Natixis Funds Trust II

N-Q 1 d818269dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: September 30, 2014

ITEM 1 SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Global Alternatives Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 92.4% of Net Assets
		Certificates of Deposit – 80.1%
	$59,100,000	Canadian Imperial Bank of Commerce, 0.010%, 10/01/2014	$	59,100,000
	15,000,000	BNP Paribas, 0.010%, 10/01/2014		15,000,000
	10,000,000	National Bank of Kuwait, 0.050%, 10/01/2014		10,000,000
	75,000,000	Abbey National, 0.080%, 10/01/2014		75,000,000
	45,000,000	Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014		45,000,000
	50,000,000	Mizuho Corporate Bank, 0.210%, 10/02/2014		50,000,100
	100,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014		100,000,000
	25,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.080%, 10/07/2014		25,000,000
	95,000,000	Oversea-Chinese Banking Corp., 0.190%, 10/08/2014		95,001,520
	99,650,000	Toronto Dominion Bank, 0.250%, 10/10/2014		99,654,385
	30,000,000	Oversea-Chinese Banking Corp., 0.180%, 10/14/2014		30,000,325
	37,200,000	Agricultural Bank of China, 0.380%, 10/14/2014		37,200,000
	50,000,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014		50,000,650
	50,000,000	Banco Del Estado de Chile, 0.200%, 10/20/2014		50,001,100
	40,000,000	China Construction Bank Corp. (NY), 0.350%, 10/22/2014		40,000,116
	45,000,000	National Australia Bank, 0.224%, 10/23/2014(b)(c)		45,001,215
	125,000,000	Credit Agricole, 0.110%, 11/03/2014		125,000,000
	75,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(b)		75,012,300
	30,000,000	Sumitomo Mitsui Bank (NY), 0.210%, 11/10/2014		30,001,020
	49,550,000	Banco Del Estado de Chile, 0.233%, 11/10/2014(c)		49,548,959
	40,000,000	Mizuho Corporate Bank, 0.190%, 11/12/2014		40,000,480
	100,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		100,020,300
	120,000,000	National Bank of Kuwait, 0.280%, 11/13/2014		120,013,200
	35,000,000	Mizuho Corporate Bank, 0.190%, 11/25/2014		35,000,560
	50,000,000	Standard Chartered Bank (NY), 0.190%, 12/02/2014		50,000,850
	70,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(b)		70,017,850


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
	$100,000,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(b)	$	100,011,800
	50,000,000	DNB Bank ASA, 0.180%, 1/05/2015		49,997,300
	25,000,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015		24,999,325
	25,000,000	Bank of Montreal (IL), 0.180%, 1/08/2015		24,999,300
	70,000,000	Norinchukin Bank, 0.260%, 1/08/2015(d)		70,003,850
	25,000,000	Toronto Dominion Bank, 0.210%, 1/16/2015		25,005,250
	25,000,000	Banco Del Estado de Chile, 0.240%, 1/23/2015		25,001,600
	50,000,000	Societe Generale S.A., 0.284%, 2/02/2015(c)(e)		49,997,000
	20,000,000	Bank of Nova Scotia (TX), 0.250%, 2/17/2015		20,003,100
	75,200,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015		75,203,083
	50,000,000	Rabobank Nederland, 0.220%, 4/01/2015		49,992,400
	50,000,000	Rabobank Nederland, 0.284%, 6/15/2015(c)		49,992,700
	120,000,000	Dexia Credit Local, 0.281%, 7/01/2015(c)		120,000,000
	30,000,000	Bank of Montreal (IL), 0.234%, 7/16/2015(c)		29,995,380
	40,000,000	Westpac Banking Corp. (NY), 0.224%, 7/17/2015(c)		39,993,840
	25,000,000	China Construction Bank Corp. (NY), 0.404%, 7/20/2015(c)(e)		25,000,000
	70,000,000	Bank of Montreal (IL), 0.226%, 8/07/2015(b)(c)		69,988,170

				2,370,759,028

		Financial Company Commercial Paper – 6.8%
	70,000,000	General Electric Capital Corp., 0.120%, 10/03/2014(f)		69,999,720
	50,000,000	ING (U.S.) Funding LLC, 0.200%, 10/03/2014(f)		49,999,600
	29,500,000	Swedbank, 0.100%, 11/24/2014(f)		29,493,864
	50,000,000	General Electric Capital Corp., 0.180%, 12/11/2014(f)		49,991,400

				199,484,584

		Commercial Paper – 4.0%
	50,000,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.400%, 10/02/2014(f)		49,999,444
	35,000,000	Cofco Capital Corp., (Credit Support: Bank of China), 0.430%, 10/07/2014(f)		34,997,492
	33,750,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 11/06/2014		33,750,000

				118,746,936


Principal Amount		Description	Value (†)
		Other Notes – 1.5%
	$20,000,000	JPMorgan Chase Bank NA, Series 1, 0.353%, 10/07/2015(c)	$	20,000,920
	25,000,000	Wells Fargo, 0.353%, 10/20/2015(c)		25,004,550

				45,005,470

		Total Short-Term Investments (Identified Cost $2,733,925,739)		2,733,996,018

		Total Investments – 92.4% (Identified Cost $2,733,925,739)(a)		2,733,996,018
		Other assets less liabilities – 7.6%		224,192,823

		Net Assets – 100.0%	$	2,958,188,841

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2014, the value of the Fund’s investment in the Subsidiary was $39,593,491, representing 1.3% of the Fund’s net assets.

(†)

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

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

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

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, 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.

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

(a)	Federal Tax Information:

At September 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,733,925,739 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	117,616
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(47,337	)

Net unrealized appreciation	$	70,279

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

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

(c)	Variable rate security. Rate as of September 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)	Security payable on demand at par including accrued interest.

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

Forward Foreign Currency Contracts

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

At September 30, 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		12/17/2014	British Pound		25,875,000	$	41,919,373	$	133,344
Sell		12/17/2014	Canadian Dollar		315,300,000		281,021,052		5,415,587
Sell		12/17/2014	Euro		315,375,000		398,550,619		9,693,995
Buy		12/17/2014	Japanese Yen		12,675,000,000		115,648,377		(2,563,622	)
Sell		12/17/2014	Japanese Yen		23,225,000,000		211,907,972		6,048,855
Buy		12/17/2014	Swedish Krona		672,000,000		93,105,571		(1,485,854	)
Sell		12/17/2014	Swiss Franc		52,000,000		54,507,438		1,082,742

Total								$	18,325,047

¹	Counterparty is UBS AG.

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity group or index of securities, commodities, currencies or other assets for a specified price on a specified future date.

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

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		12/19/2014		1,729	$	518,137,231	$	(6,675,127	)
E-mini S&P 500^®		12/19/2014		9,302		914,154,050		(10,069,418	)
Eurodollar		3/16/2015		25,297		6,303,063,762		1,471,213
FTSE 100 Index		12/19/2014		2,844		304,549,953		(6,837,144	)
German Euro Bund		12/08/2014		1,798		339,963,422		1,664,221


Financial Futures (continued)	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Hang Seng Index^®	10/30/2014		2,735	$	401,892,503	$	(17,750,845	)
TOPIX	12/11/2014		2,026		245,041,167		6,798,942
UK Long Gilt	12/29/2014		1,097		201,208,373		796,957
10 Year Japan Government Bond	12/11/2014		183		243,343,697		333,713
10 Year U.S. Treasury Note	12/19/2014		2,964		369,434,813		(1,805,476	)

Total						$	(32,072,964	)


Commodity Futures²	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME	12/17/2014		147	$	7,196,569	$	(569,258	)
Brent Crude Oil	11/13/2014		167		15,918,440		—
Copper LME	12/17/2014		1,026		171,175,275		(9,413,550	)
Gas Oil	11/12/2014		89		7,193,425		(57,850	)
Gold	12/29/2014		420		50,887,200		(4,005,120	)
Natural Gas	10/29/2014		197		8,118,370		287,620
New York Harbor ULSD	10/31/2014		63		7,013,223		(183,368	)
Nickel LME	12/15/2014		61		5,967,264		(1,300,398	)
WTI Crude Oil	10/21/2014		248		22,607,680		(657,200	)
Zinc LME	12/15/2014		129		7,377,187		(411,187	)

Total						$	(16,310,311	)

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

Fair Value Measurements

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

•

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

•

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

•

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

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	2,733,996,018	$	—	$	2,733,996,018
Forward Foreign Currency Contracts (unrealized appreciation)		—		22,374,523		—		22,374,523
Futures Contracts (unrealized appreciation)		11,352,666		—		—		11,352,666

Total	$	11,352,666	$	2,756,370,541	$	—	$	2,767,723,207

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(4,049,476	)	$	—	$	(4,049,476	)
Futures Contracts (unrealized depreciation)		(59,735,941	)		—			—		(59,735,941	)

Total	$	(59,735,941	)	$	(4,049,476	)	$	—	$	(63,785,417	)

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

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

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2014 the Fund used long contracts on U.S. and foreign equity market indices and long and short contracts on U.S. and foreign government bonds, short-term interest rates, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.

The following is a summary of derivative instruments for the Fund as of September 30, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	22,374,523		$	—		$	22,374,523

Exchange traded asset derivatives
Interest rate contracts	$	—		$	4,266,104		$	4,266,104
Equity contracts		—			6,798,942			6,798,942
Commodity contracts		—			287,620			287,620

Total exchange traded asset derivatives	$	—		$	11,352,666		$	11,352,666

Total asset derivatives	$	22,374,523		$	11,352,666		$	33,727,189


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(4,049,476	)	$	—		$	(4,049,476	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(1,805,476	)	$	(1,805,476	)
Equity contracts		—			(41,332,534	)		(41,332,534	)
Commodity contracts		—			(16,597,931	)		(16,597,931	)

Total exchange traded liability derivatives	$	—		$	(59,735,941	)	$	(59,735,941	)

Total liability derivatives	$	(4,049,476	)	$	(59,735,941	)	$	(63,785,417	)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. 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. 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, as of September 30, 2014:


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	22,374,523	$	18,325,047
Collateral pledged to UBS AG		6,748,496		6,748,496

Total over-the-counter counterparty credit risk		29,123,019		25,073,543

Exchange traded counterparty credit risk
Futures contracts		11,352,666		11,352,666
Margin with brokers		234,416,405		234,416,405

Total exchange traded counterparty credit risk		245,769,071		245,769,071

Total counterparty credit risk	$	274,892,090	$	270,842,614

Investment Summary at September 30, 2014 (Unaudited)


Certificates of Deposit	80.1	%
Financial Company Commercial Paper	6.8
Commercial Paper	4.0
Other Notes	1.5

Total Investments	92.4
Other assets less liabilities (including forward foreign currency and futures contracts)	7.6

Net Assets	100.0	%

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 89.0% of Net Assets
		Certificates of Deposit – 76.2%
$	50,000,000	BNP Paribas, 0.010%, 10/01/2014	$	50,000,000
	7,900,000	Canadian Imperial Bank of Commerce, 0.010%, 10/01/2014		7,900,000
	10,000,000	National Bank of Kuwait, 0.050%, 10/01/2014		10,000,000
	5,000,000	Sumitomo Mitsui Bank (NY), 0.060%, 10/02/2014		5,000,000
	25,000,000	Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014		25,000,000
	5,000,000	Mizuho Corporate Bank, 0.210%, 10/02/2014		5,000,010
	50,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014		50,000,000
	15,000,000	Oversea-Chinese Banking Corp., 0.190%, 10/08/2014		15,000,240
	25,000,000	Toronto Dominion Bank, 0.250%, 10/10/2014(b)		25,001,100
	30,000,000	Oversea-Chinese Banking Corp., 0.180%, 10/14/2014		30,000,325
	15,000,000	Agricultural Bank of China, 0.380%, 10/14/2014		15,000,000
	25,000,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014		25,000,325
	15,000,000	Banco Del Estado de Chile, 0.200%, 10/20/2014		15,000,330
	20,000,000	China Construction Bank Corp. (NY), 0.350%, 10/22/2014		20,000,058
	50,000,000	Credit Agricole, 0.110%, 11/03/2014		50,000,000
	30,000,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014(c)		30,004,920
	25,000,000	Mizuho Corporate Bank, 0.190%, 11/12/2014		25,000,300
	30,000,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014		30,006,090
	40,000,000	National Bank of Kuwait, 0.280%, 11/13/2014		40,004,400
	15,000,000	Mizuho Corporate Bank, 0.190%, 11/25/2014		15,000,240
	30,000,000	Standard Chartered Bank (NY), 0.190%, 12/02/2014		30,000,510
	25,000,000	Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(c)		25,006,375
	35,000,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(c)		35,004,130
	50,000,000	DNB Bank ASA, 0.180%, 1/05/2015		49,997,300
	20,000,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015		19,999,460
	15,000,000	Bank of Montreal (IL), 0.180%, 1/08/2015		14,999,580


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	40,000,000	Norinchukin Bank, 0.260%, 1/08/2015(c)	$	40,002,200
	20,000,000	Toronto Dominion Bank, 0.210%, 1/16/2015		20,004,200
	30,000,000	Banco Del Estado de Chile, 0.240%, 1/23/2015		30,001,920
	30,500,000	Societe Generale S.A., 0.284%, 2/02/2015(b)(d)(e)		30,498,170
	10,000,000	Bank of Nova Scotia (TX), 0.250%, 2/17/2015		10,001,550
	45,000,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015		45,001,845
	45,000,000	Rabobank Nederland, 0.220%, 4/01/2015		44,993,160
	5,000,000	Rabobank Nederland, 0.284%, 6/15/2015(d)		4,999,270
	35,000,000	Dexia Credit Local, 0.281%, 7/01/2015(d)		35,000,000
	20,000,000	Bank of Montreal (IL), 0.234%, 7/16/2015(d)		19,996,920
	10,000,000	Westpac Banking Corp. (NY), 0.224%, 7/17/2015(d)		9,998,460
	15,000,000	China Construction Bank Corp. (NY), 0.404%, 7/20/2015(d)(e)		15,000,000
	15,000,000	Bank of Montreal (IL), 0.226%, 8/07/2015(d)		14,997,465

				983,420,853

		Financial Company Commercial Paper – 8.3%
	5,000,000	General Electric Capital Corp., 0.120%, 10/03/2014(f)		4,999,980
	40,000,000	ING (U.S.) Funding LLC, 0.200%, 10/03/2014(f)		39,999,680
	6,700,000	ICICI Bank LTD, (Credit Support: Wells Fargo), 0.200%, 11/03/2014(f)		6,699,022
	20,000,000	Swedbank, 0.100%, 11/24/2014(f)		19,995,840
	35,000,000	General Electric Capital Corp., 0.180%, 12/11/2014(f)		34,993,980

				106,688,502

		Commercial Paper – 3.0%
	39,000,000	Cofco Capital Corp., (Credit Support: Bank of China), 0.430%, 10/09/2014(f)		38,996,273

				38,996,273

		Other Notes – 1.5%
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.353%, 10/07/2015(d)		5,000,230
	15,000,000	Wells Fargo, 0.353%, 10/20/2015(d)		15,002,730

				20,002,960

		Total Short-Term Investments (Identified Cost $1,149,080,407)		1,149,108,588


Description	Value (†)
Total Investments – 89.0% (Identified Cost $1,149,080,407)(a)	$	1,149,108,588
Other assets less liabilities – 11.0%		141,326,705

Net Assets – 100.0%	$	1,290,435,293

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2014, the value of the Fund’s investment in the Subsidiary was $48,739,337, representing 3.8% of the Fund’s net assets.

