

See accompanying notes to financial statements.

|  46

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions (b)
NATIXIS OAKMARK FUND*
Class A
6/30/2014(g)	$	21.40	$	0.05		$	1.32		$	1.37		$	—		$	(0.53	)	$	(0.53	)
12/31/2013		16.09		0.06			6.03			6.09			(0.07	)		(0.71	)		(0.78	)
12/31/2012		13.86		0.12			2.24			2.36			(0.13	)		—			(0.13	)
12/31/2011		14.17		0.08			(0.30	)		(0.22	)		(0.09	)		—			(0.09	)
12/31/2010		12.58		0.05			1.60			1.65			(0.06	)		—			(0.06	)
12/31/2009		8.77		0.05	(j)		3.81			3.86			(0.05	)		—			(0.05	)
Class B
6/30/2014(g)		19.57		(0.03	)		1.20			1.17			—			(0.53	)		(0.53	)
12/31/2013		14.83		(0.07	)		5.52			5.45			—			(0.71	)		(0.71	)
12/31/2012		12.76		(0.01	)		2.08			2.07			—			—			—
12/31/2011		13.07		(0.03	)		(0.28	)		(0.31	)		(0.00	)		—			(0.00	)
12/31/2010		11.65		(0.05	)		1.48			1.43			(0.01	)		—			(0.01	)
12/31/2009		8.16		(0.02	)(j)		3.52			3.50			(0.01	)		—			(0.01	)
Class C
6/30/2014(g)		19.48		(0.03	)		1.19			1.16			—			(0.53	)		(0.53	)
12/31/2013		14.75		(0.07	)		5.51			5.44			—			(0.71	)		(0.71	)
12/31/2012		12.72		0.00			2.05			2.05			(0.02	)		—			(0.02	)
12/31/2011		13.02		(0.03	)		(0.27	)		(0.30	)		(0.00	)		—			(0.00	)
12/31/2010		11.61		(0.05	)		1.47			1.42			(0.01	)		—			(0.01	)
12/31/2009		8.13		(0.02	)(j)		3.51			3.49			(0.01	)		—			(0.01	)
Class Y
6/30/2014(g)		22.16		0.08			1.36			1.44			—			(0.53	)		(0.53	)
12/31/2013		16.63		0.11			6.24			6.35			(0.11	)		(0.71	)		(0.82	)
12/31/2012		14.32		0.17			2.31			2.48			(0.17	)		—			(0.17	)
12/31/2011		14.65		0.12			(0.33	)		(0.21	)		(0.12	)		—			(0.12	)
12/31/2010		12.99		0.08			1.67			1.75			(0.09	)		—			(0.09	)
12/31/2009		9.05		0.08	(j)		3.93			4.01			(0.07	)		—			(0.07	)

* Formerly Harris Associates Large Cap Value Fund

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

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

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

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

See accompanying notes to financial statements.

47  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$  —	$	22.24		6.55		$	175,419		1.24			1.24			0.49			68
	—		21.40		37.82			145,270		1.30	(h)		1.30	(h)		0.33			29
	—		16.09		17.03			113,870		1.30			1.33			0.77			25
	—		13.86		(1.56	)		107,978		1.30	(i)		1.30	(i)		0.57			36
	—		14.17		13.08			118,938		1.30			1.39			0.36			32
	0.00		12.58		44.03			113,309		1.30			1.50			0.53			131
	—		20.21		6.13			1,026		1.98			1.98			(0.27	)		68
	—		19.57		36.75			1,532		2.05	(h)		2.05	(h)		(0.43	)		29
	—		14.83		16.22			2,145		2.05			2.08			(0.04	)		25
	—		12.76		(2.34	)		3,341		2.05	(i)		2.05	(i)		(0.21	)		36
	—		13.07		12.31			5,614		2.05			2.13			(0.40	)		32
	0.00		11.65		42.88			7,864		2.05			2.25			(0.22	)		131
	—		20.11		6.11			25,832		2.00			2.00			(0.27	)		68
	—		19.48		36.88			8,425		2.05	(h)		2.05	(h)		(0.42	)		29
	—		14.75		16.13			6,016		2.05			2.08			0.02			25
	—		12.72		(2.28	)		5,667		2.05	(i)		2.05	(i)		(0.19	)		36
	—		13.02		12.26			7,399		2.05			2.14			(0.39	)		32
	0.00		11.61		42.91			7,208		2.05			2.25			(0.22	)		131
	—		23.07		6.64			20,995		0.99			0.99			0.70			68
	—		22.16		38.21			14,176		1.05	(h)		1.05	(h)		0.54			29
	—		16.63		17.33			12,100		1.05			1.09			1.04			25
	—		14.32		(1.40	)		7,567		1.05	(i)		1.05	(i)		0.80			36
	—		14.65		13.47			9,586		1.05			1.14			0.61			32
	0.00		12.99		44.39			7,450		1.05			1.12			0.77			131

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

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

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

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

See accompanying notes to financial statements.

|  48

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
NATIXIS OAKMARK INTERNATIONAL FUND
Class A
6/30/2014(g)	$	13.74	$	0.20		$	0.05		$	0.25		$	(0.00	)	$	(0.02	)	$	(0.02	)
12/31/2013		10.94		0.07			2.99			3.06			(0.08	)		(0.18	)		(0.26	)
12/31/2012		8.68		0.14			2.35			2.49			(0.23	)		—			(0.23	)
12/31/2011		10.16		0.09	(i)		(1.57	)		(1.48	)		(0.00	)		(0.00	)		(0.00	)
12/31/2010(j)		10.00		0.00			0.16			0.16			(0.00	)		—			(0.00	)
Class C
6/30/2014(g)		13.53		0.14			0.06			0.20			(0.00	)		(0.02	)		(0.02	)
12/31/2013		10.82		(0.02	)		2.94			2.92			(0.03	)		(0.18	)		(0.21	)
12/31/2012		8.61		0.06			2.34			2.40			(0.19	)		—			(0.19	)
12/31/2011		10.15		0.02	(i)		(1.56	)		(1.54	)		(0.00	)		(0.00	)		(0.00	)
12/31/2010(j)		10.00		(0.00	)		0.15			0.15			(0.00	)		—			(0.00	)

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

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

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

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

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

See accompanying notes to financial statements.

49  |

							Ratios to Average Net Assets:
Net asset value, end of the  period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	13.97		1.83		$	661,742		1.30			1.30			2.94			9
	13.74		28.13			314,579		1.44	(h)		1.44	(h)		0.52			20
	10.94		28.78			35,555		1.45			1.64			1.50			53
	8.68		(14.55	)(i)		33,852		1.45			1.87			0.93	(i)		48
	10.16		1.62			5,487		1.45			22.77			0.23			0	(k)
	13.71		1.49			356,401		2.05			2.05			2.03			9
	13.53		27.13			237,250		2.19	(h)		2.19	(h)		(0.14	)		20
	10.82		27.93			34,142		2.20			2.39			0.59			53
	8.61		(15.17	)(i)		13,501		2.20			2.59			0.20	(i)		48
	10.15		1.52			700		2.20			25.08			(0.08	)		0	(k)

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

(g) For the six months ended June 30, 2014 (Unaudited).

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

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

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

(k) Amount rounds to less than 1%.

See accompanying notes to financial statements.

|  50

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
VAUGHAN NELSON SMALL CAP VALUE FUND
Class A
6/30/2014(g)	$	22.34	$	(0.02	)	$	1.42		$	1.40		$	—		$	(0.69	)	$	(0.69	)
12/31/2013		18.97		0.07	(h)		7.14			7.21			(0.06	)		(3.78	)		(3.84	)
12/31/2012		17.74		0.13	(j)		2.50			2.63			(0.14	)		(1.26	)		(1.40	)
12/31/2011		22.69		0.10			(0.83	)		(0.73	)		(0.09	)		(4.13	)		(4.22	)
12/31/2010		22.31		(0.01	)		5.27			5.26			—			(4.90	)		(4.90	)
12/31/2009		17.42		0.05	(k)		4.88			4.93			(0.04	)		—			(0.04	)
Class B
6/30/2014(g)		17.63		(0.09	)		1.10			1.01			—			(0.69	)		(0.69	)
12/31/2013		15.65		(0.07	)(h)		5.84			5.77			(0.01	)		(3.78	)		(3.79	)
12/31/2012		14.84		(0.02	)(j)		2.09			2.07			—			(1.26	)		(1.26	)
12/31/2011		19.73		(0.07	)		(0.69	)		(0.76	)		(0.00	)		(4.13	)		(4.13	)
12/31/2010		20.06		(0.17	)		4.72			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.09	)(k)		4.39			4.30			—			—			—
Class C
6/30/2014(g)		17.61		(0.08	)		1.10			1.02			—			(0.69	)		(0.69	)
12/31/2013		15.64		(0.07	)(h)		5.83			5.76			(0.01	)		(3.78	)		(3.79	)
12/31/2012		14.85		(0.01	)(j)		2.08			2.07			(0.02	)		(1.26	)		(1.28	)
12/31/2011		19.74		(0.06	)		(0.70	)		(0.76	)		—			(4.13	)		(4.13	)
12/31/2010		20.07		(0.16	)		4.71			4.55			—			(4.90	)		(4.90	)
12/31/2009		15.76		(0.08	)(k)		4.39			4.31			—			—			—
Class Y
6/30/2014(g)		22.73		0.01			1.44			1.45			—			(0.69	)		(0.69	)
12/31/2013		19.24		0.13	(h)		7.26			7.39			(0.12	)		(3.78	)		(3.90	)
12/31/2012		17.99		0.18	(j)		2.53			2.71			(0.20	)		(1.26	)		(1.46	)
12/31/2011		22.96		0.15			(0.84	)		(0.69	)		(0.15	)		(4.13	)		(4.28	)
12/31/2010		22.47		0.06			5.31			5.37			—			(4.90	)		(4.90	)
12/31/2009		17.55		0.12	(k)		4.90			5.02			(0.10	)		—			(0.10	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

See accompanying notes to financial statements.

51  |

									Ratios to Average Net Assets:
Increase from class action/ regulatory settlements		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
$	0.01	$	23.06		6.46		$	152,356		1.37			1.37			(0.19	)		30
	—		22.34		39.01	(h)		152,792		1.39	(i)		1.39	(i)		0.33	(h)		58
	—		18.97		14.93	(j)		160,400		1.39			1.39			0.67	(j)		73
	—		17.74		(3.77	)		228,445		1.36			1.36			0.44			88
	0.02		22.69		23.67			267,192		1.41			1.41			(0.03	)		80
	—		22.31		28.30			322,961		1.45			1.49			0.27			102
	0.01		17.96		5.96			1,405		2.11			2.11			(1.03	)		30
	—		17.63		38.03	(h)		2,239		2.14	(i)		2.14	(i)		(0.40	)(h)		58
	—		15.65		14.12	(j)		3,106		2.14			2.14			(0.14	)(j)		73
	—		14.84		(4.51	)		4,657		2.11			2.11			(0.38	)		88
	0.02		19.73		22.78			7,996		2.16			2.16			(0.78	)		80
	—		20.06		27.28			10,630		2.20			2.24			(0.56	)		102
	0.01		17.95		6.03			30,906		2.12			2.12			(0.94	)		30
	—		17.61		37.99	(h)		31,476		2.14	(i)		2.14	(i)		(0.40	)(h)		58
	—		15.64		14.08	(j)		26,980		2.14			2.14			(0.07	)(j)		73
	—		14.85		(4.51	)		30,284		2.11			2.11			(0.33	)		88
	0.02		19.74		22.78			38,855		2.16			2.16			(0.76	)		80
	—		20.07		27.35			39,238		2.20			2.24			(0.48	)		102
	0.01		23.50		6.57			164,058		1.12			1.12			0.07			30
	—		22.73		39.43	(h)		163,836		1.14	(i)		1.14	(i)		0.59	(h)		58
	—		19.24		15.18	(j)		132,970		1.14			1.14			0.95	(j)		73
	—		17.99		(3.54	)		130,115		1.10			1.10			0.65			88
	0.02		22.96		24.00			217,305		1.16			1.16			0.24			80
	—		22.47		28.61			232,903		1.18	(l)		1.18	(l)		0.60			102

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

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

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

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

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

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Distributions from paid-in capital
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Class A
6/30/2014(g)	$	20.63	$	(0.04	)	$	1.68		$	1.64		$	—		$	(0.20	)	$	—
12/31/2013		15.49		(0.03	)		6.36			6.33			—			(1.19	)		—
12/31/2012		13.83		0.15	(h)		2.05			2.20			(0.14	)		(0.40	)		—
12/31/2011		14.75		(0.01	)		(0.39	)		(0.40	)		—			(0.52	)		—
12/31/2010		12.46		0.08	(j)		2.36			2.44			(0.07	)		(0.02	)		(0.06	)
12/31/2009		9.60		0.09			2.88			2.97			(0.04	)		(0.07	)		—
Class C
6/30/2014(g)		20.07		(0.12	)		1.64			1.52			—			(0.20	)		—
12/31/2013		15.21		(0.17	)		6.22			6.05			—			(1.19	)		—
12/31/2012		13.60		0.04	(h)		2.01			2.05			(0.04	)		(0.40	)		—
12/31/2011		14.63		(0.12	)		(0.39	)		(0.51	)		—			(0.52	)		—
12/31/2010		12.39		(0.03	)(j)		2.36			2.33			(0.04	)		(0.02	)		(0.03	)
12/31/2009		9.59		(0.02	)		2.89			2.87			(0.00	)		(0.07	)		—
Class N
6/30/2014(g)		20.76		(0.01	)		1.68			1.67			—			(0.20	)		—
12/31/2013(k)		17.53		(0.04	)		4.35			4.31			(0.02	)		(1.06	)		—
Class Y
6/30/2014(g)		20.78		(0.01	)		1.69			1.68			—			(0.20	)		—
12/31/2013		15.57		0.02			6.39			6.41			(0.01	)		(1.19	)		—
12/31/2012		13.89		0.18	(h)		2.08			2.26			(0.18	)		(0.40	)		—
12/31/2011		14.80		0.03			(0.41	)		(0.38	)		(0.01	)		(0.52	)		—
12/31/2010		12.49		0.12	(j)		2.37			2.49			(0.09	)		(0.02	)		(0.07	)
12/31/2009		9.60		0.10			2.90			3.00			(0.04	)		(0.07	)		—

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

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

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

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

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

See accompanying notes to financial statements.

53  |

									Ratios to Average Net Assets:
Total distributions		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$(0.20)	$	22.07		7.98		$	113,484		1.27			1.27			(0.37	)		33
	(1.19)		20.63		41.22			67,716		1.27			1.27			(0.13	)		39
	(0.54)		15.49		15.93	(h)		28,381		1.31			1.31			0.97	(h)		65
	(0.52)		13.83		(2.71	)		21,308		1.40	(i)		1.40	(i)		(0.07	)		75
	(0.15)		14.75		19.64			11,268		1.40			1.69			0.62	(j)		143
	(0.11)		12.46		30.98			3,645		1.40			5.24			0.79			45
	(0.20)		21.39		7.60			30,754		2.02			2.02			(1.13	)		33
	(1.19)		20.07		40.13			21,005		2.02			2.02			(0.89	)		39
	(0.44)		15.21		15.10	(h)		3,090		2.06			2.06			0.24	(h)		65
	(0.52)		13.60		(3.48	)		1,822		2.15	(i)		2.15	(i)		(0.83	)		75
	(0.09)		14.63		18.85			824		2.15			2.46			(0.23	)(j)		143
	(0.07)		12.39		30.01			370		2.15			8.54			(0.14	)		45
	(0.20)		22.23		8.07			9,021		0.92			0.92			(0.06	)		33
	(1.08)		20.76		24.70			1		1.03			2.07			(0.33	)		39
	(0.20)		22.26		8.11			562,179		1.02			1.02			(0.13	)		33
	(1.20)		20.78		41.52			360,820		1.02			1.02			0.12			39
	(0.58)		15.57		16.28	(h)		163,589		1.06			1.06			1.22	(h)		65
	(0.53)		13.89		(2.53	)		109,419		1.15	(i)		1.15	(i)		0.23			75
	(0.18)		14.80		19.96			40,715		1.15			1.43			0.92	(j)		143
	(0.11)		12.49		31.37			8,626		1.15			7.22			0.90			45

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

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

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

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

See accompanying notes to financial statements.

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Notes to Financial Statements

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

Natixis Funds Trust I:

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

Natixis Oakmark International Fund

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

Natixis Funds Trust II:

Natixis Oakmark Fund (formerly Harris Associates Large Cap Value Fund)

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

Each Fund is a diversified investment company.

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

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

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

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Notes to Financial Statements (continued)

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initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

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

As of June 30, 2014, approximately 92% of the market value of Natixis Oakmark International Fund’s investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, distribution redesignations, return of capital and capital gain distributions received, foreign currency gains and losses, distributions in excess of current earnings, passive foreign

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

investment companies adjustment and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, return of capital distributions received and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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

	2013 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Targeted Equity Fund	$	37,213,633	$	39,265,245	$	76,478,878
Natixis Oakmark Fund		503,341		5,425,590		5,928,931
Natixis Oakmark International Fund		1,974,167		6,109,445		8,083,612
Small Cap Value Fund		14,068,610		41,806,396		55,875,006
Value Opportunity Fund		4,109,936		19,530,938		23,640,874

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

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2014, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2014, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2014, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	553,481,100	$	—	$	—	$	553,481,100
Short-Term Investments		—		13,055,000		—		13,055,000
Total	$	553,481,100	$	13,055,000	$	—	$	566,536,100

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

Natixis Oakmark Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	192,848,689	$	—	$	—	$	192,848,689
Short-Term Investments		—		22,324,457		—		22,324,457
Total	$	192,848,689	$	22,324,457	$	—	$	215,173,146

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

Natixis Oakmark International Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	43,303,008	$	—	$	43,303,008
France		—		153,650,047		—		153,650,047
Germany		—		105,605,372		—		105,605,372
Ireland		—		25,917,688		—		25,917,688
Italy		—		33,398,945		—		33,398,945
Japan		—		141,817,106		—		141,817,106
Korea		—		21,652,628		—		21,652,628
Netherlands		—		72,501,365		—		72,501,365
Sweden		—		46,031,782		—		46,031,782
Switzerland		—		156,621,735		—		156,621,735
United Kingdom		18,268,270		136,866,368		—		155,134,638
All Other Common Stocks(a)		10,390,002		—		—		10,390,002
Total Common Stocks		28,658,272		937,366,044		—		966,024,316

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Natixis Oakmark International Fund (continued)

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments	$	—	$	48,317,803	$	—	$	48,317,803
Total Investments		28,658,272		985,683,847		—		1,014,342,119
Forward Foreign Currency Contracts (unrealized appreciation)		—		876,435		—		876,435
Total	$	28,658,272	$	986,560,282	$	—	$	1,015,218,554

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(642,832	)	$	—	$	(642,832	)

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

A common stock valued at $14,810,131 was transferred from Level 1 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At June 30, 2014, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.

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

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	341,359,605	$	—	$	—	$	341,359,605
Closed-End Investment Companies		2,701,325		—		—		2,701,325
Short-Term Investments		—		3,807,211		—		3,807,211
Total	$	344,060,930	$	3,807,211	$	—	$	347,868,141

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	682,926,577	$	—	$	—	$	682,926,577
Closed-End Investment Companies		12,163,106		—		—		12,163,106
Short-Term Investments		—		22,739,937		—		22,739,937
Total	$	695,089,683	$	22,739,937	$	—	$	717,829,620

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

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

The Fund 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.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	876,435

Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(642,832	)

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2014, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Foreign currency transactions1
Foreign exchange contracts	$	(994,482	)

Net Change in Unrealized Appreciation (Depreciation) on:	Foreign currency translations1
Foreign exchange contracts	$	959,951

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity , as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		7.46	%
Highest Notional Amount Outstanding		8.06	%
Lowest Notional Amount Outstanding		5.65	%
Notional Amount Outstanding as of June 30, 2014		7.78	%

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

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

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

As of June 30, 2014, gross amounts of derivative assets and liabilities not offset in the Statement of Assets & Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Natixis Oakmark International Fund

Counterparty	Gross Amounts of Assets		Offset Amount			Net Amount
State Street Bank and Trust Company	$	876,435	$	(642,832	)	$	233,603

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Natixis Oakmark International Fund (continued)

Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Amount
State Street Bank and Trust Company	$	(642,832	)	$	642,832	$	—

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, each as of June 30, 2014:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund	$	876,435	$	233,603

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	692,441,840	$	748,766,037
Natixis Oakmark Fund		134,703,880		114,540,115
Natixis Oakmark International Fund		518,405,363		66,026,364
Small Cap Value Fund		103,119,674		126,455,914
Value Opportunity Fund		389,693,648		183,781,188

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

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

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

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

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

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $200 Million			Over $200 Million
Natixis Oakmark Fund	Harris		0.52	%		0.50	%
Natixis Oakmark International Fund	Harris		0.60	%		0.60	%
Small Cap Value Fund	Vaughan Nelson		0.55	%		0.55	%
Value Opportunity Fund	Vaughan Nelson		0.50	%		0.50	%

Prior to February 28, 2014, Natixis Oakmark Fund paid a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:

			Percentage of Average Daily Net Assets
Fund	Subadviser		First $250 Million			Over $250 Million
Natixis Oakmark Fund		Harris		0.45	%		0.40	%

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

NGAM Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

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

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

For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:

	Gross Management Fees		Waivers of Management Fees 1		Net Management Fees		Percentage of Average Daily Net Assets
Fund							Gross			Net
Targeted Equity Fund	$	1,988,080	$	—	$	1,988,080		0.71	%		0.71%
Natixis Oakmark Fund		618,901		—		618,901		0.70	%		0.70%
Natixis Oakmark International Fund		3,402,803		—		3,402,803		0.85	%		0.85%
Small Cap Value Fund		1,539,844		—		1,539,844		0.90	%		0.90%
Value Opportunity Fund		2,284,103		—		2,284,103		0.80	%		0.80%

¹ Management fee waivers are subject to possible recovery until December 31, 2015.

