N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

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

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2014

Item 1. Reports to Stockholders.

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

ANNUAL REPORT

December 31, 2014

CGM Advisor Targeted Equity Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund

Vaughan Nelson Value Opportunity Fund

TABLE OF CONTENTS

Portfolio Review  page  1

Portfolio of Investments  page 24

Financial Statements  page  43

Notes to Financial Statements  page 72

CGM ADVISOR TARGETED EQUITY FUND

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

Objective

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

Market Conditions

At the start of 2014, cold weather gripped most of the country, slowing retail and auto sales, and putting a damper on hiring. As the winter drew to a close, however, both the weather and the economy began to warm up. The economy gained momentum in the latter half of the year, growing by a 5% annual rate in the third quarter, recording the strongest growth in more than a decade according to the U.S. Commerce Department. Meanwhile, as labor market conditions improved based on solid job gains and a lower unemployment rate, consumer spending took off and the stock market continued to rise to new heights. While a major decline in oil prices late in the period raised questions about energy-related employment in the United States, falling gasoline and heating oil prices provided a significant boost to the domestic economy by increasing disposable consumer income, and therefore, consumer spending.

In contrast, foreign economic activity proved generally disappointing during the period. Chinese economic growth, in particular, slowed appreciably, due primarily to speculative investment in residential real estate development, which created overcapacity and negatively impacted construction activity. Elsewhere, Russia slipped into recession as a result of declining oil prices and sanctions. European economic activity, for the most part, was mixed, while developing countries were hard hit by weakening commodity prices.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of CGM Advisor Targeted Equity Fund returned 8.27% at net asset value. The Fund underperformed its benchmark, the S&P 500^® Index, which returned 13.69% for the year.

Explanation of Fund Performance

In anticipation of significant U.S. economic growth, the Fund remained fully invested throughout 2014. The U.S. economy did not disappoint, as growth remained brisk throughout the period, showing signs of even greater expansion at year-end. We believed the Fund was positioned to benefit from an improving business climate, yet lagged its benchmark because of a major concentration in underperforming homebuilding stocks, as well as disappointments in several individual securities.

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During the period, the homebuilding industry uncharacteristically lagged the economic recovery. Mortgage companies became increasingly conservative in their lending decisions based on past experience with the housing collapse as well as stricter U.S. government-mandated lending requirements. Despite strong corporate earnings growth, our homebuilding stocks underperformed broad market indices.

Individual detractors to fund performance included Itau Unibanco, Ford Motor Company, and Tenet Healthcare. Shares of Itau Unibanco, the leading bank in Latin America as well as one of the world’s largest, fell as the Brazilian Stock Market weakened. Brazilian equities tumbled as declining commodity prices had a negative impact on the Brazilian economy and currency. We continue to own this stock. Automobile giant Ford Motor Company was adversely affected when management announced that the introduction costs for the all new aluminum F-150 pick-up truck would run higher than anticipated. We continue to own Ford. Tenet Healthcare Corporation, one of the country’s leading and most comprehensive health care services companies, suffered a drop in stock price when the firm revealed that the company’s financial benefits from the Affordable Care Act were below investor expectations. We sold the issue at a loss.

The Fund realized a major gain in Atlanta-based Delta Airlines, as the industry benefited from consolidation and strong business travel. Gilead Sciences, a leading American biotechnology company, also appreciated significantly as sales of its new Hepatitis C drug, Sovaldi, exceeded expectations. Both Delta and Gilead Sciences were sold.

Meanwhile, shares of Micron Technology, one of the world’s top five semiconductor producers, rose substantially as healthy earnings reflected the benefits of industry consolidation and better-than-expected demand for DRAM chips. DRAM, or dynamic random-access memory, is the main memory used in desktops, laptops and workstation computers as well as some video game consoles. We continue to hold this issue.

Outlook

We are optimistic about the outlook for the U.S. economy in 2015, as it continues to gain strength and momentum. While the forecast for many foreign economies remains questionable, the future of the U.S. economy should continue to benefit from rising consumer confidence and spending, sharply lower energy prices, and re-liquefied consumer balance sheets. Although the Federal Reserve (Fed) concluded its quantitative easing program in October 2014, it has shown no sign of pulling back from its pledge of patience regarding interest rate hikes. Based on these factors, the U.S. economy should continue to expand as utilization of manufacturing capacity increases and corporations are motivated to make capital expenditures to provide for additional demand. With expectations for a favorable economic environment ahead, CGM Advisor Targeted Equity Fund will continue to focus on individual stocks with the potential to grow earnings at a faster rate than that of the overall U.S. economy.

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CGM ADVISOR TARGETED EQUITY FUND

Growth of $10,000 Investment in Class A Shares

December 31, 2004 through December 31, 2014

Average Annual Total Returns — December 31, 2014

	1 Year			5 Years			10 Years
Class A (Inception 11/27/68)
NAV		8.27	%		9.84	%		7.37	%
With 5.75% Maximum Sales Charge		2.04			8.55			6.74
Class B (Inception 2/28/97)
NAV		7.47			9.02			6.59
With CDSC1		2.94			8.73			6.59
Class C (Inception 9/1/98)
NAV		7.43			9.00			6.58
With CDSC1		6.52			9.00			6.58
Class Y (Inception 6/30/99)
NAV		8.52			10.09			7.65
Comparative Performance
S&P 500® Index2		13.69			15.45			7.67

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

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

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

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NATIXIS OAKMARK FUND

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

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

Objective

The Fund seeks long-term capital appreciation.

Market Conditions

As we head into 2015, we are faced with a varied and interesting investment landscape. Oil prices are down by more than half from their peak, commodity prices are off by more than one-third since June, the U.S. dollar is up double digits and emerging markets are down. And amidst all of this, the U.S. stock market recovered and ended the year within decimal points of its all-time high. Strong corporate fundamentals and reasonable market valuations continued to provide a sound argument and reward for focused investment portfolios with long-term orientations.

The unfolding story in energy and commodity markets is an important one. The sharp decline in oil prices creates serious fiscal challenges for some countries—Russia, Venezuela and Iran come immediately to mind. New, hopefully better geopolitical realities will undoubtedly emerge over the long run, although the near-term fallout in these countries is much less predictable. While energy producers now face a more hostile economic environment (this will also reverse at some point as consumption eventually rises), there are dramatic positive benefits for individuals and most businesses. Retail gas prices are headed toward less than $2 a gallon, a consumer benefit projected by some analysts to equal the effect of a $200 billion tax cut. And while reduced capital spending and employment by energy producers will offset some of the good news, the energy story is an unmistakable positive for consumer confidence/spending and fundamental business profitability.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of the Natixis Oakmark Fund returned 10.43% at net asset value. The Fund underperformed its benchmark, the S&P 500^® Index, which returned 13.69%.

Explanation of Fund Performance

On February 28, 2014, Bill Nygren, Kevin Grant and Colin Hudson assumed portfolio management responsibilities for the Fund. The Fund was renamed the “Natixis Oakmark Fund.” In addition, Michael Mangan became a manager of the Fund on August 1, 2014. Due to these changes in management, an explanation of performance before and after February 28, 2014, is provided below.

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NATIXIS OAKMARK FUND

As value investors with an emphasis on individual stock selection, our sector weights are a by-product of our bottom-up process. For the period from January 1, 2014 to February 28, 2014, holdings in the consumer discretionary sector contributed the most to the return, while holdings in the financials sector detracted the most from the return. For the period from March 1, 2014, to December 31, 2014, shares in the technology and financials sectors added the most value. Holdings in the energy and materials sectors detracted the most value during the period.

Apache was the largest detractor to fund performance from March 1, 2014 to December 31, 2014. Recent weakness in energy spot prices caused Apache’s share price to decline during the fourth quarter. However, the company recently entered into an agreement to sell its Kitimat and Wheatstone LNG projects for $3.7 billion, which will provide the company with cash for share repurchases. The deal shows Apache’s intent to follow through on a plan originally introduced in 2013 to divest its fully valued oil and gas assets and subsequently spinoff or sell all of its international assets. In a recent meeting with the company, we confirmed that Apache is on track to complete this process by mid-2015. Furthermore, newly appointed COO John Christmann recently changed the capital allocation process and implemented a system for ranking the internal rates of return on wells across North America to ensure a more efficient use of capital. Christmann also replaced the operating heads of each region, changing their compensation metrics to focus on returns, and put in place a new geoscience team, which he considers to be the “best in the business.” In our view, these improvements are strengthening Apache’s underlying value, and we believe the true quality of this company is currently under-appreciated by the market.

Google was also a detractor to the Fund’s performance during this period. Investors appear concerned over Google’s decelerating revenue growth and profit margins, which pressured its share price in the fourth quarter. In light of the fact that the company’s revenue has grown 20% year to date through the third quarter, we believe that some deceleration is expected. The possible implementation of new European Union regulations and the company’s announcement that it would retire its digital goods application Google Wallet (which gives competitor Apple an advantage in the mobile pay space and takes Google out of contention as a third-party payment processing solution for online merchants) also troubled investors. However, we believe that Google maintains very strong momentum to support continued growth and is well positioned to take advantage of the shift in advertising dollars to online outlets. Google’s third-quarter profit grew 10%, which to us is indicative of a healthy business. We continue to believe the valuation for this high-quality company with dominant market share remains attractive, offering a compelling reason to own.

The leading contributors to fund performance from March 1, 2014 to December 31, 2014, were Intel and Apple. Intel’s market dominance in many fast-growing areas such as cloud, storage, and high-performance computing continues to benefit its long-term growth prospects. The company recently announced that it would expand the adoption of Intel-based chips in mobile devices in China. We believe this move provides direct access to a large new market and demonstrates new Intel CEO Brian Krzanich’s creative, pragmatic approach to maximizing the value of the company. Management continues to return capital to shareholders by lowering cash balances and increasing the pace of buybacks. Apple’s

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fourth-quarter earnings results were solid, which included a 20% rise in earnings per share and a 12% increase in sales. The company generated $13.3 billion in cash during the quarter and returned $20 billion to shareholders via buybacks and dividends. Furthermore, holiday sales results showed new-device activations for Apple iPhones for the week prior to Christmas bested all others combined. We are enthusiastic about the direction the management team is taking given its ability to maintain and grow Apple’s devoted client base, which is evidenced most recently by the rollout of Apple Pay. Our investment thesis for this company is intact, as we believe Apple’s capital position is solid and its management team is working to enhance shareholder value.

Outlook

All things considered, we find that company valuations are still compelling; genuine reform in two of the larger emerging market economies, China and India, should help to rekindle the global economy; and the stronger U.S. dollar should help generate positive earnings in most foreign companies.

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2004 through December 31, 2014

See notes to chart on page 7.

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NATIXIS OAKMARK FUND

Average Annual Total Returns — December 31, 2014⁴

	1 Year			5 Years			10 Years
Class A (Inception 5/6/31)
NAV		10.43	%		14.67	%		6.74	%
With 5.75% Maximum Sales Charge		4.06			13.32			6.10
Class B (Inception 9/13/93)
NAV		9.56			13.81			5.93
With CDSC1		4.88			13.57			5.93
Class C (Inception 5/1/95)
NAV		9.55			13.82			5.93
With CDSC1		8.62			13.82			5.93
Class Y (Inception 11/18/98)
NAV		10.70			14.97			7.05
Comparative Performance
S&P 500® Index2		13.69			15.45			7.67
Russell 1000® Value Index3		13.45			15.42			7.30

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

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

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

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

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

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NATIXIS OAKMARK INTERNATIONAL FUND

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

Objective

The Fund seeks long-term capital appreciation.

Market Conditions

Over the course of 2014, major global markets were affected by a variety of factors including currency movement, the rapid decline in oil prices, and continuing unrest in Ukraine. From December 31, 2013 to December 31, 2014, the value of the U.S. dollar increased over 9% compared to the Australian dollar; 14% compared to the euro; and close to 14% versus the yen. The immediate impact of a strong U.S. dollar on foreign share prices is lower U.S. dollar returns of share prices as the currency declines are absorbed. However, over the medium-term, the weak currency effect should begin to positively affect the earnings results and share prices of most foreign-based multinational companies.

The rapid decline of oil prices resulted in both the Brent and West Texas Intermediate (WTI) crude oil benchmarks plummeting around 50% in 2014. Overall, this drop has translated to measurable positives for global economic growth and corporate earnings, most especially for users of transportation fuels, petrochemicals, plastics and fertilizers. However, it has also proved challenging for energy companies and those countries that depend on oil exports.

Lastly, markets were challenged by the ongoing situation in Ukraine, as sanctions on imports from and exports to Russia saw businesses struggle to maintain normal operations and unload a surplus of stock that would have otherwise been dealt to Russia. This example demonstrates why a company’s nation of domicile is far less important than where it derives its revenues. We believe our analysis of the economics of a business, the company’s ownership structure, and the alignment of management with shareholders, are more important considerations. In 2014, it appears the U.S.-domiciled companies trumped all others, but the investing world has a history of restoring equilibrium to such imbalances. With that in mind, we continue to seek out value wherever we may find it.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Natixis Oakmark International Fund returned -6.05% at net asset value. The Fund underperformed its benchmark, the MSCI World ex USA Index (Net), which returned -4.32%.

Explanation of Fund Performance

Geographically we ended the year with 81% of our holdings in Europe, 11% in Japan and 4% in Australia. The remaining positions are in North America (Canada), South Korea,

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NATIXIS OAKMARK INTERNATIONAL FUND

Hong Kong, and the Middle East (Israel). As value investors with an emphasis on individual stock selection, our country and sector weights are a byproduct of our bottom-up process.

On an absolute basis, shares in the technology sector produced the best collective return. Holdings in the consumer staples and industrials sectors declined the most during the year.

The largest detractors from return were Tesco and Honda Motor. Tesco was the largest detractor for the calendar year and was a major cause of the Fund’s underperformance for the year. The unexpected departure of the CEO, a large profit warning and an accounting discrepancy led us to sell our shares in the stock. Honda Motor’s second-quarter operating profit was below investors’ expectations, partially due to costs associated with a vehicle recall in Japan. During the fourth quarter, the National Highway Traffic Safety Administration opened a probe into whether Honda failed to report incidents involving air bag malfunctions that resulted in injuries or deaths. Subsequently, Honda launched its own independent audit of “potential inaccuracies” related to under-reporting. Because an outside company manufactured the airbags, we believe that company may be held partially responsible for any liability claims made against Honda. Based on similar circumstances involving vehicle manufacturers recalls, we assess that Honda’s liability will not materially affect its shareholders. Global auto demand remains strong, which we think will benefit Honda, and we expect the company’s performance will improve.

The top contributors to return were Intesa Sanpaolo and AMP. Intesa’s share price has rebounded as fears over Italy’s banking system and government have subsided. We have always believed these fears were overblown and that Italy was in much better long-term fiscal health than many of its periphery countries. The new CEO has committed to return EUR 10 billion to shareholders via dividends over the next four years. This constitutes a cumulative payout ratio in excess of 70%. Even with this return of capital to shareholders, Intesa should be over-capitalized compared with Basel III requirements, leaving the door open for additional capital returns. We believe management has a solid plan for the future and believe the investment will continue to provide value for our shareholders. AMP’s new CEO Craig Meller is committed to a continued focus on reducing expenses via a cost-out plan, reinforcing customer relationships, and boosting retention by way of better product targeting and omnichannel distribution. We believe AMP is well positioned in the market to benefit from expected increases in retirement savings and wage growth in Australia.

While the U.S. dollar appreciated versus many foreign currencies during the fourth quarter, we continue to believe some currencies are overvalued. Based on the increased strength of the U.S. dollar, we decreased our defensive currency hedges. As of year-end approximately 25% of the Swiss franc, 23% of the Australian dollar and 15% of the Swedish krona held by the Fund were hedged.

Outlook

All things considered, we find that company valuations are still compelling; genuine reform in two of the larger emerging market economies, China and India, should help to rekindle the global economy; and the stronger U.S. dollar should help generate positive earnings in most foreign companies.

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Growth of $10,000 Investment in Class A Shares³

December 15, 2010 (inception) through December 31, 2014

Average Annual Total Returns — December 31, 2014³

	1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		-6.05	%		7.63	%
With 5.75% Maximum Sales Charge		-11.46			6.06
Class C (Inception 12/15/10)
NAV		-6.67			6.85
With CDSC1		-7.57			6.85
Comparative Performance
MSCI World ex USA Index (Net)2		-4.32			4.62

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

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

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

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

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VAUGHAN NELSON SMALL CAP VALUE FUND

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

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

Objective

The Fund seeks capital appreciation.

Market Conditions

The equity markets continued to advance even as the Federal Reserve (the Fed) ended the quantitative easing (QE) program that began in 2009. Current volatility and deteriorating market breadth may continue as capital markets adjust to global shifts in central bank policy and to escalating geopolitical tensions. The European Central Bank (ECB) has committed to easier monetary policy while the Fed is planning to raise interest rates in 2015. We believe the market is discounting continued modest improvement in earnings growth and an environment where deflationary risks are modestly higher than inflationary risks. We continue to expect U.S. companies to face margin pressures as the Fed raises interest rates, as capital expenditures accelerate, and as rising operating costs challenge modest revenue growth.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Vaughan Nelson Small Cap Value Fund returned 8.79% at net asset value. The Fund outperformed its benchmark, the Russell 2000^® Value Index, which returned 4.22%.

Explanation of Fund Performance

Portfolio performance benefitted primarily from stock selection during the past year. However, a general rise in equity markets also helped returns. The best-performing stocks in the portfolio were those with the ability to grow their revenues and earnings despite the tepid economic recovery. These high-quality, well-managed businesses, many of which benefit from long-term secular tailwinds, are a natural fit with our returns-focused philosophy and were uncovered through our company-specific stock selection process. The portfolio continued to be materially underweight in REITs and utilities during the year in comparison to its benchmark, as both sectors were expensive and did not meet our return criteria. Information technology, consumer discretionary, healthcare and industrial stocks were the biggest contributors to fund performance, while energy stocks detracted.

Stock selection drove performance in the information technology sector with Skyworks Solutions, Verint Systems and SS&C Technologies making the most significant contributions to performance. Skyworks benefited from global growth in mobile devices

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and connected products, as well as improved capital allocation by management. The company continued to return cash to shareholders via share repurchases and also initiated a quarterly dividend. We exited our position in Skyworks during the year. Verint Systems completed an accretive acquisition of KANA Software during the first quarter of 2014, which helped supplement the company’s core enterprise software offering and accelerate revenue and earnings growth. Verint also won several large cyber security contracts during the year, which provided a new avenue of future growth not discounted by the market. SS&C Technologies continued to show strength in its core business, and benefited from the fund administration-outsourcing trend. Additionally an acquisition completed in the fourth quarter should expand its international presence and create new cross-selling opportunities.

Stock selection also drove performance in the consumer discretionary sector, with Jack in the Box, Inc. and Harman International making significant contributions to performance. Jack in the Box benefited from a continued turnaround in its Qdoba Mexican Grille restaurants, as well as market share gains at its Jack in the Box venues. The company also returned cash to shareholders via stock buybacks and initiated a quarterly dividend. Harman International showed improved margins and earnings growth by recognizing higher margin revenues from backlog built on a scalable platform. We exited our position in Harman during the year.

Performance in the healthcare sector was driven by allocation and stock selection. In comparison with its benchmark, the portfolio was materially overweight in the sector as companies with attractive fundamentals and valuations continued to emerge. The largest contributors to performance were Teleflex Inc. and AmSurg Corp. Teleflex showed improved top line growth during the year driven by geographic expansion and the acquisition of a complementary business. The company also continues to make progress on restructuring its cost base to improve margins. AmSurg acquired faster-growing Sheridan Healthcare during the year, and the stock benefited as investors began to recognize the attractiveness of the deal.

Industrial sector performance was driven by broad-based positive stock selection, with KAR Auction Services as the largest contributor to performance. KAR Auction Services started to benefit from the ramp-up in whole car auction volume that typically follows the cyclical rebound in new car sales. Also, management committed to returning more excess cash to shareholders via share repurchases and an increased dividend.

The energy sector detracted from performance as exploration and production companies Oasis Petroleum and Bonanza Creek Energy were hurt by the fall in oil prices during the second half of the year. Performance at Oasis was also hurt by higher than expected capital outlays at recently acquired acreage and overall poor cost control. We exited our positions in both Oasis and Bonanza Creek during the year.

Other notable performers during the year include Rite Aid Corp and Graphic Packaging Corp. Rite Aid continued to show progress on its turnaround strategy and demonstrated improving same-store sales metrics. In addition, an expanded drug distribution agreement with McKesson Corp should meaningfully reduce drug-related costs when fully

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VAUGHAN NELSON SMALL CAP VALUE FUND

implemented. We exited our position in Rite Aid during the year. Graphic Packaging Corp completed several small acquisitions and divestitures during the year, while also improving productivity in its core business. Strong cash generation allowed the company to reduce its debt levels, while also returning cash to shareholders via share repurchases.

The largest increases in sector weightings were in healthcare and consumer discretionary. The increase in healthcare is attributable to the additions of AmSurg Corp, Alere Inc., Haemonetics Corp, and Merit Medical Systems. In consumer discretionary, new holdings include Home Shopping Network, Steve Madden Ltd, ServiceMaster Global, and Tenneco Inc. as we selectively added exposure to this slowly recovering area of the economy.

The largest decreases in sector weightings were in energy, financials, industrials, and consumer staples. The reduction in energy holdings was due to exiting our positions in Atwood Oceanics and Oasis Petroleum, while reducing our position in Forum Energy. In financials, we reduced our exposure to the banking sector by exiting positions in Associated Bancorp, Fulton Financial, and Hancock Holding Co. In industrials, we exited all of our positions in distributors, selling DXP Enterprises, United Rentals, and WESCO International. We also exited positions in Rite Aid and Elizabeth Arden within the consumer staples sector, and remain underweight the sector.

Outlook

Despite the potential for a correction in equity markets, we expect the credit market to remain supportive of equity values over the medium term and will welcome any correction as an opportunity to make attractive investments. Even without a broader equity market correction, we expect market breadth to continue to narrow. Companies can no longer rely on a recovery in consumption, lower interest rates, share repurchases, and delayed capital expenditures to drive earnings growth. Going forward, companies will be required to increase capital expenditures, research and development, and other operating costs in order to sustain or grow earnings. Further, the strengthening U.S. dollar is likely to impact top line sales growth, especially for the multinationals that generate a significant portion of their revenues outside of the U.S. While the nature of the bull market is changing, there are still individual stocks that will perform well despite the increasing market headwinds. We continue to seek investments in companies that have better pricing power, lower earnings variability, higher profitability, and stronger balance sheets than the broader investment universe. We still do not favor any single industry or sector, and continue to look for companies with the characteristics noted above that trade at attractive valuations.

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Growth of $10,000 Investment in Class A Shares⁴

December 31, 2004 through December 31, 2014

See notes to chart on page 15.

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VAUGHAN NELSON SMALL CAP VALUE FUND

Average Annual Total Returns — December 31, 2014⁴

	1 Year			5 Years			10 Years
Class A (Inception 12/31/96)
NAV		8.79	%		15.65	%		11.16	%
With 5.75% Maximum Sales Charge		2.54			14.29			10.50
Class B (Inception 12/31/96)
NAV		7.87			14.78			10.33
With CDSC1		3.51			14.60			10.33
Class C (Inception 12/31/96)
NAV		7.94			14.78			10.33
With CDSC1		7.07			14.78			10.33
Class Y (Inception 8/31/06)2
NAV		9.04			15.94			11.41
Comparative Performance
Russell 2000® Value Index3		4.22			14.26			6.89

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

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

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

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

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

15  |

VAUGHAN NELSON VALUE OPPORTUNITY FUND

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

Objective

The Fund seeks long-term capital appreciation.

Market Conditions

The equity markets continued to advance even as the Federal Reserve (the Fed) ended the quantitative easing (QE) program that began in 2009. Current volatility and deteriorating market breadth may continue as capital markets adjust to global shifts in central bank policy and to escalating geopolitical tensions. The European Central Bank (ECB) has committed to easier monetary policy while the Fed is planning to raise interest rates in 2015. We believe the market is discounting continued modest improvement in earnings growth and an environment where deflationary risks are modestly higher than inflationary risks. We continue to expect U.S. companies to face margin pressures as the Fed raises interest rates, as capital expenditures accelerate, and as rising operating costs challenge modest revenue growth.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Vaughan Nelson Value Opportunity Fund returned 10.92% at net asset value. The Fund underperformed its benchmark, the Russell Midcap^® Value Index, which returned 14.75%.

Explanation of Fund Performance

Stock and sector selection contributed evenly to the Fund’s underperformance for the year. The majority of the Fund’s underperformance stems from the decision to underweight REITs and utilities coupled with the dramatic selloff in energy and commodity-related stocks. The portfolio remains significantly underweight REITs and Utilities relative to its benchmark, as both sectors are expensive and do not meet our return criteria. While this increases the portfolio’s cyclicality, we believe the positioning is warranted. We are confident that the portfolio’s individual companies have competitive positions or secular opportunities that will allow their stocks to materially outperform the market over time. We are also willing to accept the modestly higher level of cyclicality versus the risk of timing the market or maintaining exposures to less cyclical areas that appear overvalued. Technology, healthcare, industrials, consumer discretionary, and consumer staples stocks were the biggest contributors to absolute performance, while only energy and materials detracted. On a relative basis, technology, healthcare, and industrials contributed the most to returns while REITs, utilities, materials, and energy were the greatest detractors.

|  16

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Stock selection primarily drove the strong returns and relative performance in the technology sector. However, the portfolio also benefited from being overweight in semiconductors and IT services companies as compared to the benchmark. To that end, notable standouts for the year include Skyworks Solutions, Avago Technologies, and Micron Technology. Skyworks and Avago benefited from global growth in mobile devices and connected products, and from new design wins and content gains on mobile platforms. The companies are positioned to benefit from several secular trends, including increased penetration of smart phone handsets, increased complexity in handsets as we move to 4G/LTE, and stronger demand for technology and equipment within the industrial and auto markets. Micron benefited from better volume growth and from its acquisition of Elpida, which further consolidated the semiconductor manufacturing industry which is now behaving more rationally by limiting capacity growth.

Stock selection stood out as the driver in the healthcare sector with HCA Holdings and Community Health Systems contributing the most to the sector’s outperformance. HCA and Community Health are acute-care hospitals that benefited from the passage of the Affordable Care Act by realizing higher volumes and lower bad debt expense due to a larger insured population base. Further, both companies have been actively acquiring other hospital systems to layer on their networks. Community Health completed a large acquisition of Health Management Associates, an operator of 71 hospitals in 15 states, in 2014.

The industrials sector also benefited from strong stock selection during the year. Top-performing companies included United Rentals and Spectrum Brands. United Rentals was aided by strong demand for rental equipment and by continued synergies from the RSC Holdings acquisition that was completed in 2012. Spectrum Brands benefited from a recovering economic environment, market share gains, and its strong free cash flow generation, which was used for acquisitions and to pay down debt.

Financials, materials, utilities, and energy detracted from relative performance during the year. The majority of the underperformance in financials can be explained by the decision to underweight REITs, which performed very well in 2014. Similarly, the decision to underweight utilities in 2014 was costly since utilities performed well for the year. Materials and energy also detracted from performance, primarily due to the dramatic decline in commodities and commodity-related stocks during the fourth quarter. Specifically, exploration and production companies Gulfport Energy, Noble Energy, Whiting Petroleum, and contract driller Atwood Oceanics were weak performers as oil prices declined sharply. We reduced the portfolio’s exposure to the energy sector by trimming our positions and by exiting Atwood. Our holdings in the materials sector were also weak as the selloff in commodities spilled over to the steel and specialty aluminum manufacturers such as Reliance Steel and Constellium. While the performance of the materials holdings was disappointing, the portfolio did benefit greatly from being overweight in containers and packaging stocks such as Crown Holdings, Graphic Packaging, and Packaging Corporation of America.

Other notable performers during the year were Rite Aid in the consumer staples sector; Harman International, Signet, and Jarden in consumer discretionary; Actavis in healthcare; and NASDAQ and First American Financial in the financials sector. The greatest increases

17  |

in weightings by sector were technology, healthcare, and consumer discretionary. The largest reductions in weightings by sector were in materials, energy, and industrials. The portfolio is underweight in financials, utilities, and energy. These underweights are offset by overweights in technology, consumer discretionary, industrials, healthcare, materials, and consumer staples. The underweight to financials is primarily driven by our decision to avoid REITs since valuations look expensive.

Outlook

Despite the potential for a correction in equity markets, we expect the credit market to remain supportive of equity values over the medium term and will welcome any correction as an opportunity to make attractive investments. Even without a broader equity market correction, we expect market breadth to continue to narrow. Companies can no longer rely on a recovery in consumption, lower interest rates, share repurchases, and delayed capital expenditures to drive earnings growth. Going forward, companies will be required to increase capital expenditures, research and development, and other operating costs in order to sustain or grow earnings. Further, the strengthening U.S. dollar is likely to impact top line sales growth, especially for the multinationals that generate a significant portion of their revenues outside of the U.S. While the nature of the bull market is changing, there are still individual stocks that will perform well despite the increasing market headwinds. We continue to seek investments in companies that have better pricing power, lower earnings variability, higher profitability, and stronger balance sheets than the broader investment universe. We still do not favor any single industry or sector, and continue to look for companies with the characteristics noted above that trade at attractive valuations.

Growth of $10,000 Investment in Class A Shares³

October 31, 2008 (inception) through December 31, 2014

See notes to chart on page 19.

|  18

VAUGHAN NELSON VALUE OPPORTUNITY FUND

Average Annual Total Returns — December 31, 2014³

	1 Year			5 Years			Life of Fund
							Class A/C/Y			Class N
Class A (Inception 10/31/08)
NAV		10.92	%		16.15	%		17.22	%		—
With 5.75% Maximum Sales Charge		4.54			14.78			16.10
Class C (Inception 10/31/08)
NAV		10.12			15.30			16.36			—
With CDSC1		9.12			15.30			16.36
Class N (Inception 5/1/13)
NAV		11.24			—			—			21.67	%
Class Y (Inception 10/31/08)
NAV		11.23			16.44			17.52			—
Comparative Performance
Russell Midcap® Value Index2		14.75			17.43			18.36			19.35

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

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

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

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

19  |

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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

|  20

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2014 through December 31, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

CGM ADVISOR TARGETED EQUITY FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,023.00		$5.91
Hypothetical (5% return before expenses)		$1,000.00		$1,019.36		$5.90
Class B
Actual		$1,000.00		$1,019.80		$9.72
Hypothetical (5% return before expenses)		$1,000.00		$1,015.58		$9.70
Class C
Actual		$1,000.00		$1,018.90		$9.72
Hypothetical (5% return before expenses)		$1,000.00		$1,015.58		$9.70
Class Y
Actual		$1,000.00		$1,024.70		$4.64
Hypothetical (5% return before expenses)		$1,000.00		$1,020.62		$4.63

* Expenses are equal to the Fund’s annualized expense ratio: 1.16%, 1.91%, 1.91% and 0.91% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

21  |

NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,036.50		$6.16
Hypothetical (5% return before expenses)		$1,000.00		$1,019.16		$6.11
Class B
Actual		$1,000.00		$1,032.30		$9.94
Hypothetical (5% return before expenses)		$1,000.00		$1,015.43		$9.86
Class C
Actual		$1,000.00		$1,032.50		$10.04
Hypothetical (5% return before expenses)		$1,000.00		$1,015.32		$9.96
Class Y
Actual		$1,000.00		$1,038.10		$4.88
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84

* Expenses are equal to the Fund’s annualized expense ratio: 1.20%, 1.94%, 1.96% and 0.95% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$922.60		$6.35
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.67
Class C
Actual		$1,000.00		$919.60		$9.97
Hypothetical (5% return before expenses)		$1,000.00		$1,014.82		$10.46

* Expenses are equal to the Fund’s annualized expense ratio: 1.31% and 2.06% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

|  22

VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,021.90		$7.03
Hypothetical (5% return before expenses)		$1,000.00		$1,018.25		$7.02
Class B
Actual		$1,000.00		$1,018.00		$10.78
Hypothetical (5% return before expenses)		$1,000.00		$1,014.52		$10.76
Class C
Actual		$1,000.00		$1,018.10		$10.83
Hypothetical (5% return before expenses)		$1,000.00		$1,014.47		$10.82
Class Y
Actual		$1,000.00		$1,023.20		$5.76
Hypothetical (5% return before expenses)		$1,000.00		$1,019.51		$5.75

* Expenses are equal to the Fund’s annualized expense ratio: 1.38%, 2.12%, 2.13% and 1.13% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

VAUGHAN NELSON VALUE OPPORTUNITY FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 –12/31/2014
Class A
Actual		$1,000.00		$1,027.30		$6.29
Hypothetical (5% return before expenses)		$1,000.00		$1,019.00		$6.26
Class C
Actual		$1,000.00		$1,023.50		$10.15
Hypothetical (5% return before expenses)		$1,000.00		$1,015.17		$10.11
Class N
Actual		$1,000.00		$1,029.40		$4.60
Hypothetical (5% return before expenses)		$1,000.00		$1,020.67		$4.58
Class Y
Actual		$1,000.00		$1,028.90		$5.06
Hypothetical (5% return before expenses)		$1,000.00		$1,020.21		$5.04

* Expenses are equal to the Fund’s annualized expense ratio: 1.23%, 1.99%, 0.90% and 0.99% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

23  |

Portfolio of Investments – as of December 31, 2014

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks — 97.4% of Net Assets
		Air Freight & Logistics — 3.2%
	150,000	United Parcel Service, Inc., Class B	$	16,675,500
		Automobiles — 5.2%
	1,750,000	Ford Motor Co.		27,125,000
		Banks — 16.0%
	1,550,000	Bank of America Corp.		27,729,500
	620,000	Citigroup, Inc.		33,548,200
	1,780,000	Itau Unibanco Holding S.A., Preference ADR		23,157,800
				84,435,500
		Capital Markets — 19.0%
	230,000	Ameriprise Financial, Inc.		30,417,500
	68,000	BlackRock, Inc.		24,314,080
	1,170,000	Morgan Stanley		45,396,000
				100,127,580
		Hotels, Restaurants & Leisure — 3.2%
	215,000	Marriott International, Inc., Class A		16,776,450
		Household Durables — 24.5%
	1,470,000	DR Horton, Inc.		37,176,300
	810,000	Lennar Corp., Class A		36,296,100
	920,000	Toll Brothers, Inc.(b)		31,528,400
	125,000	Whirlpool Corp.		24,217,500
				129,218,300
		IT Services — 9.8%
	280,000	MasterCard, Inc., Class A		24,124,800
	105,000	Visa, Inc., Class A		27,531,000
				51,655,800
		Media — 6.4%
	360,000	Walt Disney Co. (The)		33,908,400
		Semiconductors & Semiconductor Equipment — 4.7%
	700,000	Micron Technology, Inc.(b)		24,507,000
		Textiles, Apparel & Luxury Goods — 5.4%
	295,000	NIKE, Inc., Class B		28,364,250
		Total Common Stocks (Identified Cost $442,524,544)		512,793,780
Principal Amount
	Short-Term Investments — 2.9%
$	15,050,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $15,050,008 on 1/02/2015 collateralized by $14,945,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $15,355,988 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $15,050,000)		15,050,000

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2014

CGM Advisor Targeted Equity Fund – (continued)

	Description	Value (†)
	Total Investments — 100.3% (Identified Cost $457,574,544)(a)	$	527,843,780
	Other assets less liabilities — (0.3)%		(1,545,133	)
	Net Assets — 100.0%	$	526,298,647
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized appreciation on investments based on a cost of $457,574,544 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	$	76,729,626
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,460,390	)
	Net unrealized appreciation	$	70,269,236
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2014

Household Durables	24.5	%
Capital Markets	19.0
Banks	16.0
IT Services	9.8
Media	6.4
Textiles, Apparel & Luxury Goods	5.4
Automobiles	5.2
Semiconductors & Semiconductor Equipment	4.7
Hotels, Restaurants & Leisure	3.2
Air Freight & Logistics	3.2
Short-Term Investments	2.9
Total Investments	100.3
Other assets less liabilities	(0.3	)
Net Assets	100.0	%

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark Fund

Shares		Description	Value (†)
	Common Stocks — 93.3% of Net Assets
		Air Freight & Logistics — 2.0%
	32,700	FedEx Corp.	$	5,678,682
		Automobiles — 1.9%
	123,300	General Motors Co.		4,304,403
	17,800	Harley-Davidson, Inc.		1,173,198
				5,477,601
		Banks — 9.1%
	513,800	Bank of America Corp.		9,191,882
	115,200	Citigroup, Inc.		6,233,472
	94,700	JPMorgan Chase & Co.		5,926,326
	84,300	Wells Fargo & Co.		4,621,326
				25,973,006
		Beverages — 1.4%
	36,400	Diageo PLC, Sponsored ADR		4,152,876
		Capital Markets — 8.2%
	104,600	Bank of New York Mellon Corp. (The)		4,243,622
	88,000	Franklin Resources, Inc.		4,872,560
	28,100	Goldman Sachs Group, Inc. (The)		5,446,623
	69,600	State Street Corp.		5,463,600
	38,000	T. Rowe Price Group, Inc.		3,262,680
				23,289,085
		Chemicals — 1.6%
	37,200	Monsanto Co.		4,444,284
		Communications Equipment — 1.7%
	67,300	QUALCOMM, Inc.		5,002,409
		Consumer Finance — 1.9%
	66,500	Capital One Financial Corp.		5,489,575
		Electronic Equipment, Instruments & Components — 1.8%
	79,900	TE Connectivity Ltd.		5,053,675
		Energy Equipment & Services — 2.4%
	81,000	Halliburton Co.		3,185,730
	55,600	National Oilwell Varco, Inc.		3,643,468
				6,829,198
		Food & Staples Retailing — 1.5%
	48,500	Wal-Mart Stores, Inc.		4,165,180
		Food Products — 4.5%
	91,900	General Mills, Inc.		4,901,027
	57,000	Nestle S.A., Sponsored ADR		4,158,150
	91,300	Unilever PLC, Sponsored ADR		3,695,824
				12,755,001
		Health Care Equipment & Supplies — 1.8%
	72,900	Medtronic, Inc.		5,263,380

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark Fund – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 2.0%
	55,800	UnitedHealth Group, Inc.	$	5,640,822
		Hotels, Restaurants & Leisure — 1.2%
	60,900	Las Vegas Sands Corp.		3,541,944
		Household Durables — 1.2%
	17,850	Whirlpool Corp.		3,458,259
		Industrial Conglomerates — 1.5%
	166,800	General Electric Co.		4,215,036
		Insurance — 6.9%
	81,700	Aflac, Inc.		4,991,053
	114,900	American International Group, Inc.		6,435,549
	49,200	Aon PLC		4,665,636
	72,000	Principal Financial Group, Inc.		3,739,680
				19,831,918
		Internet & Catalog Retail — 3.7%
	19,660	Amazon.com, Inc.(b)		6,101,481
	148,600	Liberty Interactive Corp., Class A(b)		4,371,812
				10,473,293
		Internet Software & Services — 2.2%
	11,620	Google, Inc., Class A(b)		6,166,269
		IT Services — 7.5%
	33,200	Accenture PLC, Class A		2,965,092
	66,000	Automatic Data Processing, Inc.		5,502,420
	80,400	MasterCard, Inc., Class A		6,927,264
	22,930	Visa, Inc., Class A		6,012,246
				21,407,022
		Machinery — 3.0%
	48,800	Illinois Tool Works, Inc.		4,621,360
	30,500	Parker Hannifin Corp.		3,932,975
				8,554,335
		Media — 4.6%
	61,500	Comcast Corp., Special Class A		3,540,248
	313,100	News Corp., Class A(b)		4,912,539
	59,800	Omnicom Group, Inc.		4,632,706
				13,085,493
		Metals & Mining — 1.2%
	740,200	Glencore PLC		3,447,185
		Oil, Gas & Consumable Fuels — 3.3%
	96,900	Apache Corp.		6,072,723
	172,600	Chesapeake Energy Corp.		3,377,782
				9,450,505
		Pharmaceuticals — 1.4%
	88,300	Sanofi, ADR		4,027,363

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark Fund – (continued)

Shares		Description	Value (†)
		Road & Rail — 1.2%
	27,800	Union Pacific Corp.	$	3,311,814
		Semiconductors & Semiconductor Equipment — 4.7%
	112,800	Applied Materials, Inc.		2,810,976
	168,000	Intel Corp.		6,096,720
	86,700	Texas Instruments, Inc.		4,635,416
				13,543,112
		Software — 4.0%
	97,700	Microsoft Corp.		4,538,165
	152,200	Oracle Corp.		6,844,434
				11,382,599
		Specialty Retail — 2.1%
	57,500	Home Depot, Inc. (The)		6,035,775
		Technology Hardware, Storage & Peripherals — 1.8%
	46,600	Apple, Inc.		5,143,708
		Total Common Stocks (Identified Cost $225,810,769)		266,290,404
Principal Amount
	Short-Term Investments — 5.8%
$	16,533,486	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $16,533,495 on 1/02/2015 collateralized by $16,355,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $16,865,888 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,533,486)		16,533,486
		Total Investments — 99.1% (Identified Cost $242,344,255)(a)		282,823,890
		Other assets less liabilities — 0.9%		2,540,371
		Net Assets — 100.0%	$	285,364,261
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized appreciation on investments based on a cost of $242,805,431 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	45,524,180
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,505,721	)
		Net unrealized appreciation	$	40,018,459
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark Fund – (continued)

Industry Summary at December 31, 2014

Banks	9.1	%
Capital Markets	8.2
IT Services	7.5
Insurance	6.9
Semiconductors & Semiconductor Equipment	4.7
Media	4.6
Food Products	4.5
Software	4.0
Internet & Catalog Retail	3.7
Oil, Gas & Consumable Fuels	3.3
Machinery	3.0
Energy Equipment & Services	2.4
Internet Software & Services	2.2
Specialty Retail	2.1
Air Freight & Logistics	2.0
Health Care Providers & Services	2.0
Other Investments, less than 2% each	23.1
Short-Term Investments	5.8
Total Investments	99.1
Other assets less liabilities	0.9
Net Assets	100.0	%

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark International Fund

Shares		Description	Value (†)
	Common Stocks — 97.3% of Net Assets
		Australia — 3.5%
	3,395,268	AMP Ltd.	$	15,121,712
	1,194,862	Orica Ltd.		18,309,572
				33,431,284
		Canada — 0.1%
	34,400	Thomson Reuters Corp.		1,387,784
		France — 14.4%
	598,700	BNP Paribas S.A.		35,343,697
	32,600	Christian Dior S.A.		5,579,101
	315,058	Danone		20,597,879
	115,000	Kering		22,099,617
	100,400	LVMH Moet Hennessy Louis Vuitton S.A.		15,903,525
	125,200	Pernod-Ricard S.A.		13,914,432
	114,076	Publicis Groupe S.A.		8,180,999
	228,900	Safran S.A.		14,121,974
				135,741,224
		Germany — 11.2%
	201,300	Allianz SE, (Registered)		33,340,548
	277,200	Bayerische Motoren Werke AG		29,914,920
	2,700	Continental AG		569,491
	375,300	Daimler AG, (Registered)		31,170,190
	157,500	SAP SE		10,997,967
				105,993,116
		Hong Kong — 1.4%
	526,600	Melco Crown Entertainment Ltd., Sponsored ADR		13,375,640
		Ireland — 2.9%
	1,629,131	Experian PLC		27,462,185
		Israel — 0.2%
	27,900	Check Point Software Technologies Ltd.(b)		2,192,103
		Italy — 5.6%
	82,200	Exor SpA		3,372,812
	10,201,800	Intesa Sanpaolo SpA		29,594,407
	3,512,300	Prada SpA		19,835,131
				52,802,350
		Japan — 10.8%
	191,400	Canon, Inc.		6,083,409
	3,493,000	Daiwa Securities Group, Inc.		27,350,666
	1,047,300	Honda Motor Co. Ltd.		30,725,975
	73,200	Meitec Corp.		2,163,892
	142,700	Olympus Corp.(b)		4,998,828
	67,000	Secom Co. Ltd.		3,849,458
	429,200	Toyota Motor Corp.		26,746,604
				101,918,832

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark International Fund – (continued)

Shares		Description	Value (†)
		Korea — 2.7%
	21,140	Samsung Electronics Co. Ltd.	$	25,415,438
		Netherlands — 6.6%
	66,731	Akzo Nobel NV		4,617,119
	3,447,900	CNH Industrial NV		27,911,017
	90,700	Heineken Holding NV		5,677,957
	126,746	Koninklijke Ahold NV		2,252,639
	753,924	Koninklijke Philips NV		21,853,247
				62,311,979
		Sweden — 4.2%
	398,300	Atlas Copco AB, Series B		10,195,605
	186,900	Hennes & Mauritz AB, Series B		7,764,762
	876,500	SKF AB, Series B		18,463,928
	106,911	Swedish Match AB		3,350,004
				39,774,299
		Switzerland — 18.3%
	290,100	Adecco S.A., (Registered)		19,941,261
	360,200	Cie Financiere Richemont S.A., (Registered)		31,934,831
	1,925,858	Credit Suisse Group AG, (Registered)		48,379,949
	342,900	Holcim Ltd., (Registered)		24,511,908
	154,300	Kuehne & Nagel International AG, (Registered)		20,959,398
	200,600	Nestle S.A., (Registered)		14,623,938
	85,900	Schindler Holding AG		12,400,879
				172,752,164
		United Kingdom — 15.4%
	892,500	Diageo PLC		25,567,506
	574,600	G4S PLC		2,478,608
	671,600	GlaxoSmithKline PLC		14,408,237
	18,905,400	Lloyds Banking Group PLC(b)		22,237,648
	1,470,804	Meggitt PLC		11,831,506
	439,400	Schroders PLC		18,262,461
	100	Schroders PLC, (Non Voting)		3,218
	631,000	Smiths Group PLC		10,729,598
	421,900	Willis Group Holdings PLC		18,905,339
	119,896	Wolseley PLC		6,854,671
	662,700	WPP PLC		13,778,635
				145,057,427
		Total Common Stocks (Identified Cost $979,923,073)		919,615,825

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark International Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.6%
$	14,806,514	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $14,806,522 on 1/02/2015 collateralized by $12,720,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $15,105,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $14,806,514)	$	14,806,514
		Total Investments — 98.9% (Identified Cost $994,729,587)(a)		934,422,339
		Other assets less liabilities — 1.1%		10,279,400
		Net Assets — 100.0%	$	944,701,739
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized depreciation on investments based on a cost of $997,470,184 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	11,417,325
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(74,465,170	)
		Net unrealized depreciation	$	(63,047,845	)
	(b)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

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

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		6/17/2015	Australian Dollar		8,794,000	$	7,098,206	$	(232,820	)
Sell		6/17/2015	Australian Dollar		18,264,000		14,742,056		1,583,403
Buy		3/18/2015	Swedish Krona		46,890,000		6,016,558		(228,354	)
Sell		3/18/2015	Swedish Krona		92,571,000		11,877,987		1,910,098
Sell		9/16/2015	Swiss Franc		43,799,000		44,318,373		1,088,013
Total								$	4,120,340

¹ Counterparty is State Street Bank and Trust Company.

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2014

Natixis Oakmark International Fund – (continued)

Industry Summary at December 31, 2014

Automobiles	12.6	%
Textiles, Apparel & Luxury Goods	10.1
Capital Markets	9.9
Banks	9.2
Machinery	7.3
Insurance	7.1
Professional Services	5.2
Beverages	4.8
Food Products	3.8
Industrial Conglomerates	3.4
Technology Hardware, Storage & Peripherals	3.4
Aerospace & Defense	2.8
Construction Materials	2.6
Media	2.5
Chemicals	2.4
Marine	2.2
Other Investments, less than 2% each	8.0
Short-Term Investments	1.6
Total Investments	98.9
Other assets less liabilities (including forward foreign currency contracts)	1.1
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014

Euro	35.7	%
Swiss Franc	18.3
British Pound	16.3
Japanese Yen	10.8
United States Dollar	5.2
Swedish Krona	4.2
Australian Dollar	3.5
South Korean Won	2.7
Hong Kong Dollar	2.1
Canadian Dollar	0.1
Total Investments	98.9
Other assets less liabilities (including forward foreign currency contracts)	1.1
Net Assets	100.0	%

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 96.0% of Net Assets
		Aerospace & Defense — 2.0%
	61,075	Esterline Technologies Corp.(b)	$	6,698,706
		Auto Components — 1.2%
	69,200	Tenneco, Inc.(b)		3,917,412
		Banks — 8.5%
	147,375	Capital Bank Financial Corp., Class A(b)		3,949,650
	397,380	FirstMerit Corp.		7,506,508
	58,125	Prosperity Bancshares, Inc.		3,217,800
	202,250	Union Bankshares Corp.		4,870,180
	262,600	Webster Financial Corp.		8,542,378
				28,086,516
		Biotechnology — 0.6%
	47,725	AMAG Pharmaceuticals, Inc.(b)		2,034,040
		Building Products — 1.5%
	53,750	Lennox International, Inc.		5,110,013
		Capital Markets — 2.6%
	111,325	LPL Financial Holdings, Inc.		4,959,529
	211,775	TCP Capital Corp.		3,553,584
				8,513,113
		Commercial Services & Supplies — 2.7%
	258,650	KAR Auction Services, Inc.		8,962,223
		Consumer Finance — 1.6%
	96,500	First Cash Financial Services, Inc.(b)		5,372,155
		Containers & Packaging — 4.4%
	536,525	Graphic Packaging Holding Co.(b)		7,307,470
	132,950	Silgan Holdings, Inc.		7,126,120
				14,433,590
		Diversified Consumer Services — 1.9%
	232,000	ServiceMaster Global Holdings, Inc.(b)		6,210,640
		Electrical Equipment — 0.9%
	126,125	Thermon Group Holdings, Inc.(b)		3,050,964
		Electronic Equipment, Instruments & Components — 1.8%
	60,850	Littelfuse, Inc.		5,882,370
		Energy Equipment & Services — 1.3%
	205,350	Forum Energy Technologies, Inc.(b)		4,256,906
		Health Care Equipment & Supplies — 7.9%
	147,675	Alere, Inc.(b)		5,611,650
	147,350	Haemonetics Corp.(b)		5,513,837
	117,725	Integra LifeSciences Holdings Corp.(b)		6,384,227
	174,650	Merit Medical Systems, Inc.(b)		3,026,685
	49,875	Teleflex, Inc.		5,726,647
				26,263,046

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 4.8%
	164,550	Amsurg Corp.(b)	$	9,005,821
	28,900	Civitas Solutions, Inc.(b)		492,167
	88,600	LifePoint Hospitals, Inc.(b)		6,371,226
				15,869,214
		Hotels, Restaurants & Leisure — 2.7%
	145,075	Bloomin’ Brands, Inc.(b)		3,592,057
	65,175	Jack in the Box, Inc.		5,211,393
				8,803,450
		Household Durables — 1.1%
	91,375	Ryland Group, Inc. (The)		3,523,420
		Insurance — 8.3%
	141,075	American Equity Investment Life Holding Co.		4,117,979
	117,200	Aspen Insurance Holdings Ltd.		5,129,844
	274,325	CNO Financial Group, Inc.		4,723,877
	156,762	HCC Insurance Holdings, Inc.		8,389,902
	68,975	Platinum Underwriters Holdings Ltd.		5,064,144
				27,425,746
		Internet & Catalog Retail — 1.9%
	83,025	HSN, Inc.		6,309,900
		IT Services — 6.4%
	183,400	Broadridge Financial Solutions, Inc.		8,469,412
	59,575	CACI International, Inc., Class A(b)		5,134,173
	189,475	iGATE Corp.(b)		7,480,473
				21,084,058
		Life Sciences Tools & Services — 3.4%
	112,525	Albany Molecular Research, Inc.(b)		1,831,907
	164,625	PRA Health Sciences, Inc.(b)		3,987,218
	214,550	VWR Corp.(b)		5,550,408
				11,369,533
		Machinery — 4.6%
	26,650	Barnes Group, Inc.		986,317
	178,500	Hillenbrand, Inc.		6,158,250
	174,825	Rexnord Corp.(b)		4,931,813
	38,675	Standex International Corp.		2,988,030
				15,064,410
		Metals & Mining — 2.0%
	98,775	Globe Specialty Metals, Inc.		1,701,893
	83,100	Reliance Steel & Aluminum Co.		5,091,537
				6,793,430
		Paper & Forest Products — 1.3%
	142,375	KapStone Paper and Packaging Corp.		4,173,011

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Professional Services — 3.2%
	52,200	Dun & Bradstreet Corp. (The)	$	6,314,112
	101,900	ICF International, Inc.(b)		4,175,862
				10,489,974
		REITs – Hotels — 1.4%
	677,250	Hersha Hospitality Trust		4,761,068
		Road & Rail — 0.5%
	32,350	Con-way, Inc.		1,590,973
		Software — 7.6%
	67,425	BroadSoft, Inc.(b)		1,956,673
	87,775	CommVault Systems, Inc.(b)		4,537,090
	64,275	Ellie Mae, Inc.(b)		2,591,568
	130,100	SS&C Technologies Holdings, Inc.		7,609,549
	144,225	Verint Systems, Inc.(b)		8,405,433
				25,100,313
		Specialty Retail — 4.9%
	148,675	GNC Holdings, Inc., Class A		6,981,778
	43,875	Group 1 Automotive, Inc.		3,932,078
	121,875	Men’s Wearhouse, Inc. (The)		5,380,781
				16,294,637
		Textiles, Apparel & Luxury Goods — 3.0%
	154,175	Steven Madden Ltd.(b)		4,907,390
	166,175	Wolverine World Wide, Inc.		4,897,177
				9,804,567
		Total Common Stocks (Identified Cost $247,924,369)		317,249,398
Principal Amount
	Short-Term Investments — 1.8%
$	5,717,818	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $5,717,821 on 1/02/2015 collateralized by $5,680,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $5,836,200 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,717,818)		5,717,818
		Total Investments — 97.8% (Identified Cost $253,642,187)(a)		322,967,216
		Other assets less liabilities — 2.2%		7,398,632
		Net Assets — 100.0%	$	330,365,848

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Small Cap Value Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized appreciation on investments based on a cost of $254,525,600 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	$	69,981,136
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,539,520	)
	Net unrealized appreciation	$	68,441,616
(b)	Non-income producing security.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2014

Banks	8.5	%
Insurance	8.3
Health Care Equipment & Supplies	7.9
Software	7.6
IT Services	6.4
Specialty Retail	4.9
Health Care Providers & Services	4.8
Machinery	4.6
Containers & Packaging	4.4
Life Sciences Tools & Services	3.4
Professional Services	3.2
Textiles, Apparel & Luxury Goods	3.0
Commercial Services & Supplies	2.7
Hotels, Restaurants & Leisure	2.7
Capital Markets	2.6
Metals & Mining	2.0
Aerospace & Defense	2.0
Other Investments, less than 2% each	17.0
Short-Term Investments	1.8
Total Investments	97.8
Other assets less liabilities	2.2
Net Assets	100.0	%

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Value Opportunity Fund

Shares		Description	Value (†)
	Common Stocks — 97.6% of Net Assets
		Auto Components — 3.1%
	175,075	Delphi Automotive PLC	$	12,731,454
	198,000	Tenneco, Inc.(b)		11,208,780
				23,940,234
		Banks — 5.7%
	305,350	CIT Group, Inc.		14,604,891
	1,247,450	Investors Bancorp, Inc.		14,002,626
	344,950	PacWest Bancorp		15,681,427
				44,288,944
		Capital Markets — 3.1%
	268,875	LPL Financial Holdings, Inc.		11,978,381
	303,250	SEI Investments Co.		12,142,130
				24,120,511
		Commercial Services & Supplies — 1.1%
	248,025	KAR Auction Services, Inc.		8,594,066
		Communications Equipment — 1.7%
	592,975	CommScope Holding Co., Inc.(b)		13,537,619
		Consumer Finance — 1.8%
	241,775	PRA Group, Inc.(b)		14,006,026
		Containers & Packaging — 5.6%
	231,350	Avery Dennison Corp.		12,002,438
	353,275	Crown Holdings, Inc.(b)		17,981,698
	170,900	Packaging Corp. of America		13,338,745
				43,322,881
		Diversified Consumer Services — 1.8%
	509,600	ServiceMaster Global Holdings, Inc.(b)		13,641,992
		Diversified Financial Services — 2.0%
	324,100	NASDAQ OMX Group, Inc. (The)		15,543,836
		Energy Equipment & Services — 0.3%
	128,175	Superior Energy Services, Inc.		2,582,726
		Food & Staples Retailing — 2.6%
	2,640,775	Rite Aid Corp.(b)		19,858,628
		Health Care Equipment & Supplies — 1.2%
	256,375	Alere, Inc.(b)		9,742,250
		Health Care Providers & Services — 6.7%
	301,175	Amsurg Corp.(b)		16,483,308
	288,675	Community Health Systems, Inc.(b)		15,565,356
	268,875	HCA Holdings, Inc.(b)		19,732,736
				51,781,400

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Household Durables — 4.5%
	65,650	Harman International Industries, Inc.	$	7,005,511
	372,037	Jarden Corp.(b)		17,813,108
	220,925	Lennar Corp., Class A		9,899,649
				34,718,268
		Household Products — 1.4%
	117,750	Spectrum Brands Holdings, Inc.		11,266,320
		Insurance — 3.5%
	423,100	First American Financial Corp.		14,343,090
	149,025	Reinsurance Group of America, Inc., Class A		13,057,571
				27,400,661
		Internet & Catalog Retail — 1.9%
	198,000	HSN, Inc.		15,048,000
		IT Services — 10.1%
	218,850	Broadridge Financial Solutions, Inc.		10,106,493
	177,175	CACI International, Inc., Class A(b)		15,268,941
	198,000	Fiserv, Inc.(b)		14,052,060
	149,025	Global Payments, Inc.		12,030,788
	696,150	Sabre Corp.		14,110,961
	383,500	Total System Services, Inc.		13,023,660
				78,592,903
		Machinery — 3.0%
	69,825	Snap-on, Inc.		9,547,871
	130,275	WABCO Holdings, Inc.(b)		13,650,214
				23,198,085
		Metals & Mining — 4.3%
	260,525	Carpenter Technology Corp.		12,830,856
	547,125	Constellium NV, Class A(b)		8,989,264
	185,500	Reliance Steel & Aluminum Co.		11,365,585
				33,185,705
		Oil, Gas & Consumable Fuels — 1.9%
	157,375	Gulfport Energy Corp.(b)		6,568,833
	88,575	Noble Energy, Inc.		4,201,112
	113,600	Whiting Petroleum Corp.(b)		3,748,800
				14,518,745
		Pharmaceuticals — 4.7%
	534,625	Catalent, Inc.(b)		14,905,345
	101,075	Mallinckrodt PLC(b)		10,009,457
	82,411	Valeant Pharmaceuticals International, Inc.(b)		11,793,838
				36,708,640
		Professional Services — 1.4%
	357,450	TriNet Group, Inc.(b)		11,181,036

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Value Opportunity Fund – (continued)

Shares		Description	Value (†)
		Road & Rail — 2.6%
	216,775	Con-way, Inc.	$	10,660,994
	387,675	Hertz Global Holdings, Inc.(b)		9,668,615
				20,329,609
		Semiconductors & Semiconductor Equipment — 5.3%
	128,175	Avago Technologies Ltd.		12,893,123
	381,425	Micron Technology, Inc.(b)		13,353,689
	208,425	Skyworks Solutions, Inc.		15,154,582
				41,401,394
		Software — 1.4%
	138,600	Check Point Software Technologies Ltd.(b)		10,889,802
		Specialty Retail — 6.2%
	191,750	Cabela’s, Inc.(b)		10,107,143
	270,950	GNC Holdings, Inc., Class A		12,723,812
	314,075	Men’s Wearhouse, Inc. (The)		13,866,411
	88,575	Signet Jewelers Ltd.		11,653,813
				48,351,179
		Technology Hardware, Storage & Peripherals — 2.0%
	522,100	NCR Corp.(b)		15,213,994
		Textiles, Apparel & Luxury Goods — 3.8%
	256,375	Gildan Activewear, Inc.		14,498,006
	115,675	PVH Corp.		14,826,065
				29,324,071
		Trading Companies & Distributors — 2.9%
	473,125	HD Supply Holdings, Inc.(b)		13,952,457
	82,325	United Rentals, Inc.(b)		8,397,973
				22,350,430
		Total Common Stocks (Identified Cost $650,778,624)		758,639,955
	Closed-End Investment Companies — 1.8%
	889,975	Ares Capital Corp. (Identified Cost $14,908,810)		13,888,060
Principal Amount
	Short-Term Investments — 0.7%
$	5,455,986	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $5,455,989 on 1/02/2015 collateralized by $5,450,000 Federal Home Loan Bank, 2.875% due 6/14/2024 valued at $5,565,813 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,455,986)		5,455,986

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2014

Vaughan Nelson Value Opportunity Fund – (continued)

	Description	Value (†)
	Total Investments — 100.1% (Identified Cost $671,143,420)(a)	$	777,984,001
	Other assets less liabilities — (0.1)%		(758,381	)
	Net Assets — 100.0%	$	777,225,620
(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized appreciation on investments based on a cost of $671,778,562 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	$	128,311,600
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(22,106,161	)
	Net unrealized appreciation	$	106,205,439
(b)	Non-income producing security.