(†)

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

(a)	Federal Tax Information:

At September 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $1,149,080,407 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	$	49,556
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,375	)

Net unrealized appreciation	$	28,181

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

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

Forward Foreign Currency Contracts

At September 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		12/17/2014	Australian Dollar		9,600,000	$	8,359,922	$	(365,057	)
Sell		12/17/2014	Australian Dollar		24,700,000		21,509,383		497,386
Sell		12/17/2014	Australian Dollar		18,100,000		15,761,937		(32,530	)
Sell		12/17/2014	British Pound		1,625,000		2,632,618		(8,374	)
Sell		12/17/2014	Canadian Dollar		26,100,000		23,262,447		448,293
Sell		12/17/2014	Euro		65,625,000		82,932,650		1,980,982
Sell		12/17/2014	Japanese Yen		15,375,000,000		140,283,534		3,011,471
Sell		12/17/2014	New Zealand Dollar		24,700,000		19,138,014		883,391
Sell		12/17/2014	New Zealand Dollar		25,000,000		19,370,459		(128,309	)
Sell		12/17/2014	Norwegian Krone		326,000,000		50,605,597		568,150
Buy		12/17/2014	Singapore Dollar		64,875,000		50,852,838		(414,766	)
Sell		12/17/2014	Singapore Dollar		66,000,000		51,734,679		463,163
Sell		12/17/2014	South African Rand		378,000,000		33,071,599		912,922
Sell		12/17/2014	Swedish Krona		412,000,000		57,082,582		910,970
Sell		12/17/2014	Swiss Franc		23,500,000		24,633,169		173,156
Sell		12/17/2014	Turkish Lira		66,900,000		28,824,776		554,583

Total								$	9,455,431

¹	Counterparty is UBS AG.

Futures Contracts

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

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund 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.

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index^®		10/17/2014		488	$	51,947,548	$	554,732
ASX SPI 200™		12/18/2014		393		45,445,848		(1,548,410	)
CAC 40^®		10/17/2014		421		23,471,191		(141,026	)
DAX		12/19/2014		49		14,684,051		(188,763	)
E-mini Dow		12/19/2014		685		58,105,125		(30,825	)
E-mini NASDAQ 100		12/19/2014		826		66,819,270		(638,213	)
E-mini S&P 500^®		12/19/2014		594		58,375,350		(643,005	)
Euribor		3/16/2015		5,259		1,659,433,187		1,577,566
Euro Schatz		12/08/2014		4,114		576,803,030		467,657
EURO STOXX 50^®		12/19/2014		708		28,821,346		187,790
Euro-BTP		12/08/2014		891		146,839,317		1,297,620
Euro-OAT		12/08/2014		1,402		254,552,034		1,458,053
Eurodollar		3/16/2015		8,637		2,152,016,512		598,163
FTSE 100 Index		12/19/2014		333		35,659,330		(798,968	)
FTSE MIB		12/19/2014		92		12,126,118		128,402
FTSE/JSE Top 40 Index		12/18/2014		743		29,326,201		(1,101,434	)
German Euro BOBL		12/08/2014		2,341		378,234,003		1,300,993
German Euro Bund		12/08/2014		1,149		217,251,375		869,497
Hang Seng Index^®		10/30/2014		309		45,405,771		(1,932,870	)
IBEX 35		10/17/2014		291		39,910,533		367,915
Mini-Russell 2000		12/19/2014		161		17,655,260		(1,141,935	)
MSCI Singapore		10/30/2014		653		37,807,149		(174,038	)
MSCI Taiwan Index		10/30/2014		1,067		34,560,130		(810,920	)
Nikkei 225™		12/11/2014		240		35,406,428		1,264,737
OMXS30^®		10/17/2014		1,758		34,211,079		454,970
S&P CNX Nifty Futures Index		10/30/2014		2,664		42,562,728		(1,116,216	)
S&P/TSX 60 Index		12/18/2014		355		54,596,366		(1,869,539	)
Sterling		3/18/2015		6,257		1,257,354,763		320,349
TOPIX		12/11/2014		422		51,040,164		1,419,813
UK Long Gilt		12/29/2014		502		92,075,299		422,731
Ultra Long U.S. Treasury Bond		12/19/2014		449		68,472,500		(529,688	)
2 Year U.S. Treasury Note		12/31/2014		3,400		744,068,750		(12,845	)
3 Year Australia Government Bond		12/15/2014		1,865		178,521,270		492,385


Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/31/2014		1,098	$	129,847,079	$	(248,765	)
10 Year Australia Government Bond		12/15/2014		688		72,767,464		742,028
10 Year Canada Government Bond		12/18/2014		988		119,518,050		(793,973	)
10 Year Japan Government Bond		12/11/2014		257		341,744,974		468,657
10 Year U.S. Treasury Note		12/19/2014		785		97,842,891		(619,414	)
30 Year U.S. Treasury Bond		12/19/2014		539		74,331,469		(644,273	)

Total							$	(591,062	)


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2014		367	$	17,966,944	$	(1,421,207	)
Cocoa		12/15/2014		448		14,784,000		98,460
Coffee		12/18/2014		41		2,972,756		68,419
Copper LME		12/17/2014		11		1,835,213		(100,925	)
Live Cattle		12/31/2014		381		24,913,590		716,900
Nickel LME		12/15/2014		82		8,021,568		(1,748,076	)
Zinc LME		12/15/2014		419		23,961,562		(1,335,562	)

Total							$	(3,721,991	)

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


Commodity Futures²	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2014		377	$	18,456,506	$	26,861
Brent Crude Oil		11/13/2014		122		11,629,040		—
Copper High Grade		12/29/2014		159		11,954,813		120,550
Copper LME		12/17/2014		11		1,835,212		45,540
Corn		12/12/2014		1,967		31,545,763		5,340,387
Cotton		12/08/2014		672		20,620,320		1,631,110
Gas Oil		11/12/2014		441		35,643,825		341,100
Gasoline		10/31/2014		174		17,811,788		517,944
Gold		12/29/2014		445		53,916,200		1,538,400
Natural Gas		10/29/2014		263		10,838,230		(383,980	)
New York Harbor ULSD		10/31/2014		126		14,026,446		366,735
Silver		12/29/2014		185		15,777,725		1,472,125
Soybean		11/14/2014		1,113		50,822,363		3,494,837
Soybean Meal		12/12/2014		990		29,591,100		658,250
Soybean Oil		12/12/2014		1,561		30,317,742		2,424,408
Sugar		2/27/2015		1,540		28,372,960		(1,342,398	)
Wheat		12/12/2014		1,340		32,009,250		3,021,825
WTI Crude Oil		10/21/2014		136		12,397,760		360,400

Total							$	19,634,094

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

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,149,108,588	$	—	$	1,149,108,588
Forward Foreign Currency Contracts (unrealized appreciation)		—		10,404,467		—		10,404,467
Futures Contracts (unrealized appreciation)		36,638,309		—		—		36,638,309

Total	$	36,638,309	$	1,159,513,055	$	—	$	1,196,151,364

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(949,036	)	$	—	$	(949,036	)
Futures Contracts (unrealized depreciation)		(21,317,268	)		—			—		(21,317,268	)

Total	$	(21,317,268	)	$	(949,036	)	$	—	$	(22,266,304	)

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2014, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies, short-term interest rates and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices, to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of September 30, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	10,404,467	$	—	$	10,404,467

Exchange traded asset derivatives
Interest rate contracts	$	—	$	10,015,699	$	10,015,699
Equity contracts		—		4,378,359		4,378,359
Commodity contracts		—		22,244,251		22,244,251

Total exchange traded asset derivatives	$	—	$	36,638,309	$	36,638,309

Total asset derivatives	$	10,404,467	$	36,638,309	$	47,042,776


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(949,036	)	$	—		$	(949,036	)

Exchange traded liability derivatives
Interest rate contracts	$	—		$	(2,848,958	)	$	(2,848,958	)
Equity contracts		—			(12,136,162	)		(12,136,162	)
Commodity contracts		—			(6,332,148	)		(6,332,148	)

Total exchange traded liability derivatives	$	—		$	(21,317,268	)	$	(21,317,268	)

Total liability derivatives	$	(949,036	)	$	(21,317,268	)	$	(22,266,304	)


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	10,404,467	$	9,455,431
Collateral pledged to UBS AG		10,298,540		10,298,540

Total over-the-counter counterparty credit risk		20,703,007		19,753,971

Exchange traded counterparty credit risk
Futures contracts		36,638,309		36,638,309
Margin with brokers		97,589,194		97,589,194

Total exchange traded counterparty credit risk		134,227,503		134,227,503

Total counterparty credit risk	$	154,930,510	$	153,981,474

Investment Summary at September 30, 2014 (Unaudited)


Certificates of Deposit	76.2	%
Financial Company Commercial Paper	8.3
Commercial Paper	3.0
Other Notes	1.5

Total Investments	89.0
Other assets less liabilities (including forward foreign currency and futures contracts)	11.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks – 49.1% of Net Assets
		Aerospace & Defense – 1.3%
	514	Boeing Co. (The)	$	65,473
	1,869	Honeywell International, Inc.		174,041
	764	Lockheed Martin Corp.		139,644
	718	Northrop Grumman Corp.		94,604
	979	Rockwell Collins, Inc.		76,852
	828	United Technologies Corp.		87,437

				638,051

		Air Freight & Logistics – 0.3%
	827	FedEx Corp.		133,519

		Airlines – 0.2%
	3,142	Southwest Airlines Co.		106,105

		Auto Components – 0.2%
	1,807	Johnson Controls, Inc.		79,508

		Automobiles – 0.3%
	8,684	Ford Motor Co.		128,436

		Banks – 3.5%
	14,514	Bank of America Corp.		247,464
	6,025	Citigroup, Inc.		312,215
	6,944	JPMorgan Chase & Co.		418,307
	1,383	PNC Financial Services Group, Inc. (The)		118,357
	4,410	U.S. Bancorp		184,470
	8,618	Wells Fargo & Co.		447,016

				1,727,829

		Beverages – 1.5%
	3,742	Coca-Cola Co. (The)		159,634
	2,010	Coca-Cola Enterprises, Inc.		89,163
	1,790	Dr Pepper Snapple Group, Inc.		115,115
	4,102	PepsiCo, Inc.		381,855

				745,767

		Biotechnology – 2.1%
	1,780	Amgen, Inc.		250,019
	515	Biogen Idec, Inc.(b)		170,367
	1,866	Celgene Corp.(b)		176,860
	3,036	Gilead Sciences, Inc.(b)		323,182
	358	Regeneron Pharmaceuticals, Inc.(b)		129,066

				1,049,494

		Capital Markets – 0.4%
	3,500	Bank of New York Mellon Corp. (The)		135,555
	1,865	Invesco Ltd.		73,630

				209,185

		Chemicals – 1.6%
	490	Air Products & Chemicals, Inc.		63,788


Shares		Description	Value (†)
	Common Stocks – continued
		Chemicals – continued
	2,364	Dow Chemical Co. (The)	$	123,968
	1,676	E.I. du Pont de Nemours & Co.		120,270
	508	Ecolab, Inc.		58,334
	933	LyondellBasell Industries NV, Class A		101,380
	879	Monsanto Co.		98,896
	618	Praxair, Inc.		79,722
	275	Sherwin-Williams Co. (The)		60,222
	479	Sigma-Aldrich Corp.		65,149

				771,729

		Commercial Services & Supplies – 0.2%
	513	Stericycle, Inc.(b)		59,795
	1,158	Tyco International Ltd.		51,612

				111,407

		Communications Equipment – 0.9%
	8,800	Cisco Systems, Inc.		221,496
	3,301	QUALCOMM, Inc.		246,816

				468,312

		Construction & Engineering – 0.1%
	1,454	Quanta Services, Inc.(b)		52,766

		Consumer Finance – 0.3%
	1,709	American Express Co.		149,606

		Containers & Packaging – 0.2%
	1,304	MeadWestvaco Corp.		53,386
	1,305	Sealed Air Corp.		45,518

				98,904

		Distributors – 0.1%
	743	Genuine Parts Co.		65,169

		Diversified Financial Services – 1.1%
	3,270	Berkshire Hathaway, Inc., Class B(b)		451,718
	1,279	McGraw Hill Financial, Inc.		108,011

				559,729

		Diversified Telecommunication Services – 1.1%
	2,456	CenturyLink, Inc.		100,426
	13,274	Frontier Communications Corp.		86,414
	7,692	Verizon Communications, Inc.		384,523

				571,363

		Electric Utilities – 0.8%
	1,514	American Electric Power Co., Inc.		79,046
	1,583	Duke Energy Corp.		118,361
	679	NextEra Energy, Inc.		63,745
	814	Northeast Utilities		36,060
	1,329	PPL Corp.		43,644
	1,688	Southern Co. (The)		73,681

				414,537


Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – 0.2%
	1,600	Eaton Corp. PLC	$	101,392

		Electronic Equipment, Instruments & Components – 0.4%
	6,246	Corning, Inc.		120,798
	1,860	TE Connectivity Ltd.		102,839

				223,637

		Energy Equipment & Services – 0.9%
	2,346	Halliburton Co.		151,341
	1,112	National Oilwell Varco, Inc.		84,623
	2,255	Schlumberger Ltd.		229,311