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Notes to Financial Statements (continued)

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For the six months ended June 30, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:

Fund	Recovered Expenses
Value Opportunity Fund	$	20

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

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

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

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

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

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

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Notes to Financial Statements (continued)

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For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	593,640	$	2,193	$	43,119	$	6,580	$	129,358
Natixis Oakmark Fund		182,955		1,503		16,072		4,507		48,217
Natixis Oakmark International Fund		629,549		—		371,275		—		1,113,824
Small Cap Value Fund		185,677		2,113		38,065		6,338		114,196
Value Opportunity Fund		119,154		—		32,047		—		96,139

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

For the six months ended June 30, 2014, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Targeted Equity Fund	$	121,539
Natixis Oakmark Fund		38,491
Natixis Oakmark International Fund		174,112
Small Cap Value Fund		74,484
Value Opportunity Fund		124,193

Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were the following:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	91,775
Natixis Oakmark Fund		30,904
Natixis Oakmark International Fund		300,592
Small Cap Value Fund		137,736
Value Opportunity Fund		295,868

As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Targeted Equity Fund	$	2,403
Natixis Oakmark Fund		1,073
Natixis Oakmark International Fund		14,337
Small Cap Value Fund		3,786
Value Opportunity Fund		12,462

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

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Notes to Financial Statements (continued)

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e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014, were as follows:

Fund	Commissions
Targeted Equity Fund	$	79,656
Natixis Oakmark Fund		194,501
Natixis Oakmark International Fund		880,156
Small Cap Value Fund		8,441
Value Opportunity Fund		111,426

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

g.  Reimbursement of Transfer Agent Fees and Expenses.  Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Value Opportunity Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is effective through April 30, 2016.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the six months ended June 30, 2014, Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

	Class A		Class C		Class Y		Class N
Transfer Agent Fees and Expenses	$	50,841	$	13,833	$	239,598	$	13

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

8.  Class Action Settlements.  During the six months ended June 30, 2014, Small Cap Value Fund received a payment of $201,690 as part of a class action settlement related to a security previously held by the Fund. The payment has been included in “Increase from Class Action Settlements” on the Statements of Changes in Net Assets.

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

For the six months ended June 30, 2014 none of the Funds had borrowings under these agreements.

10.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2014, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	124,480

11.  Concentration of Risk.  The Natixis Oakmark International Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

12.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of >5% Non-Affiliated Account Shareholders		Percentage of Non-Affiliated Ownership
Small Cap Value Fund		2		14.36	%
Value Opportunity Fund		2		19.86	%

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	483,493		$	5,510,582		1,458,995		$	16,947,507
Issued in connection with the reinvestment of distributions	1,276,833			13,853,623		5,498,306			61,361,100
Redeemed	(3,484,489	)		(39,600,356	)	(6,773,819	)		(79,452,307	)
Net change	(1,724,163	)	$	(20,236,151	)	183,482		$	(1,143,700	)
Class B
Issued from the sale of shares	3,345		$	32,270		9,622		$	104,266
Issued in connection with the reinvestment of distributions	6,484			60,819		31,669			307,820
Redeemed	(83,733	)		(823,905	)	(197,033	)		(2,058,965	)
Net change	(73,904	)	$	(730,816	)	(155,742	)	$	(1,646,879	)
Class C
Issued from the sale of shares	102,419		$	985,285		346,867		$	3,419,390
Issued in connection with the reinvestment of distributions	85,070			792,005		357,986			3,454,570
Redeemed	(468,073	)		(4,528,466	)	(902,542	)		(9,267,379	)
Net change	(280,584	)	$	(2,751,176	)	(197,689	)	$	(2,393,419	)
Class Y
Issued from the sale of shares	353,080		$	4,084,526		1,018,288		$	12,174,489
Issued in connection with the reinvestment of distributions	88,591			993,990		385,629			4,442,449
Redeemed	(871,310	)		(10,110,271	)	(1,924,481	)		(23,394,134	)
Net change	(429,639	)	$	(5,031,755	)	(520,564	)	$	(6,777,196	)
Increase (decrease) from capital share transactions	(2,508,290	)	$	(28,749,898	)	(690,513	)	$	(11,961,194	)

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

13.  Capital Shares (continued).

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,835,890		$	39,711,523		594,097		$	11,371,063
Issued in connection with the reinvestment of distributions	155,838			3,263,246		206,364			4,393,477
Redeemed	(890,216	)		(18,999,268	)	(1,091,588	)		(20,603,657	)
Net change	1,101,512		$	23,975,501		(291,127	)	$	(4,839,117	)
Class B
Issued from the sale of shares	717		$	13,917		2,215		$	39,142
Issued in connection with the reinvestment of distributions	1,705			32,498		2,720			52,955
Redeemed	(29,902	)		(579,999	)	(71,336	)		(1,232,916	)
Net change	(27,480	)	$	(533,584	)	(66,401	)	$	(1,140,819	)
Class C
Issued from the sale of shares	891,860		$	17,468,220		77,627		$	1,397,844
Issued in connection with the reinvestment of distributions	11,361			215,527		10,127			196,273
Redeemed	(51,276	)		(989,836	)	(63,084	)		(1,112,010	)
Net change	851,945		$	16,693,911		24,670		$	482,107
Class Y
Issued from the sale of shares	397,081		$	8,820,735		423,721		$	8,459,458
Issued in connection with the reinvestment of distributions	18,685			405,824		20,978			462,557
Redeemed	(145,524	)		(3,064,288	)	(532,575	)		(11,013,447	)
Net change	270,242		$	6,162,271		(87,876	)	$	(2,091,432	)
Increase (decrease) from capital share transactions	2,196,219		$	46,298,099		(420,734	)	$	(7,589,261	)
Natixis Oakmark International Fund
Class A
Issued from the sale of shares	27,193,357		$	373,399,778		21,056,422		$	277,082,046
Issued in connection with the reinvestment of distributions	54,896			757,009		319,731			4,302,790
Redeemed	(2,795,457	)		(38,404,226	)	(1,725,547	)		(21,871,254	)
Net change	24,452,796		$	335,752,561		19,650,606		$	259,513,582
Class C
Issued from the sale of shares	9,258,067		$	125,197,647		14,898,386		$	188,703,775
Issued in connection with the reinvestment of distributions	24,730			335,344		162,333			2,145,259
Redeemed	(828,606	)		(11,160,458	)	(684,178	)		(8,561,081	)
Net change	8,454,191		$	114,372,533		14,376,541		$	182,287,953
Increase (decrease) from capital share transactions	32,906,987		$	450,125,094		34,027,147		$	441,801,535

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Notes to Financial Statements (continued)

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13.  Capital Shares (continued).

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	238,150		$	5,296,028		599,022		$	13,053,903
Issued in connection with the reinvestment of distributions	179,070			3,894,771		912,982			19,850,490
Redeemed	(647,780	)		(14,372,933	)	(3,131,075	)		(66,811,043	)
Net change	(230,560	)	$	(5,182,134	)	(1,619,071	)	$	(33,906,650	)
Class B
Issued from the sale of shares	7,513		$	131,328		11,456		$	209,832
Issued in connection with the reinvestment of distributions	4,005			68,009		25,074			431,817
Redeemed	(60,316	)		(1,049,378	)	(108,007	)		(1,942,239	)
Net change	(48,798	)	$	(850,041	)	(71,477	)	$	(1,300,590	)
Class C
Issued from the sale of shares	34,024		$	586,143		129,833		$	2,289,227
Issued in connection with the reinvestment of distributions	53,749			911,590		252,715			4,356,398
Redeemed	(153,279	)		(2,660,890	)	(320,688	)		(5,693,761	)
Net change	(65,506	)	$	(1,163,157	)	61,860		$	951,864
Class Y
Issued from the sale of shares	466,000		$	10,550,598		1,039,846		$	23,037,927
Issued in connection with the reinvestment of distributions	148,931			3,298,833		785,493			17,359,014
Redeemed	(841,188	)		(19,054,715	)	(1,527,529	)		(34,014,037	)
Net change	(226,257	)	$	(5,205,284	)	297,810		$	6,382,904
Increase (decrease) from capital share transactions	(571,121	)	$	(12,400,616	)	(1,330,878	)	$	(27,872,472	)

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Notes to Financial Statements (continued)

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13.  Capital Shares (continued).

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,400,464		$	49,739,845		1,783,255		$	33,448,462
Issued in connection with the reinvestment of distributions	43,329			909,478		173,512			3,452,669
Redeemed	(584,095	)		(12,328,546	)	(506,160	)		(9,482,644	)
Net change	1,859,698		$	38,320,777		1,450,607		$	27,418,487
Class C
Issued from the sale of shares	425,593		$	8,710,545		851,169		$	15,880,914
Issued in connection with the reinvestment of distributions	9,978			203,253		45,963			896,367
Redeemed	(44,077	)		(897,172	)	(53,768	)		(967,373	)
Net change	391,494		$	8,016,626		843,364		$	15,809,908
Class N
Issued from the sale of shares	402,926		$	8,881,339		57		$	1,892
Issued in connection with the reinvestment of distributions	3,702			78,221		3			61
Redeemed	(907	)		(20,078	)	–			–
Net change	405,721		$	8,939,482		60		$	1,953
Class Y
Issued from the sale of shares	9,595,195		$	204,854,456		9,218,173		$	175,491,968
Issued in connection with the reinvestment of distributions	162,237			3,432,929		775,935			15,564,482
Redeemed	(1,866,154	)		(39,817,516	)	(3,139,077	)		(59,799,281	)
Net change	7,891,278		$	168,469,869		6,855,031		$	131,257,169
Increase (decrease) from capital share transactions	10,548,191		$	223,746,754		9,149,062		$	174,487,517

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

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SEMIANNUAL REPORT

June 30, 2014

McDonnell Intermediate Municipal Bond Fund

Natixis Diversified Income Fund

Natixis U.S. Equity Opportunities Fund

(formerly Natixis U.S. Multi-Cap Equity Fund)

TABLE OF CONTENTS

Portfolio Review  page 1  

Portfolio of Investments  page 13

Financial Statements  page 43

Notes to Financial Statements page 55

Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

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

Objective

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

Average Annual Total Returns — June 30, 2014⁴

	6 Months			1 Year			Life of Fund
Class A (Inception 12/31/12)1
NAV		3.99	%		4.60	%		0.82	%
With 3.50% Maximum Sales Charge		0.31			0.89			-1.56
Class C (Inception 12/31/12)1
NAV		3.49			3.82			0.02
With CDSC2		2.49			2.82			0.02
Class Y (Inception 12/31/12)1
NAV		4.13			4.87			1.15
Comparative Performance
Barclays 3-15 Year Blend Municipal Bond Index3		4.62			5.63			2.22

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

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

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

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

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

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NATIXIS DIVERSIFIED INCOME FUND

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

Objective

Seeks current income with a secondary objective of capital appreciation.

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NATIXIS DIVERSIFIED INCOME FUND

Average Annual Total Returns — June 30, 2014⁵

	6 Months			1 Year			5 Years			Life of Class
Class A (Inception 11/17/05)										Class A/C			Class Y
NAV		9.66	%		13.14	%		15.21	%		7.34	%		—
With 4.50% Maximum Sales Charge		4.69			8.09			14.15			6.77			—
Class C (Inception 11/17/05)
NAV		9.30			12.24			14.36			6.53			—
With CDSC2		8.30			11.24			14.36			6.53			—
Class Y (Inception 12/3/12)1
NAV		9.48			13.01			15.20			—			10.82	%
Comparative Performance
Barclays U.S. Aggregate Bond Index3		3.93			4.37			4.85			5.07			1.09
Blended Index4		8.77			10.59			13.09			6.83			8.61

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

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

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

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

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

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

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

(formerly Natixis U.S. Multi-Cap Equity Fund)

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

Objective

Seeks long-term growth of capital.

Average Annual Total Returns — June 30, 2014⁴

	6 Months			1 Year			5 Years			10 Years
Class A (Inception 7/7/94)
NAV		7.71	%		28.71	%		20.72	%		9.51	%
With 5.75% Maximum Sales Charge		1.51			21.29			19.31			8.86
Class B (Inception 7/7/94)
NAV		7.32			27.74			19.83			8.69
With CDSC1		2.32			22.74			19.63			8.69
Class C (Inception 7/7/94)
NAV		7.31			27.73			19.82			8.69
With CDSC1		6.31			26.73			19.82			8.69
Class Y (Inception 11/15/94)
NAV		7.85			29.04			21.02			9.85
Comparative Performance
S&P 500® Index2		7.14			24.61			18.83			7.78
Russell 1000® Index3		7.27			25.35			19.25			8.19

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

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

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

3 The Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® represents approximately 92% of the U.S. market. The Russell 1000^® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

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

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ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available from the Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,039.90		$4.05
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01
Class C
Actual		$1,000.00		$1,034.90		$7.82
Hypothetical (5% return before expenses)		$1,000.00		$1,017.11		$7.75
Class Y
Actual		$1,000.00		$1,041.30		$2.78
Hypothetical (5% return before expenses)		$1,000.00		$1,022.07		$2.76

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS DIVERSIFIED INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,096.60		$5.51
Hypothetical (5% return before expenses)		$1,000.00		$1,019.54		$5.31
Class C
Actual		$1,000.00		$1,093.00		$9.39
Hypothetical (5% return before expenses)		$1,000.00		$1,015.82		$9.05
Class Y
Actual		$1,000.00		$1,094.80		$4.26
Hypothetical (5% return before expenses)		$1,000.00		$1,020.73		$4.11

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.06%, 1.81% and 0.82% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

NATIXIS U.S. EQUITY OPPORTUNITIES FUND**	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,077.10		$6.70
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class B
Actual		$1,000.00		$1,073.20		$10.54
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class C
Actual		$1,000.00		$1,073.10		$10.54
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class Y
Actual		$1,000.00		$1,078.50		$5.41
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26

* Expenses are equal to the Fund’s annualized expense ratio: 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

** Formerly Natixis U.S. Multi-Cap Equity Fund.

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

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

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

|  8

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.

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

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

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis. With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of the McDonnell Intermediate Municipal Bond Fund, the performance of which lagged that of a relevant peer group median and category median for all periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors

9  |

included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund had a limited operating history.

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

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

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds had expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Adviser under these caps. The Trustees noted that the Natixis U.S. Equity Opportunities Fund had an advisory fee rate that was above the median of a peer group of funds. The Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including the complexity of managing a Fund with two investment disciplines, and noted that the Fund had an expense cap in place that had the effect of reducing the advisory fee.

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

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compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.

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

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

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

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

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

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

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

· So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated

11  |

with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.

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Portfolio of Investments – as of June 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 93.8% of Net Assets
	Municipals — 93.8%
		Arizona — 1.3%
$	300,000	Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024	$	346,749
		California — 7.3%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		294,512
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		457,832
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		782,194
	400,000	Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025(b)		461,840
				1,996,378
		Colorado — 8.5%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(b)		294,234
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028(b)		442,152
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		470,776
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		608,565
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		528,728
				2,344,455
		Connecticut — 3.1%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		444,454
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		402,536
				846,990
		Florida — 10.1%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		560,410
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		261,105
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		462,328
	500,000	JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016(c)		550,980
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		473,648
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		482,804
				2,791,275

See accompanying notes to financial statements.

13  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Georgia — 3.2%
$	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021	$	589,595
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		288,297
				877,892
		Hawaii — 1.6%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		437,860
		Illinois — 5.2%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028(b)		406,460
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		578,220
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		116,649
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		335,350
				1,436,679
		Kentucky — 1.2%
	275,000	Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037		326,332
		Massachusetts — 0.6%
	150,000	Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018		165,591
		Michigan — 2.1%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		579,896
		Minnesota — 3.1%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		276,865
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		329,826
	200,000	Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023		232,402
				839,093
		Missouri — 2.0%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		536,570
		Nebraska — 2.1%
	500,000	Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028(c)		566,310
		New Jersey — 9.0%
	400,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030		413,144
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		309,237

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of June 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		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	$	606,581
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		562,345
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		595,400
				2,486,707
		New York — 1.4%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		388,759
		Ohio — 8.0%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		456,592
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023(b)		613,215
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		578,190
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		552,305
				2,200,302
		Pennsylvania — 4.2%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		383,465
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		296,679
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		487,044
				1,167,188
		Rhode Island — 2.2%
	500,000	Rhode Island Clean Water Finance Agency, Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		605,805
		South Dakota — 1.8%
	465,000	Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036		494,081
		Texas — 8.1%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		292,010
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		429,484
	500,000	Harris County Health Facilities Development Authority Revenue, Memorial Hermann Healthcare System, Prerefunded 12/01/2018@100, Series B, 7.125%, 12/01/2031		630,835
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		415,667
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		474,084
				2,242,080
		Utah — 1.0%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		287,608

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Washington — 6.7%
$	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029	$	547,745
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		458,648
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		579,130
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		253,985
				1,839,508
		Total Bonds and Notes (Identified Cost $25,465,164)		25,804,108
	Short-Term Investments — 9.3%
	2,559,007	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $2,559,008 on 7/01/2014 collateralized by $2,615,000 U.S. Treasury Note, 1.500% due 12/31/2018 valued at $2,615,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,559,007)		2,559,007
		Total Investments — 103.1% (Identified Cost $28,024,171)(a)		28,363,115
		Other assets less liabilities — (3.1)%		(853,138	)
		Net Assets — 100.0%	$	27,509,977
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $28,024,171 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	$	435,416
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(96,472	)
		Net unrealized appreciation	$	338,944
	(b)	All of this security has been designated to cover the Fund’s obligations under delayed delivery securities.
	(c)	Delayed delivery. See Note 2 of Notes to Financial Statements.
	AGM	Assured Guaranty Municipal Corporation
	AMT	Alternative Minimum Tax
	GO	General Obligation
	NATL-RE	National Public Finance Guarantee Corporation

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund – (continued)

Holdings Summary at June 30, 2014 (Unaudited)

Medical	17.3	%
Higher Education	15.5
General	12.0
General Obligation	10.7
Water	9.7
Transportation	8.8
School District	6.6
Power	5.9
Utilities	3.1
Airport	2.7
Education	1.5
Short-Term Investments	9.3
Total Investments	103.1
Other assets less liabilities	(3.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund

Shares		Description	Value (†)
	Common Stocks — 50.6% of Net Assets
		Aerospace & Defense — 1.9%
	4,697	General Dynamics Corp.	$	547,435
	3,883	Honeywell International, Inc.		360,925
	7,280	Lockheed Martin Corp.		1,170,114
	4,277	Northrop Grumman Corp.		511,658
				2,590,132
		Automobiles — 0.2%
	7,408	General Motors Co.		268,910
		Banks — 0.9%
	5,888	Bank of Hawaii Corp.		345,567
	4,985	BB&T Corp.		196,558
	7,301	F.N.B. Corp.		93,599
	5,530	First Niagara Financial Group, Inc.		48,332
	5,413	FirstMerit Corp.		106,907
	6,565	Trustmark Corp.		162,090
	7,676	United Bankshares, Inc.		248,165
	8,354	Valley National Bancorp		82,788
				1,284,006
		Beverages — 0.2%
	5,271	Coca-Cola Co. (The)		223,280
		Biotechnology — 0.1%
	13,765	PDL BioPharma, Inc.		133,245
		Capital Markets — 0.2%
	7,324	Federated Investors, Inc., Class B		226,458
		Chemicals — 0.3%
	5,415	Olin Corp.		145,772
	4,582	RPM International, Inc.		211,597
				357,369
		Commercial Services & Supplies — 0.8%
	3,856	Deluxe Corp.		225,885
	6,418	Pitney Bowes, Inc.		177,265
	10,313	R.R. Donnelley & Sons Co.		174,908
	5,793	Republic Services, Inc.		219,960
	6,289	Waste Management, Inc.		281,307
				1,079,325
		Containers & Packaging — 0.5%
	4,532	Avery Dennison Corp.		232,265
	5,380	MeadWestvaco Corp.		238,119
	5,786	Sonoco Products Co.		254,179
				724,563
		Distributors — 0.3%
	4,958	Genuine Parts Co.		435,312

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Diversified Telecommunication Services — 0.6%
	9,893	AT&T, Inc.	$	349,817
	13,232	CenturyLink, Inc.		478,998
				828,815
		Electric Utilities — 4.1%
	8,217	American Electric Power Co., Inc.		458,262
	5,998	Cleco Corp.		353,582
	5,567	Edison International		323,499
	10,264	Entergy Corp.		842,572
	8,250	Exelon Corp.		300,960
	12,881	FirstEnergy Corp.		447,228
	6,351	IDACORP, Inc.		367,278
	6,026	NextEra Energy, Inc.		617,545
	6,693	Northeast Utilities		316,378
	4,721	OGE Energy Corp.		184,497
	8,130	Pinnacle West Capital Corp.		470,239
	9,472	PPL Corp.		336,540
	7,144	UNS Energy Corp.		431,569
	7,623	Xcel Energy, Inc.		245,689
				5,695,838
		Electrical Equipment — 0.5%
	4,417	Eaton Corp. PLC		340,904
	4,833	Emerson Electric Co.		320,718
				661,622
		Energy Equipment & Services — 0.4%
	9,756	Ensco PLC, Class A		542,141
		Food & Staples Retailing — 0.2%
	5,928	Sysco Corp.		222,004
		Food Products — 0.4%
	5,727	Campbell Soup Co.		262,354
	5,647	General Mills, Inc.		296,693
				559,047
		Gas Utilities — 0.7%
	7,832	AGL Resources, Inc.		430,995
	7,185	New Jersey Resources Corp.		410,694
	6,047	Questar Corp.		149,966
				991,655
		Hotels, Restaurants & Leisure — 1.0%
	8,041	Darden Restaurants, Inc.		372,057
	13,700	Hilton Worldwide Holdings, Inc.(b)		319,210
	6,398	McDonald’s Corp.		644,535
				1,335,802
		Household Durables — 0.8%
	7,019	Garmin Ltd.		427,457
	7,793	Leggett & Platt, Inc.		267,144
	4,949	Tupperware Brands Corp.		414,231
				1,108,832

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Household Products — 0.8%
	5,654	Clorox Co. (The)	$	516,776
	5,784	Kimberly-Clark Corp.		643,296
				1,160,072
		Industrial Conglomerates — 0.1%
	5,403	General Electric Co.		141,991
		Insurance — 0.8%
	5,726	Arthur J. Gallagher & Co.		266,832
	6,144	Cincinnati Financial Corp.		295,158
	9,693	Mercury General Corp.		455,959
	8,225	Old Republic International Corp.		136,041
				1,153,990
		Leisure Products — 0.2%
	5,962	Mattel, Inc.		232,339
		Media — 0.4%
	5,774	Cinemark Holdings, Inc.		204,169
	6,231	Meredith Corp.		301,331
				505,500
		Metals & Mining — 0.1%
	4,621	Cliffs Natural Resources, Inc.		69,546
	4,563	Commercial Metals Co.		78,986
				148,532
		Multi-Utilities — 4.1%
	6,944	Alliant Energy Corp.		422,612
	8,553	Avista Corp.		286,697
	5,704	Black Hills Corp.		350,168
	6,896	CenterPoint Energy, Inc.		176,124
	7,325	CMS Energy Corp.		228,174
	6,691	Dominion Resources, Inc.		478,540
	7,467	DTE Energy Co.		581,455
	9,676	Integrys Energy Group, Inc.		688,254
	6,055	NiSource, Inc.		238,204
	8,503	PG&E Corp.		408,314
	8,427	Public Service Enterprise Group, Inc.		343,737
	8,254	SCANA Corp.		444,148
	5,458	Sempra Energy		571,507
	9,868	TECO Energy, Inc.		182,361
	7,034	Wisconsin Energy Corp.		330,035
				5,730,330
		Oil, Gas & Consumable Fuels — 1.7%
	6,163	Chevron Corp.		804,580
	7,512	ConocoPhillips		644,004
	13,109	HollyFrontier Corp.		572,732
	4,863	ONEOK, Inc.		331,073
				2,352,389