Industry Summary at December 31, 2014

IT Services	10.1	%
Health Care Providers & Services	6.7
Specialty Retail	6.2
Banks	5.7
Containers & Packaging	5.6
Semiconductors & Semiconductor Equipment	5.3
Pharmaceuticals	4.7
Household Durables	4.5
Metals & Mining	4.3
Textiles, Apparel & Luxury Goods	3.8
Insurance	3.5
Capital Markets	3.1
Auto Components	3.1
Machinery	3.0
Trading Companies & Distributors	2.9
Road & Rail	2.6
Food & Staples Retailing	2.6
Diversified Financial Services	2.0
Technology Hardware, Storage & Peripherals	2.0
Other Investments, less than 2% each	17.7
Short-Term Investments	0.7
Total Investments	100.1
Other assets less liabilities	(0.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

41  |

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|  42

Statements of Assets and Liabilities

December 31, 2014

	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
ASSETS
Investments at cost	$	457,574,544		$	242,344,255		$	994,729,587
Net unrealized appreciation (depreciation)		70,269,236			40,479,635			(60,307,248	)
Investments at value		527,843,780			282,823,890			934,422,339
Cash		1,282			6,498			—
Foreign currency at value (identified cost $0, $0, and $90,640, respectively)		—			—			90,640
Receivable for Fund shares sold		46,708			2,768,208			15,679,107
Receivable for securities sold		—			1,146,461			1,676,291
Dividends and interest receivable		605,594			271,144			618,748
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			4,581,514
Tax reclaims receivable		—			—			747,054
TOTAL ASSETS		528,497,364			287,016,201			957,815,693
LIABILITIES
Payable for securities purchased		—			—			494,511
Payable for Fund shares redeemed		840,260			851,360			11,174,092
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			461,174
Management fees payable (Note 6)		317,706			162,774			707,765
Deferred Trustees’ fees (Note 6)		875,037			511,788			44,371
Administrative fees payable (Note 6)		18,941			10,143			35,580
Payable to distributor (Note 6d)		1,813			1,508			7,740
Other accounts payable and accrued expenses		144,960			114,367			188,721
TOTAL LIABILITIES		2,198,717			1,651,940			13,113,954
NET ASSETS	$	526,298,647		$	285,364,261		$	944,701,739
NET ASSETS CONSIST OF:
Paid-in capital	$	449,975,018		$	244,981,047		$	1,001,387,724
Distributions in excess of net investment income/Accumulated net investment loss		(875,037	)		(490,709	)		(1,601,585	)
Accumulated net realized gain on investments and foreign currency transactions		6,929,430			394,288			1,192,979
Net unrealized appreciation (depreciation) on investments and foreign currency translations		70,269,236			40,479,635			(56,277,379	)
NET ASSETS	$	526,298,647		$	285,364,261		$	944,701,739

See accompanying notes to financial statements.

43  |

Statements of Assets and Liabilities (continued)

December 31, 2014

	CGM Advisor Targeted Equity Fund		Natixis Oakmark Fund		Natixis Oakmark International Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	458,974,964	$	195,060,718	$	617,382,804
Shares of beneficial interest		42,783,090		9,548,955		49,622,011
Net asset value and redemption price per share	$	10.73	$	20.43	$	12.44
Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.38	$	21.68	$	13.20
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	931,658	$	668,804	$	—
Shares of beneficial interest		102,997		36,518		—
Net asset value and offering price per share	$	9.05	$	18.31	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	31,461,526	$	62,940,913	$	327,318,935
Shares of beneficial interest		3,508,327		3,459,369		26,730,277
Net asset value and offering price per share	$	8.97	$	18.19	$	12.25
Class Y shares:
Net assets	$	34,930,499	$	26,693,826	$	—
Shares of beneficial interest		3,129,647		1,254,504		—
Net asset value, offering and redemption price per share	$	11.16	$	21.28	$	—

See accompanying notes to financial statements.

|  44

Statements of Assets and Liabilities (continued)

December 31, 2014

	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
ASSETS
Investments at cost	$	253,642,187		$	671,143,420
Net unrealized appreciation		69,325,029			106,840,581
Investments at value		322,967,216			777,984,001
Receivable for Fund shares sold		109,969			2,790,548
Receivable for securities sold		8,712,987			—
Dividends and interest receivable		274,338			338,661
TOTAL ASSETS		332,064,510			781,113,210
LIABILITIES
Payable for securities purchased		322,911			—
Payable for Fund shares redeemed		801,437			3,132,423
Management fees payable (Note 6)		252,866			526,400
Deferred Trustees’ fees (Note 6)		218,039			75,573
Administrative fees payable (Note 6)		12,008			28,121
Payable to distributor (Note 6d)		3,313			8,415
Other accounts payable and accrued expenses		88,088			116,658
TOTAL LIABILITIES		1,698,662			3,887,590
NET ASSETS	$	330,365,848		$	777,225,620
NET ASSETS CONSIST OF:
Paid-in capital	$	257,283,799		$	665,842,911
Distributions in excess of net investment income/ Accumulated net investment loss		(218,038	)		(75,573	)
Accumulated net realized gain on investments		3,975,058			4,617,701
Net unrealized appreciation on		69,325,029			106,840,581
NET ASSETS	$	330,365,848		$	777,225,620

See accompanying notes to financial statements.

45  |

Statements of Assets and Liabilities (continued)

December 31, 2014

	Vaughan Nelson Small Cap Value Fund		Vaughan Nelson Value Opportunity Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	125,200,967	$	73,236,830
Shares of beneficial interest		6,064,450		3,439,845
Net asset value and redemption price per share	$	20.65	$	21.29
Offering price per share (100/94.25 of net asset value) (Note 1)	$	21.91	$	22.59
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	967,478	$	—
Shares of beneficial interest		62,929		—
Net asset value and offering price per share	$	15.37	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	27,292,407	$	35,893,876
Shares of beneficial interest		1,777,162		1,750,339
Net asset value and offering price per share	$	15.36	$	20.51
Class N shares:
Net assets	$	—	$	12,024,110
Shares of beneficial interest		—		559,344
Net asset value, offering and redemption price per share	$	—	$	21.50
Class Y shares:
Net assets	$	176,904,996	$	656,070,804
Shares of beneficial interest		8,373,892		30,490,683
Net asset value, offering and redemption price per share	$	21.13	$	21.52

See accompanying notes to financial statements.

|  46

Statements of Operations

For the Year Ended December 31, 2014

	CGM Advisor Targeted Equity Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund
INVESTMENT INCOME
Dividends	$	5,170,842		$	3,634,934		$	26,512,627
Interest		187			389			519
Less net foreign taxes withheld		(4,490	)		(28,169	)		(2,406,735	)
		5,166,539			3,607,154			24,106,411
Expenses
Management fees (Note 6)		3,950,271			1,511,982			7,726,791
Service and distribution fees (Note 6)		1,538,621			718,374			4,689,805
Administrative fees (Note 6)		239,450			94,112			392,411
Trustees’ fees and expenses (Note 6)		85,335			53,577			34,449
Transfer agent fees and expenses (Note 6)		466,399			240,836			747,651
Audit and tax services fees		48,430			40,097			41,749
Custodian fees and expenses		25,297			24,205			379,432
Legal fees		4,474			1,722			8,007
Registration fees		79,985			92,669			134,034
Shareholder reporting expenses		45,482			30,931			86,648
Miscellaneous expenses		22,970			17,254			41,039
Total expenses		6,506,714			2,825,759			14,282,016
Net investment income (loss)		(1,340,175	)		781,395			9,824,395
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		65,609,793			33,601,811			17,864,400
Foreign currency transactions		161			5,418			4,030,315
Net change in unrealized appreciation (depreciation) on:
Investments		(21,344,530	)		(12,934,590	)		(104,404,133	)
Foreign currency translations		—			—			4,758,193
Net realized and unrealized gain (loss) on investments and foreign currency transactions		44,265,424			20,672,639			(77,751,225	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	42,925,249		$	21,454,034		$	(67,926,830	)

See accompanying notes to financial statements.

47  |

Statements of Operations (continued)

For the Year Ended December 31, 2014

	Vaughan Nelson Small Cap Value Fund			Vaughan Nelson Value Opportunity Fund
INVESTMENT INCOME
Dividends	$	3,741,949		$	5,964,263
Interest		252			378
Less net foreign taxes withheld		—			(5,079	)
		3,742,201			5,959,562
Expenses
Management fees (Note 6)		3,045,023			5,277,503
Service and distribution fees (Note 6)		661,962			504,859
Administrative fees (Note 6)		146,250			284,742
Trustees’ fees and expenses (Note 6)		37,234			32,194
Transfer agent fees and expenses (Notes 6 and 7)		363,591			648,576
Audit and tax services fees		40,122			40,995
Custodian fees and expenses		29,010			34,753
Legal fees		2,774			5,514
Registration fees		79,332			199,073
Shareholder reporting expenses		34,042			60,230
Miscellaneous expenses		21,534			25,804
Total expenses		4,460,874			7,114,243
Fee/expense recovery (Note 6)		—			20
Less waiver and/or expense reimbursement (Note 6)		—			(153	)
Net expenses		4,460,874			7,114,110
Net investment loss		(718,673	)		(1,154,548	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		48,304,361			54,468,033
Net change in unrealized appreciation (depreciation) on:
Investments		(19,409,424	)		16,777,310
Net realized and unrealized gain on investments		28,894,937			71,245,343
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	28,176,264		$	70,090,795

See accompanying notes to financial statements.

|  48

Statements of Changes in Net Assets

	CGM Advisor Targeted Equity Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment loss	$	(1,340,175	)	$	(1,138,950	)
Net realized gain on investments and foreign currency transactions		65,609,954			98,423,883
Net change in unrealized appreciation (depreciation) on investments		(21,344,530	)		46,132,544
Net increase in net assets resulting from operations		42,925,249			143,417,477
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(4,304	)
Class B		—			(97	)
Class C		—			(360	)
Class Y		—			(464	)
Net realized capital gains
Class A		(63,610,439	)		(64,422,015	)
Class B		(177,582	)		(319,115	)
Class C		(5,241,159	)		(5,418,797	)
Class Y		(5,034,635	)		(6,313,726	)
Total distributions		(74,063,815	)		(76,478,878	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(24,383,469	)		(11,961,194	)
Net increase (decrease) in net assets		(55,522,035	)		54,977,405
NET ASSETS
Beginning of the year		581,820,682			526,843,277
End of the year	$	526,298,647		$	581,820,682
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(875,037	)	$	(899,985	)

See accompanying notes to financial statements.

49  |

Statements of Changes in Net Assets (continued)

	Natixis Oakmark Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	781,395		$	459,080
Net realized gain on investments and foreign currency transactions		33,607,229			16,250,184
Net change in unrealized appreciation (depreciation) on investments		(12,934,590	)		32,080,893
Net increase in net assets resulting from operations		21,454,034			48,790,157
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(582,642	)		(432,563	)
Class C		(61,330	)		—
Class Y		(130,544	)		(70,778	)
Net realized capital gains
Class A		(25,448,063	)		(4,641,585	)
Class B		(115,777	)		(53,345	)
Class C		(7,987,538	)		(294,950	)
Class Y		(3,299,099	)		(435,710	)
Total distributions		(37,624,993	)		(5,928,931	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		132,132,840			(7,589,261	)
Net increase in net assets		115,961,881			35,271,965
NET ASSETS
Beginning of the year		169,402,380			134,130,415
End of the year	$	285,364,261		$	169,402,380
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(490,709	)	$	(472,053	)

See accompanying notes to financial statements.

|  50

Statements of Changes in Net Assets (continued)

	Natixis Oakmark International Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	9,824,395		$	415,827
Net realized gain on investments and foreign currency transactions		21,894,715			11,401,208
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(99,645,940	)		36,596,500
Net increase (decrease) in net assets resulting from operations		(67,926,830	)		48,413,535
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(12,092,911	)		(1,179,127	)
Class C		(4,207,529	)		(154,136	)
Net realized capital gains
Class A		(10,563,438	)		(3,755,164	)
Class C		(5,813,413	)		(2,995,185	)
Total distributions		(32,677,291	)		(8,083,612	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		493,477,560			441,801,535
Net increase in net assets		392,873,439			482,131,458
NET ASSETS
Beginning of the year		551,828,300			69,696,842
End of the year	$	944,701,739		$	551,828,300
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(1,601,585	)	$	844,145

See accompanying notes to financial statements.

51  |

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Small Cap Value Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(718,673	)	$	1,290,060
Net realized gain on investments		48,304,361			58,527,986
Net change in unrealized appreciation (depreciation) on investments		(19,409,424	)		50,817,080
Net increase in net assets resulting from operations		28,176,264			110,635,126
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(368,339	)
Class B		—			(812	)
Class C		—			(8,031	)
Class Y		—			(821,635	)
Net realized capital gains
Class A		(20,240,252	)		(23,147,106	)
Class B		(221,933	)		(433,209	)
Class C		(5,709,846	)		(5,802,683	)
Class Y		(26,912,401	)		(25,293,191	)
Total distributions		(53,084,432	)		(55,875,006	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		4,930,798			(27,872,472	)
Net increase (decrease) in net assets		(19,977,370	)		26,887,648
NET ASSETS
Beginning of the year		350,343,218			323,455,570
End of the year	$	330,365,848		$	350,343,218
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(218,038	)	$	(213,083	)

See accompanying notes to financial statements.

|  52

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Value Opportunity Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income (loss)	$	(1,154,548	)	$	141,131
Net realized gain on investments		54,468,033			26,959,140
Net change in unrealized appreciation (depreciation) on investments		16,777,310			76,536,470
Net increase in net assets resulting from operations		70,090,795			103,636,741
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class N		—			(1	)
Class Y		—			(163,927	)
Net realized capital gains
Class A		(5,399,669	)		(3,567,518	)
Class C		(2,482,970	)		(1,069,705	)
Class N		(785,557	)		(60	)
Class Y		(44,268,540	)		(18,839,663	)
Total distributions		(52,936,736	)		(23,640,874	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		310,528,319			174,487,517
Net increase in net assets		327,682,378			254,483,384
NET ASSETS
Beginning of the year		449,543,242			195,059,858
End of the year	$	777,225,620		$	449,543,242
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(75,573	)	$	(57,126	)

See accompanying notes to financial statements.

53  |

Financial Highlights

For a share outstanding throughout each period.

	CGM Advisor Targeted Equity Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	11.46		$	10.23		$	9.36		$	11.12		$	9.54
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		(0.02	)		0.08	(b)		0.05			0.05	(c)
Net realized and unrealized gain (loss)		0.91			2.94			1.36			(1.76	)		1.58
Total from Investment Operations		0.89			2.92			1.44			(1.71	)		1.63
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(d)		(0.09	)		(0.05	)		(0.05	)
Net realized capital gains		(1.62	)		(1.69	)		(0.48	)		—			—
Total Distributions		(1.62	)		(1.69	)		(0.57	)		(0.05	)		(0.05	)
Net asset value, end of the period	$	10.73		$	11.46		$	10.23		$	9.36		$	11.12
Total return(e)		8.27	%		29.01	%		15.44	%(b)		(15.36	)%		17.14	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	458,975		$	493,102		$	438,288		$	503,330		$	753,518
Net expenses		1.15	%		1.17	%		1.18	%		1.13	%		1.16	%
Gross expenses		1.15	%		1.17	%		1.18	%		1.13	%		1.16	%
Net investment income (loss)		(0.21	)%		(0.17	)%		0.78	%(b)		0.45	%		0.52	%(c)
Portfolio turnover rate		229	%		205	%		192	%		236	%		146	%

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

(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been 14.81% and the ratio of net investment income to average net assets would have been 0.21%.

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02 and the ratio of net investment income to average net assets would have been 0.23%.

(d) Amount rounds to less than $0.01 per share.

(e) A sales charge for Class A shares is not reflected in total return calculations.

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

	CGM Advisor Targeted Equity Fund—Class B
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	9.98		$	9.15		$	8.41		$	10.01		$	8.61
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.10	)		(0.10	)		(0.00	)(b)(c)		(0.03	)		(0.02	)(d)
Net realized and unrealized gain (loss)		0.79			2.62			1.22			(1.57	)		1.42
Total from Investment Operations		0.69			2.52			1.22			(1.60	)		1.40
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.00	)(b)		—			(0.00	)(b)
Net realized capital gains		(1.62	)		(1.69	)		(0.48	)		—			—
Total Distributions		(1.62	)		(1.69	)		(0.48	)		—			(0.00	)
Net asset value, end of the period	$	9.05		$	9.98		$	9.15		$	8.41		$	10.01
Total return(e)		7.47	%		28.06	%		14.54	%(c)		(15.98	)%		16.26	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	932		$	2,205		$	3,447		$	5,296		$	9,934
Net expenses		1.89	%		1.91	%		1.93	%		1.88	%		1.91	%
Gross expenses		1.89	%		1.91	%		1.93	%		1.88	%		1.91	%
Net investment loss		(0.98	)%		(0.94	)%		(0.05	)%(c)		(0.32	)%		(0.28	)%(d)
Portfolio turnover rate		229	%		205	%		192	%		236	%		146	%

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

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

(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.05), total return would have been 13.83% and the ratio of net investment loss to average net assets would have been (0.56)%.

(d) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05) and the ratio of net investment loss to average net assets would have been (0.53)%.

(e) A contingent deferred sales charge for Class B shares is not reflected in total return calculations.

See accompanying notes to financial statements.

55  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	CGM Advisor Targeted Equity Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	9.91		$	9.09		$	8.37		$	9.96		$	8.57
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.09	)		(0.10	)		(0.00	)(b)(c)		(0.03	)		(0.02	)(d)
Net realized and unrealized gain (loss)		0.77			2.61			1.20			(1.56	)		1.41
Total from Investment Operations		0.68			2.51			1.20			(1.59	)		1.39
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.00	)(b)		—			(0.00	)(b)
Net realized capital gains		(1.62	)		(1.69	)		(0.48	)		—			—
Total Distributions		(1.62	)		(1.69	)		(0.48	)		—			(0.00	)
Net asset value, end of the period	$	8.97		$	9.91		$	9.09		$	8.37		$	9.96
Total return(e)		7.43	%		28.13	%		14.45	%(c)		(15.96	)%		16.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	31,462		$	36,417		$	35,225		$	47,416		$	81,291
Net expenses		1.90	%		1.91	%		1.93	%		1.88	%		1.91	%
Gross expenses		1.90	%		1.91	%		1.93	%		1.88	%		1.91	%
Net investment loss		(0.96	)%		(0.92	)%		(0.02	)%(c)		(0.32	)%		(0.23	)%(d)
Portfolio turnover rate		229	%		205	%		192	%		236	%		146	%

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

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

(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.05), total return would have been 13.86% and the ratio of net investment loss to average net assets would have been (0.55)%.

(d) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05) and the ratio of net investment loss to average net assets would have been (0.52)%.

(e) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period.

	CGM Advisor Targeted Equity Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	11.83		$	10.49		$	9.59		$	11.40		$	9.78
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.00	(b)		0.01			0.11	(c)		0.07			0.07	(d)
Net realized and unrealized gain (loss)		0.95			3.02			1.39			(1.80	)		1.63
Total from Investment Operations		0.95			3.03			1.50			(1.73	)		1.70
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		(0.12	)		(0.08	)		(0.08	)
Net realized capital gains		(1.62	)		(1.69	)		(0.48	)		—			—
Total Distributions		(1.62	)		(1.69	)		(0.60	)		(0.08	)		(0.08	)
Net asset value, end of the period	$	11.16		$	11.83		$	10.49		$	9.59		$	11.40
Total return		8.52	%		29.34	%		15.69	%(c)		(15.16	)%		17.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34,930		$	50,096		$	49,884		$	57,003		$	137,631
Net expenses		0.89	%		0.91	%		0.93	%		0.87	%		0.91	%
Gross expenses		0.89	%		0.91	%		0.93	%		0.87	%		0.91	%
Net investment income		0.04	%		0.08	%		1.02	%(c)		0.62	%		0.69	%(d)
Portfolio turnover rate		229	%		205	%		192	%		236	%		146	%

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

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

(c) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.05, total return would have been 14.96% and the ratio of net investment income to average net assets would have been 0.47%.

(d) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05 and the ratio of net investment income to average net assets would have been 0.48%.

See accompanying notes to financial statements.

57  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	21.40		$	16.09		$	13.86		$	14.17		$	12.58
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.06			0.12			0.08			0.05
Net realized and unrealized gain (loss)		2.11			6.03			2.24			(0.30	)		1.60
Total from Investment Operations		2.21			6.09			2.36			(0.22	)		1.65
LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.07	)		(0.13	)		(0.09	)		(0.06	)
Net realized capital gains		(3.11	)		(0.71	)		—			—			—
Total Distributions		(3.18	)		(0.78	)		(0.13	)		(0.09	)		(0.06	)
Net asset value, end of the period	$	20.43		$	21.40		$	16.09		$	13.86		$	14.17
Total return(b)		10.43	%		37.82	%		17.03	%(c)		(1.56	)%		13.08	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	195,061		$	145,270		$	113,870		$	107,978		$	118,938
Net expenses		1.22	%		1.30	%(d)		1.30	%(e)		1.30	%(f)		1.30	%(e)
Gross expenses		1.22	%		1.30	%(d)		1.33	%		1.30	%(f)		1.39	%
Net investment income		0.44	%		0.33	%		0.77	%		0.57	%		0.36	%
Portfolio turnover rate		64	%(g)		29	%		25	%		36	%		32	%

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

(b) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

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

(g) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

|  58

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class B
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	19.57		$	14.83		$	12.76		$	13.07		$	11.65
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.07	)		(0.01	)		(0.03	)		(0.05	)
Net realized and unrealized gain (loss)		1.91			5.52			2.08			(0.28	)		1.48
Total from Investment Operations		1.85			5.45			2.07			(0.31	)		1.43
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.00	)(b)		(0.01	)
Net realized capital gains		(3.11	)		(0.71	)		—			—			—
Total Distributions		(3.11	)		(0.71	)		—			(0.00	)		(0.01	)
Net asset value, end of the period	$	18.31		$	19.57		$	14.83		$	12.76		$	13.07
Total return(c)		9.56	%		36.75	%		16.22	%(d)		(2.34	)%		12.31	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	669		$	1,532		$	2,145		$	3,341		$	5,614
Net expenses		1.97	%		2.05	%(e)		2.05	%(f)		2.05	%(g)		2.05	%(f)
Gross expenses		1.97	%		2.05	%(e)		2.08	%		2.05	%(g)		2.13	%
Net investment loss		(0.31	)%		(0.43	)%		(0.04	)%		(0.21	)%		(0.40	)%
Portfolio turnover rate		64	%(h)		29	%		25	%		36	%		32	%

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

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

(c) A contingent deferred sales charge for Class B shares is not reflected in total return calculations.

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

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

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

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

(h) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

59  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	19.48		$	14.75		$	12.72		$	13.02		$	11.61
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.06	)		(0.07	)		0.00	(b)		(0.03	)		(0.05	)
Net realized and unrealized gain (loss)		1.90			5.51			2.05			(0.27	)		1.47
Total from Investment Operations		1.84			5.44			2.05			(0.30	)		1.42
LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		—			(0.02	)		(0.00	)(b)		(0.01	)
Net realized capital gains		(3.11	)		(0.71	)		—			—			—
Total Distributions		(3.13	)		(0.71	)		(0.02	)		(0.00	)		(0.01	)
Net asset value, end of the period	$	18.19		$	19.48		$	14.75		$	12.72		$	13.02
Total return(c)		9.55	%		36.88	%		16.13	%(d)		(2.28	)%		12.26	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	62,941		$	8,425		$	6,016		$	5,667		$	7,399
Net expenses		1.97	%		2.05	%(e)		2.05	%(f)		2.05	%(g)		2.05	%(f)
Gross expenses		1.97	%		2.05	%(e)		2.08	%		2.05	%(g)		2.14	%
Net investment income (loss)		(0.30	)%		(0.42	)%		0.02	%		(0.19	)%		(0.39	)%
Portfolio turnover rate		64	%(h)		29	%		25	%		36	%		32	%

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

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

(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

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

(h) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

|  60

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	22.16		$	16.63		$	14.32		$	14.65		$	12.99
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.11			0.17			0.12			0.08
Net realized and unrealized gain (loss)		2.20			6.24			2.31			(0.33	)		1.67
Total from Investment Operations		2.35			6.35			2.48			(0.21	)		1.75
LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.11	)		(0.17	)		(0.12	)		(0.09	)
Net realized capital gains		(3.11	)		(0.71	)		—			—			—
Total Distributions		(3.23	)		(0.82	)		(0.17	)		(0.12	)		(0.09	)
Net asset value, end of the period	$	21.28		$	22.16		$	16.63		$	14.32		$	14.65
Total return		10.70	%		38.21	%		17.33	%(b)		(1.40	)%		13.47	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	26,694		$	14,176		$	12,100		$	7,567		$	9,586
Net expenses		0.97	%		1.05	%(c)		1.05	%(d)		1.05	%(e)		1.05	%(d)
Gross expenses		0.97	%		1.05	%(c)		1.09	%		1.05	%(e)		1.14	%
Net investment income		0.67	%		0.54	%		1.04	%		0.80	%		0.61	%
Portfolio turnover rate		64	%(f)		29	%		25	%		36	%		32	%

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

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

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

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

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

(f) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team.

See accompanying notes to financial statements.

61  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010*
Net asset value, beginning of the period	$	13.74		$	10.94		$	8.68		$	10.16		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.07			0.14			0.09	(b)		0.00	(c)
Net realized and unrealized gain (loss)		(1.01	)		2.99			2.35			(1.57	)		0.16
Total from Investment Operations		(0.83	)		3.06			2.49			(1.48	)		0.16
LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.08	)		(0.23	)		(0.00	)(c)		(0.00	)(c)
Net realized capital gains		(0.22	)		(0.18	)		—			(0.00	)(c)		—
Total Distributions		(0.47	)		(0.26	)		(0.23	)		(0.00	)		(0.00	)
Net asset value, end of the period	$	12.44		$	13.74		$	10.94		$	8.68		$	10.16
Total return(d)		(6.05	)%		28.13	%		28.78	%(e)		(14.55	)%(b)(e)		1.62	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	617,383		$	314,579		$	35,555		$	33,852		$	5,487
Net expenses		1.31	%		1.44	%(f)		1.45	%(g)		1.45	%(g)		1.45	%(g)(h)
Gross expenses		1.31	%		1.44	%(f)		1.64	%		1.87	%		22.77	%(h)
Net investment income		1.34	%		0.52	%		1.50	%		0.93	%(b)		0.23	%(h)
Portfolio turnover rate		31	%		20	%		53	%		48	%		0	%(i)

* From commencement of operations on December 15, 2010 through December 31, 2010.

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been (14.65)% and the ratio of net investment income to average net assets would have been 0.81%.

(c) Amount rounds to less than $0.01 per share.

(d) A sales charge for Class A shares is not reflected in total return calculations.

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

(f) Includes fee/expense recovery of 0.05%.

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

(h) Computed on an annualized basis for periods less than one year.

(i) Amount rounds to less than 1%.

See accompanying notes to financial statements.

|  62

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010*
Net asset value, beginning of the period	$	13.53		$	10.82		$	8.61		$	10.15		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.08			(0.02	)		0.06			0.02	(b)		(0.00	)(c)
Net realized and unrealized gain (loss)		(0.98	)		2.94			2.34			(1.56	)		0.15
Total from Investment Operations		(0.90	)		2.92			2.40			(1.54	)		0.15
LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.03	)		(0.19	)		(0.00	)(c)		(0.00	)(c)
Net realized capital gains		(0.22	)		(0.18	)		—			(0.00	)(c)		—
Total Distributions		(0.38	)		(0.21	)		(0.19	)		(0.00	)		(0.00	)
Net asset value, end of the period	$	12.25		$	13.53		$	10.82		$	8.61		$	10.15
Total return(d)		(6.67	)%		27.13	%		27.93	%(e)		(15.17	)%(b)(e)		1.52	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	327,319		$	237,250		$	34,142		$	13,501		$	700
Net expenses		2.05	%		2.19	%(f)		2.20	%(g)		2.20	%(g)		2.20	%(g)(h)
Gross expenses		2.05	%		2.19	%(f)		2.39	%		2.59	%		25.08	%(h)
Net investment income (loss)		0.61	%		(0.14	)%		0.59	%		0.20	%(b)		(0.08	)%(h)
Portfolio turnover rate		31	%		20	%		53	%		48	%		0	%(i)

* From commencement of operations on December 15, 2010 through December 31, 2010.

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been (15.27)% and the ratio of net investment income to average net assets would have been 0.08%.

(c) Amount rounds to less than $0.01 per share.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

(f) Includes fee/expense recovery of 0.04%.

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

(h) Computed on an annualized basis for periods less than one year.

(i) Amount rounds to less than 1%.

See accompanying notes to financial statements.

63  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	22.34		$	18.97		$	17.74		$	22.69		$	22.31
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.06	)		0.07	(b)		0.13	(c)		0.10			(0.01	)
Net realized and unrealized gain (loss)		1.95			7.14			2.50			(0.83	)		5.27
Total from Investment Operations		1.89			7.21			2.63			(0.73	)		5.26
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.06	)		(0.14	)		(0.09	)		—
Net realized capital gains		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)
Total Distributions		(3.58	)		(3.84	)		(1.40	)		(4.22	)		(4.90	)
Increase from regulatory settlements		—			—			—			—			0.02
Net asset value, end of the period	$	20.65		$	22.34		$	18.97		$	17.74		$	22.69
Total return(d)		8.79	%		39.01	%(b)		14.93	%(c)		(3.77	)%		23.67	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	125,201		$	152,792		$	160,400		$	228,445		$	267,192
Net expenses		1.37	%		1.39	%(e)		1.39	%		1.36	%		1.41	%
Gross expenses		1.37	%		1.39	%(e)		1.39	%		1.36	%		1.41	%
Net investment income (loss)		(0.27	)%		0.33	%(b)		0.67	%(c)		0.44	%		(0.03	)%
Portfolio turnover rate		58	%		58	%		73	%		88	%		80	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 38.63% and the ratio of net investment income to average net assets would have been 0.02%.

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.04, total return would have been 14.42% and the ratio of net investment income to average net assets would have been 0.22%.

(d) A sales charge for Class A shares is not reflected in total return calculations.

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

See accompanying notes to financial statements.

|  64

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class B
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	17.63		$	15.65		$	14.84		$	19.73		$	20.06
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.19	)		(0.07	)(b)		(0.02	)(c)		(0.07	)		(0.17	)
Net realized and unrealized gain (loss)		1.51			5.84			2.09			(0.69	)		4.72
Total from Investment Operations		1.32			5.77			2.07			(0.76	)		4.55
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		—			(0.00	)(d)		—
Net realized capital gains		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)
Total Distributions		(3.58	)		(3.79	)		(1.26	)		(4.13	)		(4.90	)
Increase from regulatory settlements		—			—			—			—			0.02
Net asset value, end of the period	$	15.37		$	17.63		$	15.65		$	14.84		$	19.73
Total return(e)		7.87	%		38.03	%(b)		14.12	%(c)		(4.51	)%		22.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	967		$	2,239		$	3,106		$	4,657		$	7,996
Net expenses		2.12	%		2.14	%(f)		2.14	%		2.11	%		2.16	%
Gross expenses		2.12	%		2.14	%(f)		2.14	%		2.11	%		2.16	%
Net investment loss		(1.08	)%		(0.40	)%(b)		(0.14	)%(c)		(0.38	)%		(0.78	)%
Portfolio turnover rate		58	%		58	%		73	%		88	%		80	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.14), total return would have been 37.63% and the ratio of net investment income loss to average net assets would have been (0.77)%.

(c) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.09), total return would have been 13.64% and the ratio of net investment income loss to average net assets would have been (0.56)%.

(d) Amount rounds to less than $0.01 per share.

(e) A contingent deferred sales charge for Class B shares is not reflected in total return calculations.

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

See accompanying notes to financial statements.

65  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	17.61		$	15.64		$	14.85		$	19.74		$	20.07
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.18	)		(0.07	)(b)		(0.01	)(c)		(0.06	)		(0.16	)
Net realized and unrealized gain (loss)		1.51			5.83			2.08			(0.70	)		4.71
Total from Investment Operations		1.33			5.76			2.07			(0.76	)		4.55
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		(0.02	)		—			—
Net realized capital gains		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)
Total Distributions		(3.58	)		(3.79	)		(1.28	)		(4.13	)		(4.90	)
Increase from regulatory settlements		—			—			—			—			0.02
Net asset value, end of the period	$	15.36		$	17.61		$	15.64		$	14.85		$	19.74
Total return(d)		7.94	%		37.99	%(b)		14.08	%(c)		(4.51	)%		22.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	27,292		$	31,476		$	26,980		$	30,284		$	38,855
Net expenses		2.12	%		2.14	%(e)		2.14	%		2.11	%		2.16	%
Gross expenses		2.12	%		2.14	%(e)		2.14	%		2.11	%		2.16	%
Net investment loss		(1.02	)%		(0.40	)%(b)		(0.07	)%(c)		(0.33	)%		(0.76	)%
Portfolio turnover rate		58	%		58	%		73	%		88	%		80	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.13), total return would have been 37.59% and the ratio of net investment income loss to average net assets would have been (0.73)%.

(c) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 13.52% and the ratio of net investment income loss to average net assets would have been (0.51)%.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

See accompanying notes to financial statements.

|  66

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	22.73		$	19.24		$	17.99		$	22.96		$	22.47
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.00	)(b)		0.13	(c)		0.18	(d)		0.15			0.06
Net realized and unrealized gain (loss)		1.98			7.26			2.53			(0.84	)		5.31
Total from Investment Operations		1.98			7.39			2.71			(0.69	)		5.37
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.12	)		(0.20	)		(0.15	)		—
Net realized capital gains		(3.58	)		(3.78	)		(1.26	)		(4.13	)		(4.90	)
Total Distributions		(3.58	)		(3.90	)		(1.46	)		(4.28	)		(4.90	)
Increase from regulatory settlements		—			—			—			—			0.02
Net asset value, end of the period	$	21.13		$	22.73		$	19.24		$	17.99		$	22.96
Total return		9.04	%		39.43	%(c)		15.18	%(d)		(3.54	)%		24.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	176,905		$	163,836		$	132,970		$	130,115		$	217,305
Net expenses		1.12	%		1.14	%(e)		1.14	%		1.10	%		1.16	%
Gross expenses		1.12	%		1.14	%(e)		1.14	%		1.10	%		1.16	%
Net investment income (loss)		(0.01	)%		0.59	%(c)		0.95	%(d)		0.65	%		0.24	%
Portfolio turnover rate		58	%		58	%		73	%		88	%		80	%

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

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

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.06, total return would have been 39.06% and the ratio of net investment income to average net assets would have been 0.27%.

(d) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.10, total return would have been 14.73% and the ratio of net investment income to average net assets would have been 0.50%.

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

See accompanying notes to financial statements.

67  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Value Opportunity Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	20.63		$	15.49		$	13.83		$	14.75		$	12.46
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.08	)		(0.03	)		0.15	(b)		(0.01	)		0.08	(c)
Net realized and unrealized gain (loss)		2.31			6.36			2.05			(0.39	)		2.36
Total from Investment Operations		2.23			6.33			2.20			(0.40	)		2.44
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.14	)		—			(0.07	)
Net realized capital gains		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			(0.06	)
Total Distributions		(1.57	)		(1.19	)		(0.54	)		(0.52	)		(0.15	)
Net asset value, end of the period	$	21.29		$	20.63		$	15.49		$	13.83		$	14.75
Total return(d)		10.92	%		41.22	%		15.93	%(b)		(2.71	)%		19.64	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	73,237		$	67,716		$	28,381		$	21,308		$	11,268
Net expenses		1.25	%		1.27	%		1.31	%		1.40	%(f)		1.40	%(g)
Gross expenses		1.25	%		1.27	%		1.31	%		1.40	%(f)		1.69	%
Net investment income (loss)		(0.37	)%		(0.13	)%		0.97	%(b)		(0.07	)%		0.62	%(c)
Portfolio turnover rate		58	%		39	%		65	%		75	%		143	%

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

(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been 15.06% and the ratio of net investment income to average net assets would have been 0.16%.

(c) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.01 and the ratio of net investment income to average net assets would have been 0.07%.

(d) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

|  68

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Value Opportunity Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	20.07		$	15.21		$	13.60		$	14.63		$	12.39
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.23	)		(0.17	)		0.04	(b)		(0.12	)		(0.03	)(c)
Net realized and unrealized gain (loss)		2.24			6.22			2.01			(0.39	)		2.36
Total from Investment Operations		2.01			6.05			2.05			(0.51	)		2.33
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.04	)		—			(0.04	)
Net realized capital gains		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			(0.03	)
Total Distributions		(1.57	)		(1.19	)		(0.44	)		(0.52	)		(0.09	)
Net asset value, end of the period	$	20.51		$	20.07		$	15.21		$	13.60		$	14.63
Total return(d)		10.12	%		40.13	%		15.10	%(b)		(3.48	)%		18.85	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	35,894		$	21,005		$	3,090		$	1,822		$	824
Net expenses		2.00	%		2.02	%		2.06	%		2.15	%(f)		2.15	%(g)
Gross expenses		2.00	%		2.02	%		2.06	%		2.15	%(f)		2.46	%
Net investment income (loss)		(1.10	)%		(0.89	)%		0.24	%(b)		(0.83	)%		(0.23	)%(c)
Portfolio turnover rate		58	%		39	%		65	%		75	%		143	%

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

(b) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.08), total return would have been 14.21% and the ratio of net investment loss to average net assets would have been (0.57)%.

(c) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.09) and the ratio of net investment loss to average net assets would have been (0.74)%.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

69  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Value Opportunity Fund—Class N
	Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	20.76		$	17.53
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.00	)(b)		(0.04	)
Net realized and unrealized gain (loss)		2.31			4.35
Total from Investment Operations		2.31			4.31
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.02	)
Net realized capital gains		(1.57	)		(1.06	)
Total Distributions		(1.57	)		(1.08	)
Net asset value, end of the period	$	21.50		$	20.76
Total return		11.24	%		24.70	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	12,024		$	1
Net expenses		0.91	%(d)		1.03	%(e)(f)
Gross expenses		0.91	%(d)		2.07	%(f)
Net investment loss		(0.00	)%(g)		(0.33	)%(f)
Portfolio turnover rate		58	%		39	%

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

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

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

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

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

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

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

(g) Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

|  70

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Value Opportunity Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	20.78		$	15.57		$	13.89		$	14.80		$	12.49
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.02			0.18	(b)		0.03			0.12	(c)
Net realized and unrealized gain (loss)		2.33			6.39			2.08			(0.41	)		2.37
Total from Investment Operations		2.31			6.41			2.26			(0.38	)		2.49
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		(0.18	)		(0.01	)		(0.09	)
Net realized capital gains		(1.57	)		(1.19	)		(0.40	)		(0.52	)		(0.02	)
Paid-in capital		—			—			—			—			(0.07	)
Total Distributions		(1.57	)		(1.20	)		(0.58	)		(0.53	)		(0.18	)
Net asset value, end of the period	$	21.52		$	20.78		$	15.57		$	13.89		$	14.80
Total return		11.23	%		41.52	%		16.28	%(b)		(2.53	)%		19.96	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	656,071		$	360,820		$	163,589		$	109,419		$	40,715
Net expenses		1.00	%		1.02	%		1.06	%		1.15	%(e)		1.15	%(f)
Gross expenses		1.00	%		1.02	%		1.06	%		1.15	%(e)		1.43	%
Net investment income (loss)		(0.10	)%		0.12	%		1.22	%(b)		0.23	%		0.92	%(c)
Portfolio turnover rate		58	%		39	%		65	%		75	%		143	%

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

(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.06, total return would have been 15.41% and the ratio of net investment income to average net assets would have been 0.42%.

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.04 and the ratio of net investment income to average net assets would have been 0.34%.

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

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

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

See accompanying notes to financial statements.

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

Natixis Funds Trust I:

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

Natixis Oakmark International Fund

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

Natixis Funds Trust II:

Natixis Oakmark Fund

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

Each Fund is a diversified investment company.

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

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

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

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

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

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

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

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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.

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

As of December 31, 2014, approximately 95% of the market value of Natixis Oakmark International Fund’s investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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

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Notes to Financial Statements (continued)

December 31, 2014

recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

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

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e.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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Notes to Financial Statements (continued)

December 31, 2014

foreign currency contracts mark-to-market and return of capital distributions received. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2014 and 2013 was as follows:

	2014 Distributions Paid From:						2013 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Targeted Equity Fund	$	44,618,075	$	29,445,740	$	74,063,815	$	37,213,633	$	39,265,245	$	76,478,878
Natixis Oakmark Fund		5,775,346		31,849,647		37,624,993		503,341		5,425,590		5,928,931
Natixis Oakmark International Fund		19,465,727		13,211,564		32,677,291		1,974,167		6,109,445		8,083,612
Small Cap Value Fund		3,773,025		49,311,407		53,084,432		14,068,610		41,806,396		55,875,006
Value Opportunity Fund		7,850,454		45,086,282		52,936,736		4,109,936		19,530,938		23,640,874

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

As of December 31, 2014, the components of distributable earnings on a tax basis were as follows:

	Targeted Equity Fund		Natixis Oakmark Fund		Natixis Oakmark International Fund			Small Cap Value Fund		Value Opportunity Fund
Undistributed ordinary income	$	6,929,430	$	240,770	$	2,885,358		$	1,126,946	$	669,007
Undistributed long-term capital gains		—		641,691		3,607,649			3,731,525		4,583,836
Total undistributed earnings		6,929,430		882,461		6,493,007			4,858,471		5,252,843
Unrealized appreciation (depreciation)		70,269,236		40,018,459		(63,134,621	)		68,441,616		106,205,439
Total accumulated earnings (losses)	$	77,198,666	$	40,900,920	$	(56,641,614	)	$	73,300,087	$	111,458,282

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g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2014, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

For the year ended December 31, 2014, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2014, at value:

Targeted Equity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	512,793,780	$	—	$	—	$	512,793,780
Short-Term Investments		—		15,050,000		—		15,050,000
Total	$	512,793,780	$	15,050,000	$	—	$	527,843,780

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

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

Natixis Oakmark Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	266,290,404	$	—	$	—	$	266,290,404
Short-Term Investments		—		16,533,486		—		16,533,486
Total	$	266,290,404	$	16,533,486	$	—	$	282,823,890

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

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December 31, 2014

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

Natixis Oakmark International Fund

Asset Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Common Stocks
Australia	$	—	$	33,431,284		$	—	$	33,431,284
France		—		135,741,224			—		135,741,224
Germany		—		105,993,116			—		105,993,116
Ireland		—		27,462,185			—		27,462,185
Italy		—		52,802,350			—		52,802,350
Japan		—		101,918,832			—		101,918,832
Korea		—		25,415,438			—		25,415,438
Netherlands		—		62,311,979			—		62,311,979
Sweden		—		39,774,299			—		39,774,299
Switzerland		—		172,752,164			—		172,752,164
United Kingdom		18,905,339		126,152,088			—		145,057,427
All Other Common Stocks(a)		16,955,527		—			—		16,955,527
Total Common Stocks		35,860,866		883,754,959			—		919,615,825
Short-Term Investments		—		14,806,514			—		14,806,514
Total Investments		35,860,866		898,561,473			—		934,422,339
Forward Foreign Currency Contracts (unrealized appreciation)		—		4,581,514			—		4,581,514
Total	$	35,860,866	$	903,142,987		$	—	$	939,003,853
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(461,174	)	$	—	$	(461,174	)

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

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

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

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Notes to Financial Statements (continued)

December 31, 2014

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	317,249,398	$	—	$	—	$	317,249,398
Short-Term Investments		—		5,717,818		—		5,717,818
Total	$	317,249,398	$	5,717,818	$	—	$	322,967,216

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

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

Value Opportunity Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	758,639,955	$	—	$	—	$	758,639,955
Closed-End Investment Companies		13,888,060		—		—		13,888,060
Short-Term Investments		—		5,455,986		—		5,455,986
Total	$	772,528,015	$	5,455,986	$	—	$	777,984,001

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

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

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

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	4,581,514

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December 31, 2014

Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(461,174	)

Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2014, as reflected within the Statements of Operations were as follows:

Net Realized Gain on:	Foreign currency transactions1
Foreign exchange contracts	$	4,389,133

Net Change in Unrealized Appreciation (Depreciation) on:	Foreign currency translations1
Foreign exchange contracts	$	4,846,688

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

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

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2014:

Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		7.88	%
Highest Notional Amount Outstanding		8.90	%
Lowest Notional Amount Outstanding		5.65	%
Notional Amount Outstanding as of December 31, 2014		8.90	%

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

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

The Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically

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December 31, 2014

contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.

As of December 31, 2014, gross amounts of derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Natixis Oakmark International Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Amount
State Street Bank and Trust Company	$	4,581,514		$	(461,174	)	$	4,120,340
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Amount
State Street Bank and Trust Company	$	(461,174	)	$	461,174		$	—

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund	$	4,581,514	$	4,120,340

5. Purchases and Sales of Securities. For the year ended December 31, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Targeted Equity Fund	$	1,252,067,989	$	1,360,988,619
Natixis Oakmark Fund		215,496,380		131,038,163
Natixis Oakmark International Fund		767,573,998		267,764,205
Small Cap Value Fund		191,134,687		248,324,223
Value Opportunity Fund		634,760,088		374,522,551

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December 31, 2014

6.  Management Fees and Other Transactions with Affiliates.

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

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

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

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

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

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

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

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

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

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

For the year ended December 31, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

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

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

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For the year ended December 31, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Targeted Equity Fund	$	3,950,271	$	—	$	3,950,271		0.71	%		0.71	%
Natixis Oakmark Fund		1,511,982		—		1,511,982		0.69	%		0.69	%
Natixis Oakmark International Fund		7,726,791		—		7,726,791		0.85	%		0.85	%
Small Cap Value Fund		3,045,023		—		3,045,023		0.90	%		0.90	%
Value Opportunity Fund		5,277,503		—		5,277,503		0.80	%		0.80	%

For the year ended December 31, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:

Fund	Recovered Expenses
Value Opportunity Fund	$	20

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

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

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

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

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

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services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.

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

For the year ended December 31, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Targeted Equity Fund	$	1,187,445	$	3,679	$	84,115	$	11,036	$	252,346
Natixis Oakmark Fund		419,196		2,546		72,248		7,639		216,745
Natixis Oakmark International Fund		1,466,846		—		805,740		—		2,417,219
Small Cap Value Fund		351,225		3,541		74,143		10,623		222,430
Value Opportunity Fund		212,513		—		73,086		—		219,260

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Fund and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, the Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2014, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Targeted Equity Fund	$	239,450
Natixis Oakmark Fund		94,112
Natixis Oakmark International Fund		392,411
Small Cap Value Fund		146,250
Value Opportunity Fund		284,742

Prior to July 1, 2014, each Fund paid NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of

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such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million.

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

For the year ended December 31, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were the following:

Fund	Sub-Transfer Agent Fees
Targeted Equity Fund	$	173,548
Natixis Oakmark Fund		94,185
Natixis Oakmark International Fund		700,092
Small Cap Value Fund		265,697
Value Opportunity Fund		627,914

As of December 31, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Targeted Equity Fund	$	1,813
Natixis Oakmark Fund		1,508
Natixis Oakmark International Fund		7,740
Small Cap Value Fund		3,313
Value Opportunity Fund		8,415

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2014, were as follows:

Fund	Commissions
Targeted Equity Fund	$	119,415
Natixis Oakmark Fund		578,300
Natixis Oakmark International Fund		1,304,192
Small Cap Value Fund		15,311
Value Opportunity Fund		179,915

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2014, the Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2015, the chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts

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are allocated pro rata among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees on the Statements of Assets and Liabilities.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Value Opportunity Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2016 and is not subject to recovery under the expense limitation agreement described above.

For the period July 1, 2014 to December 31, 2014, NGAM Advisors reimbursed the Fund $153 for transfer agency expenses related to Class N shares.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the year ended December 31, 2014, Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable)

	Class A		Class C		Class N		Class Y
Transfer Agent Fees and Expenses	$	85,837	$	29,138	$	166	$	533,435

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

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

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

For the year ended December 31, 2014, none of the Funds had borrowings under this agreement.

9.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such

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agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2014, amounts rebated under these agreements were as follows:

Fund	Rebates
Targeted Equity Fund	$	295,121

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

11.  Concentration of Ownership.  From time to time, a fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the funds. As of December 31, 2014, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of >5% Non- Affiliated Account Holders		Percentage of Non-Affiliated Ownership
Small Cap Value Fund		2		13.54	%
Value Opportunity Fund		2		19.37	%

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

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

	Year Ended December 31, 2014					Year Ended December 31, 2013
Targeted Equity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,382,713		$	27,553,469		1,458,995		$	16,947,507
Issued in connection with the reinvestment of distributions	5,713,464			60,881,859		5,498,306			61,361,100
Redeemed	(8,345,177	)		(95,762,976	)	(6,773,819	)		(79,452,307	)
Net change	(249,000	)	$	(7,327,648	)	183,482		$	(1,143,700	)
Class B
Issued from the sale of shares	3,846		$	36,977		9,622		$	104,266
Issued in connection with the reinvestment of distributions	19,323			175,598		31,669			307,820
Redeemed	(141,197	)		(1,397,515	)	(197,033	)		(2,058,965	)
Net change	(118,028	)	$	(1,184,940	)	(155,742	)	$	(1,646,879	)
Class C
Issued from the sale of shares	417,975		$	3,975,723		346,867		$	3,419,390
Issued in connection with the reinvestment of distributions	378,532			3,392,074		357,986			3,454,570
Redeemed	(964,764	)		(9,405,559	)	(902,542	)		(9,267,379	)
Net change	(168,257	)	$	(2,037,762	)	(197,689	)	$	(2,393,419	)
Class Y
Issued from the sale of shares	1,277,719		$	15,171,684		1,018,288		$	12,174,489
Issued in connection with the reinvestment of distributions	315,692			3,498,909		385,629			4,442,449
Redeemed	(2,699,487	)		(32,503,712	)	(1,924,481	)		(23,394,134	)
Net change	(1,106,076	)	$	(13,833,119	)	(520,564	)	$	(6,777,196	)
Increase (decrease) from capital share transactions	(1,641,361	)	$	(24,383,469	)	(690,513	)	$	(11,961,194	)

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12.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Natixis Oakmark Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,668,913		$	80,305,026		594,097		$	11,371,063
Issued in connection with the reinvestment of distributions	1,061,143			21,984,956		206,364			4,393,477
Redeemed	(1,968,641	)		(43,020,284	)	(1,091,588	)		(20,603,657	)
Net change	2,761,415		$	59,269,698		(291,127	)	$	(4,839,117	)
Class B
Issued from the sale of shares	793		$	15,447		2,215		$	39,142
Issued in connection with the reinvestment of distributions	6,139			114,704		2,720			52,955
Redeemed	(48,674	)		(958,785	)	(71,336	)		(1,232,916	)
Net change	(41,742	)	$	(828,634	)	(66,401	)	$	(1,140,819	)
Class C
Issued from the sale of shares	3,014,013		$	59,777,822		77,627		$	1,397,844
Issued in connection with the reinvestment of distributions	214,242			3,952,587		10,127			196,273
Redeemed	(201,413	)		(3,932,222	)	(63,084	)		(1,112,010	)
Net change	3,026,842		$	59,798,187		24,670		$	482,107
Class Y
Issued from the sale of shares	762,265		$	17,289,800		423,721		$	8,459,458
Issued in connection with the reinvestment of distributions	148,825			3,209,042		20,978			462,557
Redeemed	(296,205	)		(6,605,253	)	(532,575	)		(11,013,447	)
Net change	614,885		$	13,893,589		(87,876	)	$	(2,091,432	)
Increase (decrease) from capital share transactions	6,361,400		$	132,132,840		(420,734	)	$	(7,589,261	)

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12.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Natixis Oakmark International Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	43,808,176		$	590,904,771		21,056,422		$	277,082,046
Issued in connection with the reinvestment of distributions	1,654,360			20,974,239		319,731			4,302,790
Redeemed	(18,741,882	)		(243,326,691	)	(1,725,547	)		(21,871,254	)
Net change	26,720,654		$	368,552,319		19,650,606		$	259,513,582
Class C
Issued from the sale of shares	13,563,541		$	180,784,363		14,898,386		$	188,703,775
Issued in connection with the reinvestment of distributions	564,157			7,051,208		162,333			2,145,259
Redeemed	(4,930,036	)		(62,910,330	)	(684,178	)		(8,561,081	)
Net change	9,197,662		$	124,925,241		14,376,541		$	182,287,953
Increase (decrease) from capital share transactions	35,918,316		$	493,477,560		34,027,147		$	441,801,535

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12.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Small Cap Value Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	447,060		$	9,835,856		599,022		$	13,053,903
Issued in connection with the reinvestment of distributions	817,956			17,011,106		912,982			19,850,490
Redeemed	(2,038,618	)		(45,649,192	)	(3,131,075	)		(66,811,043	)
Net change	(773,602	)	$	(18,802,230	)	(1,619,071	)	$	(33,906,650	)
Class B
Issued from the sale of shares	7,619		$	133,164		11,456		$	209,832
Issued in connection with the reinvestment of distributions	13,951			220,076		25,074			431,817
Redeemed	(85,671	)		(1,490,851	)	(108,007	)		(1,942,239	)
Net change	(64,101	)	$	(1,137,611	)	(71,477	)	$	(1,300,590	)
Class C
Issued from the sale of shares	109,154		$	1,768,690		129,833		$	2,289,227
Issued in connection with the reinvestment of distributions	281,983			4,396,718		252,715			4,356,398
Redeemed	(401,405	)		(6,855,018	)	(320,688	)		(5,693,761	)
Net change	(10,268	)	$	(689,610	)	61,860		$	951,864
Class Y
Issued from the sale of shares	1,798,226		$	41,246,189		1,039,846		$	23,037,927
Issued in connection with the reinvestment of distributions	1,028,472			21,777,987		785,493			17,359,014
Redeemed	(1,660,679	)		(37,463,927	)	(1,527,529	)		(34,014,037	)
Net change	1,166,019		$	25,560,249		297,810		$	6,382,904
Increase (decrease) from capital share transactions	318,048		$	4,930,798		(1,330,878	)	$	(27,872,472	)

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12.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013*
Value Opportunity Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,237,031		$	67,850,893		1,783,255		$	33,448,462
Issued in connection with the reinvestment of distributions	248,216			5,263,321		173,512			3,452,669
Redeemed	(3,327,984	)		(71,812,258	)	(506,160	)		(9,482,644	)
Net change	157,263		$	1,301,956		1,450,607		$	27,418,487
Class C
Issued from the sale of shares	740,584		$	15,300,207		851,169		$	15,880,914
Issued in connection with the reinvestment of distributions	97,107			1,986,798		45,963			896,367
Redeemed	(133,887	)		(2,764,527	)	(53,768	)		(967,373	)
Net change	703,804		$	14,522,478		843,364		$	15,809,908
Class N
Issued from the sale of shares	561,402		$	12,347,954		57		$	1,892
Issued in connection with the reinvestment of distributions	36,678			785,557		3			61
Redeemed	(38,796	)		(817,090	)	—			—
Net change	559,284		$	12,316,421		60		$	1,953
Class Y
Issued from the sale of shares	17,284,818		$	372,678,420		9,218,173		$	175,491,968
Issued in connection with the reinvestment of distributions	1,747,547			37,469,538		775,935			15,564,482
Redeemed	(5,903,464	)		(127,760,494	)	(3,139,077	)		(59,799,281	)
Net change	13,128,901		$	282,387,464		6,855,031		$	131,257,169
Increase (decrease) from capital share transactions	14,549,252		$	310,528,319		9,149,062		$	174,487,517

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

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Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the CGM Advisor Targeted Equity Fund, Natixis Oakmark International Fund, and Vaughan Nelson Small Cap Value Fund, each a series of Natixis Funds Trust I; and the Natixis Oakmark Fund (formerly Harris Associates Large Cap Value Fund) and Vaughan Nelson Value Opportunity Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2014, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 23, 2015

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2014 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2014, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Targeted Equity		9.93	%
Oakmark Fund		51.50	%
Small Cap Value		57.05	%
Value Opportunity		57.30	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2014.

Fund	Amount
Targeted Equity	$	29,445,740
Oakmark Fund		31,849,647
Natixis Oakmark International		13,211,564
Small Cap Value		49,311,407
Value Opportunity		45,086,282

Qualified Dividend Income.  For the fiscal year ended December 31, 2014, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2014, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Targeted Equity		9.83	%
Oakmark Fund		58.80	%
Natixis Oakmark International		100.00	%
Small Cap Value		74.11	%
Value Opportunity		58.85	%

Foreign Tax Credit.  For the year ended December 31, 2014, the Natixis Oakmark International Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:

Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
Natixis Oakmark International	$	2,172,179	$	26,512,627

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Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	42 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 Contract Review Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Experience on the Board and significant experience on the boards of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)

99  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Vice President and Treasurer of Raytheon Company (defense)	42 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 Audit Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Trustee and Officer Information

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

101  |

Trustee and Officer Information

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

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Trustee and Officer Information

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

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

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

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Trustee and Officer Information

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

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

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

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Trustee and Officer Information

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

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

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

105  |

ANNUAL REPORT

December 31, 2014

McDonnell Intermediate Municipal Bond Fund

Natixis Diversified Income Fund

Natixis U.S. Equity Opportunities Fund

Seeyond^SM Multi-Asset Allocation Fund

TABLE OF CONTENTS

Portfolio Review  page  1

Portfolio of Investments  page 25

Financial Statements  page  58

Notes to Financial Statements page 78

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

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

Objective

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

Market Conditions

Crude oil staged a stunning collapse, declining by more than 40% in the fourth quarter alone, capping a year of broad-based commodity price weakness. This represented only one of four strong, interrelated trends that occurred during the second half that greatly influenced fixed-income returns in 2014 and set the stage for the capital markets in 2015.

· The U.S. bond market rallied impressively across most maturities and the yield curve (a graph of Treasury yields, from short-term to long-term) flattened sharply.

· Commodity prices, led by a stunning decline in crude oil and related energy market prices, sold off sharply and broadly

· Longer-term inflation expectations ratcheted lower as investors reacted to near deflationary conditions in the euro zone and renewed recession in Japan.

· The dollar rallied considerably against all major market currencies in anticipation of a directional change in monetary policy.

The divergence of economic growth between the United States and the rest of the world underlies the dynamics of these relationships. Global growth has been decelerating while U.S. economic growth strengthened, laying the groundwork for divergence not only of economic performance but also of central bank policy as we move forward. This dominant trend drove asset market returns in 2014 and may well play a key role in market development in the year ahead, as we are perhaps approaching a policy inflection point whereby the U.S. Federal Reserve Board (the Fed) raises rates while other major central banks ease policy. The U.S. dollar, as the major reserve currency in global finance, occupies an outsized role not only in trade, but also in capital market valuations and returns. Whether global markets have fully discounted diverging monetary policy objectives or whether these trends have further room to run will be critical to market evolution going forward.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of the McDonnell Intermediate Municipal Bond Fund returned 6.08% at net asset value.

1  |

The Fund underperformed its benchmark, the Barclays 3-15 Year Blend Municipal Bond Index, which returned 6.96%.

Explanation of Fund Performance

The higher credit quality bias of the Fund was the primary detractor to relative returns as ‘reach for yield’ behavior on the part of investors helped drive valuations of lower quality municipals higher. Lack of exposure to Commonwealth of Puerto Rico issuers, whose bonds significantly outperformed the broad market prior to their downgrade to sub-investment grade, was an example of spread compression across lower quality sectors of the market. In addition, Fund performance was modestly negatively impacted by an underweight relative to the index in longer maturity California exposure as valuations tightened amid continued strong investor demand.

Fund performance was positively impacted by generally falling interest rates across the bond market, and most significantly in the longer portion of the yield curve. Yields declined from 6 years and longer in the municipal market, and the yield curve flattened sharply. In contrast to the previous year, investor demand returned to the market and was reflected in consistently positive shareholder inflows into the municipal market throughout the past year. New issue supply was down drastically during the first half but recovered to end flat for the year as refunding issuance picked up in the second half amid the general decline in interest rates.

Positive contributors to performance included the Fund’s overweight in single A-rated securities across various sectors of the market. The portfolio overweight relative to the index in the hospital sector also aided performance as spread compression continued to benefit the riskier sectors of the market.

Finally, portfolio performance also benefited from yield curve repositioning emphasizing exposure to the longer end of the intermediate curve. Curve posture, shifted in 2014 to enhance exposure amid higher yields and more attractive valuations, contributed positively as the yield curve flattened.

Outlook

The outlook for the economy remains sound. The recovery, now in its sixth year, appears to be strengthening as employment growth improves while inflation remains quiescent. Market prices currently reflect a consensus expectation that the Fed will engineer a modest change in monetary policy by boosting short-term interest rates around mid-year. We believe that the Fed will seek to move off the zero lower bound rate policy at some point over the coming year, but with inflation decelerating and global growth slowing, the anticipated hike in short-term rates could prove to be more of a ‘token’ move rather than a sustained march higher in rates as the year unfolds. Municipal valuations versus Treasuries remain relatively attractive across the longer end of the intermediate curve, while U.S. yields, in general, are historically attractive relative to other major sovereign issuers.

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MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2012 (inception) through December 31, 2014

Average Annual Total Returns — December 31, 2014⁴

	1 Year			Life of Fund
Class A (Inception 12/31/12)1
NAV		6.08	%		1.62	%
With 3.50% Maximum Sales Charge		2.33			-0.18
Class C (Inception 12/31/12)1
NAV		5.18			0.83
With CDSC2		4.18			0.83
Class Y (Inception 12/31/12)1
NAV		6.36			1.93
Comparative Performance
Barclays 3-15 Year Blend Municipal Bond Index3		6.96			2.78

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

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

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

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

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

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NATIXIS DIVERSIFIED INCOME FUND

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

Objective

The Fund seeks current income with a secondary objective of capital appreciation.

Market Conditions

In the United States, economic growth continued to increase in 2014, driving unemployment down from 6.6% at the beginning of the year to a low of 5.6% in December. Divergence between the improving growth prospects of the U.S. economy and rest of the world became a major theme during the year, as European growth prospects fell and emerging market growth stumbled. Encouraged by falling unemployment and improving growth, the Federal Reserve Board (the Fed) discontinued its quantitative easing program and provided guidance that interest rates could begin to increase by mid-2015. Declining commodity prices, particularly oil prices, which fell by half during the second half of the year, also contributed significantly to the economic landscape. The U.S. dollar began a sustained rise, driven by these trends. Both U.S. equity and bond markets reached new highs towards the end of 2014, amid an increase in market volatility.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Natixis Diversified Income Fund returned 13.08% at net asset value. The portfolio outperformed its primary benchmark, the Barclays U.S. Aggregate Bond Index, which returned 5.97%. The Fund underperformed its secondary benchmark, which returned 13.34% for the period. This benchmark is a blended, unmanaged index composed of 40% Barclays U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones U.S. Select Dividend™ Index and 15% Barclays U.S. TIPS Index.

Explanation of Fund Performance

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

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

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NATIXIS DIVERSIFIED INCOME FUND

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

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

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

The AEW Diversified REIT segment was the largest contributor to the Fund’s outperformance for the 12 months ended December 31, 2014.