				465,275

		Food & Staples Retailing – 1.1%
	3,498	CVS Health		278,406
	1,769	Wal-Mart Stores, Inc.		135,275
	2,586	Walgreen Co.		153,272

				566,953

		Food Products – 0.9%
	2,814	Archer-Daniels-Midland Co.		143,796
	1,265	Mead Johnson Nutrition Co.		121,718
	5,729	Mondelez International, Inc., Class A		196,304

				461,818

		Health Care Equipment & Supplies – 0.6%
	508	CR Bard, Inc.		72,497
	2,624	Medtronic, Inc.		162,557
	1,388	St. Jude Medical, Inc.		83,460

				318,514

		Health Care Providers & Services – 0.5%
	1,584	DaVita HealthCare Partners, Inc.(b)		115,854
	720	McKesson Corp.		140,162

				256,016

		Hotels, Restaurants & Leisure – 0.4%
	101	Chipotle Mexican Grill, Inc.(b)		67,326
	397	McDonald’s Corp.		37,639
	843	Starwood Hotels & Resorts Worldwide, Inc.		70,146

				175,111

		Household Durables – 0.2%
	1,215	Garmin Ltd.		63,168
	809	Lennar Corp., Class A		31,413

				94,581

		Household Products – 0.6%
	965	Colgate-Palmolive Co.		62,937
	2,648	Procter & Gamble Co. (The)		221,744

				284,681

		Industrial Conglomerates – 1.3%
	1,397	3M Co.		197,927
	1,729	Danaher Corp.		131,369


Shares		Description	Value (†)
	Common Stocks – continued
		Industrial Conglomerates – continued
	12,006	General Electric Co.	$	307,594

				636,890

		Insurance – 1.6%
	3,509	American International Group, Inc.		189,556
	932	Assurant, Inc.		59,928
	626	Chubb Corp. (The)		57,016
	1,288	Lincoln National Corp.		69,011
	1,848	Marsh & McLennan Cos., Inc.		96,724
	2,355	MetLife, Inc.		126,511
	1,415	Principal Financial Group, Inc.		74,245
	1,065	Torchmark Corp.		55,774
	2,256	XL Group PLC		74,831

				803,596

		Internet & Catalog Retail – 0.8%
	703	Amazon.com, Inc.(b)		226,675
	714	Expedia, Inc.		62,561
	100	Priceline Group, Inc. (The)(b)		115,858

				405,094

		Internet Software & Services – 1.6%
	2,976	Facebook, Inc., Class A(b)		235,223
	458	Google, Inc., Class A(b)		269,492
	460	Google, Inc., Class C(b)		265,585

				770,300

		IT Services – 0.8%
	1,657	International Business Machines Corp.		314,549
	1,496	Paychex, Inc.		66,123

				380,672

		Machinery – 0.7%
	1,558	Caterpillar, Inc.		154,289
	926	Dover Corp.		74,385
	1,292	Illinois Tool Works, Inc.		109,071

				337,745

		Media – 2.0%
	456	CBS Corp., Class B		24,396
	4,604	Comcast Corp., Class A		247,603
	1,240	DIRECTV(b)		107,285
	678	Time Warner Cable, Inc.		97,286
	1,536	Time Warner, Inc.		115,522
	2	Time, Inc.(b)		47
	4,196	Twenty-First Century Fox, Inc., Class A		143,881
	2,858	Walt Disney Co. (The)		254,448

				990,468

		Multi-Utilities – 0.6%
	1,829	CMS Energy Corp.		54,248
	681	Consolidated Edison, Inc.		38,585
	1,153	Dominion Resources, Inc.		79,661
	1,716	NiSource, Inc.		70,322


Shares		Description	Value (†)
	Common Stocks – continued
		Multi-Utilities – continued
	1,585	PG&E Corp.	$	71,388

				314,204

		Multiline Retail – 0.3%
	1,301	Macy’s, Inc.		75,692
	972	Nordstrom, Inc.		66,456

				142,148

		Oil, Gas & Consumable Fuels – 3.9%
	2,947	Chevron Corp.		351,636
	2,330	ConocoPhillips		178,292
	2,089	CONSOL Energy, Inc.		79,090
	1,438	EOG Resources, Inc.		142,391
	6,233	Exxon Mobil Corp.		586,214
	913	Hess Corp.		86,114
	2,766	Kinder Morgan, Inc.		106,048
	1,010	Marathon Petroleum Corp.		85,517
	1,406	Murphy Oil Corp.		80,015
	1,607	Phillips 66		130,665
	125	Pioneer Natural Resources Co.		24,621
	2,654	Spectra Energy Corp.		104,196

				1,954,799

		Pharmaceuticals – 3.6%
	3,926	AbbVie, Inc.		226,766
	769	Actavis PLC(b)		185,544
	934	Allergan, Inc.		166,429
	4,596	Johnson & Johnson		489,888
	5,323	Merck & Co., Inc.		315,547
	1,688	Mylan, Inc.(b)		76,787
	10,373	Pfizer, Inc.		306,730

				1,767,691

		Professional Services – 0.2%
	681	Equifax, Inc.		50,898
	745	Robert Half International, Inc.		36,505

				87,403

		REITs - Apartments – 0.2%
	582	AvalonBay Communities, Inc.		82,045

		REITs - Diversified – 0.4%
	1,183	American Tower Corp.		110,764
	2,692	Weyerhaeuser Co.		85,767

				196,531

		REITs - Storage – 0.2%
	519	Public Storage		86,071

		REITs - Warehouse/Industrials – 0.2%
	2,007	ProLogis, Inc.		75,664

		Road & Rail – 0.7%
	3,505	CSX Corp.		112,370


Shares		Description	Value (†)
	Common Stocks – continued
		Road & Rail – continued
	2,025	Union Pacific Corp.	$	219,551

				331,921

		Semiconductors & Semiconductor Equipment – 1.4%
	1,946	Analog Devices, Inc.		96,307
	3,814	Applied Materials, Inc.		82,421
	9,795	Intel Corp.		341,062
	1,006	Lam Research Corp.		75,148
	1,907	Microchip Technology, Inc.		90,068

				685,006

		Software – 1.9%
	1,876	Adobe Systems, Inc.(b)		129,800
	11,995	Microsoft Corp.		556,088
	6,792	Oracle Corp.		259,998

				945,886

		Specialty Retail – 1.2%
	127	AutoZone, Inc.(b)		64,727
	2,551	Home Depot, Inc. (The)		234,029
	2,431	Lowe’s Cos., Inc.		128,649
	1,901	TJX Cos., Inc. (The)		112,482
	979	Tractor Supply Co.		60,218

				600,105

		Technology Hardware, Storage & Peripherals – 2.5%
	9,094	Apple, Inc.		916,220
	5,164	EMC Corp.		151,099
	5,161	Hewlett-Packard Co.		183,061

				1,250,380

		Textiles, Apparel & Luxury Goods – 0.4%
	1,524	NIKE, Inc., Class B		135,941
	702	Under Armour, Inc., Class A(b)		48,508

				184,449

		Thrifts & Mortgage Finance – 0.1%
	6,681	Hudson City Bancorp, Inc.		64,939

		Tobacco – 0.5%
	1,689	Philip Morris International, Inc.		140,863
	1,946	Reynolds American, Inc.		114,814

				255,677

		Total Common Stocks (Identified Cost $22,077,901)		24,379,078

	Exchange Traded Funds – 10.2%
	25,720	SPDR^® S&P 500^® ETF Trust (Identified Cost $4,790,422)		5,067,354


Principal Amount		Description	Value (†)
	Short-Term Investments – 36.9%
		Certificates of Deposit – 32.7%
	$150,000	Royal Bank of Canada, 0.010%, 10/01/2014	$	150,000
	850,000	Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014 (c)		850,000
	800,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014 (c)		800,000
	600,000	Oversea-Chinese Banking Corp., 0.190%, 10/08/2014 (c)		600,010
	350,000	Toronto Dominion Bank, 0.250%, 10/10/2014 (c)		350,015
	800,000	Agricultural Bank of China, 0.380%, 10/14/2014 (c)		800,000
	700,000	Svenska Handelsbanken (NY), 0.170%, 10/16/2014 (c)		700,009
	700,000	China Construction Bank Corp. (NY), 0.350%, 10/22/2014 (c)		700,002
	300,000	National Australia Bank, 0.224%, 10/23/2014 (c)(d)		300,008
	800,000	Credit Agricole, 0.110%, 11/03/2014 (c)		800,000
	700,000	Westpac Banking Corp. (NY), 0.290%, 11/06/2014 (c)		700,115
	650,000	Sumitomo Mitsui Bank (NY), 0.210%, 11/10/2014 (c)		650,022
	600,000	Mizuho Corporate Bank, 0.190%, 11/12/2014 (c)		600,007
	400,000	Bank of Nova Scotia (TX), 0.250%, 11/12/2014 (c)		400,081
	800,000	National Bank of Kuwait, 0.280%, 11/13/2014 (c)		800,088
	250,000	Mizuho Corporate Bank, 0.190%, 11/25/2014 (c)		250,004
	800,000	Standard Chartered Bank (NY), 0.190%, 12/02/2014 (c)		800,014
	700,000	Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014 (c)		700,083
	800,000	DNB Bank ASA, 0.180%, 1/05/2015 (c)		799,957
	200,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015 (c)		199,995
	800,000	Norinchukin Bank, 0.260%, 1/08/2015 (c)		800,044
	300,000	Toronto Dominion Bank, 0.210%, 1/16/2015 (c)		300,063
	800,000	Banco Del Estado de Chile, 0.240%, 1/23/2015 (c)		800,051
	100,000	Societe Generale S.A., 0.284%, 2/02/2015 (c)(d)(e)		99,994
	800,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015 (c)		800,033
	300,000	Rabobank Nederland, 0.220%, 4/01/2015 (c)		299,954
	500,000	Rabobank Nederland, 0.284%, 6/15/2015 (c)(d)		499,927
	700,000	Dexia Credit Local, 0.281%, 7/01/2015 (c)(d)		700,000

				16,250,476


Principal Amount		Description	Value (†)
		Financial Company Commercial Paper – 4.2%
	$700,000	ING (U.S.) Funding LLC, 0.200%, 10/03/2014 (f)	$	699,994
	150,000	ING (U.S.) Funding LLC, 0.180%, 11/04/2014 (c)(f)		149,975
	500,000	Swedbank, 0.100%, 11/24/2014 (c)(f)		499,896
	700,000	General Electric Capital Corp., 0.180%, 12/11/2014 (c)(f)		699,880

				2,049,745

		Total Short-Term Investments (Identified Cost $18,299,705)		18,300,221

		Total Investments – 96.2% (Identified Cost $45,168,028)(a)		47,746,653
		Other assets less liabilities – 3.8%		1,911,771

		Net Assets – 100.0%	$	49,658,424

(†)

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

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

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

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

(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 September 30, 2014, the net unrealized appreciation on investments based on a cost of $45,168,028 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	$	2,705,346
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(126,721	)

Net unrealized appreciation	$	2,578,625

(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 September 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

REITs

SPDR

Exchange Traded Fund

Real Estate Investment Trusts

Standard & Poor’s Depositary Receipt

Futures Contracts

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

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

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/19/2014		359	$	35,280,725	$	(395,035	)

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	24,379,078	$	—	$	—	$	24,379,078
Exchange Traded Funds		5,067,354		—		—		5,067,354
Short-Term Investments*		—		18,300,221		—		18,300,221

Total	$	29,446,432	$	18,300,221	$	—	$	47,746,653

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(395,035	)	$	—	$	—	$	(395,035	)

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

For the period ended September 30, 2014 there were no transfers among Levels 1, 2, and 3.

Derivatives

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the period ended September 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 the Fund, as of September 30, 2014:


Liabilities	Unrealized depreciation on futures contracts
Exchange traded liability derivatives
Equity contracts	$	(395,035	)


	Maximum Amount of Loss - Gross
Exchange traded counterparty credit risk
Margin with brokers	$	2,024,895

Industry Summary at September 30, 2014 (Unaudited)


Exchange Traded Funds	10.2	%
Oil, Gas & Consumable Fuels	3.9
Pharmaceuticals	3.6
Banks	3.5
Technology Hardware, Storage & Peripherals	2.5
Biotechnology	2.1
Media	2.0
Other Investments, less than 2% each	31.5
Short-Term Investments	36.9

Total Investments	96.2
Other assets less liabilities (including futures contracts)	3.8

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 59.3% of Net Assets
	Non-Convertible Bonds – 55.4%
		ABS Car Loan – 1.7%
	$4,050,000	Ally Master Owner Trust, Series 2014-2, Class A, 0.524%, 1/16/2018(b)(c)	$	4,052,118
	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(c)		2,306,592
	1,524,213	Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(c)		1,524,762
	5,575,000	Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(c)		5,578,077
	1,889,983	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(c)		1,890,934
	4,625,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018(c)		4,614,057
	1,565,000	USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017(c)		1,565,606

				21,532,146

		ABS Credit Card – 3.4%
	1,015,000	American Express Credit Account Master Trust, Series 2014-3, Class A, 1.490%, 4/15/2020		1,013,687
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.574%, 2/16/2021(b)(c)		3,154,514
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019(c)		1,858,268
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 0.534%, 6/15/2021(b)(c)		2,048,237
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(c)		3,066,049
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c)		6,592,126
	6,700,000	Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(c)		6,703,109
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(c)		3,186,190
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.584%, 9/10/2020(b)(c)		5,847,508
	2,925,000	Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.353%, 5/09/2018(b)(c)		2,925,000
	3,000,000	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(c)		2,993,319
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020		3,042,019
	1,990,000	World Financial Network Credit Card Master Trust, Series 2014-A, Class A, 0.534%, 12/15/2019(b)(c)		1,991,387

				44,421,413

		ABS Home Equity – 12.8%
	1,080,510	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.702%, 3/25/2035(b)(c)		1,032,853
	1,237,387	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.590%, 4/25/2035(b)(c)		1,215,485