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 0.9%
	5,199	Bristol-Myers Squibb Co.	$	252,204
	7,381	Eli Lilly & Co.		458,877
	6,553	Merck & Co., Inc.		379,091
	5,908	Pfizer, Inc.		175,349
				1,265,521
		Real Estate — 0.1%
	11,100	American Homes 4 Rent, Class A		197,136
		Real Estate Management & Development — 0.6%
	6,800	Alexander & Baldwin, Inc.		281,860
	28,300	Forest City Enterprises, Inc., Class A(b)		562,321
				844,181
		REITs – Apartments — 3.9%
	11,300	American Campus Communities, Inc.		432,112
	11,300	AvalonBay Communities, Inc.		1,606,747
	10,000	Camden Property Trust		711,500
	37,100	Equity Residential		2,337,300
	1,920	Essex Property Trust, Inc.		355,027
				5,442,686
		REITs – Diversified — 2.3%
	12,600	American Assets Trust, Inc.		435,330
	8,100	Armada Hoffler Properties, Inc.		78,408
	20,900	DuPont Fabros Technology, Inc.		563,464
	10,100	EPR Properties		564,287
	17,700	Liberty Property Trust		671,361
	7,900	Vornado Realty Trust		843,167
				3,156,017
		REITs – Health Care — 2.8%
	2,200	Aviv REIT, Inc.		61,974
	34,500	HCP, Inc.		1,427,610
	19,100	Health Care REIT, Inc.		1,196,997
	19,000	Ventas, Inc.		1,217,900
				3,904,481
		REITs – Hotels — 1.5%
	69,000	Host Hotels & Resorts, Inc.		1,518,690
	19,300	RLJ Lodging Trust		557,577
				2,076,267
		REITs – Manufactured Homes — 0.4%
	12,600	Equity Lifestyle Properties, Inc.		556,416
		REITs – Office Property — 3.9%
	8,500	Alexandria Real Estate Equities, Inc.		659,940
	8,000	American Realty Capital Properties, Inc.		100,240
	27,000	BioMed Realty Trust, Inc.		589,410
	15,400	Boston Properties, Inc.		1,819,972
	14,000	Douglas Emmett, Inc.		395,080

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs – Office Property — continued
	22,800	Empire State Realty Trust, Inc., Class A	$	376,200
	1,446	First Potomac Realty Trust		18,971
	14,200	Gramercy Property Trust, Inc.		85,910
	19,500	Kilroy Realty Corp.		1,214,460
	10,500	Piedmont Office Realty Trust, Inc., Class A		198,870
				5,459,053
		REITs – Regional Malls — 3.9%
	11,900	Macerich Co. (The)		794,325
	23,800	Simon Property Group, Inc.		3,957,464
	8,400	Taubman Centers, Inc.		636,804
				5,388,593
		REITs – Shopping Centers — 2.4%
	14,300	Acadia Realty Trust		401,687
	37,200	DDR Corp.		655,836
	8,200	Federal Realty Investment Trust		991,544
	16,700	Ramco-Gershenson Properties Trust		277,554
	10,700	Regency Centers Corp.		595,776
	21,000	Retail Opportunity Investments Corp.		330,330
	6,900	Washington Prime Group, Inc.(b)		129,306
				3,382,033
		REITs – Single Tenant — 0.3%
	10,200	National Retail Properties, Inc.		379,338
		REITs – Storage — 2.0%
	16,000	CubeSmart		293,120
	15,600	Extra Space Storage, Inc.		830,700
	10,000	Public Storage		1,713,500
				2,837,320
		REITs – Warehouse/Industrials — 1.3%
	43,000	ProLogis, Inc.		1,766,870
	6,300	Rexford Industrial Realty, Inc.		89,712
				1,856,582
		Semiconductors & Semiconductor Equipment — 0.1%
	6,910	Intel Corp.		213,519
		Specialty Retail — 0.0%
	5,589	Staples, Inc.		60,585
		Technology Hardware, Storage & Peripherals — 0.3%
	6,471	Seagate Technology PLC		367,682
		Thrifts & Mortgage Finance — 0.2%
	11,709	New York Community Bancorp, Inc.		187,110
	8,410	People’s United Financial, Inc.		127,580
				314,690

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Tobacco — 1.4%
	9,587	Altria Group, Inc.	$	402,079
	8,183	Lorillard, Inc.		498,917
	8,233	Philip Morris International, Inc.		694,124
	7,508	Universal Corp.		415,568
				2,010,688
		Trading Companies & Distributors — 0.0%
	176	United Rentals, Inc.(b)		18,432
		Total Common Stocks (Identified Cost $59,469,692)		70,424,719
Principal Amount (‡)
	Bonds and Notes — 44.7%
	Non-Convertible Bonds — 42.0%
		ABS Car Loan — 0.8%
$	35,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A		35,279
	73,755	Ford Credit Auto Owner Trust, Series 2011-B, Class A4, 1.350%, 12/15/2016		74,091
	160,000	Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.570%, 10/15/2017		160,213
	310,000	Honda Auto Receivables Owner Trust, Series 2013-2, Class A3, 0.530%, 2/16/2017		310,367
	51,279	Nissan Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.940%, 9/15/2017		51,706
	48,000	Nissan Auto Receivables Owner Trust, Series 2013-A, Class A3, 0.500%, 5/15/2017		48,038
	325,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018		324,679
	30,000	SNAAC Auto Receivables Trust, Series 2014-1A, Class D, 2.880%, 1/15/2020, 144A		30,134
	94,000	World Omni Auto Receivables Trust, Series 2013-A, Class A3, 0.640%, 4/16/2018		94,134
				1,128,641
		ABS Credit Card — 0.6%
	300,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.392%, 5/15/2020(c)		299,403
	100,000	Chase Issuance Trust, Series 2012-A5, Class A5, 0.590%, 8/15/2017		100,149
	100,000	Chase Issuance Trust, Series 2012-A8, Class A8, 0.540%, 10/16/2017		100,081
	298,000	Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2, 0.434%, 5/26/2020(c)		298,091
				797,724
		ABS Home Equity — 2.1%
	53,821	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		56,513
	57,720	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		59,404
	94,670	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		97,148

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	135,711	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.578%, 11/20/2034(c)	$	129,727
	33,671	Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035		34,646
	73,589	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		75,516
	56,278	Banc of America Mortgage Securities, Inc., Series 2004-8, Class 1A19, 5.500%, 10/25/2034		56,724
	96,852	Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.680%, 2/25/2034(c)		97,080
	33,280	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.753%, 2/25/2035(c)		33,454
	12,829	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.443%, 7/25/2034(c)		12,604
	4,171	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.710%, 1/25/2035(c)		4,137
	63,820	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.590%, 2/25/2037(c)		63,403
	110,233	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		112,383
	177,924	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		175,565
	47,508	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		49,610
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		24,515
	57,421	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		59,947
	25,621	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.450%, 9/20/2034(c)		25,334
	38,499	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.422%, 4/25/2035(c)		31,278
	14,493	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		14,711
	13,081	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		13,503
	71,087	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.012%, 7/19/2035(c)		66,607
	69,207	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.829%, 12/25/2034(c)		62,543
	97,481	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.778%, 12/25/2034(c)		97,697
	200,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(c)		199,826
	117,940	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.587%, 5/19/2034(c)		117,975
	11,290	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.792%, 7/25/2045(c)		10,418
	45,233	JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.663%, 7/25/2035(c)		45,298
	48,715	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.312%, 1/25/2047(c)		35,191
	48,806	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		50,607
	49,513	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		52,264
	73,446	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		74,670

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	53,086	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.696%, 5/25/2036(c)	$	48,319
	72,128	Residential Accredit Loans, Inc., Series 2003-QS17, Class CB5, 5.500%, 9/25/2033		75,358
	40,907	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.635%, 9/25/2034(c)		40,787
	128,610	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		135,480
	28,747	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034		29,243
	34,523	WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.407%, 3/25/2034(c)		34,714
	110,242	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.397%, 1/25/2035(c)		110,734
	79,609	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		83,956
	22,631	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.883%, 4/25/2047(c)		20,532
	53,449	Wells Fargo Mortgage Backed Securities Trust, Series 2003-M, Class A1, 2.619%, 12/25/2033(c)		53,888
	38,166	Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A2, 2.483%, 12/25/2033(c)		38,281
	86,264	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.636%, 2/25/2034(c)		87,857
	49,003	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		50,509
	42,918	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(c)		43,448
				2,893,404
		ABS Other — 0.5%
	120,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		119,998
	280,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		288,305
	170,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		170,300
	100,000	Springleaf Funding Trust, Series 2014-AA, Class B, 3.450%, 12/15/2022, 144A		100,149
				678,752
		Aerospace & Defense — 0.4%
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		192,500
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		318,750
				511,250
		Airlines — 1.5%
	48,808	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		49,418
	200,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		208,508
	179,212	British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A		188,773

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	19,022	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022	$	19,878
	80,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		85,600
	35,766	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		41,152
	12,641	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		14,158
	730,300	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d)		806,981
	195,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		200,517
	120,523	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		135,890
	106,562	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		121,747
	143,107	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		152,051
				2,024,673
		Automotive — 0.0%
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		42,300
	25,000	Lear Corp., 5.375%, 3/15/2024		25,687
				67,987
		Banking — 3.0%
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		81,760
	600,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		259,335
	500,000	Bank of Montreal, 1.950%, 1/30/2018		512,864
	500,000	Bank of Nova Scotia, 1.950%, 1/30/2017		512,877
	355,000	Citigroup, Inc., 5.500%, 9/13/2025		395,991
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		117,551
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		28,443
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		22,904
	250,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.625%, 12/01/2023		264,236
	100,000	HBOS PLC, 6.000%, 11/01/2033, 144A		111,280
	200,000	ING Bank NV, 5.800%, 9/25/2023, 144A		225,300
	400,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		461,455
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		115,492
	65,000	Morgan Stanley, 5.000%, 11/24/2025		69,327
	175,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		183,096
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		100,369
	720,000	Morgan Stanley, MTN, 4.100%, 5/22/2023(d)		730,377
	40,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		53,485
				4,246,142
		Brokerage — 0.5%
	140,000	Jefferies Group LLC, 5.125%, 1/20/2023		150,089
	45,000	Jefferies Group LLC, 6.250%, 1/15/2036		47,091
	20,000	Jefferies Group LLC, 6.450%, 6/08/2027		22,694
	295,000	Jefferies Group LLC, 6.500%, 1/20/2043		325,408
	95,000	Jefferies Group LLC, 6.875%, 4/15/2021		111,068
				656,350

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Building Materials — 0.4%
$	25,000	HD Supply, Inc., 7.500%, 7/15/2020	$	27,312
	170,000	Masco Corp., 5.850%, 3/15/2017		187,425
	40,000	Masco Corp., 6.500%, 8/15/2032		42,300
	15,000	Masco Corp., 7.750%, 8/01/2029		17,670
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		197,500
	300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		122,200
				594,407
		Chemicals — 0.1%
	200,000	Hercules, Inc., 6.500%, 6/30/2029		181,000
	25,000	Methanex Corp., 5.250%, 3/01/2022		27,640
				208,640
		Collateralized Mortgage Obligations — 0.0%
	22,728	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.615%, 1/25/2036(c)		22,494
		Consumer Products — 0.1%
	160,000	Avon Products, Inc., 5.000%, 3/15/2023		161,947
		Diversified Manufacturing — 0.2%
	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		211,250
		Electric — 0.8%
	500,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		528,800
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		66,450
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		49,648
	100,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		112,587
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		341,813
				1,099,298
		Entertainment — 0.0%
	35,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		39,900
		Finance Companies — 2.2%
	165,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		174,031
	110,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		123,742
	25,000	CIT Group, Inc., 5.000%, 8/15/2022		25,875
	85,000	CIT Group, Inc., 5.000%, 8/01/2023		87,019
	400,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(e)		472,080
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		88,000
	80,000	International Lease Finance Corp., 6.250%, 5/15/2019		89,600
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		43,225
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		131,775
	115,000	iStar Financial, Inc., 4.000%, 11/01/2017		115,431
	95,000	iStar Financial, Inc., 5.000%, 7/01/2019		95,000
	140,000	iStar Financial, Inc., 7.125%, 2/15/2018		155,400
	70,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		75,425
	30,000	Navient Corp., 4.875%, 6/17/2019		30,918

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Finance Companies — continued
$	412,000	Navient Corp., 5.500%, 1/25/2023	$	408,395
	5,000	Navient Corp., MTN, 5.500%, 1/15/2019		5,312
	180,000	Navient Corp., MTN, 7.250%, 1/25/2022		199,125
	65,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		65,000
	80,000	Navient Corp., Series A, MTN, 8.450%, 6/15/2018		94,600
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		315,000
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		125,400
	115,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		127,650
				3,048,003
		Financial Other — 0.3%
	200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		190,250
	105,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		108,150
	50,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		52,375
				350,775
		Food & Beverage — 0.2%
	280,000	BRF S.A., 3.950%, 5/22/2023, 144A		264,600
		Government Owned – No Guarantee — 0.9%
	59,000	Ecopetrol S.A., 5.875%, 9/18/2023		66,227
	85,000	Ecopetrol S.A., 5.875%, 5/28/2045		87,914
	600,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(d)		566,250
	315,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		335,286
	250,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		262,580
				1,318,257
		Healthcare — 1.1%
	25,000	HCA, Inc., 7.050%, 12/01/2027		25,750
	75,000	HCA, Inc., 7.500%, 12/15/2023		84,000
	520,000	HCA, Inc., 7.500%, 11/06/2033		552,500
	310,000	HCA, Inc., 7.690%, 6/15/2025		349,525
	20,000	HCA, Inc., 8.360%, 4/15/2024		23,750
	140,000	HCA, Inc., MTN, 7.580%, 9/15/2025		155,400
	50,000	HCA, Inc., MTN, 7.750%, 7/15/2036		53,000
	255,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		258,506
				1,502,431
		Home Construction — 0.8%
	40,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		41,450
	105,000	KB Home, 7.250%, 6/15/2018		118,125
	150,000	KB Home, 7.500%, 9/15/2022		166,500
	145,000	Lennar Corp., 4.750%, 11/15/2022		144,275
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		75,200
	515,000	Pulte Group, Inc., 6.375%, 5/15/2033		517,575
				1,063,125
		Independent Energy — 0.7%
	85,000	Continental Resources, Inc., 4.500%, 4/15/2023		90,796
	240,000	Newfield Exploration Co., 5.625%, 7/01/2024		263,400

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f)	$	23,000
	200,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(f)		12,000
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		181,111
	5,000	QEP Resources, Inc., 5.375%, 10/01/2022		5,150
	50,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		54,250
	45,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		49,556
	105,000	Southwestern Energy Co., 4.100%, 3/15/2022		111,282
	125,000	Talisman Energy, Inc., 3.750%, 2/01/2021		129,227
	100,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		109,500
				1,029,272
		Life Insurance — 0.4%
	85,000	American International Group, Inc., 4.875%, 6/01/2022		94,653
	300,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		413,250
				507,903
		Local Authorities — 0.2%
	165,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		243,876
		Lodging — 0.0%
	40,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021, 144A		42,500
	1,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,110
				43,610
		Media Cable — 0.2%
	10,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		10,088
	105,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		102,216
	95,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		106,275
	40,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		46,658
				265,237
		Metals & Mining — 1.5%
	255,000	Alcoa, Inc., 5.900%, 2/01/2027		272,753
	40,000	Alcoa, Inc., 6.750%, 1/15/2028		44,581
	160,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		176,658
	245,000	ArcelorMittal, 6.000%, 3/01/2021		265,212
	135,000	ArcelorMittal, 6.750%, 2/25/2022		151,200
	225,000	ArcelorMittal, 7.250%, 3/01/2041		239,063
	100,000	ArcelorMittal, 7.500%, 10/15/2039		110,000
	75,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		78,471
	225,000	Glencore Funding LLC, 4.625%, 4/29/2024, 144A		231,953
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		210,000
	200,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		189,500
	145,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		156,432
				2,125,823

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Midstream — 0.5%
$	70,000	Energy Transfer Partners LP, 5.200%, 2/01/2022	$	77,463
	140,000	EnLink Midstream Partners LP, 4.400%, 4/01/2024		146,912
	100,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		107,062
	80,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		79,200
	85,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		91,588
	60,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		65,175
	100,000	Sunoco Logistics Partners Operations LP, 4.250%, 4/01/2024		102,946
				670,346
		Non-Agency Commercial Mortgage-Backed Securities — 1.3%
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		291,657
	75,000	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048		77,488
	100,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(c)		108,171
	400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(c)		419,962
	185,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.997%, 8/10/2045(c)		194,827
	100,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		103,550
	25,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		26,611
	100,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(c)		109,193
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.997%, 8/12/2045, 144A(c)		109,593
	100,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		101,535
	130,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048		140,371
	60,000	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(c)		64,022
				1,746,980
		Paper — 0.2%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		267,983
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		6,271
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		40,535
				314,789
		Pharmaceuticals — 0.5%
	620,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A(d)		658,750
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		15,975
	10,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		10,800
				685,525

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Retailers — 1.4%
$	125,000	Advance Auto Parts, Inc., 4.500%, 12/01/2023	$	131,806
	215,000	Best Buy Co., Inc., 5.000%, 8/01/2018		225,481
	252,216	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A		267,212
	208,381	CVS Pass Through Trust, 7.507%, 1/10/2032, 144A		260,155
	400,000	Dillard’s, Inc., 6.625%, 1/15/2018		447,000
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		213,200
	100,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		120,456
	225,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		281,437
	45,000	Toys R Us, Inc., 7.375%, 10/15/2018		33,750
				1,980,497
		Supermarkets — 0.2%
	35,000	Delhaize Group S.A., 5.700%, 10/01/2040		37,332
	320,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		272,800
				310,132
		Supranational — 0.7%
	136,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		249,220
	26,380,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		460,537
	435,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		200,874
				910,631
		Technology — 1.1%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		465,300
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		386,100
	110,000	Arrow Electronics, Inc., 3.000%, 3/01/2018		113,729
	195,000	Flextronics International Ltd., 5.000%, 2/15/2023		201,825
	415,000	Jabil Circuit, Inc., 4.700%, 9/15/2022		420,187
				1,587,141
		Treasuries — 13.6%
	15,000(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		116,944
	60,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		495,430
	31,500(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		274,951
	60,000(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		563,667
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		247,423
	700,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		306,517
	844,210	U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(g)		928,499
	2,152,956	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(g)(h)		2,716,425
	7,670,461	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(g)		7,923,348
	2,996,964	U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2024(g)		3,105,604
	1,310,000	U.S. Treasury Note, 0.375%, 5/31/2016		1,308,824
	1,000,000	U.S. Treasury Note, 0.875%, 4/15/2017		1,002,422
				18,990,054
		Wireless — 1.3%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		303,437
	230,000	American Tower Corp., 4.700%, 3/15/2022		247,336

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wireless — continued
$	190,000	Crown Castle International Corp., 4.875%, 4/15/2022	$	196,412
	495,000	Sprint Capital Corp., 6.875%, 11/15/2028		499,950
	20,000	Sprint Capital Corp., 8.750%, 3/15/2032		23,100
	480,000	Sprint Corp., 7.875%, 9/15/2023, 144A		534,000
				1,804,235
		Wirelines — 1.7%
	10,000	CenturyLink, Inc., 5.625%, 4/01/2020		10,550
	80,000	CenturyLink, Inc., 7.650%, 3/15/2042		79,800
	240,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		240,900
	75,000	Embarq Corp., 7.995%, 6/01/2036		81,937
	35,000	Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A		37,494
	75,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		81,937
	70,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		76,388
	85,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		95,200
	400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		169,722
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,950
	269,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		269,672
	402,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		415,065
	40,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		44,300
	45,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		51,863
	75,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		83,741
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		85,160
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		95,662
	100,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		190,737
	205,000	Verizon Communications, Inc., 5.150%, 9/15/2023		229,414
				2,356,492
		Total Non-Convertible Bonds (Identified Cost $55,785,806)		58,462,593
	Convertible Bonds — 2.7%
		Automotive — 0.1%
	65,000	Ford Motor Co., 4.250%, 11/15/2016		129,878
		Construction Machinery — 0.2%
	190,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		264,100
	20,000	Trinity Industries, Inc., 3.875%, 6/01/2036		37,238
				301,338
		Energy — 0.2%
	135,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		163,266
	125,000	Peabody Energy Corp., 4.750%, 12/15/2066		93,828
				257,094
		Home Construction — 0.7%
	160,000	Lennar Corp., 2.750%, 12/15/2020, 144A		305,500
	210,000	Lennar Corp., 3.250%, 11/15/2021, 144A		386,662
	220,000	Standard Pacific Corp., 1.250%, 8/01/2032		276,513
				968,675

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Life Insurance — 0.1%
$	100,000	Old Republic International Corp., 3.750%, 3/15/2018	$	124,438
		Metals & Mining — 0.1%
	85,000	United States Steel Corp., 2.750%, 4/01/2019		105,559
		Pharmaceuticals — 0.5%
	83,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		85,853
	92,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		96,887
	75,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A		78,422
	75,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		273,375
	65,000	Mylan, Inc., 3.750%, 9/15/2015		251,997
				786,534
		REITs – Mortgage — 0.1%
	70,000	iStar Financial, Inc., 3.000%, 11/15/2016		99,181
		Retailers — 0.3%
	45,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		65,081
	246,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020		290,434
	30,000	Priceline Group, Inc. (The), 1.000%, 3/15/2018		42,506
				398,021
		Technology — 0.4%
	65,000	Ciena Corp., 3.750%, 10/15/2018, 144A		89,253
	105,000	Intel Corp., 2.950%, 12/15/2035		130,528
	45,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		154,856
	70,000	Novellus Systems, Inc., 2.625%, 5/15/2041		141,663
	80,000	Xilinx, Inc., 2.625%, 6/15/2017		132,550
				648,850
		Total Convertible Bonds (Identified Cost $2,924,675)		3,819,568
	Municipals — 0.0%
		Michigan — 0.0%
	45,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 (Identified Cost $44,999)		38,931
		Total Bonds and Notes (Identified Cost $58,755,480)		62,321,092
Shares
	Preferred Stocks — 1.2%
	Non-Convertible Preferred Stocks — 0.7%
		Banking — 0.7%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		120,837
	288	Ally Financial, Inc., Series G, 7.000%, 144A		288,729
	4,125	Countrywide Capital IV, 6.750%		105,352
	20,424	SunTrust Banks, Inc., Series E, 5.875%		488,134
		Total Non-Convertible Preferred Stocks (Identified Cost $879,854)		1,003,052

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
	Convertible Preferred Stocks — 0.5%
		Banking — 0.1%
	19	Bank of America Corp., Series L, 7.250%	$	22,173
	70	Wells Fargo & Co., Series L, Class A, 7.500%		84,980
				107,153
		Electric — 0.1%
	1,400	Dominion Resources, Inc., 6.375%		73,675
	882	Dominion Resources, Inc., Series A, 6.125%		50,847
	827	Dominion Resources, Inc., Series B, 6.000%		47,983
	467	NextEra Energy, Inc., 5.889%		30,350
				202,855
		REITs – Diversified — 0.2%
	2,440	Crown Castle International Corp., Series A, 4.500%		248,685
		REITs – Mortgage — 0.1%
	1,780	iStar Financial, Inc., Series J, 4.500%		113,929
		Total Convertible Preferred Stocks (Identified Cost $608,499)		672,622
		Total Preferred Stocks (Identified Cost $1,488,353)		1,675,674
Principal Amount (‡)
	Senior Loans — 0.1%
		Supermarkets — 0.1%
$	79,000	New Albertson’s, Inc., Term Loan, 6/25/2021(i) (Identified Cost $78,605)		79,148
Notional Amount
	Purchased Swaptions — 0.2%
		Interest Rate Swaptions — 0.2%
	35,000,000	1-year Interest Rate Swap Put, expiring 11/19/2014, Pay 3-month LIBOR, Receive 0.400%(j)		13,370
	9,000,000	10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3.388%, Receive 3-month LIBOR(k)		305,082
		Total Purchased Swaptions (Identified Cost $383,100)		318,452

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 3.1%
$	4,134,381	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $4,134,382 on 7/01/2014 collateralized by $1,590,000 U.S. Treasury Note, 1.500% due 12/31/2018 valued at $1,590,000; $2,620,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $2,633,100 including accrued interest (Note 2 of Notes to Financial Statements)	$	4,134,381
	35,000	U.S. Treasury Bills, 0.087%, 7/03/2014(l)		35,000
	125,000	U.S. Treasury Bills, 0.097%, 7/24/2014(l)(m)		124,999
		Total Short-Term Investments (Identified Cost $4,294,373)		4,294,380
		Total Investments — 99.9% (Identified Cost $124,469,603)(a)		139,113,465
		Other assets less liabilities — 0.1%		158,124
		Net Assets — 100.0%	$	139,271,589
Notional Amount
	Written Swaptions — (0.1)%
		Interest Rate Swaptions — (0.1)%
$	9,000,000	10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3-month LIBOR, Receive 3.888%(k)
		Total Written Swaptions (Premiums Received $212,040)	$	(171,963	)
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At June 30, 2014, the net unrealized appreciation on investments based on a cost of $124,558,903 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	$	16,706,705
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,152,143	)
		Net unrealized appreciation	$	14,554,562
	(b)	Non-income producing security.
	(c)	Variable rate security. Rate as of June 30, 2014 is disclosed.
	(d)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(e)	Perpetual bond with no specified maturity date.