Active Dividend Equity Segment

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

The Dow Jones U.S. Select Dividend™ Index returned 15.36% for the 12-month period ended December 31, 2014. Utilities, industrials, and consumer staples made the strongest contribution to index gains, while energy, materials, and consumer discretionary were the weakest performers for the period. Energy was the only sector with a negative return for the year. As of December 31, 2014, the largest sectors in the index were the same as at the beginning of the period: utilities, industrials and consumer staples.

During the course of the year, two stocks were deleted from the index and two replacements were named. UNS Energy was acquired and therefore dropped from the index. Noble was added as a replacement. Universal was deleted and replaced by Domtar. ONEOK and Kimberly Clark both spun off companies, which were not added to the index.

AEW Diversified REIT Segment

The U.S. REIT sector returned 30.38% for the 12-month period ended December 31, 2014, as measured by the MSCI U.S. REIT Index. The U.S. economy performed extremely well in 2014, with a trend of 11 consecutive months where at least 200,000 new jobs were created, the longest stretch since 1995. Meanwhile, REITs strongly outperformed the broader equity market, driven by the positive economic news in the U.S., as well as mergers and acquisitions sentiment and falling interest rates. The Fund’s REIT segment benefited from positive stock selection results and positive sector allocation results. Among the strongest individual contributors were apartment company Equity Residential, office company Kilroy Realty, and storage company Extra Space Storage. Detractors from performance included diversified companies Forest City Enterprises and Alexander & Baldwin and hotel company Extended Stay America.

Going forward, we expect REIT gains to be driven more by improving earnings fundamentals than by additional multiple expansion. We expect high single digit earnings

5  |

growth across the REIT sector in 2015, and we believe the prospect for competitive returns with improving diversification benefits should support REIT shares in the near term. During the longer term, when we eventually transition into an environment of higher interest rates, REITs will have benefitted from a series of moves that have strengthened balance sheets and improved average asset quality. Such moves provide the best defense against the potential for higher capitalization rates in the future, whether they come sooner or later.

Loomis Sayles Inflation Protected Securities Segment

Overall, U.S. Treasuries generated positive total returns during the year, which helped buoy the segment’s performance. Our TIPS position, which represented the segment’s largest allocation, was the most significant contributor to performance.

Yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) trades, expressed with swaptions (option on interest rate swaps) and designed to benefit from a steepening yield curve, weighed the most on performance, as the yield curve flattened during the year. A small position in 30-year U.S. Treasuries supported results, given widespread global growth concerns helped fuel demand for longer-maturity nominal Treasuries.

Loomis Sayles Multi-Sector Bond Segment

The segment’s high-yield holdings generated strong returns during the 12-month period. Specifically, security selection among industrial issues aided results. Financial and utility names contributed positively. Investment-grade corporate bonds also generated robust returns, outperforming duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). Financial and industrial issues bolstered results, as selected names within the banking, insurance and basic industry space led the way. Within the utility industry, a small position in an electric company buoyed the sector into positive territory.

Our holdings in convertible issues mirrored the uptick in equity markets and were large contributors to return. In particular, a selected technology name generated positive results, boosting return. Also benefiting from the uptick in equity markets was the portfolio’s small position in preferred securities, as an individual banking name drove performance within the space.

Exposure to shorter-maturity U.S. Treasuries weighed on performance, as rates flattened throughout the one-year period. The portfolio’s hedged positions also weighed on return. Meanwhile, positioning among securitized credit generated mixed results. The commercial mortgage-backed securities (CMBS) sector was the strongest contributor in the group, while asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) detracted from performance. Our yield curve positioning also weighed on returns within the securitized space.

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NATIXIS DIVERSIFIED INCOME FUND

Growth of $10,000 Investment in Class A Shares⁵

November 17, 2005 (inception) through December 31, 2014

7  |

Average Annual Total Returns — December 31, 2014⁵

	1 Year			5 Years			Life of Class
Class A (Inception 11/17/05)							Class A/C			Class Y
NAV		13.08	%		11.14	%		7.28	%		—	%
With 4.50% Maximum Sales Charge		7.96			10.13			6.74			—
Class C (Inception 11/17/05)
NAV		12.28			10.31			6.47			—
With CDSC2		11.28			10.31			6.47			—
Class Y (Inception 12/3/12)1
NAV		13.05			11.16			—			9.78
Comparative Performance
Barclays U.S. Aggregate Bond Index3		5.97			4.45			5.00			1.77
Blended Index4		13.34			10.21			6.92			8.59

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

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

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

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

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

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

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

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

Objective

The Fund seeks long-term growth of capital.

Market Conditions

Economic growth accelerated in the U.S. beginning in the second quarter, fueling a continued pickup in job creation and declines in unemployment. Several major themes dominated 2014, including a strengthening U.S. dollar, sharply falling oil prices and a divergence in growth between the U.S. economy and economies in Europe and emerging markets. After several rounds of quantitative easing that began in 2008, the U.S. Federal Reserve Board (the Fed) fully tapered the third round and indicated that interest rates were likely to increase at some point in 2015. Congress and the president averted a potential government shutdown in December by agreeing on a $1.1 trillion federal budget. Equity and fixed-income markets hit new highs in December as market volatility increased. Overall, equity outperformance rotated from small-caps to large- and mid-caps. Value slightly edged out growth.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Natixis U.S. Equity Opportunities Fund returned 12.94% at net asset value. The Fund underperformed its primary benchmark, the S&P 500^® Index , which returned 13.69%. The Fund also underperformed its secondary benchmark, the Russell 1000^® Index, which returned 13.24%.

Explanation of Fund Performance

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

· The Harris Associates L.P. Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates believes are trading at a substantial discount to the company’s “true business value.”

· The Loomis, Sayles & Company, L.P. All Cap Growth segment invests in equity securities, including common stocks, preferred stocks, convertible securities and warrants. This segment may invest in companies of any size.

On February 28, 2014, the Fund was reduced from four segments to two segments. As part of this change, the Fund’s Loomis Sayles Mid Cap Growth and Loomis Sayles Small/Mid Cap Core segments were eliminated. The Loomis Sayles Large Cap Growth segment continued to be managed by Aziz Hamzaogullari, but became the Loomis Sayles All Cap Growth segment. Bill Nygren, Kevin Grant, and Colin Hudson of Harris Associates L.P.

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assumed portfolio management responsibilities for the current Harris Associates Large Cap Value segment. In conjunction with these changes, the Fund was renamed to the “Natixis U.S. Equity Opportunities Fund.” In addition, Michael Mangan was added to the Harris Associates team as a manager of the Fund on August 1, 2014.

All segments contributed positively to the overall return of the Fund during the year.

Harris Associates Large Cap Value Segment

As value investors with an emphasis on individual stock selection, our country and sector weights are a by-product of our bottom-up process. For the time period of January 1, 2014 to February 28, 2014, the consumer discretionary and information technology sectors contributed most to the return of the fund while the financial sector was the largest detractor. From March 1, 2014 to December 31, 2014, information technology and financials contributed most to the return of the fund while energy was the sector that contributed the least.

Apache was the largest detractor in the segment from March 1, 2014 to December 31, 2014. Recent weakness in energy spot prices caused Apache’s share price to decline during the fourth quarter. However, the company recently entered into an agreement to sell its Kitimat and Wheatstone LNG projects for $3.7 billion, which will provide the company with cash for share repurchases. The deal shows Apache’s intent to follow through on a plan originally introduced in 2013 to divest its fully valued oil and gas assets and subsequently spin off or sell all of its international assets. In a recent meeting with the company, we confirmed that Apache is on track to complete this process by mid-2015. Furthermore, newly appointed COO John Christmann recently changed the capital allocation process and implemented a system for ranking the internal rates of return on wells across North America to ensure a more efficient use of capital. Christmann also replaced the operating heads of each region, changing their compensation metrics to focus on returns, and put in place a new geoscience team, which he considers to be the “best in the business.” In our view, these improvements are strengthening Apache’s underlying value, and we believe the true quality of this company is currently under-appreciated by the market.

Google was also a detractor to the Fund’s performance during this period. Investors appeared concerned over Google’s decelerating revenue growth and profit margins, which pressured its share price in the fourth quarter. In light of the fact that the company’s revenue has grown 20% year to date through the third quarter, we believe that some deceleration is expected. The possible implementation of new European Union regulations and the company’s announcement that it would retire its digital goods application Google Wallet (which gives competitor Apple an advantage in the mobile pay space and takes Google out of contention as a third-party payment processing solution for online merchants) also troubled investors. However, we believe that Google maintains very strong momentum to support continued growth and is well positioned to take advantage of the shift in advertising dollars to online outlets. Google’s third-quarter profit grew 10%, which to us is indicative of a healthy business. We continue to believe the valuation for this high-quality company with dominant market share remains attractive, offering a compelling reason to own.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

The leading contributors to the segment’s performance from March 1, 2014 to December 31, 2014 were Intel and Apple. Intel’s market dominance in many fast-growing areas continues to benefit its long-term growth prospects. Earlier this year, we met with Intel’s CFO Stacy Smith, who is pleased with the company’s strong performance in areas of cloud, storage and high-performance computing. The company recently announced that it would expand the adoption of Intel-based chips in mobile devices in China. We believe this move provides direct access to a large new market and demonstrates new Intel CEO Brian Krzanich’s creative, pragmatic approach to maximizing the value of the company. Management continues to return capital to shareholders by lowering cash balances and increasing the pace of buybacks. Apple’s fourth-quarter earnings results were solid, which included a 20% rise in earnings per share and a 12% increase in sales. Importantly, the company generated $13.3 billion in cash during the quarter and returned $20 billion to shareholders via buybacks and dividends. Furthermore, just released holiday sales results showed new-device activations for Apple phones for the week prior to Christmas bested all others combined. We recently met with Apple’s new CFO Luca Maestri and are enthusiastic about the direction the management team is taking given its ability to maintain and grow Apple’s devoted client base, which is evidenced most recently by the rollout of Apple Pay. Our investment thesis for this company is intact, as we believe Apple’s capital position is solid and its management team is working to enhance shareholder value.

The Loomis Sayles All Cap Growth Segment

In the first two months of the year, the Mid Cap Growth segment performed well due to strong stock selection. Specifically, shares of biotech company Intercept Pharmaceuticals rose on promising trials for its hepatitis treatment. FireEye, an information technology company that provides malware protection systems and network threat prevention solutions, saw strong growth and robust product development. On an absolute basis, positions in Kansas City Southern and 3D Systems detracted from results. Shares of Kansas City Southern, an owner and operator of railroad systems that provide rail freight services in the United States and Mexico, declined on guidance for tempered growth opportunities. 3D Systems, a developer and manufacturer of three-dimensional and solid imaging systems, reported weak earnings due to heavy research and development spending, causing share prices to tumble. The Small/Mid Cap Core and Large Cap Growth segments contributed marginally to annual results. During the transition from four segments to two, the segments experienced higher-than-average turnover.

For the remaining 10 months of the period, the All Cap Growth segment posted a positive absolute return. We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Our sector positioning is a result of our stock selection. Stock selection in the consumer staples, industrials and energy sectors, as well as our allocations to the energy, consumer discretionary and information technology sectors, contributed to results. Stock selection in the healthcare, financials, consumer discretionary and information technology sectors detracted from the segment’s performance.

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Monster Beverage, Cisco, and Oracle were among the largest contributors during the 10-month period. Monster Beverage, a global energy drink company, reported strong results throughout the year, outperforming its peers in major markets despite weakness in the global beverage industry. In August of 2014, Coca-Cola took a 16.7% equity stake and entered into an energy drink exclusivity deal with Monster. We believe Monster’s differentiated go-to-market strategy and high brand awareness should drive international sales growth and higher profitability. The deal with Coca-Cola may accelerate and solidify Monster’s international opportunity. Networking company Cisco Systems reported improving results throughout the year, with growth returning to its largest and most profitable switches business, even as the company navigates a major new product transition and temporary weakness in emerging markets. Cisco also reported increasing adoption of its next-generation software-defined networks, alleviating some of the competitive concerns. Improving gross margins and operating expense discipline delivered strong operating results. Leading enterprise software and database company Oracle reported year-over-year revenue growth in the mid-single digits due to strong performance in its core software and database businesses. Oracle also reported strong initial success in its cloud computing business making the company a sizable player just behind market leaders Microsoft, Salesforce.com and Amazon. We believe Oracle is executing well on its product transition while maintaining attractive profitability and strong free cash flow. We believe Monster Beverage, Cisco and Oracle continue to sell at meaningful discounts to their intrinsic value (our estimate of the true worth of a business, which we define as the present value of all expected future net cash flows to a company).

Amazon, Google and Greenhill & Co. were among the largest detractors during the 10-month period. Online retailer Amazon reported solid results with e-commerce and Amazon web services driving growth. Gross merchandise value steadily increased at more than double overall U.S. e-commerce growth while a steady shift to higher-margin categories such as third-party sales, AWS and advertising drove gross margin expansion during the period. A writedown on Amazon Fire negatively affected operating results. We understand Amazon invests cyclically in its underlying businesses, with a long-term perspective. With year-end management guidance below expectations, sentiment turned negative resulting in underperformance. Global online search and advertising leader Google reported robust organic growth of more than 20% during the period, which was greater than the overall online advertising industry. Successes in areas such as mobile, video and online channels continued to drive fundamentally strong revenue growth. Because the company is in a period of rapid investment to build out infrastructure for its cloud and core business on a global basis, capital expenditures remained elevated, most recently at nearly 18% of net sales versus the average of 12% from 2008 to 2013. We believe market expectations continue to underappreciate Google’s long-term growth rate. Despite a slow start to the year, independent investment bank Greenhill reported meaningful revenue growth during each of the last two quarters. Still, earned investment banking deal revenue tends to be lumpy from quarter to quarter, given the unpredictable nature of deal completions. Even with positive signs, the market appears to be skeptical of the recovery and reluctant to give Greenhill the credit for its ability to participate. We believe the company’s competitive advantages remain intact, and as mergers and acquisitions activity recovers, we expect Greenhill’s fundamentals will also improve. We believe Amazon, Google and Greenhill continue to sell at meaningful discounts to our estimates of their intrinsic value.

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NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Growth of $10,000 Investment in Class A Shares⁴

December 31, 2004 through December 31, 2014

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Average Annual Total Returns — December 31, 2014⁴

	1 Year			5 Years			10 Years
Class A (Inception 7/7/94)
NAV		12.94	%		16.43	%		9.30	%
With 5.75% Maximum Sales Charge		6.44			15.06			8.65
Class B (Inception 7/7/94)
NAV		12.14			15.58			8.49
With CDSC1		8.38			15.35			8.49
Class C (Inception 7/7/94)
NAV		12.12			15.57			8.48
With CDSC1		11.37			15.57			8.48
Class Y (Inception 11/15/94)
NAV		13.25			16.74			9.62
Comparative Performance
S&P 500® Index2		13.69			15.45			7.67
Russell 1000® Index3		13.24			15.64			7.96

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

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

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

3 Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

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

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SEEYOND MULTI-ASSET ALLOCATION FUND

Managers	Symbols
Simon Aninat	Class A    SAFAX
Frédéric Babu	Class C    SAFCX
Stéphanie Bigou	Class Y    SAFYX
Jonathan M. Birtwell
Didier Jauneaux
Frank Trividic
Yufeng Xie
Natixis Asset Management U.S., LLC (“Natixis AM US”)

Objective

The Fund seeks long-term growth of capital by investing in a range of securities and asset classes across global markets.

Market Conditions

Since the Fund’s launch in July 2014, global financial markets have been buffeted by conflicting influences: a backdrop of mounting headwinds on the one hand and support by central banks on the other. Both global stock markets and global bond markets offered little solace for investors, in spite of falling interest rates. The environment during the second half of 2014 was marked by increasing uncertainty including geopolitical tensions with Russia, plummeting oil prices and faltering growth in China and the euro zone in addition to the rising threat of deflation in the euro zone. Within this context investors’ hopes turned towards the United States, which posted impressive economic growth figures and robust job data. The natural consequence was monetary policy divergence between the United States and the rest of the world. The U.S. Federal Reserve Board (the Fed) is considering normalizing its interest rate policy. On the other hand Japan and the euro zone are in a very different situation with the need to significantly expand monetary stimulus to avoid the looming threat of deflation. One result of this divergence was a strengthening U.S. dollar during the period. Market volatility increased on average. A greater frequency and intensity of short-term market swings associated with liquidity disruption continued to highlight weaker investor sentiment, even as bond and equity markets in the United States reached new highs.

Performance Results

From Fund inception on July 23, 2014 through December 31, 2014, Class A shares of Seeyond Multi-Asset Allocation Fund returned -3.20% at net asset value. The Fund underperformed its benchmark, MSCI ACWI (Net), which returned -2.80%. The Fund outperformed its secondary benchmark, which returned -3.69% for the period. This benchmark is a blended, unmanaged index composed of 60% MSCI ACWI (Net) and 40% Citigroup World Government Bond Index. We believe that the blended benchmark represents a better comparison than the primary, pure equity, benchmark because the Fund invests in a variety of asset classes.

Explanation of Fund Performance

As the United States continued to support global growth and liquidity remained plentiful, the Fund has been overweight equities since launch, relative to its blended benchmark, with

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exposures being actively managed over time. The Fund’s equity exposure through futures and ETFs resulted in a slight negative performance versus our blended benchmark. As of December 31, 2014, the Fund’s exposure to equity markets totaled 67.4% of its assets. On average over the period, the Fund has favored European equities, which contributed negatively to relative equity performance, while no geographic zone has been underweight. The only exception was in emerging markets, where the Fund has maintained an overweight in Asia at the expense of other emerging markets, in light of plummeting oil prices. This has resulted in a positive contribution to relative performance.

As the risk-reward profile did not point towards taking on additional interest rate risk at this point of the cycle, the Fund has maintained an overall small underweight to bonds (including both derivatives and physical instruments) versus its blended benchmark: overweight on European bonds, which contributed positively to relative performance, underweight in U. S. Treasuries and Japanese government bonds, which contributed negatively. The overall relative contribution from the bond allocation in the Fund was slightly negative. As it later appeared that heightened uncertainties and liquidity flowing from Japan could push interest rates to new lows, the Fund’s underweight position in U.S. Treasuries was closed and the Fund’s European overweight has been further increased. This change in allocation helped reduce the negative relative contribution from bonds. The Fund’s bond exposure was subsequently reduced in mid-December. As of December 31, 2014, the Fund’s duration was 3.1 years.

The Fund’s currency exposure (including both derivatives and physical instruments) was the largest positive contributor to relative performance, with a strong overweight in the U.S. dollar during the period, primarily versus the euro and the yen. As central bank policies began to diverge around the globe, relative U.S. dollar strength has been driven by both fundamentals and technicals. The Fund’s U.S. dollar overweight was subsequently reduced in mid-December, and as of December 31, 2014, the Fund’s exposure to non-U.S. dollar currencies was 45.3%.

The Fund’s volatility exposure contributed negatively to relative performance. On average the Fund has maintained a moderate short position on volatility and exposure has been managed actively. Our volatility positioning had briefly switched to positive during the October market downturn as equity and bond markets reached make or break levels. At the portfolio level, this long volatility positioning at that time was aimed at enabling the Fund to reasonably maintain a long U.S. dollar overweight and participate actively in the subsequent equity rally in an environment that we believe was very vulnerable and binary by nature: a liquidity trap.

Outlook

The Fed is considering removing accommodative monetary policy and the market has responded nervously. As such, any new hurdle along the road to sustainable global growth seems to be interpreted as an insurmountable obstacle: standoff with Russia, ISIS, a rising U.S. dollar, falling oil prices, faltering Chinese and European growth, rate hikes, deflation, and high yield liquidity risk. The list might look bleak, but looking at the broader picture, the U.S. economy does not seem too far away from being back on track. We expect the rest of the world is taking similar actions in an effort to follow the same path. This will have the potential to fuel risky assets as well as heighten volatility — as this liquidity switches from one asset class to the other. The path will likely be rockier than before. Investors will need to proceed with caution and account for potential sources of uncertainty that could affect their views of the world.

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SEEYOND MULTI-ASSET ALLOCATION FUND

Total Returns — December 31, 2014⁴

	Life of Fund
Class A (Inception 7/23/14)
NAV		-3.20	%
With 5.75% Maximum Sales Charge		-8.77
Class C (Inception 7/23/14)
NAV		-3.50
With CDSC1		-4.47
Class Y (Inception 7/23/14)
NAV		-3.10
Comparative Performance
MSCI ACWI (Net)2		-2.80
Blended Index3		-3.69

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

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

2 The MSCI ACWI (Net) represents the performance of 47 markets in both the developed and emerging markets in Africa, Europe, North America and South America.

3 The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net)/40% Citigroup World Government Bond Index. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancing of the Fund’s investment portfolio, and the relative weightings of the asset classes in the Fund will generally differ to some extent from the weightings in the Blended Index. You may not invest directly in an index.

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

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2014 through December 31, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,020.10		$4.07
Hypothetical (5% return before expenses)		$1,000.00		$1,021.17		$4.08
Class C
Actual		$1,000.00		$1,016.30		$7.88
Hypothetical (5% return before expenses)		$1,000.00		$1,017.39		$7.88
Class Y
Actual		$1,000.00		$1,021.50		$2.80
Hypothetical (5% return before expenses)		$1,000.00		$1,022.43		$2.80

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

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NATIXIS DIVERSIFIED INCOME FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,031.20		$5.38
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35
Class C
Actual		$1,000.00		$1,027.30		$9.20
Hypothetical (5% return before expenses)		$1,000.00		$1,016.13		$9.15
Class Y
Actual		$1,000.00		$1,032.60		$4.20
Hypothetical (5% return before expenses)		$1,000.00		$1,021.07		$4.18

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80% and 0.82% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,048.50		$6.66
Hypothetical (5% return before expenses)		$1,000.00		$1,018.70		$6.56
Class B
Actual		$1,000.00		$1,045.00		$10.52
Hypothetical (5% return before expenses)		$1,000.00		$1,014.92		$10.36
Class C
Actual		$1,000.00		$1,044.80		$10.51
Hypothetical (5% return before expenses)		$1,000.00		$1,014.92		$10.36
Class Y
Actual		$1,000.00		$1,050.10		$5.37
Hypothetical (5% return before expenses)		$1,000.00		$1,019.96		$5.30

* Expenses are equal to the Fund’s annualized expense ratio: 1.29%, 2.04%, 2.04% and 1.04% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

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SEEYOND MULTI-ASSET ALLOCATION FUND	BEGINNING ACCOUNT VALUE 7/1/20141		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD 7/1/20141 – 12/31/2014
Class A
Actual		$1,000.00		$968.00		$5.69	1
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.67	*
Class C
Actual		$1,000.00		$965.00		$8.93	1
Hypothetical (5% return before expenses)		$1,000.00		$1,014.82		$10.46	*
Class Y
Actual		$1,000.00		$969.00		$4.56	1
Hypothetical (5% return before expenses)		$1,000.00		$1,019.91		$5.35	*

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.31%, 2.06% and 1.05% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

¹  Fund commenced operations on July 23, 2014. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.31%, 2.06% and 1.05% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (161), divided by 365 (to reflect the partial period).

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BOARD APPROVAL OF THE INITIAL

ADVISORY AGREEMENT

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including newly formed funds such as the Seeyond Multi-Asset Allocation Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory agreement (the “Agreement”) for the Fund at an in-person meeting held on June 20, 2014.

In connection with this review, Fund management and other representatives of the Fund’s adviser, Natixis Asset Management U.S., LLC (“Natixis AM US” or “the Adviser”), distributed to the Trustees materials including, among other items, (i) information on the proposed advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups of funds and the proposed expense cap, (ii) the Fund’s investment objective and strategies, (iii) the size, education and experience of the Adviser’s investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares, (v) the procedures proposed to be employed to determine the value of the Fund’s assets, (vi) the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, and (vii) the general economic outlook with particular emphasis on the mutual fund industry. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser.

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

The nature, extent and quality of the services to be provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser and its affiliates to the Fund, and the resources to be dedicated to the Fund by the Adviser and its affiliates. The Trustees considered the affiliation between the Adviser and Natixis Global Asset Management, L.P. (“Natixis US”), whose affiliates provide investment advisory services to other funds in the same family of mutual funds. In this regard, the Trustees considered not only the advisory services proposed to be provided by the Adviser to the Fund, but also the monitoring and administrative services proposed to be provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund.

The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type

|  22

of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

Investment performance of the Fund and the Adviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board reviewed simulated historical performance for the Fund’s proposed strategies. Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that these relevant factors supported approval of the Agreement.

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

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense cap.

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

Economies of scale. The Trustees considered the extent to which the Adviser may realize economies of scale or other efficiencies in managing the Fund, and whether those economies could be shared with the Fund through breakpoints in the advisory fees or other means, such as expense waivers or caps. The Trustees noted that the Fund will be subject to

23  |

an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreement.

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

· The compliance-related resources the Adviser and its affiliates would provide to the Fund.

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

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

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Portfolio of Investments – as of December 31, 2014

McDonnell Intermediate Municipal Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 94.5% of Net Assets
	Municipals — 94.5%
		Alaska — 2.2%
$	600,000	Alaska Municipal Bond Bank Authority Revenue, Refunding, 2011 Series Three, 5.000%, 9/01/2020	$	710,178
		California — 4.8%
	250,000	Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024		300,070
	380,000	Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024		461,974
	700,000	Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035		805,658
				1,567,702
		Colorado — 7.3%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		305,261
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		455,300
	400,000	Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026		479,864
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		632,550
	450,000	University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019		520,600
				2,393,575
		Connecticut — 2.6%
	375,000	Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024		450,090
	375,000	State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016		393,971
				844,061
		Florida — 14.0%
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		569,970
	250,000	Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015		254,850
	400,000	Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018		454,536
	500,000	JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016		539,205
	250,000	Miami Beach Health Facilities Authority Revenue, Mt. Sinai Medical Center, Refunding, 5.000%, 11/15/2025		288,925
	750,000	Miami-Dade County Aviation Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2017		826,470
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		479,664
	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022		726,966
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		488,560
				4,629,146

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2014

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Georgia — 2.7%
$	500,000	Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021	$	587,930
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		293,652
				881,582
		Hawaii — 1.3%
	400,000	Honolulu City and County, GO, Series B, 5.000%, 8/01/2016		428,628
		Illinois — 4.4%
	370,000	Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028		415,958
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		575,325
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		116,313
	320,000	Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017		327,587
				1,435,183
		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		318,494
		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		164,352
		Michigan — 1.7%
	545,000	State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018		566,544
		Minnesota — 2.5%
	250,000	Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017		271,217
	300,000	Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017		327,654
	200,000	Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023		234,256
				833,127
		Missouri — 4.1%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		838,817
	500,000	Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016		527,625
				1,366,442
		Nebraska — 1.8%
	500,000	Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028		581,755
		Nevada — 1.8%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		598,595

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2014

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		New Jersey — 7.6%
$	400,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030	$	403,044
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023		314,928
	580,000	New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM insured), 5.000%, 6/15/2019		592,360
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		583,820
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		606,315
				2,500,467
		New York — 1.1%
	350,000	New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017		380,363
		North Carolina — 1.7%
	450,000	City of Raleigh, Limited Obligation, Revenue, Series A, 5.000%, 10/01/2024		557,645
		Ohio — 8.4%
	400,000	American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021		453,828
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		616,735
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		587,120
	500,000	Little Miami School District, GO, Prerefunded 12/01/2016 @ 100, (AGM insured), 5.000%, 12/01/2026		542,255
	500,000	Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030		578,255
				2,778,193
		Pennsylvania — 3.5%
	335,000	Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019		385,153
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		306,953
	450,000	Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016		477,909
				1,170,015
		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		612,930
		South Dakota — 1.5%
	465,000	Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036		502,363
		Texas — 10.3%
	250,000	Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021		295,328
	400,000	Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016		420,052
	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		614,550

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2014

McDonnell Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Texas — continued
$	500,000	Keller Independent School District, GO, Refunding, Series A, (PSF-GTD), 5.000%, 8/15/2022	$	608,125
	350,000	State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022		419,576
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		480,812
	500,000	West Harris County Regional Water Authority, Water System Revenue, Refunding, (AGM insured), 4.000%, 12/15/2019		556,540
				3,394,983
		Utah — 0.9%
	250,000	Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024		291,090
		Washington — 4.9%
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		562,860
	400,000	Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020		454,568
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		599,515
				1,616,943
		Total Bonds and Notes (Identified Cost $30,361,259)		31,124,356
	Short-Term Investments — 4.5%
	1,481,381	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $1,481,382 on 1/02/2015 collateralized by $1,475,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $1,515,563 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,481,381)		1,481,381
		Total Investments — 99.0% (Identified Cost $31,842,640)(a)		32,605,737
		Other assets less liabilities — 1.0%		329,471
		Net Assets — 100.0%	$	32,935,208
	.
	(†)	See Note 2 of Notes to Financial Statements
	(a)	Federal Tax Information: At December 31, 2014, the net unrealized appreciation on investments based on a cost of $31,842,640 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	$	783,276
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(20,179	)
		Net unrealized appreciation	$	763,097
	AGM	Assured Guaranty Municipal Corporation
	AMT	Alternative Minimum Tax
	GO	General Obligation
	NATL-RE	National Public Finance Guarantee Corporation
	PSF-GTD	Permanent School Fund Guarantee Program

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2014

McDonnell Intermediate Municipal Bond Fund – (continued)

Holdings Summary at December 31, 2014

Medical	14.1	%
General	12.9
Higher Education	12.9
General Obligation	10.1
Water	9.8
School District	9.2
Power	7.5
Transportation	7.4
Airport	4.7
Utilities	2.5
Bond Bank	2.2
Education	1.2
Short-Term Investments	4.5
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund

Shares		Description	Value (†)
	Common Stocks — 50.8% of Net Assets
		Aerospace & Defense — 2.1%
	5,727	General Dynamics Corp.	$	788,150
	4,775	Honeywell International, Inc.		477,118
	8,876	Lockheed Martin Corp.		1,709,251
	5,204	Northrop Grumman Corp.		767,018
				3,741,537
		Automobiles — 0.2%
	7,584	Ford Motor Co.		117,552
	7,408	General Motors Co.		258,613
				376,165
		Banks — 0.9%
	7,240	Bank of Hawaii Corp.		429,404
	6,067	BB&T Corp.		235,946
	9,023	F.N.B. Corp.		120,186
	6,764	First Niagara Financial Group, Inc.		57,021
	6,694	FirstMerit Corp.		126,450
	7,961	Trustmark Corp.		195,363
	9,414	United Bankshares, Inc.		352,554
	10,355	Valley National Bancorp		100,547
				1,617,471
		Beverages — 0.1%
	6,383	Coca-Cola Co. (The)		269,490
		Biotechnology — 0.1%
	16,879	PDL BioPharma, Inc.		130,137
		Capital Markets — 0.2%
	8,913	Federated Investors, Inc., Class B		293,505
		Chemicals — 0.2%
	6,798	Olin Corp.		154,790
	5,549	RPM International, Inc.		281,390
				436,180
		Commercial Services & Supplies — 0.8%
	4,669	Deluxe Corp.		290,645
	7,783	Pitney Bowes, Inc.		189,672
	12,506	R.R. Donnelley & Sons Co.		210,163
	7,014	Republic Services, Inc.		282,314
	7,631	Waste Management, Inc.		391,623
				1,364,417
		Containers & Packaging — 0.5%
	5,512	Avery Dennison Corp.		285,963
	6,542	MeadWestvaco Corp.		290,399
	7,044	Sonoco Products Co.		307,823
				884,185

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Distributors — 0.4%
	6,041	Genuine Parts Co.	$	643,789
		Diversified Telecommunication Services — 0.6%
	12,159	AT&T, Inc.		408,421
	16,130	CenturyLink, Inc.		638,425
				1,046,846
		Electric Utilities — 3.9%
	10,019	American Electric Power Co., Inc.		608,354
	7,354	Cleco Corp.		401,087
	6,844	Edison International		448,145
	12,514	Entergy Corp.		1,094,725
	10,125	Exelon Corp.		375,435
	15,702	FirstEnergy Corp.		612,221
	7,806	IDACORP, Inc.		516,679
	7,347	NextEra Energy, Inc.		780,913
	8,230	Northeast Utilities		440,469
	5,687	OGE Energy Corp.		201,775
	9,906	Pinnacle West Capital Corp.		676,679
	11,501	PPL Corp.		417,831
	9,281	Xcel Energy, Inc.		333,373
				6,907,686
		Electrical Equipment — 0.4%
	5,415	Eaton Corp. PLC		368,004
	5,925	Emerson Electric Co.		365,750
				733,754
		Energy Equipment & Services — 0.3%
	11,849	Ensco PLC, Class A		354,878
	12,236	Noble Corp. PLC		202,750
				557,628
		Food & Staples Retailing — 0.2%
	7,178	Sysco Corp.		284,895
		Food Products — 0.4%
	7,024	Campbell Soup Co.		309,056
	6,872	General Mills, Inc.		366,484
				675,540
		Gas Utilities — 0.7%
	9,542	AGL Resources, Inc.		520,134
	8,835	New Jersey Resources Corp.		540,702
	7,441	Questar Corp.		188,109
				1,248,945
		Hotels, Restaurants & Leisure — 1.4%
	9,803	Darden Restaurants, Inc.		574,750
	27,200	Extended Stay America, Inc.		525,232
	24,400	Hilton Worldwide Holdings, Inc.(b)		636,596
	7,800	McDonald’s Corp.		730,860
				2,467,438

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Household Durables — 0.7%
	8,564	Garmin Ltd.	$	452,436
	9,508	Leggett & Platt, Inc.		405,136
	6,018	Tupperware Brands Corp.		379,134
				1,236,706
		Household Products — 0.9%
	6,884	Clorox Co. (The)		717,382
	7,051	Kimberly-Clark Corp.		814,672
				1,532,054
		Industrial Conglomerates — 0.1%
	6,539	General Electric Co.		165,241
		Insurance — 0.9%
	6,963	Arthur J. Gallagher & Co.		327,818
	7,477	Cincinnati Financial Corp.		387,533
	11,817	Mercury General Corp.		669,670
	10,121	Old Republic International Corp.		148,070
				1,533,091
		Leisure Products — 0.1%
	7,249	Mattel, Inc.		224,320
		Media — 0.4%
	7,001	Cinemark Holdings, Inc.		249,095
	7,580	Meredith Corp.		411,746
				660,841
		Metals & Mining — 0.1%
	5,731	Cliffs Natural Resources, Inc.		40,919
	5,644	Commercial Metals Co.		91,941
				132,860
		Multi-Utilities — 4.2%
	8,537	Alliant Energy Corp.		567,028
	10,377	Avista Corp.		366,827
	6,994	Black Hills Corp.		370,962
	8,307	CenterPoint Energy, Inc.		194,633
	8,983	CMS Energy Corp.		312,159
	8,158	Dominion Resources, Inc.		627,350
	9,104	DTE Energy Co.		786,312
	11,797	Integrys Energy Group, Inc.		918,396
	7,425	NiSource, Inc.		314,969
	10,367	PG&E Corp.		551,939
	10,362	Public Service Enterprise Group, Inc.		429,090
	10,057	SCANA Corp.		607,443
	6,655	Sempra Energy		741,101
	11,966	TECO Energy, Inc.		245,183
	8,648	Wisconsin Energy Corp.		456,096
				7,489,488

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels — 1.3%
	7,513	Chevron Corp.	$	842,808
	9,159	ConocoPhillips		632,521
	15,982	HollyFrontier Corp.		599,005
	5,962	ONEOK, Inc.		296,848
				2,371,182
		Paper & Forest Products — 0.2%
	9,783	Domtar Corp.		393,472
		Pharmaceuticals — 0.9%
	6,322	Bristol-Myers Squibb Co.		373,188
	8,993	Eli Lilly & Co.		620,427
	8,058	Merck & Co., Inc.		457,614
	7,163	Pfizer, Inc.		223,127
				1,674,356
		Real Estate — 0.1%
	14,100	American Homes 4 Rent, Class A		240,123
		Real Estate Management & Development — 0.7%
	12,200	Alexander & Baldwin, Inc.		478,972
	36,600	Forest City Enterprises, Inc., Class A(b)		779,580
				1,258,552
		REITs – Apartments — 4.1%
	15,600	American Campus Communities, Inc.		645,216
	15,200	AvalonBay Communities, Inc.		2,483,528
	12,600	Camden Property Trust		930,384
	45,400	Equity Residential		3,261,536
				7,320,664
		REITs – Diversified — 1.9%
	16,800	American Assets Trust, Inc.		668,808
	26,200	DuPont Fabros Technology, Inc.		870,888
	19,300	Liberty Property Trust		726,259
	14,100	STORE Capital Corp.		304,701
	6,300	Vornado Realty Trust		741,573
				3,312,229
		REITs – Health Care — 2.9%
	40,000	HCP, Inc.		1,761,200
	25,500	Health Care REIT, Inc.		1,929,585
	21,500	Ventas, Inc.		1,541,550
				5,232,335
		REITs – Hotels — 1.3%
	10,900	Chatham Lodging Trust		315,773
	55,100	Host Hotels & Resorts, Inc.		1,309,727
	23,200	RLJ Lodging Trust		777,896
				2,403,396

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		REITs – Manufactured Homes — 0.4%
	15,100	Equity Lifestyle Properties, Inc.	$	778,405
		REITs – Office Property — 4.2%
	35,000	BioMed Realty Trust, Inc.		753,900
	18,000	Boston Properties, Inc.		2,316,420
	17,700	Douglas Emmett, Inc.		502,680
	27,300	Empire State Realty Trust, Inc., Class A		479,934
	100,600	Gramercy Property Trust, Inc.		694,140
	24,600	Kilroy Realty Corp.		1,699,122
	13,300	Paramount Group, Inc.(b)		247,247
	47,200	Piedmont Office Realty Trust, Inc., Class A		889,248
				7,582,691
		REITs – Regional Malls — 3.9%
	8,600	Macerich Co. (The)		717,326
	27,500	Simon Property Group, Inc.		5,008,025
	16,200	Taubman Centers, Inc.		1,238,004
				6,963,355
		REITs – Shopping Centers — 2.2%
	23,100	Acadia Realty Trust		739,893
	52,500	DDR Corp.		963,900
	10,200	Federal Realty Investment Trust		1,361,292
	19,900	Ramco-Gershenson Properties Trust		372,926
	27,600	Retail Opportunity Investments Corp.		463,404
				3,901,415
		REITs – Single Tenant — 0.3%
	13,200	National Retail Properties, Inc.		519,684
		REITs – Storage — 2.1%
	25,100	CubeSmart		553,957
	17,200	Extra Space Storage, Inc.		1,008,608
	12,200	Public Storage		2,255,170
				3,817,735
		REITs – Warehouse/Industrials — 1.6%
	53,600	ProLogis, Inc.		2,306,408
	30,400	Rexford Industrial Realty, Inc.		477,584
				2,783,992
		Semiconductors & Semiconductor Equipment — 0.2%
	8,429	Intel Corp.		305,888
		Specialty Retail — 0.1%
	6,913	Staples, Inc.		125,264
		Technology Hardware, Storage & Peripherals — 0.3%
	7,958	Seagate Technology PLC		529,207
		Thrifts & Mortgage Finance — 0.2%
	14,197	New York Community Bancorp, Inc.		227,152
	10,125	People’s United Financial, Inc.		153,697
				380,849

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
		Tobacco — 1.1%
	11,689	Altria Group, Inc.	$	575,917
	9,977	Lorillard, Inc.		627,953
	10,036	Philip Morris International, Inc.		817,432
				2,021,302
		Trading Companies & Distributors — 0.0%
	176	United Rentals, Inc.(b)		17,954
		Total Common Stocks (Identified Cost $75,086,154)		90,588,259
Principal Amount (‡)
	Bonds and Notes — 43.7%
	Non-Convertible Bonds — 41.7%
		ABS Car Loan — 1.1%
$	125,000	CarNow Auto Receivables Trust, Series 2014-1A, Class C, 2.810%, 11/15/2018, 144A		124,329
	100,000	CPS Auto Receivables Trust, Series 2014-C, Class C, 3.770%, 8/17/2020, 144A		99,914
	160,000	CPS Auto Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		159,982
	135,000	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A		134,744
	35,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A		34,545
	65,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		64,264
	55,000	First Investors Auto Owner Trust, Series 2014-3A, Class D, 3.850%, 2/15/2022, 144A		54,901
	90,000	Flagship Credit Auto Trust, Series 2013-2, Class C, 4.420%, 12/16/2019, 144A		91,909
	40,000	Flagship Credit Auto Trust, Series 2014-2, Class C, 3.950%, 12/15/2020, 144A		40,025
	37,059	Ford Credit Auto Owner Trust, Series 2011-B, Class A4, 1.350%, 12/15/2016		37,154
	145,435	Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.570%, 10/15/2017		145,428
	310,000	Honda Auto Receivables Owner Trust, Series 2013-2, Class A3, 0.530%, 2/16/2017		309,994
	24,534	Nissan Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.940%, 9/15/2017		24,636
	34,493	Nissan Auto Receivables Owner Trust, Series 2013-A, Class A3, 0.500%, 5/15/2017		34,497
	325,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018		324,211
	95,000	Santander Drive Auto Receivables Trust, Series 2014-4, Class D, 3.100%, 11/16/2020		95,122
	30,000	SNAAC Auto Receivables Trust, Series 2014-1A, Class D, 2.880%, 1/15/2020, 144A		30,170
	94,000	World Omni Auto Receivables Trust, Series 2013-A, Class A3, 0.640%, 4/16/2018		93,941
				1,899,766

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Credit Card — 0.4%
$	300,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.401%, 5/15/2020(c)	$	299,436
	100,000	Chase Issuance Trust, Series 2012-A5, Class A5, 0.590%, 8/15/2017		100,031
	100,000	Chase Issuance Trust, Series 2012-A8, Class A8, 0.540%, 10/16/2017		99,951
	298,000	Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2, 0.447%, 5/26/2020(c)		297,532
				796,950
		ABS Home Equity — 1.7%
	51,464	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		53,111
	165,000	American Homes 4 Rent, Series 2014-SFR1, Class D, 2.350%, 6/17/2031, 144A(c)		160,359
	52,898	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		54,413
	88,427	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		90,714
	121,855	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.486%, 11/20/2034(c)		115,610
	24,418	Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035		24,973
	64,774	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		66,407
	86,704	Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.693%, 2/25/2034(c)		85,930
	30,271	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.720%, 2/25/2035(c)		29,289
	11,792	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.446%, 7/25/2034(c)		11,517
	3,723	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.618%, 1/25/2035(c)		3,647
	59,579	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.541%, 2/25/2037(c)		58,666
	71,297	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		72,672
	164,696	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		164,552
	42,946	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		44,311
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		24,505
	23,354	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.396%, 9/20/2034(c)		22,237
	36,965	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.440%, 4/25/2035(c)		31,875
	10,235	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		10,344
	250,000	Federal Home Loan Mortgage Corp., Series 2014-DN2, Class M2, 1.820%, 4/25/2024(c)		242,193
	11,628	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		11,671

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	67,376	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(c)	$	64,284
	61,300	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.757%, 12/25/2034(c)		58,724
	88,788	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.733%, 12/25/2034(c)		88,171
	180,214	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.687%, 9/25/2035(c)		181,217
	109,612	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.582%, 5/19/2034(c)		109,234
	10,783	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.810%, 7/25/2045(c)		9,471
	100,000	Invitation Homes Trust, Series 2014-SFR1, Class C, 2.254%, 6/17/2031, 144A(c)		98,712
	100,000	Invitation Homes Trust, Series 2014-SFR3, Class D, 3.162%, 12/17/2031, 144A(c)		100,554
	41,934	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.658%, 6/25/2035(c)		42,434
	46,319	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.330%, 1/25/2047(c)		36,023
	45,407	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033		47,054
	45,393	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		47,857
	64,915	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		65,981
	48,843	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.630%, 5/25/2036(c)		44,061
	63,908	Residential Accredit Loans, Inc., Series 2003-QS17, Class CB5, 5.500%, 9/25/2033		65,150
	37,663	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.630%, 9/25/2034(c)		37,314
	105,462	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		110,880
	17,977	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034(i)		18,198
	30,387	WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.419%, 3/25/2034(c)		30,445
	103,003	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.395%, 1/25/2035(c)		103,421
	71,700	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		74,555
	21,490	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.873%, 4/25/2047(c)		18,705
	77,389	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.637%, 2/25/2034(c)		77,549
	44,319	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		45,206
	37,552	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(c)		37,679
				2,991,875
		ABS Other — 0.7%
	120,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		119,998
	100,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A		100,062

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	205,000	SpringCastle America Funding LLC, Series 2014-AA, Class B, 4.610%, 10/25/2027, 144A	$	206,607
	280,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		282,968
	170,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		169,859
	100,000	Springleaf Funding Trust, Series 2014-AA, Class B, 3.450%, 12/15/2022, 144A		100,049
	198,333	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		199,596
				1,179,139
		Aerospace & Defense — 0.3%
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		190,000
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		309,000
				499,000
		Airlines — 1.2%
	47,615	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		48,091
	200,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6 .000%, 1/15/2017, 144A		201,000
	60,000	American Airlines Pass Through Trust, Series 2014-1, Class B, 4.375%, 4/01/2024		60,879
	171,040	British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A		180,904
	18,120	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		18,754
	80,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		85,000
	35,290	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		40,008
	12,384	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		13,592
	692,247	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d)		747,627
	195,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		199,869
	255,000	United Airlines Pass Through Trust, Series 2014-2, Class A, 3.750%, 3/03/2028		256,086
	116,261	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		129,631
	102,978	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		114,306
	114,450	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		118,456
				2,214,203
		Automotive — 0.2%
	165,000	General Motors Co., 5.200%, 4/01/2045		174,075
	150,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		156,562
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		41,400
	25,000	Lear Corp., 5.375%, 3/15/2024		25,563
				397,600
		Banking — 2.9%
	90,000	Ally Financial, Inc., 5.125%, 9/30/2024		91,350
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		81,600

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Banking — continued
	600,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)	$	215,672
	200,000	Bank of America Corp., MTN, 4.200%, 8/26/2024		203,745
	116,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		115,740
	500,000	Bank of Montreal, 1.950%, 1/30/2018		508,444
	500,000	Bank of Nova Scotia, 1.950%, 1/30/2017		507,575
	355,000	Citigroup, Inc., 5.500%, 9/13/2025		392,809
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		121,116
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		29,501
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		23,841
	250,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.625%, 12/01/2023		265,179
	100,000	HBOS PLC, 6.000%, 11/01/2033, 144A		112,932
	200,000	ING Bank NV, 5.800%, 9/25/2023, 144A		221,856
	520,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		504,668
	75,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		75,076
	400,000	JPMorgan Chase & Co., 3.875%, 9/10/2024		400,340
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		120,153
	65,000	Morgan Stanley, 5.000%, 11/24/2025		69,362
	175,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		157,238
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		85,532
	720,000	Morgan Stanley, MTN, 4.100%, 5/22/2023(d)		728,955
	40,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		45,982
				5,078,666
		Brokerage — 0.3%
	140,000	Jefferies Group LLC, 5.125%, 1/20/2023		142,313
	65,000	Jefferies Group LLC, 6.250%, 1/15/2036		63,875
	20,000	Jefferies Group LLC, 6.450%, 6/08/2027		20,751
	275,000	Jefferies Group LLC, 6.500%, 1/20/2043		280,522
	95,000	Jefferies Group LLC, 6.875%, 4/15/2021		107,992
				615,453
		Building Materials — 0.4%
	20,000	HD Supply, Inc., 7.500%, 7/15/2020		20,950
	170,000	Masco Corp., 5.850%, 3/15/2017		182,325
	30,000	Masco Corp., 5.950%, 3/15/2022		33,300
	40,000	Masco Corp., 6.500%, 8/15/2032		40,900
	20,000	Masco Corp., 7.750%, 8/01/2029		23,000
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		171,500
	300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		95,365
	190,000	Owens Corning, 4.200%, 12/01/2024		187,505
				754,845
		Cable Satellite — 0.4%
	10,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		9,775
	315,000	Cox Communications, Inc., 3.850%, 2/01/2025, 144A		317,966
	140,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		143,912
	95,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		110,383
	40,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		47,694
				629,730

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Chemicals — 0.3%
$	120,000	Albemarle Corp., 4.150%, 12/01/2024	$	121,921
	200,000	Hercules, Inc., 6.500%, 6/30/2029		180,000
	275,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		275,000
	25,000	Methanex Corp., 5.250%, 3/01/2022		26,855
				603,776
		Consumer Cyclical Services — 0.2%
	340,000	Alibaba Group Holding Ltd., 3.600%, 11/28/2024, 144A		337,227
		Consumer Products — 0.1%
	160,000	Avon Products, Inc., 5.000%, 3/15/2023		142,800
	80,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		81,646
				224,446
		Diversified Manufacturing — 0.1%
	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		206,000
		Electric — 0.5%
	500,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		520,410
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		52,093
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		38,910
	300,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		348,375
				959,788
		Finance Companies — 1.8%
	170,000	Air Lease Corp., 4.250%, 9/15/2024		171,275
	165,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		171,469
	110,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		124,575
	25,000	CIT Group, Inc., 5.000%, 8/15/2022		25,688
	85,000	CIT Group, Inc., 5.000%, 8/01/2023		87,337
	400,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(e)		465,500
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		86,200
	80,000	International Lease Finance Corp., 6.250%, 5/15/2019		87,400
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		42,175
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		130,200
	115,000	iStar Financial, Inc., 4.000%, 11/01/2017		111,837
	95,000	iStar Financial, Inc., 5.000%, 7/01/2019		92,150
	140,000	iStar Financial, Inc., 7.125%, 2/15/2018		147,000
	160,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		152,000
	30,000	Navient LLC, 4.875%, 6/17/2019		30,087
	412,000	Navient LLC, 5.500%, 1/25/2023		394,490
	5,000	Navient LLC, MTN, 5.500%, 1/15/2019		5,113
	180,000	Navient LLC, MTN, 7.250%, 1/25/2022		195,300
	65,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		64,512
	80,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		89,200
	115,000	Springleaf Finance Corp., 5.250%, 12/15/2019		112,700

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Finance Companies — continued
$	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021	$	313,600
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		123,200
				3,223,008
		Financial Other — 0.2%
	200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		180,000
	105,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		104,737
	50,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		50,219
				334,956
		Food & Beverage — 0.3%
	280,000	BRF S.A., 3.950%, 5/22/2023, 144A		258,860
	240,000	Tyson Foods, Inc., 3.950%, 8/15/2024		248,093
				506,953
		Government Owned – No Guarantee — 0.7%
	59,000	Ecopetrol S.A., 5.875%, 9/18/2023		62,466
	85,000	Ecopetrol S.A., 5.875%, 5/28/2045		78,625
	600,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(d)		573,000
	315,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		299,735
	250,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		239,083
				1,252,909
		Healthcare — 1.0%
	95,000	Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A		95,475
	45,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		45,450
	25,000	HCA, Inc., 7.050%, 12/01/2027		25,375
	75,000	HCA, Inc., 7.500%, 12/15/2023		84,000
	520,000	HCA, Inc., 7.500%, 11/06/2033		546,000
	310,000	HCA, Inc., 7.690%, 6/15/2025		348,750
	20,000	HCA, Inc., 8.360%, 4/15/2024		23,500
	140,000	HCA, Inc., MTN, 7.580%, 9/15/2025		156,100
	50,000	HCA, Inc., MTN, 7.750%, 7/15/2036		53,500
	10,000	Omnicare, Inc., 4.750%, 12/01/2022		10,125
	10,000	Omnicare, Inc., 5.000%, 12/01/2024		10,250
	255,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		255,319
	55,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		55,000
	100,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		100,000
				1,808,844
		Home Construction — 0.4%
	105,000	KB Home, 7.250%, 6/15/2018		111,825
	150,000	KB Home, 7.500%, 9/15/2022		159,000
	145,000	Lennar Corp., 4.750%, 11/15/2022		142,100
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		76,400
	175,000	Pulte Group, Inc., 6.375%, 5/15/2033		175,000
				664,325

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — 1.0%
$	10,000	California Resources Corp., 5.000%, 1/15/2020, 144A	$	8,675
	125,000	California Resources Corp., 5.500%, 9/15/2021, 144A		106,875
	120,000	California Resources Corp., 6.000%, 11/15/2024, 144A		101,400
	140,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		136,150
	5,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		4,997
	290,000	Continental Resources, Inc., 3.800%, 6/01/2024		259,418
	105,000	Continental Resources, Inc., 4.500%, 4/15/2023		99,871
	35,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		31,238
	25,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		22,813
	35,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		31,675
	240,000	Newfield Exploration Co., 5.625%, 7/01/2024		237,450
	35,000	Newfield Exploration Co., 5.750%, 1/30/2022		34,650
	75,000	Noble Energy, Inc., 3.900%, 11/15/2024		74,126
	50,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		45,500
	10,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		9,550
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		174,348
	5,000	QEP Resources, Inc., 5.375%, 10/01/2022		4,725
	5,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		4,576
	5,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		4,500
	15,000	Rosetta Resources, Inc., 5.875%, 6/01/2024		13,350
	10,000	SM Energy Co., 5.000%, 1/15/2024		8,650
	30,000	SM Energy Co., 6.125%, 11/15/2022, 144A		28,200
	105,000	Southwestern Energy Co., 4.100%, 3/15/2022		103,046
	100,000	Talisman Energy, Inc., 3.750%, 2/01/2021		96,703
	5,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		4,675
	135,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		125,212
				1,772,373
		Life Insurance — 0.1%
	85,000	American International Group, Inc., 4.875%, 6/01/2022		95,484
	21,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		28,455
	95,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		77,010
	5,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		4,028
				204,977
		Lodging — 0.0%
	55,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021		57,475
	1,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,075
				58,550
		Media Entertainment — 0.1%
	120,000	CCOH Safari LLC, 5.500%, 12/01/2022		121,800
	115,000	CCOH Safari LLC, 5.750%, 12/01/2024		116,294
				238,094

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Metals & Mining — 1.1%
$	255,000	Alcoa, Inc., 5.900%, 2/01/2027	$	277,732
	40,000	Alcoa, Inc., 6.750%, 1/15/2028		44,983
	435,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		445,613
	225,000	ArcelorMittal, 7.250%, 3/01/2041		227,250
	100,000	ArcelorMittal, 7.500%, 10/15/2039		103,500
	75,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		75,731
	225,000	Glencore Funding LLC, 4.625%, 4/29/2024, 144A		226,080
	85,000	Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A		76,692
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		204,500
	200,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		176,000
	145,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		152,972
				2,011,053
		Midstream — 0.6%
	70,000	Energy Transfer Partners LP, 5.200%, 2/01/2022		74,869
	50,000	EnLink Midstream Partners LP, 4.400%, 4/01/2024		50,652
	100,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		108,710
	295,000	Kinder Morgan, Inc., 4.300%, 6/01/2025		295,137
	80,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		73,400
	85,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		85,213
	60,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		59,850
	100,000	Sunoco Logistics Partners Operations LP, 4.250%, 4/01/2024		101,125
	130,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		125,125
	5,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		4,550
	35,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		33,775
	85,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		86,062
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,338
				1,113,806
		Non-Agency Commercial Mortgage-Backed Securities — 0.9%
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		285,842
	100,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(c)		108,341
	400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(c)		411,120
	260,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(c)		265,641
	100,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		102,279
	25,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		25,913

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	100,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.592%, 4/12/2049(c)	$	106,396
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.796%, 8/12/2045, 144A(c)		107,615
	100,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		98,882
	60,000	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(c)		64,578
				1,576,607
		Oil Field Services — 0.2%
	300,000	Rowan Cos., Inc., 4.750%, 1/15/2024		283,160
	60,000	Transocean, Inc., 3.800%, 10/15/2022		48,620
	10,000	Transocean, Inc., 6.375%, 12/15/2021		9,224
				341,004
		Paper — 0.2%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		267,998
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		6,131
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		39,941
				314,070
		Pharmaceuticals — 0.6%
	300,000	Perrigo Finance PLC, 3.900%, 12/15/2024		305,488
	620,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A(d)		647,900
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		15,675
	10,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		10,662
				979,725
		Property & Casualty Insurance — 0.1%
	170,000	Old Republic International Corp., 4.875%, 10/01/2024		177,459
		REITs – Health Care — 0.1%
	245,000	HCP, Inc., 3.875%, 8/15/2024		248,875
		REITs – Shopping Centers — 0.0%
	60,000	Retail Opportunity Investments Partnership LP, 4.000%, 12/15/2024		60,125
		Retailers — 1.1%
	125,000	Advance Auto Parts, Inc., 4.500%, 12/01/2023		132,454
	55,000	Best Buy Co., Inc., 5.000%, 8/01/2018		56,891
	248,801	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A		261,510
	205,403	CVS Pass Through Trust, 7.507%, 1/10/2032, 144A		261,945
	212,994	CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		219,918
	400,000	Dillard’s, Inc., 6.625%, 1/15/2018		438,000
	205,000	Dillard’s, Inc., 7.000%, 12/01/2028		217,300
	100,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		122,349
	225,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		286,399
	45,000	Toys R Us, Inc., 7.375%, 10/15/2018		29,475
				2,026,241

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Supermarkets — 0.3%
$	215,000	Delhaize Group S.A., 5.700%, 10/01/2040	$	225,568
	320,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		254,400
				479,968
		Supranational — 0.5%
	136,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		225,143
	26,380,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		455,467
	435,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		163,645
				844,255
		Technology — 1.4%
	470,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		448,850
	390,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		375,375
	110,000	Arrow Electronics, Inc., 3.000%, 3/01/2018		112,798
	195,000	Flextronics International Ltd., 5.000%, 2/15/2023		198,900
	410,000	Ingram Micro, Inc., 4.950%, 12/15/2024		409,865
	415,000	Jabil Circuit, Inc., 4.700%, 9/15/2022		412,925
	295,000	Keysight Technologies, Inc., 4.550%, 10/30/2024, 144A		295,117
	225,000	KLA-Tencor Corp., 4.125%, 11/01/2021		230,475
				2,484,305
		Treasuries — 16.6%
	15,000(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		101,443
	60,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		427,096
	31,500(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		245,794
	60,000(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		502,850
	10,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		251,271
	700,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		241,611
	4,230,127	U.S. Treasury Inflation Indexed Bond, 0.125%, 7/15/2024(f)		4,073,811
	1,142,131	U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(f)		1,292,660
	2,113,661	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(f)		2,997,765
	1,392,033	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2016(f)		1,387,792
	9,231,801	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2019(f)		9,130,103
	1,185,000	U.S. Treasury Note, 0.250%, 9/30/2015		1,185,370
	1,485,000	U.S. Treasury Note, 0.250%, 10/15/2015		1,485,116
	2,260,000	U.S. Treasury Note, 0.375%, 5/31/2016		2,258,588
	2,570,000	U.S. Treasury Note, 0.625%, 7/15/2016		2,575,019
	400,000	U.S. Treasury Note, 0.875%, 7/15/2017		399,531
	990,000	U.S. Treasury Note, 1.000%, 12/15/2017		987,679
				29,543,499
		Wireless — 0.3%
	4,000,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		271,907
	190,000	Crown Castle International Corp., 4.875%, 4/15/2022		191,900
				463,807

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — 1.3%
$	10,000	CenturyLink, Inc., 5.625%, 4/01/2020	$	10,375
	80,000	CenturyLink, Inc., 7.650%, 3/15/2042		79,600
	240,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		237,600
	75,000	Embarq Corp., 7.995%, 6/01/2036		83,813
	55,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		55,344
	5,000	Level 3 Escrow II, Inc., 5.375%, 8/15/2022, 144A		5,025
	35,000	Level 3 Financing, Inc., 6.125%, 1/15/2021		36,225
	75,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		79,031
	70,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		74,375
	85,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		91,694
	400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		136,935
	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,163
	223,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		223,000
	402,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		412,050
	40,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		43,000
	45,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		50,175
	75,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		83,025
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		83,624
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		98,661
	100,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		177,907
	205,000	Verizon Communications, Inc., 5.150%, 9/15/2023		226,368
				2,303,990
		Total Non-Convertible Bonds (Identified Cost $73,605,309)		74,422,242
	Convertible Bonds — 2.0%
		Construction Machinery — 0.2%
	190,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		256,737
	20,000	Trinity Industries, Inc., 3.875%, 6/01/2036		26,275
				283,012
		Energy — 0.1%
	135,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		112,219
	85,000	Peabody Energy Corp., 4.750%, 12/15/2066		44,625
				156,844
		Home Construction — 0.4%
	85,000	Lennar Corp., 2.750%, 12/15/2020, 144A		171,700
	160,000	Lennar Corp., 3.250%, 11/15/2021, 144A		310,400
	220,000	Standard Pacific Corp., 1.250%, 8/01/2032		246,675
				728,775
		Pharmaceuticals — 0.5%
	83,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		97,577
	92,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		112,758
	115,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A		129,303
	80,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		331,100
	70,000	Mylan, Inc., 3.750%, 9/15/2015		295,837
				966,575

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Property & Casualty Insurance — 0.1%
$	100,000	Old Republic International Corp., 3.750%, 3/15/2018	$	115,875
		REITs – Mortgage — 0.1%
	70,000	iStar Financial, Inc., 3.000%, 11/15/2016		88,506
		Retailers — 0.2%
	45,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		52,959
	246,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020		274,290
	45,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		42,863
				370,112
		Technology — 0.4%
	215,000	Ciena Corp., 3.750%, 10/15/2018, 144A		266,197
	105,000	Intel Corp., 3.482%, 12/15/2035(c)		137,944
	70,000	Novellus Systems, Inc., 2.625%, 5/15/2041		160,475
	45,000	Nuance Communications, Inc., 2.750%, 11/01/2031		44,859
	35,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		44,209
	55,000	Xilinx, Inc., 2.625%, 6/15/2017		82,775
				736,459
		Transportation Services — 0.0%
	30,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019		34,088
		Total Convertible Bonds (Identified Cost $2,849,811)		3,480,246
	Municipals — 0.0%
		Michigan — 0.0%
	45,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 (Identified Cost $45,000)		38,953
		Total Bonds and Notes (Identified Cost $76,500,120)		77,941,441
Shares
	Preferred Stocks — 1.3%
	Non-Convertible Preferred Stocks — 0.5%
		Banking — 0.5%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		117,600
	288	Ally Financial, Inc., Series G, 7.000%, 144A		287,883
	4,125	Countrywide Capital IV, 6.750%		104,527
	20,424	SunTrust Banks, Inc., Series E, 5.875%		490,401
		Total Non-Convertible Preferred Stocks (Identified Cost $879,854)		1,000,411

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Shares		Description	Value (†)
	Convertible Preferred Stocks — 0.8%
		Banking — 0.1%
	19	Bank of America Corp., Series L, 7.250%	$	22,096
	70	Wells Fargo & Co., Series L, Class A, 7.500%		84,420
				106,516
		Electric — 0.1%
	1,871	NextEra Energy, Inc., 5.889%		125,245
		Food Products — 0.1%
	2,620	Tyson Foods, Inc., 4.750%		131,891
		Metals & Mining — 0.1%
	2,888	Alcoa, Inc., Series 1, 5.375%		145,700
		REITs - Diversified — 0.3%
	3,130	Crown Castle International Corp., Series A, 4.500%		322,359
	2,293	Weyerhaeuser Co., Series A, 6.375%		132,306
				454,665
		REITs - Mortgage — 0.0%
	1,780	iStar Financial, Inc., Series J, 4.500%(i)		105,234
		Utility Other — 0.1%
	1,532	Dominion Resources, Inc., 6.375%		79,679
	1,013	Dominion Resources, Inc., Series A, 6.125%		60,790
	1,817	Dominion Resources, Inc., Series B, 6.000%		109,238
				249,707
		Total Convertible Preferred Stocks (Identified Cost $1,235,424)		1,318,958
		Total Preferred Stocks (Identified Cost $2,115,278)		2,319,369
Principal Amount (‡)
	Senior Loans — 0.1%
		Supermarkets — 0.1%
$	78,803	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(c)		77,276
		Transportation Services — 0.0%
	24,875	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)		24,191
		Total Senior Loans (Identified Cost $103,075)		101,467
	Short-Term Investments — 4.4%
	7,611,155	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $7,611,159 on 1/02/2015 collateralized by $2,450,000 U.S. Treasury Note, 0.750% due 2/28/2018 valued at $2,416,313; $5,215,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $5,358,413 including accrued interest (Note 2 of Notes to Financial Statements)		7,611,155
	130,000	U.S. Treasury Bills, 0.037%, 2/05/2015(g)(h)		129,997

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — continued
$	35,000	U.S. Treasury Bills, 0.055%, 1/02/2015(h)	$	35,000
	115,000	U.S. Treasury Bills, 0.090%, 6/11/2015(h)		114,967
		Total Short-Term Investments (Identified Cost $7,891,104)		7,891,119
		Total Investments — 100.3% (Identified Cost $161,695,731)(a)		178,841,655
		Other assets less liabilities — (0.3)%		(464,849	)
		Net Assets — 100.0%	$	178,376,806
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized appreciation on investments based on a cost of $161,822,864 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	$	19,871,679
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,852,888	)
		Net unrealized appreciation	$	17,018,791
	(b)	Non-income producing security.
	(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.
	(d)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(e)	Perpetual bond with no specified maturity date.
	(f)	Treasury Inflation Protected Security (TIPS).
	(g)	A portion of this security has been pledged as initial margin for open futures contracts.
	(h)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(i)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $123,432 or 0.1% of net assets.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the value of Rule 144A holdings amounted to $14,427,103 or 8.1% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	GMTN	Global Medium Term Note
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit
	AUD	Australian Dollar
	BRL	Brazilian Real

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of December 31, 2014

Natixis Diversified Income Fund – (continued)

CLP	Chilean Peso
COP	Colombian Peso
EUR	Euro
GBP	British Pound
INR	Indian Rupee
MXN	Mexican Peso
PHP	Philippine Peso

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

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		3/04/2015	British Pound		67,000	$	104,378	$	1,314
Sell2		1/23/2015	Mexican Peso		8,900,000		602,579		49,622
Total								$	50,936

¹ Counterparty is Credit Suisse International.

² Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2015		14	$	2,023,875	$	(55,028	)

Industry Summary at December 31, 2014

Treasuries	16.6	%
REITs – Office Property	4.2
Multi-Utilities	4.2
REITs – Apartments	4.1
REITs – Regional Malls	3.9
Electric Utilities	3.9
Banking	3.5
REITs – Health Care	3.0
Aerospace & Defense	2.4
REITs – Shopping Centers	2.2
REITs – Diversified	2.2
REITs – Storage	2.1
Pharmaceuticals	2.0
Other Investments, less than 2% each	41.6
Short-Term Investments	4.4
Total Investments	100.3
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(0.3	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of December 31, 2014

Natixis U.S. Equity Opportunities Fund

Shares		Description	Value (†)
	Common Stocks — 97.5% of Net Assets
		Air Freight & Logistics — 4.7%
	233,268	Expeditors International of Washington, Inc.	$	10,406,085
	47,800	FedEx Corp.		8,300,948
	40,516	United Parcel Service, Inc., Class B		4,504,164
				23,211,197
		Automobiles — 1.6%
	231,700	General Motors Co.		8,088,647
		Banks — 6.4%
	766,300	Bank of America Corp.		13,709,107
	164,300	Citigroup, Inc.		8,890,273
	145,000	JPMorgan Chase & Co.		9,074,100
				31,673,480
		Beverages — 6.2%
	113,722	Coca-Cola Co. (The)		4,801,343
	58,800	Diageo PLC, Sponsored ADR		6,708,492
	143,972	Monster Beverage Corp.(b)		15,599,366
	72,468	SABMiller PLC, Sponsored ADR		3,736,450
				30,845,651
		Biotechnology — 1.1%
	32,527	Amgen, Inc.		5,181,226
		Capital Markets — 4.6%
	139,800	Franklin Resources, Inc.		7,740,726
	146,863	Greenhill & Co., Inc.		6,403,227
	212,780	SEI Investments Co.		8,519,711
				22,663,664
		Communications Equipment — 6.2%
	486,088	Cisco Systems, Inc.		13,520,538
	230,987	QUALCOMM, Inc.		17,169,264
				30,689,802
		Consumer Finance — 2.1%
	25,285	American Express Co.		2,352,517
	99,700	Capital One Financial Corp.		8,230,235
				10,582,752
		Diversified Financial Services — 1.2%
	127,902	MSCI, Inc.		6,067,671
		Energy Equipment & Services — 2.3%
	106,000	Halliburton Co.		4,168,980
	85,140	Schlumberger Ltd.		7,271,808
				11,440,788
		Food Products — 2.4%
	509,479	Danone, Sponsored ADR		6,631,888
	130,500	Unilever PLC, Sponsored ADR		5,282,640
				11,914,528

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of December 31, 2014

Natixis U.S. Equity Opportunities Fund – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — 3.9%
	106,600	Medtronic, Inc.	$	7,696,520
	103,743	Varian Medical Systems, Inc.(b)		8,974,807
	22,058	Zimmer Holdings, Inc.		2,501,818
				19,173,145
		Health Care Providers & Services — 1.7%
	81,700	UnitedHealth Group, Inc.		8,259,053
		Hotels, Restaurants & Leisure — 0.9%
	60,064	Yum! Brands, Inc.		4,375,662
		Household Products — 1.0%
	56,084	Procter & Gamble Co. (The)		5,108,692
		Industrial Conglomerates — 0.6%
	117,100	General Electric Co.		2,959,117
		Insurance — 4.9%
	112,900	Aflac, Inc.		6,897,061
	167,100	American International Group, Inc.		9,359,271
	84,400	Aon PLC		8,003,652
				24,259,984
		Internet & Catalog Retail — 5.6%
	63,361	Amazon.com, Inc.(b)		19,664,086
	277,900	Liberty Interactive Corp., Class A(b)		8,175,818
				27,839,904
		Internet Software & Services — 7.8%
	54,349	Alibaba Group Holding Ltd., Sponsored ADR(b)		5,649,035
	157,947	Facebook, Inc., Class A(b)		12,323,025
	26,599	Google, Inc., Class A(b)		14,115,025
	9,526	Google, Inc., Class C(b)		5,014,487
	53,512	HomeAway, Inc.(b)		1,593,587
				38,695,159
		IT Services — 5.9%
	30,508	Automatic Data Processing, Inc.		2,543,452
	121,300	MasterCard, Inc., Class A		10,451,208
	61,591	Visa, Inc., Class A		16,149,160
				29,143,820
		Machinery — 1.2%
	63,300	Illinois Tool Works, Inc.		5,994,510
		Media — 1.2%
	78,900	Omnicom Group, Inc.		6,112,383
		Metals & Mining — 0.5%
	30,025	Compass Minerals International, Inc.		2,607,071
		Oil, Gas & Consumable Fuels — 1.8%
	141,900	Apache Corp.		8,892,873

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of December 31, 2014

Natixis U.S. Equity Opportunities Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 4.3%
	41,577	Merck & Co., Inc.	$	2,361,158
	70,159	Novartis AG, ADR		6,500,933
	157,758	Novo Nordisk AS, Sponsored ADR		6,676,318
	129,500	Sanofi, ADR		5,906,495
				21,444,904
		Semiconductors & Semiconductor Equipment — 3.7%
	7,989	Altera Corp.		295,114
	14,919	Analog Devices, Inc.		828,303
	154,464	ARM Holdings PLC, Sponsored ADR		7,151,683
	246,200	Intel Corp.		8,934,598
	22,041	Linear Technology Corp.		1,005,069
				18,214,767
		Software — 9.5%
	135,218	Autodesk, Inc.(b)		8,121,193
	48,985	FactSet Research Systems, Inc.		6,894,639
	230,490	Microsoft Corp.		10,706,260
	476,435	Oracle Corp.		21,425,282
				47,147,374
		Specialty Retail — 2.7%
	84,000	Home Depot, Inc. (The)		8,817,480
	63,874	Lowe’s Cos., Inc.		4,394,531
				13,212,011
		Technology Hardware, Storage & Peripherals — 1.5%
	65,600	Apple, Inc.		7,240,928
		Total Common Stocks (Identified Cost $413,752,497)		483,040,763
Principal Amount
	Short-Term Investments — 3.0%
$	14,807,748	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $14,807,756 on 1/02/2015 collateralized by $14,635,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $15,110,638 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $14,807,748)		14,807,748
		Total Investments — 100.5% (Identified Cost $428,560,245)(a)		497,848,511
		Other assets less liabilities — (0.5)%		(2,286,744	)
		Net Assets — 100.0%	$	495,561,767
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of December 31, 2014

Natixis U.S. Equity Opportunities Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized appreciation on investments based on a cost of $429,120,850 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	$	78,909,324
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,181,663	)
	Net unrealized appreciation	$	68,727,661
(b)	Non-income producing security.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at December 31, 2014

Software	9.5	%
Internet Software & Services	7.8
Banks	6.4
Beverages	6.2
Communications Equipment	6.2
IT Services	5.9
Internet & Catalog Retail	5.6
Insurance	4.9
Air Freight & Logistics	4.7
Capital Markets	4.6
Pharmaceuticals	4.3
Health Care Equipment & Supplies	3.9
Semiconductors & Semiconductor Equipment	3.7
Specialty Retail	2.7
Food Products	2.4
Energy Equipment & Services	2.3
Consumer Finance	2.1
Other Investments, less than 2% each	14.3
Short-Term Investments	3.0
Total Investments	100.5
Other assets less liabilities	(0.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  54

Portfolio of Investments – as of December 31, 2014

Seeyond^SM Multi-Asset Allocation Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 13.8% of Net Assets
		France — 2.6%
$	900,000	France Government Bond OAT,
		3.500%, 4/25/2020, (EUR)(b)	$	1,277,284
		Germany — 2.8%
	390,000	Bundesrepublik Deutschland,
		1.500%, 2/15/2023, (EUR)(b)		516,054
	600,000	Bundesrepublik Deutschland,
		3.250%, 1/04/2020, (EUR)(b)		843,487
				1,359,541
		Japan — 5.1%
	280,000,000	Japan Government Ten Year Bond,
		1.000%, 3/20/2022, (JPY)		2,486,493
		Spain — 2.6%
	850,000	Spain Government Bond,
		4.400%, 10/31/2023, 144A, (EUR)(b)		1,272,369
		United Kingdom — 0.7%
	200,000	United Kingdom Gilt,
		2.250%, 9/07/2023, (GBP)		326,620
		Total Bonds and Notes
		(Identified Cost $6,988,888)		6,722,307
Shares
	Exchange Traded Funds — 9.2%
		United States — 9.2%
	10,000	iShares® MSCI China ETF(b)(c)		502,300
	38,610	iShares® MSCI Emerging Markets ETF(b)(c)		1,516,987
	5,900	iShares® MSCI India ETF(b)(c)		177,531
	2,425	iShares® MSCI Indonesia ETF(b)(c)		66,542
	6,350	iShares® MSCI Malaysia ETF(b)(c)		85,598
	800	iShares® MSCI Philippines ETF(b)(c)		30,560
	6,025	iShares® MSCI South Korea Capped ETF(b)(c)		333,183
	45,000	iShares® MSCI Switzerland Capped ETF(b)(c)		1,426,050
	19,530	iShares® MSCI Taiwan ETF(b)(c)		295,098
	700	iShares® MSCI Thailand Capped ETF(b)(c)		54,222
		Total Exchange Traded Funds (Identified Cost $4,882,903)		4,488,071
Contracts
	Purchased Options — 0.0%
		Options on Futures Contracts — 0.0%
	20	10 Year U.S. Treasury Note, Put expiring February 20, 2015 at 125		5,937
	14	E-mini S&P 500®, Call expiring January 16, 2015 at 2080		8,050
		Total Purchased Options (Identified Cost $26,174)		13,987

See accompanying notes to financial statements.

55  |

Portfolio of Investments – as of December 31, 2014

Seeyond^SM Multi-Asset Allocation Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 59.0%
$	13,667,631	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $13,667,639 on 1/02/2015 collateralized by $11,740,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $13,941,250 including accrued interest (Note 2 of Notes to Financial Statements)	$	13,667,631
	11,000,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $11,000,006 on 1/02/2015 collateralized by $11,320,000 Federal Farm Credit Banks, 2.700% due 12/02/2024 valued at $11,220,950 including accrued interest (Note 2 of Notes to Financial Statements)(b)		11,000,000
	1,100,000	Spain Letras del Tesoro, 0.202%, 3/13/2015, (EUR)(d)		1,329,406
	1,800,000	United Kingdom Treasury Bills, 0.387%, 3/16/2015, (GBP)(d)		2,803,398
		Total Short-Term Investments (Identified Cost $28,837,208)		28,800,435
		Total Investments — 82.0% (Identified Cost $40,735,173)(a)		40,024,800
		Other assets less liabilities — 18.0%		8,758,971
		Net Assets — 100.0%	$	48,783,771
Contracts
	Written Options — (0.0%)
		Options on Futures Contracts — (0.0%)
	20	10 Year U.S. Treasury Note, Call expiring February 20, 2015 at 129 (Premiums Received $6,564)	$	(5,625	)
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized depreciation on investments based on a cost of $40,762,913 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	$	4,553
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(742,666	)
		Net unrealized depreciation	$	(738,113	)
	(b)	All of this security has been designated to cover the Fund’s obligations under open futures contracts or options.
	(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 SeeyondSM Multi-Asset Allocation Fund.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the value of Rule 144A holdings amounted to $1,272,369 or 2.6% of net assets.

See accompanying notes to financial statements.

|  56

Portfolio of Investments – as of December 31, 2014

Seeyond^SM Multi-Asset Allocation Fund – (continued)

ETF	Exchange Traded Fund
EUR	Euro
GBP	British Pound
JPY	Japanese Yen

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
ASX SPI 200™		3/19/2015		8	$	878,936	$	39,984
E-mini NASDAQ 100		3/20/2015		19		1,608,445		27,540
E-mini S&P 500®		3/20/2015		130		13,340,600		449,149
EURO STOXX 50®		3/20/2015		96		3,639,444		136,924
Euro-BTP		3/06/2015		15		2,461,242		23,576
FTSE 100 Index		3/20/2015		21		2,134,855		94,384
FTSE MIB		3/20/2015		13		1,499,839		46,292
German Euro Bund		3/06/2015		25		4,715,263		83,158
German Euro Bund, Put options at 153*		2/20/2015		14		4,066		(3,231	)
IBEX 35		1/16/2015		7		867,728		28,719
Nikkei 225™		3/12/2015		34		2,958,000		(130,168	)
S&P/TSX 60 Index		3/19/2015		7		1,026,201		64,357
UK Long Gilt		3/27/2015		2		372,599		8,570
Ultra Long U.S. Treasury Bond		3/20/2015		10		1,651,875		73,969
10 Year Japan Government Bond		3/11/2015		2		2,467,691		13,525
10 Year U.S. Treasury Note		3/20/2015		20		2,535,937		13,758
Total							$	970,506

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volatility Index		1/21/2015		13	$	234,325	$	15,691
CBOE SPX Volatility Index		2/18/2015		25		455,625		(30,810	)
German Euro Bund, Call options at 157*		2/20/2015		14		10,164		(2,384	)
Swiss Franc		3/16/2015		3		377,775		10,304
Total							$	(7,199	)

*Futures on German Euro Bund options are categorized as futures for valuation purposes but carry the risks associated with investments in options (see Note 2 of Notes to Financial Statements).

Industry Summary at December 31, 2014

Treasuries	13.8	%
Exchange Traded Funds	9.2
Purchased Options	0.0
Short-Term Investments	59.0
Total Investments	82.0
Other assets less liabilities (including open written options and futures contracts)	18.0
Net Assets	100.0	%

See accompanying notes to financial statements.

57  |

Statements of Assets and Liabilities

December 31, 2014

	McDonnell Intermediate Municipal  Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund			SeeyondSM Multi-Asset Allocation Fund
ASSETS
Investments at cost	$	30,361,259		$	154,084,576		$	413,752,497		$	16,067,542
Repurchase agreement(s) at cost		1,481,381			7,611,155			14,807,748			24,667,631
Net unrealized appreciation (depreciation)		763,097			17,145,924			69,288,266			(710,373	)
Investments at value		32,605,737			178,841,655			497,848,511			40,024,800
Cash		—			198			—			—
Due from broker (including variation margin on futures contracts (Note 2)		—			—			—			875,752
Foreign currency at value (identified cost $0, $2,674, $0 and $7,541,032, respectively)		—			2,662			—			6,946,988
Receivable for Fund shares sold		39,189			432,153			2,794,182			—
Receivable from investment adviser (Note 6)		9,467			—			—			—
Receivable for securities sold		—			142,590			1,577,040			—
Dividends and interest receivable		376,654			957,864			331,207			72,355
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			50,936			—			—
Tax reclaims receivable		—			325			—			—
Unrealized appreciation on futures contracts (Note 2)		—			—			—			1,129,900
TOTAL ASSETS		33,031,047			180,428,383			502,550,940			49,049,795
LIABILITIES
Options written, at value (premiums received $0, $0, $0 and $6,564, respectively) (Note 2)		—			—			—			5,625
Payable for securities purchased		—			1,413,151			5,001,266			—
Payable for Fund shares redeemed		3,448			372,445			859,204			—
Payable for variation margin on futures contracts (Note 2)		—			3,938			—			—
Unrealized depreciation on futures contracts (Note 2)		—			—			—			166,593
Distributions payable		9,586			—			—			—
Management fees payable (Note 6)		—			80,856			405,182			18,387
Deferred Trustees’ fees (Note 6)		19,574			94,947			523,913			4,229
Administrative fees payable (Note 6)		1,217			6,308			17,839			1,773
Payable to distributor (Note 6d)		45			1,197			1,881			—
Other accounts payable and accrued expenses		61,969			78,735			179,888			69,417
TOTAL LIABILITIES		95,839			2,051,577			6,989,173			266,024
NET ASSETS	$	32,935,208		$	178,376,806		$	495,561,767		$	48,783,771
NET ASSETS CONSIST OF:
Paid-in capital	$	32,574,881		$	170,446,758		$	420,757,348		$	49,973,461
Distributions in excess of net investment income/Accumulated net investment loss		(1,354	)		(199,276	)		(523,913	)		(763,696	)
Accumulated net realized gain (loss) on investments, futures contracts, options/swaptions written and foreign currency transactions		(401,416	)		(9,006,745	)		6,040,066			(128,073	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written and foreign currency translations		763,097			17,136,069			69,288,266			(297,921	)
NET ASSETS	$	32,935,208		$	178,376,806		$	495,561,767		$	48,783,771

See accompanying notes to financial statements.

|  58

Statements of Assets and Liabilities (continued)

December 31, 2014

	McDonnell Intermediate Municipal Bond Fund		Natixis Diversified Income Fund		Natixis U.S. Equity Opportunities Fund		SeeyondSM Multi-Asset Allocation Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	2,398,766	$	110,873,865	$	400,677,630	$	968
Shares of beneficial interest		239,969		8,242,302		14,621,284		100
Net asset value and redemption price per share	$	10.00	$	13.45	$	27.40	$	9.68
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.36	$	14.08	$	29.07	$	10.27
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	—	$	—	$	3,323,937	$	—
Shares of beneficial interest		—		—		164,333		—
Net asset value and offering price per share	$	—	$	—	$	20.23	$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,222,701	$	53,074,494	$	53,924,694	$	27,210
Shares of beneficial interest		222,404		3,957,538		2,664,229		2,821
Net asset value and offering price per share	$	9.99	$	13.41	$	20.24	$	9.65
Class Y shares:
Net assets	$	28,313,741	$	14,428,447	$	37,635,506	$	48,755,593
Shares of beneficial interest		2,831,274		1,077,654		1,207,173		5,033,632
Net asset value, offering and redemption price per share	$	10.00	$	13.39	$	31.18	$	9.69

See accompanying notes to financial statements.

59  |

Statements of Operations

For the Year Ended December 31, 2014

	McDonnell Intermediate Municipal Bond Fund			Natixis Diversified Income Fund			Natixis U.S. Equity Opportunities Fund			SeeyondSM Multi-Asset Allocation Fund (a)
INVESTMENT INCOME
Dividends	$	—		$	2,348,142		$	6,425,172		$	37,908
Interest		559,106			2,618,952			257			19,041
Less net foreign taxes withheld		—			—			(58,305	)		—
		559,106			4,967,094			6,367,124			56,949
Expenses
Management fees (Note 6)		111,610			776,986			3,741,002			183,705
Service and distribution fees (Note 6)		11,025			720,365			1,493,685			77
Administrative fees (Note 6)		12,046			61,016			202,052			9,270
Trustees’ fees and expenses (Note 6)		19,000			25,854			60,049			7,132
Transfer agent fees and expenses (Note 6)		3,321			87,751			526,450			597
Audit and tax services fees		51,203			47,825			47,878			54,381
Custodian fees and expenses		12,304			47,364			33,303			9,293
Interest expense (Note 10)		—			—			—			953
Legal fees		224			1,089			3,821			109
Registration fees		62,131			63,046			87,603			19,504
Shareholder reporting expenses		2,296			15,094			87,660			2,098
Miscellaneous expenses		11,155			17,397			22,295			5,542
Total expenses		296,315			1,863,787			6,305,798			292,661
Fee/expense recovery (Note 6)		—			—			71,229			—
Less waiver and/or expense reimbursement (Note 6)		(131,826	)		(3,404	)		—			(64,701	)
Net expenses		164,489			1,860,383			6,377,027			227,960
Net investment income (loss)		394,617			3,106,711			(9,903	)		(171,011	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(53,090	)		1,110,316			137,250,493			(233,868	)
Futures contracts		—			(170,733	)		268,061			25,499
Options/swaptions written		—			620,081			(21,977	)		110,045
Foreign currency transactions		—			12,511			—			(1,008,609	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,268,045			12,502,606			(80,424,544	)		(710,373	)
Futures contracts		—			(58,899	)		—			963,307
Options/Swaptions written		—			5,664			—			939
Foreign currency translations		—			45,458			—			(551,794	)
Net realized and unrealized gain on investments, futures contracts, options/swaptions written and foreign currency transactions		1,214,955			14,067,004			57,072,033			(1,404,854	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,609,572		$	17,173,715		$	57,062,130		$	(1,575,865	)

(a) From commencement of operations on July 23, 2014 through December 31, 2014

See accompanying notes to financial statements.

|  60

Statements of Changes in Net Assets

	McDonnell Intermediate Municipal Bond Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	394,617		$	219,809
Net realized loss on investments		(53,090	)		(348,326	)
Net change in unrealized appreciation (depreciation) on investments		1,268,045			(347,464	)
Net increase (decrease) in net assets resulting from operations		1,609,572			(475,981	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(19,275	)		(3,763	)
Class C		(2,856	)		(41	)
Class Y		(372,573	)		(222,054	)
Total distributions		(394,704	)		(225,858	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		8,914,814			8,678,272
Net increase in net assets		10,129,682			7,976,433
NET ASSETS
Beginning of the year		22,805,526			14,829,093
End of the year	$	32,935,208		$	22,805,526
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(1,354	)	$	(326	)

See accompanying notes to financial statements.

61  |

Statements of Changes in Net Assets (continued)

	Natixis Diversified Income Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	3,106,711		$	2,842,327
Net realized gain on investments, futures contracts, options written and foreign currency transactions		1,572,175			6,816,963
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written and foreign currency translations		12,494,829			(2,922,350	)
Net increase in net assets resulting from operations		17,173,715			6,736,940
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(2,341,189	)		(2,123,101	)
Class C		(952,028	)		(943,848	)
Class Y		(147,181	)		(21,931	)
Total distributions		(3,440,398	)		(3,088,880	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		36,464,179			(3,382,992	)
Net increase in net assets		50,197,496			265,068
NET ASSETS
Beginning of the year		128,179,310			127,914,242
End of the year	$	178,376,806		$	128,179,310
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(199,276	)	$	(165,741	)

See accompanying notes to financial statements.

|  62

Statements of Changes in Net Assets (continued)

	Natixis U.S. Equity Opportunities Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment loss	$	(9,903	)	$	(762,450	)
Net realized gain on investments, futures contracts and options written		137,496,577			37,957,408
Net change in unrealized appreciation (depreciation) on investments		(80,424,544	)		82,618,997
Net increase in net assets resulting from operations		57,062,130			119,813,955
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net realized capital gains
Class A		(108,546,162	)		(27,351,336	)
Class B		(1,183,478	)		(739,952	)
Class C		(18,242,647	)		(3,885,125	)
Class Y		(9,498,229	)		(1,541,929	)
Total distributions		(137,470,516	)		(33,518,342	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		128,349,059			18,695,182
Net increase in net assets		47,940,673			104,990,795
NET ASSETS
Beginning of the year		447,621,094			342,630,299
End of the year	$	495,561,767		$	447,621,094
ACCUMULATED NET INVESTMENT LOSS	$	(523,913	)	$	(533,755	)

See accompanying notes to financial statements.

63  |

Statements of Changes in Net Assets (continued)

	SeeyondSM Multi-Asset Allocation Fund
	Period Ended December 31, 2014(a)
FROM OPERATIONS:
Net investment loss	$	(171,011	)
Net realized loss on investments, futures contracts, options written and foreign currency transactions		(1,106,933	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written and foreign currency translations		(297,921	)
Net decrease in net assets resulting from operations		(1,575,865	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		50,359,636
Net increase in net assets		48,783,771
NET ASSETS
Beginning of the year		—
End of the year	$	48,783,771
ACCUMULATED NET INVESTMENT LOSS	$	(763,696	)

(a) From commencement of operations on July 23, 2014 through December 31, 2014.

See accompanying notes to financial statements.

|  64

Financial Highlights

For a share outstanding throughout each period.

	McDonnell Intermediate Municipal Bond Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.54		$	9.89		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.11			0.09			(0.01	)
Net realized and unrealized gain (loss)		0.47			(0.35	)		(0.10	)
Total from Investment Operations		0.58			(0.26	)		(0.11	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.09	)		—
Net realized capital gains		—			—			—
Total Distributions		(0.12	)		(0.09	)		—
Net asset value, end of the period	$	10.00		$	9.54		$	9.89
Total return(b)(c)		6.08	%		(2.66	)%		(1.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,399		$	1,047		$	1
Net expenses(d)		0.80	%		0.80	%		2.19	%(e)(f)
Gross expenses		1.26	%		1.37	%		2.23	%(e)
Net investment income (loss)		1.15	%		0.90	%		(0.71	)%(e)
Portfolio turnover rate		10	%		37	%		0	%

* From commencement of operations on November 16, 2012 through December 31, 2012.

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

(b) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(f) Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

65  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	McDonnell Intermediate Municipal Bond Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.54		$	9.89		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			0.01			(0.01	)
Net realized and unrealized gain (loss)		0.45			(0.34	)		(0.10	)
Total from Investment Operations		0.49			(0.33	)		(0.11	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)		(0.02	)		—
Net realized capital gains		—			—			—
Total Distributions		(0.04	)		(0.02	)		—
Net asset value, end of the period	$	9.99		$	9.54		$	9.89
Total return(b)(c)		5.18	%		(3.35	)%		(1.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,223		$	55		$	1
Net expenses(d)		1.55	%		1.55	%		2.20	%(e)(f)
Gross expenses		2.04	%		2.08	%		2.24	%(e)
Net investment income (loss)		0.41	%		0.14	%		(0.73	)%(e)
Portfolio turnover rate		10	%		37	%		0	%

* From commencement of operations on November 16, 2012 through December 31, 2012.

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

(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(f) Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

|  66

Financial Highlights (continued)

For a share outstanding throughout each period.

	McDonnell Intermediate Municipal Bond Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	9.54		$	9.88		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.14			0.11			(0.01	)
Net realized and unrealized gain (loss)		0.46			(0.34	)		(0.11	)
Total from Investment Operations		0.60			(0.23	)		(0.12	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.11	)		—
Net realized capital gains		—			—			—
Total Distributions		(0.14	)		(0.11	)		—
Net asset value, end of the period	$	10.00		$	9.54		$	9.88
Total return(b)		6.36	%		(2.31	)%		(1.20	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	28,314		$	21,704		$	14,827
Net expenses(c)		0.55	%		0.55	%		2.33	%(d)(e)
Gross expenses		1.02	%		1.04	%		2.37	%(d)
Net investment income (loss)		1.46	%		1.13	%		(0.84	)%(d)
Portfolio turnover rate		10	%		37	%		0	%

* From commencement of operations on November 16, 2012 through December 31, 2012.

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

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

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

(d) Computed on an annualized basis for periods less than one year.

(e) Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund.

See accompanying notes to financial statements.

67  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Diversified Income Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	12.21		$	11.83		$	10.74		$	10.41		$	9.22
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.32			0.29			0.29			0.34			0.34
Net realized and unrealized gain (loss)		1.26			0.40			1.12			0.40			1.18
Total from Investment Operations		1.58			0.69			1.41			0.74			1.52
LESS DISTRIBUTIONS FROM:
Net investment income		(0.34	)		(0.31	)		(0.32	)		(0.41	)		(0.33	)
Net realized capital gains		—			—			—			—			—
Total Distributions		(0.34	)		(0.31	)		(0.32	)		(0.41	)		(0.33	)
Net asset value, end of the period	$	13.45		$	12.21		$	11.83		$	10.74		$	10.41
Total return(b)		13.08	%		5.84	%		13.22	%		7.21	%		16.73	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	110,874		$	79,039		$	78,216		$	45,211		$	35,787
Net expenses		1.06	%		1.09	%		1.11	%		1.13	%		1.19	%
Gross expenses		1.06	%		1.09	%		1.11	%		1.13	%		1.19	%
Net investment income		2.46	%		2.34	%		2.53	%		3.17	%		3.51	%
Portfolio turnover rate		41	%		41	%		29	%		20	%		28	%

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

(b) A sales charge for Class A shares is not reflected in total return calculations.

See accompanying notes to financial statements.

|  68

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Diversified Income Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	12.17		$	11.80		$	10.71		$	10.39		$	9.20
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.19			0.20			0.26			0.27
Net realized and unrealized gain (loss)		1.27			0.39			1.12			0.39			1.17
Total from Investment Operations		1.49			0.58			1.32			0.65			1.44
LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.21	)		(0.23	)		(0.33	)		(0.25	)
Net realized capital gains		—			—			—			—			—
Total Distributions		(0.25	)		(0.21	)		(0.23	)		(0.33	)		(0.25	)
Net asset value, end of the period	$	13.41		$	12.17		$	11.80		$	10.71		$	10.39
Total return(b)		12.28	%		4.98	%		12.43	%		6.33	%		15.90	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	53,074		$	48,512		$	49,697		$	29,814		$	27,355
Net expenses		1.81	%		1.84	%		1.86	%		1.88	%		1.94	%
Gross expenses		1.81	%		1.84	%		1.86	%		1.88	%		1.94	%
Net investment income		1.70	%		1.59	%		1.79	%		2.42	%		2.76	%
Portfolio turnover rate		41	%		41	%		29	%		20	%		28	%

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

(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

See accompanying notes to financial statements.

69  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Diversified Income Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2012*
Net asset value, beginning of the period	$	12.19		$	11.83		$	11.72
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.38			0.33			(0.02	)
Net realized and unrealized gain (loss)		1.19			0.37			0.18
Total from Investment Operations		1.57			0.70			0.16
LESS DISTRIBUTIONS FROM:
Net investment income		(0.37	)		(0.34	)		(0.05	)
Net realized capital gains		—			—			—
Total Distributions		(0.37	)		(0.34	)		(0.05	)
Net asset value, end of the period	$	13.39		$	12.19		$	11.83
Total return		13.05	%		5.93	%		1.35	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14,428		$	628		$	1
Net expenses		0.82	%		0.83	%		1.00	%(b)
Gross expenses		0.82	%		0.83	%		1.00	%(b)
Net investment income (loss)		2.92	%		2.71	%		(2.37	)%(b)
Portfolio turnover rate		41	%		41	%		29	%

* From commencement of operations on December 3, 2012, through December 31, 2012.

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

(b) Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

|  70

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	33.07		$	26.35		$	23.56		$	25.17		$	20.68
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.04	)		0.07			(0.04	)		0.03	(b)
Net realized and unrealized gain (loss)		4.31			9.34			4.12			(0.69	)		4.50
Total from Investment Operations		4.33			9.30			4.19			(0.73	)		4.53
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.07	)		—			(0.04	)
Net realized capital gains		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Total Distributions		(10.00	)		(2.58	)		(1.40	)		(0.88	)		(0.04	)
Increase from regulatory settlements		—			—			—			—			0.00	(c)
Net asset value, end of the period	$	27.40		$	33.07		$	26.35		$	23.56		$	25.17
Total return(d)		12.94	%		35.75	%(e)		17.79	%(e)		(2.79	)%(e)		21.90	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	400,678		$	371,102		$	289,898		$	281,467		$	314,384
Net expenses		1.29	%(f)		1.30	%(g)		1.30	%(g)		1.34	%(g)(h)		1.40	%(g)
Gross expenses		1.29	%(f)		1.32	%		1.35	%		1.38	%		1.50	%
Net investment income (loss)		0.07	%		(0.12	)%		0.25	%		(0.15	)%		0.14	%(b)
Portfolio turnover rate		93	%(i)		50	%		52	%		97	%		79	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04) and the ratio of net investment loss to average net assets would have been (0.19)%.

(c) Amount rounds to less than $0.01 per share.

(d) A sales charge for Class A shares is not reflected in total return calculations.

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

(f) Includes fee/expense recovery of 0.02%.

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

(h) Effective June 1, 2011, the expense limit decreased to 1.30%.

(i) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team and a reduction from four segments to two segments.

See accompanying notes to financial statements.

71  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class B
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	26.91		$	21.98		$	19.93		$	21.60		$	17.85
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.19	)		(0.22	)		(0.12	)		(0.21	)		(0.12	)(b)
Net realized and unrealized gain (loss)		3.51			7.73			3.50			(0.58	)		3.87
Total from Investment Operations		3.32			7.51			3.38			(0.79	)		3.75
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—
Net realized capital gains		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Total Distributions		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Increase from regulatory settlements		—			—			—			—			0.00	(c)
Net asset value, end of the period	$	20.23		$	26.91		$	21.98		$	19.93		$	21.60
Total return(d)		12.14	%		34.70	%(e)		16.97	%(e)		(3.53	)%(e)		21.01	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,324		$	7,708		$	11,172		$	16,820		$	28,787
Net expenses		2.04	%(f)		2.05	%(g)		2.05	%(g)		2.10	%(g)(h)		2.15	%(g)
Gross expenses		2.04	%(f)		2.07	%		2.10	%		2.13	%		2.25	%
Net investment loss		(0.70	)%		(0.89	)%		(0.55	)%		(0.94	)%		(0.66	)%(b)
Portfolio turnover rate		93	%(i)		50	%		52	%		97	%		79	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.18) and the ratio of net investment loss to average net assets would have been (0.98)%.

(c) Amount rounds to less than $0.01 per share.

(d) A contingent deferred sales charge for Class B shares is not reflected in total return calculations.

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

(f) Includes fee/expense recovery of 0.02%.

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

(h) Effective June 1, 2011, the expense limit decreased to 2.05%.

(i) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team and a reduction from four segments to two segments.

See accompanying notes to financial statements.

|  72

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	26.92		$	21.99		$	19.94		$	21.61		$	17.86
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.19	)		(0.22	)		(0.11	)		(0.20	)		(0.12	)(b)
Net realized and unrealized gain (loss)		3.51			7.73			3.49			(0.59	)		3.87
Total from Investment Operations		3.32			7.51			3.38			(0.79	)		3.75
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—
Net realized capital gains		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Total Distributions		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Increase from regulatory settlements		—			—			—			—			0.00	(c)
Net asset value, end of the period	$	20.24		$	26.92		$	21.99		$	19.94		$	21.61
Total return(d)		12.12	%		34.69	%(e)		16.96	%(e)		(3.53	)%(e)		21.00	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	53,925		$	44,150		$	30,525		$	28,462		$	30,912
Net expenses		2.04	%(f)		2.05	%(g)		2.05	%(g)		2.09	%(g)(h)		2.15	%(g)
Gross expenses		2.04	%(f)		2.07	%		2.10	%		2.13	%		2.25	%
Net investment loss		(0.68	)%		(0.86	)%		(0.49	)%		(0.90	)%		(0.62	)%(b)
Portfolio turnover rate		93	%(i)		50	%		52	%		97	%		79	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.18) and the ratio of net investment loss to average net assets would have been (0.94)%.

(c) Amount rounds to less than $0.01 per share.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(h) Effective June 1, 2011, the expense limit decreased to 2.05%.

(i) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the portfolio management team and a reduction from four segments to two segments.

See accompanying notes to financial statements.

73  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	36.32		$	28.68		$	25.52		$	27.12		$	22.27
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.05			0.17			0.04			0.05	(b)
Net realized and unrealized gain (loss)		4.74			10.17			4.46			(0.76	)		4.90
Total from Investment Operations		4.86			10.22			4.63			(0.72	)		4.95
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.14	)		—			(0.10	)
Net realized capital gains		(10.00	)		(2.58	)		(1.33	)		(0.88	)		—
Total Distributions		(10.00	)		(2.58	)		(1.47	)		(0.88	)		(0.10	)
Increase from regulatory settlements		—			—			—			—			0.00	(c)
Net asset value, end of the period	$	31.18		$	36.32		$	28.68		$	25.52		$	27.12
Total return		13.25	%		36.06	%(d)		18.15	%(d)		(2.56	)%(d)		22.21	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	37,636		$	24,661		$	11,035		$	2,047		$	1,317
Net expenses		1.05	%(e)		1.05	%(f)		1.05	%(f)		1.09	%(f)(g)		1.15	%(f)
Gross expenses		1.05	%(e)		1.07	%		1.10	%		1.14	%		1.24	%
Net investment income		0.32	%		0.13	%		0.61	%		0.16	%		0.22	%(b)
Portfolio turnover rate		93	%(h)		50	%		52	%		97	%		79	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.02) and the ratio of net investment loss to average net assets would have been (0.08)%.

(c) Amount rounds to less than $0.01 per share.

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

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

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

(g) Effective June 1, 2011, the expense limit decreased to 1.05%.

(h) The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to a change in the structure of the Fund from four segments to two segments.

See accompanying notes to financial statements.

|  74

Financial Highlights (continued)

For a share outstanding throughout each period.

	SeeyondSM Multi-Asset Allocation Fund—Class A
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)
Net realized and unrealized gain (loss)		(0.27	)
Total from Investment Operations		(0.32	)
Net asset value, end of the period	$	9.68
Total return(b)(c)		(3.20	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)(f)		1.31	%
Gross expenses(e)(f)		1.47	%
Net investment loss(e)		(1.05	)%
Portfolio turnover rate		40	%

* From commencement of operations on July 23, 2014 through December 31, 2014.

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

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

(c) A sales charge for Class A shares is not reflected in total return calculations.

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

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

(f) Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.46%.

See accompanying notes to financial statements.

75  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	SeeyondSM Multi-Asset Allocation Fund—Class C
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.07	)
Net realized and unrealized gain (loss)		(0.28	)
Total from Investment Operations		(0.35	)
Net asset value, end of the period	$	9.65
Total return(b)(c)		(3.50	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	27
Net expenses(d)(e)(f)		2.06	%
Gross expenses(e)(f)		2.38	%
Net investment loss(e)		(1.64	)%
Portfolio turnover rate		40	%

* From commencement of operations on July 23, 2014 through December 31, 2014.

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

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

(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(f) Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 2.05% and the ratio of gross expenses would have been 2.37%.

See accompanying notes to financial statements.

|  76

Financial Highlights (continued)

For a share outstanding throughout each period.

	SeeyondSM Multi-Asset Allocation Fund—Class Y
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)
Net realized and unrealized gain (loss)		(0.28	)
Total from Investment Operations		(0.31	)
Net asset value, end of the period	$	9.69
Total return(b)		(3.10	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	48,756
Net expenses(c)(d)(e)		1.05	%
Gross expenses(d)(e)		1.35	%
Net investment loss(d)		(0.79	)%
Portfolio turnover rate		40	%

* From commencement of operations on July 23, 2014 through December 31, 2014.

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

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

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

(d) Computed on an annualized basis for periods less than one year.

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

See accompanying notes to financial statements.

77  |

Notes to Financial Statements

December 31, 2014

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

Natixis Funds Trust I:

Natixis Diversified Income Fund (the “Diversified Income Fund”)

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Natixis Funds Trust II:

McDonnell Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

Seeyond^SM Multi-Asset Allocation Fund (the “Multi-Asset Allocation Fund”)

The Multi-Asset Allocation Fund commenced operations on July 23, 2014 via contribution to the Fund by Natixis Global Asset Management, L.P. (“Natixis US”) and affiliates of $50,002,000.

Each Fund is a diversified investment company, except for Multi-Asset Allocation Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares of U.S. Equity Opportunities Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.

Class A shares are sold with a maximum front-end sales charge of 3.50% and 4.50% for Intermediate Municipal Bond Fund and Diversified Income Fund, respectively, and 5.75% for U.S. Equity Opportunities Fund and Multi-Asset Allocation Fund. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each

|  78

Notes to Financial Statements (continued)

December 31, 2014

of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

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

79  |

Notes to Financial Statements (continued)

December 31, 2014

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 and options on futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Centrally cleared interest rate swaps are valued at settlement prices of the clearinghouse on which the contracts were traded, if available, or prices obtained from broker-dealers. Interest rate swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers.

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a

|  80

Notes to Financial Statements (continued)

December 31, 2014

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

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

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

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

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’

81  |

Notes to Financial Statements (continued)

December 31, 2014

Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

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

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

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

f.  Option Contracts.  The Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to

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December 31, 2014

determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

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

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

For the year ended December 31, 2014, the Funds were not party to any OTC options.

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

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

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value.

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December 31, 2014

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

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

h.  Swap Agreements.  Certain funds may enter into interest rate swaps.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.

For the year ended December 31, 2014, Diversified Income Fund was not party to any interest rate swaps.

i.  Due from Brokers.  Transactions and positions in futures and options contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. The due from broker

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December 31, 2014

balance in the Statements of Assets and Liabilities for Multi-Asset Allocation Fund represents cash on deposit with the broker for open futures and options contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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December 31, 2014

treatments for book and tax purposes of items such as net operating losses, contingent payment debt instruments, premium amortization, paydown gains and losses, defaulted and/or non-income producing securities, Treasury Inflation-Protected Securities (“TIPS”), distributions in excess of income and/or capital gain, return of capital and capital gain distributions received, non-deductible expenses, foreign currency gains and losses and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, straddle adjustments, TIPS, trust preferred securities, contingent payment debt instruments, return of capital distributions received, wash sales and futures, forward foreign currency and options contract mark-to-market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2014 and 2013 were as follows:

	2014 Distributions Paid From:								2013 Distributions Paid From:
	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total		Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
Intermediate Municipal Bond Fund	$	—	$	394,704	$	—	$	394,704	$	—	$	225,858	$	—	$	225,858
Diversified Income Fund		3,440,398		—		—		3,440,398		3,088,880		—		—		3,088,880
U.S. Equity Opportunities Fund		28,374,163		—		109,096,353		137,470,516		2,591,791		—		30,926,551		33,518,342
Multi-Asset Allocation Fund		—		—		—		—		—		—		—		—

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

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Notes to Financial Statements (continued)

December 31, 2014

As of December 31, 2014, the components of distributable earnings on a tax basis were as follows:

	Intermediate Municipal Bond Fund			Diversified Income Fund			U.S. Equity Opportunities Fund		Multi- Asset Allocation Fund
Undistributed ordinary income	$	—		$	—		$	1,694,293	$	—
Undistributed tax exempt income		18,220			—			—		—
Undistributed long-term capital gains		—			—			4,906,378		658,850
Total undistributed earnings		18,220			—			6,600,671		658,850
Capital loss carryforward:		—			—			—		—
Short-term:
Expires:
December 31, 2017		—			(8,856,780	)		—		—
No expiration date		(342,604	)		—			—		—
Long-term:
No expiration date		(58,812	)		—			—		—
Total capital loss carryforward		(401,416	)		(8,856,780	)		—		—
Post-October capital loss deferrals*		—			(37,566	)		—		(759,467	)
Unrealized appreciation (depreciation)		763,097			16,919,341			68,727,661		(1,084,844	)
Total accumulated earnings (losses)	$	379,901		$	8,024,995		$	75,328,332	$	(1,185,461	)
Capital loss carryforward utilized in the current year	$	—		$	1,160,969		$	—	$	—

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year.

Capital losses may be utilized to offset future capital gains until expiration. The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital loss carryforwards to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date may expire unused.

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December 31, 2014

l.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2014, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

m.  Delayed Delivery Commitments.  The Funds may purchase securities, including those designated as To Be Announced (“TBAs”) in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Fund’s commitment. No interest accrues to the Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

No delayed delivery securities were held by the Funds as of December 31, 2014.

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

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Notes to Financial Statements (continued)

December 31, 2014

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

For the year ended December 31, 2014, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2014, at value:

Intermediate Municipal Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	31,124,356	$	—	$	31,124,356
Short-Term Investments		—		1,481,381		—		1,481,381
Total	$	—	$	32,605,737	$	—	$	32,605,737

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

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

Diversified Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Common Stocks(a)	$	90,588,259	$	—	$	—		$	90,588,259
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan		—		1,605,040		294,726	(b)		1,899,766
ABS Home Equity		—		2,973,677		18,198	(c)		2,991,875
ABS Other		—		406,203		772,936	(b)		1,179,139
Airlines		—		898,738		1,315,465	(b)		2,214,203
All Other Non-Convertible Bonds(a)		—		66,137,259		—			66,137,259
Total Non-Convertible Bonds		—		72,020,917		2,401,325			74,422,242
Convertible Bonds(a)		—		3,480,246		—			3,480,246
Municipals(a)		—		38,953		—			38,953
Total Bonds and Notes		—		75,540,116		2,401,325			77,941,441
Preferred Stocks
Non-Convertible Preferred Stocks(a)		1,000,411		—		—			1,000,411
Convertible Preferred Stocks
REITs – Mortgage		—		105,234		—			105,234
All Other Convertible Preferred Stocks(a)		1,213,724		—		—			1,213,724
Total Convertible Preferred Stocks		1,213,724		105,234		—			1,318,958

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Notes to Financial Statements (continued)

December 31, 2014

Diversified Income Fund (continued)

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Total Preferred Stocks	$	2,214,135	$	105,234	$	—	$	2,319,369
Senior Loans(a)		—		101,467		—		101,467
Short-Term Investments		—		7,891,119		—		7,891,119
Total Investments		92,802,394		83,637,936		2,401,325		178,841,655
Forward Foreign Currency Contracts (unrealized appreciation)		—		50,936		—		50,936
Total	$	92,802,394	$	83,688,872	$	2,401,325	$	178,892,591

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(55,028	)	$	—	$	—	$	(55,028	)

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

(b) Valued using broker-dealer bid prices.

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

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

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Notes to Financial Statements (continued)

December 31, 2014

U.S. Equity Opportunities Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	483,040,763	$	—	$	—	$	483,040,763
Short-Term Investments		—		14,807,748		—		14,807,748
Total	$	483,040,763	$	14,807,748	$	—	$	497,848,511

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

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

Multi-Asset Allocation Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	6,722,307	$	—	$	6,722,307
Exchange Traded Funds(a)		4,488,071		—		—		4,488,071
Purchased Options(a)		13,987		—		—		13,987
Short-Term Investments		—		28,800,435		—		28,800,435
Total Investments		4,502,058		35,522,742		—		40,024,800
Futures Contracts (unrealized appreciation)		1,129,900		—		—		1,129,900
Total	$	5,631,958	$	35,522,742	$	—	$	41,154,700

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Written Options(a)	$	(5,625	)	$	—	$	—	$	(5,625	)
Futures Contracts (unrealized depreciation)		(166,593	)		—		—		(166,593	)
Total	$	(172,218	)	$	—	$	—	$	(172,218	)

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

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

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Notes to Financial Statements (continued)

December 31, 2014

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 December 31, 2014:

Diversified Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2013		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—		$	(255	)	$	294,981
ABS Home Equity		—		—		(765	)		742			—
ABS Other		284,200		—		—			(1,203	)		489,939
Airlines		1,487,108		70		975			8,542			—
Retailers		254,668		—		—			—			—
Total	$	2,025,976	$	70	$	210		$	7,826		$	784,920

Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	—		$	294,726	$	(255	)
ABS Home Equity		(23,106	)		41,327		—			18,198		742
ABS Other		—			—		—			772,936		(1,203	)
Airlines		(181,230	)		—		—			1,315,465		16,814
Retailers		—			—		(254,668	)		—		—
Total	$	(204,336	)	$	41,327	$	(254,668	)	$	2,401,325	$	16,098

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Notes to Financial Statements (continued)

December 31, 2014

A debt security valued at $41,327 was transferred from Level 2 to Level 3 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2014, this security was 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 security.

A debt security valued at $254,668 was transferred from Level 3 to Level 2 during the period ended December 31, 2014. At December 31, 2013, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that Diversified Income Fund, U.S. Equity Opportunities Fund and Multi-Asset Allocation Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and interest rate swaptions.

Diversified Income Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the year ended December 31, 2014, the Fund engaged in interest rate swaptions for this purpose.

Diversified Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.

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

The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or

|  94

Notes to Financial Statements (continued)

December 31, 2014

in the equity market as a whole. U.S. Equity Opportunities Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use futures contracts, purchased call options and written put options for investment purposes. During the year ended December 31, 2014, the Fund engaged in futures contracts and purchased put option transactions for hedging purposes and futures contracts and written put option transactions for investment purposes.

Multi-Asset Allocation 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 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 December 31, 2014, the Fund used futures and options contracts to gain investment exposure in accordance with its objective.

The following is a summary of derivative instruments for Diversified Income Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	50,936
Liabilities	Unrealized depreciation on futures contracts1
Exchange traded/cleared liability derivatives
Interest rate contracts	$	(55,028	)

¹  Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

95  |

Notes to Financial Statements (continued)

December 31, 2014

Transactions in derivative instruments for Diversified Income Fund during the year ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments2			Futures contracts			Swaptions written		Foreign currency translations3
Interest rate contracts	$	(884,404	)	$	(170,733	)	$	620,081	$	—
Foreign exchange contracts		—			—			—		21,141
Net Change in Unrealized Appreciation (Depreciation) on:	Investments2			Futures contracts			Swaptions written		Foreign currency translations3
Interest rate contracts	$	(13,584	)	$	(58,899	)	$	5,664	$	—
Foreign exchange contracts		—			—			—		49,655

²  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased swaptions during the period.

³  Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

Transactions in derivative instruments for U.S. Equity Opportunities Fund during the year ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments1		Futures contracts		Options written
Equity contracts	$	85,425	$	268,061	$	(21,977)

¹  Represents realized gain for purchased options during the period.

The following is a summary of derivative instruments for Multi-Asset Allocation Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1		Unrealized appreciation on futures contracts		Total
Exchange traded/cleared asset derivatives
Interest rate contracts	$	5,937	$	216,556	$	222,493
Foreign exchange contracts		—		10,304		10,304
Equity contracts		8,050		903,040		911,090
Total asset derivatives	$	13,987	$	1,129,900	$	1,143,887

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Notes to Financial Statements (continued)

December 31, 2014

Liabilities	Options written at value			Unrealized depreciation on futures contracts			Total
Exchange traded/cleared liability derivatives
Interest rate contracts	$	(5,625	)	$	(5,615	)	$	(11,240	)
Equity contracts		—			(160,978	)		(160,978	)
Total liability derivatives	$	(5,625	)	$	(166,593	)	$	(172,218	)

¹  Represents purchased options, at value.

Transactions in derivative instruments for Multi-Asset Allocation Fund during the period ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments2			Futures contracts			Options written
Interest rate contracts	$	—		$	327,453		$	110,045
Foreign exchange contracts		—			48,610			—
Equity contracts		(119,659	)		(350,564	)		—
Total	$	(119,659	)	$	25,499		$	110,045
Net Change in Unrealized Appreciation (Depreciation) on:	Investments2			Futures contracts			Options written
Interest rate contracts	$	(3,437	)	$	210,941		$	939
Foreign exchange contracts		—			10,304			—
Equity contracts		(8,750	)		742,062			—
Total	$	(12,187	)	$	963,307		$	939

²  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

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

97  |

Notes to Financial Statements (continued)

December 31, 2014

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, for Diversified Income Fund, U.S. Equity Opportunities Fund and Multi-Asset Allocation Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2014:

Diversified Income Fund	Futures			Forwards
Average Notional Amount Outstanding		1.18	%		0.77	%
Highest Notional Amount Outstanding		1.42	%		1.32	%
Lowest Notional Amount Outstanding		0.21	%		0.28	%
Notional Amount Outstanding as of December 31, 2014		1.13	%		0.40	%
U.S. Equity Opportunities Fund	Futures
Average Notional Amount Outstanding		0.09	%
Highest Notional Amount Outstanding		2.09	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of December 31, 2014		0.00	%
Multi-Asset Allocation Fund	Futures
Average Notional Amount Outstanding		87.34	%
Highest Notional Amount Outstanding		95.83	%
Lowest Notional Amount Outstanding		80.61	%
Notional Amount Outstanding as of December 31, 2014		88.64	%

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

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

The volume of interest rate swaption activity, as a percentage of net assets, for Diversified Income Fund, based on average premiums paid or received during the period, including long and short positions, at absolute value, was as follows for the year ended December 31, 2014:

Diversified Income Fund	Interest Rate Call Swaptions Purchased			Interest Rate Put Swaptions Purchased			Interest Rate Put Swaptions Written			Interest Rate Call Swaptions Written
Average Premium Paid/Received		0.37	%		0.04	%		0.00	%*		0.23	%
Highest Premium Paid/Received		0.67	%		0.12	%		0.02	%		0.44	%
Lowest Premium Paid/Received		0.00	%		0.00	%		0.00	%		0.00	%
Premium Paid/Received as of December 31, 2014		0.00	%		0.00	%		0.00	%		0.00	%

* Amount rounds to less than 0.01%.

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Notes to Financial Statements (continued)

December 31, 2014

The volume of option contract activity, as a percentage of net assets, for U.S. Equity Opportunities Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2014:

U.S. Equity Opportunities Fund*	Put Options Purchased			Put Options Written
Average Market Value of Underlying Securities		0.39	%		0.20	%
Highest Market Value of Underlying Securities		4.41	%		2.78	%
Lowest Market Value of Underlying Securities		0.00	%		0.00	%
Market Value of Underlying Securities as of December 31, 2014		0.00	%		0.00	%

* Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures.

The volume of option contract activity, as a percentage of net assets, for Multi-Asset Allocation Fund, based on month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the period ended December 31, 2014:

Multi-Asset Allocation Fund*	Call Options Purchased			Put Options Purchased			Call Options Written
Average Market Value of Underlying Instruments		3.02	%		1.17	%		1.17	%
Highest Market Value of Underlying Instruments		14.90	%		5.20	%		5.20	%
Lowest Market Value of Underlying Instruments		0.00	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2014		2.94	%		5.20	%		5.20	%

* Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

Market value of underlying securities at the end of the prior period, if applicable, are included in the averages above.

The following is a summary of Diversified Income Fund’s written swaption activity:

	Notional Amount			Premiums
Outstanding at December 31, 2013	$	34,950,000		$	588,139
Swaptions written		9,000,000			212,040
Swaptions expired		(17,450,000	)		(28,139	)
Swaptions terminated in closing purchase transactions		(26,500,000	)		(772,040	)
Outstanding at December 31, 2014	$	—		$	—

99  |

Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of U.S. Equity Opportunities Fund’s written option activity:

	Contracts			Premiums
Outstanding at December 31, 2013	$	—		$	—
Options written		486			35,026
Options terminated in closing purchase transactions		(486	)		(35,026	)
Outstanding at December 31, 2014	$	—		$	—

The following is a summary of Multi-Asset Allocation Fund’s written option activity:

	Contracts			Premiums
Options written	$	165		$	179,484
Options terminated in closing purchase transactions		(145	)		(172,920	)
Outstanding at December 31, 2014	$	20		$	6,564

Diversified Income Fund enters into OTC derivatives, including forward foreign currency contracts and interest rate swaptions, pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of December 31, 2014, gross amounts of OTC derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements for Diversified Income Fund, by counterparty, are as follows:

Counterparty	Gross Amounts of Assets		Offset Amount		Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
Credit Suisse International	$	1,314	$	—	$	1,314	$	—	$	1,314
UBS AG		49,622		—		49,622		—		49,622
	$	50,936	$	—	$	50,936	$	—	$	50,936

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Notes to Financial Statements (continued)

December 31, 2014

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements for Diversified Income Fund include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Diversified Income Fund	$	85,935	$	85,935
Multi-Asset Allocation Fund		2,005,652		2,005,652

101  |

Notes to Financial Statements (continued)

December 31, 2014

5.   Purchases and Sales of Securities.   For the year ended December 31, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Intermediate Municipal Bond Fund	$	12,676,262	$	2,579,655
Diversified Income Fund		41,840,885		23,986,443
U.S. Equity Opportunities Fund		426,752,437		435,218,563
Multi-Asset Allocation Fund		17,221,840		3,857,000

For the year ended December 31, 2014, purchases and sales of U.S. Government/Agency securities by Diversified Income Fund were $45,841,412 and $31,877,194, respectively.

6. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) serves as investment adviser to each Fund except the Multi-Asset Allocation Fund. Natixis Asset Management U.S., LLC (“Natixis AM US”) is the investment adviser to the Multi-Asset Allocation Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $1 billion			Over $1 billion
Intermediate Municipal Bond Fund		0.40	%		0.40	%
Diversified Income Fund		0.55	%		0.50	%
U.S. Equity Opportunities Fund		0.80	%		0.80	%
Multi-Asset Allocation Fund		0.85	%		0.85	%

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

Intermediate Municipal Bond Fund	McDonnell Investment Management, LLC (“McDonnell”)
Diversified Income Fund	AEW Capital Management, L.P. (“AEW”)
	Loomis, Sayles & Company, L.P. (“Loomis Sayles”)
U.S. Equity Opportunities Fund	Harris Associates L.P. (“Harris”)
	Loomis Sayles

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Notes to Financial Statements (continued)

December 31, 2014

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

			Percentage of Average Daily Net Assets
Fund	Subadviser		First $250 million			Over $250 million
Intermediate Municipal Bond Fund		McDonnell		0.20	%		0.20	%
Diversified Income Fund
Diversified REIT Discipline		AEW		0.45	%		0.40	%
Inflation Protected Securities Discipline		Loomis Sayles		0.25	%		0.20	%
Multi-Sector Bond Discipline		Loomis Sayles		0.35	%		0.30	%
U.S. Equity Opportunities Fund
Large Cap Growth Segment		Harris		0.52	%		0.52	%
All Cap Growth Segment		Loomis Sayles		0.35	%		0.35	%

Prior to February 28, 2014, U.S. Equity Opportunities Fund paid a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $250 million			Over $250 million
U.S. Equity Opportunities Fund
Harris Associates Segment	Harris		0.45	%		0.40	%
Large Cap Growth Segment	Loomis Sayles		0.25	%		0.25	%
Mid Cap Growth Segment	Loomis Sayles		0.50	%		0.45	%
Small/Mid Core Segment	Loomis Sayles		0.50	%		0.45	%

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

NGAM Advisors and Natixis AM US have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015, except for Multi-Asset Allocation Fund, which is until April 30, 2016, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

103  |

Notes to Financial Statements (continued)

December 31, 2014

For the year ended December 31, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class B			Class C			Class Y
Intermediate Municipal Bond Fund		0.80	%		—			1.55	%		0.55	%
Diversified Income Fund		1.25	%		—			2.00	%		1.00	%
U.S. Equity Opportunities Fund		1.30	%		2.05	%		2.05	%		1.05	%
Multi-Asset Allocation Fund		1.30	%		—			2.05	%		1.05	%

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

For the year ended December 31, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Contractual Waivers of Management Fees 1		Voluntary Waivers of Management Fees		Net Management Fees		Percentage of Average Daily Net Assets
									Gross			Net
Intermediate Municipal Bond Fund	$	111,610	$	111,610	$	—	$	—		0.40	%		—
Diversified Income Fund		776,986		—		3,404		773,582		0.55	%		0.55	%
U.S. Equity Opportunities Fund		3,741,002		—		—		3,741,002		0.80	%		0.80	%
Multi-Asset Allocation Fund		183,705		64,701		—		119,004		0.85	%		0.55	%

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

For the year ended December 31, 2014, expenses have been reimbursed as follows:

Fund	Reimbursement2
Intermediate Municipal Bond Fund	$	20,216

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

|  104

Notes to Financial Statements (continued)

December 31, 2014

For the year ended December 31, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:

	Recovered Expenses
Fund	Class A		Class B		Class C		Class Y
U.S. Equity Opportunities Fund	$	59,073	$	1,031	$	7,187	$	3,938

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

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

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

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

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

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

105  |

Notes to Financial Statements (continued)

December 31, 2014

For the year ended December 31, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class B		Class C		Class B		Class C
Intermediate Municipal Bond Fund	$	4,171	$	—	$	1,713	$	—	$	5,141
Diversified Income Fund		217,684		—		125,670		—		377,011
U.S. Equity Opportunities Fund		958,774		12,612		121,115		37,838		363,346
Multi-Asset Allocation Fund		1		—		19		—		57

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2014, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Intermediate Municipal Bond Fund	$	12,046
Diversified Income Fund		61,016
U.S. Equity Opportunities Fund		202,052
Multi-Asset Allocation Fund		9,270

Prior to July 1, 2014, each Fund paid NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million.