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$2,232,748	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.632%, 4/25/2035(b)(c)	$	2,226,249
	1,110,921	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033(c)		1,166,548
	900,266	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033(c)		918,056
	679,240	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		694,618
	2,318,260	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c)		2,363,514
	400,000	American Homes 4 Rent, 6.231%, 10/17/2036, 144A		400,508
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		300,178
	1,544,464	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033(c)		1,589,152
	2,300,294	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(c)		2,360,037
	1,387,601	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(c)		1,429,713
	1,883,430	Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035(c)		1,696,353
	808,744	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.605%, 7/25/2037, 144A(b)		620,995
	2,312,891	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.523%, 11/20/2034(b)(c)		2,184,933
	909,480	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(c)		949,851
	1,784,164	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(c)		1,830,303
	3,108,059	Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A, 3.228%, 7/28/2034, 144A(b)(c)		3,117,079
	1,787,030	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 2.973%, 2/25/2036(b)		1,408,938
	810,604	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 2.656%, 9/25/2034(b)		759,736
	1,798,252	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.567%, 2/25/2037(b)(c)		1,783,116
	1,827,972	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(c)		1,869,969
	1,027,560	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.612%, 5/25/2035(b)(c)		1,016,817
	594,287	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		532,850
	2,889,729	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(c)		2,535,289
	2,078,105	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037(c)		1,745,959
	1,129,823	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		949,242
	1,855,000	Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A(c)		1,826,858
	2,510,849	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(d)		2,559,685


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$1,235,188	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034(c)	$	1,306,661
	4,274,063	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(d)		4,279,858
	1,133,148	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(c)		1,198,633
	131,582	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034(e)		133,018
	1,201,598	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.365%, 5/25/2035(b)(c)		1,029,618
	975,855	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		903,314
	748,873	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		512,875
	852,967	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		778,986
	1,409,546	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034(c)		1,470,944
	1,458,135	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.581%, 8/25/2034(b)(c)		1,373,500
	225,654	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.395%, 9/20/2034(b)		223,277
	507,597	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.425%, 4/25/2035(b)		441,106
	1,695,398	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035(c)		1,587,657
	1,956,919	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036(c)		1,832,792
	2,720,346	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037(c)		2,549,976
	948,097	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.565%, 11/25/2033(b)		917,118
	826,795	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.606%, 12/25/2033(b)		804,190
	2,529,978	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.579%, 5/25/2034(b)(c)		2,505,647
	282,245	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		285,621
	1,267,783	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035(c)		1,127,921
	622,553	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		545,717
	1,372,071	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035(c)		1,392,998
	1,208,967	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(c)		1,142,889
	1,492,159	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A(c)		1,505,292
	213,985	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		220,859


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$2,139,324	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)(c)	$	2,142,511
	882,582	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(b)		827,945
	294,154	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.814%, 12/25/2034(b)		283,604
	1,773,070	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.731%, 12/25/2034(b)(c)		1,770,029
	812,338	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.470%, 7/25/2035(b)		760,591
	2,811,480	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.682%, 9/25/2035(b)(c)		2,839,572
	1,630,752	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036(c)		1,340,659
	2,466,242	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.265%, 5/25/2037(b)(c)		1,661,811
	1,200,973	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.935%, 12/25/2034(b)(c)		995,407
	2,581,641	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.795%, 7/25/2045(b)(c)		2,429,121
	3,035,000	Invitation Homes Trust, Series 2014-SFR1, Class B, 1.654%, 6/17/2031, 144A(b)(c)		2,988,871
	3,053,488	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.487%, 3/25/2036(b)(c)		2,671,316
	1,279,573	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 1.990%, 11/25/2033(b)		1,281,199
	2,785,250	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.367%, 4/25/2035(b)(c)		2,722,741
	1,134,962	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.656%, 8/25/2035(b)(c)		1,138,417
	2,841,603	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(c)		2,575,831
	1,921,885	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.444%, 2/25/2036(b)(c)		1,678,423
	3,504,317	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.612%, 1/25/2037(b)(c)		3,128,230
	2,903,833	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(c)		2,525,261
	2,605,565	Lehman XS Trust, Series 2006-4N, Class A2A, 0.375%, 4/25/2046(b)(c)		1,886,517
	448,504	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.542%, 5/25/2034(b)(e)		430,562
	3,068,920	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.484%, 7/25/2034(b)(c)		3,095,033
	691,935	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.599%, 4/25/2036(b)		667,646
	619,365	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.315%, 1/25/2047(b)		471,682
	943,662	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(c)		978,244
	370,279	MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034(e)		364,420
	1,072,971	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(c)		1,121,842


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$1,145,166	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(c)	$	1,207,913
	2,621,033	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(c)		2,684,352
	2,025,299	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037(c)		1,529,806
	1,868,772	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037(c)		1,411,574
	388,730	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.112%, 5/25/2036(b)		388,928
	1,211,637	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(c)		1,146,195
	2,574,922	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c)		2,617,835
	815,113	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.414%, 10/25/2035(b)		802,595
	2,518,739	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(c)		2,078,848
	1,005,298	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(c)		1,033,991
	1,182,515	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.630%, 9/25/2034(b)(c)		1,177,543
	6,852,104	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.433%, 11/25/2034(b)(d)		6,814,815
	1,969,152	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.360%, 6/25/2034(b)		1,958,044
	713,310	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.465%, 7/25/2035(b)		537,527
	1,586,890	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(c)		1,669,967
	1,459,409	Vericrest Opportunity Loan Transferee, Series 2013-NPL4, Class A1, 3.960%, 11/25/2053, 144A(c)		1,466,004
	2,108,582	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.396%, 1/25/2035(b)(c)		2,125,826
	769,432	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		811,262
	6,150,000	WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3, 2.364%, 8/25/2035(b)		6,015,297
	1,364,766	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.176%, 9/25/2046(b)(c)		1,276,471
	2,984,859	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.926%, 1/25/2047(b)(c)		2,864,390
	379,355	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(b)		381,785
	1,341,995	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.637%, 2/25/2034(b)(c)		1,357,248
	542,977	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		567,057
	683,566	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		704,202
	2,625,000	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(c)		2,597,157


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
	$ 993,364	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)(c)	$	1,003,614

				166,163,082

		ABS Other – 1.8%
	1,253,530	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(c)		1,278,452
	1,495,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(c)		1,494,970
	1,995,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(c)		1,995,624
	745,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A		744,999
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(c)		6,473,576
	409,211	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		416,716
	1,651,194	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(c)		1,652,325
	3,482,802	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(c)		3,476,059
	1,895,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(c)		1,891,354
	3,400,833	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(c)		3,436,409

				22,860,484

		Aerospace & Defense – 0.9%
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c)		5,672,835
	825,000	Rockwell Collins, Inc., 0.584%, 12/15/2016(b)		824,468
	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

				11,870,853

		Automotive – 3.2%
	6,590,000	Daimler Finance North America LLC, 0.920%, 8/01/2016, 144A(b)(c)		6,651,353
	5,250,000	Ford Motor Credit Co. LLC, 1.483%, 5/09/2016(b)(c)		5,322,056
	2,471,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,526,598
	5,960,000	Nissan Motor Acceptance Corp., 0.784%, 3/03/2017, 144A(b)(c)		5,979,978
	6,640,000	Nissan Motor Acceptance Corp., 0.935%, 9/26/2016, 144A(b)(c)		6,693,525
	10,650,000	Toyota Motor Credit Corp., 0.521%, 5/17/2016(b)(c)		10,688,265
	3,210,000	Volkswagen International Finance NV, 0.671%, 11/18/2016, 144A(b)(c)		3,224,946

				41,086,721


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – 4.2%
	$3,310,000	Bank of America Corp., 1.274%, 1/15/2019(b)(c)	$	3,357,204
	6,825,000	Bank of America Corp., MTN, 4.200%, 8/26/2024		6,765,984
	12,955,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(d)		12,622,523
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c)		7,091,407
	7,200,000	Morgan Stanley, 4.350%, 9/08/2026		7,076,282
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c)		11,785,707
	6,150,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A(c)		6,191,445

				54,890,552

		Brokerage – 0.2%
	3,085,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		3,038,725

		Building Materials – 0.5%
	3,660,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(c)		3,550,200
	1,745,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A(c)		1,771,175
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(c)		1,437,953

				6,759,328

		Cable Satellite – 0.2%
	765,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		765,956
	800,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		1,291,434
	720,000	Wave Holdco LLC/Wave Holdco Corp., 8.250% (9.000% PIK), 7/15/2019, 144A(f)		738,000

				2,795,390

		Chemicals – 0.7%
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(c)		2,821,300
	2,950,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A		2,868,875
	2,905,000	Perstorp Holding AB, 11.000%, 8/15/2017, 144A(c)		2,992,150

				8,682,325

		Collateralized Mortgage Obligations – 0.6%
	28,611,080	Government National Mortgage Association, Series 2010-83, Class IO, 0.489%, 7/16/2050(b)(g)		793,814
	73,490,447	Government National Mortgage Association, Series 2012-135, Class IO, 1.046%, 1/16/2053(b)(c)(g)		5,571,090
	12,661,738	Government National Mortgage Association, Series 2012-78, Class IO, 1.046%, 6/16/2052(b)(g)		881,713

				7,246,617


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – 1.4%
	$17,660,000	Caterpillar Financial Services Corp., MTN, 0.475%, 2/26/2016(b)(c)	$	17,708,247

		Consumer Cyclical Services – 0.5%
	5,915,000	ServiceMaster Co. (The), 7.000%, 8/15/2020(c)		6,151,600

		Electric – 1.2%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)(c)		1,683,546
	11,740,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c)		13,604,312

				15,287,858

		Finance Companies – 3.0%
	8,365,000	Air Lease Corp., 4.250%, 9/15/2024		8,229,069
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(c)(h)		5,440,250
	12,535,000	iStar Financial, Inc., 4.000%, 11/01/2017(c)		12,158,950
	1,504,000	iStar Financial, Inc., 5.000%, 7/01/2019		1,447,600
	11,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A(c)		11,513,700

				38,789,569

		Financial Other – 1.5%
	630,000	Corporacion Financiera de Desarrollo S.A., 3.250%, 7/15/2019, 144A		628,425
	1,240,000	Corporacion Financiera de Desarrollo S.A., (fixed rate to 7/15/2024, variable rate thereafter), 5.250%, 7/15/2029, 144A(c)		1,257,050
	6,100,000	Hyundai Capital Services, Inc., 1.034%, 3/18/2017, 144A(b)(c)		6,122,161
	2,518,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(c)		2,480,230
	8,700,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c)		8,874,000

				19,361,866

		Food & Beverage – 0.7%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c)		3,860,688
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		840,977
	1,101,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021		1,216,605
	3,500,000	General Mills, Inc., 0.534%, 1/29/2016(b)(c)		3,504,326

				9,422,596


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Government Owned—No Guarantee – 1.4%
	18,670,000,000		Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(c)	$	9,387,576
	6,000,000		Petroleos de Venezuela S.A., 5.500%, 4/12/2037		2,910,000
	700,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c)		5,528,168

					17,825,744

			Healthcare – 0.8%
	5,450,000		Baxter International, Inc., 0.405%, 12/11/2014(b)(c)		5,451,591
	2,505,000		BioScrip, Inc., 8.875%, 2/15/2021, 144A(c)		2,564,494
	2,656,000		Universal Health Services, Inc., 4.750%, 8/01/2022, 144A(d)		2,652,680

					10,668,765

			Independent Energy – 0.0%
	140,000		Chesapeake Energy Corp., 6.625%, 8/15/2020		154,420
	7,460,000		OGX Austria GmbH, 8.375%, 4/01/2022, 144A(i)		246,180
	4,420,000		OGX Austria GmbH, 8.500%, 6/01/2018, 144A(i)		176,800

					577,400

			Industrial Other – 0.2%
	2,200,000		Alfa SAB de CV, 6.875%, 3/25/2044, 144A(c)		2,444,750

			Integrated Energy – 0.2%
	2,935,000		BP Capital Markets PLC, 0.657%, 11/07/2016(b)(c)		2,939,282

			Leisure – 0.2%
	3,575,000		24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A(c)		3,306,875

			Life Insurance – 1.0%
	8,600,000		Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c)		13,414,859

			Lodging – 0.2%
	2,105,000		Host Hotels & Resorts LP, 5.250%, 3/15/2022(c)		2,314,132

			Media Entertainment – 0.4%
	2,820,000		Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c)		2,925,750
	27,290,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c)		1,709,701

					4,635,451


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – 0.1%
	$975,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A	$	970,125

		Non-Agency Commercial Mortgage-Backed Securities – 3.6%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.647%, 5/11/2039, 144A(b)		963,450
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.730%, 4/15/2044, 144A(b)(c)		4,954,865
	2,765,000	Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 5/10/2035, 144A(b)(c)		2,574,035
	850,000	Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.304%, 6/15/2034, 144A(b)		850,319
	855,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.904%, 6/15/2034, 144A(b)		854,584
	1,605,000	Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.554%, 6/15/2034, 144A(b)(c)		1,603,541
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(b)(c)		2,752,678
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.154%, 3/15/2018, 144A(b)(c)		1,303,640
	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c)		7,704,591
	4,340,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.991%, 8/10/2045(b)(c)		4,499,747
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(c)		1,945,560
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(c)		1,488,493
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)(c)		1,604,496
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c)		1,589,697
	945,264	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.154%, 4/15/2018, 144A(b)		952,070
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(b)(c)		1,422,707
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.481%, 6/15/2044, 144A(b)(c)		2,204,668
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 2.654%, 11/15/2026, 144A(b)(c)		2,285,775
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 3.404%, 11/15/2026, 144A(b)(c)		2,207,966
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c)		2,734,297

				46,497,179

		Oil Field Services – 0.7%
	2,230,000	Paragon Offshore Ltd., 6.750%, 7/15/2022, 144A(c)		1,884,350
	4,115,000	Paragon Offshore Ltd., 7.250%, 8/15/2024, 144A(d)		3,477,175


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Oil Field Services – continued
	$3,310,000		Shell International Finance BV, 0.444%, 11/15/2016(b)(c)	$	3,319,791

					8,681,316

			Packaging – 0.1%
	800,000		Ardagh Finance Holdings, 8.375% (8.375% PIK), 6/15/2019, 144A, (EUR)(c)(f)		985,179

			Pharmaceuticals – 0.2%
	3,070,000		Johnson & Johnson, 0.308%, 11/28/2016(b)(c)		3,075,299

			Property & Casualty Insurance – 0.4%
	5,435,000		Old Republic International Corp., 4.875%, 10/01/2024		5,442,218

			Railroads – 0.4%
	4,700,000		Canadian National Railway Co., 0.437%, 11/06/2015(b)(c)		4,705,142