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

(f)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(g)	Treasury Inflation Protected Security (TIPS).
(h)	A portion of this security has been designated to cover the Fund’s obligations under open swaptions.
(i)	Position is unsettled. Contract rate was not determined at June 30, 2014 and does not take effect until settlement date.
(j)	Counterparty is Goldman Sachs International.
(k)	Counterparty is Barclays Bank PLC.
(l)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(m)	A portion of this security has been pledged as initial margin for open futures contracts.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, the value of Rule 144A holdings amounted to $10,994,066 or 7.9% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
REMIC	Real Estate Mortgage Investment Conduit
AUD	Australian Dollar
BRL	Brazilian Real
CLP	Chilean Peso
COP	Colombian Peso
EUR	Euro
GBP	British Pound
INR	Indian Rupee
MXN	Mexican Peso
PHP	Philippine Peso

At June 30, 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)
Sell1		9/04/2014	British Pound		67,000	$	114,605	$	(2,455	)
Buy2		7/31/2014	Euro		470,000		643,641		3,021
Sell2		7/31/2014	Euro		668,000		914,792		10,000
Total								$	10,566

¹ Counterparty is Credit Suisse International.

² Counterparty is Barclays Bank PLC.

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis Diversified Income Fund – (continued)

At June 30, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		9/19/2014		14	$	1,920,625	$	9,928

Industry Summary at June 30, 2014 (Unaudited)

Treasuries	13.6	%
Multi-Utilities	4.1
Electric Utilities	4.1
REITs – Office Property	3.9
REITs – Apartments	3.9
REITs – Regional Malls	3.9
Banking	3.8
REITs – Health Care	2.8
REITs – Diversified	2.5
REITs – Shopping Centers	2.4
Aerospace & Defense	2.3
Finance Companies	2.2
ABS Home Equity	2.1
REITs – Storage	2.0
Other Investments, less than 2% each	43.2
Short-Term Investments	3.1
Total Investments	99.9
Other assets less liabilities (including open written swaptions, forward foreign currency contracts and futures contracts)	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis U.S. Equity Opportunities Fund*

Shares		Description	Value (†)
	Common Stocks — 98.5% of Net Assets
		Air Freight & Logistics — 5.3%
	239,123	Expeditors International of Washington, Inc.	$	10,559,672
	67,000	FedEx Corp.		10,142,460
	41,532	United Parcel Service, Inc., Class B		4,263,675
				24,965,807
		Automobiles — 1.8%
	231,700	General Motors Co.		8,410,710
		Banks — 5.6%
	766,300	Bank of America Corp.		11,778,031
	134,500	Citigroup, Inc.		6,334,950
	145,000	JPMorgan Chase & Co.		8,354,900
				26,467,881
		Beverages — 5.4%
	116,573	Coca-Cola Co. (The)		4,938,032
	45,800	Diageo PLC, Sponsored ADR		5,828,966
	147,581	Monster Beverage Corp.(b)		10,482,679
	74,284	SABMiller PLC, Sponsored ADR		4,348,585
				25,598,262
		Biotechnology — 0.8%
	33,344	Amgen, Inc.		3,946,929
		Capital Markets — 4.9%
	150,800	Franklin Resources, Inc.		8,722,272
	150,542	Greenhill & Co., Inc.		7,414,194
	218,116	SEI Investments Co.		7,147,661
				23,284,127
		Communications Equipment — 5.7%
	498,279	Cisco Systems, Inc.		12,382,233
	187,456	QUALCOMM, Inc.		14,846,515
				27,228,748
		Consumer Finance — 2.6%
	26,339	American Express Co.		2,498,781
	116,600	Capital One Financial Corp.		9,631,160
				12,129,941
		Diversified Financial Services — 1.3%
	131,109	MSCI, Inc.(b)		6,011,348
		Energy Equipment & Services — 3.7%
	122,900	Halliburton Co.		8,727,129
	76,058	Schlumberger Ltd.		8,971,041
				17,698,170
		Food Products — 3.2%
	522,250	Danone, Sponsored ADR		7,797,193
	163,800	Unilever PLC, Sponsored ADR		7,421,778
				15,218,971

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis U.S. Equity Opportunities Fund* – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — 4.8%
	142,500	Medtronic, Inc.	$	9,085,800
	106,344	Varian Medical Systems, Inc.(b)		8,841,440
	47,055	Zimmer Holdings, Inc.		4,887,132
				22,814,372
		Health Care Providers & Services — 1.9%
	108,200	UnitedHealth Group, Inc.		8,845,350
		Hotels, Restaurants & Leisure — 2.5%
	68,000	McDonald’s Corp.		6,850,320
	61,568	Yum! Brands, Inc.		4,999,322
				11,849,642
		Household Products — 0.9%
	57,490	Procter & Gamble Co. (The)		4,518,139
		Insurance — 4.8%
	100,400	Aflac, Inc.		6,249,900
	167,100	American International Group, Inc.		9,120,318
	84,400	Aon PLC		7,603,596
				22,973,814
		Internet & Catalog Retail — 5.5%
	49,896	Amazon.com, Inc.(b)		16,205,223
	54,850	HomeAway, Inc.(b)		1,909,877
	277,900	Liberty Interactive Corp., Class A(b)		8,159,144
				26,274,244
		Internet Software & Services — 7.2%
	161,490	Facebook, Inc., Class A(b)		10,866,662
	21,766	Google, Inc., Class A(b)		12,725,927
	9,766	Google, Inc., Class C(b)		5,618,185
	120,157	Vistaprint NV(b)		4,861,552
				34,072,326
		IT Services — 3.9%
	31,272	Automatic Data Processing, Inc.		2,479,244
	106,000	MasterCard, Inc., Class A		7,787,820
	39,558	Visa, Inc., Class A		8,335,266
				18,602,330
		Machinery — 1.8%
	97,400	Illinois Tool Works, Inc.		8,528,344
		Media — 1.5%
	102,900	Omnicom Group, Inc.		7,328,538
		Metals & Mining — 0.6%
	30,779	Compass Minerals International, Inc.		2,946,781
		Oil, Gas & Consumable Fuels — 2.2%
	105,900	Apache Corp.		10,655,658

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis U.S. Equity Opportunities Fund* – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 2.9%
	42,617	Merck & Co., Inc.	$	2,465,393
	71,916	Novartis AG, ADR		6,510,556
	101,852	Novo Nordisk AS, Sponsored ADR		4,704,544
				13,680,493
		Semiconductors & Semiconductor Equipment — 4.0%
	8,188	Altera Corp.		284,615
	15,291	Analog Devices, Inc.		826,784
	158,336	ARM Holdings PLC, Sponsored ADR		7,163,121
	321,100	Intel Corp.		9,921,990
	22,590	Linear Technology Corp.		1,063,311
				19,259,821
		Software — 9.5%
	138,607	Autodesk, Inc.(b)		7,814,663
	50,213	FactSet Research Systems, Inc.		6,039,619
	278,141	Microsoft Corp.		11,598,480
	482,632	Oracle Corp.		19,561,075
				45,013,837
		Specialty Retail — 2.5%
	93,400	Home Depot, Inc. (The)		7,561,664
	92,829	Lowe’s Cos., Inc.		4,454,864
				12,016,528
		Technology Hardware, Storage & Peripherals — 1.7%
	84,700	Apple, Inc.		7,871,171
		Total Common Stocks (Identified Cost $406,429,847)		468,212,282
Principal Amount
	Short-Term Investments — 1.6%
$	7,815,088	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $7,815,090 on 7/01/2014 collateralized by $7,935,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $7,974,675 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,815,088)		7,815,088
		Total Investments — 100.1% (Identified Cost $414,244,935)(a)		476,027,370
		Other assets less liabilities — (0.1)%		(548,224	)
		Net Assets — 100.0%	$	475,479,146
	*	Formerly Natixis U.S. Multi-Cap Equity Fund.
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Natixis U.S. Equity Opportunities Fund* – (continued)

(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At June 30, 2014, the net unrealized appreciation on investments based on a cost of $414,244,935 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	$	65,538,618
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,756,183	)
	Net unrealized appreciation	$	61,782,435
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2014 (Unaudited)

Software	9.5	%
Internet Software & Services	7.2
Communications Equipment	5.7
Banks	5.6
Internet & Catalog Retail	5.5
Beverages	5.4
Air Freight & Logistics	5.3
Capital Markets	4.9
Insurance	4.8
Health Care Equipment & Supplies	4.8
Semiconductors & Semiconductor Equipment	4.0
IT Services	3.9
Energy Equipment & Services	3.7
Food Products	3.2
Pharmaceuticals	2.9
Consumer Finance	2.6
Specialty Retail	2.5
Hotels, Restaurants & Leisure	2.5
Oil, Gas & Consumable Fuels	2.2
Other Investments, less than 2% each	12.3
Short-Term Investments	1.6
Total Investments	100.1
Other assets less liabilities	(0.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

41  |

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|  42

Statements of Assets and Liabilities

June 30, 2014 (Unaudited)

	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund*
ASSETS
Investments at cost	$	28,024,171		$	124,469,603		$	414,244,935
Net unrealized appreciation		338,944			14,643,862			61,782,435
Investments at value		28,363,115			139,113,465			476,027,370
Cash		—			3,369			—
Foreign currency at value (identified cost $0, $13,133 and $0, respectively)		—			13,187			—
Receivable for Fund shares sold		1,481			305,697			363,276
Receivable from investment adviser (Note 6)		257			—			—
Receivable for securities sold		—			156,917			—
Dividends and interest receivable		318,343			757,986			233,948
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			13,021			—
Tax reclaims receivable		—			376			—
TOTAL ASSETS		28,683,196			140,364,018			476,624,594
LIABILITIES
Swaptions written, at value (premiums received $0, $212,040 and $0, respectively) (Note 2)		—			171,963			—
Payable for securities purchased		—			507,811			—
Payable for delayed delivery securities purchased (Note 2)		1,110,875			—			—
Payable for Fund shares redeemed		12,574			202,982			128,963
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			2,455			—
Payable for variation margin on futures contracts (Note 2)		—			3,938			—
Distributions payable		5,885			—			—
Management fees payable (Note 6)		—			62,346			348,325
Deferred Trustees’ fees (Note 6)		12,289			83,536			485,030
Administrative fees payable (Note 6)		961			4,889			16,657
Payable to distributor (Note 6d)		163			989			2,090
Other accounts payable and accrued expenses		30,472			51,520			164,383
TOTAL LIABILITIES		1,173,219			1,092,429			1,145,448
NET ASSETS	$	27,509,977		$	139,271,589		$	475,479,146
NET ASSETS CONSIST OF:
Paid-in capital	$	27,584,023		$	134,729,913		$	293,068,460
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)		(345	)		64,136			(548,365	)
Accumulated net realized gain (loss) on investments, futures contracts, options/swaptions written and foreign currency transactions		(412,645	)		(10,228,160	)		121,176,616
Net unrealized appreciation on investments, futures contracts, swaptions written and foreign currency translations		338,944			14,705,700			61,782,435
NET ASSETS	$	27,509,977		$	139,271,589		$	475,479,146

See accompanying notes to financial statements.

43  |

Statements of Assets and Liabilities (continued)

June 30, 2014 (Unaudited)

	McDonnell Intermediate Municipal Bond Fund		Natixis Diversified Income Fund		Natixis U.S. Equity Opportunities Fund*
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,442,681	$	86,079,662	$	391,886,051
Shares of beneficial interest		146,329		6,510,091		11,160,855
Net asset value and redemption price per share	$	9.86	$	13.22	$	35.11
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.22	$	13.84	$	37.25
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	—	$	—	$	4,938,356
Shares of beneficial interest		—		—		174,042
Net asset value and offering price per share	$	—	$	—	$	28.37
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	536,512	$	51,188,154	$	48,909,117
Shares of beneficial interest		54,442		3,883,163		1,723,111
Net asset value and offering price per share	$	9.85	$	13.18	$	28.38
Class Y shares:
Net assets	$	25,530,784	$	2,003,773	$	29,745,622
Shares of beneficial interest		2,589,434		152,256		769,362
Net asset value, offering and redemption price per share	$	9.86	$	13.16	$	38.66

* Formerly Natixis U.S. Multi-Cap Equity Fund.

See accompanying notes to financial statements.

|  44

Statements of Operations

For the Six Months Ended June 30, 2014 (Unaudited)

	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund*
INVESTMENT INCOME
Dividends	$	—		$	1,245,310		$	3,135,857
Interest		248,257			1,384,825			18
Less net foreign taxes withheld		—			—			(58,305	)
		248,257			2,630,135			3,077,570
Expenses
Management fees (Note 6)		48,365			360,385			1,804,419
Service and distribution fees (Note 6)		2,468			346,748			723,656
Administrative fees (Note 6)		5,262			28,521			98,182
Trustees’ fees and expenses (Note 6)		7,769			9,142			14,682
Transfer agent fees and expenses (Note 6)		1,202			41,414			246,942
Audit and tax services fees		21,806			24,293			29,043
Custodian fees and expenses		6,683			23,672			21,697
Legal fees		118			648			2,333
Registration fees		32,954			30,622			66,409
Shareholder reporting expenses		526			7,300			34,355
Miscellaneous expenses		4,493			8,200			10,910
Total expenses		131,646			880,945			3,052,628
Fee/expense recovery (Note 6)		—			—			39,552
Less waiver and/or expense reimbursement (Note 6)		(62,677	)		(3,009	)		—
Net expenses		68,969			877,936			3,092,180
Net investment income (loss)		179,288			1,752,199			(14,610	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(64,319	)		(134,834	)		121,505,276
Futures contracts		—			(92,227	)		268,061
Options/swaptions written		—			475,362			(21,977	)
Foreign currency transactions		—			(7,515	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		843,892			10,000,544			(87,930,375	)
Futures contracts		—			6,057			—
Swaptions written		—			45,741			—
Foreign currency translations		—			12,118			—
Net realized and unrealized gain on investments, futures contracts, options/swaptions written and foreign currency transactions		779,573			10,305,246			33,820,985
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	958,861		$	12,057,445		$	33,806,375

* Formerly Natixis U.S. Multi-Cap Equity Fund.

See accompanying notes to financial statements.

45  |

Statements of Changes in Net Assets

	McDonnell Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	179,288		$	219,809
Net realized loss on investments		(64,319	)		(348,326	)
Net change in unrealized appreciation (depreciation) on investments		843,892			(347,464	)
Net increase (decrease) in net assets resulting from operations		958,861			(475,981	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(6,756	)		(3,763	)
Class C		(495	)		(41	)
Class Y		(172,056	)		(222,054	)
Total distributions		(179,307	)		(225,858	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		3,924,897			8,678,272
Net increase in net assets		4,704,451			7,976,433
NET ASSETS
Beginning of the period		22,805,526			14,829,093
End of the period	$	27,509,977		$	22,805,526
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(345	)	$	(326	)

See accompanying notes to financial statements.

|  46

Statements of Changes in Net Assets (continued)

	Natixis Diversified Income Fund
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	1,752,199		$	2,842,327
Net realized gain on investments, futures contracts, swaptions written and foreign currency transactions		240,786			6,816,963
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		10,064,460			(2,922,350	)
Net increase in net assets resulting from operations		12,057,445			6,736,940
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,044,633	)		(2,123,101	)
Class C		(458,602	)		(943,848	)
Class Y		(19,087	)		(21,931	)
Total distributions		(1,522,322	)		(3,088,880	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		557,156			(3,382,992	)
Net increase in net assets		11,092,279			265,068
NET ASSETS
Beginning of the period		128,179,310			127,914,242
End of the period	$	139,271,589		$	128,179,310
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	64,136		$	(165,741	)

See accompanying notes to financial statements.

47  |

Statements of Changes in Net Assets (continued)

	Natixis U.S. Equity Opportunities Fund*
	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(14,610	)	$	(762,450	)
Net realized gain on investments, futures contracts and options written		121,751,360			37,957,408
Net change in unrealized appreciation (depreciation) on investments		(87,930,375	)		82,618,997
Net increase in net assets resulting from operations		33,806,375			119,813,955
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(5,336,761	)		(27,351,336	)
Class B		(107,961	)		(739,952	)
Class C		(810,687	)		(3,885,125	)
Class Y		(353,085	)		(1,541,929	)
Total distributions		(6,608,494	)		(33,518,342	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		660,171			18,695,182
Net increase in net assets		27,858,052			104,990,795
NET ASSETS
Beginning of the period		447,621,094			342,630,299
End of the period	$	475,479,146		$	447,621,094
ACCUMULATED NET INVESTMENT (LOSS)	$	(548,365	)	$	(533,755	)

* Formerly Natixis U.S. Multi-Cap Equity Fund.

See accompanying notes to financial statements.

|  48

Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains		Total distributions
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
Class A
6/30/2014(f)	$	9.54	$	0.06		$	0.32		$	0.38		$	(0.06	)	$	—	$	(0.06	)
12/31/2013		9.89		0.09			(0.35	)		(0.26	)		(0.09	)		—		(0.09	)
12/31/2012(g)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class C
6/30/2014(f)		9.54		0.02			0.31			0.33			(0.02	)		—		(0.02	)
12/31/2013		9.89		0.01			(0.34	)		(0.33	)		(0.02	)		—		(0.02	)
12/31/2012(g)		10.00		(0.01	)		(0.10	)		(0.11	)		—			—		—
Class Y
6/30/2014(f)		9.54		0.07			0.32			0.39			(0.07	)		—		(0.07	)
12/31/2013		9.88		0.11			(0.34	)		(0.23	)		(0.11	)		—		(0.11	)
12/31/2012(g)		10.00		(0.01	)		(0.11	)		(0.12	)		—			—		—

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

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

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

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

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

(f) For the six months ended June 30, 2014 (Unaudited).

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

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

See accompanying notes to financial statements.

49  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)			Net assets, end of the period (000’s)		Net expenses (%) (d)(e)			Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
	$9.86		3.99		$	1,443		0.80			1.30		1.25			7
	9.54		(2.66	)		1,047		0.80			1.37		0.90			37
	9.89		(1.10	)		1		2.19	(h)		2.23		(0.71	)		0
	9.85		3.49			537		1.55			2.08		0.43			7
	9.54		(3.35	)		55		1.55			2.08		0.14			37
	9.89		(1.10	)		1		2.20	(h)		2.24		(0.73	)		0
	9.86		4.13			25,531		0.55			1.07		1.50			7
	9.54		(2.31	)		21,704		0.55			1.04		1.13			37
	9.88		(1.20	)		14,827		2.33	(h)		2.37		(0.84	)		0

See accompanying notes to financial statements.

|  50

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:							Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain		Total from investment operations		Dividends from net investment income			Distributions from net realized capital gains		Total distributions
NATIXIS DIVERSIFIED INCOME FUND
Class A
6/30/2014(f)	$	12.21	$	0.19		$	0.98	$	1.17	$	(0.16	)	$	—	$	(0.16	)
12/31/2013		11.83		0.29			0.40		0.69		(0.31	)		—		(0.31	)
12/31/2012		10.74		0.29			1.12		1.41		(0.32	)		—		(0.32	)
12/31/2011		10.41		0.34			0.40		0.74		(0.41	)		—		(0.41	)
12/31/2010		9.22		0.34			1.18		1.52		(0.33	)		—		(0.33	)
12/31/2009		7.18		0.36			1.97		2.33		(0.29	)		—		(0.29	)
Class C
6/30/2014(f)		12.17		0.14			0.99		1.13		(0.12	)		—		(0.12	)
12/31/2013		11.80		0.19			0.39		0.58		(0.21	)		—		(0.21	)
12/31/2012		10.71		0.20			1.12		1.32		(0.23	)		—		(0.23	)
12/31/2011		10.39		0.26			0.39		0.65		(0.33	)		—		(0.33	)
12/31/2010		9.20		0.27			1.17		1.44		(0.25	)		—		(0.25	)
12/31/2009		7.17		0.30			1.97		2.27		(0.24	)		—		(0.24	)
Class Y
6/30/2014(f)		12.19		0.22			0.93		1.15		(0.18	)		—		(0.18	)
12/31/2013		11.83		0.33			0.37		0.70		(0.34	)		—		(0.34	)
12/31/2012(g)		11.72		(0.02	)		0.18		0.16		(0.05	)		—		(0.05	)

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

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

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

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

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

(f) For the six months ended June 30, 2014 (Unaudited).

(g) From commencement of Class operations on December 3, 2012, through December 31, 2012.

See accompanying notes to financial statements.