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds

|  106

Notes to Financial Statements (continued)

December 31, 2014

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

For the year ended December 31, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	2,739
Diversified Income Fund		77,201
U.S. Equity Opportunities Fund		160,769
Multi-Asset Allocation Fund		29

As of December 31, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Intermediate Municipal Bond Fund	$	45
Diversified Income Fund		1,197
U.S. Equity Opportunities Fund		1,881

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2014 were as follows:

Fund	Commissions
Intermediate Municipal Bond Fund	$	8,421
Diversified Income Fund		105,157
U.S. Equity Opportunities Fund		283,735

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors,

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Notes to Financial Statements (continued)

December 31, 2014

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

Effective January 1, 2015, the chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000.

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

g.  Affiliated Ownership.  As of December 31, 2014, Natixis US and affiliates held shares of Intermediate Municipal Bond Fund and Multi-Asset Allocation Fund representing 56.37% and 99.32% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Payment by Affiliates.  For the period ended December 31, 2014, Natixis AM US reimbursed Multi-Asset Allocation Fund $403 for losses incurred in connection with a trading error. This amount is included in realized gains on futures contracts in the Statements of Operations.

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Notes to Financial Statements (continued)

December 31, 2014

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

For the year ended December 31, 2014, none of the Funds had borrowings under this agreement.

8.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended December 31, 2014, amounts rebated under these agreements were as follows:

Fund	Rebates
Diversified Income Fund	$	388
U.S. Equity Opportunities Fund		7,416

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

The Multi-Asset Allocation Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degrees of risk than would be present in a diversified portfolio.

10.  Interest Expense.  Multi-Asset Allocation Fund incurs interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the year ended December 31, 2014 is reflected on the Statement of Operations.

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Notes to Financial Statements (continued)

December 31, 2014

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

	Year Ended December 31, 2014					Year Ended December 31, 2013
Intermediate Municipal Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	440,562		$	4,404,696		110,750		$	1,054,332
Issued in connection with the reinvestment of distributions	1,807			17,881		394			3,760
Redeemed	(312,110	)		(3,108,236	)	(1,534	)		(14,587	)
Net change	130,259		$	1,314,341		109,610		$	1,043,505
Class C
Issued from the sale of shares	221,952		$	2,199,823		5,672		$	54,216
Issued in connection with the reinvestment of distributions	125			1,241		3			32
Redeemed	(5,445	)		(53,806	)	(3	)		(30	)
Net change	216,632		$	2,147,258		5,672		$	54,218
Class Y
Issued from the sale of shares	874,599		$	8,630,106		764,014		$	7,476,085
Issued in connection with the reinvestment of distributions	31,302			308,641		22,939			221,518
Redeemed	(349,221	)		(3,485,532	)	(12,359	)		(117,054	)
Net change	556,680		$	5,453,215		774,594		$	7,580,549
Increase (decrease) from capital share transactions	903,571		$	8,914,814		889,876		$	8,678,272

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Notes to Financial Statements (continued)

December 31, 2014

11.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Diversified Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,587,606		$	46,772,806		2,296,819		$	28,186,176
Issued in connection with the reinvestment of distributions	145,859			1,902,832		143,499			1,747,254
Redeemed	(1,966,178	)		(25,485,685	)	(2,574,911	)		(31,275,395	)
Net change	1,767,287		$	23,189,953		(134,593	)	$	(1,341,965	)
Class C
Issued from the sale of shares	641,777		$	8,362,876		1,235,545		$	15,057,397
Issued in connection with the reinvestment of distributions	41,434			539,625		44,750			543,265
Redeemed	(711,476	)		(9,151,769	)	(1,505,441	)		(18,273,142	)
Net change	(28,265	)	$	(249,268	)	(225,146	)	$	(2,672,480	)
Class Y
Issued from the sale of shares	1,164,871		$	15,288,075		101,531		$	1,240,996
Issued in connection with the reinvestment of distributions	10,893			143,867		1,769			21,605
Redeemed	(149,655	)		(1,908,448	)	(51,841	)		(631,148	)
Net change	1,026,109		$	13,523,494		51,459		$	631,453
Increase (decrease) from capital share transactions	2,765,131		$	36,464,179		(308,280	)	$	(3,382,992	)

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Notes to Financial Statements (continued)

December 31, 2014

11.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
U.S. Equity Opportunities Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,244,707		$	40,683,381		758,252		$	23,078,823
Issued in connection with the reinvestment of distributions	3,733,383			104,238,574		830,421			26,527,755
Redeemed	(1,579,897	)		(53,911,455	)	(1,366,195	)		(41,781,217	)
Net change	3,398,193		$	91,010,500		222,478		$	7,825,361
Class B
Issued from the sale of shares	4,557		$	112,874		8,879		$	231,157
Issued in connection with the reinvestment of distributions	54,550			1,140,434		28,040			726,359
Redeemed	(181,197	)		(5,000,162	)	(258,805	)		(6,503,881	)
Net change	(122,090	)	$	(3,746,854	)	(221,886	)	$	(5,546,365	)
Class C
Issued from the sale of shares	639,156		$	16,511,165		328,959		$	8,489,719
Issued in connection with the reinvestment of distributions	756,094			15,641,654		131,853			3,444,408
Redeemed	(371,115	)		(9,752,500	)	(209,109	)		(5,252,836	)
Net change	1,024,135		$	22,400,319		251,703		$	6,681,291
Class Y
Issued from the sale of shares	837,095		$	31,611,584		696,498		$	23,425,027
Issued in connection with the reinvestment of distributions	262,503			8,306,725		39,615			1,392,630
Redeemed	(571,477	)		(21,233,215	)	(441,890	)		(15,082,762	)
Net change	528,121		$	18,685,094		294,223		$	9,734,895
Increase (decrease) from capital share transactions	4,828,359		$	128,349,059		546,518		$	18,695,182

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Notes to Financial Statements (continued)

December 31, 2014

11.  Capital Shares (continued).

	Period Ended December 31, 2014(a)
Multi-Asset Allocation Fund	Shares			Amount
Class A
Issued from the sale of shares	101		$	1,011
Redeemed	(1	)		(10	)
Net change	100		$	1,001
Class C
Issued from the sale of shares	2,822		$	27,973
Redeemed	(1	)		(10	)
Net change	2,821		$	27,963
Class Y
Issued from the sale of shares	5,033,633		$	50,330,682
Redeemed	(1	)		(10	)
Net change	5,033,632		$	50,330,672
Increase (decrease) from capital share transactions	5,036,553		$	50,359,636

^(a)  From commencement of operations on July 23, 2014 through December 31, 2014.

113  |

Report of Independent Registered Public Accounting Firm

To the Trustees of Natixis Funds Trust I, Natixis Funds Trust II and Shareholders of McDonnell Intermediate Municipal Bond Fund, Natixis Diversified Income Fund, Natixis U.S. Equity Opportunities Fund (formerly Natixis U.S. Multi-Cap Equity Fund), and Seeyond^SM Multi-Asset Allocation Fund and:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Natixis Diversified Income Fund and Natixis U.S. Equity Opportunities Fund (formerly Natixis U.S. Multi-Cap Equity Fund), each a series of Natixis Funds Trust I; and the McDonnell Intermediate Municipal Bond Fund and Seeyond^SM Multi-Asset Allocation Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2014, and the results of each of their operations, the changes in each of their net assets and their financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, MA

February 23, 2015

|  114

2014 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2014, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Diversified Income		39.86	%
U.S. Equity Opportunities		17.78	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2014.

Fund	Amount
U.S. Equity Opportunities	$	109,096,353

Qualified Dividend Income.  For the fiscal year ended December 31, 2014, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2014, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Diversified Income		40.12	%
U.S. Equity Opportunities		21.39	%

Exempt Interest Dividends.  During the year ended December 31, 2014, Intermediate Municipal Bond paid dividends to shareholders from net investment income, of which 100.0% are designated as exempt interest dividends for federal tax purposes. However, state and local taxes differ from state to state and a portion of the dividends may be subject to the individual Alternative Minimum Tax, so it is suggested that you consult your own tax adviser.

115  |

Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Trustee since 2008 for Natixis Funds Trust I and Natixis Funds Trust II Chairperson of the Audit Committee and Governance Committee Member	Retired	42 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 for Natixis Funds Trust I and Natixis Funds Trust II Contract Review Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Experience on the Board and significant experience on the boards of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)

|  116

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member	Vice President and Treasurer of Raytheon Company (defense)	42 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 for Natixis Funds Trust I and Natixis Funds Trust II Audit Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

117  |

Trustee and Officer Information

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

|  118

Trustee and Officer Information

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

119  |

Trustee and Officer Information

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

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

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

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

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

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

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Trustee and Officer Information

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

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

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

121  |

ANNUAL REPORT

December 31, 2014

ASG Global Alternatives Fund

ASG Global Macro Fund

ASG Managed Futures Strategy Fund

ASG Tactical U.S. Market Fund

TABLE OF CONTENTS

ASG GLOBAL ALTERNATIVES FUND

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

Objective

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

Market Conditions

Divergence among countries’ growth outlooks and consequent monetary policies heightened during 2014, with ramifications for most financial markets. Most notably, economic growth in the United States strengthened, while economic growth in Europe and Japan remained slow. Meanwhile, plunging oil prices benefited oil consumers while adversely affecting oil producers. In emerging markets, investors cheered the election of a new Indian prime minister, decelerating Chinese growth dampened global demand for a range of commodities and Russia struggled under economic sanctions resulting from its actions in Ukraine.

Currency and bond markets reflected the differing expectations for the United States, European and Japanese monetary policies. The U.S. Federal Reserve Board (the Fed) ended quantitative easing and is widely expected to begin raising short-term interest rates in 2015. In contrast, both the European Central Bank and Bank of Japan eased monetary conditions during 2014, and there is potential for additional easing. While long-term bond yields generally declined in 2014, this was especially the case in Europe and Japan, where an increasing number of government bonds are priced to yield a negative return. Japanese equities were driven higher by these lowered bond yields as well as by pension reform. The prospect of higher yields in the United States encouraged investors to buy the U.S. dollar, leading to its strong appreciation against most currencies.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of the ASG Global Alternatives Fund returned 3.53% at net asset value. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. The benchmark returned 3.16% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

1  |

Explanation of Fund Performance

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

In 2014, the Fund’s largest gains came from exposure to bonds and foreign currencies as yields dropped while the U.S. dollar rallied. These gains were partially offset by losses resulting from declining commodity prices. Equity exposures contributed positively but were a mixed bag, as most of the gains generated by rising U.S. equity prices were offset by losses resulting from declining international equity prices. At a finer level of detail, the strongest contributors to performance were exposures to U.S. stocks, German bonds, the euro, U.S. bonds and U.K. bonds. The largest single-asset detractors from performance were exposures to German stocks, U.K. stocks, Brent crude oil, natural gas and copper. At times during this period the Fund had short exposure to various bonds, interest rates, currencies and commodities; overall, these short positions contributed positively to the Fund’s returns. Short-term interest rates remained low, so the contribution from the Fund’s money market allocation was small.

This was a year in which hedge funds that followed trends generally outperformed hedge funds that pursued other strategies. Consistent with this outperformance, the portion of the portfolio designed to replicate trend-following hedge funds contributed more than half of the Fund’s overall performance. As the year progressed, the Fund increased its exposure to fixed-income and the U.S. dollar, helping it profit from declining yields on developed countries’ sovereign debt and from the appreciation of the U.S. dollar. Less helpfully, it also increased somewhat its exposure to stocks and commodities, two asset classes that generally underperformed.

The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about the exposures of hedge funds, and on a daily basis to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2014 was 7.5%, which is consistent with our risk management objectives. We continued to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

Investors will look toward several major stories in 2015. The first will be the results of the quantitative easing recently announced by the European Central Bank. In response, European bond yields may fall further, while the euro may continue to depreciate.

|  2

ASG GLOBAL ALTERNATIVES FUND

Investors will also evaluate whether the growth momentum in the United States can be maintained. Should the growth continue, investors may expect a mid-year rate hike from the Fed. In this scenario, the U.S. dollar could well continue to appreciate and commodity prices continue to fall. Should the Fed take a more restrained position, however, recent trends such as the strong dollar and weaker commodities are more likely to subside or reverse. Uncertainty around the timing of any tightening in U.S. monetary policy may reduce investors’ risk appetite.

If growth disappoints policymakers in China or in Japan, more monetary and/or fiscal stimulus may be employed. Leaders of both countries are also attempting structural economic reforms; signs of success or failure in this area may encourage or discourage investors as they consider the countries’ long-term potential for growth.

Growth of $10,000 Investment in Class A Shares³

September 30, 2008 (inception) through December 31, 2014

3  |

Average Annual Total Returns — December 31, 2014³

	1 Year			5 Year			Life of Class
Class A (Inception 9/30/08)								Class A/C/Y		Class N
NAV		3.53	%		5.10	%		5.03	%	—
With 5.75% Maximum Sales Charge		-2.41			3.87			4.04		—
Class C (Inception 9/30/08)
NAV		2.73			4.32			4.25		—
With CDSC1		1.76			4.32			4.25		—
Class N (Inception 5/1/13)
NAV		3.77			—			—		7.10	%
Class Y (Inception 9/30/08)
NAV		3.77			5.36			5.28		—
Comparative Performance
Barclay Fund of Funds Index2		3.16			2.95			2.12		4.62

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

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

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

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

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ASG GLOBAL MACRO FUND

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

Objective

The Fund seeks capital appreciation by pursuing long-term positive returns independent of market cycles.

Market Conditions

Divergence among countries’ growth outlooks and consequent monetary policies heightened during 2014, with ramifications for most financial markets. Most notably, economic growth in the United States strengthened, while economic growth in Europe and Japan remained slow. Meanwhile, plunging oil prices benefited oil consumers while adversely affecting oil producers. In emerging markets, investors cheered the election of a new Indian prime minister, decelerating Chinese growth dampened global demand for a range of commodities and Russia struggled under economic sanctions resulting from its actions in Ukraine.

Currency and bond markets reflected the differing expectations for the United States, European and Japanese monetary policies. The U.S. Federal Reserve Board (the Fed) ended quantitative easing and is widely expected to begin raising short-term interest rates in 2015. In contrast, both the European Central Bank and Bank of Japan eased monetary conditions during 2014, and there is potential for additional easing. While long-term bond yields generally declined in 2014, this was especially the case in Europe and Japan, where an increasing number of government bonds are priced to yield a negative return. Japanese equities were driven higher by these lowered bond yields as well as by pension reform. The prospect of higher yields in the United States encouraged investors to buy the U.S. dollar, leading to its strong appreciation against most currencies.

Performance Results

For the period from the Fund’s inception on December 1, 2014 through December 31, 2014, Class A shares of the ASG Global Macro Fund returned 1.01% at net asset value. Although the Fund does not seek to track any particular index, the Barclay Global Macro Index may be used as a benchmark for performance analysis. This benchmark returned 0.15% for the period November 30, 2014 through December 31, 2014. It is important to note that there are material differences between the Fund and this Benchmark.

5  |

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to invest globally based on macroeconomic principles. When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.

During the period from December 1, 2014 through December 31, 2014, gains came primarily from short exposures to foreign currencies as the U.S. dollar appreciated and from short exposure to energy markets as commodity prices fell. Losses in stocks, bonds and non-energy commodities exposures offset some of these gains for the month. The short foreign currency positions were driven primarily by relative value trades reflecting a stronger outlook for the U.S. dollar as compared to a selection of foreign currencies. The short energy positions were driven primarily by carry trades reflecting the view that energy exposure was costly to hold relative to other commodities. Short-term interest rates remained low, so the contribution from the Fund’s money market allocation was small.

The portfolio is managed to an annualized volatility target of 7.5% or less. We scale portfolio positions as often as daily in an effort to keep total portfolio risk at or below this target. As market sizes are reduced, and as market volatility decreases, position sizes are increased. The Fund’s realized annualized volatility during the month was 6%, which is consistent with our risk management objectives.

Outlook

Investors will look toward several major stories in 2015. The first will be the results of the quantitative easing recently announced by the European Central Bank. In response, European bond yields may fall further, while the euro may continue to depreciate.

Investors will also evaluate whether the growth momentum in the United States can be maintained. Should the growth continue, investors may expect a mid-year rate hike from the Fed. In this scenario, the U.S. dollar could well continue to appreciate and commodity prices could continue to fall. Should the Fed take a more restrained posture, however, recent trends such as the strong dollar and weaker commodities are more likely to subside or reverse. Uncertainty around the timing of any tightening in U.S. monetary policy may dampen investors’ risk appetite.

If growth disappoints policymakers in China or in Japan, more monetary and/or fiscal stimulus may be employed. Leaders of both countries are also attempting structural economic reforms; signs of success or failure in this area may encourage or discourage investors as they consider the countries’ long-term potential for growth.

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ASG GLOBAL MACRO FUND

Total Returns — December 31, 2014³

	Life of Fund
Class A (Inception 12/1/14)
NAV		1.01	%
With 5.75% Maximum Sales Charge		-4.80
Class C (Inception 12/1/14)
NAV		0.90
With CDSC1		-0.10
Class Y (Inception 12/1/14)
NAV		1.02
Comparative Performance
Barclay Global Macro Index2		0.15

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

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

2 Barclay Global Macro Index tracks the net-of-fees performance of approximately 150 global macro funds as reported to BarclayHedge, Ltd. The number of funds included may change over time. These funds may hold long and short positions in global markets, including stocks, bonds, currencies, and commodities in the form of cash or derivatives instruments. Most Global Macro funds invest globally in both developed and emerging markets. Index returns are recalculated by Barclay Hedge, Ltd. throughout each month. The Fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Global Macro Index returns reported by the Fund may differ from the index returns for the same period published by others. Life of Fund Performance is calculated from November 30, 2014.

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

7  |

ASG MANAGED FUTURES STRATEGY FUND

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

Objective

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Market Conditions

Divergence among countries’ growth outlooks and consequent monetary policies heightened during 2014, with ramifications for most financial markets. Most notably, economic growth in the United States strengthened, while economic growth in Europe and Japan remained slow. Meanwhile, plunging oil prices benefited oil consumers while adversely affecting oil producers. In emerging markets, investors cheered the election of a new Indian prime minister, decelerating Chinese growth dampened global demand for a range of commodities and Russia struggled under economic sanctions resulting from its actions in Ukraine.

Currency and bond markets reflected the differing expectations for the United States, European, and Japanese monetary policies. The U.S. Federal Reserve Board (the Fed) ended quantitative easing and is widely expected to begin raising short-term interest rates in 2015. In contrast, both the European Central Bank and Bank of Japan eased monetary conditions during 2014, and there is potential for additional easing. While long-term bond yields generally declined in 2014, this was especially the case in Europe and Japan, where an increasing number of government bonds are priced to yield a negative return. Japanese equities were driven higher by these lowered bond yields as well as by pension reform. The prospect of higher yields in the United States encouraged investors to buy the U.S. dollar, leading to its strong appreciation against most currencies.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of the ASG Managed Futures Strategy Fund returned 21.76% at net asset value. Although the Fund does not seek to track any particular index, the Newedge Trend Index may be used as a benchmark for performance analysis. This benchmark returned 19.70% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

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ASG MANAGED FUTURES STRATEGY FUND

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed-income, currency and commodity markets. When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, the short exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.

For the 12-month period, the Fund’s performance was dominated by gains from long positions in global fixed-income markets. Additional gains came from short positions in global currencies, short positions in energy commodities and short positions in agricultural commodities. Trends in equities and base metals provided negative or mixed results. The biggest positive contributors during 2014 were all long positions in European sovereign fixed-income exposures: the German Bund, Italian BTP and French OAT contracts. Conversely, the biggest detractors from performance were all in equity exposures: the FTSE 100, German DAX and Japanese TOPIX contracts. Short-term interest rates remained low, so the contribution from the Fund’s money market allocation was small.

Buoyant fixed-income markets, particularly in Europe, combined with strong negative trends in currency exchange rates relative to the U.S. dollar and energy commodities proved to be both consistent and profitable signals for trend following. However, repeated sharp reversals in equity markets, especially in October, and range-bound base metal commodity price movements somewhat dampened the overall performance. Across trend models, both long and short horizon trends contributed positively overall.

The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized annualized volatility in 2014 was 9.56%, which is consistent with our risk management objectives but on the lower end of its expected range. We continued to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

Investors will look toward several major stories in 2015. The first will be the results of the quantitative easing recently announced by the European Central Bank. In response, European bond yields may fall further, while the euro may continue to depreciate.

Investors will also evaluate whether the growth momentum in the United States can be maintained. Should the growth continue, investors may expect a mid-year rate hike from the Fed. If the Fed does raise rates, it would likely be due to concerns regarding global growth. In this scenario, the U.S. dollar could well continue to appreciate and commodity prices continue to fall. Should the Fed take a more restrained posture, however, recent trends such as the strong dollar and weaker commodities are more likely to subside or reverse. Uncertainty around the timing of any tightening in U.S. monetary policy may reduce investors’ risk appetite.

If growth disappoints policymakers in China or in Japan, more monetary and/or fiscal stimulus may be employed. Leaders of both countries are also attempting structural economic reforms; signs of success or failure in this area may encourage or discourage investors as they consider the countries’ long-term potential for growth.

9  |

Growth of $10,000 Investment in Class A Shares⁴

July 30, 2010 (inception) through December 31, 2014

Average Annual Total Returns — December 31, 2014⁴

	1 Year			Life of Fund
Class A (Inception 7/30/10)
NAV		21.76	%		7.65	%
With 5.75% Maximum Sales Charge		14.71			6.22
Class C (Inception 7/30/10)
NAV		21.01			6.84
With CDSC1		20.01			6.84
Class Y (Inception 7/30/10)
NAV		22.21			7.91
Comparative Performance
Newedge Trend Index2,3		19.70			5.36

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

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

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

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

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

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ASG TACTICAL U.S. MARKET FUND

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

Objective

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

Market Conditions

Divergence among countries’ growth outlooks and consequent monetary policies heightened during 2014, with ramifications for most financial markets. Most notably, economic growth in the United States strengthened, while economic growth in Europe and Japan remained slow. Meanwhile, plunging oil prices benefited oil consumers while adversely affecting oil producers. In emerging markets, investors cheered the election of a new Indian prime minister, decelerating Chinese growth dampened global demand for a range of commodities and Russia struggled under economic sanctions resulting from its actions in Ukraine.

Currency and bond markets reflected the differing expectations for the United States, European and Japanese monetary policies. The U.S. Federal Reserve Board (the Fed) ended quantitative easing and is widely expected to begin raising short-term interest rates in 2015. In contrast, both the European Central Bank and Bank of Japan eased monetary conditions during 2014, and there is potential for additional easing. While long-term bond yields generally declined in 2014, this was especially the case in Europe and Japan, where an increasing number of government bonds are priced to yield a negative return. Japanese equities were driven higher by these lowered bond yields as well as by pension reform. The prospect of higher yields in the United States encouraged investors to buy the U.S. dollar, leading to its strong appreciation against most currencies.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of the ASG Tactical U.S. Market Fund returned 14.69% at net asset value. The Fund outperformed its benchmark, the S&P 500^® Index, which returned 13.69% over the same period.

11  |

Explanation of Fund Performance

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

During the 12-month period ended December 31, 2014, the core equity portfolio offered performance broadly consistent with the performance of U.S. equity markets. In addition to the core equity portfolio, the Fund also held long positions in futures contracts on the S&P 500^® index. These long futures positions were held in order to achieve an overall market exposure 30% greater than that of the benchmark and added to performance for the year, which was partially offset by the impact of modest tracking error as well as fees relative to the benchmark. This increased market exposure was initiated by a systematic, quantitative assessment of recent risk and return in U.S. equity markets that suggested that overall equity risk was low compared to historical norms and that investments in large-cap U.S. equities were continuing to earn favorable returns. Short-term interest rates remained low, so the contribution from the Fund’s money market securities allocation was small.

Outlook

Investors will look toward several major stories in 2015. The first will be the results of the quantitative easing recently announced by the European Central Bank. In response, European bond yields may fall further, while the euro may continue to depreciate.

Investors will also evaluate whether the growth momentum in the United States can be maintained. Should growth continue, investors may expect a mid-year rate hike from the Fed. In this scenario, the U.S. dollar could well continue to appreciate and commodity prices continue to fall. Should the Fed take a more restrained approach, however, recent trends such as the strong dollar and weaker commodities are more likely to subside or reverse. Uncertainty around the timing of any tightening in U.S. monetary policy may reduce investors’ appetite for risk.

If growth disappoints policymakers in China or in Japan, more monetary and/or fiscal stimulus may be employed. Leaders of both countries are also attempting structural economic reforms; signs of success or failure in this area may encourage or discourage investors as they consider the countries’ long-term potential for growth.

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ASG TACTICAL U.S. MARKET FUND

Growth of $10,000 Investment in Class A Shares⁴

September 30, 2013 (inception) through December 31, 2014

13  |

Average Annual Total Returns — December 31, 2014⁴

	1 Year			Life of Fund
Class A (Inception 9/30/13)
NAV		14.69	%		22.98	%
With 5.75% Maximum Sales Charge		8.12			17.29
Class C (Inception 9/30/13)
NAV		13.88			22.11
With CDSC1		12.88			22.11
Class Y (Inception 9/30/13)
NAV		14.92			23.26
Comparative Performance
S&P 500® Index2		13.69			20.01
Barclay Equity Long/Short Index3		3.60			6.70

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

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

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

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

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

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

15  |

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2014 through December 31, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

|  16

ASG GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,016.80		$7.93
Hypothetical (5% return before expenses)		$1,000.00		$1,017.34		$7.93
Class C
Actual		$1,000.00		$1,012.90		$11.72
Hypothetical (5% return before expenses)		$1,000.00		$1,013.56		$11.72
Class N
Actual		$1,000.00		$1,018.40		$6.31
Hypothetical (5% return before expenses)		$1,000.00		$1,018.95		$6.31
Class Y
Actual		$1,000.00		$1,018.40		$6.72
Hypothetical (5% return before expenses)		$1,000.00		$1,018.55		$6.72

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.56%, 2.31%, 1.24% and 1.32% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

ASG GLOBAL MACRO FUND	BEGINNING ACCOUNT VALUE 7/1/20141		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD 7/1/20141 – 12/31/2014
Class A
Actual		$1,000.00		$1,010.10		$1.40	1
Hypothetical (5% return before expenses)		$1,000.00		$1,016.64		$8.64	*
Class C
Actual		$1,000.00		$1,009.00		$2.02	1
Hypothetical (5% return before expenses)		$1,000.00		$1,012.85		$12.43	*
Class Y
Actual		$1,000.00		$1,010.20		$1.20	1
Hypothetical (5% return before expenses)		$1,000.00		$1,017.90		$7.37	*

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements): 1.70%, 2.45% and 1.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

1 Fund commenced operations on December 1, 2014. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements): 1.70%, 2.45% and 1.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (30), divided by 365 (to reflect the partial period).

17  |

ASG MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,162.90		$9.38
Hypothetical (5% return before expenses)		$1,000.00		$1,016.53		$8.74
Class C
Actual		$1,000.00		$1,159.00		$13.44
Hypothetical (5% return before expenses)		$1,000.00		$1,012.75		$12.53
Class Y
Actual		$1,000.00		$1,165.10		$8.02
Hypothetical (5% return before expenses)		$1,000.00		$1,017.80		$7.48

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.72%, 2.47% and 1.47% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

ASG TACTICAL U.S. MARKET FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,064.50		$7.29
Hypothetical (5% return before expenses)		$1,000.00		$1,018.15		$7.12
Class C
Actual		$1,000.00		$1,060.40		$11.17
Hypothetical (5% return before expenses)		$1,000.00		$1,014.37		$10.92
Class Y
Actual		$1,000.00		$1,065.80		$5.99
Hypothetical (5% return before expenses)		$1,000.00		$1,019.41		$5.85

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

|  18

BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including newly formed funds such as the ASG Global Macro Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Fund at an in-person meeting held on November 13, 2014.

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

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

The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Advisers and their affiliates to the Fund, and the resources to be dedicated to the Fund by the Advisers and their affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Global Asset Management, L.P. (“Natixis US”), whose affiliates provide investment

19  |

advisory services to other funds in the same family of mutual funds. In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Advisers to the Fund, but also the monitoring and administrative services proposed to be provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund.

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

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

Investment performance of the Fund and the Advisers. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Advisers, including accounts managed in accordance with the Fund’s proposed strategies.

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

Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that these relevant factors supported approval of the Agreements.

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

|  20

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense cap.

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

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

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

· The compliance-related resources the Advisers and their affiliates would provide to the Fund.

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

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

21  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Alternatives Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 93.3% of Net Assets
		Certificates of Deposit — 80.4%
$	120,350,000	Canadian Imperial Bank of Commerce, 0.040%, 1/02/2015	$	120,350,000
	20,000,000	Agricultural Bank of China, 0.200%, 1/02/2015		19,999,788
	130,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 1/05/2015		129,998,960
	30,100,000	Landesbank Hessen Thueringen Girozentrale, 0.140%, 1/05/2015		30,099,910
	50,000,000	DNB Bank ASA, 0.180%, 1/05/2015		50,000,300
	25,000,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015		25,000,150
	2,200,000	Industrial & Commercial Bank of China, 0.390%, 1/05/2015		2,200,057
	135,000,000	Credit Agricole, 0.040%, 1/06/2015		134,999,055
	50,000,000	Standard Chartered Bank (NY), 0.080%, 1/06/2015		49,999,400
	70,000,000	Norinchukin Bank, 0.260%, 1/08/2015(b)		70,001,120
	70,000,000	Sumitomo Mitsui Trust (NY), 0.160%, 1/09/2015		69,999,510
	25,000,000	Toronto Dominion Bank, 0.210%, 1/16/2015		25,001,000
	40,000,000	Mizuho Corporate Bank, 0.230%, 1/16/2015		40,000,888
	5,100,000	Banco Del Estado de Chile, 0.240%, 1/23/2015		5,100,194
	50,000,000	Societe Generale S.A., 0.299%, 2/02/2015(c)(d)		49,998,950
	125,000,000	Svenska Handelsbanken (NY), 0.185%, 2/06/2015		124,999,375
	10,000,000	Norinchukin Bank, 0.200%, 2/13/2015		9,999,880
	40,000,000	Mizuho Corporate Bank, 0.200%, 2/17/2015		39,998,920
	20,000,000	Bank of Nova Scotia (TX), 0.250%, 2/17/2015		20,003,460
	50,000,000	Banco Del Estado de Chile, 0.200%, 2/18/2015		50,000,000
	130,000,000	Credit Industriel et Commercial, 0.200%, 2/19/2015		129,998,180
	75,200,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015		75,211,656
	130,000,000	National Bank of Kuwait, 0.265%, 3/04/2015		130,003,380
	50,000,000	Rabobank Nederland, 0.220%, 4/01/2015		49,998,700
	50,000,000	Mizuho Corporate Bank, 0.230%, 4/02/2015(b)		49,994,900
	125,000,000	Skandinaviska Enskilda Banken AB, 0.260%, 5/04/2015		125,017,125
	50,000,000	Standard Chartered Bank (NY), 0.280%, 5/06/2015(c)		49,996,000
	49,900,000	Banco Del Estado de Chile, 0.239%, 5/11/2015(c)		49,896,357
	75,000,000	Bank of Nova Scotia (TX), 0.200%, 5/12/2015		74,994,525
	4,750,000	DZ Bank AG, 0.400%, 5/19/2015		4,751,458
	39,100,000	State Street Bank and Trust Company, 0.225%, 5/21/2015(c)		39,096,716
	50,000,000	State Street Bank and Trust Company, 0.244%, 6/15/2015(c)		49,997,600
	50,000,000	Rabobank Nederland, 0.291%, 6/15/2015(c)		49,994,150
	25,000,000	Bank of Montreal (IL), 0.241%, 6/16/2015(c)		24,998,825
	120,000,000	Dexia Credit Local, 0.285%, 7/01/2015(c)(e)		119,988,240
	30,000,000	Bank of Montreal (IL), 0.241%, 7/16/2015(c)		29,996,730
	40,000,000	Westpac Banking Corp. (NY), 0.232%, 7/17/2015(b)(c)		39,995,600
	25,000,000	China Construction Bank Corp. (NY), 0.412%, 7/20/2015(c)(d)		25,000,000
	70,000,000	Bank of Montreal (IL), 0.227%, 8/07/2015(c)(e)		69,991,670
	100,000,000	Toronto Dominion Bank, 0.310%, 8/10/2015		100,030,700
	75,000,000	Wells Fargo, 0.257%, 11/06/2015(c)(e)		74,987,400
				2,431,690,829
		Financial Company Commercial Paper — 7.2%
	40,000,000	Swedbank, 0.160%, 2/17/2015(f)		39,991,680
	30,700,000	Swedbank, 0.160%, 2/23/2015(f)		30,692,264
	74,150,000	Oversea-Chinese Banking Corp. Ltd., 0.220%, 4/28/2015(f)		74,089,790

See accompanying notes to financial statements.

|  22

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Alternatives Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — continued
$	25,000,000	JPMorgan Securities LLC, 0.250%, 4/29/2015(f)	$	24,982,650
	20,000,000	JPMorgan Securities LLC, 0.250%, 5/05/2015(f)		19,985,300
	30,000,000	General Electric Capital Corp., 0.200%, 5/20/2015(f)		29,977,830
				219,719,514
		Commercial Paper — 4.2%
	50,000,000	Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.450%, 1/02/2015(f)		49,999,640
	42,450,000	Cofco Capital Corp., (Credit Support: Bank of China), 0.420%, 1/15/2015(f)		42,446,986
	33,750,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 2/11/2015		33,751,012
				126,197,638
		Other Notes — 1.5%
	20,000,000	JPMorgan Chase Bank NA, Series 1, 0.355%, 1/07/2016(c)		20,000,520
	25,000,000	Wells Fargo, 0.367%, 1/20/2016(c)		25,003,375
				45,003,895
		Total Short-Term Investments (Identified Cost $2,822,622,065)		2,822,611,876
		Total Investments — 93.3% (Identified Cost $2,822,622,065)(a)		2,822,611,876
		Other assets less liabilities — 6.7%		202,302,224
		Net Assets — 100.0%	$	3,024,914,100
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized depreciation on short-term investments based on a cost of $2,822,622,065 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	$	83,911
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(94,100	)
		Net unrealized depreciation	$	(10,189	)
	(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.
	(d)	Security payable on demand at par including accrued interest.
	(e)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

See accompanying notes to financial statements.

23  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Alternatives Fund – (continued)

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

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		3/18/2015	Australian Dollar		65,300,000	$	53,033,293	$	1,045,620
Buy		3/18/2015	British Pound		51,562,500		80,318,991		(218,025	)
Buy		3/18/2015	Canadian Dollar		52,900,000		45,456,965		66,273
Buy		3/18/2015	Canadian Dollar		50,100,000		43,050,925		(454,515	)
Sell		3/18/2015	Canadian Dollar		304,000,000		261,227,169		4,347,149
Sell		3/18/2015	Euro		281,000,000		340,248,898		5,854,306
Buy		3/18/2015	Japanese Yen		11,350,000,000		94,817,741		(2,491,537	)
Sell		3/18/2015	Japanese Yen		8,587,500,000		71,739,855		200,107
Sell		3/18/2015	Japanese Yen		42,912,500,000		358,490,424		(3,770,719	)
Sell		3/18/2015	Swedish Krona		222,000,000		28,485,305		955,526
Sell		3/18/2015	Swiss Franc		90,750,000		91,401,004		1,629,738
Total								$	7,163,923

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
DAX		3/20/2015		825	$	245,667,037	$	1,662,684
E-mini S&P 500®		3/20/2015		7,879		808,542,980		12,980,652
Eurodollar		6/15/2015		44,643		11,112,200,738		(4,077,725	)
FTSE 100 Index		3/20/2015		2,506		254,759,344		2,714,569
German Euro Bund		3/06/2015		2,947		555,835,213		9,604,810
Hang Seng Index®		1/29/2015		1,058		161,326,701		1,564,771
TOPIX		3/12/2015		1,759		206,694,983		(4,831,449	)
UK Long Gilt		3/27/2015		1,018		189,652,977		4,367,636
10 Year Japan Government Bond		3/11/2015		489		603,350,392		2,898,564
10 Year U.S. Treasury Note		3/20/2015		7,677		973,419,609		3,167,478
Total							$	30,051,990
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/18/2015		297	$	13,726,969	$	(1,052,494	)
Brent Crude Oil		1/15/2015		683		39,156,390		(5,316,030	)
Gas Oil		1/12/2015		233		11,935,425		(3,433,550	)
Natural Gas		1/28/2015		375		10,833,750		(2,283,750	)
New York Harbor ULSD		1/30/2015		162		12,475,814		(474,239	)
Nickel LME		3/18/2015		122		11,081,748		(1,362,252	)
WTI Crude Oil		1/20/2015		99		5,273,730		(453,980	)
Zinc LME		3/18/2015		283		15,398,738		(223,587	)
Total							$	(14,599,882	)

See accompanying notes to financial statements.

|  24

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Alternatives Fund – (continued)

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

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Copper LME		3/18/2015		133	$	20,974,100	$	571,900
Gold		2/25/2015		19		2,249,790		31,340
Total							$	603,240

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

See Note 1 of Notes to Financial Statements.

Investment Summary at December 31, 2014

Certificates of Deposit	80.4	%
Financial Company Commercial Paper	7.2
Commercial Paper	4.2
Other Notes	1.5
Total Investments	93.3
Other assets less liabilities (including forward foreign currency and futures contracts)	6.7
Net Assets	100.0	%

See accompanying notes to financial statements.

25  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Macro Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 83.7% of Net Assets
		Certificates of Deposit — 66.8%
$	700,000	BNP Paribas, 0.030%, 1/02/2015	$	700,000
	1,000,000	Canadian Imperial Bank of Commerce, 0.040%, 1/02/2015		1,000,000
	500,000	Agricultural Bank of China, 0.200%, 1/02/2015		499,995
	1,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 1/05/2015		999,992
	100,000	DNB Bank ASA, 0.180%, 1/05/2015		100,001
	300,000	Industrial & Commercial Bank of China, 0.390%, 1/05/2015		300,008
	1,000,000	Credit Agricole, 0.040%, 1/06/2015		999,993
	800,000	Svenska Handelsbanken (NY), 0.205%, 1/06/2015		800,006
	150,000	Sumitomo Mitsui Trust (NY), 0.160%, 1/09/2015		149,999
	900,000	Standard Chartered Bank (NY), 0.190%, 1/09/2015		900,009
	900,000	Credit Industriel et Commercial, 0.510%, 1/14/2015		900,119
	750,000	Sumitomo Mitsui Bank (NY), 0.160%, 1/20/2015(b)		749,987
	900,000	Mizuho Corporate Bank, 0.230%, 1/21/2015		900,026
	900,000	Credit Suisse (NY), 0.520%, 1/26/2015		900,220
	750,000	Oversea-Chinese Banking Corp. Ltd., 0.230%, 1/27/2015(b)		750,039
	100,000	Svenska Handelsbanken (NY), 0.185%, 2/06/2015		99,999
	900,000	Norinchukin Bank, 0.200%, 2/13/2015		899,989
	900,000	DZ Bank AG, 0.310%, 2/13/2015		900,110
	750,000	Skandinaviska Enskilda Banken AB, 0.250%, 2/17/2015(b)		750,109
	750,000	Wells Fargo, 0.220%, 3/02/2015(c)		749,967
	850,000	National Bank of Kuwait, 0.265%, 3/04/2015		850,022
	900,000	Toronto Dominion Bank, 0.200%, 3/16/2015		900,075
	500,000	State Street Bank and Trust Company, 0.244%, 6/15/2015(c)		499,976
	900,000	Bank of Montreal (IL), 0.241%, 6/16/2015(c)		899,958
				17,200,599
		Financial Company Commercial Paper — 16.9%
	800,000	Bank of China, 0.280%, 1/06/2015(d)		799,967
	850,000	ING (U.S.) Funding LLC, 0.170%, 2/03/2015(d)		849,876
	600,000	Swedbank, 0.160%, 2/17/2015(d)		599,875
	300,000	Swedbank, 0.140%, 2/23/2015(d)		299,924
	150,000	JPMorgan Securities LLC, 0.250%, 4/29/2015(d)		149,896
	750,000	JPMorgan Securities LLC, 0.250%, 5/05/2015(b)(d)		749,449
	900,000	General Electric Capital Corp., 0.200%, 5/20/2015(d)		899,335
				4,348,322
		Total Short-Term Investments (Identified Cost $21,549,459)		21,548,921
		Total Investments — 83.7% (Identified Cost $21,549,459)(a)		21,548,921
		Other assets less liabilities — 16.3%		4,194,059
		Net Assets — 100.0%	$	25,742,980

See accompanying notes to financial statements.

|  26

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Macro Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized depreciation on short-term investments based on a cost of $21,549,459 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		(538	)
	Net unrealized depreciation	$	(538	)
(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.
(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

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

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/18/2015	Australian Dollar		1,500,000	$	1,218,223	$	(7,459	)
Buy		3/18/2015	Australian Dollar		1,500,000		1,218,223		(17,978	)
Sell		3/18/2015	Australian Dollar		2,800,000		2,274,016		44,835
Sell		3/18/2015	British Pound		2,250,000		3,504,829		9,514
Buy		3/18/2015	Canadian Dollar		1,600,000		1,374,880		(22,880	)
Sell		3/18/2015	Canadian Dollar		1,800,000		1,546,740		(951	)
Buy		3/18/2015	Euro		750,000		908,138		(6,264	)
Sell		3/18/2015	Euro		2,250,000		2,724,413		46,876
Sell		3/18/2015	Euro		750,000		908,138		21,532
Sell		3/18/2015	Euro		750,000		908,138		16,336
Buy		3/18/2015	Japanese Yen		225,000,000		1,879,647		19,771
Sell		3/18/2015	Japanese Yen		87,500,000		730,974		(3,972	)
Buy		3/18/2015	New Zealand Dollar		900,000		697,177		7,346
Buy		3/18/2015	New Zealand Dollar		900,000		697,177		5,096
Buy		3/18/2015	New Zealand Dollar		1,100,000		852,105		3,392
Buy		3/18/2015	New Zealand Dollar		500,000		387,320		1,149
Sell		3/18/2015	New Zealand Dollar		300,000		232,392		(2,550	)
Buy		3/18/2015	Norwegian Krone		2,000,000		267,799		(11,284	)
Sell		3/18/2015	Norwegian Krone		10,000,000		1,338,993		22,623
Sell		3/18/2015	Norwegian Krone		2,000,000		267,799		11,036
Sell		3/18/2015	Singapore Dollar		250,000		188,494		1,892
Sell		3/18/2015	Singapore Dollar		250,000		188,492		455
Sell		3/18/2015	Swedish Krona		16,000,000		2,052,995		68,867
Buy		3/18/2015	Swiss Franc		1,875,000		1,888,450		(40,012	)
Buy		3/18/2015	Swiss Franc		1,500,000		1,510,760		(46,537	)
Sell		3/18/2015	Swiss Franc		3,375,000		3,399,211		60,610
Sell		3/18/2015	Swiss Franc		1,625,000		1,636,657		21,317
Sell		3/18/2015	Swiss Franc		1,875,000		1,888,450		10,034
Sell		3/18/2015	Swiss Franc		125,000		125,897		3,958

See accompanying notes to financial statements.

27  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Macro Fund – (continued)

Contract to Buy/Sell1 (continued)	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/18/2015	Turkish Lira		300,000	$	126,370	$	(667	)
Sell		3/18/2015	Turkish Lira		300,000		126,370		3,756
Total								$	219,841

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		1/16/2015		3	$	308,563	$	10,034
ASX SPI 200™		3/19/2015		3		329,601		16,348
CAC 40®		1/16/2015		5		258,769		5,361
E-mini Dow		3/20/2015		4		355,040		5,560
E-mini NASDAQ 100		3/20/2015		4		338,620		820
E-mini S&P 500®		3/20/2015		13		1,334,060		21,418
Euro Schatz		3/06/2015		38		5,108,130		1,942
EURO STOXX 50®		3/20/2015		8		303,287		387
FTSE 100 Index		3/20/2015		8		813,278		8,666
FTSE MIB		3/20/2015		2		230,745		1,319
FTSE/JSE Top 40 Index		3/19/2015		8		306,079		11,798
German Euro BOBL		3/06/2015		7		1,103,517		5,348
Hang Seng Index®		1/29/2015		3		457,448		4,449
IBEX 35		1/16/2015		2		247,922		13,657
Mini-Russell 2000		3/20/2015		3		360,210		13,410
MSCI Singapore		1/29/2015		11		633,767		4,394
MSCI Taiwan Index		1/29/2015		13		446,030		5,590
Nikkei 225™		3/12/2015		1		145,684		(2,839	)
OMXS30®		1/16/2015		28		526,826		9,022
S&P CNX Nifty Futures Index		1/29/2015		32		534,976		2,181
S&P/TSX 60 Index		3/19/2015		2		293,200		14,598
TOPIX		3/12/2015		5		587,536		(13,734	)
UK Long Gilt		3/27/2015		16		2,980,793		34,913
2 Year U.S. Treasury Note		3/31/2015		6		1,311,563		656
3 Year Australia Government Bond		3/16/2015		18		1,635,308		3,887
5 Year U.S. Treasury Note		3/31/2015		6		713,578		(1,789	)
10 Year Canada Government Bond		3/20/2015		12		1,430,745		15,803
10 Year U.S. Treasury Note		3/20/2015		93		11,792,109		13,313
30 Year U.S. Treasury Bond		3/20/2015		1		144,563		(625	)
Total							$	205,887
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/18/2015		21	$	970,594	$	(74,418	)
Cocoa		3/16/2015		19		552,900		4,890
Copper High Grade		3/27/2015		3		211,913		(2,338	)
Copper LME		3/18/2015		4		630,800		(17,200	)

See accompanying notes to financial statements.

|  28

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Global Macro Fund – (continued)

Commodity Futures2 (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Live Cattle		2/27/2015		15	$	981,300	$	(40,770	)
Nickel LME		3/18/2015		4		363,336		(36,249	)
Soybean		3/13/2015		2		102,350		(1,225	)
Soybean Meal		3/13/2015		4		139,040		(160	)
Wheat		3/13/2015		8		235,900		(6,950	)
Zinc LME		3/18/2015		13		707,362		(13,130	)
Total							$	(187,550	)

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro Bund		3/06/2015		13	$	2,451,937	$	(11,483	)
10 Year Australia Government Bond		3/16/2015		56		5,858,584		(53,853	)
10 Year Japan Government Bond		3/11/2015		13		16,039,990		(85,741	)
Total							$	(151,077	)
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/18/2015		3	$	138,656	$	10,207
Brent Crude Oil		1/15/2015		10		573,300		78,360
Corn		3/13/2015		2		39,700		(800	)
Cotton		3/09/2015		21		632,835		(8,595	)
Gas Oil		1/12/2015		12		614,700		124,350
Gasoline		1/30/2015		2		123,656		5,578
Nickel LME		3/18/2015		1		90,834		9,240
Silver		3/27/2015		3		233,985		10,165
Soybean Oil		3/13/2015		14		269,976		(1,512	)
Sugar		2/27/2015		25		406,560		18,905
WTI Crude Oil		1/20/2015		6		319,620		28,860
Zinc LME		3/18/2015		3		163,238		(2,711	)
Total							$	272,047

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

Investment Summary at December 31, 2014

Certificates of Deposit	66.8	%
Financial Company Commercial Paper	16.9
Total Investments	83.7
Other assets less liabilities (including forward foreign currency and futures contracts)	16.3
Net Assets	100.0	%

See accompanying notes to financial statements.

29  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 86.1% of Net Assets
		Certificates of Deposit — 75.7%
$	61,150,000	Canadian Imperial Bank of Commerce, 0.040%, 1/02/2015	$	61,150,000
	20,000,000	Agricultural Bank of China, 0.200%, 1/02/2015		19,999,788
	60,000,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 1/05/2015		59,999,520
	20,000,000	Landesbank Hessen Thueringen Girozentrale, 0.140%, 1/05/2015		19,999,940
	50,000,000	DNB Bank ASA, 0.180%, 1/05/2015		50,000,300
	20,000,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015		20,000,120
	55,000,000	Credit Agricole, 0.040%, 1/06/2015		54,999,615
	10,000,000	Standard Chartered Bank (NY), 0.080%, 1/06/2015		9,999,880
	40,000,000	Norinchukin Bank, 0.260%, 1/08/2015(b)		40,000,640
	25,000,000	Sumitomo Mitsui Trust (NY), 0.160%, 1/09/2015		24,999,825
	1,100,000	Credit Industriel et Commercial, 0.510%, 1/14/2015		1,100,145
	20,000,000	Toronto Dominion Bank, 0.210%, 1/16/2015		20,000,800
	20,000,000	Mizuho Corporate Bank, 0.230%, 1/16/2015		20,000,444
	30,000,000	Banco Del Estado de Chile, 0.240%, 1/23/2015		30,001,140
	4,600,000	Credit Suisse (NY), 0.520%, 1/26/2015		4,601,122
	30,500,000	Societe Generale S.A., 0.299%, 2/02/2015(c)(d)(e)		30,499,360
	50,000,000	Svenska Handelsbanken (NY), 0.185%, 2/06/2015		49,999,750
	8,800,000	Norinchukin Bank, 0.200%, 2/13/2015		8,799,895
	25,000,000	Mizuho Corporate Bank, 0.200%, 2/17/2015		24,999,325
	10,000,000	Bank of Nova Scotia (TX), 0.250%, 2/17/2015		10,001,730
	20,000,000	Banco Del Estado de Chile, 0.200%, 2/18/2015		20,000,000
	55,000,000	Credit Industriel et Commercial, 0.200%, 2/19/2015		54,999,230
	45,000,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015(c)		45,006,975
	60,000,000	National Bank of Kuwait, 0.265%, 3/04/2015		60,001,560
	45,000,000	Rabobank Nederland, 0.220%, 4/01/2015(b)		44,998,830
	10,000,000	Mizuho Corporate Bank, 0.230%, 4/02/2015		9,998,980
	50,000,000	Skandinaviska Enskilda Banken AB, 0.260%, 5/04/2015		50,006,850
	45,000,000	Standard Chartered Bank (NY), 0.280%, 5/06/2015(d)		44,996,400
	40,000,000	Bank of Nova Scotia (TX), 0.200%, 5/12/2015		39,997,080
	5,000,000	DZ Bank AG, 0.400%, 5/19/2015		5,001,535
	20,000,000	State Street Bank and Trust Company, 0.225%, 5/21/2015(d)		19,998,320
	30,000,000	State Street Bank and Trust Company, 0.244%, 6/15/2015(d)		29,998,560
	5,000,000	Rabobank Nederland, 0.291%, 6/15/2015(d)		4,999,415
	15,000,000	Bank of Montreal (IL), 0.241%, 6/16/2015(d)		14,999,295
	35,000,000	Dexia Credit Local, 0.285%, 7/01/2015(d)		34,996,570
	20,000,000	Bank of Montreal (IL), 0.241%, 7/16/2015(b)(d)		19,997,820
	10,000,000	Westpac Banking Corp. (NY), 0.232%, 7/17/2015(d)		9,998,900
	15,000,000	China Construction Bank Corp. (NY), 0.412%, 7/20/2015(d)(e)		15,000,000
	15,000,000	Bank of Montreal (IL), 0.227%, 8/07/2015(d)		14,998,215
	30,000,000	Toronto Dominion Bank, 0.310%, 8/10/2015(b)		30,009,210
	30,000,000	Wells Fargo, 0.257%, 11/06/2015(d)		29,994,960
				1,161,152,044
		Financial Company Commercial Paper — 6.5%
	40,000,000	Swedbank, 0.160%, 2/17/2015(f)		39,991,680
	20,000,000	Swedbank, 0.160%, 2/23/2015(f)		19,994,960

See accompanying notes to financial statements.

|  30

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Managed Futures Strategy Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — continued
$	20,000,000	JPMorgan Securities LLC, 0.250%, 5/05/2015(f)	$	19,985,300
	20,000,000	General Electric Capital Corp., 0.200%, 5/20/2015(f)		19,985,220
				99,957,160
		Commercial Paper — 2.6%
	40,000,000	Cofco Capital Corp., (Credit Support: Bank of China), 0.420%, 1/13/2015(f)		39,997,720
		Other Notes — 1.3%
	5,000,000	JPMorgan Chase Bank NA, Series 1, 0.355%, 1/07/2016(d)		5,000,130
	15,000,000	Wells Fargo, 0.367%, 1/20/2016(d)		15,002,025
				20,002,155
		Total Short-Term Investments (Identified Cost $1,321,107,601)		1,321,109,079
		Total Investments — 86.1% (Identified Cost $1,321,107,601)(a)		1,321,109,079
		Other assets less liabilities — 13.9%		213,987,927
		Net Assets — 100.0%	$	1,535,097,006
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized appreciation on short-term investments based on a cost of $1,321,107,601 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	37,778
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(36,300	)
		Net unrealized appreciation	$	1,478
	(b)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
	(c)	All 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 December 31, 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.

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

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		3/18/2015	Australian Dollar		34,200,000	$	27,775,477	$	86,336
Sell		3/18/2015	Australian Dollar		58,200,000		47,267,039		804,346
Sell		3/18/2015	Australian Dollar		35,200,000		28,587,625		(118,217	)

See accompanying notes to financial statements.

31  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Managed Futures Strategy Fund – (continued)

Contract to Buy/Sell1 (continued)	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		3/18/2015	British Pound		23,750,000	$	36,995,414	$	100,424
Buy		3/18/2015	Canadian Dollar		23,800,000		20,451,338		(1,987	)
Sell		3/18/2015	Canadian Dollar		47,600,000		40,902,675		680,672
Sell		3/18/2015	Canadian Dollar		36,600,000		31,450,376		(52,313	)
Buy		3/18/2015	Euro		21,125,000		25,579,210		(144,428	)
Sell		3/18/2015	Euro		102,500,000		124,112,143		1,958,547
Buy		3/18/2015	Japanese Yen		3,087,500,000		25,792,932		68,138
Sell		3/18/2015	Japanese Yen		2,950,000,000		24,644,259		68,720
Sell		3/18/2015	Japanese Yen		13,087,500,000		109,332,792		(1,149,998	)
Sell		3/18/2015	New Zealand Dollar		28,200,000		21,844,870		(239,694	)
Sell		3/18/2015	Norwegian Krone		598,000,000		80,071,803		1,913,427
Sell		3/18/2015	Singapore Dollar		69,750,000		52,589,416		126,811
Sell		3/18/2015	South African Rand		378,000,000		32,293,035		594,779
Sell		3/18/2015	South African Rand		593,000,000		50,660,766		(211,637	)
Buy		3/18/2015	Swedish Krona		206,000,000		26,432,310		82,297
Sell		3/18/2015	Swedish Krona		916,000,000		117,533,961		2,266,899
Sell		3/18/2015	Swiss Franc		23,500,000		23,668,580		422,026
Sell		3/18/2015	Turkish Lira		65,100,000		27,422,240		330,745
Total								$	7,585,893

¹ Counterparty is UBS AG.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		1/16/2015		329	$	33,839,054	$	1,100,366
ASX SPI 200™		3/19/2015		177		19,446,461		964,536
CAC 40®		1/16/2015		317		16,405,969		38,637
DAX		3/20/2015		137		40,795,617		180,721
E-mini Dow		3/20/2015		1,124		99,766,240		874,020
E-mini NASDAQ 100		3/20/2015		919		77,797,945		179,732
E-mini S&P 500®		3/20/2015		633		64,958,460		405,100
Euribor		6/15/2015		4,980		1,505,683,908		211,093
Euro Schatz		3/06/2015		4,269		573,858,088		553,168
EURO STOXX 50®		3/20/2015		543		20,585,604		26,282
Euro-BTP		3/06/2015		408		66,945,785		523,988
Euro-OAT		3/06/2015		1,187		211,456,441		491,111
Eurodollar		6/15/2015		6,891		1,715,256,037		(251,063	)
FTSE 100 Index		3/20/2015		197		20,026,972		(9,328	)
FTSE MIB		3/20/2015		42		4,845,634		45,486
FTSE/JSE Top 40 Index		3/19/2015		125		4,782,477		180,584
German Euro BOBL		3/06/2015		3,136		494,375,784		2,827,343
German Euro Bund		3/06/2015		1,956		368,922,184		2,321,191
Hang Seng Index®		1/29/2015		245		37,358,262		363,330
IBEX 35		1/16/2015		182		22,560,933		1,207,057

See accompanying notes to financial statements.

|  32

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Managed Futures Strategy Fund – (continued)

Financial Futures (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Mini-Russell 2000		3/20/2015		580	$	69,640,600	$	1,490,510
MSCI Singapore		1/29/2015		1,233		71,039,565		453,614
MSCI Taiwan Index		1/29/2015		1,000		34,310,000		430,000
Nikkei 225™		3/12/2015		326		47,492,904		(858,741	)
OMXS30®		1/16/2015		3,814		71,761,255		1,228,026
S&P CNX Nifty Futures Index		1/29/2015		3,866		64,631,788		288,017
S&P/TSX 60 Index		3/19/2015		297		43,540,231		2,167,509
Sterling		6/17/2015		8,044		1,557,143,458		442,312
TOPIX		3/12/2015		613		72,031,850		(867,382	)
UK Long Gilt		3/27/2015		983		183,132,492		3,191,080
Ultra Long U.S. Treasury Bond		3/20/2015		396		65,414,250		209,305
2 Year U.S. Treasury Note		3/31/2015		5,144		1,124,446,250		(623,441	)
3 Year Australia Government Bond		3/16/2015		7,363		668,931,757		1,596,591
5 Year U.S. Treasury Note		3/31/2015		2,497		296,967,431		(246,827	)
10 Year Australia Government Bond		3/16/2015		1,640		171,572,808		1,551,440
10 Year Canada Government Bond		3/20/2015		1,731		206,385,023		1,432,097
10 Year Japan Government Bond		3/11/2015		546		673,679,579		2,981,466
10 Year U.S. Treasury Note		3/20/2015		1,682		213,272,344		(302,773	)
30 Year U.S. Treasury Bond		3/20/2015		947		136,900,687		1,986,680
Total							$	28,782,837
Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/18/2015		433	$	20,012,719	$	(1,534,444	)
Cocoa		3/16/2015		822		23,920,200		(43,050	)
Coffee		3/19/2015		183		11,432,925		(1,199,081	)
Live Cattle		2/27/2015		416		27,214,720		(1,314,400	)
Nickel LME		3/18/2015		110		9,991,740		(1,228,260	)
Soybean Meal		3/13/2015		783		27,217,080		(309,390	)
Wheat		3/13/2015		12		353,850		(44,075	)
Zinc LME		3/18/2015		171		9,304,537		(90,202	)
Total							$	(5,762,902	)

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

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum LME		3/18/2015		1,426	$	65,907,938	$	1,804,496
Brent Crude Oil		1/15/2015		654		37,493,820		4,269,240
Copper High Grade		3/27/2015		532		37,579,150		1,983,650
Copper LME		3/18/2015		289		45,575,300		755,071
Corn		3/13/2015		926		18,381,100		(421,213	)
Cotton		3/09/2015		655		19,738,425		(478,985	)
Gas Oil		1/12/2015		1,162		59,523,450		9,953,775
Gasoline		1/30/2015		364		22,505,465		1,046,825

See accompanying notes to financial statements.