			Retailers – 0.2%
	1,975,000		Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A(c)		1,910,813
	1,080,000		Phillips-Van Heusen Corp., 7.750%, 11/15/2023(c)		1,300,730

					3,211,543

			Technology – 1.4%
	1,425,000		Advanced Micro Devices, Inc., 7.000%, 7/01/2024		1,360,875
	4,000,000		Blackboard, Inc., 7.750%, 11/15/2019, 144A(c)		3,960,000
	4,900,000		Jabil Circuit, Inc., 4.700%, 9/15/2022(c)		4,930,625
	3,030,000		Rolta Americas LLC, 8.875%, 7/24/2019, 144A(c)		3,109,537
	5,230,000		Sanmina Corp., 4.375%, 6/01/2019, 144A(c)		5,125,400

					18,486,437

			Treasuries – 4.5%
	4,271,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		33,158,708
	465,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c)		3,584,362
	405,000	(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(c)		3,303,450
	1,700,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		14,290,708
	130,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(c)		1,096,287
	7,091,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)(c)		2,621,736

					58,055,251


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – 0.6%
	3,350,000	Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)(c)	$	4,379,312
	3,025,000	Wind Acquisition Finance S.A., 4.203%, 7/15/2020, 144A, (EUR)(b)(c)		3,806,400

				8,185,712

		Wirelines – 0.3%
	12,060,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(c)		4,487,488

		Total Non-Convertible Bonds (Identified Cost $729,235,647)		718,979,519

	Convertible Bonds – 3.9%
		Automotive – 0.6%
	3,195,000	Ford Motor Co., 4.250%, 11/15/2016(c)		5,475,431
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015(c)		2,583,044

				8,058,475

		Consumer Products – 0.2%
	2,485,000	Jarden Corp., 1.125%, 3/15/2034, 144A(c)		2,477,234

		Energy – 0.1%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		430,312
	2,075,000	Peabody Energy Corp., 4.750%, 12/15/2066(c)		1,421,375

				1,851,687

		Home Construction – 0.1%
	635,000	Lennar Corp., 3.250%, 11/15/2021, 144A		1,089,025

		Pharmaceuticals – 1.1%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		475,379
	1,168,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020(c)		1,278,960
	1,600,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A(c)		1,608,000
	1,125,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(c)		5,253,047
	1,670,000	Mylan, Inc., 3.750%, 9/15/2015(d)		5,705,137

				14,320,523

		Retailers – 0.6%
	4,430,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020(c)		4,931,144
	2,295,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		2,164,472

				7,095,616


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – 1.2%
	$1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A(c)		$	2,108,650
	3,815,000	JDS Uniphase Corp., 0.625%, 8/15/2033(c)			3,812,616
	2,045,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A(c)			2,214,991
	915,000	Novellus Systems, Inc., 2.625%, 5/15/2041(c)			1,994,128
	1,985,000	Nuance Communications, Inc., 2.750%, 11/01/2031(c)			1,957,706
	3,145,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A(c)			3,490,950

					15,579,041

		Total Convertible Bonds (Identified Cost $46,245,480)			50,471,601

		Total Bonds and Notes (Identified Cost $775,481,127)			769,451,120

	Loan Participations – 0.2%
		ABS Other – 0.2%
	2,688,281	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(b)(e)(l)(m) (Identified Cost $2,708,443)			2,718,524

	Senior Loans – 15.1%
		Aerospace & Defense – 0.2%
	638,625	Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b)			607,096
	690,219	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(b)			677,795
	837,900	Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(b)			822,189

					2,107,080

		Automotive – 0.7%
	775,035	American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(b)			773,586
	899,415	Dealertrack Technologies, Inc., Term Loan B, 3.500%, 2/28/2021(b)			884,421
	4,148,873	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b)			4,128,129
	92,755	Midas Intermediate Holdco II LLC, Delayed Draw Term Loan, 8/18/2021(j)			92,465
	823,196	Midas Intermediate Holdco II LLC, Term Loan B, 8/18/2021(j)			820,628
	1,769,565	Visteon Corp., Delayed Draw Term Loan B, 3.500%, 4/09/2021(b)			1,738,049

					8,437,278


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Banking – 0.1%
	$1,711,875	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.483%, 6/30/2017(b)	$	1,708,673

		Building Materials – 0.8%
	3,162,015	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(b)		3,097,795
	2,579,710	Continental Building Products LLC, 1st Lien Term Loan, 4.000%, 8/28/2020(b)		2,541,015
	793,008	Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(b)		776,402
	1,068,927	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(b)		1,055,565
	2,797,295	Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(b)		2,739,615

				10,210,392

		Cable Satellite – 0.2%
	3,295,000	Virgin Media Bristol LLC, USD Term Loan B, 3.500%, 6/07/2020(b)		3,205,145

		Chemicals – 0.9%
	1,607,648	Arysta LifeScience SPC LLC, 1st Lien Term Loan, 4.500%, 5/29/2020(b)		1,591,572
	1,556,307	Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 3.750%, 2/01/2020(b)		1,523,563
	443,000	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b)		438,459
	1,185,000	MacDermid, Inc., USD 1st Lien Term Loan, 4.000%, 6/07/2020(b)		1,162,485
	677,127	Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b)		669,936
	2,495,596	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		2,469,093
	3,302,191	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)		3,263,654

				11,118,762

		Consumer Cyclical Services – 0.6%
	293,155	Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(b)		288,025
	1,145,970	Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(b)		1,125,916
	2,405,671	Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b)		2,360,564
	3,173,689	ServiceMaster Co., 2014 Term Loan B, 4.250%, 7/01/2021(b)		3,122,624
	616,782	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b)		604,835

				7,501,964

		Consumer Products – 0.5%
	637,621	Bauer Performance Sports Ltd., Term Loan B, 4.000%, 4/15/2021(b)		630,053
	424,163	Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(b)		419,658
	2,275,278	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b)		2,243,993


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Consumer Products – continued
	$3,317,932	Zebra Technologies Corp., Term Loan B, 9/30/2021(j)	$	3,293,047

				6,586,751

		Diversified Manufacturing – 0.0%
	620,896	Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(b)		615,854

		Electric – 0.1%
	1,827,863	Calpine Construction Finance Co. LP, Original Term Loan B1, 3.250%, 5/03/2020(b)		1,763,887

		Finance Companies – 0.3%
	1,137,566	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b)		1,129,511
	2,955,000	Delos Finance S.a.r.l., Term Loan B, 3.500%, 3/06/2021(b)		2,913,128

				4,042,639

		Financial Other – 0.4%
	2,361,933	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b)		2,356,029
	1,080,333	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b)		1,072,230
	1,235,663	Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(b)		1,218,672
	600,695	Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(b)		590,934

				5,237,865

		Food & Beverage – 0.7%
	2,686,500	Aramark Corp., USD Term Loan F, 3.250%, 2/24/2021(b)		2,631,104
	5,124,250	Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(b)		4,912,875
	1,109,425	Del Monte Foods, Inc., 1st Lien Term Loan, 4.256%, 2/18/2021(k)		1,037,312
	823,996	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(k)		778,676

				9,359,967

		Health Insurance – 0.2%
	3,008,574	Sedgwick, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(b)		2,912,059

		Healthcare – 0.8%
	370,091	Amsurg Corp., 1st Lien Term Loan B, 3.750%, 7/16/2021(b)		365,813
	2,437,474	Evergreen Skills Lux S.a.r.l., 1st Lien Term Loan, 5.750%, 4/28/2021(b)		2,389,748
	3,052,138	Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(b)		3,037,823
	1,496,250	Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(b)		1,476,844
	1,433,892	Planet Fitness Holdings LLC, Term Loan, 4.750%, 3/31/2021(b)		1,429,705


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Healthcare – continued
	$1,720,417	Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(b)	$	1,682,791

				10,382,724

		Independent Energy – 0.2%
	2,127,549	SRAM LLC, New Term Loan B, 4.018%, 4/10/2020(k)		2,053,085

		Industrial Other – 1.4%
	1,040,000	AECOM Technology Corp., Term Loan B, 10/30/2021(j)		1,037,213
	1,091,757	Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(b)		1,066,734
	2,321,458	Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 3.750%, 11/23/2020(b)		2,216,992
	1,648,000	Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(b)		1,616,754
	2,671,967	Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(b)		2,620,210
	516,691	Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(b)		508,620
	1,935,398	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b)		1,916,043
	6,234,295	Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(b)		6,119,334
	751,429	Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(b)		743,915
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(b)		91,945

				17,937,760

		Leisure – 0.1%
	1,808,468	Time, Inc., Term Loan B, 4.250%, 4/26/2021(b)		1,788,122

		Lodging – 0.5%
	6,169,409	Hilton Worldwide Finance LLC, USD Term Loan B2, 3.500%, 10/26/2020(b)		6,066,565

		Media Entertainment – 0.5%
	621,220	Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(b)		610,088
	3,153,210	Springer Science+Business Media Deutschland GmbH, USD Term Loan B3, 8/16/2021(j)		3,095,664
	2,609,582	Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(b)		2,572,891

				6,278,643

		Metals & Mining – 0.1%
	1,533,096	Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b)		1,532,452

		Midstream – 0.1%
	1,930,000	Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(b)		1,878,797


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Other Utility – 0.2%
	$3,038,069	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)	$	2,969,712
	160,706	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		157,090

				3,126,802

		Packaging – 0.2%
	450,735	Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(b)		443,974
	1,904,881	Signode Industrial Group U.S., Inc., USD Term Loan B, 4.000%, 5/01/2021(b)		1,867,984

				2,311,958

		Pharmaceuticals – 1.0%
	2,260,174	Amneal Pharmaceuticals LLC, New Term Loan, 4.752%, 11/01/2019(k)		2,254,524
	3,226,785	Grifols Worldwide Operations USA, Inc., USD Term Loan B, 3.154%, 2/27/2021(b)		3,164,282
	989,030	IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(b)		968,013
	1,558,095	JLL/Delta Dutch Newco BV, USD Term Loan, 4.250%, 3/11/2021(b)		1,519,984
	3,020,820	Mallinckrodt International Finance S.A., Term Loan B, 3.500%, 3/19/2021(b)		2,971,248
	2,595,260	Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(b)		2,553,087

				13,431,138

		Property & Casualty Insurance – 0.6%
	1,149,542	AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b)		1,146,668
	2,608,584	CGSC of Delaware Holding Corp., 1st Lien Term Loan, 5.000%, 4/16/2020(b)		2,404,254
	1,115,000	CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(b)		970,050
	3,077,535	Hub International Ltd., Term Loan B, 4.250%, 10/02/2020(b)		3,006,998

				7,527,970

		Restaurants – 0.2%
	2,273,966	1011778 B.C. Unlimited Liability Co., 2014 Term Loan B, 9/24/2021(j)		2,256,274
	246,429	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		247,353

				2,503,627

		Retailers – 0.2%
	323,417	Hillman Group, Inc. (The), Term Loan B, 4.500%, 6/30/2021(b)		321,800
	1,910,962	Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(b)		1,848,856

				2,170,656

		Supermarkets – 0.3%
	2,977,325	Checkout Holding Corp., 1st Lien Term Loan, 4.500%, 4/09/2021(b)		2,893,216


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Supermarkets – continued
	$804,277	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(b)	$	799,250

				3,692,466

		Technology – 1.6%
	2,875,550	Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b)		2,852,776
	1,523,151	BMC Foreign Holding Co., Term Loan, 5.000%, 9/10/2020(b)		1,496,496
	2,944,644	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b)		2,893,112
	1,169,509	Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(b)		1,148,072
	3,069,404	Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(b)		2,997,150
	3,292,620	IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(b)		2,996,284
	1,663,690	M/A-COM Technology Solutions Holdings, Inc., Term Loan, 4.500%, 5/07/2021(b)		1,662,659
	760,990	Microsemi Corp., Incremental Term Loan B2, 3.500%, 2/19/2020(b)		753,571
	960,276	Nuance Communications, Inc., Term Loan C, 2.910%, 8/07/2019(b)		935,472
	1,450,350	NXP BV, Term Loan D, 3.250%, 1/11/2020(b)		1,424,519
	1,064,953	Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(b)		1,059,095
	732,080	Verint Systems, Inc., USD Term Loan, 3.500%, 9/06/2019(b)		727,138

				20,946,344

		Transportation Services – 0.1%
	785,128	FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b)		776,295
	521,844	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		518,150

				1,294,445

		Wireless – 0.6%
	3,057,975	Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b)		3,040,025
	923,313	Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(b)		907,542
	2,158,475	Crown Castle Operating Co., Term Loan B2, 3.000%, 1/31/2021(b)		2,128,796
	1,366,575	SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(b)		1,336,019

				7,412,382

		Wirelines – 0.7%
	1,301,850	Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(b)		1,288,832
	2,830,275	Level 3 Financing, Inc., 2020 Term Loan B, 4.000%, 1/15/2020(b)		2,777,207
	2,012,036	LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(b)		1,974,733


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – continued
	$3,049,072	Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(b)	$	3,001,049

				9,041,821

		Total Senior Loans (Identified Cost $199,204,137)		196,186,073

Shares
	Common Stocks – 6.0%
		Automobiles – 0.4%
	88,460	General Motors Co.(c)	$	2,825,412
	19,989	Toyota Motor Corp., Sponsored ADR(c)		2,349,307

				5,174,719

		Banks – 0.1%
	23,543	HSBC Holdings PLC, Sponsored ADR(c)		1,197,868

		Chemicals – 0.6%
	82,634	Dow Chemical Co. (The)(c)		4,333,327
	29,800	Rockwood Holdings, Inc.(c)		2,278,210
	54,452	Tronox Ltd., Class A(c)		1,418,474

				8,030,011

		Communications Equipment – 0.5%
	250,172	Cisco Systems, Inc.		6,296,829

		Food & Staples Retailing – 0.4%
	35,903	CVS Health(c)		2,857,520
	25,113	Wal-Mart Stores, Inc.(c)		1,920,391

				4,777,911

		Gas Utilities – 0.1%
	58,444	Tokyo Gas Co Ltd., ADR(c)		1,317,328

		Industrial Conglomerates – 0.1%
	10,144	Siemens AG, Sponsored ADR(c)		1,207,846

		Oil, Gas & Consumable Fuels – 0.5%
	21,550	Exxon Mobil Corp.(c)		2,026,778
	79,618	Kinder Morgan, Inc.		3,052,554
	54,651	Statoil ASA, Sponsored ADR(c)		1,484,321