51  |

						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)		Net assets, end of the period (000’s)		Net expenses (%) (d)(e)		Gross expenses (%) (e)		Net investment income (loss) (%) (e)			Portfolio turnover rate (%)
	$13.22		9.66	$	86,080		1.06		1.07		2.95			21
	12.21		5.84		79,039		1.09		1.09		2.34			41
	11.83		13.22		78,216		1.11		1.11		2.53			29
	10.74		7.21		45,211		1.13		1.13		3.17			20
	10.41		16.73		35,787		1.19		1.19		3.51			28
	9.22		33.32		33,796		1.21		1.21		4.67			22
	13.18		9.30		51,188		1.81		1.81		2.20			21
	12.17		4.98		48,512		1.84		1.84		1.59			41
	11.80		12.43		49,697		1.86		1.86		1.79			29
	10.71		6.33		29,814		1.88		1.88		2.42			20
	10.39		15.90		27,355		1.94		1.94		2.76			28
	9.20		32.24		25,301		1.96		1.96		3.90			22
	13.16		9.48		2,004		0.82		0.82		3.45			21
	12.19		5.93		628		0.83		0.83		2.71			41
	11.83		1.35		1		1.00		1.00		(2.37	)		29

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
NATIXIS U.S. EQUITY OPPORTUNITIES FUND*
Class A
6/30/2014(g)	$	33.07	$	0.01		$	2.51		$	2.52		$	—		$	(0.48	)	$	(0.48	)
12/31/2013		26.35		(0.04	)		9.34			9.30			—			(2.58	)		(2.58	)
12/31/2012		23.56		0.07			4.12			4.19			(0.07	)		(1.33	)		(1.40	)
12/31/2011		25.17		(0.04	)		(0.69	)		(0.73	)		—			(0.88	)		(0.88	)
12/31/2010		20.68		0.03	(i)		4.50			4.53			(0.04	)		—			(0.04	)
12/31/2009		15.16		(0.01	)		5.53			5.52			—			—			—
Class B
6/30/2014(g)		26.91		(0.10	)		2.04			1.94			—			(0.48	)		(0.48	)
12/31/2013		21.98		(0.22	)		7.73			7.51			—			(2.58	)		(2.58	)
12/31/2012		19.93		(0.12	)		3.50			3.38			—			(1.33	)		(1.33	)
12/31/2011		21.60		(0.21	)		(0.58	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.85		(0.12	)(i)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.78			4.66			—			—			—
Class C
6/30/2014(g)		26.92		(0.09	)		2.03			1.94			—			(0.48	)		(0.48	)
12/31/2013		21.99		(0.22	)		7.73			7.51			—			(2.58	)		(2.58	)
12/31/2012		19.94		(0.11	)		3.49			3.38			—			(1.33	)		(1.33	)
12/31/2011		21.61		(0.20	)		(0.59	)		(0.79	)		—			(0.88	)		(0.88	)
12/31/2010		17.86		(0.12	)(i)		3.87			3.75			—			—			—
12/31/2009		13.19		(0.12	)		4.79			4.67			—			—			—
Class Y
6/30/2014(g)		36.32		0.06			2.76			2.82			—			(0.48	)		(0.48	)
12/31/2013		28.68		0.05			10.17			10.22			—			(2.58	)		(2.58	)
12/31/2012		25.52		0.17			4.46			4.63			(0.14	)		(1.33	)		(1.47	)
12/31/2011		27.12		0.04			(0.76	)		(0.72	)		—			(0.88	)		(0.88	)
12/31/2010		22.27		0.05	(i)		4.90			4.95			(0.10	)		—			(0.10	)
12/31/2009		16.29		0.04			5.94			5.98			—			—			—

* Formerly Natixis U.S. Multi-Cap Equity Fund.

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

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

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

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

See accompanying notes to financial statements.

53  |

									Ratios to Average Net Assets:
Increase from regulatory settlements (b)		Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (loss) (%) (f)			Portfolio turnover rate (%)
	$    —	$	35.11		7.71		$	391,886		1.30	(h)		1.30	(h)		0.06			85
	—		33.07		35.75			371,102		1.30			1.32			(0.12	)		50
	—		26.35		17.79			289,898		1.30			1.35			0.25			52
	—		23.56		(2.79	)		281,467		1.34	(i)		1.38			(0.15	)		97
	0.00		25.17		21.90			314,384		1.40			1.50			0.14	(j)		79
	—		20.68		36.41			280,846		1.40			1.56			(0.05	)		115
	—		28.37		7.32			4,938		2.05	(h)		2.05	(h)		(0.72	)		85
	—		26.91		34.70			7,708		2.05			2.07			(0.89	)		50
	—		21.98		16.97			11,172		2.05			2.10			(0.55	)		52
	—		19.93		(3.53	)		16,820		2.10	(i)		2.13			(0.94	)		97
	0.00		21.60		21.01			28,787		2.15			2.25			(0.66	)(j)		79
	—		17.85		35.33			37,406		2.15			2.31			(0.80	)		115
	—		28.38		7.31			48,909		2.05	(h)		2.05	(h)		(0.68	)		85
	—		26.92		34.69			44,150		2.05			2.07			(0.86	)		50
	—		21.99		16.96			30,525		2.05			2.10			(0.49	)		52
	—		19.94		(3.53	)		28,462		2.09	(i)		2.13			(0.90	)		97
	0.00		21.61		21.00			30,912		2.15			2.25			(0.62	)(j)		79
	—		17.86		35.41			28,580		2.15			2.31			(0.80	)		115
	—		38.66		7.85			29,746		1.05	(h)		1.05	(h)		0.32			85
	—		36.32		36.06			24,661		1.05			1.07			0.13			50
	—		28.68		18.15			11,035		1.05			1.10			0.61			52
	—		25.52		(2.56	)		2,047		1.09	(i)		1.14			0.16			97
	0.00		27.12		22.21			1,317		1.15			1.24			0.22	(j)		79
	—		22.27		36.71			5,325		1.15			1.22			0.20			115

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

(h) Includes fee/expense recovery of 0.02%.

(i) Effective June 1, 2011, the expense limit decreased to 1.30%, 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively.

(j) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively.

See accompanying notes to financial statements.

|  54

Notes to Financial Statements

June 30, 2014 (Unaudited)

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

Natixis Funds Trust I:

Natixis Diversified Income Fund (the “Diversified Income Fund”)

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”) (formerly Natixis U.S. Multi-Cap Equity Fund)

Natixis Funds Trust II:

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

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares of U.S. Equity Opportunities Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.

Class A shares are sold with a maximum front-end sales charge of 3.50%, 4.50% and 5.75%, for Intermediate Municipal Bond Fund, Diversified Income Fund and U.S. Equity Opportunities Fund, respectively. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) of 5.00% if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each

55  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

a.  Valuation.  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. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Domestic exchange-traded single equity option contracts are valued at the mean of the National

|  56

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Best Bid and Offer quotations. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Centrally cleared interest rate swaps are valued at settlement prices of the clearinghouse on which the contracts were traded, if available, or prices obtained from broker-dealers. Interest rate swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions

57  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

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

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

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

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

|  58

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

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

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

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

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

59  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

For the six months ended June 30, 2014, the Funds were not party to any OTC options.

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

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

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap

|  60

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

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

h.  Swap Agreements.  Diversified Income Fund may enter into interest rate swaps.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.

For the six months ended June 30, 2014, Diversified Income Fund was not party to any interest rate swaps.

i.  Federal and Foreign Income Taxes.  Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’

61  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

j.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, inflation protected securities, contingent payment debt instruments, premium amortization, paydown gains and losses, defaulted bonds, interest rate swap adjustments, return of capital and capital gain distributions received, foreign currency transactions and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted bonds, trust preferred securities, contingent payment debt instruments, return of capital distributions received, wash sales and futures and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

|  62

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

	2013 Distributions Paid From:
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	—	$	225,858	$	—	$	225,858
Diversified Income Fund		3,088,880		—		—		3,088,880
U.S. Equity Opportunities Fund		2,591,791		—		30,926,551		33,518,342

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

As of December 31, 2013, capital loss carryforwards were as follows:

	Intermediate Municipal Bond Fund			Diversified Income Fund
Capital loss carryforward:
Short-term:
Expires December 31, 2017	$	—		$	(10,106,858	)
No expiration date		(342,616	)		—
Long-term:
No expiration date		(5,710	)		—
Total capital loss carryforward	$	(348,326	)	$	(10,106,858	)

Capital losses may be utilized to offset future capital gains until expiration. The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital loss carryforwards to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date may expire unused.

k.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the

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collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2014, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

l.  Delayed Delivery Commitments.  The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Fund’s commitment. No interest accrues to the Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2014, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2014, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	25,804,108	$	—	$	25,804,108
Short-Term Investments		—		2,559,007		—		2,559,007
Total	$	—	$	28,363,115	$	—	$	28,363,115

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

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Notes to Financial Statements (continued)

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For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

Diversified Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2			Level 3			Total
Common Stocks(a)	$	70,424,719	$	—		$	—		$	70,424,719
Bonds and Notes
Non-Convertible Bonds
ABS Other		—		—			678,752	(b)		678,752
Airlines		—		597,798			1,426,875	(b)		2,024,673
All Other Non-Convertible Bonds(a)		—		55,759,168			—			55,759,168
Total Non-Convertible Bonds		—		56,356,966			2,105,627			58,462,593
Convertible Bonds(a)		—		3,819,568			—			3,819,568
Municipals(a)		—		38,931			—			38,931
Total Bonds and Notes		—		60,215,465			2,105,627			62,321,092
Preferred Stocks
Non-Convertible Preferred Stocks(a)		1,003,052		—			—			1,003,052
Convertible Preferred Stocks
REITs – Mortgage		—		113,929			—			113,929
All Other Convertible Preferred Stocks(a)		558,693		—			—			558,693
Total Convertible Preferred Stocks		558,693		113,929			—			672,622
Total Preferred Stocks		1,561,745		113,929			—			1,675,674
Senior Loans(a)		—		79,148			—			79,148
Purchased Swaptions(a)		—		318,452			—			318,452
Short-Term Investments		—		4,294,380			—			4,294,380
Total Investments		71,986,464		65,021,374			2,105,627			139,113,465
Forward Foreign Currency Contracts (unrealized appreciation)		—		13,021			—			13,021
Futures Contracts (unrealized appreciation)		9,928		—			—			9,928
Total	$	71,996,392	$	65,034,395		$	2,105,627		$	139,136,414
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3			Total
Written Swaptions(a)	$	—	$	(171,963	)	$	—		$	(171,963	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(2,455	)		—			(2,455	)
Total	$	—	$	(174,418	)	$	—		$	(174,418	)

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

(b) Valued using broker-dealer bid prices.

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Notes to Financial Statements (continued)

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A preferred stock valued at $89,334 was transferred from Level 2 to Level 1 during the period ended June 30, 2014. At December 31, 2013, 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. At June 30, 2014, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

U.S. Equity Opportunities Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	468,212,282	$	—	$	—	$	468,212,282
Short-Term Investments		—		7,815,088		—		7,815,088
Total	$	468,212,282	$	7,815,088	$	—	$	476,027,370

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

For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.

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June 30, 2014 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or June 30, 2014:

Diversified Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2013			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	284,200		$	—	$	—		$	4,613	$	389,939
Airlines		1,487,108			35		962			42,617		—
Retailers		254,668			—		—			—		—
Total	$	2,025,976		$	35	$	962		$	47,230	$	389,939
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	—	$	—		$	678,752	$	4,613
Airlines		(103,847	)		—		—			1,426,875		46,096
Retailers		—			—		(254,668	)		—		—
Total	$	(103,847	)	$	—	$	(254,668	)	$	2,105,627	$	50,709

A debt security valued at $254,668 was transferred from Level 3 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

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Notes to Financial Statements (continued)

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4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that Diversified Income Fund and U.S. Equity Opportunities Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and interest rate swaptions.

Diversified Income Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the six months ended June 30, 2014, the Fund engaged in interest rate swaptions for this purpose.

Diversified Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.

Diversified Income Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the six months ended June 30, 2014, the Fund used futures contracts to manage duration and used interest rate swaptions for hedging purposes and to manage duration.

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. U.S. Equity Opportunities 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 and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use futures contracts, purchased call options and written put options for investment purposes. During the six months ended June 30, 2014, the Fund engaged in futures contracts and purchased put option transactions for hedging purposes and futures contracts and written put option transactions for investment purposes.

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Notes to Financial Statements (continued)

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The following is a summary of derivative instruments for Diversified Income Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts2			Total
Over-the-counter asset derivatives
Interest rate contracts	$	318,452		$	—		$	—		$	318,452
Foreign exchange contracts		—			13,021			—			13,021
Total over-the-counter asset derivatives	$	318,452		$	13,021		$	—		$	331,473
Exchange traded/cleared asset derivatives
Interest rate contracts		—			—			9,928			9,928
Total asset derivatives	$	318,452		$	13,021		$	9,928		$	341,401
Liabilities	Swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(171,963	)	$	—		$	(171,963	)
Foreign exchange contracts		—			(2,455	)		(2,455	)
Total over-the-counter liability derivatives	$	(171,963	)	$	(2,455	)	$	(174,418	)

¹ Represents purchased swaptions, at value.

²  Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments3			Futures contracts			Swaptions written		Foreign currency translations4
Interest rate contracts	$	(659,054	)	$	(92,227	)	$	475,362	$	—
Foreign exchange contracts		—			—			—		(5,272	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments3			Futures contracts			Swaptions written		Foreign currency translations4
Interest rate contracts	$	(78,232	)	$	6,057		$	45,741	$	—
Foreign exchange contracts		—			—			—		9,285

³ Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased swaptions during the period.

⁴ Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Transactions in derivative instruments for U.S. Equity Opportunities Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments1		Options written			Futures contracts
Equity contracts	$	85,425	$	(21,977	)	$	268,061

¹ Represents realized gain for purchased options during the period.

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

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, for Diversified Income Fund and U.S. Equity Opportunities Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

Diversified Income Fund	Forwards			Futures
Average Notional Amount Outstanding		1.08	%		1.08	%
Highest Notional Amount Outstanding		1.32	%		1.42	%
Lowest Notional Amount Outstanding		0.77	%		0.21	%
Notional Amount Outstanding as of June 30, 2014		1.20	%		1.38	%
U.S. Equity Opportunities Fund	Futures
Average Notional Amount Outstanding		0.18	%
Highest Notional Amount Outstanding		2.09	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2014		0.00	%

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

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

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Notes to Financial Statements (continued)

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The volume of interest rate swaption activity, as a percentage of net assets, for Diversified Income Fund, based on average premiums paid or received during the period, including long and short positions, at absolute value, was as follows for the six months ended June 30, 2014:

Diversified Income Fund	Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written			Interest Rate Call Swaptions Purchased			Interest Rate Put Swaptions Purchased
Average Premium Paid/Received		0.01	%		0.35	%		0.54	%		0.07	%
Highest Premium Paid/Received		0.02	%		0.44	%		0.67	%		0.12	%
Lowest Premium Paid/Received		0.00	%		0.15	%		0.26	%		0.02	%
Premium Paid/Received as of June 30, 2014		0.00	%		0.15	%		0.26	%		0.02	%

The volume of option contract activity, as a percentage of net assets, for U.S. Equity Opportunities Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2014:

U.S. Equity Opportunities Fund*	Put Options Purchased			Put Options Written
Average Market Value of Underlying Securities		0.75	%		0.01	%
Highest Market Value of Underlying Securities		4.41	%		2.78	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of June 30, 2014		0.00	%		0.00	%

* Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

Market value of underlying securities at the end of the prior period, if applicable, are included in the averages above.

The following is a summary of Diversified Income Fund’s written swaption activity:

	Notional Amount			Premiums
Outstanding at December 31, 2013	$	34,950,000		$	588,139
Swaptions written		9,000,000			212,040
Swaptions expired		(17,450,000	)		(28,139	)
Swaptions terminated in closing purchase transactions		(17,500,000	)		(560,000	)
Outstanding at June 30, 2014	$	9,000,000		$	212,040

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a summary of U.S. Equity Opportunities Fund’s written option activity:

	Notional Amount			Premiums
Outstanding at December 31, 2013	$	—		$	—
Options written		486			35,026
Options terminated in closing purchase transactions		(486	)		(35,026	)
Outstanding at June 30, 2014	$	—		$	—

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

As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements for Diversified Income Fund, by counterparty, are as follows:

Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
Barclays Bank PLC	$	318,103	$	(171,963	)	$	146,140	$	—	$	146,140
Goldman Sachs International		13,370		—			13,370		—		13,370
	$	331,473	$	(171,963	)	$	159,510	$	—	$	159,510

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Barclays Bank PLC	$	(171,963	)	$	171,963	$	—		$	—	$	—
Credit Suisse International		(2,455	)		—		(2,455	)		—		(2,455	)
	$	(174,418	)	$	171,963	$	(2,455	)	$	—	$	(2,455	)

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements for Diversified Income Fund include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$371,473	$	199,510

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Intermediate Municipal Bond Fund	$	6,430,962	$	1,511,009
Diversified Income Fund		8,496,473		12,517,257
U.S. Equity Opportunities Fund		377,562,651		377,638,418

For the six months ended June 30, 2014, purchases and sales of U.S. Government/Agency securities by Diversified Income Fund were $18,056,950 and $15,313,354, respectively.

6.  Management Fees and Other Transactions with Affiliates.

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

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $800 million			Over $1 billion
Intermediate Municipal Bond Fund		0.40	%		0.40	%		0.40	%
Diversified Income Fund		0.55	%		0.55	%		0.50	%
U.S. Equity Opportunities Fund		0.80	%		0.80	%		0.80	%

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

Intermediate Municipal Bond Fund	McDonnell Investment Management, LLC (“McDonnell”)
Diversified Income Fund	AEW Capital Management, L.P. (“AEW”) Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Equity Opportunities Fund	Harris Associates L.P. (“Harris”) Loomis Sayles

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Notes to Financial Statements (continued)

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

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $250 million			Over $250 million
Intermediate Municipal Bond Fund	McDonnell		0.20	%		0.20	%
Diversified Income Fund
Diversified REIT Discipline	AEW		0.45	%		0.40	%
Inflation Protected Securities Discipline	Loomis Sayles		0.25	%		0.20	%
Multi-Sector Bond Discipline	Loomis Sayles		0.35	%		0.30	%
U.S. Equity Opportunities Fund
Large Cap Growth Segment	Harris		0.52	%		0.52	%
All Cap Growth Segment	Loomis Sayles		0.35	%		0.35	%

Prior to February 28, 2014, U.S. Equity Opportunities Fund paid a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $250 million			Over $250 million
U.S. Equity Opportunities Fund
Harris Associates Segment	Harris		0.45	%		0.40	%
Large Cap Growth Segment	Loomis Sayles		0.25	%		0.25	%
Mid Cap Growth Segment	Loomis Sayles		0.50	%		0.45	%
Small/Mid Core Segment	Loomis Sayles		0.50	%		0.45	%

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

NGAM Advisors has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Intermediate Municipal Bond Fund		0.80	%		—			1.55	%		0.55	%
Diversified Income Fund		1.25	%		—			2.00	%		1.00	%
U.S. Equity Opportunities Fund		1.30	%		2.05	%		2.05	%		1.05	%

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

For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Contractual Waivers of Management Fees1		Voluntary Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
									Gross			Net
Intermediate Municipal Bond Fund	$	48,365	$	48,365	$	—	$	—		0.40	%		—
Diversified Income Fund		360,385		—		3,009		357,376		0.55	%		0.55	%
U.S. Equity Opportunities Fund		1,804,419		—		—		1,804,419		0.80	%		0.80	%

¹ Management fee waivers are subject to possible recovery until December 31, 2015.

For the six months ended June 30, 2014, expenses have been reimbursed as follows:

Fund	Reimbursement2
Intermediate Municipal Bond Fund	$	14,312

² Expense reimbursements are subject to possible recovery until December 31, 2015.

For the six months ended June 30, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A	Class B	Class C	Class Y
U.S. Equity Opportunities Fund	$32,820	$709	$3,922	$2,101

Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, AEW, McDonnell, Hansberger, Loomis Sayles and Harris are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”),

77  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

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

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

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

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

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

For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Intermediate Municipal Bond Fund	$	1,356	$	—	$	278	$	—	$	834
Diversified Income Fund		100,994		—		61,439		—		184,315
U.S. Equity Opportunities Fund		465,811		7,521		56,940		22,564		170,820

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2014, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Intermediate Municipal Bond Fund	$	5,262
Diversified Income Fund		28,521
U.S. Equity Opportunities Fund		98,182

Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers.

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	964
Diversified Income Fund		36,095
U.S. Equity Opportunities Fund		77,183

As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	163
Diversified Income Fund		989
U.S. Equity Opportunities Fund		2,090

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 were as follows:

Fund	Commissions
Intermediate Municipal Bond Fund	$	1,749
Diversified Income Fund		51,795
U.S. Equity Opportunities Fund		136,190

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

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

g.  Affiliated Ownership.  As of June 30, 2014, Natixis US held shares of Intermediate Municipal Bond Fund representing 73.16% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.

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

For the six months ended June 30, 2014, none of the Funds had borrowings under this agreement.

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

81  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Operations. For the six months ended June 30, 2014, amounts rebated under these agreements were as follows:

Fund	Rebates
Diversified Income Fund	$	118
U.S. Equity Opportunities Fund		5,359

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

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

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	52,605		$	517,029		110,750		$	1,054,332
Issued in connection with the reinvestment of distributions	655			6,408		394			3,760
Redeemed	(16,641	)		(161,274	)	(1,534	)		(14,587	)
Net change	36,619		$	362,163		109,610		$	1,043,505
Class C
Issued from the sale of shares	49,912		$	487,563		5,672		$	54,216
Issued in connection with the reinvestment of distributions	35			347		3			32
Redeemed	(1,277	)		(12,578	)	(3	)		(30	)
Net change	48,670		$	475,332		5,672		$	54,218
Class Y
Issued from the sale of shares	365,833		$	3,588,533		764,014		$	7,476,085
Issued in connection with the reinvestment of distributions	15,836			154,781		22,939			221,518
Redeemed	(66,829	)		(655,912	)	(12,359	)		(117,054	)
Net change	314,840		$	3,087,402		774,594		$	7,580,549
Increase (decrease) from capital share transactions	400,129		$	3,924,897		889,876		$	8,678,272
	Six Months Ended June 30, 2014					Year Ended December 31, 2013
Diversified Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	793,660		$	10,098,598		2,296,819		$	28,186,176
Issued in connection with the reinvestment of distributions	70,110			898,421		143,499			1,747,254
Redeemed	(828,694	)		(10,457,987	)	(2,574,911	)		(31,275,395	)
Net change	35,076		$	539,032		(134,593	)	$	(1,341,965	)

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

10.  Capital Shares (continued). Class C
Issued from the sale of shares	263,059		$	3,344,109		1,235,545		$	15,057,397
Issued in connection with the reinvestment of distributions	19,917			254,928		44,750			543,265
Redeemed	(385,616	)		(4,873,294	)	(1,505,441	)		(18,273,142	)
Net change	(102,640	)	$	(1,274,257	)	(225,146	)	$	(2,672,480	)
Class Y
Issued from the sale of shares	200,829		$	2,547,055		101,531		$	1,240,996
Issued in connection with the reinvestment of distributions	1,471			18,912		1,769			21,605
Redeemed	(101,589	)		(1,273,586	)	(51,841	)		(631,148	)
Net change	100,711		$	1,292,381		51,459		$	631,453
Increase (decrease) from capital share transactions	33,147		$	557,156		(308,280	)	$	(3,382,992	)

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
U.S. Equity Opportunities Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	405,110		$	13,654,118		758,252		$	23,078,823
Issued in connection with the reinvestment of distributions	155,170			5,157,867		830,421			26,527,755
Redeemed	(622,516	)		(20,926,176	)	(1,366,195	)		(41,781,217	)
Net change	(62,236	)	$	(2,114,191	)	222,478		$	7,825,361
Class B
Issued from the sale of shares	2,709		$	73,674		8,879		$	231,157
Issued in connection with the reinvestment of distributions	3,931			105,786		28,040			726,359
Redeemed	(119,021	)		(3,237,631	)	(258,805	)		(6,503,881	)
Net change	(112,381	)	$	(3,058,171	)	(221,886	)	$	(5,546,365	)
Class C
Issued from the sale of shares	183,171		$	5,039,043		328,959		$	8,489,719
Issued in connection with the reinvestment of distributions	26,620			716,620		131,853			3,444,408
Redeemed	(126,774	)		(3,459,440	)	(209,109	)		(5,252,836	)
Net change	83,017		$	2,296,223		251,703		$	6,681,291
Class Y
Issued from the sale of shares	339,938		$	12,514,901		696,498		$	23,425,027
Issued in connection with the reinvestment of distributions	7,456			272,738		39,615			1,392,630
Redeemed	(257,084	)		(9,251,329	)	(441,890	)		(15,082,762	)
Net change	90,310		$	3,536,310		294,223		$	9,734,895
Increase (decrease) from capital share transactions	(1,290	)	$	660,171		546,518		$	18,695,182

83  |

SEMIANNUAL REPORT

June 30, 2014

Loomis Sayles Strategic Alpha Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 8

Financial Statements page  31

Notes to Financial Statements page 37

Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.