33  |

Consolidated Portfolio of Investments – as of December 31, 2014

ASG Managed Futures Strategy Fund – (continued)

Commodity Futures2 (continued)	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Gold		2/25/2015		308	$	36,470,280	$	61,060
Natural Gas		1/28/2015		271		7,829,190		1,650,390
New York Harbor ULSD		1/30/2015		406		31,266,547		1,337,763
Nickel LME		3/18/2015		144		13,080,096		(41,100	)
Silver		3/27/2015		304		23,710,480		923,045
Soybean		3/13/2015		187		9,569,725		114,538
Soybean Oil		3/13/2015		1,044		20,132,496		191,112
Sugar		2/27/2015		1,788		29,077,171		1,311,688
WTI Crude Oil		1/20/2015		482		25,676,140		2,281,250
Total							$	26,742,605

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

Investment Summary at December 31, 2014

Certificates of Deposit	75.7	%
Financial Company Commercial Paper	6.5
Commercial Paper	2.6
Other Notes	1.3
Total Investments	86.1
Other assets less liabilities (including forward foreign currency and futures contracts)	13.9
Net Assets	100.0	%

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2014

ASG Tactical U.S. Market Fund

Shares		Description	Value (†)
	Common Stocks — 45.6% of Net Assets
		Aerospace & Defense — 1.3%
	1,725	Boeing Co. (The)	$	224,216
	1,869	Honeywell International, Inc.		186,751
	764	Lockheed Martin Corp.		147,123
	718	Northrop Grumman Corp.		105,826
	546	Precision Castparts Corp.		131,520
	979	Rockwell Collins, Inc.		82,706
				878,142
		Air Freight & Logistics — 0.5%
	827	FedEx Corp.		143,617
	1,914	United Parcel Service, Inc., Class B		212,779
				356,396
		Airlines — 0.2%
	3,142	Southwest Airlines Co.		132,969
		Auto Components — 0.3%
	2,103	Goodyear Tire & Rubber Co. (The)		60,083
	2,382	Johnson Controls, Inc.		115,146
				175,229
		Automobiles — 0.2%
	8,046	Ford Motor Co.		124,713
		Banks — 3.4%
	24,697	Bank of America Corp.		441,829
	7,267	Citigroup, Inc.		393,217
	8,398	JPMorgan Chase & Co.		525,547
	1,747	PNC Financial Services Group, Inc. (The)		159,379
	5,425	U.S. Bancorp		243,854
	10,376	Wells Fargo & Co.		568,812
				2,332,638
		Beverages — 1.3%
	7,400	Coca-Cola Co. (The)		312,428
	2,010	Coca-Cola Enterprises, Inc.		88,882
	1,790	Dr Pepper Snapple Group, Inc.		128,308
	4,102	PepsiCo, Inc.		387,885
				917,503
		Biotechnology — 1.9%
	814	Alexion Pharmaceuticals, Inc.(b)		150,614
	1,780	Amgen, Inc.		283,536
	515	Biogen Idec, Inc.(b)		174,817
	2,222	Celgene Corp.(b)		248,553
	3,613	Gilead Sciences, Inc.(b)		340,561
	358	Regeneron Pharmaceuticals, Inc.(b)		146,870
				1,344,951
		Capital Markets — 0.3%
	4,426	Bank of New York Mellon Corp. (The)		179,563

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2014

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

Shares		Description	Value (†)
		Chemicals — 1.3%
	812	Air Products & Chemicals, Inc.	$	117,115
	2,219	E.I. du Pont de Nemours & Co.		164,073
	508	Ecolab, Inc.		53,096
	1,292	Monsanto Co.		154,355
	558	PPG Industries, Inc.		128,982
	1,074	Praxair, Inc.		139,147
	418	Sherwin-Williams Co. (The)		109,951
	479	Sigma-Aldrich Corp.		65,752
				932,471
		Commercial Services & Supplies — 0.2%
	762	Stericycle, Inc.(b)		99,883
	1,220	Tyco International PLC		53,509
				153,392
		Communications Equipment — 0.9%
	14,196	Cisco Systems, Inc.		394,862
	3,301	QUALCOMM, Inc.		245,363
				640,225
		Construction & Engineering — 0.0%
	818	Quanta Services, Inc.(b)		23,223
		Consumer Finance — 0.3%
	2,259	American Express Co.		210,177
		Containers & Packaging — 0.2%
	1,316	MeadWestvaco Corp.		58,417
	1,305	Sealed Air Corp.		55,371
				113,788
		Distributors — 0.1%
	743	Genuine Parts Co.		79,181
		Diversified Financial Services — 1.3%
	3,944	Berkshire Hathaway, Inc., Class B(b)		592,192
	1,419	CME Group, Inc.		125,794
	1,279	McGraw Hill Financial, Inc.		113,805
	1,096	Moody’s Corp.		105,008
				936,799
		Diversified Telecommunication Services — 1.0%
	3,347	CenturyLink, Inc.		132,474
	19,114	Frontier Communications Corp.		127,491
	9,836	Verizon Communications, Inc.		460,128
				720,093
		Electric Utilities — 0.9%
	1,514	American Electric Power Co., Inc.		91,930
	1,583	Duke Energy Corp.		132,244
	1,110	NextEra Energy, Inc.		117,982
	814	Northeast Utilities		43,565

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2014

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

Shares		Description	Value (†)
		Electric Utilities — continued
	2,425	PPL Corp.	$	88,100
	2,552	Southern Co. (The)		125,329
				599,150
		Electronic Equipment, Instruments & Components — 0.4%
	6,246	Corning, Inc.		143,221
	2,529	TE Connectivity Ltd.		159,959
				303,180
		Energy Equipment & Services — 0.2%
	1,509	Schlumberger Ltd.		128,884
		Food & Staples Retailing — 1.2%
	3,498	CVS Health		336,893
	3,124	Wal-Mart Stores, Inc.		268,289
	2,586	Walgreens Boots Alliance, Inc.		197,053
				802,235
		Food Products — 0.6%
	2,814	Archer-Daniels-Midland Co.		146,328
	1,265	Mead Johnson Nutrition Co.		127,183
	4,168	Mondelez International, Inc., Class A		151,403
				424,914
		Health Care Equipment & Supplies — 0.6%
	508	CR Bard, Inc.		84,643
	2,624	Medtronic, Inc.		189,453
	1,817	St. Jude Medical, Inc.		118,159
				392,255
		Health Care Providers & Services — 0.4%
	1,584	DaVita HealthCare Partners, Inc.(b)		119,972
	720	McKesson Corp.		149,458
				269,430
		Hotels, Restaurants & Leisure — 0.6%
	101	Chipotle Mexican Grill, Inc.(b)		69,135
	2,291	McDonald’s Corp.		214,667
	1,976	Starbucks Corp.		162,131
				445,933
		Household Durables — 0.2%
	1,215	Garmin Ltd.		64,188
	1,718	Lennar Corp., Class A		76,984
				141,172
		Household Products — 0.8%
	2,207	Colgate-Palmolive Co.		152,702
	4,806	Procter & Gamble Co. (The)		437,779
				590,481

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2014

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

Shares		Description	Value (†)
		Industrial Conglomerates — 1.4%
	1,625	3M Co.	$	267,020
	1,729	Danaher Corp.		148,193
	21,250	General Electric Co.		536,987
				952,200
		Insurance — 1.5%
	1,156	ACE Ltd.		132,801
	1,523	Assurant, Inc.		104,219
	1,199	Chubb Corp. (The)		124,061
	1,849	Lincoln National Corp.		106,632
	2,650	Marsh & McLennan Cos., Inc.		151,686
	3,191	MetLife, Inc.		172,601
	2,278	Principal Financial Group, Inc.		118,319
	1,636	Torchmark Corp.		88,622
	2,256	XL Group PLC		77,539
				1,076,480
		Internet & Catalog Retail — 0.7%
	835	Amazon.com, Inc.(b)		259,142
	714	Expedia, Inc.		60,947
	138	Priceline Group, Inc. (The)(b)		157,349
				477,438
		Internet Software & Services — 1.0%
	2,976	Facebook, Inc., Class A(b)		232,188
	214	Google, Inc., Class A(b)		113,561
	214	Google, Inc., Class C(b)		112,650
	4,026	Yahoo!, Inc.(b)		203,353
				661,752
		IT Services — 0.7%
	2,323	Paychex, Inc.		107,253
	1,411	Visa, Inc., Class A		369,964
				477,217
		Machinery — 0.5%
	1,558	Caterpillar, Inc.		142,604
	1,292	Illinois Tool Works, Inc.		122,352
	856	Stanley Black & Decker, Inc.		82,245
				347,201
		Media — 2.0%
	5,488	Comcast Corp., Class A		318,359
	1,240	DIRECTV(b)		107,508
	1,102	Omnicom Group, Inc.		85,372
	863	Time Warner Cable, Inc.		131,228
	2,135	Time Warner, Inc.		182,372
	4,733	Twenty-First Century Fox, Inc., Class A		181,771
	1,077	Viacom, Inc., Class B		81,044
	3,343	Walt Disney Co. (The)		314,877
				1,402,531

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2014

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

Shares		Description	Value (†)
		Multi-Utilities — 0.6%
	1,829	CMS Energy Corp.	$	63,558
	681	Consolidated Edison, Inc.		44,953
	1,668	Dominion Resources, Inc.		128,269
	1,716	NiSource, Inc.		72,793
	1,585	PG&E Corp.		84,385
				393,958
		Multiline Retail — 0.1%
	972	Nordstrom, Inc.		77,167
		Oil, Gas & Consumable Fuels — 3.6%
	1,103	Cimarex Energy Co.		116,918
	3,064	CONSOL Energy, Inc.		103,594
	1,438	EOG Resources, Inc.		132,397
	1,358	EQT Corp.		102,801
	9,653	Exxon Mobil Corp.		892,420
	4,020	Kinder Morgan, Inc.		170,086
	4,683	Marathon Oil Corp.		132,482
	1,632	Marathon Petroleum Corp.		147,304
	2,786	Occidental Petroleum Corp.		224,579
	1,607	Phillips 66		115,222
	2,654	Spectra Energy Corp.		96,340
	3,035	Valero Energy Corp.		150,233
	3,278	Williams Cos., Inc. (The)		147,313
				2,531,689
		Pharmaceuticals — 3.6%
	3,926	AbbVie, Inc.		256,917
	769	Actavis PLC(b)		197,948
	934	Allergan, Inc.		198,559
	4,492	Bristol-Myers Squibb Co.		265,163
	449	Eli Lilly & Co.		30,977
	5,926	Johnson & Johnson		619,682
	6,680	Merck & Co., Inc.		379,357
	1,688	Mylan, Inc.(b)		95,153
	14,303	Pfizer, Inc.		445,538
				2,489,294
		Professional Services — 0.1%
	1,187	Equifax, Inc.		95,993
		REITs – Apartments — 0.2%
	818	AvalonBay Communities, Inc.		133,653
		REITs – Diversified — 0.4%
	1,626	American Tower Corp.		160,730
	2,692	Weyerhaeuser Co.		96,616
				257,346
		REITs – Storage — 0.2%
	767	Public Storage		141,780

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2014

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

Shares		Description	Value (†)
		Road & Rail — 0.5%
	3,505	CSX Corp.	$	126,986
	2,025	Union Pacific Corp.		241,238
				368,224
		Semiconductors & Semiconductor Equipment — 1.4%
	2,616	Analog Devices, Inc.		145,240
	12,885	Intel Corp.		467,597
	1,653	Lam Research Corp.		131,149
	1,406	Microchip Technology, Inc.		63,425
	5,254	Micron Technology, Inc.(b)		183,942
				991,353
		Software — 2.1%
	2,421	Adobe Systems, Inc.(b)		176,007
	18,821	Microsoft Corp.		874,235
	9,124	Oracle Corp.		410,306
				1,460,548
		Specialty Retail — 1.0%
	145	AutoZone, Inc.(b)		89,771
	1,020	Bed Bath & Beyond, Inc.(b)		77,693
	2,551	Home Depot, Inc. (The)		267,778
	2,431	Lowe’s Cos., Inc.		167,253
	979	Tractor Supply Co.		77,165
				679,660
		Technology Hardware, Storage & Peripherals — 2.4%
	12,999	Apple, Inc.		1,434,830
	6,569	Hewlett-Packard Co.		263,614
				1,698,444
		Textiles, Apparel & Luxury Goods — 0.3%
	1,524	NIKE, Inc., Class B		146,533
	1,106	Under Armour, Inc., Class A(b)		75,097
				221,630
		Thrifts & Mortgage Finance — 0.2%
	10,599	Hudson City Bancorp, Inc.		107,262
		Tobacco — 0.5%
	3,096	Philip Morris International, Inc.		252,169
	1,946	Reynolds American, Inc.		125,070
				377,239
		Total Common Stocks (Identified Cost $28,332,735)		31,769,146
	Exchange Traded Funds — 10.0%
	33,756	SPDR® S&P 500® ETF Trust (Identified Cost $6,459,116)		6,936,858

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2014

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

Principal Amount		Description	Value (†)
	Short-Term Investments — 41.6%
		Certificates of Deposit — 34.9%
$	1,300,000	BNP Paribas, 0.030%, 1/02/2015	$	1,300,000
	700,000	Royal Bank of Canada, 0.030%, 1/02/2015		700,000
	1,300,000	Canadian Imperial Bank of Commerce, 0.040%, 1/02/2015		1,300,000
	500,000	Agricultural Bank of China, 0.200%, 1/02/2015(c)		499,995
	800,000	Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 1/05/2015(c)		799,994
	900,000	Landesbank Hessen Thueringen Girozentrale, 0.140%, 1/05/2015(c)		899,997
	700,000	DNB Bank ASA, 0.180%, 1/05/2015(c)		700,004
	200,000	Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015(c)		200,001
	1,000,000	Industrial & Commercial Bank of China, 0.390%, 1/05/2015(c)		1,000,026
	1,300,000	Credit Agricole, 0.040%, 1/06/2015(c)		1,299,991
	500,000	Standard Chartered Bank (NY), 0.080%, 1/06/2015(c)		499,994
	700,000	Norinchukin Bank, 0.260%, 1/08/2015(c)		700,011
	250,000	Sumitomo Mitsui Trust (NY), 0.160%, 1/09/2015(c)		249,998
	200,000	Toronto Dominion Bank, 0.210%, 1/16/2015(c)		200,008
	450,000	Mizuho Corporate Bank, 0.230%, 1/16/2015(c)		450,010
	650,000	Sumitomo Mitsui Bank (NY), 0.160%, 1/20/2015(c)		649,989
	700,000	Banco Del Estado de Chile, 0.240%, 1/23/2015(c)		700,027
	1,000,000	Credit Suisse (NY), 0.520%, 1/23/2015(c)		1,000,217
	100,000	Societe Generale S.A., 0.299%, 2/02/2015(c)(d)(e)		99,998
	700,000	Svenska Handelsbanken (NY), 0.185%, 2/06/2015(c)		699,996
	300,000	Norinchukin Bank, 0.200%, 2/13/2015(c)		299,996
	150,000	DZ Bank AG, 0.310%, 2/13/2015(c)		150,018
	600,000	Mizuho Corporate Bank, 0.200%, 2/17/2015(c)		599,984
	950,000	Credit Industriel et Commercial, 0.200%, 2/19/2015(c)		949,987
	700,000	Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015(c)		700,108
	1,100,000	National Bank of Kuwait, 0.265%, 3/04/2015(c)		1,100,029
	300,000	Rabobank Nederland, 0.220%, 4/01/2015(c)		299,992
	800,000	Skandinaviska Enskilda Banken AB, 0.260%, 5/04/2015(c)		800,110
	800,000	Standard Chartered Bank (NY), 0.280%, 5/06/2015(c)(d)		799,936
	100,000	Banco Del Estado de Chile, 0.239%, 5/11/2015(c)(d)		99,993
	900,000	Bank of Nova Scotia (TX), 0.200%, 5/12/2015(c)		899,934
	250,000	DZ Bank AG, 0.400%, 5/19/2015(c)		250,077
	900,000	State Street Bank and Trust Company, 0.225%, 5/21/2015(c)(d)		899,924
	500,000	Rabobank Nederland, 0.291%, 6/15/2015(c)(d)		499,942
	700,000	Dexia Credit Local, 0.285%, 7/01/2015(c)(d)		699,931
	500,000	Toronto Dominion Bank, 0.310%, 8/10/2015(c)		500,154
	800,000	Wells Fargo, 0.257%, 11/06/2015(c)(d)		799,866
				24,300,237
		Financial Company Commercial Paper — 6.7%
	400,000	Bank of Tokyo-Mitsubishi, 0.200%, 1/20/2015(c)(f)		399,965
	1,000,000	Swedbank, 0.160%, 2/23/2015(c)(f)		999,748
	850,000	Oversea-Chinese Banking Corp. Ltd., 0.220%, 4/28/2015(c)(f)		849,310
	1,100,000	JPMorgan Securities LLC, 0.250%, 4/29/2015(c)(f)		1,099,237

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2014

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

Principal Amount		Description	Value (†)
		Financial Company Commercial Paper — continued
$	500,000	General Electric Capital Corp., 0.180%, 5/20/2015(c)(f)	$	499,630
	800,000	General Electric Capital Corp., 0.200%, 5/20/2015(c)(f)		799,409
				4,647,299
		Total Short-Term Investments (Identified Cost $28,947,864)		28,947,536
		Total Investments — 97.2% (Identified Cost $63,739,715)(a)		67,653,540
		Other assets less liabilities — 2.8%		1,945,257
		Net Assets — 100.0%	$	69,598,797
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2014, the net unrealized appreciation on investments based on a cost of $63,739,715 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	$	4,140,204
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(226,379	)
		Net unrealized appreciation	$	3,913,825
	(b)	Non-income producing security.
	(c)	All of this security has been designated to cover the Fund’s obligations under open futures contracts.
	(d)	Variable rate security. Rate as of December 31, 2014 is disclosed.
	(e)	Security payable on demand at par including accrued interest.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	ETF	Exchange Traded Fund
	REITs	Real Estate Investment Trusts
	SPDR	Standard & Poor’s Depositary Receipt

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		3/20/2015		495	$	50,796,900	$	660,660

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2014

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

Industry Summary at December 31, 2014

Exchange Traded Funds	10.0	%
Oil, Gas & Consumable Fuels	3.6
Pharmaceuticals	3.6
Banks	3.4
Technology Hardware, Storage & Peripherals	2.4
Software	2.1
Media	2.0
Other Investments, less than 2% each	28.5
Short-Term Investments	41.6
Total Investments	97.2
Other assets less liabilities (including futures contracts)	2.8
Net Assets	100.0	%

See accompanying notes to financial statements.

43  |

Statements of Assets and Liabilities

December 31, 2014

	ASG Global Alternatives Fund (Consolidated*)			ASG Global Macro Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
ASSETS
Investments at cost	$	2,822,622,065		$	21,549,459		$	1,321,107,601		$	63,739,715
Net unrealized appreciation (depreciation)		(10,189	)		(538	)		1,478			3,913,825
Investments at value		2,822,611,876			21,548,921			1,321,109,079			67,653,540
Cash		12,993,041			1,813,097			13,272,171			223,314
Due from brokers (including variation margin on futures contracts) (Note 2)		146,151,966			2,016,319			110,181,976			1,242,615
Receivable for Fund shares sold		26,424,075			33,000			37,560,238			617,064
Receivable from investment adviser (Note 6)		—			51,938			—			—
Dividends and interest receivable		869,139			13,169			479,396			91,365
Unrealized appreciation on forward foreign currency contracts (Note 2)		14,098,719			380,395			9,504,167			—
Unrealized appreciation on futures contracts (Note 2)		39,564,404			515,429			59,626,295			660,660
TOTAL ASSETS		3,062,713,220			26,372,268			1,551,733,322			70,488,558
LIABILITIES
Payable for securities purchased		—			—			—			717,370
Payable for Fund shares redeemed		3,818,306			11,000			2,895,593			49,413
Unrealized depreciation on forward foreign currency contracts (Note 2)		6,934,796			160,554			1,918,274			—
Unrealized depreciation on futures contracts (Note 2)		23,509,056			376,122			9,863,755			—
Management fees payable (Note 6)		2,909,251			—			1,550,396			42,742
Deferred Trustees’ fees (Note 6)		121,871			536			66,349			12,261
Administrative fees payable (Note 6)		122,252			9,519			73,570			2,395
Payable to distributor (Note 6d)		14,664			—			18,377			724
Other accounts payable and accrued expenses		368,924			71,557			250,002			64,856
TOTAL LIABILITIES		37,799,120			629,288			16,636,316			889,761
NET ASSETS	$	3,024,914,100		$	25,742,980		$	1,535,097,006		$	69,598,797
NET ASSETS CONSIST OF:
Paid-in capital	$	3,007,160,285		$	25,488,280		$	1,505,502,725		$	65,010,650
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss)		(121,871	)		(153,431	)		19,075,023			(7,228	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,332,531	)		48,281			(46,813,911	)		20,890
Net unrealized appreciation on investments, futures contracts and foreign currency translations		23,208,217			359,850			57,333,169			4,574,485
NET ASSETS	$	3,024,914,100		$	25,742,980		$	1,535,097,006		$	69,598,797

See accompanying notes to financial statements.

|  44

Statements of Assets and Liabilities (continued)

December 31, 2014

	ASG Global Alternatives Fund (Consolidated*)			ASG Global Macro Fund (Consolidated*)			ASG Managed Futures Strategy Fund (Consolidated*)		ASG Tactical U.S. Market Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	150,462,115		$	218,864		$	137,990,642	$	3,089,167
Shares of beneficial interest		13,531,617			21,664			12,561,976		260,787
Net asset value and redemption price per share	$	11.12		$	10.10		$	10.98	$	11.85
Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.80		$	10.72		$	11.65	$	12.57
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	87,940,761		$	1,010		$	33,944,846	$	1,467,978
Shares of beneficial interest		8,288,428			100			3,176,701		125,098
Net asset value and offering price per share	$	10.61		$	10.09	**	$	10.69	$	11.73
Class N shares:
Net assets	$	1,122		$	—		$	—	$	—
Shares of beneficial interest		100			—			—		—
Net asset value, offering and redemption price per share	$	11.24	**	$	—		$	—	$	—
Class Y shares:
Net assets	$	2,786,510,102		$	25,523,106		$	1,363,161,518	$	65,041,652
Shares of beneficial interest		247,699,996			2,527,738			123,841,102		5,474,836
Net asset value, offering and redemption price per share	$	11.25		$	10.10		$	11.01	$	11.88

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

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

See accompanying notes to financial statements.

45  |

Statements of Operations

For the Year Ended December 31, 2014

	ASG Global Alternatives Fund (Consolidated*)			ASG Global Macro Fund (Consolidated*) (a)			ASG Managed Futures Strategy Fund (Consolidated*)			ASG Tactical U.S. Market Fund
INVESTMENT INCOME
Interest	$	5,946,762		$	2,325		$	2,120,904		$	34,866
Dividends		—			—			—			523,191
		5,946,762			2,325			2,120,904			558,057
Expenses
Management fees (Note 6)		32,048,055			26,005			13,764,746			356,808
Service and distribution fees (Note 6)		1,376,103			21			523,076			8,702
Administrative fees (Note 6)		1,289,017			9,519			594,900			19,240
Trustees’ and directors’ fees and expenses (Note 6)		84,433			2,705			53,511			18,636
Transfer agent fees and expenses (Notes 6 and 7)		2,089,835			11			1,327,715			31,196
Audit and tax services fees		73,771			51,482			73,723			42,805
Custodian fees and expenses		136,347			12,134			202,028			31,821
Interest expense (Note 10)		638,595			—			242,313			—
Legal fees		27,648			69			12,021			365
Registration fees		263,463			4,244			185,259			70,509
Shareholder reporting expenses		177,193			1,031			94,456			4,984
Miscellaneous expenses		70,301			907			39,556			14,006
Total expenses		38,274,761			108,128			17,113,304			599,072
Less waiver and/or expense reimbursement (Note 6)		(67	)		(77,942	)		(380,811	)		(77,408	)
Net expenses		38,274,694			30,186			16,732,493			521,664
Net investment income (loss)		(32,327,932	)		(27,861	)		(14,611,589	)		36,393
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		71,951			—			39,046			(355,618	)
Futures contracts		117,289,766			(169,670	)		218,293,950			3,786,309
Foreign currency transactions		71,904,669			92,170			31,921,643			—
Net change in unrealized appreciation (depreciation) on:
Investments		(107,769	)		(538	)		(29,354	)		3,067,537
Futures contracts		(41,447,805	)		139,307			16,693,578			82,110
Foreign currency translations		(3,554,956	)		221,081			4,177,600			—
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		144,155,856			282,350			271,096,463			6,580,338
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	111,827,924		$	254,489		$	256,484,874		$	6,616,731

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

(a) From commencement of operations on December 1, 2014 through December 31, 2014.

See accompanying notes to financial statements.

|  46

Statements of Changes in Net Assets

	ASG Global Alternatives Fund (Consolidated*)						ASG Global Macro Fund (Consolidated*)
	Year Ended December 31, 2014			Year Ended December 31, 2013			Period Ended December 31, 2014(a)
FROM OPERATIONS:
Net investment income (loss)	$	(32,327,932	)	$	(18,312,969	)	$	(27,861	)
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		189,266,386			184,366,460			(77,500	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(45,110,530	)		68,659,194			359,850
Net increase in net assets resulting from operations		111,827,924			234,712,685			254,489
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		—			(193,099	)		(12	)
Class C		—			—			—
Class Y		—			(6,293,230	)		(4,042	)
Net realized capital gains
Class A		(10,062,726	)		(12,878,022	)		—
Class C		(4,886,872	)		(6,465,274	)		—
Class N		(57	)		(61	)		—
Class Y		(135,501,390	)		(146,281,079	)		—
Total distributions		(150,451,045	)		(172,110,765	)		(4,054	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		620,398,567			1,180,857,664			25,492,545
Net increase in net assets		581,775,446			1,243,459,584			25,742,980
NET ASSETS
Beginning of the year		2,443,138,654			1,199,679,070			—
End of the year	$	3,024,914,100		$	2,443,138,654		$	25,742,980
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(121,871	)	$	(85,597	)	$	(153,431	)

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

(a) From commencement of operations on December 1, 2014 through December 31, 2014.

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

See accompanying notes to financial statements.

47  |

Statements of Changes in Net Assets (continued)

ASG Managed Futures Strategy Fund (Consolidated*)						ASG Tactical U.S. Market Fund
Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2014			Period Ended December 31, 2013(b)
$	(14,611,589	)	$	(10,134,283	)	$	36,393		$	(6,010	)
	250,254,639			75,477,499			3,430,691			823,676
	20,841,824			27,333,697			3,149,647			1,424,838
	256,484,874			92,676,913			6,616,731			2,242,504
	(3,167,093	)		—			—			—
	(660,959	)		—			—			—
	(35,091,249	)		(13,582	)		(35,402	)		—
	(13,087,867	)		—			(133,879	)		(697	)
	(3,260,501	)		—			(68,503	)		(183	)
	—			—			—			—
	(128,728,349	)		—			(3,490,643	)		(545,196	)
	(183,996,018	)		(13,582	)		(3,728,427	)		(546,076	)
	622,627,741			(13,315,443	)		44,079,440			20,934,625
	695,116,597			79,347,888			46,967,744			22,631,053
	839,980,409			760,632,521			22,631,053			—
$	1,535,097,006		$	839,980,409		$	69,598,797		$	22,631,053
$	19,075,023		$	(374,129	)	$	(7,228	)	$	(1,793	)

See accompanying notes to financial statements.

|  48

Financial Highlights

For a share outstanding throughout each period.

	ASG Global Alternatives Fund (Consolidated*)—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	11.33		$	10.62		$	10.26		$	10.67		$	10.39
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.15	)		(0.15	)		(0.14	)		(0.14	)		(0.14	)
Net realized and unrealized gain (loss)		0.53			1.79			0.50			(0.21	)		0.86
Total from Investment Operations		0.38			1.64			0.36			(0.35	)		0.72
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.02	)		—			—			(0.00	)(b)
Net realized capital gains		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)
Total Distributions		(0.59	)		(0.93	)		—			(0.06	)		(0.44	)
Net asset value, end of the period	$	11.12		$	11.33		$	10.62		$	10.26		$	10.67
Total return(c)		3.53	%		15.69	%		3.51	%		(3.29	)%		6.94	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	150,462		$	189,313		$	126,226		$	280,353		$	204,313
Net expenses, including interest expense		1.55	%		1.58	%		1.61	%(e)		1.61	%		1.61	%(f)
Gross expenses, including interest expense		1.55	%		1.58	%		1.61	%(e)		1.61	%		1.67	%
Net expenses, excluding interest expense		1.53	%		1.57	%		1.60	%(e)		1.60	%		1.60	%(f)
Gross expenses, excluding interest expense		1.53	%		1.57	%		1.60	%(e)		1.60	%		1.66	%
Net investment loss		(1.34	)%		(1.35	)%		(1.34	)%		(1.34	)%		(1.28	)%
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

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

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

(c) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

49  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Alternatives Fund (Consolidated*)—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	10.92		$	10.32		$	10.05		$	10.53		$	10.33
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.22	)		(0.23	)		(0.21	)		(0.22	)		(0.21	)
Net realized and unrealized gain (loss)		0.50			1.74			0.48			(0.20	)		0.85
Total from Investment Operations		0.28			1.51			0.27			(0.42	)		0.64
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			(0.00	)(b)
Net realized capital gains		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)
Total Distributions		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)
Net asset value, end of the period	$	10.61		$	10.92		$	10.32		$	10.05		$	10.53
Total return(c)		2.73	%		14.86	%		2.69	%		(4.00	)%		6.21	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	87,941		$	85,323		$	71,227		$	92,540		$	66,832
Net expenses, including interest expense		2.31	%		2.33	%		2.36	%(e)		2.36	%		2.36	%(f)
Gross expenses, including interest expense		2.31	%		2.33	%		2.36	%(e)		2.36	%		2.42	%
Net expenses, excluding interest expense		2.28	%		2.32	%		2.35	%(e)		2.35	%		2.35	%(f)
Gross expenses, excluding interest expense		2.28	%		2.32	%		2.35	%(e)		2.35	%		2.42	%
Net investment loss		(2.10	)%		(2.10	)%		(2.10	)%		(2.09	)%		(2.03	)%
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

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

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

(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

|  50

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Alternatives Fund (Consolidated*)—Class N
	Year Ended December 31, 2014			Period Ended December 31, 2013**
Net asset value, beginning of the period	$	11.42		$	11.20
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss)		0.53			0.99
Total from Investment Operations		0.41			0.90
LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.59	)		(0.68	)
Total Distributions		(0.59	)		(0.68	)
Net asset value, end of the period	$	11.24		$	11.42
Total return(b)		3.77	%		8.05	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1
Net expenses, including interest expense(c)		1.27	%		1.32	%(d)
Gross expenses, including interest expense		7.42	%		3.22	%(d)
Net expenses, excluding interest expense(c)		1.25	%		1.30	%(d)
Gross expenses, excluding interest expense		7.40	%		3.20	%(d)
Net investment loss		(1.07	)%		(1.12	)%(d)
Portfolio turnover rate(e)		—	%		—	%

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

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

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

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

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

(d) Computed on an annualized basis for periods less than one year.

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

See accompanying notes to financial statements.

51  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Alternatives Fund (Consolidated*)—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Net asset value, beginning of the period	$	11.43		$	10.72		$	10.34		$	10.72		$	10.41
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.12	)		(0.13	)		(0.11	)		(0.12	)		(0.11	)
Net realized and unrealized gain (loss)		0.53			1.82			0.49			(0.20	)		0.86
Total from Investment Operations		0.41			1.69			0.38			(0.32	)		0.75
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.07	)		—			—			(0.00	)(b)
Net realized capital gains		(0.59	)		(0.91	)		—			(0.06	)		(0.44	)
Total Distributions		(0.59	)		(0.98	)		—			(0.06	)		(0.44	)
Net asset value, end of the period	$	11.25		$	11.43		$	10.72		$	10.34		$	10.72
Total return		3.77	%		16.05	%		3.68	%		(3.00	)%(c)		7.22	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,786,510		$	2,168,502		$	1,002,226		$	1,071,912		$	343,236
Net expenses, including interest expense		1.31	%		1.33	%		1.36	%(d)		1.36	%(e)		1.36	%(e)
Gross expenses, including interest expense		1.31	%		1.33	%		1.36	%(d)		1.37	%		1.42	%
Net expenses, excluding interest expense		1.29	%		1.32	%		1.35	%(d)		1.35	%(e)		1.35	%(e)
Gross expenses, excluding interest expense		1.29	%		1.32	%		1.35	%(d)		1.36	%		1.41	%
Net investment loss		(1.10	)%		(1.10	)%		(1.10	)%		(1.09	)%		(1.03	)%
Portfolio turnover rate(f)		—	%		—	%		—	%		—	%		—	%

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

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

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

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

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

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

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

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Macro Fund (Consolidated*)—Class A
	Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)
Net realized and unrealized gain (loss)		0.11
Total from Investment Operations		0.10
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)
Net realized capital gains		—
Total Distributions		(0.00	)
Net asset value, end of the period	$	10.10
Total return(c)(d)		1.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	219
Net expenses(e)(f)		1.70	%
Gross expenses(f)		5.26	%
Net investment loss(f)		(1.55	)%
Portfolio turnover rate(g)		—	%

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

** From commencement of operations on December 1, 2014 through December 31, 2014.

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

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

(c) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

53  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Macro Fund (Consolidated*)—Class C
	Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)
Net realized and unrealized gain (loss)		0.11
Total from Investment Operations		0.09
LESS DISTRIBUTIONS FROM:
Net investment income		—
Net realized capital gains		—
Total Distributions		—
Net asset value, end of the period	$	10.09
Total return(b)(c)		0.90	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		2.45	%
Gross expenses(e)		6.33	%
Net investment loss(e)		(2.34	)%
Portfolio turnover rate(f)		—	%

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

** From commencement of operations on December 1, 2014 through December 31, 2014.

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

(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Global Macro Fund (Consolidated*)—Class Y
	Period Ended December 31, 2014**
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)
Net realized and unrealized gain (loss)		0.11
Total from Investment Operations		0.10
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)
Net realized capital gains		—
Total Distributions		(0.00	)
Net asset value, end of the period	$	10.10
Total return(c)		1.02	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,523
Net expenses(d)(e)		1.45	%
Gross expenses(e)		5.20	%
Net investment loss(e)		(1.34	)%
Portfolio turnover rate(f)		—	%

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

** From commencement of operations on December 1, 2014 through December 31, 2014.

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

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

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

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

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

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

See accompanying notes to financial statements.

55  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Managed Futures Strategy Fund (Consolidated*)—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010**
Net asset value, beginning of the period	$	10.25		$	9.11		$	10.34		$	10.61		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.16	)		(0.14	)		(0.14	)		(0.16	)		(0.07	)
Net realized and unrealized gain (loss)		2.37			1.28			(1.00	)		0.19	(b)		1.41
Total from Investment Operations		2.21			1.14			(1.14	)		0.03			1.34
LESS DISTRIBUTIONS FROM:
Net investment income		(0.29	)		—			(0.09	)		(0.30	)		(0.33	)
Net realized capital gains		(1.19	)		—			—			—			(0.40	)
Total Distributions		(1.48	)		—			(0.09	)		(0.30	)		(0.73	)
Net asset value, end of the period	$	10.98		$	10.25		$	9.11		$	10.34		$	10.61
Total return(c)(d)		21.76	%		12.51	%		(11.09	)%		0.25	%		13.44	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	137,991		$	125,903		$	145,729		$	312,098		$	6,511
Net expenses, including interest expense(e)		1.72	%		1.73	%		1.73	%		1.71	%		1.73	%(f)
Gross expenses, including interest expense		1.76	%		1.78	%		1.80	%		1.78	%		2.78	%(f)
Net expenses, excluding interest expense(e)		1.70	%		1.70	%		1.70	%		1.70	%		1.70	%(f)
Gross expenses, excluding interest expense		1.74	%		1.75	%		1.77	%		1.76	%		2.75	%(f)
Net investment loss		(1.53	)%		(1.51	)%		(1.49	)%		(1.47	)%		(1.43	)%(f)
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

** From commencement of operations on July 30, 2010 through December 31, 2010.

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

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

(c) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Managed Futures Strategy Fund (Consolidated*)—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010**
Net asset value, beginning of the period	$	10.03		$	8.99		$	10.25		$	10.58		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.24	)		(0.21	)		(0.21	)		(0.24	)		(0.10	)
Net realized and unrealized gain (loss)		2.32			1.25			(0.99	)		0.19	(b)		1.40
Total from Investment Operations		2.08			1.04			(1.20	)		(0.05	)		1.30
LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		—			(0.06	)		(0.28	)		(0.32	)
Net realized capital gains		(1.19	)		—			—			—			(0.40	)
Total Distributions		(1.42	)		—			(0.06	)		(0.28	)		(0.72	)
Net asset value, end of the period	$	10.69		$	10.03		$	8.99		$	10.25		$	10.58
Total return(c)(d)		21.01	%		11.57	%		(11.74	)%		(0.51	)%		13.04	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	33,945		$	18,770		$	21,891		$	24,838		$	2,357
Net expenses, including interest expense(e)		2.47	%		2.48	%		2.48	%		2.46	%		2.47	%(f)
Gross expenses, including interest expense		2.51	%		2.53	%		2.55	%		2.56	%		3.31	%(f)
Net expenses, excluding interest expense(e)		2.45	%		2.45	%		2.45	%		2.45	%		2.45	%(f)
Gross expenses, excluding interest expense		2.49	%		2.50	%		2.52	%		2.54	%		3.29	%(f)
Net investment loss		(2.28	)%		(2.26	)%		(2.24	)%		(2.22	)%		(2.17	)%(f)
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

** From commencement of operations on July 30, 2010 through December 31, 2010.

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

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

(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

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

See accompanying notes to financial statements.

57  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Managed Futures Strategy Fund (Consolidated*)—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010**
Net asset value, beginning of the period	$	10.26		$	9.10		$	10.34		$	10.60		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.14	)		(0.12	)		(0.12	)		(0.13	)		(0.06	)
Net realized and unrealized gain (loss)		2.40			1.28			(1.00	)		0.19	(b)		1.40
Total from Investment Operations		2.26			1.16			(1.12	)		0.06			1.34
LESS DISTRIBUTIONS FROM:
Net investment income		(0.32	)		(0.00	)(c)		(0.12	)		(0.32	)		(0.34	)
Net realized capital gains		(1.19	)		—			—			—			(0.40	)
Total Distributions		(1.51	)		(0.00	)		(0.12	)		(0.32	)		(0.74	)
Net asset value, end of the period	$	11.01		$	10.26		$	9.10		$	10.34		$	10.60
Total return(d)		22.21	%		12.75	%		(10.90	)%		0.57	%		13.39	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,363,162		$	695,307		$	593,013		$	410,166		$	49,803
Net expenses, including interest expense(e)		1.47	%		1.48	%		1.48	%		1.46	%		1.48	%(f)
Gross expenses, including interest expense		1.51	%		1.53	%		1.56	%		1.57	%		2.68	%(f)
Net expenses, excluding interest expense(e)		1.45	%		1.45	%		1.45	%		1.45	%		1.45	%(f)
Gross expenses, excluding interest expense		1.49	%		1.51	%		1.52	%		1.56	%		2.65	%(f)
Net investment loss		(1.28	)%		(1.26	)%		(1.24	)%		(1.22	)%		(1.20	)%(f)
Portfolio turnover rate(g)		—	%		—	%		—	%		—	%		—	%

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

** From commencement of operations on July 30, 2010 through December 31, 2010.

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

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

(c) Amount rounds to less than $0.01 per share.

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

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

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

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

See accompanying notes to financial statements.

|  58

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Tactical U.S. Market Fund—Class A
	Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.02		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss)		1.60			1.31
Total from Investment Operations		1.59			1.30
LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.76	)		(0.28	)
Total Distributions		(0.76	)		(0.28	)
Net asset value, end of the period	$	11.85		$	11.02
Total return(b)(c)		14.69	%		12.96	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,089		$	29
Net expenses(d)		1.40	%		1.40	%(e)
Gross expenses		1.57	%		2.21	%(e)
Net investment loss		(0.09	)%		(0.38	)%(e)
Portfolio turnover rate		62	%		13	%

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

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

(b) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

59  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Tactical U.S. Market Fund—Class C
	Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.00		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.10	)		(0.03	)
Net realized and unrealized gain (loss)		1.59			1.31
Total from Investment Operations		1.49			1.28
LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		(0.76	)		(0.28	)
Total Distributions		(0.76	)		(0.28	)
Net asset value, end of the period	$	11.73		$	11.00
Total return(b)(c)		13.88	%		12.76	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,468		$	8
Net expenses(d)		2.15	%		2.15	%(e)
Gross expenses		2.33	%		2.80	%(e)
Net investment loss		(0.86	)%		(1.00	)%(e)
Portfolio turnover rate		62	%		13	%

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

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

(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

|  60

Financial Highlights (continued)

For a share outstanding throughout each period.

	ASG Tactical U.S. Market Fund—Class Y
	Year Ended December 31, 2014			Period Ended December 31, 2013*
Net asset value, beginning of the period	$	11.03		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			(0.00	)(b)
Net realized and unrealized gain (loss)		1.61			1.31
Total from Investment Operations		1.62			1.31
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		—
Net realized capital gains		(0.76	)		(0.28	)
Total Distributions		(0.77	)		(0.28	)
Net asset value, end of the period	$	11.88		$	11.03
Total return(c)		14.92	%		13.06	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	65,042		$	22,595
Net expenses(d)		1.15	%		1.15	%(e)
Gross expenses		1.32	%		1.93	%(e)
Net investment income (loss)		0.10	%		(0.13	)%(e)
Portfolio turnover rate		62	%		13	%

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

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

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

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

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

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

See accompanying notes to financial statements.

61  |

Notes to Financial Statements

December 31, 2014

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

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

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

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

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

The Global Macro Fund commenced operations on December 1, 2014 via contribution to the Fund by Natixis Global Asset Management, L.P. (“Natixis US”) and affiliates of $25,002,000.

Each Fund is a diversified investment company, except for Global Macro Fund, which is a non-diversified investment company.

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

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

|  62

Notes to Financial Statements (continued)

December 31, 2014

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

As of December 31, 2014, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Investment in Subsidiary		Percentage of Net Assets
Global Alternatives Fund	$	23,526,454		0.8	%
Global Macro Fund		2,668,497		10.4	%
Managed Futures Strategy Fund		52,551,462		3.4	%

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

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

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

Debt securities and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information,

63  |

Notes to Financial Statements (continued)

December 31, 2014

transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or 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, a Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s Net Asset Value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

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

|  64

Notes to Financial Statements (continued)

December 31, 2014

non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

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

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December 31, 2014

independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

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

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

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

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

h.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the

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December 31, 2014

Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

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December 31, 2014

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2014 and 2013 were as follows:

	2014 Distributions Paid From:						2013 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Global Alternatives Fund	$	43,798,875	$	106,652,170	$	150,451,045	$	98,942,838	$	73,167,927	$	172,110,765
Global Macro Fund		4,054		—		4,054		—		—		—
Managed Futures Strategy Fund		119,637,458		64,358,560		183,996,018		13,582		—		13,582
Tactical U.S. Market Fund		1,330,202		2,398,225		3,728,427		218,073		328,003		546,076

As of December 31, 2014, the components of distributable earnings on a tax basis were as follows:

	Global Alternatives Fund			Global Macro Fund			Managed Futures Strategy Fund			Tactical U.S. Market Fund
Undistributed ordinary income	$	52,500,671		$	44,774		$	33,129,504		$	193,875
Undistributed capital gains		58,585,820			240,241			40,791,384			492,708
Total undistributed earnings		111,086,491			285,015			73,920,888			686,583
Post-October capital loss deferrals*		—			(151,642	)		—			—
Unrealized appreciation (depreciation)		(93,210,805	)		121,327			(44,260,258	)		3,913,825
Total accumulated earnings	$	17,875,686		$	254,700		$	29,660,630		$	4,600,408

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31, may be deferred and treated as occurring on the first day of the following taxable year.

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

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Notes to Financial Statements (continued)

December 31, 2014

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2014, at value:

Global Alternatives Fund

Asset Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	2,822,611,876		$	—	$	2,822,611,876
Forward Foreign Currency Contracts (unrealized appreciation)		—			14,098,719			—		14,098,719
Futures Contracts (unrealized appreciation)		39,564,404			—			—		39,564,404
Total	$	39,564,404		$	2,836,710,595		$	—	$	2,876,274,999
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(6,934,796	)	$	—	$	(6,934,796	)
Futures Contracts (unrealized depreciation)		(23,509,056	)		—			—		(23,509,056	)
Total	$	(23,509,056	)	$	(6,934,796	)	$	—	$	(30,443,852	)

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

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

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Notes to Financial Statements (continued)

December 31, 2014

Global Macro Fund

Asset Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Short-Term Investments(a)	$	—		$	21,548,921		$	—	$	21,548,921
Forward Foreign Currency Contracts (unrealized appreciation)		—			380,395			—		380,395
Futures Contracts (unrealized appreciation)		515,429			—			—		515,429
Total	$	515,429		$	21,929,316		$	—	$	22,444,745
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(160,554	)	$	—	$	(160,554	)
Futures Contracts (unrealized depreciation)		(376,122	)		—			—		(376,122	)
Total	$	(376,122	)	$	(160,554	)	$	—	$	(536,676	)

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

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

Managed Futures Strategy Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	1,321,109,079	$	—	$	1,321,109,079
Forward Foreign Currency Contracts (unrealized appreciation)		—		9,504,167		—		9,504,167
Futures Contracts (unrealized appreciation)		59,626,295		—		—		59,626,295
Total	$	59,626,295	$	1,330,613,246	$	—	$	1,390,239,541

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Notes to Financial Statements (continued)

December 31, 2014

Managed Futures Strategy Fund (continued)

Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,918,274	)	$		$	(1,918,274	)
Futures Contracts (unrealized depreciation)		(9,863,755	)							(9,863,755	)
Total	$	(9,863,755	)	$	(1,918,274	)	$	—	$	(11,782,029	)

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

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

Tactical U.S. Market Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	31,769,146	$	—	$	—	$	31,769,146
Exchange Traded Funds		6,936,858		—		—		6,936,858
Short-Term Investments(a)		—		28,947,536		—		28,947,536
Total Investments		38,706,004		28,947,536		—		67,653,540
Futures Contracts (unrealized appreciation)		660,660		—		—		660,660
Total	$	39,366,664	$	28,947,536	$	—	$	68,314,200

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

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

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

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal

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December 31, 2014

market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 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.

Global Macro Fund will typically use a variety of derivative instruments, including futures and forward contracts, to achieve long and short exposures to the return of global developed and emerging market equity and fixed-income securities, indices, currencies and commodities. The Fund will also use futures and currency forward positions to manage the annualized volatility of the Fund’s overall portfolio. During the period ended December 31, 2014, the Fund used long contracts on U.S. and foreign equity market indices and U.S. government bonds, and long and short contracts on foreign government bonds, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These 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 year ended December 31, 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 and short contracts on U.S. equity market indices, to capture the exposures suggested by the quantitative investment models.

Tactical U.S. Market Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the year ended December 31, 2014, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	14,098,719		$	—		$	14,098,719
Exchange traded asset derivatives
Interest rate contracts	$	—		$	20,038,488		$	20,038,488
Equity contracts		—			18,922,676			18,922,676
Commodity contracts		—			603,240			603,240
Total exchange traded asset derivatives	$	—		$	39,564,404		$	39,564,404
Total asset derivatives	$	14,098,719		$	39,564,404		$	53,663,123
Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(6,934,796	)	$	—		$	(6,934,796	)
Exchange traded liability derivatives
Interest rate contracts	$	—		$	(4,077,725	)	$	(4,077,725	)
Equity contracts		—			(4,831,449	)		(4,831,449	)
Commodity contracts		—			(14,599,882	)		(14,599,882	)
Total exchange traded liability derivatives	$	—		$	(23,509,056	)	$	(23,509,056	)
Total liability derivatives	$	(6,934,796	)	$	(23,509,056	)	$	(30,443,852	)

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December 31, 2014

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions1
Interest rate contracts	$	66,503,469		$	—
Foreign exchange contracts		—			71,208,738
Equity contracts		86,919,905			—
Commodity contracts		(36,133,608	)		—
Total	$	117,289,766		$	71,208,738
Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations1
Interest rate contracts	$	20,308,200		$	—
Foreign exchange contracts		—			(3,553,771	)
Equity contracts		(48,943,490	)		—
Commodity contracts		(12,812,515	)		—
Total	$	(41,447,805	)	$	(3,553,771	)

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

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of derivative instruments for Global Macro Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	380,395		$	—		$	380,395
Exchange traded asset derivatives
Interest rate contracts	$	—		$	75,862		$	75,862
Equity contracts		—			149,012			149,012
Commodity contracts		—			290,555			290,555
Total exchange traded asset derivatives	$	—		$	515,429		$	515,429
Total asset derivatives	$	380,395		$	515,429		$	895,824
Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(160,554	)	$	—		$	(160,554	)
Exchange traded liability derivatives
Interest rate contracts	$	—		$	(153,491	)	$	(153,491	)
Equity contracts		—			(16,573	)		(16,573	)
Commodity contracts		—			(206,058	)		(206,058	)
Total exchange traded liability derivatives	$	—		$	(376,122	)	$	(376,122	)
Total liability derivatives	$	(160,554	)	$	(376,122	)	$	(536,676	)

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Notes to Financial Statements (continued)

December 31, 2014

Transactions in derivative instruments for Global Macro Fund during the period ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts				Foreign currency transactions1
Interest rate contracts		$	(63,106	)		$	—
Foreign exchange contracts			—				90,082
Equity contracts			(218,161	)			—
Commodity contracts			111,597				—
Total		$	(169,670	)		$	90,082
Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts				Foreign currency translations1
Interest rate contracts		$	(77,629	)		$	—
Foreign exchange contracts			—				219,841
Equity contracts			132,439				—
Commodity contracts			84,497				—
Total		$	139,307			$	219,841

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

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	9,504,167		$	—		$	9,504,167
Exchange traded asset derivatives
Interest rate contracts	$	—		$	20,318,865		$	20,318,865
Equity contracts		—			11,623,527			11,623,527
Commodity contracts		—			27,683,903			27,683,903
Total exchange traded asset derivatives	$	—		$	59,626,295		$	59,626,295
Total asset derivatives	$	9,504,167		$	59,626,295		$	69,130,462
Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,918,274	)	$	—		$	(1,918,274	)
Exchange traded liability derivatives
Interest rate contracts	$	—		$	(1,424,104	)	$	(1,424,104	)
Equity contracts		—			(1,735,451	)		(1,735,451	)
Commodity contracts		—			(6,704,200	)		(6,704,200	)
Total exchange traded liability derivatives	$	—		$	(9,863,755	)	$	(9,863,755	)
Total liability derivatives	$	(1,918,274	)	$	(9,863,755	)	$	(11,782,029	)

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Notes to Financial Statements (continued)

December 31, 2014

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions1
Interest rate contracts	$	157,662,977		$	—
Foreign exchange contracts		—			31,884,369
Equity contracts		20,544,582			—
Commodity contracts		40,086,391			—
Total	$	218,293,950		$	31,884,369
Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations1
Interest rate contracts	$	19,085,674		$	—
Foreign exchange contracts		—			4,186,182
Equity contracts		(23,466,447	)		—
Commodity contracts		21,074,351			—
Total	$	16,693,578		$	4,186,182

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

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on futures contracts
Exchange traded asset derivatives
Equity contracts	$	660,660

Transactions in derivative instruments for Tactical U.S. Market Fund during the year ended December 31, 2014 as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts
Equity contracts	$	3,786,309

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Equity contracts	$	82,110

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Notes to Financial Statements (continued)

December 31, 2014

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

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2014:

Global Alternatives Fund	Forwards	Futures
Average Notional Amount Outstanding	45.49%	236.59%
Highest Notional Amount Outstanding	74.51%	511.21%
Lowest Notional Amount Outstanding	26.94%	105.36%
Notional Amount Outstanding as of December 31, 2014	48.54%	504.30%

Global Macro Fund	Forwards	Futures
Average Notional Amount Outstanding	144.00%	263.70%
Highest Notional Amount Outstanding	144.00%	263.70%
Lowest Notional Amount Outstanding	144.00%	263.70%
Notional Amount Outstanding as of December 31, 2014	144.00%	263.70%

Managed Futures Strategy Fund	Forwards	Futures
Average Notional Amount Outstanding	110.47%	845.33%
Highest Notional Amount Outstanding	247.78%	1,300.18%
Lowest Notional Amount Outstanding	25.31%	566.51%
Notional Amount Outstanding as of December 31, 2014	63.54%	769.00%

Tactical U.S. Market Fund	Futures
Average Notional Amount Outstanding	72.14%
Highest Notional Amount Outstanding	77.19%
Lowest Notional Amount Outstanding	68.87%
Notional Amount Outstanding as of December 31, 2014	72.99%

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

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

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA

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Notes to Financial Statements (continued)

December 31, 2014

agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral pledged, on the Statements of Assets and Liabilities.

As of December 31, 2014, gross amounts of OTC derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Alternatives Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	14,098,719		$	(6,934,796	)	$	7,163,923	$	—	$	7,163,923	(a)
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(6,934,796	)	$	6,934,796		$	—	$	—	$	—
Global Macro Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	380,395		$	(160,554	)	$	219,841	$	—	$	219,841	(a)
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(160,554	)	$	160,554		$	—	$	—	$	—

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Managed Futures Strategy Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	9,504,167		$	(1,918,274	)	$	7,585,893	$	—	$	7,585,893	(a)
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance		Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(1,918,274	)	$	1,918,274		$	—	$	—	$	—

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

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of December 31, 2014, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

Fund	Independent Amount of Collateral		Increase (Decrease) for Change in Value			Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	32,347,750	$	(11,264,719	)	$	21,083,031	$	29,530,000	$	8,446,969
Global Macro Fund		556,036		(268,957	)		287,079		370,000		82,921
Managed Futures Strategy Fund		29,113,176		(12,123,653	)		16,989,523		24,480,000		7,490,477

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty

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credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	14,098,719	$	7,163,923
Collateral pledged to UBS AG		29,530,000		29,530,000
Total over-the-counter counterparty credit risk		43,628,719		36,693,923
Exchange traded counterparty credit risk
Futures contracts		39,564,404		39,564,404
Margin with brokers		119,979,543		119,979,543
Total exchange traded counterparty credit risk		159,543,947		159,543,947
Total counterparty credit risk	$	203,172,666	$	196,237,870

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Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Macro Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	380,395	$	219,841
Collateral pledged to UBS AG		370,000		370,000
Total over-the-counter counterparty credit risk		750,395		589,841
Exchange traded counterparty credit risk
Futures contracts		515,429		515,429
Margin with brokers		1,770,451		1,770,451
Total exchange traded counterparty credit risk		2,285,880		2,285,880
Total counterparty credit risk	$	3,036,275	$	2,875,721
Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	9,504,167	$	7,585,893
Collateral pledged to UBS AG		24,480,000		24,480,000
Total over-the-counter counterparty credit risk		33,984,167		32,065,893
Exchange traded counterparty credit risk
Futures contracts		59,626,295		59,626,295
Margin with brokers		86,481,145		86,481,145
Total exchange traded counterparty credit risk		146,107,440		146,107,440
Total counterparty credit risk	$	180,091,607	$	178,173,333
Tactical U.S. Market Fund
Exchange traded counterparty credit risk
Futures contracts	$	660,660	$	660,660
Margin with brokers		1,242,615		1,242,615
Total exchange traded counterparty credit risk	$	1,903,275	$	1,903,275

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5.  Purchases and Sales of Securities.  For the year ended December 31, 2014, purchases and proceeds from sales or maturities of short-term investments were as follows:

Fund	Purchases			Sales/Maturities
Global Alternatives Fund		$	72,581,972,807		$	72,021,133,457
Global Macro Fund			128,928,238			107,378,210
Managed Futures Strategy Fund			29,039,353,471			28,421,189,100

For the year ended December 31, 2014, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases			Sales
Tactical U.S. Market Fund		$	38,530,177		$	15,570,093

6.  Management Fees and Other Transactions with Affiliates.

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

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

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

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

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

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December 31, 2014

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

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

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015, except for Global Macro Fund, which is in effect until April 30, 2016, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

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

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

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For the year ended December 31, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Global Alternatives Fund	$	32,048,055	$	—	$	32,048,055		1.14	%		1.14	%
Global Macro Fund		26,005		26,005		—		1.25	%		—
Managed Futures Strategy Fund		13,764,746		380,811		13,383,935		1.25	%		1.22	%
Tactical U.S. Market Fund		356,808		77,408		279,400		0.80	%		0.63	%

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

In addition, the investment adviser reimbursed non-class specific expenses of Global Macro Fund in the amount of $51,937 for the period ended December 31, 2014. This expense reimbursement is subject to possible recovery until December 31, 2015.

For the year ended December 31, 2014, class specific expenses have been reimbursed as follows:

Fund	Reimbursement2 Class N
Global Alternatives Fund		$	67

² Expense reimbursements of $14 are subject to possible recovery until December 31, 2015. See Note 6h.

No expenses were recovered for any of the Funds during the year ended December 31, 2014 under the terms of the expense limitation agreements.

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

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

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

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December 31, 2014

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

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

For the year ended December 31, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees							Distribution Fees
Fund	Class A			Class C				Class C
Global Alternatives Fund		$	485,062		$	222,760			$	668,281
Global Macro Fund			20			—	*			1
Managed Futures Strategy Fund			293,576			57,375				172,125
Tactical U.S. Market Fund			2,615			1,522				4,565

* Rounds to less than $1.

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

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

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For the year ended December 31, 2014, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees Paid to NGAM Advisors
Global Alternatives Fund		$	1,219,322
Global Macro Fund			889
Managed Futures Strategy Fund			475,191
Tactical U.S. Market Fund			19,240

Prior to July 1, 2014, each Fund paid NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million.

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

For the year ended December 31, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Global Alternatives Fund		$	1,200,995
Managed Futures Strategy Fund			1,251,746
Tactical U.S. Market Fund			29,127

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December 31, 2014

As of December 31, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Global Alternatives Fund		$	14,664
Managed Futures Strategy Fund			18,377
Tactical U.S. Market Fund			724

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2014 were as follows:

Fund	Commissions
Global Alternatives Fund		$	268,635
Managed Futures Strategy Fund			216,401
Tactical U.S. Market Fund			14,262

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

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December 31, 2014

Effective January 1, 2015, the chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000.

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

g.  Affiliated Ownership.  As of December 31, 2014, Natixis US and affiliates held shares of Global Alternatives Fund, Global Macro Fund, Managed Futures Strategy Fund and Tactical U.S. Market Fund representing less than 0.01%, 98.10%, less than 0.01% and 20.86% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Global Alternatives Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2016 and is not subject to recovery under the expense limitation agreement described above.

For the period July 1, 2014 to December 31, 2014, NGAM Advisors reimbursed the Fund $53 for transfer agency expenses related to Class N shares.

i.  Payments by Affiliates.  For the year ended December 31, 2014, AlphaSimplex voluntarily reimbursed Global Alternatives Fund and Managed Futures Fund, $1,544 and $194, respectively, in connection with a trade placed for the Funds.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the year ended December 31, 2014, Global Alternatives Fund incurred the following class-specific transfer agent fees and expenses:

	Class A			Class C			Class N			Class Y
Transfer Agent Fees and Expenses		$	143,497		$	65,995		$	67		$	1,880,276

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

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Notes to Financial Statements (continued)

December 31, 2014

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

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

For the year ended December 31, 2014, none of the Funds had borrowings under this agreement.

Global Macro Fund was added as a participant in the line of credit subsequent to December 31, 2014.

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

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

Global Macro Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

10.  Interest Expense.  Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the year ended December 31, 2014 is reflected on the Statements of Operations.

11.  Concentration of Ownership.  From time to time, a fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the funds. As of December 31, 2014, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on

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December 31, 2014

accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of >5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Global Alternatives Fund		3		48.98	%		0.00	%*		48.98	%
Global Macro Fund		—		—			98.10	%		98.10	%
Managed Futures Strategy Fund		2		23.24	%		—			23.24	%
Tactical U.S. Market Fund		1		55.02	%		20.86	%		75.88	%

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

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

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

	Year Ended December 31, 2014					Year Ended December 31, 2013*
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	10,549,922		$	117,074,063		9,255,476		$	105,133,683
Issued in connection with the reinvestment of distributions	808,086			8,795,307		1,078,510			12,091,299
Redeemed	(14,539,064	)		(161,014,264	)	(5,509,604	)		(61,053,583	)
Net change	(3,181,056	)	$	(35,144,894	)	4,824,382		$	56,171,399
Class C
Issued from the sale of shares	2,207,989		$	23,527,887		2,213,016		$	24,377,767
Issued in connection with the reinvestment of distributions	264,553			2,771,655		332,687			3,596,587
Redeemed	(2,001,060	)		(21,287,783	)	(1,630,903	)		(17,586,855	)
Net change	471,482		$	5,011,759		914,800		$	10,387,499
Class N
Issued from the sale of shares	—	(a)	$	1		90		$	1,000
Issued in connection with the reinvestment of distributions	5			57		5			61
Redeemed	—			—		—			—
Net change	5		$	58		95		$	1,061
Class Y
Issued from the sale of shares	121,806,162		$	1,366,499,501		136,977,976		$	1,571,204,245
Issued in connection with the reinvestment of distributions	5,800,398			64,201,320		7,103,742			79,970,492
Redeemed	(69,706,045	)		(780,169,177	)	(47,757,768	)		(536,877,032	)
Net change	57,900,515		$	650,531,644		96,323,950		$	1,114,297,705
Increase (decrease) from capital share transactions	55,190,946		$	620,398,567		102,063,227		$	1,180,857,664

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

(a) Amount rounds to less than one share.

93  |

Notes to Financial Statements (continued)

December 31, 2014

12.  Capital Shares (continued).

	Period Ended December 31, 2014*
Global Macro Fund	Shares			Amount
Class A
Issued from the sale of shares	22,757		$	225,501
Issued in connection with the reinvestment of distributions	1			12
Redeemed	(1,094	)		(11,012	)
Net change	21,664		$	214,501
Class C
Issued from the sale of shares	100		$	1,001
Issued in connection with the reinvestment of distributions	—			—
Redeemed	—			—
Net change	100		$	1,001
Class Y
Issued from the sale of shares	2,527,338		$	25,273,001
Issued in connection with the reinvestment of distributions	400			4,042
Redeemed	—			—
Net change	2,527,738		$	25,277,043
Increase (decrease) from capital share transactions	2,549,502		$	25,492,545

* From commencement of operations on December 1, 2014 through December 31, 2014.

|  94

Notes to Financial Statements (continued)

December 31, 2014

12.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	7,926,341		$	85,835,159		5,560,803		$	53,140,778
Issued in connection with the reinvestment of distributions	1,409,586			15,334,925		—			—
Redeemed	(9,059,693	)		(96,168,941	)	(9,269,437	)		(88,138,943	)
Net change	276,234		$	5,001,143		(3,708,634	)	$	(34,998,165	)
Class C
Issued from the sale of shares	1,508,317		$	15,998,285		668,726		$	6,337,507
Issued in connection with the reinvestment of distributions	246,210			2,613,508		—			—
Redeemed	(448,720	)		(4,552,344	)	(1,233,925	)		(11,633,458	)
Net change	1,305,807		$	14,059,449		(565,199	)	$	(5,295,951	)
Class Y
Issued from the sale of shares	68,198,054		$	730,964,650		37,299,578		$	357,017,117
Issued in connection with the reinvestment of distributions	13,546,753			148,000,892		1,192			12,231
Redeemed	(25,644,666	)		(275,398,393	)	(34,714,808	)		(330,050,675	)
Net change	56,100,141		$	603,567,149		2,585,962		$	26,978,673
Increase (decrease) from capital share transactions	57,682,182		$	622,627,741		(1,687,871	)	$	(13,315,443	)

95  |

Notes to Financial Statements (continued)

December 31, 2014

12.  Capital Shares (continued).

	Year Ended December 31, 2014					Period Ended December 31, 2013*
Tactical U.S. Market Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	295,712		$	3,496,801		2,909		$	29,541
Issued in connection with the reinvestment of distributions	9,178			110,542		63			697
Redeemed	(46,700	)		(538,192	)	(375	)		(4,095	)
Net change	258,190		$	3,069,151		2,597		$	26,143
Class C
Issued from the sale of shares	120,966		$	1,405,317		665		$	7,001
Issued in connection with the reinvestment of distributions	5,761			68,239		17			183
Redeemed	(2,311	)		(27,368	)	—			—
Net change	124,416		$	1,446,188		682		$	7,184
Class Y
Issued from the sale of shares	3,953,299		$	45,963,032		2,016,489		$	20,544,458
Issued in connection with the reinvestment of distributions	298,226			3,511,746		49,426			542,699
Redeemed	(825,607	)		(9,910,677	)	(16,997	)		(185,859	)
Net change	3,425,918		$	39,564,101		2,048,918		$	20,901,298
Increase (decrease) from capital share transactions	3,808,524		$	44,079,440		2,052,197		$	20,934,625

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

|  96

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the ASG Global Alternatives Fund (Consolidated), ASG Global Macro Fund (Consolidated), ASG Managed Futures Strategy Fund (Consolidated) and ASG Tactical U.S. Market Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”), at December 31, 2014, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for the opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2015

97  |

2014 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2014, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Tactical U.S. Market Fund		27.36	%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2014.