				6,563,653

		Pharmaceuticals – 1.6%
	28,438	Bayer AG, Sponsored ADR(c)		3,984,448
	64,155	Eli Lilly & Co.(c)		4,160,452
	51,896	GlaxoSmithKline PLC, Sponsored ADR(c)		2,385,659
	29,105	Johnson & Johnson(c)		3,102,302
	62,096	Pfizer, Inc.(c)		1,836,178
	71,312	Roche Holding AG, ADR(c)		2,637,831
	36,223	Sanofi, ADR(c)		2,044,064

				20,150,934

		Semiconductors & Semiconductor Equipment – 0.2%
	19,771	KLA-Tencor Corp.(c)		1,557,559


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	32,227	Texas Instruments, Inc.(c)	$	1,536,906

				3,094,465

		Specialty Retail – 0.6%
	39,070	Home Depot, Inc. (The)(c)		3,584,282
	65,673	Lowe’s Cos., Inc.(c)		3,475,415

				7,059,697

		Technology Hardware, Storage & Peripherals – 0.2%
	12,269	Canon, Inc., Sponsored ADR		399,847
	80,565	EMC Corp.(c)		2,357,332

				2,757,179

		Tobacco – 0.3%
	34,555	Altria Group, Inc.(c)		1,587,457
	11,732	British American Tobacco PLC, Sponsored ADR(c)		1,326,654
	14,375	Philip Morris International, Inc.(c)		1,198,875

				4,112,986

		Trading Companies & Distributors – 0.3%
	47,823	Mitsubishi Corp., Sponsored ADR(c)		1,959,309
	6,777	Mitsui & Co. Ltd., Sponsored ADR(c)		2,137,330

				4,096,639

		Wireless Telecommunication Services – 0.1%
	40,938	Vodafone Group PLC, Sponsored ADR(c)		1,346,451

		Total Common Stocks (Identified Cost $70,184,946)		77,184,516

	Preferred Stocks – 3.8%
	Convertible Preferred Stocks – 2.7%
		Electric – 0.0%
	9,050	NextEra Energy, Inc., 5.889%		542,186

		Energy – 0.2%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A(c)		2,193,234

		Food & Beverage – 0.5%
	128,521	Tyson Foods, Inc., 4.750%		6,464,606

		Metals & Mining – 0.2%
	131,000	ArcelorMittal, 6.000%(c)		2,768,030

		REITs - Diversified – 1.3%
	49,042	Crown Castle International Corp., Series A, 4.500%(c)		5,158,237
	223,896	Weyerhaeuser Co., Series A, 6.375%(c)		12,097,101

				17,255,338


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		REITs - Health Care – 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%	$	457,440

		REITs - Mortgage – 0.3%
	67,436	iStar Financial, Inc., Series J, 4.500%(c)		4,012,442

		Utility Other – 0.2%
	17,432	Dominion Resources, Inc., 6.375%		869,857
	11,055	Dominion Resources, Inc., Series A, 6.125%		619,743
	9,938	Dominion Resources, Inc., Series B, 6.000%		559,013

				2,048,613

		Total Convertible Preferred Stocks (Identified Cost $33,819,097)		35,741,889

	Non-Convertible Preferred Stocks – 1.1%
		Banking – 0.6%
	6,776	Ally Financial, Inc., Series G, 7.000%, 144A(c)		6,782,353
	9,905	SunTrust Banks, Inc., Series E, 5.875%		228,310

				7,010,663

		Cable Satellite – 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(c)		4,201,600

		Property & Casualty Insurance – 0.2%
	102,000	Montpelier Re Holdings Ltd., 8.875%(c)		2,796,840

		Total Non-Convertible Preferred Stocks (Identified Cost $13,436,093)		14,009,103

		Total Preferred Stocks (Identified Cost $47,255,190)		49,750,992

	Exchange Traded Funds – 0.9%
	257,556	iShares^® MSCI Germany ETF		7,134,301
	82,571	WisdomTree Japan Hedged Equity Fund(c)		4,320,115

		Total Exchange Traded Funds (Identified Cost $11,611,608)		11,454,416


Notional Amount/Shares/ Units of Currency(†††)		Description	Value(†)
	Purchased Swaptions – 0.1%
		Interest Rate Swaptions – 0.1%
$	43,725,000	5-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.0725%, Receive 3-month LIBOR (n)(o)	$	501,263
	15,800,000	10-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.7350%, Receive 3-month LIBOR (n)(o)		299,600

		Total Purchased Swaptions (Identified Cost $710,903)		800,863

	Purchased Options – 0.0%
		Options on Securities – 0.0%
	567,800	Citigroup, Inc., Call expiring October 18, 2014 at 55(p)		93,687

		Over-the-Counter Options on Currency – 0.0%
	52,000,000	JPY Put, expiring November 26, 2014 at 111.1000(p)(q)		384,488

		Total Purchased Options (Identified Cost $496,541)		478,175


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 8.4%
	4,036,533	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2014 at 0.000% to be repurchased at $4,036,866 on 10/01/2014 collateralized by $4,114,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $4,117,285 including accrued interest(r)		4,036,533
	96,055,722	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $96,055,722 on 10/01/2014 collateralized by $365,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $360,438; $90,150,000 U.S. Treasury Note, 1.375% due 9/30/2018 valued at $89,699,250; $7,975,000 U.S. Treasury Note, 1.250% due 10/31/2018 valued at $7,925,156 including accrued interest(r)		96,055,722
	9,400,000	U.S. Treasury Bills 0.048%, 2/19/2015(s)(t)		9,399,079

		Total Short-Term Investments (Identified Cost $109,490,506)		109,491,334

		Total Investments – 93.8% (Identified Cost $1,217,143,401)(a)		1,217,516,013
		Other assets less liabilities – 6.2%		80,978,228

		Net Assets – 100.0%	$	1,298,494,241

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

(†)

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

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.

Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

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

Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.

Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.

Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.

Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on prices obtained from broker-dealers.

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

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

(†††)

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

(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 September 30, 2014, the net unrealized depreciation on investments based on a cost of $1,218,114,434 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	$	33,082,921
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(33,681,342	)

Net unrealized depreciation	$	(598,421	)

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

(b)	Variable rate security. Rate as of September 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 or swap agreements.

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

(e)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2014, the value of these securities amounted to $3,646,524 or 0.3% of net assets.

(f)	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 September 30, 2014, the issuer has not paid out any interest payments.

(g)	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.

(h)	Perpetual bond with no specified maturity date.

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

(j)	Position is unsettled. Contract rate was not determined at September 30, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(k)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2014.

(l)	Illiquid security. At September 30, 2014, the value of this security amounted to $2,718,524 or 0.2% of net assets.

(m)

The Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.

(n)

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

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

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

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

(o)	Counterparty is Deutsche Bank AG.

(p)

The Fund 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 or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the 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.

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

(r)

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 September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(t)	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 September 30, 2014, the value of Rule 144A holdings amounted to $282,054,590 or 21.7% of net assets.
ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS		Asset-Backed Securities
EMTN		Euro Medium Term Note
ETF		Exchange Traded Fund
MTN		Medium Term Note
PIK		Payment-in-Kind
REITs		Real Estate Investment Trusts

BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
EUR		Euro
GBP		British Pound
MXN		Mexican Peso
NZD		New Zealand Dollar
USD		U.S. Dollar

Swap Agreements

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

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

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

At September 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	CDX.NA.HY Series 22, 5-Year**		(5.00	%)		9/20/2019	$	3,000,000		$	688,316		$	986,281		$	297,965		$	(3,750	)
Bank of America, N.A.	iTraxx Europe Crossover Series 18, 5-Year		(5.00	%)		12/20/2017		3,797,500	*		60,554			(513,063	)		(573,617	)		(6,056	)
Bank of America, N.A.	Republic of Brazil		(1.00	%)		6/20/2019		24,550,000			866,027			681,894			(184,133	)		(6,138	)
JPMorgan Chase Bank N.A.	General Mills, Inc.		(1.00	%)		12/20/2019		12,500,000			(369,109	)		(356,965	)		12,144			(35,069	)
JPMorgan Chase Bank N.A.	Kellogg Co.		(1.00	%)		12/20/2019		12,300,000			(139,412	)		(121,024	)		18,388			(34,508	)


JPMorgan Chase Bank N.A.	Safeway, Inc.	(1.00	%)	9/20/2019	11,175,000	1,071,050		1,288,496		217,446			(2,794	)

Total							$	1,965,619	$	(211,807	)	$	(88,315	)

At September 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	$	37,224,000	$	(2,223,501	)	$	44,272	$	(5,170	)
CDX.NA.HY** Series 22, 5-Year		(5.00	%)		6/20/2019		3,069,000		(185,173	)		57,839		(431	)

Total								$	(2,408,674	)	$	102,111	$	(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.

Forward Foreign Currency Contracts

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

At September 30, 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		10/07/2014	Australian Dollar		27,000,000	$	23,631,486	$	(1,553,034	)
Sell¹		10/22/2014	Brazilian Real		35,880,000		14,579,624		577,523
Sell²		10/27/2014	British Pound		800,000		1,296,639		14,241
Buy¹		10/02/2014	Canadian Dollar		13,500,000		12,053,823		(64,289	)
Buy³		10/14/2014	Canadian Dollar		1,460,000		1,303,226		(16,681	)
Sell¹		10/02/2014	Canadian Dollar		13,500,000		12,053,823		373,020
Sell³		10/14/2014	Canadian Dollar		1,460,000		1,303,226		21,153
Buy¹		10/06/2014	Colombian Peso		23,600,000,000		11,650,689		10,738
Sell¹		10/06/2014	Colombian Peso		23,600,000,000		11,650,688		593,786
Sell⁴		10/14/2014	Colombian Peso		18,400,000,000		9,077,884		263,166
Sell⁴		10/14/2014	Euro		825,000		1,042,097		23,240
Sell¹		10/20/2014	Euro		9,845,000		12,436,172		311,499
Sell¹		10/29/2014	Euro		17,665,000		22,315,662		206,330
Sell²		10/29/2014	Euro		3,025,000		3,821,391		35,272
Sell¹		10/31/2014	Euro		3,350,000		4,232,008		21,835
Sell¹		10/14/2014	Japanese Yen		841,200,000		7,670,552		218,114
Sell¹		10/31/2014	Mexican Peso		870,300,000		64,669,357		(41,840	)
Sell¹		10/07/2014	New Zealand Dollar		29,700,000		23,173,762		1,465,061
Sell⁵		10/15/2014	New Zealand Dollar		8,860,000		6,907,615		316,387
Buy⁴		10/15/2014	Norwegian Krone		154,200,000		23,990,057		(191,350	)
Buy¹		10/14/2014	South African Rand		134,000,000		11,853,215		(12,228	)
Sell¹		10/14/2014	South African Rand		134,000,000		11,853,215		357,939
Buy⁴		10/27/2014	Swedish Krona		87,000,000		12,055,327		43,207
Sell⁴		10/27/2014	Swedish Krona		87,000,000		12,055,327		152,698


Sell¹	12/11/2014	Swiss Franc	2,156,000	2,259,762		51,450
Sell¹	10/08/2014	Turkish Lira	27,000,000	11,838,850		613,072
Sell⁴	10/08/2014	Turkish Lira	14,600,000	6,401,748		200,106

Total					$	3,990,415

¹	Counterparty is Credit Suisse International.

²	Counterparty is Deutsche Bank AG.

³	Counterparty is Barclays Bank PLC.

⁴	Counterparty is Bank of America, N.A.

⁵	Counterparty is Citibank, N.A.

Futures Contracts

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

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/19/2014		1,042	$	102,402,550	$	575,799
5 Year U.S. Treasury Note		12/31/2014		428		50,614,344		132,967
10 Year U.S. Treasury Note		12/19/2014		1,052		131,121,937		829,610
30 Year U.S. Treasury Bond		12/19/2014		184		25,374,750		218,413

Total							$	1,756,789

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	165,235,082	$	928,000	(a)	$	166,163,082
ABS Other		—		8,981,509		13,878,975	(b)		22,860,484
Non-Agency Commercial Mortgage-Backed Securities		—		44,241,469		2,255,710	(b)		46,497,179
All Other Non-Convertible Bonds*		—		483,458,774		—			483,458,774

Total Non-Convertible Bonds		—		701,916,834		17,062,685			718,979,519

Convertible Bonds*		—		50,471,601		—			50,471,601

Total Bonds and Notes		—		752,388,435		17,062,685			769,451,120

Loan Participations*		—		—		2,718,524	(b)		2,718,524
Senior Loans*		—		196,186,073		—			196,186,073
Common Stocks*		77,184,516		—		—			77,184,516
Preferred Stocks
Convertible Preferred Stocks
Energy		—		2,193,234		—			2,193,234
Food & Beverage		—		6,464,606		—			6,464,606
REITs - Mortgage		—		4,012,442		—			4,012,442
All Other Convertible Preferred Stocks*		23,071,607		—		—			23,071,607

Total Convertible Preferred Stocks		23,071,607		12,670,282		—			35,741,889

Non-Convertible Preferred Stocks
Cable Satellite		—		4,201,600		—			4,201,600
All Other Non-Convertible Preferred Stocks*		9,807,503		—		—			9,807,503

Total Non-Convertible Preferred Stocks		9,807,503		4,201,600		—			14,009,103

Total Preferred Stocks		32,879,110		16,871,882		—			49,750,992

Exchange Traded Funds*		11,454,416		—		—			11,454,416
Purchased Swaptions*		—		800,863		—			800,863
Purchased Options*		93,687		384,488		—			478,175
Short-Term Investments		—		109,491,334		—			109,491,334

Total Investments		121,611,729		1,076,123,075		19,781,209			1,217,516,013

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		545,943		—			545,943
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		102,111		—		—			102,111
Forward Foreign Currency Contracts (unrealized appreciation)		—		5,869,837		—			5,869,837
Futures Contracts (unrealized appreciation)		1,756,789		—		—			1,756,789

Total	$	123,470,629	$	1,082,538,855	$	19,781,209		$	1,225,790,693

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Bilateral Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(757,750	)	$	—	$	(757,750	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(1,879,422	)		—		(1,879,422	)

Total	$	—	$	(2,637,172	)	$	—	$	(2,637,172	)

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

(a)	Fair valued by the Fund’s adviser.

(b)	Valued using broker-dealer bid prices.