For more details visit ngam.natixis.com/TopFundFamily

LOOMIS SAYLES STRATEGIC ALPHA FUND

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

Objective

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

Average Annual Total Returns — June 30, 2014⁴

	6 Months			1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		2.15	%		3.69	%		3.17	%
With 4.50% Maximum Sales Charge		-2.41			-0.95			1.84
Class C (Inception 12/15/10)
NAV		1.79			3.01			2.38
With CDSC1		0.79			2.01			2.38
Class Y (Inception 12/15/10)
NAV		2.27			3.96			3.40
Comparative Performance
3-Month LIBOR2		0.12			0.26			0.34
3-Month LIBOR + 300 basis points3		1.62			3.31			3.40

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

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

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

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

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

1  |

ADDITIONAL INFORMATION

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the fund voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available on the Fund’s website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2014		ENDING ACCOUNT VALUE 6/30/2014		EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014
Class A
Actual		$1,000.00		$1,021.50		$5.51
Hypothetical (5% return before expenses)		$1,000.00		$1,019.34		$5.51
Class C
Actual		$1,000.00		$1,017.90		$9.26
Hypothetical (5% return before expenses)		$1,000.00		$1,015.62		$9.25
Class Y
Actual		$1,000.00		$1,022.70		$4.26
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$4.26

* Expenses are equal to the Fund’s annualized expense ratio: 1.10%, 1.85% and 0.85% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

3  |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

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

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

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

|  4

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

The Board most recently approved the continuation of the Agreement at its meeting held in June 2014. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund. The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis. The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreement, that the performance of the Fund and the Adviser and/or other relevant factors supported the renewal of the Agreement.

5  |

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory services as well as the total expense levels of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fees and total expense levels to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and to expend additional resources as the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Fund has an expense cap in place, and the Trustees considered that the current expenses are below the cap.

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a

|  6

fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although the Fund’s management fee was not subject to breakpoints, the Fund’s management fee was at or below the median fee for a peer group of funds. The Trustees further noted that the Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

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

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

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

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

· The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreement and under a separate agreement covering administrative services.

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2015.

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Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 62.2% of Net Assets
	Non-Convertible Bonds — 57.3%
		ABS Car Loan — 1.9%
$	4,050,000	Ally Master Owner Trust, Series 2014-2, Class A, 0.522%, 1/16/2018(b)(c)	$	4,050,000
	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(c)		2,341,268
	2,828,528	Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(c)		2,830,349
	5,575,000	Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(c)		5,585,113
	2,964,919	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(c)		2,966,449
	4,625,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018(c)		4,620,426
	1,565,000	USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017		1,567,573
				23,961,178
		ABS Credit Card — 3.2%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.572%, 2/16/2021(b)(c)		3,153,834
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019		1,862,426
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 0.532%, 6/15/2021(b)(c)		2,050,066
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(c)		3,075,381
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c)		6,620,110
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(c)		3,195,295
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.584%, 9/10/2020(b)(c)		5,849,052
	6,700,000	Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(c)		6,716,509
	2,925,000	Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.351%, 5/09/2018(b)(c)		2,926,705
	3,000,000	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(c)		3,006,456
	1,990,000	World Financial Network Credit Card Master Trust, Series 2014-A, Class A, 0.532%, 12/15/2019(b)(c)		1,992,625
				40,448,459
		ABS Home Equity — 13.0%
	1,088,065	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.705%, 3/25/2035(b)		1,037,336
	1,268,164	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 4.047%, 4/25/2035(b)		1,246,315
	2,321,219	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.829%, 4/25/2035(b)(c)		2,316,045
	1,006,469	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033		1,028,109
	1,135,015	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		1,191,777

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	699,494	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035	$	705,273
	2,388,150	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c)		2,433,754
	1,445,187	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		1,489,332
	1,585,541	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		1,631,804
	2,336,065	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(c)		2,397,221
	1,997,853	Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035		1,798,891
	828,148	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.602%, 7/25/2037, 144A(b)		526,431
	2,335,568	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.578%, 11/20/2034(b)(c)		2,232,576
	987,066	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035		1,031,927
	1,838,155	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(c)		1,886,273
	3,170,000	Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A, 3.228%, 7/28/2034, 144A		3,170,000
	847,779	Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.816%, 9/25/2034(b)		798,735
	1,868,191	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.590%, 2/25/2037(b)		1,855,991
	1,996,635	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(c)		2,042,020
	1,075,937	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.530%, 5/25/2035(b)		1,060,803
	620,597	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		554,823
	3,007,136	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(c)		2,646,601
	1,170,239	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		994,640
	2,152,442	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037		1,829,459
	1,919,652	CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037		1,671,034
	1,855,000	Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A		1,856,094
	2,663,391	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(d)		2,715,332
	1,286,638	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		1,342,018
	4,447,116	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(d)		4,388,156
	1,187,058	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		1,239,561
	144,716	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034(b)(e)		146,045

See accompanying notes to financial statements.

9  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,232,078	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.362%, 5/25/2035(b)	$	1,032,323
	1,012,995	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		959,693
	812,585	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		553,031
	877,856	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		788,909
	1,435,517	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		1,498,676
	1,471,262	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.754%, 8/25/2034(b)		1,383,243
	239,985	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.450%, 9/20/2034(b)		237,297
	512,039	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.422%, 4/25/2035(b)		415,995
	1,824,973	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035		1,688,622
	2,074,278	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036(c)		1,916,262
	2,836,262	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037(c)		2,642,463
	983,616	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.614%, 11/25/2033(b)		952,108
	836,151	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.603%, 12/25/2033(b)		813,220
	2,600,787	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.578%, 5/25/2034(b)(c)		2,551,216
	359,437	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		364,825
	1,285,618	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		1,143,404
	654,904	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		582,800
	1,531,909	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035		1,562,913
	1,276,621	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035		1,190,096
	1,730,900	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A		1,755,080
	227,613	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		234,951
	2,159,821	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)(c)		2,164,119
	902,162	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.012%, 7/19/2035(b)		845,308
	313,087	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.829%, 12/25/2034(b)		282,940
	1,890,900	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.778%, 12/25/2034(b)		1,895,097

See accompanying notes to financial statements.

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Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	876,642	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.472%, 7/25/2035(b)	$	820,889
	2,945,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(b)(c)		2,942,441
	1,715,246	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		1,459,568
	2,519,605	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.262%, 5/25/2037(b)		1,716,554
	1,203,097	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.932%, 12/25/2034(b)		1,001,269
	2,682,306	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.792%, 7/25/2045(b)(c)		2,475,248
	3,035,000	Invitation Homes Trust, Series 2014-SFR1, Class B, 1.652%, 6/17/2031, 144A(b)(c)		3,051,107
	3,134,138	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.479%, 3/25/2036(b)(c)		2,743,367
	2,897,751	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.354%, 4/25/2035(b)(c)		2,899,435
	1,170,175	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.847%, 8/25/2035(b)		1,175,416
	2,991,722	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(c)		2,712,930
	2,022,266	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.546%, 2/25/2036(b)		1,800,157
	3,605,304	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.626%, 1/25/2037(b)(c)		3,222,428
	2,983,329	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(c)		2,586,722
	2,670,608	Lehman XS Trust, Series 2006-4N, Class A2A, 0.372%, 4/25/2046(b)(c)		1,960,907
	637	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.302%, 8/25/2046(b)(e)(f)		612
	535,272	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.494%, 5/25/2034(b)		522,800
	3,285,689	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.499%, 7/25/2034(b)(c)		3,323,284
	741,793	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.653%, 4/25/2036(b)		716,713
	633,298	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.312%, 1/25/2047(b)		457,483
	990,137	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		1,026,661
	1,114,692	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034		1,165,915
	1,228,658	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		1,296,931
	2,739,126	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(c)		2,805,657
	456,063	MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034		458,697
	2,080,104	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		1,583,635
	1,919,342	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037		1,461,243
	418,538	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.112%, 5/25/2036(b)		418,145
	1,278,810	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		1,212,457
	2,741,994	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c)		2,787,695

See accompanying notes to financial statements.

11  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	868,814	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.441%, 10/25/2035(b)	$	855,480
	2,582,568	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(d)		2,138,606
	1,022,959	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		1,051,905
	1,238,889	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.635%, 9/25/2034(b)		1,235,230
	7,040,058	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.429%, 11/25/2034(b)(d)		7,007,484
	714,589	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.462%, 7/25/2035(b)		580,595
	1,714,065	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		1,805,623
	2,401,227	Vericrest Opportunity Loan Transferee, Series 2013-NPL4, Class A1, 3.960%, 11/25/2053, 144A		2,415,486
	2,160,236	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.397%, 1/25/2035(b)(c)		2,169,862
	787,353	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		830,347
	1,394,434	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.201%, 9/25/2046(b)		1,298,389
	3,047,978	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.951%, 1/25/2047(b)(c)		2,836,101
	400,435	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(b)		407,254
	1,430,954	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.636%, 2/25/2034(b)		1,457,375
	577,624	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		603,777
	718,704	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		740,799
	2,625,000	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(c)		2,603,506
	1,071,200	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)		1,084,426
				163,647,578
		ABS Other — 1.4%
	1,376,643	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,409,785
	1,495,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		1,494,970
	2,731,875	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(g)		2,769,438
	459,661	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		469,422
	1,872,126	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(c)		1,880,192

See accompanying notes to financial statements.

|  12

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	4,070,747	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(c)	$	4,092,452
	1,895,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		1,898,345
	3,493,583	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(c)		3,559,965
				17,574,569
		Aerospace & Defense — 1.2%
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c)		5,777,887
	825,000	Rockwell Collins, Inc., 0.581%, 12/15/2016(b)		827,018
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c)		5,373,550
	3,026,000	TransDigm, Inc., 6.000%, 7/15/2022, 144A(c)		3,109,215
				15,087,670
		Agency Commercial Mortgage-Backed Securities — 0.1%
	850,000	Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.300%, 6/15/2034, 144A(b)		850,000
	855,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.900%, 6/15/2034, 144A(b)		855,000
				1,705,000
		Airlines — 0.5%
	5,811,941	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d)		6,422,194
		Automotive — 3.1%
	6,590,000	Daimler Finance North America LLC, 0.905%, 8/01/2016, 144A(b)(c)		6,650,101
	5,250,000	Ford Motor Credit Co. LLC, 1.474%, 5/09/2016(b)(c)		5,327,380
	5,960,000	Nissan Motor Acceptance Corp., 0.777%, 3/03/2017, 144A(b)(c)		5,977,367
	6,640,000	Nissan Motor Acceptance Corp., 0.934%, 9/26/2016, 144A(b)(c)		6,684,023
	10,650,000	Toyota Motor Credit Corp., 0.516%, 5/17/2016(b)(c)		10,684,144
	3,210,000	Volkswagen International Finance NV, 0.666%, 11/18/2016, 144A(b)(c)		3,222,140
				38,545,155
		Banking — 3.1%
	3,310,000	Bank of America Corp., 1.267%, 1/15/2019(b)(c)		3,352,517
	9,600,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(c)		9,713,424
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c)		7,793,918
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c)		12,178,728
	6,150,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A(c)		6,431,892
				39,470,479
		Brokerage — 0.2%
	3,085,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A(c)		3,115,850
		Building Materials — 0.6%
	3,585,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(c)		3,620,850
	1,745,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		1,836,612
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,588,595
				7,046,057

See accompanying notes to financial statements.

13  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Chemicals — 0.2%
$	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(c)	$	2,868,850
		Collateralized Mortgage Obligations — 0.6%
	29,887,127	Government National Mortgage Association, Series 2010-83, Class IO, 0.494%, 7/16/2050(b)(h)		898,407
	12,810,515	Government National Mortgage Association, Series 2012-78, Class IO, 1.061%, 6/16/2052(b)(h)		924,112
	73,913,114	Government National Mortgage Association, Series 2012-135, Class IO, 1.047%, 1/16/2053(b)(c)(h)		5,780,301
	552,227	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.615%, 1/25/2036(b)		546,540
				8,149,360
		Construction Machinery — 1.4%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.467%, 2/26/2016(b)(c)		17,693,395
		Consumer Cyclical Services — 0.5%
	5,345,000	ServiceMaster Co. (The), 7.000%, 8/15/2020(c)		5,685,744
		Diversified Manufacturing — 0.2%
	2,200,000	Alfa SAB de CV, 6.875%, 3/25/2044, 144A(c)		2,398,000
		Electric — 1.2%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)		1,850,809
	11,005,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c)		12,958,388
				14,809,197
		Entertainment — 0.3%
	3,575,000	24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A(c)		3,557,125
		Finance Companies — 1.9%
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(c)(i)		5,546,940
	12,535,000	iStar Financial, Inc., 4.000%, 11/01/2017(c)		12,582,006
	5,315,000	iStar Financial, Inc., 5.000%, 7/01/2019(c)		5,315,000
				23,443,946
		Financial Other — 1.6%
	6,100,000	Hyundai Capital Services, Inc., 1.031%, 3/18/2017, 144A(b)(c)		6,117,873
	5,176,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(c)		5,331,280
	8,700,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c)		9,135,000
				20,584,153
		Food & Beverage — 0.8%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c)		4,215,886
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		938,425
	1,101,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		1,230,367
	3,500,000	General Mills, Inc., Series FRN, 0.527%, 1/29/2016(b)(c)		3,508,953
				9,893,631

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Government Owned – No Guarantee — 1.0%
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(d)	$	5,816,979
	5,875,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A(c)		6,170,630
				11,987,609
		Healthcare — 0.9%
	5,450,000	Baxter International, Inc., 0.401%, 12/11/2014(b)(c)		5,453,237
	2,505,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A(c)		2,617,725
	2,485,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022, 144A(c)		2,634,100
				10,705,062
		Independent Energy — 0.8%
	2,572,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A(c)		2,588,075
	1,570,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,599,438
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(j)		428,950
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(j)		265,200
	660,000	QEP Resources, Inc., 5.250%, 5/01/2023		674,850
	3,085,000	QEP Resources, Inc., 5.375%, 10/01/2022		3,177,550
	1,615,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		1,667,487
				10,401,550
		Industrial Other — 0.2%
	2,352,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A(c)		2,416,680
		Integrated Energy — 0.2%
	2,935,000	BP Capital Markets PLC, 0.643%, 11/07/2016(b)(c)		2,948,692
		Life Insurance — 1.2%
	8,600,000	Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c)		14,749,418
		Lodging — 0.3%
	1,650,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021, 144A		1,753,125
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022(c)		2,320,634
				4,073,759
		Media Cable — 0.1%
	720,000	Wave Holdco LLC/Wave Holdco Corp., 8.250% (9.000% PIK), 7/15/2019, 144A(k)		738,900
		Media Non-Cable — 0.4%
	2,820,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c)		3,042,075
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,821,851
				4,863,926
		Metals & Mining — 0.2%
	475,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		487,469
	1,745,000	Worthington Industries, Inc., 4.550%, 4/15/2026		1,815,051
				2,302,520

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Midstream — 0.3%
	1,460,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)	$	1,390,616
	345,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		373,463
	680,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		673,200
	1,030,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		1,109,825
	630,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		684,337
				4,231,441
		Non-Agency Commercial Mortgage-Backed Securities — 3.9%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.619%, 5/11/2039, 144A(b)		970,723
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.730%, 4/15/2044, 144A(b)(c)		5,034,040
	2,765,000	Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 5/10/2035, 144A(b)(c)		2,622,951
	1,605,000	Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.550%, 6/15/2034, 144A(b)		1,605,000
	2,376,607	CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c)		2,455,437
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(b)(c)		2,760,884
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.152%, 3/15/2018, 144A(b)		1,308,190
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c)		7,800,787
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.997%, 8/10/2045(b)(c)		4,570,528
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A		1,958,235
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		1,511,837
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)		1,631,007
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		1,617,984
	948,058	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.152%, 4/15/2018, 144A(b)		955,074
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(b)		1,446,811
	1,300,000	Morgan Stanley Capital I Trust, Series 2011-C1, Class E, 5.419%, 9/15/2047, 144A(b)		1,342,505
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.482%, 6/15/2044, 144A(b)(c)		2,246,097
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 2.652%, 11/15/2026, 144A(b)(c)		2,285,746
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 3.402%, 11/15/2026, 144A(b)(c)		2,208,208
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c)		2,760,971
				49,093,015

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Oil Field Services — 0.8%
$	6,300,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A(c)	$	6,252,750
	3,310,000	Shell International Finance BV, 0.434%, 11/15/2016(b)(c)		3,313,141
				9,565,891
		Packaging — 0.1%
	800,000	Ardagh Finance Holdings, 8.375% (8.375% PIK), 6/15/2019, 144A, (EUR)(k)		1,106,395
		Pharmaceuticals — 0.2%
	3,070,000	Johnson & Johnson, 0.299%, 11/28/2016(b)(c)		3,072,972
		Railroads — 0.4%
	4,700,000	Canadian National Railway Co., 0.423%, 11/06/2015(b)(c)		4,701,283
		Retailers — 0.3%
	1,975,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A(c)		1,975,000
	1,080,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		1,334,957
				3,309,957
		Technology — 1.3%
	1,425,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024, 144A		1,455,281
	4,000,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A(c)		4,180,000
	4,900,000	Jabil Circuit, Inc., 4.700%, 9/15/2022(c)		4,961,250
	5,605,000	Sanmina Corp., 4.375%, 6/01/2019, 144A(c)		5,597,994
				16,194,525
		Treasuries — 6.4%
	4,271,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		35,266,375
	465,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c)		3,809,624
	405,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(c)		3,535,086
	1,700,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		15,169,126
	130,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,170,677
	7,091,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)(c)		3,105,020
	18,120,000	U.S. Treasury Bond, 3.375%, 5/15/2044(c)		18,241,748
				80,297,656
		Utility Other — 0.3%
	3,925,000	AES Corp. (The), 3.229%, 6/01/2019(b)(c)		3,954,437
		Wireless — 0.7%
	3,350,000	Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)(c)		4,862,385
	3,025,000	Wind Acquisition Finance S.A., 4.215%, 7/15/2020, 144A, (EUR)(b)		4,152,489
				9,014,874
		Wirelines — 0.3%
	7,800,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(c)		3,309,572
		Total Non-Convertible Bonds (Identified Cost $712,222,867)		719,147,724

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Convertible Bonds — 4.9%
		Automotive — 0.7%
$	3,195,000	Ford Motor Co., 4.250%, 11/15/2016(c)	$	6,384,009
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015(c)		2,293,313
				8,677,322
		Consumer Products — 0.2%
	2,400,000	Jarden Corp., 1.125%, 3/15/2034, 144A(c)		2,451,000
		Energy — 0.4%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		450,500
	2,445,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019(c)		2,956,922
	2,090,000	Peabody Energy Corp., 4.750%, 12/15/2066		1,568,806
				4,976,228
		Metals & Mining — 0.2%
	1,840,000	United States Steel Corp., 2.750%, 4/01/2019(c)		2,285,050
		Pharmaceuticals — 1.1%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		464,434
	863,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		908,847
	1,600,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A		1,673,000
	2,275,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(c)		8,292,375
	750,000	Mylan, Inc., 3.750%, 9/15/2015(c)		2,907,656
				14,246,312
		Retailers — 0.8%
	2,045,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A		2,139,581
	4,430,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020(c)		5,230,169
	1,603,000	Priceline Group, Inc. (The), 1.000%, 3/15/2018(c)		2,271,251
				9,641,001
		Technology — 1.5%
	1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A(c)		2,485,356
	2,085,000	Intel Corp., 3.250%, 8/01/2039(c)		3,216,113
	3,815,000	JDS Uniphase Corp., 0.625%, 8/15/2033, 144A(c)		3,824,538
	915,000	Novellus Systems, Inc., 2.625%, 5/15/2041		1,851,731
	1,985,000	Nuance Communications, Inc., 2.750%, 11/01/2031(c)		1,982,519
	2,110,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		2,177,256
	1,675,000	SanDisk Corp., 1.500%, 8/15/2017(c)		3,407,578
				18,945,091
		Total Convertible Bonds (Identified Cost $51,647,629)		61,222,004
		Total Bonds and Notes (Identified Cost $763,870,496)		780,369,728