Fund	Amount
Global Alternatives Fund	$	106,652,170
Managed Futures Strategy Fund		64,358,560
Tactical U.S. Market Fund		2,398,225

Qualified Dividend Income. For the fiscal year ended December 31, 2014, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2014, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:

Fund	Qualifying Percentage
Tactical U.S. Market Fund		29.95	%

|  98

Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	42 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 Contract Review Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Experience on the Board and significant experience on the boards of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)

99  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Vice President and Treasurer of Raytheon Company (defense)	42 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 Audit Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

|  100

Trustee and Officer Information

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

101  |

Trustee and Officer Information

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

|  102

Trustee and Officer Information

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

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

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

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

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

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

103  |

Trustee and Officer Information

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

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

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

|  104

ANNUAL REPORT

December 31, 2014

Gateway Equity Call Premium Fund

Loomis Sayles Strategic Alpha Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 14

Financial Statements page  47

Notes to Financial Statements page 57

GATEWAY EQUITY CALL PREMIUM FUND

Managers	Symbols
Daniel M. Ashcraft, CFA®	Class A    GCPAX
Michael T. Buckius, CFA®	Class C    GCPCX
Kenneth H. Toft, CFA®	Class Y    GCPYX
Gateway Investment Advisors, LLC

Objective

Seeks total return with less risk than U.S. equity markets.

Market Conditions

From the September 30, 2014 inception date of the Gateway Equity Call Premium Fund, through December 31, 2014, the S&P 500^® Index returned 4.93%. This period was the most volatile of the year for equity markets, and included two periods of sharp losses followed by quick recoveries as macroeconomic factors remained the key drivers of the market’s ups and downs. The period began with a broad equity market decline that was a continuation and acceleration of the downturn that began in the third week of September. Equity market losses were driven by multiple factors, including fear of a spreading Ebola virus and indications of slowing global growth. The downturn came to an end in mid-October as a recovery was sparked by the European Central Bank’s announcement of a potential quantitative easing (QE) program. The recovery then gained momentum as the Bank of Japan followed suit with a similar announcement.

Equity market gains were extended through November and into December as domestic corporate earnings announcements were strong and a drop in energy prices was seen as consumer-friendly. By early December, however, the decline in oil prices was perceived as an indicator of falling global demand and an increased risk of deflation. This shift in sentiment was the primary driver of a decline in the S&P 500^® Index that came to an end on December 16. Reassuring comments from the Federal Reserve (the Fed) regarding interest rates were enough to spark a year-end recovery, and the S&P 500^® Index ended the year just below its all-time high. The Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”) tracked this market volatility closely; however, its average of 16.07 for the period was well below its long-term historical average of 20.

The Fund’s benchmark, the CBOE S&P 500^® BuyWrite Index (the “BXM^SM”), had a return of -0.82% for the September 30-December 31, 2014 period. It is unusual for the BXM to have a negative return over a quarter when the S&P 500^® Index is positive. This index call-writing benchmark had significant participation in the losses experienced by the S&P 500^® Index, but only partial participation in the period’s largest recovery. This pattern was primarily a result of the BXM’s construction methodology, which dictates when it buys and sells its single monthly index call option. The BXM’s index call option selling happened to be at specific times when the VIX, and therefore the call premiums, were low.

1  |

Performance Results

From its September 30, 2014 inception date through December 31, 2014, Class A shares of Gateway Equity Call Premium Fund returned 0.00% at net asset value. The Fund outperformed its benchmark, the CBOE S&P 500^® BuyWrite Index (BXM^SM)^,, which returned -0.82%.

Explanation of Fund Performance

The Fund seeks to generate returns by selling at- and near-the-money index call options against the full value of its underlying equity portfolio. The steady cash flow from call-option writing is intended to be an important source of the Fund’s return, although it reduces the Fund’s ability to profit from increases in the value of its equity portfolio. The index call options written by the Fund often have similar characteristics to the index call option present in the BXM at any given time. However, unlike the BXM, the Fund employs an active strategy that gives its management team discretion to diversify expiration dates and strike prices across a portfolio of index call options, and to opportunistically pursue attractive call premiums while maintaining a relatively consistent risk profile. Though collecting premiums from writing index call options will allow the Fund to generate a return when the index advances, call option positions that expire or are closed out when the index is well above an option’s strike price may generate realized losses. As such, most of the realized losses from index call options occurred during the sharp index advance in the middle of the fourth quarter. An index option is described as being at-the-money when the price of the underlying index is the same as the option’s strike price.

From the Fund’s inception through December 31, 2014, the active index call writing strategy used by the Fund resulted in higher call premiums received when the VIX was relatively elevated. In addition, the Fund’s management team cautiously adjusted index call strike prices upwards during the market’s strong rally from mid-October to early December. These active decisions helped the Fund outperform the BXM during the market’s declines, as well as deliver a higher return during the market’s strongest advance.

Outlook

The coming year appears to include a mix of opportunity and risk. There is meaningful potential for both implied and realized volatility to increase. Contributors to a potential elevation of VIX levels include market anxiety over the Fed’s moves to normalize monetary policy and raise interest rates; de-synchronization of policies across the world’s central banks, with a restrictive Fed as the most likely outlier; and ongoing geopolitical risks, including both Russia and the Middle East.

In the absence of a significant downside event, higher market volatility does not preclude attractive equity returns given reasonable market valuations and continuing domestic economic improvement. In contrast to favorable scenarios for equity market returns, investors appear unlikely to experience attractive returns from fixed-income investments, particularly the high quality variety, given very low interest rates.

Strong market results, including six straight calendar years of positive returns for most broad market equity indexes and the absence of a 10% correction in the S&P 500^® Index

|  2

GATEWAY EQUITY CALL PREMIUM FUND

since 2011, have made a growing number of investors comfortable with equities. The Fund’s investment management team continues to maintain a market agnostic posture, seeking to benefit from return-generating index call option premiums. As investors become more sensitive to the rewards of risk management, we believe they may develop a greater appreciation for the way in which the Fund’s low volatility equity profile aligns with their long-term objectives.

Total Returns — December 31, 2014⁴

	Life of Fund
Class A (Inception 9/30/14)
NAV		0.00	%
With 5.75% Maximum Sales Charge		-5.75
Class C (Inception 9/30/14)
NAV		-0.12
With CDSC1		-1.11
Class Y (Inception 9/30/14)
NAV		0.13
Comparative Performance
CBOE S&P 500 BuyWrite Index (BXMSM)2		-0.82
S&P 500® Index3		4.93

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

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

2 The CBOE S&P 500 BuyWrite Index (BXM^SM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500^® Index. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) “writing” (or selling) the near-term S&P 500 Index (SPX^SM) “covered” call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.

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

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

3  |

LOOMIS SAYLES STRATEGIC ALPHA FUND

Managers	Symbols
Matthew J. Eagan, CFA®	Class A    LABAX
Kevin P. Kearns	Class C    LABCX
Todd P. Vandam, CFA®	Class Y    LASYX
Loomis, Sayles & Company, L.P.

Objective

Seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

Market Conditions

U.S. Treasury yields moved steadily lower during the year. The yield on the 10-year Treasury note declined 87 basis points to 2.17%, and the 30-year Treasury bond declined 121 basis points to 2.75%. Improvements in the economy, which led to the end of quantitative easing (QE) in the United States, were offset by geopolitical worries, including events in Ukraine and Iraq and the decline in oil prices. U.S. Treasury volatility, as measured by the Merrill Option Volatility Estimate (MOVE) Index, increased throughout the year.

After experiencing multi-year lows in June, credit spreads (the yield differences between Treasury and non-Treasury bonds of similar maturity) widened through the fourth quarter and finished the year near recent highs. High yield spreads remained elevated following two market volatility spikes late in the year. As yields fell during the year, investment grade corporates were able to outperform high yield corporates, which experienced greater price sensitivity due to their longer duration. Demand for European investment grade corporates strengthened as the year progressed, as spreads priced in the potential for further easing from the European Central Bank (ECB).

The U.S. dollar staged a massive rally during the year, largely driven by diverging growth and interest rate projections for the United States compared with the rest of the world. Increasingly accommodative central bank policies from the Bank of Japan and the ECB caused the yen and euro to fall by approximately 12% each versus the U.S. dollar. Falling oil prices also pressured the currencies of commodity exporters in developed and emerging markets, with the Russian ruble, Colombian peso and Norwegian krone hit the hardest. In addition, political tensions placed increased pressure on Eastern European currencies.

Performance Results

For the 12 months ended December 31, 2014, Class A shares of Loomis Sayles Strategic Alpha Fund returned 2.24% at net asset value. The Fund outperformed its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.23%. The Fund follows an absolute return strategy and is not managed to an index.

|  4

LOOMIS SAYLES STRATEGIC ALPHA FUND

Explanation of Fund Performance

The Fund’s positive performance was diversified across several sectors, with the majority of return generated from securitized credits, investment grade corporates, and currency positioning. In addition, the Fund’s exposure to convertibles and dividend-paying equities supported overall results. Duration management tools were used to shorten the portfolio’s duration and detracted from results as we were expecting higher yields driven by the stronger U.S. economic data.

The Fund’s securitized holdings, particularly non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS), generated positive return in 2014. Despite the slowdown in the U.S. real estate market recovery during the second half of the year, the yield advantage in these asset classes attained earlier in the year benefited return. The Fund’s currency positioning also aided performance, as the U.S. dollar continued to strengthen amid diverging monetary policies. As a result, some of the Fund’s short currency positions, namely in the Mexican peso, Japanese yen and Colombian peso, aided performance. Elsewhere, the Fund’s investment grade corporate bonds lifted performance despite the fact that U.S. spreads widened during the second half of the year. Sustained demand for corporates and flat spreads among euro investment grade securities due to the potential for further ECB easing buoyed return, particularly from selected holdings in the banking, electric, and communication industries. The Fund’s convertible securities also aided performance, benefiting from the uptick in equity markets. Selected holdings in the technology and consumer non-cyclical industries performed well, as did the Fund’s dividend-paying equities, particularly consumer non-cyclical and communication categories.

Meanwhile, in an attempt to protect against downside equity risk, the Fund held short positions in S&P 500^® E-mini futures, a hedge for the Fund’s convertible bond and equity positions. These positions weighed on performance. In addition, the Fund’s duration management tools, including the use of interest rate futures and swaptions (options on interest rate swaps), detracted from performance. Short positions on the 10-year Treasury note were the most notable laggards, as the intermediate-to-long end of the U.S. yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) flattened during the year. Credit default swaps (CDS) and credit default swaps on indices (CDX) were used for emerging market, high yield and investment grade exposure. These positions also weighed on return. The Fund used currency forwards to hedge long positions in local currencies or tactically to short specific currencies; both strategies supported results.

Outlook

We continue to temper our assessment of the rate environment. We believe the 10-year U.S. Treasury note will rise slowly in 2015 and reach 3% by year-end. Longer-term, most investors expect the Federal Reserve (the Fed) to raise rates in anticipation of rising wages. The ultimate pace of the Fed’s rate hikes should rest on three factors: the pace of wage growth, significant deviations from their inflation forecasts, and changes in financial conditions as a result of Fed tightening. Furthermore, there is potential for increased rate volatility as the market digests the date and pace of future rate hikes.

5  |

The United States is in the expansion phase of its credit cycle (a cyclical pattern that follows credit availability and corporate health). U.S. credit spreads have widened from historical tights due to falling oil prices, and perhaps, deteriorating corporate health. As a result, spreads look cheaper with potential for pockets of value. The global bond market remains challenging, as desynchronized recoveries among major economies should extend the global economic recovery and keep inflation low.

Among emerging markets, large economies such as China, Brazil and Russia are facing much slower growth, reversing the improving trends of the past. Geopolitical risks continue to increase with turmoil in the Middle East, Eastern Europe and East Asia. However, improving growth in the developed world should be a positive factor for emerging markets. In addition, slow growth in Europe and the potential for enhanced liquidity measures from the ECB could provide support to the higher-yielding emerging markets.

Regarding currency, we expect the dollar’s strength to continue, given the relative strength of the U.S. economy. We also expect the Mexican peso to appreciate due to the reforms the country is implementing. Finally, as the ECB and Bank of Japan continue to reflate their economies with easy monetary conditions, we believe the euro and yen will depreciate further.

Growth of $10,000 Investment in Class A Shares⁴

December 15, 2010 (inception) through December 31, 2014

See notes to chart on page 7.

|  6

LOOMIS SAYLES STRATEGIC ALPHA FUND

Average Annual Total Returns — December 31, 2014⁴

	1 Year			Life of Fund
Class A (Inception 12/15/10)
NAV		2.24	%		2.79	%
With 4.50% Maximum Sales Charge		-2.32			1.63
Class C (Inception 12/15/10)
NAV		1.47			2.00
With CDSC1		0.48			2.00
Class Y (Inception 12/15/10)
NAV		2.52			3.03
Comparative Performance
3-Month LIBOR2		0.23			0.32
3-Month LIBOR + 300 basis points3		3.28			3.38

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

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

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

3 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual percentage change of the 3-Month LIBOR.

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

7  |

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

|  8

UNDERSTANDING FUND EXPENSES

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

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2014 through December 31, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

9  |

GATEWAY EQUITY CALL PREMIUM FUND	BEGINNING ACCOUNT VALUE 7/1/20141		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD 7/1/20141 – 12/31/2014
Class A
Actual		$1,000.00		$1,000.00		$3.02	1
Hypothetical (5% return before expenses)		$1,000.00		$1,019.16		$6.11	*
Class C
Actual		$1,000.00		$998.80		$4.91	1
Hypothetical (5% return before expenses)		$1,000.00		$1,015.38		$9.91	*
Class Y
Actual		$1,000.00		$1,001.30		$2.40	1
Hypothetical (5% return before expenses)		$1,000.00		$1,020.42		$4.84	*

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (184), divided by 365 (to reflect the half-year period).

1 Fund commenced operations on September 30, 2014. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (92), divided by 365 (to reflect the partial period).

LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 7/1/2014		ENDING ACCOUNT VALUE 12/31/2014		EXPENSES PAID DURING PERIOD* 7/1/2014 – 12/31/2014
Class A
Actual		$1,000.00		$1,000.90		$5.50
Hypothetical (5% return before expenses)		$1,000.00		$1,019.71		$5.55
Class C
Actual		$1,000.00		$996.90		$9.31
Hypothetical (5% return before expenses)		$1,000.00		$1,015.88		$9.40
Class Y
Actual		$1,000.00		$1,002.40		$4.29
Hypothetical (5% return before expenses)		$1,000.00		$1,020.92		$4.33

* Expenses are equal to the Fund’s annualized expense ratio: 1.09%, 1.85% and 0.85% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period).

|  10

BOARD APPROVAL OF THE INITIAL

ADVISORY AGREEMENT

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve for a two-year term any new investment advisory and sub-advisory agreements for a registered investment company, including newly formed funds such as the Gateway Equity Call Premium Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved the proposed investment advisory agreement (the “Agreement”) for the Fund at an in-person meeting held on September 12, 2014.

In connection with this review, Fund management and other representatives of the Fund’s adviser, Gateway Investment Advisers, LLC (the “Adviser”), distributed to the Trustees materials including, among other items, (i) information on the proposed advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups of funds and information on fees charged to other accounts advised or sub-advised by the Adviser and the proposed expense cap, (ii) the Fund’s investment objective and strategies, (iii) the size, education and experience of the Adviser’s investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares, (v) the procedures proposed to be employed to determine the value of the Fund’s assets, (vi) the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about the Adviser’s performance, and (viii) the general economic outlook with particular emphasis on the mutual fund industry. The Trustees also considered the fact that they oversee other funds advised by the Adviser as well as information about the Adviser they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser.

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

The nature, extent and quality of the services to be provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser and its affiliates to the Fund, and the resources to be dedicated to the Fund by the Adviser and its affiliates. The Trustees considered their experience with other funds advised by the Adviser, as well as the affiliation between the Adviser and Natixis Global Asset Management, L.P. (“Natixis US”), whose affiliates provide investment advisory services to other funds in the same family of mutual funds. In this regard, the Trustees considered not

11  |

only the advisory services proposed to be provided by the Adviser to the Fund, but also the monitoring and administrative services proposed to be provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund.

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

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

Investment performance of the Fund and the Adviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Adviser, including accounts managed in accordance with the Fund’s proposed strategies.

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

Based on this and other information, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that these relevant factors supported approval of the Agreement.

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

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

|  12

provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense cap.

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

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

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

· The compliance-related resources the Adviser and its affiliates would provide to the Fund.

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

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

13  |

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund

Shares		Description	Value (†)
	Common Stocks — 95.1% of Net Assets
		Aerospace & Defense — 2.8%
	355	B/E Aerospace, Inc.(b)(c)	$	20,597
	895	Boeing Co. (The)(d)		116,332
	634	General Dynamics Corp.(d)		87,251
	1,067	Honeywell International, Inc.(d)		106,615
	292	KLX, Inc.(b)(c)		12,045
	437	Lockheed Martin Corp.(d)		84,153
	163	Precision Castparts Corp.(c)		39,263
	1,043	United Technologies Corp.(d)		119,945
				586,201
		Air Freight & Logistics — 1.0%
	504	FedEx Corp.(d)		87,525
	1,061	United Parcel Service, Inc., Class B(d)		117,951
				205,476
		Auto Components — 0.6%
	1,191	Johnson Controls, Inc.(d)		57,573
	524	Lear Corp.(d)		51,394
	206	TRW Automotive Holdings Corp.(b)(c)		21,187
				130,154
		Automobiles — 0.4%
	2,106	General Motors Co.(d)		73,520
		Banks — 5.9%
	1,093	Banco Santander S.A., Sponsored ADR(c)		9,105
	12,476	Bank of America Corp.(d)		223,196
	3,741	Citigroup, Inc.(d)		202,425
	1,107	Comerica, Inc.(c)		51,852
	3,035	Fifth Third Bancorp(d)		61,838
	472	First Republic Bank(c)		24,601
	6,453	Huntington Bancshares, Inc.(d)		67,886
	4,154	JPMorgan Chase & Co.(d)		259,957
	1,358	SunTrust Banks, Inc.(d)		56,900
	5,221	Wells Fargo & Co.(d)		286,215
				1,243,975
		Beverages — 1.9%
	4,818	Coca-Cola Co. (The)(d)		203,416
	1,957	PepsiCo, Inc.(d)		185,054
				388,470
		Biotechnology — 2.9%
	300	Alexion Pharmaceuticals, Inc.(b)(d)		55,509
	948	Amgen, Inc.(d)		151,007
	293	Biogen Idec, Inc.(b)(d)		99,459
	1,114	Celgene Corp.(b)(d)		124,612
	1,884	Gilead Sciences, Inc.(b)(d)		177,586
				608,173

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Building Products — 0.2%
	789	Fortune Brands Home & Security, Inc.(c)	$	35,718
		Capital Markets — 2.2%
	562	Ameriprise Financial, Inc.(d)		74,325
	1,751	Bank of New York Mellon Corp. (The)(d)		71,038
	200	BlackRock, Inc.(d)		71,512
	576	Goldman Sachs Group, Inc. (The)(d)		111,646
	2,133	Morgan Stanley(d)		82,760
	376	Raymond James Financial, Inc.(c)		21,541
	472	SEI Investments Co.(c)		18,899
	530	TD Ameritrade Holding Corp.(c)		18,963
				470,684
		Chemicals — 2.3%
	110	Agrium, Inc.(c)		10,419
	396	Air Products & Chemicals, Inc.(c)		57,115
	295	Ashland, Inc.(d)		35,329
	312	Celanese Corp., Series A(c)		18,708
	1,505	Huntsman Corp.(d)		34,284
	556	International Flavors & Fragrances, Inc.(d)		56,356
	706	Monsanto Co.(d)		84,346
	390	PPG Industries, Inc.(d)		90,148
	591	Praxair, Inc.(d)		76,570
	291	Rockwood Holdings, Inc.(c)		22,931
				486,206
		Commercial Services & Supplies — 0.3%
	1,214	Waste Management, Inc.(d)		62,302
		Communications Equipment — 1.5%
	6,234	Cisco Systems, Inc.(d)		173,399
	1,960	QUALCOMM, Inc.(d)		145,687
				319,086
		Construction & Engineering — 0.1%
	488	Chicago Bridge & Iron Co.(c)		20,486
		Consumer Finance — 1.3%
	672	Ally Financial, Inc.(b)(d)		15,873
	1,135	American Express Co.(d)		105,600
	749	Capital One Financial Corp.(d)		61,830
	951	Discover Financial Services(d)		62,281
	608	Synchrony Financial(b)(c)		18,088
				263,672
		Containers & Packaging — 0.3%
	627	Crown Holdings, Inc.(b)(c)		31,914
	468	Packaging Corp. of America(d)		36,528
				68,442
		Diversified Financial Services — 1.5%
	2,074	Berkshire Hathaway, Inc., Class B(b)(d)		311,411

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Diversified Telecommunication Services — 2.2%
	5,732	AT&T, Inc.(d)	$	192,538
	1,269	CenturyLink, Inc.(d)		50,227
	4,727	Verizon Communications, Inc.(d)		221,129
				463,894
		Electric Utilities — 1.6%
	1,983	American Electric Power Co., Inc.(d)		120,408
	738	OGE Energy Corp.(c)		26,184
	2,706	PPL Corp.(d)		98,309
	1,727	Southern Co. (The)(d)		84,813
				329,714
		Electrical Equipment — 0.7%
	1,607	Emerson Electric Co.(d)		99,200
	813	Sensata Technologies Holding NV(b)(d)		42,609
				141,809
		Electronic Equipment, Instruments & Components — 0.2%
	680	Avnet, Inc.(d)		29,254
	1,539	Flextronics International Ltd.(b)(c)		17,206
				46,460
		Energy Equipment & Services — 0.8%
	1,371	National Oilwell Varco, Inc.(d)		89,842
	813	Oceaneering International, Inc.(d)		47,813
	2,309	Seadrill Ltd.(c)		27,569
				165,224
		Food & Staples Retailing — 2.4%
	673	Costco Wholesale Corp.(d)		95,398
	1,591	CVS Health Corp.(d)		153,229
	1,018	Sysco Corp.(c)		40,404
	1,510	Wal-Mart Stores, Inc.(d)		129,679
	1,216	Walgreens Boots Alliance, Inc.(d)		92,659
				511,369
		Food Products — 1.5%
	381	Bunge Ltd.(d)		34,637
	1,338	General Mills, Inc.(d)		71,356
	885	Kellogg Co.(c)		57,914
	990	Kraft Foods Group, Inc.(c)		62,033
	2,399	Mondelez International, Inc., Class A(d)		87,144
				313,084
		Gas Utilities — 0.3%
	1,906	UGI Corp.(d)		72,390
		Health Care Equipment & Supplies — 1.9%
	2,025	Abbott Laboratories(d)		91,166
	897	Covidien PLC(d)		91,745
	269	Halyard Health, Inc.(b)(d)		12,231
	1,612	Medtronic, Inc.(c)		116,386

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Health Care Equipment & Supplies — continued
	278	ResMed, Inc.(c)	$	15,585
	657	Zimmer Holdings, Inc.(d)		74,517
				401,630
		Health Care Providers & Services — 2.3%
	852	Anthem, Inc.(d)		107,071
	1,083	Express Scripts Holding Co.(b)(d)		91,697
	403	McKesson Corp.(d)		83,655
	608	Omnicare, Inc.(d)		44,341
	1,585	UnitedHealth Group, Inc.(d)		160,228
				486,992
		Hotels, Restaurants & Leisure — 1.5%
	530	Las Vegas Sands Corp.(c)		30,825
	1,256	McDonald’s Corp.(d)		117,687
	1,172	Starbucks Corp.(d)		96,162
	868	Yum! Brands, Inc.(d)		63,234
				307,908
		Household Durables — 0.5%
	778	Jarden Corp.(b)(d)		37,250
	1,503	Leggett & Platt, Inc.(d)		64,043
				101,293
		Household Products — 2.1%
	370	Church & Dwight Co., Inc.(c)		29,160
	726	Clorox Co. (The)(d)		75,656
	614	Kimberly-Clark Corp.(d)		70,942
	2,843	Procter & Gamble Co. (The)(d)		258,969
				434,727
		Industrial Conglomerates — 2.2%
	1,067	3M Co.(d)		175,329
	11,058	General Electric Co.(d)		279,436
				454,765
		Insurance — 1.9%
	1,027	Arch Capital Group Ltd.(b)(c)		60,696
	1,108	Chubb Corp. (The)(d)		114,645
	750	Cincinnati Financial Corp.(c)		38,873
	1,378	Lincoln National Corp.(d)		79,469
	1,075	Prudential Financial, Inc.(d)		97,244
				390,927
		Internet & Catalog Retail — 1.3%
	456	Amazon.com, Inc.(b)(d)		141,520
	450	Liberty Interactive Corp., Class A(b)(c)		13,239
	507	Liberty Ventures, Series A(b)(c)		19,124
	78	Priceline Group, Inc. (The)(b)(d)		88,936
				262,819

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Internet Software & Services — 3.1%
	239	Alibaba Group Holding Ltd., Sponsored ADR(b)(c)	$	24,842
	2,514	Facebook, Inc., Class A(b)(d)		196,142
	430	Google, Inc., Class A(b)(d)		228,184
	228	Google, Inc., Class C(b)(c)		120,019
	1,487	Yahoo!, Inc.(b)(d)		75,108
				644,295
		IT Services — 2.8%
	905	Accenture PLC, Class A(d)		80,825
	1,030	International Business Machines Corp.(d)		165,253
	1,350	MasterCard, Inc., Class A(d)		116,316
	1,475	Paychex, Inc.(d)		68,101
	629	Visa, Inc., Class A(d)		164,924
				595,419
		Leisure Products — 0.1%
	193	Polaris Industries, Inc.(c)		29,189
		Life Sciences Tools & Services — 0.4%
	73	Illumina, Inc.(b)(c)		13,474
	599	Thermo Fisher Scientific, Inc.(d)		75,049
				88,523
		Machinery — 1.6%
	1,060	Caterpillar, Inc.(d)		97,022
	630	Colfax Corp.(b)(c)		32,489
	527	Cummins, Inc.(d)		75,978
	1,238	Ingersoll-Rand PLC(d)		78,477
	717	Trinity Industries, Inc.(d)		20,083
	202	WABCO Holdings, Inc.(b)(c)		21,165
				325,214
		Media — 3.8%
	966	CBS Corp., Class B(c)		53,458
	3,050	Comcast Corp., Class A(d)		176,931
	706	DIRECTV(b)(d)		61,210
	449	Time Warner Cable, Inc.(d)		68,275
	1,119	Time Warner, Inc.(d)		95,585
	2,502	Twenty-First Century Fox, Inc., Class A(d)		96,089
	790	Viacom, Inc., Class B(d)		59,448
	1,909	Walt Disney Co. (The)(d)		179,809
				790,805
		Metals & Mining — 0.2%
	1,509	Freeport-McMoRan, Inc.(c)		35,250
		Multi-Utilities — 1.2%
	1,249	Alliant Energy Corp.(d)		82,959
	1,439	PG&E Corp.(d)		76,612
	2,072	Public Service Enterprise Group, Inc.(d)		85,801
				245,372

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Multiline Retail — 0.8%
	943	Nordstrom, Inc.(d)	$	74,865
	1,100	Target Corp.(d)		83,501
				158,366
		Oil, Gas & Consumable Fuels — 6.8%
	849	Apache Corp.(c)		53,207
	1,888	California Resources Corp.(b)(c)		10,403
	948	Canadian Natural Resources Ltd.(d)		29,274
	2,289	Chevron Corp.(d)		256,780
	309	Concho Resources, Inc.(b)(c)		30,823
	868	Continental Resources, Inc.(b)(d)		33,296
	1,146	Devon Energy Corp.(c)		70,147
	2,603	Encana Corp.(d)		36,104
	4,838	Exxon Mobil Corp.(d)		447,273
	703	HollyFrontier Corp.(c)		26,348
	2,121	Marathon Oil Corp.(d)		60,003
	943	Noble Energy, Inc.(c)		44,726
	1,209	Occidental Petroleum Corp.(d)		97,458
	1,250	Phillips 66(d)		89,625
	416	Pioneer Natural Resources Co.(d)		61,922
	1,540	Spectra Energy Corp.(c)		55,902
	436	Whiting Petroleum Corp.(b)(c)		14,388
				1,417,679
		Paper & Forest Products — 0.3%
	1,058	International Paper Co.(d)		56,688
		Pharmaceuticals — 6.0%
	2,096	AbbVie, Inc.(d)		137,162
	392	Actavis PLC(b)(d)		100,905
	407	Allergan, Inc.(d)		86,524
	1,974	Bristol-Myers Squibb Co.(d)		116,525
	1,314	Eli Lilly & Co.(d)		90,653
	3,046	Johnson & Johnson(d)		318,520
	3,240	Merck & Co., Inc.(d)		184,000
	6,870	Pfizer, Inc.(d)		214,000
				1,248,289
		Professional Services — 0.1%
	302	Manpowergroup, Inc.(d)		20,587
		REITs – Apartments — 0.5%
	310	Essex Property Trust, Inc.(d)		64,046
	1,339	UDR, Inc.(c)		41,268
				105,314
		REITs – Diversified — 0.9%
	802	American Tower Corp.(d)		79,278
	805	Crown Castle International Corp.(d)		63,354
	2,752	Duke Realty Corp.(d)		55,590
				198,222

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		REITs – Mortgage — 0.2%
	1,400	American Capital Agency Corp.(d)	$	30,562
	1,834	Annaly Capital Management, Inc.(c)		19,826
				50,388
		REITs – Office Property — 0.2%
	391	SL Green Realty Corp.(c)		46,537
		REITs – Shopping Centers — 0.3%
	3,016	DDR Corp.(c)		55,374
		REITs – Single Tenant — 0.1%
	617	Realty Income Corp.(c)		29,437
		REITs – Storage — 0.2%
	781	Extra Space Storage, Inc.(d)		45,798
		Road & Rail — 1.4%
	2,029	CSX Corp.(d)		73,511
	250	J.B. Hunt Transport Services, Inc.(c)		21,062
	572	Norfolk Southern Corp.(d)		62,697
	1,176	Union Pacific Corp.(d)		140,097
				297,367
		Semiconductors & Semiconductor Equipment — 2.5%
	3,073	Applied Materials, Inc.(d)		76,579
	5,777	Intel Corp.(d)		209,647
	775	Maxim Integrated Products, Inc.(c)		24,699
	1,683	Micron Technology, Inc.(b)(d)		58,922
	458	NXP Semiconductors NV(b)(d)		34,991
	2,076	Texas Instruments, Inc.(d)		110,994
				515,832
		Software — 3.7%
	896	Adobe Systems, Inc.(b)(d)		65,139
	440	Check Point Software Technologies Ltd.(b)(d)		34,571
	9,229	Microsoft Corp.(d)		428,687
	3,711	Oracle Corp.(d)		166,884
	863	Salesforce.com, Inc.(b)(c)		51,184
	207	ServiceNow, Inc.(b)(d)		14,045
	251	Workday, Inc., Class A(b)(c)		20,484
				780,994
		Specialty Retail — 2.4%
	234	Advance Auto Parts, Inc.(d)		37,272
	830	Foot Locker, Inc.(d)		46,629
	1,764	Home Depot, Inc. (The)(d)		185,167
	1,654	Lowe’s Cos., Inc.(d)		113,795
	196	Signet Jewelers Ltd.(c)		25,788
	1,234	TJX Cos., Inc. (The)(d)		84,628
	228	Williams-Sonoma, Inc.(c)		17,255
				510,534

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Technology Hardware, Storage & Peripherals — 4.5%
	6,581	Apple, Inc.(d)	$	726,411
	2,990	EMC Corp.(d)		88,923
	2,393	Hewlett-Packard Co.(d)		96,031
	674	NCR Corp.(b)(c)		19,640
				931,005
		Textiles, Apparel & Luxury Goods — 0.7%
	359	Hanesbrands, Inc.(d)		40,072
	1,201	NIKE, Inc., Class B(d)		115,476
				155,548
		Thrifts & Mortgage Finance — 0.1%
	1,019	New York Community Bancorp, Inc.(c)		16,304
		Tobacco — 1.4%
	3,192	Altria Group, Inc.(d)		157,270
	1,782	Philip Morris International, Inc.(d)		145,144
				302,414
		Water Utilities — 0.2%
	731	American Water Works Co., Inc.(c)		38,962
		Total Common Stocks (Identified Cost $19,467,927)		19,894,687
Principal Amount
	Short-Term Investments — 17.4%
$	3,636,299	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $3,636,301 on 1/2/2015 collateralized by $3,765,000 U.S. Treasury Note, 0.750% due 2/28/2018 valued at $3,713,231 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,636,299)		3,636,299
		Total Investments — 112.5% (Identified Cost $23,104,226)(a)		23,530,986
		Other assets less liabilities — (12.5)%		(2,619,162	)
		Net Assets — 100.0%	$	20,911,824
Contracts
	Written Options — (1.7%)
		Index Options — (1.7%)
	6	On S&P 500® Index, Call expiring January 02, 2015 at 2060	$	(4,410	)
	5	On S&P 500® Index, Call expiring January 09, 2015 at 2090		(2,275	)
	6	On S&P 500® Index, Call expiring January 17, 2015 at 2000		(41,760	)
	9	On S&P 500® Index, Call expiring January 17, 2015 at 2025		(44,010	)
	7	On S&P 500® Index, Call expiring January 17, 2015 at 2050		(21,280	)
	11	On S&P 500® Index, Call expiring January 17, 2015 at 2100		(6,325	)
	14	On S&P 500® Index, Call expiring February 20, 2015 at 2025		(91,560	)
	13	On S&P 500® Index, Call expiring February 20, 2015 at 2050		(62,790	)
	25	On S&P 500® Index, Call expiring February 20, 2015 at 2075		(83,500	)
		Total Written Options (Premiums Received $424,650)	$	(357,910	)

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of December 31, 2014

Gateway Equity Call Premium Fund – (continued)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Federal Tax Information:
	At December 31, 2014, the net unrealized appreciation on investments based on a cost of $23,103,863 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	$	689,230
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(262,107	)
	Net unrealized appreciation	$	427,123
(b)	Non-income producing security.
(c)	All of this security has been pledged as collateral for outstanding options.
(d)	A portion of this security has been pledged as collateral for outstanding options.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2014

Oil, Gas & Consumable Fuels	6.8	%
Pharmaceuticals	6.0
Banks	5.9
Technology Hardware, Storage & Peripherals	4.5
Media	3.8
Software	3.7
Internet Software & Services	3.1
Biotechnology	2.9
IT Services	2.8
Aerospace & Defense	2.8
Semiconductors & Semiconductor Equipment	2.5
Food & Staples Retailing	2.4
Specialty Retail	2.4
Health Care Providers & Services	2.3
Chemicals	2.3
Capital Markets	2.2
Diversified Telecommunication Services	2.2
Industrial Conglomerates	2.2
Household Products	2.1
Other Investments, less than 2% each	32.2
Short-Term Investments	17.4
Total Investments	112.5
Other assets less liabilities (including open written options)	(12.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 65.6% of Net Assets
	Non-Convertible Bonds — 62.0%
		ABS Car Loan — 0.5%
$	2,259,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(b)	$	2,295,835
	2,280,000	Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019		2,273,416
	2,455,000	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018		2,448,995
				7,018,246
		ABS Credit Card — 3.5%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 0.581%, 2/16/2021(b)(c)		3,157,809
	1,860,000	American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019(b)		1,859,358
	1,015,000	American Express Credit Account Master Trust, Series 2014-3, Class A, 1.490%, 4/15/2020		1,015,921
	2,695,000	American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020		2,689,745
	2,295,000	American Express Credit Account Master Trust, Series 2014-5, Class A, 0.451%, 5/15/2020(c)		2,294,897
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 0.541%, 6/15/2021(b)(c)		2,048,389
	3,075,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(b)		3,063,675
	6,600,000	Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(b)		6,599,874
	6,640,000	Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019		6,613,613
	3,780,000	Chase Issuance Trust, Series 2014-A8, Class A, 0.411%, 11/15/2018(c)		3,780,344
	3,165,000	Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(b)		3,182,547
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.592%, 9/10/2020(b)(c)		5,823,707
	3,000,000	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(b)		2,995,299
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020		3,049,348
				48,174,526
		ABS Home Equity — 11.6%
	1,044,928	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.677%, 3/25/2035(b)(c)		1,016,863
	1,227,681	Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.582%, 4/25/2035(b)(c)		1,199,924
	2,132,410	Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.564%, 4/25/2035(b)(c)		2,117,300
	891,249	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033(b)		896,772
	1,085,303	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033(b)		1,120,038
	652,708	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		666,524
	2,241,428	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(b)		2,283,685
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		306,110

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	400,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A	$	399,878
	1,323,400	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(b)		1,363,045
	1,453,089	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033(b)		1,494,712
	2,182,020	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(b)		2,238,447
	1,779,094	Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035(b)		1,599,850
	806,799	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.620%, 7/25/2037, 144A(c)		583,201
	2,097,103	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.486%, 11/20/2034(b)(c)		1,989,629
	815,888	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b)		851,415
	1,617,966	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(b)		1,658,743
	2,880,536	Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A, 3.228%, 7/28/2034, 144A(b)(c)		2,888,157
	786,966	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 2.663%, 9/25/2034(c)		747,048
	1,752,044	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 2.557%, 2/25/2036(c)		1,365,950
	1,744,033	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.541%, 2/25/2037(b)(c)		1,717,326
	1,639,655	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(b)		1,663,548
	971,160	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.552%, 5/25/2035(b)(c)		934,194
	575,258	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		516,305
	2,846,147	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(b)		2,495,906
	1,085,779	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037		897,375
	1,997,094	CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037(b)		1,650,558
	1,855,000	Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A(b)		1,805,690
	1,721,889	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(b)		1,755,097
	1,116,885	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034(b)		1,180,862
	4,116,475	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(b)		4,112,894
	1,073,055	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(b)		1,107,175
	103,368	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034(d)		106,097

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,175,643	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.380%, 5/25/2035(b)(c)	$	994,196
	935,304	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		883,878
	725,473	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		489,474
	817,629	Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037		737,348
	1,444,561	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.582%, 8/25/2034(b)(c)		1,344,645
	218,752	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.396%, 9/20/2034(c)		208,286
	491,630	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.440%, 4/25/2035(c)		423,942
	1,612,219	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035(b)		1,509,745
	1,814,526	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036(b)		1,661,222
	887,566	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.515%, 11/25/2033(c)		854,048
	702,881	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.544%, 12/25/2033(c)		680,102
	2,391,366	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.550%, 5/25/2034(b)(c)		2,360,661
	253,829	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		256,521
	1,206,072	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035(b)		1,071,825
	581,704	Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021		505,420
	1,115,655	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035(b)		1,129,241
	1,148,665	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(b)		1,086,235
	1,293,628	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A(b)		1,303,675
	2,015,000	Federal Home Loan Mortgage Corp., Series 2014-DN1, Class M2, 2.370%, 2/25/2024(c)		1,980,354
	1,785,000	Federal Home Loan Mortgage Corp., Series 2014-DN2, Class M2, 1.820%, 4/25/2024(c)		1,729,254
	202,335	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		203,081
	2,046,494	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)(c)		2,040,352
	855,067	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(c)		815,826
	277,314	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.757%, 12/25/2034(c)		265,660
	1,722,281	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.733%, 12/25/2034(b)(c)		1,710,302

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	767,123	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.470%, 7/25/2035(c)	$	712,075
	2,653,647	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.687%, 9/25/2035(b)(c)		2,668,425
	1,612,743	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036(b)		1,311,627
	2,408,169	Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.280%, 5/25/2037(b)(c)		1,731,924
	1,187,165	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.950%, 12/25/2034(b)(c)		999,534
	2,561,935	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.810%, 7/25/2045(b)(c)		2,250,150
	3,035,000	Invitation Homes Trust, Series 2014-SFR1, Class B, 1.662%, 6/17/2031, 144A(b)(c)		3,004,340
	2,967,728	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.488%, 3/25/2036(b)(c)		2,569,699
	1,265,841	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 1.990%, 11/25/2033(c)		1,249,311
	2,690,046	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.408%, 4/25/2035(b)(c)		2,602,431
	933,984	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.658%, 6/25/2035(c)		945,125
	1,081,766	JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.653%, 8/25/2035(b)(c)		1,076,095
	2,777,323	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(b)		2,548,080
	1,853,361	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.408%, 2/25/2036(b)(c)		1,647,321
	3,371,871	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.695%, 1/25/2037(b)(c)		3,060,445
	2,784,021	JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(b)		2,409,701
	2,544,012	Lehman XS Trust, Series 2006-4N, Class A2A, 0.390%, 4/25/2046(b)(c)		1,866,893
	65	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.320%, 8/25/2046(c)(d)		63
	447,945	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.542%, 5/25/2034(c)(d)		434,092
	3,039,521	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.494%, 7/25/2034(b)(c)		3,054,570
	685,597	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.584%, 4/25/2036(c)		657,961
	602,146	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.330%, 1/25/2047(c)		468,304
	921,172	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b)		954,580
	999,686	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b)		1,044,434
	1,126,436	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b)		1,187,565
	2,536,162	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(b)		2,596,490
	271,341	MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034(d)		271,022
	1,972,667	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037(b)		1,589,180
	1,820,208	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037(b)		1,466,360

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	386,174	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.120%, 5/25/2036(c)	$	383,148
	1,135,983	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(b)		1,073,099
	2,423,491	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b)		2,463,297
	772,628	Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.396%, 10/25/2035(c)		752,276
	2,424,368	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(b)		2,121,198
	926,180	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(b)		942,920
	1,755,176	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.358%, 6/25/2034(c)		1,734,897
	1,140,625	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.630%, 9/25/2034(b)(c)		1,130,051
	6,613,040	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.414%, 11/25/2034(b)(c)		6,549,826
	706,413	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.480%, 7/25/2035(c)		523,072
	1,405,554	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b)		1,477,766
	736,895	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		753,308
	2,018,370	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.395%, 1/25/2035(b)(c)		2,026,565
	709,133	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		737,367
	6,150,000	WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3, 2.362%, 8/25/2035(c)		6,042,406
	1,342,018	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.163%, 9/25/2046(b)(c)		1,223,998
	2,879,562	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.913%, 1/25/2047(b)(c)		2,592,236
	373,702	Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(c)		374,956
	1,283,732	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.637%, 2/25/2034(b)(c)		1,286,389
	492,947	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		509,908
	650,014	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		663,018
	2,319,860	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(b)		2,293,901
	937,268	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)(c)		940,430
				157,949,440

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Other — 2.3%
$	3,616,204	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A	$	3,613,582
	1,144,082	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(b)		1,161,962
	3,410,000	GCA2014 Holdings Ltd., Zero Coupon, 1/05/2030, 144A(d)(e)		3,100,853
	2,340,000	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)		2,340,000
	850,000	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)		850,000
	1,495,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(b)		1,494,970
	1,995,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b)		2,002,820
	745,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A		745,462
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(b)		6,509,317
	366,198	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		371,367
	1,460,806	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(b)		1,457,228
	3,100,876	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(b)		3,082,132
	1,895,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(b)		1,893,431
	3,308,083	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b)		3,348,462
				31,971,586
		ABS Student Loan — 0.0%
	590,000	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.405%, 8/25/2032, 144A(c)		590,678
		Aerospace & Defense — 1.2%
	810,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		824,175
	2,340,000	KLX, Inc., 5.875%, 12/01/2022, 144A		2,363,400
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(b)		5,702,850
	825,000	Rockwell Collins, Inc., 0.591%, 12/15/2016(c)		825,134
	5,905,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(b)		5,314,500
	1,035,000	Textron, Inc., 3.875%, 3/01/2025		1,036,823
				16,066,882
		Automotive — 3.3%
	6,590,000	Daimler Finance North America LLC, 0.912%, 8/01/2016, 144A(b)(c)		6,625,105
	5,250,000	Ford Motor Credit Co. LLC, 1.482%, 5/09/2016(b)(c)		5,295,686
	5,455,000	General Motors Co., 5.200%, 4/01/2045		5,755,025
	1,000,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A		1,000,000
	5,960,000	Nissan Motor Acceptance Corp., 0.785%, 3/03/2017, 144A(b)(c)		5,978,959
	6,640,000	Nissan Motor Acceptance Corp., 0.955%, 9/26/2016, 144A(b)(c)		6,678,333
	10,650,000	Toyota Motor Credit Corp., 0.522%, 5/17/2016(b)(c)		10,670,405
	3,210,000	Volkswagen International Finance NV, 0.672%, 11/18/2016, 144A(b)(c)		3,217,694
				45,221,207

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Banking — 4.6%
$	1,580,000	Ally Financial, Inc., 8.000%, 3/15/2020	$	1,864,400
	3,310,000	Bank of America Corp., 1.271%, 1/15/2019(b)(c)		3,357,025
	6,825,000	Bank of America Corp., MTN, 4.200%, 8/26/2024		6,952,798
	12,955,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(b)		12,573,022
	9,280,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(b)		7,177,465
	5,000,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024		5,045,695
	7,200,000	Morgan Stanley, 4.350%, 9/08/2026		7,243,020
	11,135,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(b)		12,119,401
	6,150,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A(b)		6,183,708
				62,516,534
		Brokerage — 0.2%
	3,085,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		2,822,775
		Building Materials — 0.4%
	3,660,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(b)		3,074,400
	3,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(b)		1,239,749
	1,790,000	Owens Corning, 4.200%, 12/01/2024		1,766,490
				6,080,639
		Cable Satellite — 1.5%
	1,890,000	DISH DBS Corp., 5.875%, 7/15/2022		1,937,250
	5,650,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		5,678,250
	6,020,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		6,188,217
	6,430,000	Unitymedia KabelBW GmbH, 6.125%, 1/15/2025, 144A		6,638,975
				20,442,692
		Chemicals — 0.6%
	2,596,000	Albemarle Corp., 4.150%, 12/01/2024		2,637,552
	3,170,000	Hercules, Inc., 6.500%, 6/30/2029(b)		2,853,000
	2,950,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A		2,787,750
				8,278,302
		Collateralized Mortgage Obligations — 0.4%
	12,135,613	Government National Mortgage Association, Series 2012-78, Class IO, 1.047%, 6/16/2052(c)(f)		806,072
	72,147,722	Government National Mortgage Association, Series 2012-135, Class IO, 1.047%, 1/16/2053(b)(c)(f)		5,272,772
				6,078,844
		Construction Machinery — 1.3%
	17,660,000	Caterpillar Financial Services Corp., MTN, 0.474%, 2/26/2016(b)(c)		17,679,037
		Consumer Cyclical Services — 0.9%
	1,180,000	IHS, Inc., 5.000%, 11/01/2022, 144A		1,168,200
	2,960,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A		2,878,600
	8,260,000	ServiceMaster Co. LLC (The), 7.000%, 8/15/2020(b)		8,549,100
				12,595,900

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Electric — 1.5%
	4,205,000	Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)(b)	$	1,543,141
	5,600,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		5,631,360
	11,740,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		13,633,075
				20,807,576
		Finance Companies — 2.8%
	8,365,000	Air Lease Corp., 4.250%, 9/15/2024		8,427,737
	475,000	CIT Group, Inc., 5.000%, 8/01/2023		488,063
	4,700,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(b)(g)		5,469,625
	12,535,000	iStar Financial, Inc., 4.000%, 11/01/2017(b)		12,190,287
	11,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A(b)		11,048,500
				37,624,212
		Financial Other — 1.2%
	630,000	Corporacion Financiera de Desarrollo S.A., 3.250%, 7/15/2019, 144A		630,000
	1,240,000	Corporacion Financiera de Desarrollo S.A., (fixed rate to 7/15/2024, variable rate thereafter), 5.250%, 7/15/2029, 144A(b)		1,258,848
	6,100,000	Hyundai Capital Services, Inc., 1.043%, 3/18/2017, 144A(b)(c)		6,087,763
	8,700,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(b)		8,830,500
				16,807,111
		Food & Beverage — 0.6%
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		3,514,408
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		768,339
	3,500,000	General Mills, Inc., 0.533%, 1/29/2016(b)(c)		3,500,858
				7,783,605
		Gaming — 0.8%
	10,215,000	MGM Resorts International, 6.000%, 3/15/2023		10,266,075
		Government Owned - No Guarantee — 1.9%
	18,670,000,000	Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b)		7,941,722
	12,700,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		10,353,675
	6,000,000	Petroleos de Venezuela S.A., 5.500%, 4/12/2037		2,064,000
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		5,040,617
				25,400,014
		Healthcare — 0.8%
	1,620,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A(b)		1,458,000
	2,095,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		2,115,950
	4,675,000	HCA, Inc., 4.250%, 10/15/2019		4,745,125
	1,225,000	Kindred Escrow Corp. II , 8.000%, 1/15/2020, 144A		1,301,562
	510,000	Omnicare, Inc., 4.750%, 12/01/2022		516,375
	420,000	Omnicare, Inc., 5.000%, 12/01/2024		430,500
				10,567,512

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — 2.1%
$	635,000	Antero Resources Corp., 5.125%, 12/01/2022, 144A	$	598,488
	150,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		127,500
	155,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		131,750
	905,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		714,950
	240,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		211,200
	45,000	California Resources Corp., 5.500%, 9/15/2021, 144A		38,475
	2,905,000	California Resources Corp., 6.000%, 11/15/2024, 144A		2,454,725
	2,880,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,800,800
	140,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		148,750
	2,575,000	Cimarex Energy Co., 4.375%, 6/01/2024		2,459,125
	365,000	Concho Resources, Inc., 5.500%, 10/01/2022		368,650
	825,000	Concho Resources, Inc., 5.500%, 4/01/2023		828,877
	295,000	Continental Resources, Inc., 3.800%, 6/01/2024		263,891
	210,000	Continental Resources, Inc., 4.500%, 4/15/2023		199,742
	925,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		825,562
	180,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		164,250
	645,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		583,725
	1,260,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		1,146,600
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(h)		73,854
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(h)		5,481
	3,325,000	QEP Resources, Inc., 5.250%, 5/01/2023		3,108,875
	145,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		132,690
	90,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		81,000
	310,000	Rosetta Resources, Inc., 5.875%, 6/01/2024		275,900
	1,440,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		1,339,200
	1,238,000	SM Energy Co., 5.000%, 1/15/2024		1,070,870
	1,662,000	SM Energy Co., 6.125%, 11/15/2022, 144A		1,562,280
	35,000	SM Energy Co., 6.625%, 2/15/2019		34,300
	575,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		494,500
	400,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		374,000
	2,835,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		2,629,462
	3,255,000	Whiting Petroleum Corp., 6.500%, 10/01/2018		3,141,075
				28,390,547
		Industrial Other — 0.2%
	2,200,000	Alfa SAB de CV, 6.875%, 3/25/2044, 144A(b)		2,400,750
		Integrated Energy — 0.7%
	2,935,000	BP Capital Markets PLC, 0.652%, 11/07/2016(b)(c)		2,935,490
	6,595,000	Chevron Corp., 0.402%, 11/15/2017(c)		6,587,310
				9,522,800
		Leisure — 0.1%
	1,635,000	24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A(b)		1,308,000
		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)(b)		13,008,040

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Lodging — 0.4%
$	3,565,000	Choice Hotels International, Inc., 5.750%, 7/01/2022	$	3,823,462
	2,105,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022(b)		2,297,216
				6,120,678
		Media Entertainment — 0.6%
	3,255,000	CCOH Safari LLC, 5.500%, 12/01/2022		3,303,825
	3,175,000	CCOH Safari LLC, 5.750%, 12/01/2024		3,210,719
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b)		1,583,993
				8,098,537
		Metals & Mining — 0.5%
	515,000	ArcelorMittal, 7.500%, 10/15/2039		533,025
	6,130,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		6,175,975
				6,709,000
		Midstream — 0.6%
	3,225,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		3,233,062
	2,905,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		2,796,063
	180,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		163,800
	690,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		665,850
	1,120,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		1,134,000
				7,992,775
		Non-Agency Commercial Mortgage-Backed Securities — 4.0%
	950,000	Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.580%, 5/11/2039, 144A(c)		974,003
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 2.661%, 8/15/2029, 144A(c)		1,601,584
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class E, 3.831%, 8/15/2029, 144A(c)		1,596,176
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.535%, 4/15/2044, 144A(b)(c)		5,056,801
	2,765,000	Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 5/10/2035, 144A(b)(c)		2,670,086
	2,135,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.303%, 10/15/2031, 144A(c)(e)		2,140,807
	850,000	Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.311%, 6/15/2034, 144A(c)		849,544
	855,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.911%, 6/15/2034, 144A(c)		852,294
	1,605,000	Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.561%, 6/15/2034, 144A(b)(c)		1,604,324
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.557%, 11/10/2046, 144A(b)(c)		2,765,241
	1,300,000	Del Coronado Trust, Series 2013-HDMZ, Class M, 5.161%, 3/15/2018, 144A(b)(c)		1,301,040

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	7,430,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)(c)	$	7,636,547
	6,295,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)(c)		6,431,576
	1,915,000	Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(b)		1,935,152
	1,460,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(b)		1,493,270
	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(b)(c)		1,618,810
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		1,575,544
	945,264	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.161%, 4/15/2018, 144A(c)		945,547
	1,325,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.592%, 4/12/2049(b)(c)		1,409,744
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.304%, 6/15/2044, 144A(b)(c)		2,240,302
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 2.656%, 11/15/2026, 144A(b)(c)		2,285,835
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 3.411%, 11/15/2026, 144A(b)(c)		2,207,775
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.466%, 2/15/2044, 144A(b)(c)		2,784,942
				53,976,944
		Oil Field Services — 0.9%
	9,680,000	Oceaneering International, Inc., 4.650%, 11/15/2024		9,478,201
	3,310,000	Shell International Finance BV, 0.442%, 11/15/2016(b)(c)		3,311,172
				12,789,373
		Pharmaceuticals — 0.5%
	3,070,000	Johnson & Johnson, 0.306%, 11/28/2016(b)(c)		3,072,247
	3,160,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		3,302,200
				6,374,447
		Property & Casualty Insurance — 0.4%
	5,435,000	Old Republic International Corp., 4.875%, 10/01/2024		5,673,461
		Railroads — 0.3%
	4,700,000	Canadian National Railway Co., 0.432%, 11/06/2015(b)(c)		4,701,504
		Retailers — 0.1%
	1,080,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023(b)		1,322,297
		Supermarkets — 0.1%
	935,000	SUPERVALU, Inc., 7.750%, 11/15/2022		916,300
		Technology — 2.9%
	5,785,000	Equinix, Inc., 5.375%, 1/01/2022		5,839,379
	4,900,000	Jabil Circuit, Inc., 4.700%, 9/15/2022(b)		4,875,500
	10,955,000	Keysight Technologies, Inc., 4.550%, 10/30/2024, 144A		10,959,349
	7,847,000	KLA-Tencor Corp., 4.650%, 11/01/2024		8,123,583
	2,865,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		2,965,275
	3,030,000	Rolta Americas LLC, 8.875%, 7/24/2019, 144A(b)		2,605,800
	3,730,000	Sanmina Corp., 4.375%, 6/01/2019, 144A(b)		3,702,025
				39,070,911

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Treasuries — 3.9%
	1,475,000	Brazilian Government International Bond, 12.500%, 1/05/2016, (BRL)	$	559,049
	4,271,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		30,402,080
	465,000(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(b)		3,304,525
	405,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(b)		3,160,215
	1,700,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(b)		12,987,492
	130,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(b)		1,012,660
	7,091,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)(b)		2,447,518
				53,873,539
		Wireless — 0.3%
	3,350,000	Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)(b)		4,104,339
		Wirelines — 0.5%
	2,875,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		2,892,969
	10,085,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		3,452,468
				6,345,437
		Total Non-Convertible Bonds (Identified Cost $864,974,956)		845,443,072
	Convertible Bonds — 3.6%
		Automotive — 0.2%
	755,000	TRW Automotive, Inc., 3.500%, 12/01/2015(b)		2,619,850
		Consumer Products — 0.3%
	2,875,000	Jarden Corp., 1.125%, 3/15/2034, 144A(b)		3,221,797
		Energy — 0.1%
	425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		424,469
	1,430,000	Peabody Energy Corp., 4.750%, 12/15/2066(b)		750,750
				1,175,219
		Home Construction — 0.1%
	930,000	Lennar Corp., 3.250%, 11/15/2021, 144A		1,804,200
		Pharmaceuticals — 1.1%
	449,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		527,856
	1,168,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020(b)		1,431,530
	1,600,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A(b)		1,799,000
	1,125,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(b)		4,656,094
	1,670,000	Mylan, Inc., 3.750%, 9/15/2015(b)		7,057,837
				15,472,317
		Retailers — 0.5%
	4,430,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020(b)		4,939,450
	2,295,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		2,185,987
				7,125,437
		Technology — 1.3%
	1,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A(b)		2,241,006
	1,080,000	Finisar Corp., 0.500%, 12/15/2033		1,023,300
	3,815,000	JDS Uniphase Corp., 0.625%, 8/15/2033(b)		4,029,594
	2,045,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A(b)		2,428,437

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	915,000	Novellus Systems, Inc., 2.625%, 5/15/2041(b)	$	2,097,638
	2,360,000	Nuance Communications, Inc., 2.750%, 11/01/2031(b)		2,352,625
	3,145,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A(b)		3,972,528
				18,145,128
		Total Convertible Bonds (Identified Cost $41,576,087)		49,563,948
		Total Bonds and Notes (Identified Cost $906,551,043)		895,007,020
	Senior Loans — 15.4%
		Aerospace & Defense — 0.6%
	2,855,000	BE Aerospace, Inc., 2014 Term Loan B, 4.000%, 12/16/2021(c)		2,837,870
	1,849,062	Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(c)		1,813,394
	2,997,891	Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(c)		2,940,421
				7,591,685
		Automotive — 0.6%
	773,088	American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(c)		771,155
	901,778	Dealertrack Technologies, Inc., Term Loan B, 3.250%, 2/28/2021(c)		882,615
	2,369,767	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(c)		2,356,923
	92,523	Midas Intermediate Holdco II LLC, Delayed Draw Term Loan, 4.750%, 8/18/2021(c)		92,022
	821,138	Midas Intermediate Holdco II LLC, Term Loan B, 4.750%, 8/18/2021(c)		816,687
	3,367,110	Visteon Corp., Delayed Draw Term Loan B, 3.500%, 4/09/2021(c)		3,308,186
				8,227,588
		Building Materials — 1.1%
	3,154,030	ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(c)		3,050,546
	2,408,636	Continental Building Products LLC, 1st Lien Term Loan, 4.000%, 8/28/2020(c)		2,362,463
	3,311,509	HD Supply, Inc., Term Loan B, 6/28/2018(i)		3,275,645
	3,278,963	Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(c)		3,228,139
	2,790,178	Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(c)		2,702,985
				14,619,778
		Cable Satellite — 0.3%
	1,057,390	Charter Communications Operating LLC, Term Loan G, 4.250%, 9/12/2021(c)		1,063,343
	3,295,000	Virgin Media Bristol LLC, USD Term Loan B, 3.500%, 6/07/2020(c)		3,231,110
				4,294,453
		Chemicals — 0.3%
	1,603,577	Arysta LifeScience SPC LLC, 1st Lien Term Loan, 4.500%, 5/29/2020(c)		1,591,550
	1,552,186	Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 3.750%, 2/01/2020(c)		1,508,290
	441,893	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(c)		430,845
	1,182,000	MacDermid, Inc., USD 1st Lien Term Loan, 4.000%, 6/07/2020(c)		1,156,883
				4,687,568

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Consumer Cyclical Services — 0.9%
$	2,516,786	Creative Artists Agency LLC, Term Loan B, 6.750%, 12/17/2021(c)	$	2,516,786
	292,417	Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(c)		284,741
	1,143,083	Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(c)		1,113,077
	3,326,749	Realogy Corp., New Term Loan B, 3/05/2020(i)		3,251,897
	5,160,755	ServiceMaster Co., 2014 Term Loan B, 4.250%, 7/01/2021(c)		5,057,540
	615,228	Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(c)		604,080
				12,828,121
		Consumer Products — 0.4%
	637,621	Bauer Performance Sports Ltd., Term Loan B, 4.000%, 4/15/2021(c)		627,662
	423,100	Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(c)		415,962
	2,058,791	SRAM LLC, New Term Loan B, 4.013%, 4/10/2020(j)		1,991,880
	2,269,503	Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(c)		2,219,868
				5,255,372
		Diversified Manufacturing — 0.1%
	619,323	Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(c)		613,520
	92,368	WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(c)		91,636
				705,156
		Electric — 0.4%
	1,823,235	Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(c)		1,750,305
	3,313,070	Calpine Corp., Term Loan B3, 4.000%, 10/09/2019(c)		3,265,461
				5,015,766
		Finance Companies — 0.1%
	1,008,550	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c)		992,584
		Financial Other — 0.3%
	1,729,999	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(c)		1,704,049
	1,077,600	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(c)		1,064,130
	1,232,550	Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(c)		1,206,346
	576,177	Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(c)		555,290
				4,529,815
		Food & Beverage — 0.6%
	2,679,750	Aramark Services, Inc., USD Term Loan F, 3.250%, 2/24/2021(c)		2,631,193
	5,111,375	Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(c)		4,881,363
	821,904	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(j)		723,276
				8,235,832
		Health Insurance — 0.2%
	3,001,014	Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(c)		2,910,984
		Healthcare — 0.7%
	369,164	Amsurg Corp., 1st Lien Term Loan B, 3.750%, 7/16/2021(c)		365,472
	747,836	Community Health Systems, Inc., Term Loan D, 1/27/2021(i)		745,188