A preferred stock valued at $2,290,849 was transferred from Level 1 to Level 2 during the period ended September 30, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At September 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 September 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 September 30, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or September 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		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	—	$	(3,176	)	$	(11,187	)	$	566,931	$	(496,829	)	$	872,261	$	—	$	928,000	$	(11,187	)
ABS Other		1,703,269		—		2,783			(52,297	)		12,628,062		(402,842	)		—		—		13,878,975		(38,108	)
Airlines		6,428,650		—		155,058			(63,650	)		—		(6,520,058	)		—		—		—		—
Non-Agency Commercial Mortgage-Backed Securities		2,300,373		—		(485	)		(5,330	)		—		(38,848	)		—		—		2,255,710		(5,353	)
Loan Participations		—		—		(763	)		10,081			2,810,925		(101,719	)		—		—		2,718,524		10,081

Total	$	10,432,292	$	—	$	153,417		$	(122,383	)	$	16,005,918	$	(7,560,296	)	$	872,261	$	—	$	19,781,209	$	(44,567	)

Debt securities valued at $872,261 were transferred from Level 2 to Level 3 during the period ended September 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 September 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.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap

agreements. During the period ended September 30, 2014, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 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 option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 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 period ended September 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 period ended September 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 September 30, 2014:


Assets	Investments at value¹		Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts		Swap Agreements at value			Total
Over-the-counter asset derivatives
Interest rate contracts	$	800,863	$	—		$	—	$	—		$	800,863
Foreign exchange contracts		384,488		5,869,837			—		—			6,254,325
Credit contracts		—		—			—		2,956,671			2,956,571

Total over-the-counter asset derivatives	$	1,185,351	$	5,869,837		$	—	$	2,956,671		$	10,011,759

Exchange traded/centrally cleared asset derivatives
Equity contracts	$	93,687	$	—		$	575,799	$	—		$	669,486
Interest rate contracts		—		—			1,180,990		—			1,180,990

Total exchange traded/centrally cleared asset derivatives	$	93,687	$	—		$	1,756,789	$	—		$	1,274,677

Total asset derivatives	$	1,279,038	$	5,869,837		$	1,756,789	$	2,956,671		$	11,862,235


Liabilities	Swaptions written at value		Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts		Swap Agreements at value			Total
Over-the-counter liability derivatives
Interest rate contracts	$	—	$	—		$	—	$	—		$	—
Foreign exchange contracts		—		(1,879,422	)		—		—			(1,879,422	)
Credit contracts		—		—			—		(991,052	)		(991,052	)

Total over-the-counter liability derivatives	$	—	$	(1,879,422	)	$	—	$	(991,052	)	$	(2,870,474	)

Exchange traded/centrally cleared liability derivatives
Interest rate contracts	$	—	$	—		$	—	$	—		$	—
Credit contracts		—		—			—		(2,408,674	)		(2,408,674	)

Total exchange traded/centrally cleared liability derivatives	$	—	$	—		$	—	$	—		$	—

Total liability derivatives	$	—	$	(1,879,422	)	$	—	$	(3,399,726	)	$	(5,279,148	)

¹	Represents purchased options/swaptions, at value.

Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions and swap agreements are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default

or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

21,016,241

11,615,748

These amounts include cash received as collateral of $9,130,000.

Industry Summary at September 30, 2014 (Unaudited)


ABS Home Equity	12.8	%
Banking	4.9
Treasuries	4.5
Automotive	4.5
Technology	4.2
Pharmaceuticals	3.9
Non-Agency Commercial Mortgage-Backed Securities	3.6
ABS Credit Card	3.4
Finance Companies	3.3
Chemicals	2.2
ABS Other	2.0
Other Investments, less than 2% each	36.1
Short-Term Investments	8.4

Total Investments	93.8
Other assets less liabilities (including open swap agreements, forward foreign currency contracts and futures contracts)	6.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 89.3% of Net Assets
	Municipals – 89.3%
		California – 4.9%
	$250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024	$	299,842
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		459,409
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		793,898

				1,553,149

		Colorado – 7.5%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(b)		301,200
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028(b)		450,420
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		476,000
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		618,030
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		526,837

				2,372,487

		Connecticut – 2.7%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		447,240
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		398,183

				845,423

		Florida – 11.9%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		565,145
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		258,042
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		459,608
	500,000	JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016		544,805
	250,000	Miami Beach Health Facilities Authority Revenue, Mt. Sinai Medical Center, Refunding, 5.000%, 11/15/2025		285,370
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		477,768
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022(c)		724,008


Principal Amount		Description	Value (†)
	Municipals – continued
		Florida – continued
	$400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023	$	483,684

				3,798,430

		Georgia – 2.8%
	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021		589,880
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		290,850

				880,730

		Hawaii – 1.4%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		433,780

		Illinois – 4.5%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028(b)		406,785
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		116,436
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		577,480
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		331,469

				1,432,170

		Kentucky – 1.0%
	275,000	Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037		323,488
		Massachusetts – 0.5%
	150,000	Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018		165,042
		Michigan – 1.8%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		573,269

		Minnesota – 2.6%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		274,898
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		327,234
	200,000	Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023		232,824

				834,956

		Missouri – 1.7%
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		530,980


Principal Amount		Description	Value (†)
	Municipals – continued
		Nebraska – 1.8%
	$500,000	Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028	$	576,970

		Nevada – 1.9%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		595,000

		New Jersey – 7.8%
	400,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030		408,140
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		309,483
	580,000	New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM insured), 5.000%, 6/15/2019		599,755
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		574,360
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		602,380

				2,494,118

		New York – 1.2%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		386,047
		North Carolina – 1.7%
	450,000	City of Raleigh, Limited Obligation, Revenue, Series A, 5.000%, 10/01/2024		553,869
		Ohio – 7.0%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		454,872
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023(b)		612,205
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		582,590
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		561,880

				2,211,547

		Pennsylvania – 3.7%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		390,422
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		301,521
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		483,593

				1,175,536

		Rhode Island – 1.9%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		610,030


Principal Amount		Description	Value (†)
	Municipals – continued
		South Dakota – 1.6%
	$465,000	Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036(b)	$	491,012

		Texas – 10.7%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		292,505
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		424,652
	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		624,970
	500,000	Keller Independent School District, GO, Refunding, Series A, (PSF-GTD), 5.000%, 8/15/2022(c)		605,835
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		420,651
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024(b)		477,612
	500,000	West Harris County Regional Water Authority, Water System Revenue, Refunding, (AGM insured), 4.000%, 12/15/2019		562,565

				3,408,790

		Utah – 0.9%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		288,785
		Washington – 5.8%
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		553,670
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		457,924
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		590,670
	250,000	Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014		251,605

				1,853,869

		Total Bonds and Notes (Identified Cost $27,847,331)		28,389,477

	Short-Term Investments – 14.0%
	4,464,687	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $4,464,687 on 10/01/2014 collateralized by $4,175,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $4,555,969 including accrued interest(d) (Identified Cost $4,464,687)		4,464,687

		Total Investments – 103.3% (Identified Cost $32,312,018)(a)		32,854,164
		Other assets less liabilities – (3.3)%		(1,046,408	)

		Net Assets – 100.0%	$	31,807,756

(†)

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:

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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 September 30, 2014, the net unrealized appreciation on investments based on a cost of $32,312,018 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	$	576,499
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(34,353	)

Net unrealized appreciation	$	542,146

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

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

(c)

Delayed delivery. The Fund may purchase securities for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Fund’s commitment. No interest accrues to the Fund until the transaction settles. Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

(d)

AGM

AMT

NATL-RE

PSF-GTD

Assured Guaranty Municipal Corporation

Alternative Minimum Tax

General Obligation

National Public Finance Guarantee Corporation

Permanent School Fund Guarantee Program

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	28,389,477	$	—	$	28,389,477
Short-Term Investments		—		4,464,687		—		4,464,687

Total	$	—	$	32,854,164	$	—	$	32,854,164

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Holdings Summary at September 30, 2014 (Unaudited)


Medical	14.4	%
Higher Education	13.4
General	13.3
General Obligation	11.2
Water	10.2
School District	7.8
Transportation	7.6
Power	5.1
Utilities	2.6
Airport	2.4
Education	1.3
Short-Term Investments	14.0

Total Investments	103.3
Other assets less liabilities	(3.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks – 93.5% of Net Assets
		Air Freight & Logistics – 2.1%
	33,000	FedEx Corp.	$	5,327,850

		Automobiles – 1.9%
	123,300	General Motors Co.		3,938,202
	17,800	Harley-Davidson, Inc.		1,035,960

				4,974,162

		Banks – 9.2%
	502,300	Bank of America Corp.		8,564,215
	106,900	Citigroup, Inc.		5,539,558
	90,500	JPMorgan Chase & Co.		5,451,720
	81,700	Wells Fargo & Co.		4,237,779

				23,793,272

		Beverages – 1.5%
	33,100	Diageo PLC, Sponsored ADR		3,819,740

		Capital Markets – 8.2%
	100,400	Bank of New York Mellon Corp. (The)		3,888,492
	85,500	Franklin Resources, Inc.		4,669,155
	27,200	Goldman Sachs Group, Inc. (The)		4,993,104
	67,400	State Street Corp.		4,961,314
	33,300	T. Rowe Price Group, Inc.		2,610,720

				21,122,785

		Chemicals – 1.5%
	34,400	Monsanto Co.		3,870,344

		Communications Equipment – 2.0%
	67,300	QUALCOMM, Inc.		5,032,021

		Consumer Finance – 2.0%
	64,800	Capital One Financial Corp.		5,288,976

		Electronic Equipment, Instruments & Components – 1.6%
	74,700	TE Connectivity Ltd.		4,130,163

		Energy Equipment & Services – 3.2%
	61,900	Halliburton Co.		3,993,169
	55,600	National Oilwell Varco, Inc.		4,231,160

				8,224,329

		Food & Staples Retailing – 1.4%
	48,400	Wal-Mart Stores, Inc.		3,701,148

		Food Products – 4.7%
	91,900	General Mills, Inc.		4,636,355
	52,500	Nestle S.A., Sponsored ADR		3,865,575
	83,800	Unilever PLC, Sponsored ADR		3,511,220

				12,013,150


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – 2.5%
	25,100	Baxter International, Inc.	$	1,801,427
	73,200	Medtronic, Inc.		4,534,740

				6,336,167

		Health Care Providers & Services – 1.9%
	56,500	UnitedHealth Group, Inc.		4,873,125

		Hotels, Restaurants & Leisure – 1.1%
	47,500	Las Vegas Sands Corp.		2,954,975

		Household Durables – 0.7%
	12,000	Whirlpool Corp.		1,747,800

		Insurance – 7.0%
	72,500	Aflac, Inc.		4,223,125
	108,700	American International Group, Inc.		5,871,974
	47,400	Aon PLC		4,155,558
	71,900	Principal Financial Group, Inc.		3,772,593

				18,023,250

		Internet & Catalog Retail – 3.7%
	16,830	Amazon.com, Inc.(b)		5,426,665
	143,700	Liberty Interactive Corp., Class A(b)		4,098,324

				9,524,989

		Internet Software & Services – 2.3%
	8,490	Google, Inc., Class A(b)		4,995,601
	1,410	Google, Inc., Class C(b)		814,077

				5,809,678

		IT Services – 7.1%
	33,200	Accenture PLC, Class A		2,699,824
	63,400	Automatic Data Processing, Inc.		5,267,272
	73,600	MasterCard, Inc., Class A		5,440,512
	22,680	Visa, Inc., Class A		4,839,232

				18,246,840

		Machinery – 2.9%
	48,700	Illinois Tool Works, Inc.		4,111,254
	30,500	Parker Hannifin Corp.		3,481,575

				7,592,829

		Media – 3.8%
	61,000	Comcast Corp., Special Class A		3,263,500
	157,700	News Corp., Class A(b)		2,578,395
	58,000	Omnicom Group, Inc.		3,993,880

				9,835,775

		Metals & Mining – 1.1%
	488,000	Glencore PLC		2,715,128

		Multiline Retail – 1.7%
	72,600	Kohl’s Corp.		4,430,778


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 2.9%
	61,400	Apache Corp.	$	5,763,618
	62,400	Cenovus Energy, Inc.		1,677,312

				7,440,930

		Pharmaceuticals – 1.9%
	88,300	Sanofi, ADR		4,982,769

		Road & Rail – 1.2%
	27,800	Union Pacific Corp.		3,014,076

		Semiconductors & Semiconductor Equipment – 4.7%
	111,300	Applied Materials, Inc.		2,405,193
	163,100	Intel Corp.		5,679,142
	86,900	Texas Instruments, Inc.		4,144,261

				12,228,596

		Software – 3.9%
	94,900	Microsoft Corp.		4,399,564
	145,500	Oracle Corp.		5,569,740

				9,969,304

		Specialty Retail – 2.0%
	57,600	Home Depot, Inc. (The)		5,284,224

		Technology Hardware, Storage & Peripherals – 1.8%
	44,950	Apple, Inc.		4,528,713

		Total Common Stocks (Identified Cost $208,827,752)		240,837,886


Principal Amount
	Short-Term Investments – 7.5%
	$19,379,256	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $19,379,256 on 10/01/2014 collateralized by $19,695,000 U.S Treasury Note, 1.625% due 4/30/2019 valued at $19,768,856 including accrued interest(c) (Identified Cost $19,379,256)		19,379,256

		Total Investments – 101.0% (Identified Cost $228,207,008)(a)		260,217,142
		Other assets less liabilities – (1.0)%		(2,586,996	)

		Net Assets – 100.0%	$	257,630,146

(†)

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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 September 30, 2014, the net unrealized appreciation on investments based on a cost of $228,207,008 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	33,923,019
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,912,885	)

Net unrealized appreciation	$	32,010,134

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

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

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

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

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	240,837,886	$	—	$	—	$	240,837,886
Short-Term Investments		—		19,379,256		—		19,379,256

Total	$	240,837,886	$	19,379,256	$	—	$	260,217,142

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2014 (Unaudited)


Banks	9.2	%
Capital Markets	8.2
IT Services	7.1
Insurance	7.0
Semiconductors & Semiconductor Equipment	4.7
Food Products	4.7
Software	3.9
Media	3.8
Internet & Catalog Retail	3.7
Energy Equipment & Services	3.2
Machinery	2.9
Oil, Gas & Consumable Fuels	2.9
Health Care Equipment & Supplies	2.5
Internet Software & Services	2.3
Air Freight & Logistics	2.1
Consumer Finance	2.0
Specialty Retail	2.0
Communications Equipment	2.0
Other Investments, less than 2% each	19.3
Short-Term Investments	7.5