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Senior Loans — 16.9%
		Aerospace & Defense — 0.2%
$	640,250	Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b)	$	633,847
	691,975	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(b)		689,380
	840,000	Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(b)		835,800
				2,159,027
		Automotive — 0.3%
	776,983	American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(b)		781,839
	901,778	Dealertrack Technologies, Inc., Term Loan B, 3.500%, 2/28/2021(b)		899,902
	1,774,000	Visteon Corp., Delayed Draw Term Loan B, 4/09/2021(l)		1,760,251
				3,441,992
		Banking — 0.1%
	1,765,178	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.484%, 6/30/2017(b)		1,769,591
		Building Materials — 0.3%
	1,114,578	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(b)		1,114,923
	2,804,413	Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(b)		2,784,558
				3,899,481
		Chemicals — 1.2%
	1,611,719	Arysta LifeScience Corp., 1st Lien Term Loan, 4.500%, 5/29/2020(b)		1,613,733
	3,247,502	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		3,217,073
	1,632,107	Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 4.000%, 2/01/2020(b)		1,631,160
	1,188,000	MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/07/2020(b)		1,187,703
	678,855	Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b)		678,855
	2,502,061	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		2,502,061
	1,282,227	Taminco Global Chemical Corp., USD Term Loan B3, 3.250%, 2/15/2019(b)		1,272,610
	3,310,753	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)		3,323,168
				15,426,363
		Consumer Cyclical Services — 0.6%
	1,070,318	AVSC Holding Corp., 1st Lien Term Loan, 4.500%, 1/24/2021(b)		1,072,458
	293,894	Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(b)		293,403
	1,148,856	Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(b)		1,146,938
	2,411,700	Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b)		2,384,568
	1,805,348	ServiceMaster Co., 2014 Term Loan B, 7/01/2021(l)		1,801,972
	618,335	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b)		618,447
				7,317,786
		Consumer Products — 0.3%
	637,621	Bauer Performance Sports Ltd., Term Loan B, 4.500%, 4/15/2021(b)		638,023
	425,226	Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(b)		424,694
	2,761,102	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b)		2,753,040
				3,815,757
		Diversified Manufacturing — 0.0%
	622,469	Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(b)		624,417

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Electric — 0.4%
$	1,832,490	Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(b)	$	1,797,361
	2,779,813	NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(b)		2,772,613
				4,569,974
		Entertainment — 0.3%
	1,925,000	Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(b)		1,916,588
	1,813,000	Time, Inc., Term Loan B, 4.250%, 4/26/2021(b)		1,820,941
				3,737,529
		Financial Other — 0.4%
	2,411,669	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b)		2,423,728
	1,083,066	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b)		1,086,109
	1,238,775	Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(b)		1,230,004
	644,494	Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(b)		638,049
				5,377,890
		Food & Beverage — 1.0%
	2,693,250	Aramark Corp., USD Term Loan F, 3.250%, 2/24/2021(b)		2,673,050
	5,137,125	Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(b)		5,090,583
	1,112,213	Del Monte Foods, Inc., 1st Lien Term Loan, 4.250%, 2/18/2021(b)		1,105,495
	1,794,389	Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(b)		1,783,730
	1,305,088	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(m)		1,272,461
				11,925,319
		Health Insurance — 0.2%
	3,016,133	Sedgwick, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(b)		2,967,121
		Healthcare — 1.1%
	3,059,787	Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(b)		3,087,845
	1,500,000	Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(b)		1,511,445
	1,437,494	Planet Fitness Holdings LLC, Term Loan, 4.750%, 3/31/2021(b)		1,441,088
	1,724,739	Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(b)		1,722,583
	2,437,474	SkillSoft Corp., 1st Lien Term Loan, 4.500%, 4/28/2021(b)		2,435,963
	3,161,112	Springer Science+Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(b)		3,164,084
				13,363,008
		Independent Energy — 0.2%
	2,216,361	SRAM LLC, New Term Loan B, 4.009%, 4/10/2020(m)		2,194,197
		Industrial Other — 1.4%
	1,094,500	Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(b)		1,082,997
	2,327,305	Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 4.000%, 11/23/2020(b)		2,324,396
	1,648,000	Gates Global, Inc., Term Loan B, 7/05/2021(l)		1,642,084
	2,790,300	Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(b)		2,767,978
	517,992	Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(b)		517,344
	1,940,310	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b)		1,947,586

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Industrial Other — continued
$	6,332,997	Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(b)	$	6,312,668
	753,317	Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(b)		756,616
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(b)		92,368
				17,444,037
		Lodging — 0.2%
	2,500,349	Hilton Worldwide Finance LLC, USD Term Loan B2, 3.500%, 10/26/2020(b)		2,495,149
		Media Cable — 0.4%
	2,170,077	CSC Holdings, Inc., New Term Loan B, 2.650%, 4/17/2020(b)		2,144,188
	3,295,000	Virgin Media Bristol LLC, USD Term Loan B, 3.500%, 6/05/2020(b)		3,283,665
				5,427,853
		Media Non-Cable — 0.4%
	1,123,885	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b)		1,085,178
	1,181,047	Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(b)		1,165,989
	2,815,850	Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(b)		2,820,243
				5,071,410
		Metals & Mining — 0.1%
	1,536,958	Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b)		1,546,564
		Non-Captive Diversified — 0.3%
	1,161,719	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b)		1,162,079
	2,955,000	Delos Finance S.a.r.l., Term Loan B, 3.500%, 3/06/2021(b)		2,951,306
				4,113,385
		Oil Field Services — 0.1%
	1,439,460	Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(b)		1,443,505
		Other Utility — 0.0%
	456,390	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		446,121
	23,142	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		22,621
				468,742
		Packaging — 0.3%
	453,000	Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(b)		453,376
	610,930	Ardagh Holdings USA, Inc., USD Term Loan B, 4.250%, 12/17/2019(b)		612,714
	2,161,000	Signode Industrial Group U.S., Inc., USD Term Loan B, 4.000%, 5/01/2021(b)		2,153,566
				3,219,656
		Pharmaceuticals — 1.2%
	2,265,878	Amneal Pharmaceuticals LLC, New Term Loan, 5.753%, 11/01/2019(m)		2,275,326
	3,234,893	Grifols Worldwide Operations USA, Inc., USD Term Loan B, 3.150%, 2/27/2021(b)		3,229,393
	991,515	IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(b)		985,318
	1,562,000	JLL/Delta Dutch Newco BV, USD Term Loan, 4.250%, 3/11/2021(b)		1,548,333
	3,028,410	Mallinckrodt International Finance S.A., Term Loan B, 3.500%, 3/19/2021(b)		3,028,410
	816,742	PharMedium Healthcare Corp., 1st Lien Term Loan, 4.250%, 1/28/2021(b)		814,023
	2,601,762	Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(b)		2,599,160
				14,479,963

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Pipelines — 0.2%
$	1,930,000	Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(b)	$	1,909,021
		Property & Casualty Insurance — 0.6%
	1,152,463	AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b)		1,153,419
	2,615,188	Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.000%, 4/16/2020(b)		2,560,714
	1,115,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(b)		1,071,794
	3,085,268	Hub International Ltd., Term Loan B, 4.250%, 10/02/2020(b)		3,087,396
				7,873,323
		Restaurants — 0.0%
	246,429	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		248,585
		Retailers — 0.4%
	324,228	Hillman Group, Inc. (The), Term Loan B, 6/30/2021(l)		325,444
	2,213,000	J.Crew Group, Inc., New Term Loan B, 4.000%, 3/05/2021(b)		2,181,531
	1,184,000	Nine West Holdings, Inc., Term Loan B, 4.750%, 10/08/2019(b)		1,188,890
	1,915,764	Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(b)		1,896,606
				5,592,471
		Supermarkets — 0.5%
	2,984,787	Checkout Holding Corp., 1st Lien Term Loan, 4.500%, 4/09/2021(b)		2,983,533
	1,899,891	New Albertson’s, Inc., Term Loan, 6/25/2021(l)		1,903,463
	963,593	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(b)		965,202
				5,852,198
		Technology — 2.7%
	7,842,040	Alcatel-Lucent USA, Inc., USD Term Loan C, 4.500%, 1/30/2019(b)		7,843,295
	2,882,775	Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b)		2,893,586
	1,526,988	BMC Foreign Holding Co., Term Loan, 5.000%, 9/10/2020(b)		1,520,910
	3,059,082	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b)		3,052,077
	2,885,500	Dell, Inc., USD Term Loan B, 4.500%, 4/29/2020(b)		2,898,629
	1,240,000	Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(b)		1,229,931
	3,137,706	Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(b)		3,114,832
	2,582,746	IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(b)		2,472,979
	1,667,860	M/A-COM Technology Solutions Holdings, Inc., Term Loan, 4.500%, 5/07/2021(b)		1,676,199
	1,173,524	Microsemi Corp., Incremental Term Loan B2, 3.508%, 2/19/2020(m)		1,171,564
	962,707	Nuance Communications, Inc., Term Loan C, 2.900%, 8/07/2019(b)		955,968
	1,454,013	NXP B.V., Term Loan D, 3.250%, 1/11/2020(b)		1,444,314
	1,067,635	Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(b)		1,072,706
	1,800,950	Open Text Corp., Term Loan B, 3.250%, 1/16/2021(b)		1,799,455
	732,080	Verint Systems, Inc., USD Term Loan, 3.500%, 9/06/2019(b)		731,348
				33,877,793
		Transportation Services — 0.1%
	157,244	Drew Marine Partners LP, 1st Lien Term Loan, 4.500%, 11/19/2020(b)		157,736
	787,126	FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b)		783,190
				940,926

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wireless — 0.9%
$	3,065,890	Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b)	$	3,083,150
	925,650	Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(b)		924,493
	3,356,157	Crown Castle International Corp., Non-Extended Incremental B, 3.000%, 1/31/2019(b)		3,357,566
	2,163,912	Crown Castle Operating Co., Term Loan B2, 3.000%, 1/31/2021(b)		2,162,852
	1,370,000	SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(b)		1,360,657
				10,888,718
		Wirelines — 0.5%
	1,305,138	Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(b)		1,304,328
	2,017,129	LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(b)		2,010,291
	3,056,862	Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(b)		3,059,094
				6,373,713
		Total Senior Loans (Identified Cost $211,528,267)		211,856,464
Shares
	Common Stocks — 5.3%
		Automobiles — 0.5%
	88,460	General Motors Co.		3,211,098
	19,989	Toyota Motor Corp., Sponsored ADR		2,391,884
				5,602,982
		Banks — 0.1%
	23,543	HSBC Holdings PLC, Sponsored ADR		1,195,984
		Chemicals — 0.6%
	82,634	Dow Chemical Co. (The)		4,252,345
	29,800	Rockwood Holdings, Inc.		2,264,502
	54,452	Tronox Ltd., Class A		1,464,759
				7,981,606
		Diversified Telecommunication Services — 0.5%
	58,003	AT&T, Inc.		2,050,986
	83,630	Verizon Communications, Inc.		4,092,016
				6,143,002
		Food & Staples Retailing — 0.4%
	35,903	CVS Caremark Corp.		2,706,009
	25,113	Wal-Mart Stores, Inc.		1,885,233
				4,591,242
		Gas Utilities — 0.1%
	58,444	Tokyo Gas Co Ltd., ADR		1,369,343
		Industrial Conglomerates — 0.1%
	10,144	Siemens AG, Sponsored ADR		1,340,935

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 0.3%
	21,550	Exxon Mobil Corp.	$	2,169,654
	54,651	Statoil ASA, Sponsored ADR		1,684,890
				3,854,544
		Pharmaceuticals — 1.5%
	28,438	Bayer AG, Sponsored ADR		4,017,436
	64,155	Eli Lilly & Co.		3,988,516
	24,258	GlaxoSmithKline PLC, Sponsored ADR		1,297,318
	29,105	Johnson & Johnson		3,044,965
	62,096	Pfizer, Inc.		1,843,009
	71,312	Roche Holding AG, ADR		2,659,938
	36,223	Sanofi, ADR		1,925,977
				18,777,159
		Semiconductors & Semiconductor Equipment — 0.3%
	19,771	KLA-Tencor Corp.		1,436,166
	32,227	Texas Instruments, Inc.		1,540,128
				2,976,294
		Technology Hardware, Storage & Peripherals — 0.2%
	12,269	Canon, Inc., Sponsored ADR		401,810
	80,565	EMC Corp.		2,122,082
				2,523,892
		Tobacco — 0.3%
	34,555	Altria Group, Inc.		1,449,237
	11,732	British American Tobacco PLC, Sponsored ADR		1,397,047
	14,375	Philip Morris International, Inc.		1,211,956
				4,058,240
		Trading Companies & Distributors — 0.3%
	47,823	Mitsubishi Corp., Sponsored ADR		1,983,698
	6,777	Mitsui & Co. Ltd., Sponsored ADR		2,172,029
				4,155,727
		Wireless Telecommunication Services — 0.1%
	40,938	Vodafone Group PLC, Sponsored ADR		1,366,920
		Total Common Stocks (Identified Cost $58,581,000)		65,937,870
	Preferred Stocks — 3.9%
	Convertible Preferred Stocks — 2.4%
		Electric — 0.2%
	17,432	Dominion Resources, Inc., 6.375%		917,359
	11,055	Dominion Resources, Inc., Series A, 6.125%		637,321
	9,938	Dominion Resources, Inc., Series B, 6.000%		576,603
	9,050	NextEra Energy, Inc., 5.889%		588,159
				2,719,442

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		Energy — 0.2%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A	$	2,504,612
		Metals & Mining — 0.2%
	131,000	ArcelorMittal, 6.000%		2,946,190
		REITs – Diversified — 1.4%
	47,159	Crown Castle International Corp., Series A, 4.500%(c)		4,806,445
	223,896	Weyerhaeuser Co., Series A, 6.375%(c)		12,706,098
				17,512,543
		REITs – Health Care — 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		461,920
		REITs – Mortgage — 0.4%
	67,436	iStar Financial, Inc., Series J, 4.500%(c)		4,316,241
		Total Convertible Preferred Stocks (Identified Cost $27,288,132)		30,460,948
	Non-Convertible Preferred Stocks — 1.5%
		Banking — 1.0%
	6,776	Ally Financial, Inc., Series G, 7.000%, 144A(c)		6,793,152
	220,957	SunTrust Banks, Inc., Series E, 5.875%(c)		5,280,873
				12,074,025
		Media Cable — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(c)		4,221,800
		Property & Casualty Insurance — 0.2%
	102,000	Montpelier Re Holdings Ltd., 8.875%(c)		2,782,560
		Total Non-Convertible Preferred Stocks (Identified Cost $18,712,393)		19,078,385
		Total Preferred Stocks (Identified Cost $46,000,525)		49,539,333
	Exchange Traded Funds — 1.0%
	253,847	WisdomTree Japan Hedged Equity Fund(c) (Identified Cost $12,158,407)		12,529,888
Shares/ Notional Amount (†††)
	Purchased Options — 0.1%
		Options on Securities — 0.1%
	219,300	Consumer Staples Select Sector SPDR®, Call expiring September 20, 2014 at 46		61,404
	230,000	Health Care Select Sector SPDR®, Call expiring September 20, 2014 at 61		307,050
	105,600	iShares Russell 2000 ETF, Call expiring August 16, 2014 at 118		281,424
	846,400	WisdomTree Japan Hedged Equity Fund, Call expiring August 16, 2014 at 49.3800		986,056
		Total Purchased Options (Identified Cost $1,622,859)		1,635,934

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Shares/ Notional Amount (†††)		Description	Value (†)
	Purchased Swaptions — 0.1%
		Interest Rate Swaptions — 0.1%
$	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(n) (Identified Cost $5,629,583)	$	1,099,429
Principal Amount (‡)
	Short-Term Investments — 9.7%
	997,380	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2014 at 0.000% to be repurchased at $977,380 on 7/01/2014 collateralized by $1,075,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $1,020,821 including accrued interest (Note 2 of Notes to Financial Statements)		997,380
	110,792,244	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $110,792,275 on 7/01/2014 collateralized by $92,880,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $92,183,400; $400,000 U.S. Treasury Note, 2.750% due 2/15/2019 valued at $426,000; $20,300,000 Federal Home Loan Banks, 2.300% due 5/28/2021 valued at $20,401,500 including accrued interest (Note 2 of Notes to Financial Statements)(d)		110,792,244
	9,400,000	U.S. Treasury Bills, 0.060%-0.106%, 8/21/2014(d)(o)(p)		9,399,699
		Total Short-Term Investments (Identified Cost $121,188,824)		121,189,323
		Total Investments — 99.2% (Identified Cost $1,220,579,961)(a)		1,244,157,969
		Other assets less liabilities — 0.8%		9,974,266
		Net Assets — 100.0%	$	1,254,132,235
Shares/ Notional Amount (†††)
	Written Options — (0.0%)
		Options on Securities — (0.0%)
	846,400	WisdomTree Japan Hedged Equity Fund, Call expiring August 16, 2014 at 52.3800 (Premiums Received $239,017)	$	(186,208	)
	Written Swaptions — (0.0%)
		Interest Rate Swaptions — (0.0%)
$	114,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(n) (Premiums Received $3,740,334)	$	(370,866	)

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(†††)	Options on securities are expressed as shares. Interest rate swaptions are expressed as notional amount.
(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
	At June 30, 2014, the net unrealized appreciation on investments based on a cost of $1,221,307,942 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	46,431,510
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(23,581,483	)
	Net unrealized appreciation	$	22,850,027
(b)	Variable rate security. Rate as of June 30, 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, options or interest rate swaptions.
(d)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions.
(e)	Fair valued by the Fund’s adviser. At June 30, 2014, the value of these securities amounted to $146,657 or less than 0.1% of net assets.
(f)	The issuer is making partial payments with respect to principal.
(g)	Illiquid security. At June 30, 2014, the value of this security amounted to $2,769,438 or 0.2% of net assets.
(h)	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.
(i)	Perpetual bond with no specified maturity date.
(j)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(k)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2014, the issuer has not paid out any interest payments.
(l)	Position is unsettled. Contract rate was not determined at June 30, 2014 and does not take effect until settlement date.
(m)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2014.
(n)	Counterparty is Citibank, N.A.
(o)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(p)	A portion of this security has been pledged as initial margin for open futures contracts.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2014, the value of Rule 144A holdings amounted to $264,301,523 or 21.1% of net assets.

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
ETF	Exchange Traded Fund
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts
SPDR	Standard & Poor’s Depositary Receipt
BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
MXN	Mexican Peso
NZD	New Zealand Dollar
USD	U.S. Dollar

At June 30, 2014, the Fund had the following open bilateral credit default swap agreements:

Buy Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value(‡)			Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year	(5.00%)		12/20/2017		3,797,500	*	$	65,651		$	(614,086	)	$	(679,737	)	$	(7,900	)
Bank of America, N.A.	Republic of Brazil	(1.00%)		6/20/2019		24,550,000			912,269			442,891			(469,378	)		(7,501	)
JPMorgan Chase Bank N.A.	General Mills, Inc.	(1.00%)		9/20/2019		12,500,000			(378,213	)		(389,708	)		(11,495	)		(2,431	)
JPMorgan Chase Bank N.A.	Kellogg Co.	(1.00%)		9/20/2019		12,300,000			(183,360	)		(171,088	)		12,272			(3,758	)
JPMorgan Chase Bank N.A.	Safeway, Inc.	(1.00%)		9/20/2019		11,175,000			1,125,340			1,104,140			(21,200	)		(3,415	)
Total											$	372,149		$	(1,169,538	)	$	(25,005	)

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2014, the Fund had the following open centrally cleared credit default swap agreements:

Buy Protection
Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value(‡)		Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
CDX.NA.HY** Series 22, 5-Year	(5.00%)		6/20/2019	$	3,100,000	$	(268,454	)	$	(12,467	)	$	(431	)
CDX.NA.HY** Series 22, 5-Year	(5.00%)		6/20/2019		37,224,000		(3,223,524	)		(834,662	)		(5,170	)
Total						$	(3,491,978	)	$	(847,129	)	$	(5,601	)

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

* Notional value denominated in euros.

** CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 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		7/02/2014	Australian Dollar		27,000,000	$	25,459,641	$	452,349
Buy1		8/05/2014	Australian Dollar		27,000,000		25,397,811		(2,169	)
Sell1		7/02/2014	Australian Dollar		27,000,000		25,459,641		1,359
Sell1		7/28/2014	Brazilian Real		32,825,000		14,746,663		(100,492	)
Sell2		7/11/2014	Canadian Dollar		1,460,000		1,367,960		(30,057	)
Buy1		7/28/2014	Chilean Peso		6,900,000,000		12,443,197		(45,038	)
Buy1		7/01/2014	Euro		8,900,000		12,186,773		69,565
Buy1		7/02/2014	Euro		8,900,000		12,186,773		69,556
Sell1		7/01/2014	Euro		8,900,000		12,186,773		(31,589	)
Sell1		7/02/2014	Euro		8,900,000		12,186,773		(31,277	)
Sell3		7/09/2014	Euro		825,000		1,129,703		(3,054	)
Sell1		7/17/2014	Euro		9,845,000		13,481,522		(156,315	)
Sell4		7/28/2014	Euro		3,025,000		4,142,539		(26,575	)
Sell1		7/30/2014	Euro		10,640,000		14,570,890		(104,107	)
Sell1		7/31/2014	Euro		3,350,000		4,587,656		(32,795	)
Sell3		7/23/2014	Hungarian Forint		2,900,000,000		12,811,239		63,345
Buy2		7/28/2014	Indian Rupee		753,000,000		12,443,539		(10,977	)
Sell1		7/31/2014	Mexican Peso		859,300,000		66,100,693		(310,917	)
Sell1		7/03/2014	New Zealand Dollar		29,700,000		26,001,475		(996,084	)
Sell5		7/14/2014	New Zealand Dollar		8,860,000		7,748,917		(227,282	)
Sell3		7/23/2014	Polish Zloty		39,500,000		12,988,993		(42,630	)
Buy1		7/09/2014	South Korean Won		12,800,000,000		12,647,407		(7,066	)
Sell1		7/09/2014	South Korean Won		12,800,000,000		12,647,407		(178,458	)
Sell3		7/24/2014	Swedish Krona		87,000,000		13,017,489		(36,793	)
Sell1		7/11/2014	Swiss Franc		2,156,000		2,431,393		(18,640	)
Total								$	(1,736,141	)

¹ Counterparty is Credit Suisse International.

² Counterparty is Barclays Bank PLC.

³ Counterparty is Bank of America, N.A.

⁴ Counterparty is Deutsche Bank AG.

⁵ Counterparty is Citibank, N.A.