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	1,331,654	DaVita HealthCare Partners, Inc., Term Loan B, 3.500%, 6/24/2021(c)	$	1,315,315
	3,044,488	Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(c)		3,024,181
	1,492,500	Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(c)		1,466,008
	1,430,289	Planet Fitness Holdings LLC, Term Loan, 4.750%, 3/31/2021(c)		1,408,835
	1,716,094	Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(c)		1,671,767
				9,996,766
		Industrial Other — 1.5%
	1,089,014	Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(c)		1,055,320
	2,315,610	Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 3.750%, 11/23/2020(c)		2,153,517
	1,643,880	Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(c)		1,596,619
	1,733,788	Generac Power Systems, Inc., Term Loan B, 5/31/2020(i)		1,677,440
	2,612,800	Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(c)		2,527,884
	515,389	Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(c)		508,947
	1,930,485	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(c)		1,906,354
	6,053,422	Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(c)		5,612,673
	749,541	Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(c)		742,360
	3,317,932	Zebra Technologies Corp., Term Loan B, 4.750%, 10/27/2021(c)		3,331,204
				21,112,318
		Leisure — 0.1%
	1,803,935	Time, Inc., Term Loan B, 4.250%, 4/26/2021(c)		1,779,131
		Lodging — 0.4%
	5,820,198	Hilton Worldwide Finance LLC, USD Term Loan B2, 3.500%, 10/26/2020(c)		5,745,001
		Media Entertainment — 0.5%
	621,050	Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(c)		604,363
	3,145,307	Springer Science+Business Media Deutschland GmbH, USD Term Loan B3, 4.750%, 8/14/2020(c)		3,086,993
	2,609,582	Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(c)		2,565,558
				6,256,914
		Midstream — 0.1%
	1,930,000	Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(c)		1,855,560
		Other Utility — 0.2%
	3,030,377	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		2,944,527
	160,706	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(c)		156,153
				3,100,680
		Packaging — 0.4%
	3,741,311	Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(c)		3,661,808
	1,800,833	Signode Industrial Group U.S., Inc., USD Term Loan B, 3.750%, 5/01/2021(c)		1,720,930
				5,382,738
		Pharmaceuticals — 1.4%
	2,256,398	Amneal Pharmaceuticals LLC, New Term Loan, 5.001%, 11/01/2019(j)		2,247,936
	3,218,678	Grifols Worldwide Operations USA, Inc., USD Term Loan B, 3.169%, 2/27/2021(c)		3,170,397
	986,545	IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(c)		961,882

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — continued
$	1,554,190	JLL/Delta Dutch Newco BV, USD Term Loan, 4.250%, 3/11/2021(c)	$	1,505,622
	3,013,230	Mallinckrodt International Finance S.A., Term Loan B, 3.250%, 3/19/2021(c)		2,951,459
	4,539,373	Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(c)		4,478,863
	3,400,000	Valeant Pharmaceuticals International, Inc., Series E Term Loan B, 8/05/2020(i)		3,363,348
				18,679,507
		Property & Casualty Insurance — 0.5%
	3,069,803	Hub International Ltd., Term Loan B, 4.250%, 10/02/2020(c)		2,966,197
	3,319,468	Vertafore, Inc., 1st Lien Term Loan, 4.250%, 10/03/2019(c)		3,277,974
				6,244,171
		Restaurants — 0.4%
	5,538,966	1011778 B.C. Unlimited Liability Co., 2014 Term Loan B, 4.500%, 12/12/2021(c)		5,515,204
	246,429	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(c)		243,040
				5,758,244
		Retailers — 0.2%
	322,607	Hillman Group, Inc. (The), Term Loan B, 4.500%, 6/30/2021(c)		317,768
	1,906,161	Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(c)		1,839,445
				2,157,213
		Supermarkets — 0.1%
	798,889	Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(c)		794,895
		Technology — 1.7%
	2,868,325	Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(c)		2,772,724
	1,519,314	BMC Foreign Holding Co., USD Term Loan, 5.000%, 9/10/2020(c)		1,466,138
	2,936,958	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(c)		2,850,699
	1,102,117	Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(c)		1,075,942
	3,061,532	Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(c)		2,966,073
	3,284,388	IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(c)		3,021,637
	1,659,521	M/A-COM Technology Solutions Holdings, Inc., Term Loan, 4.500%, 5/07/2021(c)		1,651,223
	3,619,944	MA FinanceCo. LLC, Term Loan B, 5.250%, 10/07/2021(c)		3,495,527
	760,990	Microsemi Corp., Incremental Term Loan B2, 3.500%, 2/19/2020(c)		747,483
	957,845	Nuance Communications, Inc., Term Loan C, 2.919%, 8/07/2019(c)		927,673
	1,446,688	NXP BV, Term Loan D, 3.250%, 1/11/2020(c)		1,421,370
	1,062,270	Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(c)		1,030,402
				23,426,891
		Transportation Services — 0.1%
	783,130	FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(c)		766,160
	520,536	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)		506,221
				1,272,381
		Wireless — 0.4%
	3,035,104	Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(c)		2,991,216
	920,975	Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(c)		888,741
	1,363,150	SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(c)		1,332,193
				5,212,150

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — 0.8%
$	2,114,040	Level 3 Financing, Inc., Incremental Term Loan B5, 4.500%, 1/31/2022(c)	$	2,113,385
	2,006,942	LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(c)		1,960,541
	4,350,000	Sable International Finance Ltd., Senior Term Loan, 11/06/2016(i)		4,328,250
	3,041,283	Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(c)		3,004,483
				11,406,659
		Total Senior Loans (Identified Cost $213,624,792)		210,075,921
	Loan Participations — 0.2%
		ABS Other — 0.2%
	2,644,688	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(c)(e) (Identified Cost $2,664,523)		2,657,911
Shares
	Preferred Stocks — 3.9%
	Convertible Preferred Stocks — 2.5%
		Electric — 0.0%
	9,050	NextEra Energy, Inc., 5.889%		605,807
		Energy — 0.2%
	1,977	Chesapeake Energy Corp., Series A, 5.750%, 144A(b)(d)		2,023,954
		Food Products — 0.5%
	128,521	Tyson Foods, Inc., 4.750%		6,469,747
		Metals & Mining — 0.4%
	74,679	Alcoa, Inc., Series 1, 5.375%		3,767,556
	131,000	ArcelorMittal, 6.000%(b)		2,266,300
				6,033,856
		REITs – Diversified — 0.13%
	223,896	Weyerhaeuser Co., Series A, 6.375%(b)		12,918,799
	50,834	Crown Castle International Corp., Series A, 4.500%(b)		5,235,394
				18,154,193
		REITs – Health Care — 0.0%
	8,000	Health Care REIT, Inc., Series I, 6.500%		526,800
		REITs – Mortgage — 0.3%
	67,436	iStar Financial, Inc., Series J, 4.500%(b)(d)		3,986,816
		Utility Other — 0.2%
	17,432	Dominion Resources, Inc., 6.375%		906,638
	11,055	Dominion Resources, Inc., Series A, 6.125%		663,411
	9,938	Dominion Resources, Inc., Series B, 6.000%		597,473
				2,167,522
		Total Convertible Preferred Stocks (Identified Cost $37,734,185)		39,968,695

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
	Non-Convertible Preferred Stocks — 1.4%
		Banking — 0.5%
	6,776	Ally Financial, Inc., Series G, 7.000%, 144A(b)	$	6,773,247
		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(b)		4,191,500
		Property & Casualty Insurance — 0.2%
	102,000	Montpelier Re Holdings Ltd., 8.875%(b)		2,742,780
		Total Non-Convertible Preferred Stocks (Identified Cost $13,188,468)		13,707,527
		Total Preferred Stocks (Identified Cost $50,922,653)		53,676,222
	Common Stocks — 3.8%
		Automobiles — 0.4%
	226,953	Ford Motor Co.		3,517,771
	60,315	General Motors Co.(b)		2,105,597
				5,623,368
		Chemicals — 0.1%
	54,452	Tronox Ltd., Class A(b)		1,300,314
		Communications Equipment — 0.5%
	250,172	Cisco Systems, Inc.		6,958,534
		Food & Staples Retailing — 0.4%
	35,903	CVS Health Corp.(b)		3,457,818
	25,113	Wal-Mart Stores, Inc.(b)		2,156,704
				5,614,522
		Oil, Gas & Consumable Fuels — 0.7%
	21,550	Exxon Mobil Corp.(b)		1,992,298
	165,139	Kinder Morgan, Inc.		6,987,031
				8,979,329
		Pharmaceuticals — 0.7%
	64,155	Eli Lilly & Co.(b)		4,426,054
	29,105	Johnson & Johnson(b)		3,043,510
	62,096	Pfizer, Inc.(b)		1,934,290
				9,403,854
		Semiconductors & Semiconductor Equipment — 0.1%
	32,227	Texas Instruments, Inc.(b)		1,723,016
		Specialty Retail — 0.6%
	39,070	Home Depot, Inc. (The)(b)		4,101,178
	65,673	Lowe’s Cos., Inc.(b)		4,518,302
				8,619,480
		Technology Hardware, Storage & Peripherals — 0.2%
	80,565	EMC Corp.(b)		2,396,003

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		Tobacco — 0.1%
	34,555	Altria Group, Inc.(b)	$	1,702,525
		Total Common Stocks (Identified Cost $44,078,170)		52,320,945
	Exchange Traded Funds — 0.8%
	168,671	iShares® China Large-Cap ETF		7,020,087
	23,015	iShares® Core S&P Mid-Cap ETF		3,332,572
		Total Exchange Traded Funds (Identified Cost $10,255,557)		10,352,659
Notional Amount/ Shares/ Units of Currency (†††)
	Purchased Options — 0.3%
		Options on Securities — 0.0%
	2,380,000	iShares® MSCI Japan ETF, Call, expiring March 20, 2015 at 12		249,900
		Over-the-Counter Options on Currency — 0.3%
	45,750,000	CNH Put, expiring February 03, 2015 at 6.2000(l)		373,640
	21,000,000	COP Put, expiring January 08, 2015 at 2122(m)		2,248,932
	35,000,000	KRW Put, expiring January 08, 2015 at 1095(l)		181,300
	35,000,000	KRW Put, expiring January 08, 2015 at 1175(l)		140
	18,000,000	ZAR Put, expiring January 08, 2015 at 11.3850(l)		334,602
				3,138,614
		Total Purchased Options (Identified Cost $2,611,732)		3,388,514
	Purchased Swaptions — 0.0%
		Interest Rate Swaptions — 0.0%
$	1,375,000,000	1-year Interest Rate Swap Put, expiring 10/16/2015, Pay 28-day TIIE, Receive MXN 4.400%(k)		270,643
	43,725,000	5-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.0725%, Receive 3-month LIBOR(l)		84,477
	15,800,000	10-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.7350%, Receive 3-month LIBOR(l)		15,863
		Total Purchased Swaptions (Identified Cost $1,107,076)		370,983
Principal Amount (‡)
	Short-Term Investments — 9.5%
$	431,853	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $431,853 on 1/02/2015 collateralized by $436,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $440,518 including accrued interest (Note 2 of Notes to Financial Statements)		431,853

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — (continued)
$	119,213,566	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $119,213,632 on 1/02/2015 collateralized by $4,550,000 U.S. Treasury Bond, 3.750% due 11/15/2043 valued at $5,482,750; $17,070,000 U.S. Treasury Note, 1.000% due 9/15/2017 valued at $17,134,013; $72,640,000 U.S. Treasury Note, 0.750% due 3/31/2018 valued at $71,625,655; $26,440,000 U.S. Treasury Inflation Indexed Note, 0.125% due 4/15/2018 valued at $27,034,900; $315,000 U.S. Treasury Note, 2.125% due 6/30/2021 valued at $321,300 including accrued interest (Note 2 of Notes to Financial Statements)	$	119,213,566
	9,400,000	U.S. Treasury Bills, 0.048%, 2/19/2015(n)(o)		9,399,784
		Total Short-Term Investments (Identified Cost $129,044,811)		129,045,203
		Total Investments — 99.5% (Identified Cost $1,360,860,357)(a)		1,356,895,378
		Other assets less liabilities — 0.5%		6,979,528
		Net Assets — 100.0%	$	1,363,874,906
Shares/ Units of Currency (†††)
	Written Options — (0.0%)
		Options on Securities — (0.0%)
	35,900	CVS Health Corp., Call, expiring January 17, 2015 at 92.5000	$	(148,985	)
	1,190,000	iShares® MSCI Japan ETF, Call, expiring March 20, 2015 at 13		(17,850	)
				(166,835	)
		Over-the-Counter Options on Currency — (0.0%)
	70,000,000	KRW Put, expiring January 08, 2015 at 1150(l)		(2,240	)
		Total Written Options (Premiums Received $443,011)	$	(169,075	)
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(†††)	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:
		At December 31, 2014, the net unrealized depreciation on investments based on a cost of $1,361,658,141 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	$	39,399,480
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(44,162,243	)
		Net unrealized depreciation	$	(4,762,763	)

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements or options.
(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.
(d)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $13,112,897 or 1.0% of net assets.
(e)	Illiquid security. At December 31, 2014, the value of these securities amounted to $11,089,571 or 0.8% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.
(f)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
(g)	Perpetual bond with no specified maturity date.
(h)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(i)	Position is unsettled. Contract rate was not determined at December 31, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(j)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2014.
(k)	Counterparty is Bank of America, N.A.
(l)	Counterparty is Deutsche Bank AG.
(m)	Counterparty is Citibank, N.A.
(n)	A portion of this security has been pledged as initial margin for open futures contracts.
(o)	Interest rate represents discount rate at time of purchase; not a coupon rate.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the value of Rule 144A holdings amounted to $326,674,284 or 24.0% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
ETF	Exchange Traded Fund
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
BRL	Brazilian Real
CNH	Chinese Yuan Renminbi Offshore
COP	Colombian Peso
EUR	Euro
KRW	South Korean Won
MXN	Mexican Peso
NZD	New Zealand Dollar
USD	U.S. Dollar
ZAR	South African Rand

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 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.	Republic of Brazil	(1.00%)		12/20/2019	$	5,200,000	$	172,544	$	225,625	$	53,081	$	(1,444	)
Bank of America, N.A.	Republic of Brazil	(1.00%)		12/20/2019		1,725,000		59,564		74,847		15,283		(479	)
Bank of America, N.A.	Republic of Brazil	(1.00%)		12/20/2019		2,325,000		63,581		100,880		37,299		(646	)
Bank of America, N.A.	Republic of Venezuela	(5.00%)		9/20/2019		3,000,000		653,426		1,668,559		1,015,133		(4,167	)
Citibank, N.A.	Republic of Brazil	(1.00%)		12/20/2019		3,450,000		98,920		149,693		50,773		(958	)
Total									$	2,219,604	$	1,171,569	$	(7,694	)

Sell Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)			Market Value			Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Bank of America, N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%	$	1,775,000	$	(220,267	)	$	(382,483	)	$	(162,216	)	$	493
Citibank, N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		600,000		(102,245	)		(129,290	)		(27,045	)		167
Citibank, N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		3,150,000		(390,897	)		(678,773	)		(287,876	)		875
Deutsche Bank AG	Transocean, Inc.	1.00%		12/20/2019		6.47	%		2,660,000		(363,458	)		(573,186	)		(209,728	)		739
JPMorgan Chase Bank N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		1,215,000		(214,048	)		(261,812	)		(47,764	)		338
JPMorgan Chase Bank N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		4,075,000		(650,790	)		(878,095	)		(227,305	)		1,132
JPMorgan Chase Bank N.A.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		2,025,000		(336,933	)		(436,354	)		(99,421	)		563
Morgan Stanley Capital Services, Inc.	Transocean, Inc.	1.00%		12/20/2019		6.47	%		810,000		(144,011	)		(174,542	)		(30,531	)		225
Total													$	(3,514,535	)	$	(1,091,886	)	$	4,532

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2014, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection
Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread^			Notional Value(‡)		Market Value		Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
CDX.NA.HY* Series 23, 5-Year	5.00%	12/20/2019		3.56	%	$	10,100,000	$	626,210	$	454		$	1,403
CDX.NA.HY* Series 23, 5-Year	5.00%	12/20/2019		3.56	%		10,100,000		626,210		(6,565	)		1,403
CDX.NA.HY* Series 23, 5-Year	5.00%	12/20/2019		3.56	%		13,575,000		841,663		18,679			—
Total								$	2,094,083	$	12,568		$	2,806

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

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

* CDX.NA.HY is an index composed of North American high yield credit default swaps.

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

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy1		1/08/2015	Australian Dollar		29,625,000	$	24,180,559	$	(605,701	)
Sell1		1/26/2015	Brazilian Real		35,880,000		13,421,581		8,573
Sell2		1/15/2015	Colombian Peso		18,400,000,000		7,740,797		(70,935	)
Buy3		1/02/2015	Euro		540,000		653,427		(19,579	)
Buy1		1/02/2015	Euro		3,350,000		4,053,668		(22,042	)
Buy1		1/05/2015	Euro		4,900,000		5,929,246		(76,170	)
Sell1		1/02/2015	Euro		3,350,000		4,053,668		137,269
Sell3		1/02/2015	Euro		540,000		653,427		22,275
Sell1		1/05/2015	Euro		4,900,000		5,929,246		200,816
Sell1		1/22/2015	Euro		9,845,000		11,915,103		179,006
Sell1		1/29/2015	Euro		20,800,000		25,175,485		171,395
Sell1		2/02/2015	Euro		3,350,000		4,054,878		22,025
Buy2		1/20/2015	Japanese Yen		3,080,000,000		25,716,843		(415,191	)
Sell1		1/08/2015	Malaysian Ringgit		44,000,000		12,580,983		140,560
Buy1		1/02/2015	Mexican Peso		870,300,000		58,988,393		(63,440	)
Sell1		1/02/2015	Mexican Peso		870,300,000		58,988,393		4,375,738
Sell1		1/22/2015	Mexican Peso		5,362,500		363,092		5,320
Sell1		2/03/2015	Mexican Peso		870,300,000		58,884,783		54,273
Sell2		1/08/2015	New Taiwan Dollar		400,000,000		12,657,530		220,770
Sell1		1/08/2015	New Zealand Dollar		32,800,000		25,580,610		(141,914	)
Sell4		1/20/2015	New Zealand Dollar		8,860,000		6,901,740		(67,844	)
Buy1		1/05/2015	Singapore Dollar		17,000,000		12,833,579		(53,215	)
Sell1		1/05/2015	Singapore Dollar		17,000,000		12,833,579		117,322
Buy5		1/08/2015	South Korean Won		13,500,000,000		12,280,272		45,362

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2014

Loomis Sayles Strategic Alpha Fund – (continued)

Contract to Buy/Sell (continued)	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell5		1/08/2015	South Korean Won		28,400,000,000	$	25,834,054	$	(421,320	)
Sell1		1/12/2015	Turkish Lira		27,000,000		11,537,929		257,615
Sell2		1/12/2015	Turkish Lira		17,000,000		7,264,622		162,851
Total								$	4,163,819

¹ Counterparty is Credit Suisse International.

² Counterparty is Bank of America, N.A.

³ Counterparty is Deutsche Bank AG.

⁴ Counterparty is Citibank, N.A.

⁵ Counterparty is Barclays Bank PLC.

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

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500®		3/20/2015		774	$	79,427,880	$	(3,364,895	)

Industry Summary at December 31, 2014

ABS Home Equity	11.6	%
Technology	5.9
Banking	5.1
Automotive	4.1
Non-Agency Commercial Mortgage-Backed Securities	4.0
Treasuries	3.9
Pharmaceuticals	3.7
ABS Credit Card	3.5
Finance Companies	2.9
ABS Other	2.5
Cable Satellite	2.1
Independent Energy	2.1
Other Investments, less than 2% each	38.6
Short-Term Investments	9.5
Total Investments	99.5
Other assets less liabilities (including open written options/swaptions, swap agreements, forward foreign currency contracts and futures contracts)	0.5
Net Assets	100.0	%

See accompanying notes to financial statements.

|  46

Statements of Assets and Liabilities

December 31, 2014

	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
ASSETS
Investments at cost	$	19,467,927		$	1,241,214,938
Repurchase agreement(s) at cost		3,636,299			119,645,419
Net unrealized appreciation (depreciation)		426,760			(3,964,979	)
Investments at value		23,530,986			1,356,895,378
Cash		195			21,097
Due from brokers (Note 2)		—			7,415,000
Foreign currency at value (identified cost $0 and $3,111,502, respectively)		—			3,085,750
Receivable for Fund shares sold		135,334			8,096,566
Receivable from investment adviser (Note 6)		26,892			—
Receivable for securities sold		—			12,122
Collateral received for open forward foreign currency contracts, options/swaptions or swap agreements (Notes 2 and 4)		—			7,763,447
Dividends and interest receivable		18,044			7,143,821
Unrealized appreciation on bilateral swap agreements (Note 2)		—			1,171,569
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			6,121,170
Tax reclaims receivable		—			20,410
Receivable for variation margin on futures contracts (Note 2)		—			940,573
Receivable for variation margin on centrally cleared swap agreements (Note 2)		—			32,803
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			1,048,035
Fees receivable on swap agreements (Note 2)		—			7,338
TOTAL ASSETS		23,711,451			1,399,775,079
LIABILITIES
Options written, at value (premiums received $424,650 and $443,011, respectively) (Note 2)		357,910			169,075
Payable for securities purchased		2,370,281			19,328,138
Unrealized depreciation on bilateral swap agreements (Note 2)		—			1,091,886
Payable for Fund shares redeemed		—			2,067,798
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			1,957,351
Unamortized upfront premiums received on bilateral swap agreements (Note 2)		—			2,422,649
Due to brokers (Note 2)		—			7,763,447
Fees payable on swap agreements (Note 2)		—			7,694
Management fees payable (Note 6)		—			802,268
Deferred Trustees’ fees (Note 6)		2,278			62,884
Administrative fees payable (Note 6)		535			48,989
Payable to distributor (Note 6d)		46			9,802
Other accounts payable and accrued expenses		68,577			168,192
TOTAL LIABILITIES		2,799,627			35,900,173
NET ASSETS	$	20,911,824		$	1,363,874,906
NET ASSETS CONSIST OF:
Paid-in capital	$	20,927,807		$	1,412,020,378
Undistributed (Distributions in excess of) net investment income		(2,278	)		6,428,340
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(507,205	)		(51,726,907	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		493,500			(2,846,905	)
NET ASSETS	$	20,911,824		$	1,363,874,906

See accompanying notes to financial statements.

47  |

Statements of Assets and Liabilities (continued)

December 31, 2014

	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	95,579		$	104,055,520
Shares of beneficial interest		9,593			10,447,388
Net asset value and redemption price per share	$	9.96		$	9.96
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	10.57		$	10.43
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,000		$	71,214,856
Shares of beneficial interest		100			7,174,994
Net asset value and offering price per share	$	9.97	*	$	9.93
Class Y shares:
Net assets	$	20,815,245		$	1,188,604,530
Shares of beneficial interest		2,087,634			119,472,616
Net asset value, offering and redemption price per share	$	9.97		$	9.95

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

See accompanying notes to financial statements.

|  48

Statements of Operations

For the Year Ended December 31, 2014

	Gateway Equity Call Premium Fund (a)			Loomis Sayles Strategic Alpha Fund (b)
INVESTMENT INCOME
Interest	$	28		$	44,510,335
Dividends		60,612			5,631,648
Less net foreign taxes withheld		(27	)		(66,968	)
		60,613			50,075,015
Expenses
Management fees (Note 6)		20,243			8,848,129
Service and distribution fees (Note 6)		37			1,173,852
Administrative fees (Note 6)		1,333			546,169
Trustees’ fees and expenses (Note 6)		3,722			39,710
Transfer agent fees and expenses (Note 6)		275			778,284
Audit and tax services fees		40,714			84,918
Custodian fees and expenses		16,505			195,168
Legal fees		27			9,984
Registration fees		21,928			161,767
Shareholder reporting expenses		1,768			46,295
Miscellaneous expenses		3,797			42,056
Total expenses		110,349			11,926,332
Less waiver and/or expense reimbursement (Note 6)		(80,681	)		—
Net expenses		29,668			11,926,332
Net investment income		30,945			38,148,683
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(112,549	)		14,800,957
Futures contracts		—			(23,295,473	)
Options/swaptions written		(395,341	)		3,282,174
Swap agreements		—			(5,591,727	)
Foreign currency transactions		—			9,385,502
Net change in unrealized appreciation (depreciation) on:
Investments		426,760			(8,779,112	)
Futures contracts		—			(5,072,552	)
Options/swaptions written		66,740			126,727
Swap agreements		—			1,921,098
Foreign currency translations		—			3,821,302
Net realized and unrealized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(14,390	)		(9,401,104	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,555		$	28,747,579

(a) From commencement of operations on September 30, 2014 through December 31, 2014.

(b) Includes a non-recurring dividend of $928,128.

See accompanying notes to financial statements.

49  |

Statements of Changes in Net Assets

	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
	Period Ended December 31, 2014(a)			Year Ended December 31, 2014			Year Ended December 31, 2013
FROM OPERATIONS:
Net investment income	$	30,945		$	38,148,683		$	42,429,002
Net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(507,890	)		(1,418,567	)		(29,265,397	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		493,500			(7,982,537	)		(11,633,783	)
Net increase in net assets resulting from operations		16,555			28,747,579			1,529,822
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(379	)		(4,068,797	)		(4,183,150	)
Class C		(2	)		(1,878,950	)		(1,514,071	)
Class Y		(54,347	)		(37,780,827	)		(22,714,766	)
Total distributions		(54,728	)		(43,728,574	)		(28,411,987	)
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		20,949,997			139,284,341			620,354,079
Net increase in net assets		20,911,824			124,303,346			593,471,914
NET ASSETS
Beginning of the year		—			1,239,571,560			646,099,646
End of the year	$	20,911,824		$	1,363,874,906		$	1,239,571,560
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(2,278	)	$	6,428,340		$	(569,723	)

(a) From commencement of operations on September 30, 2014 through December 31, 2014.

See accompanying notes to financial statements.

|  50

Financial Highlights

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class A
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02
Net realized and unrealized gain (loss)		(0.02	)
Total from Investment Operations		0.00	(b)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)
Net realized capital gains		—
Total Distributions		(0.04	)
Net asset value, end of the period	$	9.96
Total return(c)(d)		0.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	96
Net expenses(e)(f)		1.20	%
Gross expenses(f)		3.69	%
Net investment income(f)		0.84	%
Portfolio turnover rate		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

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

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

(c) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

51  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class C
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.00	(b)
Net realized and unrealized gain (loss)		(0.01	)
Total from Investment Operations		(0.01	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)
Net realized capital gains		—
Total Distributions		(0.02	)
Net asset value, end of the period	$	9.97
Total return(c)(d)		(0.12	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(e)(f)		1.95	%
Gross expenses(f)		4.37	%
Net investment income(f)		0.01	%
Portfolio turnover rate		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

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

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

(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class Y
	Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02
Net realized and unrealized gain (loss)		(0.01	)
Total from Investment Operations		0.01
LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)
Net realized capital gains		—
Total Distributions		(0.04	)
Net asset value, end of the period	$	9.97
Total return(b)		0.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	20,815
Net expenses(c)(d)		0.95	%
Gross expenses(d)		3.54	%
Net investment income(d)		0.99	%
Portfolio turnover rate		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

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

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

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

(d) Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

53  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class A
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010*
Net asset value, beginning of the period	$	10.06		$	10.20		$	9.34		$	10.06		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29	(b)		0.37			0.37			0.34			0.00	(c)
Net realized and unrealized gain (loss)		(0.07	)		(0.28	)		0.77			(0.75	)		0.06
Total from Investment Operations		0.22			0.09			1.14			(0.41	)		0.06
LESS DISTRIBUTIONS FROM:
Net investment income		(0.32	)		(0.23	)		(0.28	)		(0.31	)		(0.00	)(c)
Net realized capital gains		—			—			—			(0.00	)(c)		—
Total Distributions		(0.32	)		(0.23	)		(0.28	)		(0.31	)		(0.00	)
Net asset value, end of the period	$	9.96		$	10.06		$	10.20		$	9.34		$	10.06
Total return(d)		2.24	%(b)		0.96	%		12.24	%		(3.90	)%		0.41	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	104,056		$	177,339		$	80,704		$	130,662		$	2,465
Net expenses		1.10	%		1.11	%		1.12	%		1.15	%(f)		1.30	%(g)(h)
Gross expenses		1.10	%		1.11	%		1.12	%		1.15	%(f)		6.98	%(h)
Net investment income		2.90	%(b)		3.68	%		3.77	%		3.50	%		0.86	%(h)
Portfolio turnover rate		87	%		115	%		116	%		141	%		39	%

* From commencement of operations on December 15, 2010 through December 31, 2010.

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.28, total return would have been 2.14% and the ratio of net investment income to average net assets would have been 2.81%.

(c) Amount rounds to less than $0.01 per share.

(d) A sales charge for Class A shares is not reflected in total return calculations.

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

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

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

(h) Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class C
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010*
Net asset value, beginning of the period	$	10.03		$	10.16		$	9.31		$	10.05		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21	(b)		0.30			0.30			0.28			0.00	(c)
Net realized and unrealized gain (loss)		(0.06	)		(0.28	)		0.76			(0.77	)		0.05
Total from Investment Operations		0.15			0.02			1.06			(0.49	)		0.05
LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.15	)		(0.21	)		(0.25	)		(0.00	)(c)
Net realized capital gains		—			—			—			(0.00	)(c)		—
Total Distributions		(0.25	)		(0.15	)		(0.21	)		(0.25	)		(0.00	)
Net asset value, end of the period	$	9.93		$	10.03		$	10.16		$	9.31		$	10.05
Total return(d)		1.47	%(b)		0.22	%		11.44	%		(4.69	)%		0.31	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	71,215		$	91,694		$	67,748		$	77,398		$	563
Net expenses		1.85	%		1.86	%		1.87	%		1.89	%(f)		2.05	%(g)(h)
Gross expenses		1.85	%		1.86	%		1.87	%		1.89	%(f)		8.68	%(h)
Net investment income		2.13	%(b)		2.96	%		3.05	%		2.82	%		0.24	%(h)
Portfolio turnover rate		87	%		115	%		116	%		141	%		39	%

* From commencement of operations on December 15, 2010 through December 31, 2010.

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.21, total return would have been 1.37% and the ratio of net investment income to average net assets would have been 2.05%.

(c) Amount rounds to less than $0.01 per share.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

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

(h) Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

55  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class Y
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Period Ended December 31, 2010*
Net asset value, beginning of the period	$	10.05		$	10.19		$	9.33		$	10.05		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.31	(b)		0.40			0.41			0.37			0.00	(c)
Net realized and unrealized gain (loss)		(0.06	)		(0.29	)		0.76			(0.75	)		0.05
Total from Investment Operations		0.25			0.11			1.17			(0.38	)		0.05
LESS DISTRIBUTIONS FROM:
Net investment income		(0.35	)		(0.25	)		(0.31	)		(0.34	)		(0.00	)(c)
Net realized capital gains		—			—			—			(0.00	)(c)		—
Total Distributions		(0.35	)		(0.25	)		(0.31	)		(0.34	)		(0.00	)
Net asset value, end of the period	$	9.95		$	10.05		$	10.19		$	9.33		$	10.05
Total return		2.52	%(b)		1.19	%		12.57	%		(3.78	)%		0.41	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,188,605		$	970,539		$	497,648		$	273,335		$	26,758
Net expenses		0.85	%		0.86	%		0.87	%		0.90	%(e)		1.05	%(f)(g)
Gross expenses		0.85	%		0.86	%		0.87	%		0.90	%(e)		5.37	%(g)
Net investment income		3.10	%(b)		3.92	%		4.09	%		3.81	%		0.06	%(g)
Portfolio turnover rate		87	%		115	%		116	%		141	%		39	%

* From commencement of operations on December 15, 2010 through December 31, 2010.

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.31, total return would have been 2.42% and the ratio of net investment income to average net assets would have been 3.03%.

(c) Amount rounds to less than $0.01 per share.

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

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

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

(g) Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

|  56

Notes to Financial Statements

December 31, 2014

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

Gateway Trust:

Gateway Equity Call Premium Fund

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

The Gateway Equity Call Premium Fund commenced operations on September 30, 2014 via contribution to the Fund by Natixis Global Asset Management, L.P. (“Natixis US”) and affiliates of $5,002,000 and by Gateway Investment Advisers, LLC (“Gateway Advisers”) of $5,000,000.

The Gateway Equity Call Premium Fund is a diversified investment company. The Strategic Alpha Fund is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75% for Gateway Equity Call Premium Fund and 4.50% for Strategic Alpha Fund. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

57  |

Notes to Financial Statements (continued)

December 31, 2014

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

a.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and 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:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Debt securities and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National

|  58

Notes to Financial Statements (continued)

December 31, 2014

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. Exchange-traded index options are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”). 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.

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. Option contracts for which the average of the closing bid and ask quotations are not considered to reflect option contract values as of the close of the New York Stock Exchange (“NYSE”) are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Fund will fair value index options using the closing rotation values, published by the CBOE. 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 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.

As of December 31, 2014, written options of Gateway Equity Call Premium Fund were fair valued at $(357,910) using the closing rotation values published by the CBOE.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an

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accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

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

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

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December 31, 2014

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

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

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

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

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

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as

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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 or index underlying the written option.

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

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

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

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

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Notes to Financial Statements (continued)

December 31, 2014

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

h.  Swap Agreements.  The Funds 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 Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have 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 Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or

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December 31, 2014

loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated 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 Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, options and bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash and securities received as collateral for forward foreign currency contracts, options, interest rate swaptions and bilateral swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors

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Notes to Financial Statements (continued)

December 31, 2014

including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, return of capital and capital gain distributions received, distributions in excess of income and/or capital gains, non-deductible expenses, foreign currency gains and losses, deferred Trustees’ fees, defaulted bond adjustments, contingent payment debt instruments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, contingent payment debt instruments, defaulted and/or non-income producing securities, swap payable/receivable, wash sales, return of capital distributions received and forward foreign currency, options and futures contracts mark-to-market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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December 31, 2014

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2014 and 2013 were as follows:

	2014 Distributions Paid From:						2013 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Gateway Equity Call Premium Fund	$	54,728	$	—	$	54,728	$	—	$	—	$	—
Strategic Alpha Fund		43,728,574		—		43,728,574		28,411,987		—		28,411,987

As of December 31, 2014, the components of distributable earnings on a tax basis were as follows:

	Gateway Equity Call Premium Fund			Strategic Alpha Fund
Undistributed ordinary income	$	—		$	10,905,507
Total undistributed earnings		—			10,905,507
Capital loss carryforward:		—			—
Short-term:
No expiration date		(243,981	)		(36,722,563	)
Long-term:
No expiration date		(196,847	)		(17,622,766	)
Total capital loss carryforward		(440,828	)		(54,345,329	)
Unrealized appreciation (depreciation)		427,123			(4,132,857	)
Total accumulated losses	$	(13,705	)	$	(47,572,679	)

l.  Loan Participations.  Strategic Alpha Fund may invest in loans to corporate, governmental or other borrowers. The Funds’ 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) a 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) a 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

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December 31, 2014

agreement. Thus, a 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 a Fund purchase assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the year, if any, are listed in each applicable Funds’ Schedule of Investments.

m.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2014, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

For the year ended December 31, 2014, the Fund did not loan securities under this agreement.

o.  Indemnifications.  Under the Trusts’ organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of

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December 31, 2014

their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

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

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

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2014, at value:

Gateway Equity Call Premium Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	19,894,687	$	—	$	—	$	19,894,687
Short-Term Investments		—		3,636,299		—		3,636,299
Total	$	19,894,687	$	3,636,299	$	—	$	23,530,986

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Written Options(a)	$	—	$	(357,910	)	$	—	$	(357,910	)

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

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

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Notes to Financial Statements (continued)

December 31, 2014

Strategic Alpha Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	157,138,166	$	811,274	(b)	$	157,949,440
ABS Other		—		11,872,771		20,098,815	(c)		31,971,586
Non-Agency Commercial Mortgage-Backed Securities		—		49,589,550		4,387,394	(d)		53,976,944
All Other Non-Convertible Bonds(a)		—		601,545,102		—			601,545,102
Total Non-Convertible Bonds		—		820,145,589		25,297,483			845,443,072
Convertible Bonds(a)		—		49,563,948		—			49,563,948
Total Bonds and Notes		—		869,709,537		25,297,483			895,007,020
Senior Loans(a)		—		210,075,921		—			210,075,921
Loan Participations(a)		—		—		2,657,911	(d)		2,657,911
Preferred Stocks
Convertible Preferred Stocks
Energy		—		2,023,954		—			2,023,954
REITs – Mortgage		—		3,986,816		—			3,986,816
All Other Convertible Preferred Stocks(a)		33,957,925		—		—			33,957,925
Total Convertible Preferred Stocks		33,957,925		6,010,770		—			39,968,695
Non-Convertible Preferred Stocks
Cable Satellite		—		4,191,500		—			4,191,500
All Other Non-Convertible Preferred Stocks(a)		9,516,027		—		—			9,516,027
Total Non-Convertible Preferred Stocks		9,516,027		4,191,500		—			13,707,527
Total Preferred Stocks		43,473,952		10,202,270		—			53,676,222

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December 31, 2014

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	52,320,945	$	—	$	—	$	52,320,945
Exchange Traded Funds		10,352,659		—		—		10,352,659
Purchased Swaptions(a)		—		370,983		—		370,983
Purchased Options(a)		249,900		3,138,614		—		3,388,514
Short-Term Investments		—		129,045,203		—		129,045,203
Total Investments		106,397,456		1,222,542,528		27,955,394		1,356,895,378
Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		1,171,569		—		1,171,569
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		19,133		—		—		19,133
Forward Foreign Currency Contracts (unrealized appreciation)		—		6,121,170		—		6,121,170
Total	$	106,416,589	$	1,229,835,267	$	27,955,394	$	1,364,207,250

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(166,835	)	$	(2,240	)	$	—	$	(169,075	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(1,091,886	)		—		(1,091,886	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		(6,565	)		—			—		(6,565	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(1,957,351	)		—		(1,957,351	)
Futures Contracts (unrealized depreciation)		(3,364,895	)		—			—		(3,364,895	)
Total	$	(3,538,295	)	$	(3,051,477	)	$	—	$	(6,589,772	)

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

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

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December 31, 2014

Strategic Alpha Fund (continued)

(c) Valued using broker-dealer bid prices ($13,807,962) or fair valued by the Fund’s adviser ($6,290,853).

(d) 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 December 31, 2014. At December 31, 2013, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies. At December 31, 2014, this security was fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the security.

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

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

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Notes to Financial Statements (continued)

December 31, 2014

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 December 31, 2014:

Strategic Alpha Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2013			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—		$	—	$	13,371		$	269		$	566,931
ABS Other		1,703,269			—		3,539			(14,617	)		18,918,915
Airlines		6,428,650			—		155,058			(63,650	)		—
Non-Agency Commercial Mortgage-Backed Securities		2,300,373			—		(486	)		(14,461	)		2,140,816
Loan Participations		—			—		(1,090	)		(6,612	)		2,810,925
Total	$	10,432,292		$	—	$	170,392		$	(99,071	)	$	24,437,587
Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2014			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December  31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(642,337	)	$	873,040	$	—		$	811,274		$	269
ABS Other		(512,291	)		—		—			20,098,815			3,427
Airlines		(6,520,058	)		—		—			—			—
Non-Agency Commercial Mortgage-Backed Securities		(38,848	)		—		—			4,387,394			(14,485	)
Loan Participations		(145,312	)		—		—			2,657,911			(6,612	)
Total	$	(7,858,846	)	$	873,040	$	—		$	27,955,394		$	(17,401	)

Debt securities valued at $873,040 were transferred from Level 2 to Level 3 during the period ended December 31, 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 December 31, 2014, these securities

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were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

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

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

Gateway Equity Call Premium Fund seeks to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. To meet this investment goal, the Fund invests in a broadly diversified portfolio of common stocks, while also writing index call options. Writing index call options can reduce the Fund’s volatility, provide a steady cash flow and be an important source of the Fund’s return, although it also may reduce the Fund’s ability to profit from increases in the value of its equity portfolio. The combination of the diversified stock portfolio and the steady cash flow from writing of index call options is intended to moderate the volatility of returns relative to an all-equity portfolio. During the period ended December 31, 2014, written index call options were used in accordance with this objective.

Strategic Alpha Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the year ended December 31, 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.

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

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December 31, 2014

Strategic Alpha Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended December 31, 2014, the Fund engaged in forward foreign currency and option transactions for hedging purposes.

Strategic Alpha Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the year ended December 31, 2014, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.

Strategic Alpha 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 year ended December 31, 2014, the Fund engaged in futures and option transactions for hedging purposes.

The following is a summary of derivative instruments for Gateway Equity Call Premium Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Liabilities	Options written at value
Exchange traded/cleared liability derivatives
Equity contracts	$	(357,910	)

Transactions in derivative instruments for Gateway Equity Call Premium Fund during the period December 31, 2014, as reflected within the Statements of Operations, were as follows:

Net Realized Gain (Loss) on:	Options written
Equity contracts	$	(395,341	)

Net Change in Unrealized Appreciation (Depreciation) on:	Options written
Equity contracts	$	66,740

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2014, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts2			Swap agreements at value3			Total
Over-the-counter asset derivatives
Interest rate contracts	$	370,983		$	—		$	—		$	—		$	370,983
Foreign exchange contracts		3,138,614			6,121,170			—			—			9,259,784
Credit contracts		—			—			—			2,219,604			2,219,604
Total over-the-counter asset derivatives	$	3,509,597		$	6,121,170		$	—		$	2,219,604		$	11,850,371
Exchange traded/ cleared asset derivatives
Equity contracts	$	249,900		$	—		$	—		$	—		$	249,900
Credit contracts		—			—			—			2,094,083			2,094,083
Total exchange traded/cleared asset derivatives	$	249,900		$	—		$	—		$	2,094,083		$	2,343,983
Total asset derivatives	$	3,759,497		$	6,121,170		$	—		$	4,313,687		$	14,194,354
Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts2			Swap agreements at value3			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,240	)	$	(1,957,351	)	$	—		$	—		$	(1,959,591	)
Credit contracts		—			—			—			(3,514,535	)		(3,514,535	)
Total over-the-counter liability derivatives	$	(2,240	)	$	(1,957,351	)	$	—		$	(3,514,535	)	$	(5,474,126	)
Exchange traded/cleared liability derivatives
Equity contracts	$	(166,835	)	$	—		$	(3,364,895	)	$	—		$	(3,531,730	)
Total exchange traded/cleared liability derivatives	$	(166,835	)	$	—		$	(3,364,895	)	$	—		$	(3,531,730	)
Total liability derivatives	$	(169,075	)	$	(1,957,351	)	$	(3,364,895	)	$	(3,514,535	)	$	(9,005,856	)

¹ Represents purchased options/swaptions, at value.

² Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

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December 31, 2014

³ Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statements of Assets and Liabilities.

Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2014 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions5
Interest rate contracts	$	(4,240,210	)	$	(12,548,231	)	$	3,362,483		$	518,496		$	—
Foreign exchange contracts		4,018,226			—			—			—			10,473,689
Credit contracts		—			—			—			(6,110,223	)		—
Equity contracts		700,052			(10,747,242	)		(80,309	)		—			—
Total	$	478,068		$	(23,295,473	)	$	3,282,174		$	(5,591,727	)	$	10,473,689
Net Change in Unrealized Appreciation (Depreciation) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency translations5
Interest rate contracts	$	(1,121,575	)	$	(3,964,303	)	$	(147,209	)	$	—		$	—
Foreign exchange contracts		1,634,492			—			263,760			—			3,803,742
Credit contracts		—			—			—			1,921,098			—
Equity contracts		(857,709	)		(1,108,249	)		10,176			—			—
Total	$	(344,792	)	$	(5,072,552	)	$	126,727		$	1,921,098		$	3,803,742

⁴  Represents realized gain/loss and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵  Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

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

The volume of option contract activity, as a percentage of investments in common stocks, for Gateway Equity Call Premium Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for period ended December 31, 2014:

Gateway Equity Call Premium Fund	Call Options Written*
Average Notional Amount Outstanding		99.30	%
Highest Notional Amount Outstanding		99.52	%
Lowest Notional Amount Outstanding		98.80	%
Notional Amount Outstanding as of December 31, 2014		99.35	%

* Notional amounts outstanding are determined by multiplying option contracts by the contract multiplier by the price of the option’s underlying index, the S&P 500^® Index.

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Notes to Financial Statements (continued)

December 31, 2014

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Strategic Alpha Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2014:

Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		26.28	%		19.07	%		6.00	%		2.25	%
Highest Notional Amount Outstanding		34.62	%		26.14	%		11.97	%		13.99	%
Lowest Notional Amount Outstanding		16.45	%		5.82	%		0.23	%		0.00	%
Notional Amount Outstanding as of December 31, 2014		33.07	%		5.82	%		4.82	%		0.00	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.

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

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the year ended December 31, 2014:

Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		2.85	%		4.43	%		0.72	%		1.57	%
Highest Market Value of Underlying Instruments		8.05	%		18.03	%		3.37	%		5.37	%
Lowest Market Value of Underlying Instruments		0.00	%		3.54	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2014		1.96	%		2.74	%		1.23	%		5.37	%

* Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

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December 31, 2014

The volume of interest rate swaption activity, as a percentage of net assets for Strategic Alpha Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2014:

Strategic Alpha Fund	Interest Rate Call Swaptions Written			Interest Rate Put Swaptions Purchased			Interest Rate Call Swaptions Purchased
Average Premium Paid/Received		0.16	%		0.02	%		0.26	%
Highest Premium Paid/Received		0.31	%		0.03	%		0.47	%
Lowest Premium Paid/Received		0.00	%		0.00	%		0.00	%
Premium Paid/Received as of December 31, 2014		0.00	%		0.03	%		0.05	%

The following is a summary of Gateway Equity Call Premium Fund’s written option activity:

Gateway Equity Call Premium Fund	Number of Contracts			Premiums
Options written		258		$	933,237
Options terminated in closing purchase transactions		(157	)		(501,850	)
Options expired		(5	)		(6,737	)
Outstanding at December 31, 2014		96		$	424,650

The following is a summary of Strategic Alpha Fund’s written option activity (excluding foreign currency options and interest rate swaptions):

Strategic Alpha Fund	Number of Contracts			Premiums
Outstanding at December 31, 2013		—		$	—
Options written		37,523			1,937,981
Options terminated in closing purchase transactions		(25,264	)		(1,760,970	)
Outstanding at December 31, 2014		12,259		$	177,011

The following is a summary of Strategic Alpha Fund’s foreign currency written option activity:

Strategic Alpha Fund	Units of Currency		Premiums
Outstanding at December 31, 2013		—	$	—
Options written		70,000,000		266,000
Options terminated in closing purchase transactions		—		—
Outstanding at December 31, 2014		70,000,000	$	266,000

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Notes to Financial Statements (continued)

December 31, 2014

The following is a summary of Strategic Alpha Fund’s written interest rate swaption activity:

Strategic Alpha Fund	Notional Amount			Premiums
Outstanding at December 31, 2013	$	114,500,000		$	3,740,334
Swaptions written		—			—
Swaptions terminated in closing purchase transactions		(114,500,000	)		(3,740,334	)
Outstanding at December 31, 2014	$	—		$	—

OTC 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 Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a 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 Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of December 31, 2014, gross amounts of OTC derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Strategic Alpha Fund

Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	2,724,175	$	(868,609	)	$	1,855,566	$	(1,460,000	)	$	395,566
Barclays Bank PLC		45,362		(45,362	)		—		—			—
Citibank N.A.		2,398,625		(875,907	)		1,522,718		(1,522,718	)		—
Credit Suisse International		5,669,912		(962,482	)		4,707,430		(4,410,000	)		297,430
Deutsche Bank AG		1,012,297		(595,005	)		417,292		(313,447	)		103,845
	$	11,850,371	$	(3,347,365	)	$	8,503,006	$	(7,706,165	)	$	796,841

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December 31, 2014

Strategic Alpha Fund (continued)

Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(868,609	)	$	868,609	$	—		$	—	$	—
Barclays Bank PLC		(421,320	)		45,362		(375,958	)		310,000		(65,958	)
Citibank N.A.		(875,907	)		875,907		—			—		—
Credit Suisse International		(962,482	)		962,482		—			—		—
Deutsche Bank AG		(595,005	)		595,005		—			—		—
JPMorgan Chase Bank N.A.		(1,576,261	)		—		(1,576,261	)		1,576,261		—
Morgan Stanley Capital Services, Inc.		(174,542	)		—		(174,542	)		—		(174,542	)
	$	(5,474,126	)	$	3,347,365	$	(2,126,761	)	$	1,886,261	$	(240,500	)

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement

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Notes to Financial Statements (continued)

December 31, 2014

of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Strategic Alpha Fund	$	24,183,631	$	11,243,840

These amounts include cash and U.S. government and agency securities received as collateral of $7,763,447. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Statements of Assets and Liabilities.

5.  Purchases and Sales of Securities.  For the year ended December 31, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

Fund	Purchases		Sales
Gateway Equity Call Premium Fund	$	20,545,828	$	965,353
Strategic Alpha Fund		1,029,937,591		943,694,542

For the year ended December 31, 2014, purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) by Strategic Alpha Fund were $36,128,203 and $46,577,958, respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Gateway Investment Advisers, LLC (“Gateway Advisers”) serves as investment adviser to Gateway Equity Call Premium Fund. Gateway Advisers is a subsidiary of Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.65%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to Strategic Alpha Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

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December 31, 2014

Gateway Advisers and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2016 for Gateway Equity Call Premium Fund and April 30, 2015 for Strategic Alpha Fund and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class Y
Gateway Equity Call Premium Fund		1.20	%		1.95	%		0.95	%
Strategic Alpha Fund		1.30	%		2.05	%		1.05	%

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

For the year ended December 31, 2014, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
								Gross		Net
Gateway Equity Call Premium Fund	$	20,243	$	20,243	$	—		0.65	%	—
Strategic Alpha Fund		8,848,129		—		8,848,129		0.70	%	0.70	%

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

In addition, the investment adviser reimbursed non-class-specific expenses of Gateway Equity Call Premium Fund in the amount of $60,438 for the period ended December 31, 2014. This expense reimbursement is subject to possible recovery until December 31, 2015.

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December 31, 2014

No expenses were recovered for either Fund during the year ended December 31, 2014 under the terms of the expense limitation agreements.

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

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

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

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

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

For the year ended December 31, 2014, the service and distribution fees for each Fund were as follows:

	Service Fees					Distribution Fees
Fund	Class A		Class C			Class C
Gateway Equity Call Premium Fund	$	35	$	—	(a)	$	2
Strategic Alpha Fund		363,790		202,516			607,546

(a) Amount rounds to less than $1.00.

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the

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Notes to Financial Statements (continued)

December 31, 2014

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

For the year ended December 31, 2014, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Gateway Equity Call Premium Fund	$	1,333
Strategic Alpha Fund		546,169

Prior to July 1, 2014, each Fund paid NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million.

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

For the year ended December 31, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Gateway Equity Call Premium Fund	$	103
Strategic Alpha Fund		741,438

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Notes to Financial Statements (continued)

December 31, 2014

As of December 31, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Gateway Equity Call Premium Fund	$	46
Strategic Alpha Fund		9,802

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2014 were as follows:

Fund	Commissions
Strategic Alpha Fund	$	58,106

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

Effective January 1, 2015, the chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based

85  |

Notes to Financial Statements (continued)

December 31, 2014

on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees on the Statements of Assets and Liabilities.

g.  Affiliated Ownership.  At December 31, 2014, Natixis US and affiliates and Gateway Advisers held shares of Gateway Equity Call Premium Fund representing 9.40% and 23.94% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Payment by Affiliates.  For the year ended December 31, 2014, Loomis Sayles reimbursed Strategic Alpha Fund $5,875 for losses incurred in connection with a trading error.

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

For the year ended December 31, 2014, the Strategic Alpha Fund had no borrowings under this agreement. The agreement became effective for the Equity Call Premium Fund on January 8, 2015.

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

Strategic Alpha Fund is non-diversified, which means it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of December 31, 2014, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on

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Notes to Financial Statements (continued)

December 31, 2014

accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of >5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership (Note 6)			Total Percentage of Ownership
Gateway Equity Call Premium Fund		1		56.61	%		33.34	%		89.95	%
Strategic Alpha Fund		3		41.44	%		—			41.44	%

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

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

	Period Ended December 31, 2014(a)
Gateway Equity Call Premium Fund	Shares			Amount
Class A
Issued from the sale of shares	9,653		$	95,980
Issued in connection with the reinvestment of distributions	38			379
Redeemed	(98	)		(980	)
Net change	9,593		$	95,379
Class C
Issued from the sale of shares	101		$	1,011
Issued in connection with the reinvestment of distributions	—	(b)		2
Redeemed	(1	)		(10	)
Net change	100		$	1,003
Class Y
Issued from the sale of shares	2,437,927		$	24,313,859
Issued in connection with the reinvestment of distributions	4,090			40,780
Redeemed	(354,383	)		(3,501,024	)
Net change	2,087,634		$	20,853,615
Increase (decrease) from capital share transactions	2,097,327		$	20,949,997

(a) From commencement of operations on September 30, 2014 through December 31, 2014.

(b) Amount rounds to less than one share.

87  |

Notes to Financial Statements (continued)

December 31, 2014

10.  Capital Shares (continued).

	Year Ended December 31, 2014					Year Ended December 31, 2013
Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,289,877		$	33,285,385		19,193,046		$	197,179,839
Issued in connection with the reinvestment of distributions	314,559			3,151,241		355,486			3,564,612
Redeemed	(10,780,235	)		(109,403,574	)	(9,839,761	)		(99,155,890	)
Net change	(7,175,799	)	$	(72,966,948	)	9,708,771		$	101,588,561
Class C
Issued from the sale of shares	652,702		$	6,559,344		6,543,786		$	67,379,172
Issued in connection with the reinvestment of distributions	120,066			1,196,499		97,192			971,450
Redeemed	(2,740,650	)		(27,590,387	)	(4,163,033	)		(41,773,151	)
Net change	(1,967,882	)	$	(19,834,544	)	2,477,945		$	26,577,471
Class Y
Issued from the sale of shares	53,741,784		$	543,162,597		88,033,948		$	900,107,320
Issued in connection with the reinvestment of distributions	2,470,530			24,696,717		1,447,322			14,486,878
Redeemed	(33,268,929	)		(335,773,481	)	(41,806,087	)		(422,406,151	)
Net change	22,943,385		$	232,085,833		47,675,183		$	492,188,047
Increase (decrease) from capital share transactions	13,799,704		$	139,284,341		59,861,899		$	620,354,079

|  88

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Gateway Trust and Natixis Funds Trust II and Shareholders of Gateway Equity Call Premium Fund and Loomis Sayles Strategic Alpha Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Gateway Equity Call Premium Fund, a series of Gateway Trust; and Loomis Sayles Strategic Alpha Fund, a series of Natixis Funds Trust II (the “Fund”), at December 31, 2014, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for the opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 23, 2015

89  |

2014 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2014, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Gateway Equity Call Premium		100.00	%
Strategic Alpha		4.67	%

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2014 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. These percentages are noted below:

Fund	Qualifying Percentage
Gateway Equity Call Premium		86.99	%
Strategic Alpha		11.32	%

|  90

Trustee and Officer Information

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

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	42 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 Contract Review Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	42 Formerly, Director, BJ’s Wholesale Club (retail); formerly, Director, Citizens Financial Group (bank)	Experience on the Board and significant experience on the boards of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)

91  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Vice President and Treasurer of Raytheon Company (defense)	42 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 Audit Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	42 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

|  92

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	Chancellor and faculty member, University of Massachusetts Lowell	42 None	Experience on the Board and on the boards of other business organizations; experience as Chancellor of the University of Massachusetts Lowell; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 1993 for Natixis Funds Trust II and since 2007 for Gateway Trust Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	42 Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

93  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	42 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	42 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)
Cynthia L. Walker (1956)	Trustee since 2005 for Natixis Funds Trust II and since 2007 for Gateway Trust Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	42 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

|  94

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INTERESTED TRUSTEES
Robert J. Blanding3 (1947) 555 California Street San Francisco, CA 94104	Trustee since 2003 for Natixis Funds Trust II and since 2007 for Gateway Trust	Chairman and Chief Executive Officer (formerly, President), Loomis, Sayles & Company, L.P.	42 None	Significant experience on the Board; continuing service as Chairman and Chief Executive Officer of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	42 None	Experience on the Board; continuing service as President and Chief Executive Officer of NGAM Advisors, L.P.
John T. Hailer5 (1960)	Trustee since 2000 for Natixis Funds Trust II and since 2007 for Gateway Trust	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	42 None	Significant experience on the Board; continuing service as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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

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

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

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

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

95  |

Trustee and Officer Information

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

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

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

|  96

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Kenneth A. Drucker, Mr. Richard A. Goglia, Mr. Wendell J. Knox and Mr. Erik R. Sirri are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.

	Audit fees				Audit-related fees1				Tax fees2				All other fees
	1/1/13- 12/31/13		1/1/14- 12/31/14		1/1/13- 12/31/13		1/1/14- 12/31/14		1/1/13- 12/31/13		1/1/14- 12/31/14		1/1/13- 12/31/13		1/1/14- 12/31/14
Natixis Funds Trust II	$	344,473	$	418,524	$	1,699	$	787	$	91,718	$	106,248	$	—	$	—

1. Audit-related fees consist of:

2013 & 2014 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan and review of Form N-1A filings (2013 only).

2. Tax fees consist of:

2013 & 2014 – review of the Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2013 and 2014 were $93,417 and $107,035, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“ASG”), Loomis, Sayles & Company, L.P. (“Loomis”), NGAM Advisors, L.P. (“NGAM”), Natixis Asset Management U.S., LLC (“NAM US”) and entities controlling, controlled by or under common control with ASG, Loomis, NGAM and Natixis AM US. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

1/1/13- 12/31/13

1/1/14- 12/31/14

1/1/13- 12/31/13

1/1/14- 12/31/14

1/1/13- 12/31/13

1/1/14- 12/31/14

Control Affiliates

$

—

$

—

$

—

$

—

$

—

$

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to ASG, Loomis, NGAM, Natixis AM US, and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

	Aggregate Non-Audit Fees
	1/1/13- 12/31/13	1/1/14- 12/31/14
Control Affiliates	$163,835	$416,950

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 [17 CFR 270.30a-2(a)], filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 23, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 23, 2015

By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 23, 2015

EX-99.CODE

Exhibit (a)(1)

NATIXIS FUNDS TRUST I

NATIXIS FUNDS TRUST II

NATIXIS FUNDS TRUST IV

LOOMIS SAYLES FUNDS I

LOOMIS SAYLES FUNDS II

GATEWAY TRUST

CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY

ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL

OFFICERS

I. Covered Persons/Purpose of the Code

This Code of Ethics (this “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a “Fund” and, collectively, the “Funds”) listed on Exhibit A and applies to each Fund’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the “Covered Persons,” all covered persons are set forth in Exhibit B) for the purpose of promoting:

• Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (the “SEC”) and in other public communications made by the registrant

• Compliance with applicable governmental laws, rules and regulations;

• The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code of violations of the Code; and

• Accountability for adherence to the Code.

Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.

II. Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Person’s private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Person’s, or a member of the Covered Person’s family or household, receives improper personal benefits as a result of the Covered Person’s position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the “1940 Act”) and the Investment Advisers Act of 1940 (including the regulations thereunder, the “Investment Advisers Act”). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as “affiliated persons” of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a “Service Provider” and, collectively, the “Service Providers”) compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.

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Each Covered Person must not:

• use his/her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund;

• cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit the Fund; or

• retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of potential violations that are made in good faith.

There are some conflict of interest situations that should always be approved by the Chief Legal Officer (“CLO”) of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President ). These conflict of interest situations are listed below:

• service on the board of directors or governing board of a publicly traded entity;

• acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable;

• any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the outstanding securities of the relevant class; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person’s employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other benefits in exchange for “soft dollars”.

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III. Disclosure and Compliance

• Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund;

• Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Fund’s Board and auditors, and to governmental regulators and self-regulatory organizations;

• Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

• It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

IV. Reporting and Accountability

Each Covered Person must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the Funds that he/she has received, read, and understands the Code;

• annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and

• notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code.

The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Fund’s Audit Committee (the “Committee”).

The Funds will follow these procedures in investigating and enforcing this Code:

• the CLO will take all appropriate action to investigate any potential violations reported, which may include the use of internal or external counsel, accountants or other personnel;

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• if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action;

• any matter that the CLO believes is a violation will be reported to the Committee;

• if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Person;

• the Committee will be authorized to grant waivers, as it deems appropriate; and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds’ Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers’ codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers’ more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Fund’s Board, including a majority of independent trustees.

VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.

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VIII.   Internal Use

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

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Exhibit A

Registered Investment Companies

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

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Exhibit B

Persons Covered by this Code of Ethics

Trust	Principal Executive Officer	Principal Financial Officer	Principal Accounting Officer
Natixis Funds Trust I	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust II	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust IV	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds I	Robert J. Blanding, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds II	Robert J. Blanding, Trustee, Chief Executive Officer; David L. Giunta, Trustee, President	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Gateway Trust	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer

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EX-99.CERT

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 23, 2015

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-CSR of Natixis Funds Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 23, 2015

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.906CERT

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended December 31, 2014 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

By:	By:
President and Chief Executive Officer	Treasurer
Natixis Funds Trust II	Natixis Funds Trust II
/s/ David L. Giunta	/s/ Michael C. Kardok
David L. Giunta	Michael C. Kardok
Date: February 23, 2015	Date: February 23, 2015

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Natixis Funds Trust II, and will be retained by the Natixis Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request.