Total Investments	101.0
Other assets less liabilities	(1.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Seeyond^SMMulti-Asset Allocation Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 8.9% of Net Assets
		France – 2.7%
	900,000	France Government Bond OAT, 3.500%, 4/25/2020, (EUR)(b)	$	1,330,365

		Germany – 2.9%
	400,000	Bundesrepublik Deutschland, 1.500%, 2/15/2023, (EUR)(b)		538,226
	600,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b)		880,076

				1,418,302

		Spain – 2.6%
	850,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b)		1,291,457

		United Kingdom – 0.7%
	200,000	United Kingdom Gilt, 2.250%, 9/07/2023, (GBP)		322,606

		Total Bonds and Notes (Identified Cost $4,518,058)		4,362,730


Shares
	Exchange Traded Funds – 9.5%
	10,000	iShares^® MSCI China ETF(b)(c)		473,800
	38,610	iShares^® MSCI Emerging Markets ETF(b)(c)		1,604,632
	5,900	iShares^® MSCI India ETF(b)(c)		179,124
	2,425	iShares^® MSCI Indonesia ETF(b)(c)		66,008
	6,350	iShares^® MSCI Malaysia ETF(b)(c)		97,790
	800	iShares^® MSCI Philippines ETF(b)(c)		30,448
	6,025	iShares^® MSCI South Korea Capped ETF(b)(c)		364,573
	45,000	iShares^® MSCI Switzerland Capped ETF(b)(c)		1,462,950
	19,530	iShares^® MSCI Taiwan ETF(b)(c)		298,223
	700	iShares^® MSCI Thailand Capped ETF(b)(c)		58,681

		Total Exchange Traded Funds (Identified Cost $4,882,902)		4,636,229


Principal Amount (‡)
	Short-Term Investments – 54.7%
	$26,846,396	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $26,846,396 on 10/01/2014 collateralized by $25,095,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $27,384,919 including accrued interest(d) (Identified Cost $26,846,396)		26,846,396


Description	Value (†)
Total Investments – 73.1% (Identified Cost $36,247,356)(a)	$	35,845,355
Other assets less liabilities – 26.9%		13,190,262

Net Assets – 100.0%	$	49,035,617

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

(†)

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.

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.

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

(a)	Federal Tax Information:

At September 30, 2014, the net unrealized depreciation on investments based on a cost of $36,256,490 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	—
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(411,135	)

Net unrealized depreciation	$	(411,135	)

(b)	All of this security has been designated to cover the Fund’s obligations under open futures contracts.

(c)	iShares^® is a registered trademark of BlackRock Institutional Trust Company, N.A. Neither BlackRock Institutional Trust Company, N.A. nor the iShares^® Funds make any representations regarding the advisability of investing in the Seeyond^SM Multi-Asset Allocation Fund.

(d)

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, the value of Rule 144A holdings amounted to $1,291,457 or 2.6% of net assets.

ETF	Exchange Traded Fund

EUR

Euro

GBP	British Pound

Futures Contracts

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

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

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200™		12/18/2014		8	$	925,106	$	(22,698	)
E-mini NASDAQ 100		12/19/2014		19		1,537,005		7,286
E-mini S&P 500^®		12/19/2014		149		14,642,975		(95,998	)
EURO STOXX 50^®		12/19/2014		44		1,791,157		(2,295	)
Euro-BTP		12/08/2014		16		2,636,845		30,487
FTSE 100 Index		12/19/2014		21		2,248,787		(63,027	)
FTSE MIB		12/19/2014		13		1,713,473		(4,027	)
German Euro Bund		12/08/2014		9		1,701,708		8,282
IBEX 35		10/17/2014		7		960,047		(544	)
Nikkei 225™		12/11/2014		40		3,245,000		64,736
S&P/TSX 60 Index		12/18/2014		7		1,076,548		(36,818	)
UK Long Gilt		12/29/2014		2		366,834		1,423
Ultra Long U.S. Treasury Bond		12/19/2014		3		457,500		(4,787	)
10 Year Japan Government Bond		12/11/2014		4		5,318,988		1,094

Total							$	(116,886	)

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


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volatility Index		10/21/2014		40	$	652,000	$	(46,606	)
CBOE SPX Volatility Index		11/18/2014		24		399,600		(24,079	)
Swiss Franc		12/15/2014		3		392,963		8,147

Total							$	(62,538	)

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	4,362,730	$	—	$	4,362,730
Exchange Traded Funds*		4,636,229		—		—		4,636,229
Short-Term Investments		—		26,846,396		—		26,846,396

Total Investments		4,636,229		31,209,126		—		35,845,355

Futures Contracts (unrealized appreciation)		121,455		—		—		121,455

Total	$	4,757,684	$	31,209,126	$	—	$	35,966,810

Liability Valuation Inputs



Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(300,879	)	$	—	$	—	$	(300,879	)

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to gain exposure to a combination of four asset classes: equity, fixed income, currency and volatility. The Fund pursues its objective by utilizing a variety of listed and other liquid derivative instruments. The Fund’s equity exposure typically will be obtained through investments in broad, equity index listed futures, options and exchange-traded funds (“ETFs”). The Fund’s fixed income exposure may consist of, but is not limited to, U.S. and non-U.S. government bonds, listed bond futures and fixed income ETFs. The Fund’s currency exposure typically will be obtained through investments in non-dollar denominated investments, futures and forward foreign currency contracts. The Fund’s exposure to volatility assets will result from both “long” and “short” positions in index futures and options, such as futures contracts based on the Chicago Board Options Exchange Volatility Index (the “VIX”), listed equity index options and equity index futures. During the period ended September 30, 2014, the Fund used futures and options contracts to gain investment exposure in accordance with its objective.

The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

The following is a summary of derivative instruments for the Fund, as of September 30, 2014:


Assets	Unrealized appreciation on futures contracts
Exchange traded/cleared asset derivatives
Interest rate contracts	$	41,286
Foreign Exchange contracts		8,147
Equity contracts		72,022

Total asset derivatives	$	121,455


Liabilities	Unrealized depreciation on futures contracts
Exchange traded/cleared liability derivatives
Interest rate contracts	$	(4,787	)
Equity contracts		(296,092	)

Total liability derivatives	$	(300,879	)


		Maximum Amount of Loss - Gross
		$2,302,457

Industry Summary at September 30, 2014 (Unaudited)


Exchange Traded Funds	9.5	%
Sovereign	8.9
Short-Term Investments	54.7

Total Investments	73.1
Other assets less liabilities (including open futures contracts)	26.9

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 95.5% of Net Assets
		Auto Components – 2.5%
	151,025	Delphi Automotive PLC	$	9,263,873
	170,425	Tenneco, Inc.(b)		8,914,932

				18,178,805

		Banks – 6.0%
	254,100	CIT Group, Inc.		11,678,436
	1,105,250	Investors Bancorp, Inc.		11,196,183
	307,150	PacWest Bancorp		12,663,794
	880,650	Regions Financial Corp.		8,841,726

				44,380,139

		Capital Markets – 3.2%
	269,400	LPL Financial Holdings, Inc.		12,405,870
	303,075	SEI Investments Co.		10,959,192

				23,365,062

		Chemicals – 1.3%
	168,375	FMC Corp.		9,629,366

		Commercial Services & Supplies – 0.8%
	202,050	KAR Auction Services, Inc.		5,784,692

		Communications Equipment – 2.0%
	626,550	CommScope Holding Co., Inc.(b)		14,980,810

		Construction & Engineering – 1.0%
	214,300	Quanta Services, Inc.(b)		7,776,947

		Consumer Finance – 1.7%
	241,850	Portfolio Recovery Associates, Inc.(b)		12,631,826

		Containers & Packaging – 2.8%
	256,125	Crown Holdings, Inc.(b)		11,402,685
	142,850	Packaging Corp. of America		9,116,687

				20,519,372

		Diversified Consumer Services – 1.2%
	362,050	ServiceMaster Global Holdings, Inc.(b)		8,761,610

		Diversified Financial Services – 1.8%
	313,275	NASDAQ OMX Group, Inc. (The)		13,289,126

		Energy Equipment & Services – 2.6%
	212,250	Atwood Oceanics, Inc.(b)		9,273,203
	307,150	Superior Energy Services, Inc.		10,096,020

				19,369,223

		Health Care Equipment & Supplies – 1.5%
	291,850	Alere, Inc.(b)		11,317,943

		Health Care Providers & Services – 6.0%
	268,700	Amsurg Corp.(b)		13,448,435


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Providers & Services – continued
	214,300	Community Health Systems, Inc.(b)	$	11,741,497
	269,400	HCA Holdings, Inc.(b)		18,998,088

				44,188,020

		Household Durables – 3.8%
	65,300	Harman International Industries, Inc.		6,402,012
	224,500	Jarden Corp.(b)		13,494,695
	220,425	Lennar Corp., Class A		8,559,103

				28,455,810

		Household Products – 1.4%
	117,350	Spectrum Brands Holdings, Inc.		10,623,696

		Insurance – 2.9%
	399,000	First American Financial Corp.		10,820,880
	130,625	Reinsurance Group of America, Inc., Class A		10,466,981

				21,287,861

		Internet & Catalog Retail – 1.6%
	197,975	HSN, Inc.		12,149,726

		IT Services – 8.9%
	180,625	Broadridge Financial Solutions, Inc.		7,519,419
	176,525	CACI International, Inc., Class A(b)		12,580,937
	197,975	Fiserv, Inc.(b)		12,796,114
	148,975	Global Payments, Inc.		10,410,373
	674,725	Sabre Corp.		12,087,698
	344,900	Total System Services, Inc.		10,678,104

				66,072,645

		Machinery – 5.3%
	90,825	Flowserve Corp.		6,404,979
	176,525	Pentair PLC		11,560,622
	63,275	Snap-on, Inc.		7,661,337
	151,100	WABCO Holdings, Inc.(b)		13,742,545

				39,369,483

		Metals & Mining – 3.9%
	193,875	Carpenter Technology Corp.		8,753,456
	468,375	Constellium NV, Class A(b)		11,526,709
	130,625	Reliance Steel & Aluminum Co.		8,934,750

				29,214,915

		Oil, Gas & Consumable Fuels – 4.1%
	186,750	Gulfport Energy Corp.(b)		9,972,450
	140,825	Noble Energy, Inc.		9,626,797
	135,525	Whiting Petroleum Corp.(b)		10,509,964

				30,109,211

		Pharmaceuticals – 4.8%
	388,175	Catalent, Inc.(b)		9,716,020
	147,050	Mallinckrodt PLC(b)		13,256,558
	94,986	Valeant Pharmaceuticals International, Inc.(b)		12,462,163

				35,434,741


Shares		Description	Value (†)
	Common Stocks – continued
		Professional Services – 1.2%
	357,150	TriNet Group, Inc.(b)	$	9,196,613

		Road & Rail – 2.7%
	216,325	Con-way, Inc.		10,275,437
	386,750	Hertz Global Holdings, Inc.(b)		9,819,583

				20,095,020

		Semiconductors & Semiconductor Equipment – 5.1%
	128,650	Avago Technologies Ltd.		11,192,550
	380,625	Micron Technology, Inc.(b)		13,040,213
	231,650	Skyworks Solutions, Inc.		13,447,282

				37,680,045

		Software – 2.2%
	138,775	Check Point Software Technologies Ltd.(b)		9,608,781
	454,100	Nuance Communications, Inc.(b)		6,999,951

				16,608,732

		Specialty Retail – 6.2%
	190,825	Cabela’s, Inc.(b)		11,239,592
	315,325	GNC Holdings, Inc., Class A		12,215,690
	179,475	Men’s Wearhouse, Inc. (The)		8,474,810
	124,500	Signet Jewelers Ltd.		14,181,795

				46,111,887

		Technology Hardware, Storage & Peripherals – 2.4%
	521,450	NCR Corp.(b)		17,421,644

		Textiles, Apparel & Luxury Goods – 1.9%
	115,300	PVH Corp.		13,968,595

		Trading Companies & Distributors – 2.7%
	388,800	HD Supply Holdings, Inc.(b)		10,598,688
	81,625	United Rentals, Inc.(b)		9,068,537

				19,667,225

		Total Common Stocks (Identified Cost $638,151,685)		707,640,790

	Closed-End Investment Companies – 1.7%
	778,700	Ares Capital Corp. (Identified Cost $13,136,956)		12,583,792

Principal Amount

	Short-Term Investments – 3.0%
	$22,444,259	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $22,444,259 on 10/01/2014 collateralized by $20,980,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $22,894,425 including accrued interest(c) (Identified Cost $22,444,259)		22,444,259


Description	Value (†)
Total Investments – 100.2% (Identified Cost $673,732,900)(a)	$	742,668,841
Other assets less liabilities – (0.2)%		(1,511,184	)

Net Assets – 100.0%	$	741,157,657

(†)

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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 September 30, 2014, the net unrealized appreciation on investments based on a cost of $673,732,900 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	$	86,390,317
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(17,454,376	)

Net unrealized appreciation	$	68,935,941

(b)	Non-income producing security.

(c)

Fair Value Measurements

•

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

•

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

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

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	707,640,790	$	—	$	—	$	707,640,790
Closed-End Investment Companies		12,583,792		—		—		12,583,792
Short-Term Investments		—		22,444,259		—		22,444,259

Total	$	720,224,582	$	22,444,259	$	—	$	742,668,841

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2014 (Unaudited)


IT Services	8.9	%
Specialty Retail	6.2
Banks	6.0
Health Care Providers & Services	6.0
Machinery	5.3
Semiconductors & Semiconductor Equipment	5.1
Pharmaceuticals	4.8
Oil, Gas & Consumable Fuels	4.1
Metals & Mining	3.9
Household Durables	3.8
Capital Markets	3.2
Insurance	2.9
Containers & Packaging	2.8
Road & Rail	2.7
Trading Companies & Distributors	2.7
Energy Equipment & Services	2.6
Auto Components	2.5
Technology Hardware, Storage & Peripherals	2.4
Software	2.2
Communications Equipment	2.0
Other Investments, less than 2% each	17.1
Short-Term Investments	3.0

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS

(a)(1)

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

(a)(2)

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

SIGNATURES

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


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		November 21, 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:		November 21, 2014

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 21, 2014