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of June 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		9/19/2014		431	$	42,074,220	$	33,441
German Euro Bund		9/08/2014		46		9,259,839		(144,958	)
5 Year U.S. Treasury Note		9/30/2014		898		107,275,922		(147,910	)
10 Year U.S. Treasury Note		9/19/2014		952		119,163,625		479,883
30 Year U.S. Treasury Bond		9/19/2014		184		25,242,500		130,476
Total							$	350,932

Industry Summary at June 30, 2014 (Unaudited)

ABS Home Equity	13.0	%
Treasuries	6.4
Technology	5.5
Banking	4.2
Automotive	4.1
Pharmaceuticals	4.0
Non-Agency Commercial Mortgage-Backed Securities	3.9
ABS Credit Card	3.2
Chemicals	2.0
Financial Other	2.0
Healthcare	2.0
Other Investments, less than 2% each	39.2
Short-Term Investments	9.7
Total Investments	99.2
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts)	0.8
Net Assets	100.0	%

See accompanying notes to financial statements.

|  30

Statement of Assets and Liabilities

June 30, 2014 (Unaudited)

ASSETS
Investments at cost	$	1,220,579,961
Net unrealized appreciation		23,578,008
Investments at value		1,244,157,969
Cash		123,804
Due from brokers (Note 2)		6,080,000
Foreign currency at value (identified cost $11,503,285)		11,573,853
Receivable for Fund shares sold		3,751,914
Receivable for securities sold		22,017,124
Collateral received for open forward foreign currency contracts, swaptions or swap agreements (Notes 2 and 4)		1,380,000
Dividends and interest receivable		5,646,939
Unrealized appreciation on bilateral swap agreements (Note 2)		12,272
Unrealized appreciation on forward foreign currency contracts (Note 2)		656,174
Tax reclaims receivable		22,875
Receivable for variation margin on centrally cleared swap agreements (Note 2)		59,030
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		2,103,260
TOTAL ASSETS		1,297,585,214
LIABILITIES
Options/swaptions written, at value (premiums received $3,979,351) (Note 2)		557,074
Payable for securities purchased		35,092,297
Unrealized depreciation on bilateral swap agreements (Note 2)		1,181,810
Payable for Fund shares redeemed		1,107,685
Unrealized depreciation on forward foreign currency contracts (Note 2)		2,392,315
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		561,573
Due to brokers (Note 2)		1,380,000
Payable for variation margin on futures contracts (Note 2)		203,844
Fees payable on swap agreements (Note 2)		30,650
Management fees payable (Note 6)		722,580
Deferred Trustees’ fees (Note 6)		47,100
Administrative fees payable (Note 6)		44,556
Payable to distributor (Note 6d)		9,215
Other accounts payable and accrued expenses		122,280
TOTAL LIABILITIES		43,452,979
NET ASSETS	$	1,254,132,235
NET ASSETS CONSIST OF:
Paid-in capital	$	1,273,930,079
Undistributed net investment income		6,201,377
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(49,589,717	)
Net unrealized appreciation on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		23,590,496
NET ASSETS	$	1,254,132,235

See accompanying notes to financial statements.

31  |

Statement of Assets and Liabilities (continued)

June 30, 2014 (Unaudited)

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	172,239,329
Shares of beneficial interest		16,931,830
Net asset value and redemption price per share	$	10.17
Offering price per share (100/95.50 of net asset value) (Note 1)	$	10.65
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	80,370,856
Shares of beneficial interest		7,928,434
Net asset value and offering price per share	$	10.14
Class Y shares:
Net assets	$	1,001,522,050
Shares of beneficial interest		98,529,741
Net asset value, offering and redemption price per share	$	10.16

See accompanying notes to financial statements.

|  32

Statement of Operations

For the Six Months Ended June 30, 2014 (Unaudited)

INVESTMENT INCOME
Interest	$	22,138,152
Dividends		4,173,191	(a)
Less net foreign taxes withheld		(56,793	)
		26,254,550
Expenses
Management fees (Note 6)		4,270,699
Service and distribution fees (Note 6)		642,211
Administrative fees (Note 6)		265,582
Trustees’ fees and expenses (Note 6)		18,054
Transfer agent fees and expenses (Note 6)		370,325
Audit and tax services fees		34,537
Custodian fees and expenses		109,286
Legal fees		6,266
Registration fees		72,796
Shareholder reporting expenses		33,504
Miscellaneous expenses		21,443
Total expenses		5,844,703
Net investment income		20,409,847
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		9,480,756
Futures contracts		(16,009,796	)
Options/swaptions written		(381,893	)
Swap agreements		(1,847,238	)
Foreign currency transactions		(3,008,318	)
Net change in unrealized appreciation (depreciation) on:
Investments		18,763,875
Futures contracts		(1,356,725	)
Options/swaptions written		3,275,068
Swap agreements		(318,135	)
Foreign currency translations		(1,909,219	)
Net realized and unrealized gain on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		6,688,375
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	27,098,222

(a) Includes a non-recurring dividend of $928,128.

See accompanying notes to financial statements.

33  |

Statement of Changes in Net Assets

	Six Months Ended June 30, 2014 (Unaudited)			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	20,409,847		$	42,429,002
Net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(11,766,489	)		(29,265,397	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		18,454,864			(11,633,783	)
Net increase in net assets resulting from operations		27,098,222			1,529,822
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,787,916	)		(4,183,150	)
Class C		(583,352	)		(1,514,071	)
Class Y		(11,267,479	)		(22,714,766	)
Total distributions		(13,638,747	)		(28,411,987	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,101,200			620,354,079
Net increase in net assets		14,560,675			593,471,914
NET ASSETS
Beginning of the period		1,239,571,560			646,099,646
End of the period	$	1,254,132,235		$	1,239,571,560
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	6,201,377		$	(569,723	)

See accompanying notes to financial statements.

|  34

Financial Highlights

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains (b)			Total distributions (b)
Class A
6/30/2014(g)	$	10.06	$	0.16	(h)	$	0.06		$	0.22		$	(0.11	)	$	—		$	(0.11	)
12/31/2013		10.20		0.37			(0.28	)		0.09			(0.23	)		—			(0.23	)
12/31/2012		9.34		0.37			0.77			1.14			(0.28	)		—			(0.28	)
12/31/2011		10.06		0.34			(0.75	)		(0.41	)		(0.31	)		(0.00	)		(0.31	)
12/31/2010(j)		10.00		0.00			0.06			0.06			(0.00	)		—			(0.00	)
Class C
6/30/2014(g)		10.03		0.12	(h)		0.06			0.18			(0.07	)		—			(0.07	)
12/31/2013		10.16		0.30			(0.28	)		0.02			(0.15	)		—			(0.15	)
12/31/2012		9.31		0.30			0.76			1.06			(0.21	)		—			(0.21	)
12/31/2011		10.05		0.28			(0.77	)		(0.49	)		(0.25	)		(0.00	)		(0.25	)
12/31/2010(j)		10.00		0.00			0.05			0.05			(0.00	)		—			(0.00	)
Class Y
6/30/2014(g)		10.05		0.17	(h)		0.06			0.23			(0.12	)		—			(0.12	)
12/31/2013		10.19		0.40			(0.29	)		0.11			(0.25	)		—			(0.25	)
12/31/2012		9.33		0.41			0.76			1.17			(0.31	)		—			(0.31	)
12/31/2011		10.05		0.37			(0.75	)		(0.38	)		(0.34	)		(0.00	)		(0.34	)
12/31/2010(j)		10.00		0.00			0.05			0.05			(0.00	)		—			(0.00	)

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

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

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

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

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

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

(g) For the six months ended June 30, 2014 (Unaudited).

(h) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, $0.11 and $0.17 for Class A, Class C and Class Y shares, respectively, total return would have been 2.05%, 1.69% and 2.27% for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income to average net assets would have been 3.05%, 2.29% and 3.30% for Class A, Class C and Class Y shares, respectively.

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

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

See accompanying notes to financial statements.

35  |

							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)(d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (%) (f)			Portfolio turnover rate (%)
$	10.17		2.15	(h)	$	172,239		1.10			1.10			3.20	(h)		45
	10.06		0.96			177,339		1.11			1.11			3.68			115
	10.20		12.24			80,704		1.12			1.12			3.77			116
	9.34		(3.90	)		130,662		1.15	(i)		1.15	(i)		3.50			141
	10.06		0.41			2,465		1.30			6.98			0.86			39
	10.14		1.79	(h)		80,371		1.85			1.85			2.45	(h)		45
	10.03		0.22			91,694		1.86			1.86			2.96			115
	10.16		11.44			67,748		1.87			1.87			3.05			116
	9.31		(4.69	)		77,398		1.89	(i)		1.89	(i)		2.82			141
	10.05		0.31			563		2.05			8.68			0.24			39
	10.16		2.27	(h)		1,001,522		0.85			0.85			3.45	(h)		45
	10.05		1.19			970,539		0.86			0.86			3.92			115
	10.19		12.57			497,648		0.87			0.87			4.09			116
	9.33		(3.78	)		273,335		0.90	(i)		0.90	(i)		3.81			141
	10.05		0.41			26,758		1.05			5.37			0.06			39

See accompanying notes to financial statements.

|  36

Notes to Financial Statements

June 30, 2014 (Unaudited)

1.   Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to Loomis Sayles Strategic Alpha Fund (the “Fund”).

The Fund is a non-diversified investment company.

The Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.

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

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

a.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued

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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:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.Senior loans are valued at bid prices supplied by an independent pricing service, if available. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Broker-dealer bid prices may be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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.

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

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

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities

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

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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 are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

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

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

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

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

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Notes to Financial Statements (continued)

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swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

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

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

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

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

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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.

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

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statement of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Fund are recorded on the Statement of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

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

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. The due from broker balance in the Statement of Assets and Liabilities represents cash pledged as collateral for forward foreign currency contracts and bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to broker balance in the Statement of Assets and Liabilities represents cash received as collateral for forward foreign currency contracts and interest rate swaptions. In certain circumstances the Fund’s use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trust treats each fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and

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Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, capital gain distributions received, foreign currency transactions, deferred Trustees’ fees and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, contingent payment debt instruments, defaulted and/or non-income producing securities, swap payable/receivable, wash sales and forward foreign currency and futures contracts mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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

2013 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total
$28,411,987	$  —	$28,411,987

As of December 31, 2013, the capital loss carryforwards were as follows:

Capital loss carryforward:
Short-term:
No expiration date	$	(28,564,283	)
Long-term:
No expiration date		(6,849,896	)
Total capital loss carryforward	$	(35,414,179	)

l.  Repurchase Agreements.  The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2014, the Fund

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Notes to Financial Statements (continued)

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had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.

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

For the six months ended June 30, 2014, the Fund did not loan securities under this agreement.

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

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

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

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

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Notes to Financial Statements (continued)

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• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect 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 June 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	156,455,867	$	7,191,711	(b)	$	163,647,578
ABS Other		—		10,002,031		7,572,538	(c)		17,574,569
Airlines		—		—		6,422,194	(c)		6,422,194
Non-Agency Commercial Mortgage-Backed Securities		—		46,829,751		2,263,264	(c)		49,093,015
Wireless		—		4,862,385		4,152,489	(c)		9,014,874
All Other Non-Convertible Bonds(a)		—		473,395,494		—			473,395,494
Total Non-Convertible Bonds		—		691,545,528		27,602,196			719,147,724
Convertible Bonds(a)		—		61,222,004		—			61,222,004
Total Bonds and Notes		—		752,767,532		27,602,196			780,369,728

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Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Senior Loans(a)	$	—	$	211,856,464	$	—	$	211,856,464
Common Stocks(a)		65,937,870		—		—		65,937,870
Preferred Stocks
Convertible Preferred Stocks
Energy		—		2,504,612		—		2,504,612
REITs – Mortgage		—		4,316,241		—		4,316,241
All Other Convertible Preferred Stocks(a)		23,640,095		—		—		23,640,095
Total Convertible Preferred Stocks		23,640,095		6,820,853		—		30,460,948
Non-Convertible Preferred Stocks
Media Cable		—		4,221,800		—		4,221,800
All Other Non-Convertible Preferred Stocks(a)		14,856,585		—		—		14,856,585
Total Non-Convertible Preferred Stocks		14,856,585		4,221,800		—		19,078,385
Total Preferred Stocks		38,496,680		11,042,653		—		49,539,333
Exchange Traded Funds(a)		12,529,888		—		—		12,529,888
Purchased Options(a)		1,635,934		—		—		1,635,934
Purchased Swaptions(a)		—		1,099,429		—		1,099,429
Short-Term Investments		—		121,189,323		—		121,189,323
Total Investments		118,600,372		1,097,955,401		27,602,196		1,244,157,969
Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		12,272		—		12,272
Forward Foreign Currency Contracts (unrealized appreciation)		—		656,174		—		656,174
Futures Contracts (unrealized appreciation)		643,800		—		—		643,800
Total	$	119,244,172	$	1,098,623,847	$	27,602,196	$	1,245,470,215

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Notes to Financial Statements (continued)

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Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(186,208	)	$	—		$	—	$	(186,208	)
Written Swaptions(a)		—			(370,866	)		—		(370,866	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(1,181,810	)		—		(1,181,810	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		(847,129	)		—			—		(847,129	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(2,392,315	)		—		(2,392,315	)
Futures Contracts (unrealized depreciation)		(292,868	)		—			—		(292,868	)
Total	$	(1,326,205	)	$	(3,944,991	)	$	—	$	(5,271,196	)

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

(b) Valued using broker-dealer bid prices ($7,045,054) or fair valued by the Fund’s investment adviser ($146,657).

(c) Valued using broker-dealer bid prices.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

A preferred stock valued at $2,290,849 was transferred from Level 1 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies. At June 30, 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 June 30, 2014. At December 31, 2013, 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. At June 30, 2014, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies.

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

49  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or June 30, 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
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—		$	—	$	13,838		$	8,244		$	5,645,555
ABS Other		1,703,269			—		1,497			5,044			6,200,582
Airlines		6,428,650			—		155,058			(34,591	)		6,393,135
Non-Agency Commercial Mortgage-Backed Securities		2,300,373			—		(451	)		(605	)		—
Wireless		—			—		—			37,128			4,115,361
Total	$	10,432,292		$	—	$	169,942		$	15,220		$	22,354,633
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2014			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(292,604	)	$	1,816,678	$	—		$	7,191,711		$	8,244
ABS Other		(337,854	)		—		—			7,572,538			14,897
Airlines		(6,520,058	)		—		—			6,422,194			29,059
Non-Agency Commercial Mortgage-Backed Securities		(36,053	)		—		—			2,263,264			(626	)
Wireless		—			—		—			4,152,489			37,128
Total	$	(7,186,569	)	$	1,816,678	$	—		$	27,602,196		$	88,702

|  50

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

A debt security valued at $1,469,552 was transferred from Level 2 to Level 3 during the period ended June 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $347,126 were transferred from Level 2 to Level 3 during the period ended June 30, 2014. At December 31, 2013, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2014, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

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

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

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 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 six months ended June 30, 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

51  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 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 June 30, 2014, as reflected within the Statement of Assets and Liabilities:

Assets	Investments at value1		Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts2		Swap Agreements at value3		Total
Over-the-counter asset derivatives
Interest rate contracts	$	1,099,429	$	—	$	—	$	—	$	1,099,429
Foreign exchange contracts		—		656,174		—		—		656,174
Credit contracts		—		—		—		1,547,031		1,547,031
Total over-the-counter asset derivatives	$	1,099,429	$	656,174	$	—	$	1,547,031	$	3,302,634
Exchange traded/cleared asset derivatives
Equity contracts	$	1,635,934	$	—	$	33,441	$	—	$	1,669,375
Interest rate contracts		—		—		610,359		—		610,359
Total exchange traded/cleared asset derivatives	$	1,635,934	$	—	$	643,800	$	—	$	2,279,734
Total asset derivatives	$	2,735,363	$	656,174	$	643,800	$	1,547,031	$	5,582,368

|  52

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Liabilities	Options/ swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts2			Swap Agreements at value3			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(370,866	)	$	—		$	—		$	—		$	(370,866	)
Foreign exchange contracts		—			(2,392,315	)		—			—			(2,392,315	)
Credit contracts		—			—			—			(1,174,882	)		(1,174,882	)
Total over-the-counter liability derivatives	$	(370,866	)	$	(2,392,315	)	$	—			(1,174,882	)	$	(3,938,063	)
Exchange traded/cleared liability derivatives
Equity contracts	$	(186,208	)	$	—		$	—		$	—		$	(186,208	)
Interest rate contracts		—			—			(292,868	)		—			(292,868	)
Credit contracts		—			—			—			(3,491,978	)		(3,491,978	)
Total exchange traded/cleared liability derivatives	$	(186,208	)	$	—		$	(292,868	)	$	(3,491,978	)	$	(3,971,054	)
Total liability derivatives	$	(557,074	)	$	(2,392,315	)	$	(292,868	)	$	(4,666,860	)	$	(7,909,117	)

¹ Represents purchased options/swaptions, at value.

² Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable.

³ Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments for the Fund during the six months ended June 30, 2014 as reflected in the Statement of Operations were as follows:

Net Realized Gain (Loss) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions5
Interest rate contracts	$	330,248		$	(6,431,775	)	$	—		$	—		$	—
Foreign exchange contracts		(457,800	)		—			—			—			(2,861,912	)
Credit contracts		—			—			—			(1,847,238	)		—
Equity contracts		314,040			(9,578,021	)		(381,893	)		—			—
Total	$	186,488		$	(16,009,796	)	$	(381,893	)	$	(1,847,238	)	$	(2,861,912	)

53  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation) on:	Investments4			Futures contracts			Options/ swaptions written		Swap agreements			Foreign currency translations5
Interest rate contracts	$	(4,915,636	)	$	(3,646,812	)	$	3,222,259	$	—		$	—
Foreign exchange contracts		—			—			—		—			(2,096,218	)
Credit contracts		—			—			—		(318,135	)		—
Equity contracts		13,075			2,290,087			52,809		—			—
Total	$	(4,902,561	)	$	(1,356,725	)	$	3,275,068	$	(318,135	)	$	(2,096,218	)

⁴  Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

	Forwards			Futures			Swaps
Average Notional Amount Outstanding		23.70	%		19.69	%		6.07	%
Highest Notional Amount Outstanding		34.62	%		24.16	%		11.97	%
Lowest Notional Amount Outstanding		16.45	%		11.10	%		3.21	%
Notional Amount Outstanding as of June 30, 2014		29.53	%		24.16	%		8.34	%

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

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

|  54

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The volume of option contract activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2014:

	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		2.94	%		2.43	%		0.48	%		0.63	%
Highest Market Value of Underlying Instruments		8.05	%		7.32	%		3.33	%		4.35	%
Lowest Market Value of Underlying Instruments		0.00	%		0.00	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of June 30, 2014		6.23	%		0.00	%		3.33	%		0.00	%

* Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

The volume of interest rate swaption activity, as a percentage of net assets based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:

	Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written			Interest Rate Put Swaptions Purchased			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.00	%		0.30	%		0.02	%		0.46	%
Highest Premium Paid/Received		0.00	%		0.31	%		0.03	%		0.47	%
Lowest Premium Paid/Received		0.00	%		0.30	%		0.00	%		0.45	%
Premium Paid/Received as of June 30, 2014		0.00	%		0.30	%		0.00	%		0.45	%

The following is a summary of the Fund’s written option activity (excluding interest rate swaptions):

	Number of Contracts			Premiums
Outstanding at December 31, 2013		—		$	—
Options written		13,264			420,020
Options terminated in closing purchase transactions		(4,800	)		(181,003	)
Outstanding at June 30, 2014		8,464		$	239,017

55  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

The following is a summary of the Fund’s written interest rate swaption activity:

	Notional Amount			Premiums
Outstanding at December 31, 2013	$	114,500,000		$	3,740,334
Options written		—			—
Options terminated in closing purchase transactions		(—	)		(—	)
Outstanding at June 30, 2014	$	114,500,000		$	3,740,334

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

As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	506,236	$	(506,236	)	$	—	$	—		$	—
Citibank, N.A.		1,099,429		(598,148	)		501,281		(501,281	)		—
Credit Suisse International		592,829		(592,829	)		—		—			—
JPMorgan Chase Bank N.A.		1,104,140		(560,796	)		543,344		(543,344	)		—
	$	3,302,634	$	(2,258,009	)	$	1,044,625	$	(1,044,625	)	$	—

|  56

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(696,563	)	$	506,236	$	(190,327	)	$	100,000	$	(90,327	)
Barclays Bank PLC		(41,034	)		—		(41,034	)		20,000		(21,034	)
Citibank, N.A.		(598,148	)		598,148		—			—		—
Credit Suisse International		(2,014,947	)		592,829		(1,422,118	)		800,000		(622,118	)
Deutsche Bank AG		(26,575	)		—		(26,575	)		—		(26,575	)
JPMorgan Chase Bank N.A.		(560,796	)		560,796		—			—		—
	$	(3,938,063	)	$	2,258,009	$	(1,680,054	)	$	920,000	$	(760,054	)

The actual collateral received or pledged may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to

57  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:

Maximum Amount of Loss — Gross	Maximum Amount of Loss — Net
$14,941,488	$10,718,854

These amounts include cash received as collateral of $1,380,000.

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $484,419,563 and $558,424,291, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $18,001,088 and $9,800,020, respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to the Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. This undertaking is in effect until April 30, 2015 and is reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

Expense Limit as a Percentage of Average Daily Net Assets
Class A	Class C		Class Y
1.30%		2.05%		1.05%

Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreement (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated

|  58

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2014, the management fees for the Fund were $4,270,699 (0.70% of average daily net assets).

No expenses were recovered during the six months ended June 30, 2014 under the terms of the expense limitation agreement.

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

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

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

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

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

For the six months ended June 30, 2014, the service and distribution fees for the Fund were as follows:

Service Fees			Distribution Fees
Class A	Class C		Class C
$  214,222		$  106,997		$  320,992

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”),

59  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2014, the administrative fees for the Fund were $265,582.

Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.

For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $348,212.

As of June 30, 2014, the Fund owes NGAM Distribution $9,215 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

|  60

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 amounted to $29,403.

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

g.  Payment by Affiliates.  For the six months ended June 30, 2014, Loomis Sayles reimbursed the Fund $5,875 for losses incurred in connection with a trading error.

7.  Line of Credit.  The Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating Fund based on its borrowings at a rate per

61  |

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2014, the Fund had no borrowings under this agreement.

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

The Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Number of >5% Non-Affiliated Account Holders	Percentage of Non-Affiliated Ownership
3	37.03%

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

|  62

Notes to Financial Statements (continued)

June 30, 2014 (Unaudited)

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

	Six Months Ended June 30, 2014					Year Ended December 31, 2013
	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,921,080		$	19,393,233		19,193,046		$	197,179,839
Issued in connection with the reinvestment of distributions	147,278			1,480,773		355,486			3,564,612
Redeemed	(2,759,715	)		(27,824,936	)	(9,839,761	)		(99,155,890	)
Net change	(691,357	)	$	(6,950,930	)	9,708,771		$	101,588,561
Class C
Issued from the sale of shares	441,089		$	4,431,637		6,543,786		$	67,379,172
Issued in connection with the reinvestment of distributions	36,532			365,476		97,192			971,450
Redeemed	(1,692,063	)		(17,009,460	)	(4,163,033	)		(41,773,151	)
Net change	(1,214,442	)	$	(12,212,347	)	2,477,945		$	26,577,471
Class Y
Issued from the sale of shares	20,920,371		$	211,019,032		88,033,948		$	900,107,320
Issued in connection with the reinvestment of distributions	720,555			7,240,462		1,447,322			14,486,878
Redeemed	(19,640,416	)		(197,995,017	)	(41,806,087	)		(422,406,151	)
Net change	2,000,510		$	20,264,477		47,675,183		$	492,188,047
Increase (decrease) from capital share transactions	94,711		$	1,101,200		59,861,899		$	620,354,079

63  |

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)	(1)	Not applicable
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	August 20, 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:	August 20, 2014

By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	August 20, 2014

EX-99.CERT

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: August 20, 2014

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: August 20, 2014

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.906CERT

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended June 30, 2014 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

By:	By:
President and Chief Executive Officer	Treasurer
Natixis Funds Trust II	Natixis Funds Trust II
/s/ David L. Giunta	/s/ Michael C. Kardok
David L. Giunta	Michael C. Kardok
Date: August 20, 2014	Date: August 20, 2014

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